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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04236
| JPMorgan Trust II |
(Exact name of registrant as specified in charter)
270 Park Avenue New York, NY 10017 |
(Address of principal executive offices) (Zip code)
Frank J. Nasta 270 Park Avenue New York, NY 10017 |
(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, 2010 through February 28, 2011
Form N-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 Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-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.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
J.P. Morgan Municipal Bond Funds
February 28, 2011
JPMorgan Arizona Municipal Bond Fund
JPMorgan Michigan Municipal Bond Fund
JPMorgan Municipal Income Fund
JPMorgan Ohio Municipal Bond Fund
JPMorgan Short-Intermediate Municipal Bond Fund
JPMorgan Tax Free Bond Fund
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CONTENTS
| CEO’s Letter | 1 | |||
| A Message From Gary J. Madich | 2 | |||
| Market Overview | 3 | |||
Fund Commentaries: | ||||
| 4 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 14 | ||||
| Schedules of Portfolio Investments | 16 | |||
| Financial Statements | 62 | |||
| Financial Highlights | 74 | |||
| Notes to Financial Statements | 86 | |||
| Report of Independent Registered Public Accounting Firm | 103 | |||
| Trustees | 104 | |||
| Officers | 106 | |||
| Schedule of Shareholder Expenses | 107 | |||
| Tax Letter | 110 | |||
Privacy Notice | 111 | |||
Investments in a Fund are not bank 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 conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. 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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (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.
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March 21, 2011
Dear Shareholder:
For many investors, the old adage “What’s old is new again,” may be the best way to describe the current economic recovery. While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.
In the U.S., economic momentum and growth appear to be accelerating, helped by pent-up consumer demand, improved balance sheets, and an extension of the Bush-era tax cuts. Additionally, this recovery has seen a sharp rebound in corporate profits. Investors responded enthusiastically to these developments, sending stock markets on an impressive rally, and leading to double-digit gains in 2010.
 |
“While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.” |
On the other hand, heightened tensions in the Middle East and renewed concerns about European debt resulted in an increase in market volatility, while the devastating earthquake and tsunami in Japan and the uncertain aftermath is likely to have lingering macroeconomic and market implications.
While positive tailwinds may continue to fuel economic growth, we remain concerned about the scope and potential impact of political unrest and other crises on global markets and economies.
U.S. Treasuries experience broad gains
Investors have continued to focus their investments on fixed income securities, particularly mortgage, investment grade corporate and high yield areas of the market. However, the heightened publicity surrounding the fiscal woes of state and local governments, and the expiration of the Build America Bond Program led many investors away from municipal bonds, which contributed to an increase in market volatility.
The Barclays Capital High Yield Index returned 17.5%, while the Barclays Capital U.S. Aggregate Bond Index returned 4.9%, and the Barclays Capital Emerging Markets Index returned 11.3% for the 12-month period ended February 28, 2011. The Barclays Capital Municipal Index returned 1.7% for the same period.
A late year U.S. stock market rally did little to reverse broad gains experienced by U.S. Treasuries in 2010. Stock market volatility, rising oil prices, and concerns about unrest in the
Middle East generally led to higher prices and lower yields for U.S. Treasuries and other safe haven investments. As of the end of the 12-month period ended February 28, 2011, the yield on the 10-year U.S. Treasury bond declined from 3.6% to 3.4%. Yields on the 30-year U.S. Treasury bond dropped slightly, from 4.6% to 4.5%, while yields on the 2-year U.S. Treasury bond dipped from 0.8% to 0.7% as of the end of the annual reporting period.
Improved economic outlook fuels equity rally
Stocks were supported by improved economic expectations and job growth, as well as the combination of the Federal Reserve’s launch of quantitative easing (QE2) and Congress’ extension of the Bush-era tax cuts. As of the 12-month reporting period ended February 28, 2011, the S&P 500 Index had reached a level of 1,327, an increase of 22.6% from 12 months prior.
Recently, however, risky assets have become more volatile as investors grew concerned about how the disaster in Japan, rising oil prices, and Middle East turmoil will impact the global recovery.
Rely on diversification to prepare for geopolitical risks
While the global economic recovery has demonstrated resiliency, the world is witnessing ongoing turmoil in the Middle East and uncertainty surrounding the fallout from the tragedy in Japan. Additionally, we continue to experience concerns about European sovereign debt.
This environment reminds us of the importance of preparing portfolios for shocks that could not only potentially derail the economic recovery, but also our investment goals. As “uncertainty” is often the only certainty, it makes sense for investors to prepare by maintaining a diversified approach to investing within the context of a balanced portfolio.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO-Investment Management Americas
J.P. Morgan Asset Management
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 1 | ||||||
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A MESSAGE FROM GARY J. MADICH, CFA
Global Chief Investment Officer for J.P. Morgan Asset Management’s Global Fixed Income Group
APRIL 4, 2011 (Unaudited)
Flows into bond funds remain strong, although decreased from the very high levels of the past two years. Investors still seem to be drawn to the perception of bonds’ relative safety versus other investments and continue to allocate assets to fixed income securities given the uncertainty prevalent in today’s marketplace. While we believe that bonds play an essential role in any well-diversified portfolio, we would like to take this opportunity to remind you about the risks associated with bond funds and the importance of diversification.**
Bond prices generally decrease as interest rates rise and increase as interest rates fall. Currently, interest rates are at very low levels and most fixed income portfolios would be negatively impacted in an environment where interest rates may increase, as the fixed income securities held in the portfolios would likely decrease in value. This is a broad risk that applies to most portfolios of bonds across the spectrum of the fixed income market. Bond portfolios comprised mostly of municipal bonds share this risk and also carry other risks specific to the nature of their asset class.
The ability of states and municipalities to repay their debt could be hindered by unfavorable local economic or political events. This risk has garnered recent attention as many states have seen their growing budget deficit challenges become the topic of newspaper headlines, leading many investors to pull assets out of municipal bond funds.
Acknowledging the challenges that are facing many states and municipalities, our municipal and tax free funds have main-
tained their bias towards bonds with high credit quality and sectors that have historically demonstrated lower volatility. However, it is important to note that, given their inherent geographic concentration, state-specific municipal bond funds may experience a disproportionately negative impact as a result of unfavorable economic or political developments in the state or region where the funds are primarily invested.
While we certainly believe that municipal bond funds are a valuable tool for many investors, the risks associated with these funds serve as a stark reminder about the importance of a well-diversified portfolio. As an investor, the best way to guard against any type of risk is to proactively build a well-diversified portfolio, a portfolio that is able to withstand and benefit from a variety of future outcomes.
On behalf of the Funds’ fixed income portfolio management team,
Gary J. Madich, CFA
| ** | Diversification does not guarantee investment returns and does not eliminate the risk of loss. |
| 2 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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J.P. Morgan Municipal Bond Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED FEBRUARY 28, 2011
For the first six months of the reporting period, the municipal bond market enjoyed a positive supply and demand environment and accommodative policies from the U.S. Federal Reserve, which contributed to historically low interest rates and helped support prices for the majority of municipal bond securities. However, the positive supply and demand environment began to reverse itself at the beginning of September 2010, leading municipal fixed income securities to register five consecutive months of negative returns.
Supply of municipal fixed income securities increased in early September 2010 and placed pressure on the market. This development was followed by an increase in U.S. Treasury interest rates and a wave of negative headlines related to the challenging fiscal conditions that many state and local municipalities were facing. In response, many investors began to withdraw assets allocated to municipal securities, ending 22 consecutive months of positive municipal bond fund inflows. The deteriorating supply and demand environment was amplified by the realization that the Build America Bond (BABs) would not likely be extended by Congress. BABS are taxable municipal bonds, in which the federal government rebates back 35% of the interest cost to the issuing entity.
Higher quality municipal securities underperformed during the first six months of the reporting period and then outperformed over the second half of the reporting period, as market conditions deteriorated. Bonds with maturities in the 6-12 year range were the strongest performers during the reporting period.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 3 | ||||||
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JPMorgan Arizona Municipal Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.46% | |||
| Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index | 2.32% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $ | 123,708 | ||
| Duration as of 2/28/2011 | 5.5 Years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Arizona Municipal Bond Fund (the “Fund”) seeks current income exempt from federal income tax and Arizona personal income tax, consistent with the preservation of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 28, 2011, the Fund’s relative performance versus the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”) was hurt by the Fund’s overweight of pre-refunded bonds (bonds that are secured with U.S. government securities), as this was the worst performing sector during the reporting period. In addition, the Fund was overweight revenue bonds and underweight state-issued general obligation bonds (Arizona’s constitution does not permit it to issue state general obligation bonds), which detracted from the Fund’s relative performance as revenue bonds underperformed state-issued general obligation bonds during the reporting period.
The Fund’s investments in the education sector contributed to the Fund’s absolute performance and relative performance versus the Benchmark. Meanwhile, the best performing part of the yield curve, which shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time, was the 6-12 year range. The Fund was overweight the 6-8 year segment of the yield curve and this contributed to its absolute and relative performance, while the Fund’s investments on the 8-12 year segment of the yield curve were among the strongest contributors to the Fund’s absolute return.
The Fund had slightly shorter duration than the Benchmark, which hurt its relative performance during the first half of the reporting period when interest rates declined and contributed to its relative performance during the second half of the reporting period when interest rates increased. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds
to relative changes in interest rates. Generally, bonds with shorter duration will experience a smaller increase/decrease in price as interest rates go down/up versus bonds with longer duration.
HOW WAS THE FUND POSITIONED?
From a credit quality perspective, the Fund had an overweight position versus the Benchmark in AAA-rated and A-rated securities, and an underweight in AA-rated securities and BBB-rated securities. Given the volatility in the municipal bond market, the Fund used investments in money market funds to maintain liquidity and manage Fund flows.
CREDIT QUALITY ALLOCATIONS*** | ||||
| AAA | 38.7 | % | ||
| AA | 39.5 | |||
| A | 14.8 | |||
| BAA | 7.0 | |||
J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 4 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 1/20/97 | |||||||||||||||
Without Sales Charge | 1.23 | % | 3.65 | % | 3.81 | % | ||||||||||
With Sales Charge* | (2.55 | ) | 2.87 | 3.41 | ||||||||||||
CLASS B SHARES | 1/20/97 | |||||||||||||||
Without CDSC | 0.58 | 3.01 | 3.28 | |||||||||||||
With CDSC** | (4.42 | ) | 2.65 | 3.28 | ||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 0.60 | 3.00 | 3.15 | |||||||||||||
With CDSC*** | (0.40 | ) | 3.00 | 3.15 | ||||||||||||
SELECT CLASS SHARES | 1/20/97 | 1.46 | 3.90 | 4.08 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns for Class C Shares prior to their inception are based on the performance of Class B Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Arizona Municipal Bond Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities 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 gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with matur-
ities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Capital gains 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.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 5 | ||||||
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JPMorgan Michigan Municipal Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||
| Fund (Select Class Shares)* | 1.59% | |
| Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index | 2.32% | |
| Net Assets as of 2/28/2011 (In Thousands) | $117,330 | |
| Duration as of 2/28/2011 | 5.2 Years | |
INVESTMENT OBJECTIVE**
The JPMorgan Michigan Municipal Bond Fund (the “Fund”) seeks current income exempt from federal income tax and Michigan personal income tax, consistent with the preservation of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended February 28, 2011, the Fund’s relative performance versus the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”) was hurt by the Fund’s underweight of state-issued general obligation bonds, which performed well for the Benchmark during the reporting period. The Fund’s investments in pre-refunded bonds (bonds that are secured with U.S. government securities) outperformed those held in the Benchmark and contributed to the Fund’s relative performance, as well as its absolute return.
The Fund had slightly shorter duration than the Benchmark, which hurt its relative performance during the first half of the reporting period when interest rates declined and contributed to its relative performance during the second half of the reporting period when interest rates increased. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with shorter duration will experience a smaller increase/decrease in price as interest rates go down/up versus bonds with longer duration.
The Fund’s investments in the education sector contributed to the Fund’s absolute performance and relative performance versus the Benchmark, while the Fund’s overweight of the hospital sector contributed to the Fund’s relative performance. Meanwhile, the best performing part of the yield curve, which shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time, was the 6-12 year
range. The Fund was overweight the 6-12 year segment of the yield curve and this contributed to its absolute and relative performance.
HOW WAS THE FUND POSITIONED?
From a credit quality perspective, the Fund had an overweight position versus the Benchmark in AA-rated securities, an underweight in BBB-rated securities, and an underweight in AAA-rated issues. Given the volatility in the municipal bond market, the Fund used investments in money market funds to maintain liquidity and manage Fund flows.
CREDIT QUALITY ALLOCATIONS*** | ||||
| AAA | 21.0 | % | ||
| AA | 48.0 | |||
| A | 23.6 | |||
| BAA | 7.4 | |||
J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 6 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/1/93 | |||||||||||||||
Without Sales Charge | 1.26 | % | 3.41 | % | 3.76 | % | ||||||||||
With Sales Charge* | (2.54 | ) | 2.61 | 3.36 | ||||||||||||
CLASS B SHARES | 9/23/96 | |||||||||||||||
Without CDSC | 0.70 | 2.79 | 3.25 | |||||||||||||
With CDSC** | (4.30 | ) | 2.43 | 3.25 | ||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 0.71 | 2.79 | 3.12 | |||||||||||||
With CDSC*** | (0.29 | ) | 2.79 | 3.12 | ||||||||||||
SELECT CLASS SHARES | 2/1/93 | 1.59 | 3.67 | 4.03 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns for Class C Shares prior to their inception are based on the performance of Class B Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Michigan Municipal Bond Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities 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 gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with matur-
ities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Capital gains 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.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 7 | ||||||
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JPMorgan Municipal Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||
| Fund (Select Class Shares)* | 1.94% | |
| Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index | 2.32% | |
| Net Assets as of 2/28/2011 (In Thousands) | $1,089,494 | |
| Duration as of 2/28/2011 | 5.3 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?
The Fund’s relative performance versus the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”) was hurt by its underweight of the intermediate (6-12 years) segment of the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds). While the Fund’s 6-12 year securities were strong contributors to the Fund’s absolute return, the Fund’s underweight versus the Benchmark detracted from relative performance as this was the best performing segment of the yield curve. The Fund was also underweight state-issued general obligation bonds, which detracted from relative performance as this sector was a strong performer for the Benchmark.
The Fund’s preference for higher yielding sectors and defensive positioning cushioned its absolute performance during the municipal market’s downturn in the second half of the reporting period and contributed to the Fund’s relative performance. Specifically, the Fund’s investments in the housing sector, where the Fund had its largest overweight, were strong contributors to the Fund’s absolute performance and relative performance versus the Benchmark. The Fund’s underweight to the pre-refunded (bonds that are secured with U.S. government securities) sector, which was one of the worst performing sectors in the Benchmark, also contributed to the Fund’s absolute and relative performance.
HOW WAS THE FUND POSITIONED?
The Fund continued to emphasize yield sectors, particularly the housing sector, and was underweight lower-yielding bonds,
such as pre-refunded bonds. The Fund was also overweight versus the Benchmark in the hospital and education sectors. The Fund’s duration (duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates) was shorter than the Benchmark during the reporting period. Given the volatility in the municipal bond market, the Fund used investments in money market funds to maintain liquidity and manage Fund flows.
CREDIT QUALITY ALLOCATIONS*** | ||||
| AAA | 29.0 | % | ||
| AA | 48.7 | |||
| A | 13.1 | |||
| BAA | 7.8 | |||
| BA & NR | 1.4 | |||
J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 8 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/23/93 | |||||||||||||||
Without Sales Charge | 1.67 | % | 3.56 | % | 3.74 | % | ||||||||||
With Sales Charge* | (2.14 | ) | 2.78 | 3.35 | ||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 1.12 | 2.98 | 3.24 | |||||||||||||
With CDSC** | (3.88 | ) | 2.62 | 3.24 | ||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 1.04 | 2.98 | 3.11 | |||||||||||||
With CDSC*** | 0.04 | 2.98 | 3.11 | |||||||||||||
SELECT CLASS SHARES | 2/9/93 | 1.94 | 3.82 | 4.01 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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 graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Municipal Income Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities 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 gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is
an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Capital gains 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.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 9 | ||||||
Table of Contents
JPMorgan Ohio Municipal Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.49% | |||
| Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index | 2.32% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $ | 259,046 | ||
| Duration as of 2/28/2011 | 5.6 Years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Ohio Municipal Bond Fund (the “Fund”) seeks current income exempt from federal income tax and Ohio personal income tax, consistent with the preservation of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
On an absolute basis and relative to the Barclays Capital Competitive Intermediate Municipal (1-17 Year) Maturities Index (the “Benchmark”), the Fund’s placement along the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds), primarily on the 6-12 year segment, was a key driver of performance during the reporting period.
Positive economic and market trends in the municipal bond space defined the first half of the reporting period. These trends, however, reversed themselves in the beginning of September 2010 and the municipal bond market registered five consecutive months of negative returns. Interest rates followed a straight-line downward path for the first half of the reporting period, which was then offset by a period of rising rates that persisted for most of the remaining reporting period. This interest rate environment produced better returns for the intermediate (6-12 years) segment of the yield curve versus the shorter and longer parts of the curve.
The Fund’s holdings among housing and insured bonds contributed to its absolute performance and relative performance versus the Benchmark. The outperformance in these sectors was driven by the concentration of holdings in the better performing intermediate (6-12 years) part of the yield curve.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers preferred to invest in issuances from highly rated, large state and local municipalities. Given the volatility in the municipal bond market, the Fund used investments in money market funds to maintain liquidity and manage Fund flows. The Fund began the reporting period with slightly longer duration than the Benchmark and finished the reporting period with slightly shorter duration than the Benchmark.
CREDIT QUALITY ALLOCATIONS*** | ||||
| AAA | 20.9 | % | ||
| AA | 58.2 | |||
| A | 15.1 | |||
| BAA | 5.2 | |||
| BA & NR | 0.6 | |||
J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 10 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 1.33 | % | 3.75 | % | 3.86 | % | ||||||||||
With Sales Charge* | (2.44 | ) | 2.96 | 3.47 | ||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 0.69 | 3.10 | 3.33 | |||||||||||||
With CDSC** | (4.31 | ) | 2.74 | 3.33 | ||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 0.62 | 3.11 | 3.21 | |||||||||||||
With CDSC*** | (0.38 | ) | 3.11 | 3.21 | ||||||||||||
SELECT CLASS SHARES | 7/2/91 | 1.49 | 3.99 | 4.11 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns for Class C Shares prior to its inception are based on the performance of Class B Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Ohio Municipal Bond Fund, the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index and the Lipper Intermediate Municipal Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities 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 gains of the securities included in the benchmark. The performance of the Lipper Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Competitive Intermediate Municipal (1–17 Year) Maturities Index represents the performance of municipal bonds with matur-
ities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Capital gains 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.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 11 | ||||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||
| Fund (Select Class Shares)* | 0.59% | |
| Barclays Capital 1–5 Year Municipal Blend Index | 1.61% | |
| Net Assets as of 2/28/2011 (In Thousands) | $1,187,661 | |
| Duration as of 2/28/2011 | 2.6 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?
On an absolute basis and relative to the Barclays Capital 1-5 Year Municipal Blend Index (the “Benchmark”), the Fund’s placement along the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds), specifically on the 6-12 year segment, and its bias for high quality issuances were the key drivers of performance during the reporting period.
Positive economic and market trends in the municipal bond space defined the first half of the reporting period. These trends, however, reversed themselves in the beginning of September 2010 and the municipal bond market registered five consecutive months of negative returns. Interest rates followed a straight-line downward path for the first half of the reporting period, which was then offset by a period of rising rates that persisted for most of the remaining reporting period. This interest rate environment produced better returns for the intermediate (6-12 years) segment of the yield curve versus the shorter and longer parts of the curve.
Meanwhile, the Fund invested a small percentage of its assets in securities with maturities of 6-10 years, which performed strongly during the reporting period. These investments contributed to relative performance as the Benchmark did not hold securities on this segment of the yield curve.
The Fund invested primarily in high-quality general obligation bonds, pre-refunded bonds (bonds that are secured with U.S. government securities) and essential-service revenue bonds. While this quality bias hurt the Fund early in the reporting period, the Fund’s higher quality holdings cushioned the Fund when the municipal market deteriorated in the second half of the reporting period and boosted the Fund’s relative performance versus the Benchmark.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund continued to employ 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 its bias toward higher quality issuances. From a state perspective, the Fund was underweight versus the Benchmark in California, New Jersey and New York. The Fund was overweight versus the Benchmark in Virginia. Given the volatility in the municipal bond market, the Fund used investments in money market funds to maintain liquidity and manage Fund flows.
CREDIT QUALITY ALLOCATIONS*** | ||||
| AAA | 42.7 | % | ||
| AA | 46.5 | |||
| A | 8.3 | |||
| BAA | 2.3 | |||
| BA & NR | 0.2 | |||
J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.
| * | The return shown is based on net asset value calculated for share-holder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 12 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/4/98 | |||||||||||||||
Without Sales Charge | 0.32 | % | 2.89 | % | 2.88 | % | ||||||||||
With Sales Charge | (1.91 | ) | 2.43 | 2.65 | ||||||||||||
CLASS B SHARES | 5/4/98 | |||||||||||||||
Without CDSC | (0.18 | ) | 2.38 | 2.57 | ||||||||||||
With CDSC | (3.18 | ) | 2.38 | 2.57 | ||||||||||||
CLASS C SHARES | 11/1/01 | (0.07 | ) | 2.39 | 2.37 | |||||||||||
INSTITUTIONAL CLASS SHARES | 6/19/09 | 0.84 | 3.25 | 3.18 | ||||||||||||
SELECT CLASS SHARES | 5/4/98 | 0.59 | 3.15 | 3.13 | ||||||||||||
| * | Sales Charge for Class A Shares is 2.25%. |
| ** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period, 0% CDSC for the five year period and thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns for Class C and Institutional Class Shares prior to their inception are based on the performance of Select Class Shares. Returns for Class C Shares have been adjusted to reflect the differences in expenses and sales charges between classes. The actual returns of Institutional Class Shares would have been different than shown because Institutional Class Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short-Intermediate Municipal Bond Fund, the Barclays Capital 1–5 Year Municipal Blend Index and the Lipper Short-Intermediate Municipal Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–5 Year Municipal Blend 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 gains of the securities included in the benchmark. The performance of the Lipper Short-Intermediate Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These
expenses are not identical to the expenses charged by the Fund. The Barclays Capital 1–5 Year Municipal Blend Index is an unmanaged index of investment grade tax-exempt municipal bonds with maturities of 1–5.999 years. The Lipper Short-Intermediate Municipal Debt Funds Index represents the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Capital gains 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.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B shares automatically convert to Class A shares after 6 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 13 | ||||||
Table of Contents
JPMorgan Tax Free Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 0.78% | |||
| Barclays Capital Municipal Bond Index | 1.72% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $ | 504,169 | ||
| Duration as of 2/28/2011 | 6.9 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?
In the municipal bond market, positive trends marked the first half of the reporting period. However, this positive environment ended in August 2010 and was followed by six consecutive months of negative trends for municipal fixed income securities.
The Fund invested primarily in high-quality general obligation bonds, pre-refunded bonds (bonds that are secured with U.S. government securities) and essential-service revenue bonds. While this quality bias hurt the Fund early in the reporting period, the Fund’s higher quality holdings cushioned the Fund when the municipal market deteriorated in the second half of the reporting period and boosted the Fund’s relative performance versus the Benchmark.
HOW WAS THE FUND POSITIONED?
During the reporting period, 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. The Fund maintained its quality bias, as the Fund’s portfolio managers preferred higher-quality issuances. For liquidity and to enhance the Fund’s overall credit quality, the Fund maintained
its overweight versus the Benchmark in pre-refunded bonds. Given the volatility in the municipal bond market, the Fund used investments in money market funds to maintain liquidity and manage Fund flows.
CREDIT QUALITY ALLOCATIONS*** | ||||
| AAA | 18.6 | % | ||
| AA | 49.7 | |||
| A | 20.6 | |||
| BAA | 11.1 | |||
J.P. Morgan Investment Management (“JPMIM”) receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies — S&P, Moody’s and Fitch. When calculating the credit quality breakdown, JPMIM selects the middle rating of the agencies when all three agencies rate a security. JPMIM will use the lower of the two ratings if only two agencies rate a security and JPMIM will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such.
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 14 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/1/88 | |||||||||||||||
Without Sales Charge | 0.78 | % | 3.20 | % | 3.96 | % | ||||||||||
With Sales Charge* | (3.03 | ) | 2.41 | 3.56 | ||||||||||||
CLASS B SHARES | 4/4/95 | |||||||||||||||
Without CDSC | 0.07 | 2.48 | 3.40 | |||||||||||||
With CDSC** | (4.93 | ) | 2.12 | 3.40 | ||||||||||||
CLASS C SHARES | 7/1/08 | |||||||||||||||
Without CDSC | 0.08 | 2.50 | 2.93 | |||||||||||||
With CDSC*** | (0.92 | ) | 2.50 | 2.93 | ||||||||||||
SELECT CLASS SHARES | 2/1/95 | 1.02 | 3.38 | 4.16 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns for Class C Shares prior to their inception date are based on the performance of Class B Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Tax Free Bond Fund, the Barclays Capital Municipal Bond Index and the Lipper General Municipal Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Barclays Capital 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 gains of the securities included in the benchmark. The performance of the Lipper General Municipal Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Municipal Bond Index is a total return performance benchmark for the long-term, investment-grade tax-exempt bond market. The Lipper General Municipal Debt
Funds Index represents the total returns of the 30 largest mutual funds in the indicated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Capital gains 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 $1,000 minimum initial investment and carry a 3.75% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B shares automatically convert to Class A shares after 8 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 15 | ||||||
Table of Contents
JPMorgan Arizona Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Municipal Bonds — 98.9% |
| ||||||
Arizona — 92.0% |
| |||||||
Certificate of Participation/Lease — 10.9% |
| |||||||
Arizona School Facilities Board, | ||||||||
| 1,000 | COP, 5.250%, 09/01/23 | 1,016 | ||||||
| 1,500 | Series A, COP, NATL-RE, 5.000%, 09/01/12 | 1,573 | ||||||
Arizona State University, Board of Regents, | ||||||||
| 2,000 | COP, NATL-RE, 5.000%, 07/01/17 | 2,166 | ||||||
| 1,000 | COP, NATL-RE, 5.000%, 07/01/18 | 1,077 | ||||||
| 1,065 | Pima County, Justice Building Project, Series A, COP, AMBAC, 5.000%, 07/01/16 | 1,149 | ||||||
| 1,570 | Scottsdale Municipal Property Corp., Rev., COP, 5.000%, 07/01/26 | 1,743 | ||||||
| 2,000 | State of Arizona, Department of Administration, Series A, COP, AGM, 5.250%, 10/01/23 | 2,083 | ||||||
University of Arizona, | ||||||||
| 1,365 | Series A, COP, AMBAC, 5.000%, 06/01/19 | 1,446 | ||||||
| 1,000 | Series B, COP, AMBAC, 5.000%, 06/01/21 | 1,040 | ||||||
| 145 | University of Arizona, Unrefunded Balance, Series A, COP, AMBAC, 5.500%, 06/01/17 | 152 | ||||||
| 13,445 | ||||||||
Education — 7.1% |
| |||||||
| 2,700 | Arizona School Facilities Board, State School Trust, Rev., AMBAC, 5.000%, 07/01/18 | 2,901 | ||||||
| 2,000 | Arizona State University, Rev., AGM, 5.250%, 07/01/15 | 2,125 | ||||||
| 1,520 | City of Glendale IDA, Midwestern University, Rev., 5.000%, 05/15/14 | 1,637 | ||||||
| 1,905 | Navajo County, Unified School District No. 20-Whiteriver, Project of 2005, Series A, Rev., NATL-RE, 5.000%, 07/01/18 | 2,129 | ||||||
| 8,792 | ||||||||
General Obligation — 14.2% |
| |||||||
| 1,090 | City of Mesa, GO, NATL-RE, FGIC, 5.375%, 07/01/14 | 1,216 | ||||||
| 1,000 | City of Scottsdale, Projects of 2000 & 2004, GO, 5.000%, 07/01/16 | 1,160 | ||||||
| 1,345 | City of Scottsdale, Unrefunded Balance, GO, 5.250%, 07/01/18 | 1,371 | ||||||
| 1,500 | City of Tucson, GO, NATL-RE, 5.000%, 07/01/18 | 1,689 | ||||||
| 1,000 | Maricopa County, High School District No. 210-Phoenix, GO, AGM, 5.250%, 07/01/19 | 1,146 | ||||||
| 1,265 | Maricopa County, School District No. 38-Madison Elementary, Project of 2004, Series A, GO, NATL-RE, 5.000%, 07/01/19 | 1,362 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — Continued | ||||||||
| 1,020 | Maricopa County, Unified School District No. 11-Peoria, Unrefunded Balance, School Improvement, GO, NATL-RE, FGIC, 4.750%, 07/01/14 | 1,030 | ||||||
| 1,000 | Maricopa County, Unified School District No. 69-Paradise Valley, Certificates of Ownership, Series A, GO, NATL-RE, FGIC, 5.250%, 07/01/14 | 1,107 | ||||||
| 1,560 | Pima County, Unified School District No. 12-Sunnyside, GO, AGM, 5.000%, 07/01/14 | 1,724 | ||||||
| 3,000 | Town of Gilbert, GO, NATL-RE, 5.000%, 07/01/16 | 3,419 | ||||||
| 2,100 | Town of Gilbert, Projects of 2006 & 2007, GO, 5.000%, 07/01/18 | 2,404 | ||||||
| 17,628 | ||||||||
Hospital — 5.3% |
| |||||||
Arizona Health Facilities Authority, Banner Health, | ||||||||
| 1,185 | Series A, Rev., 5.000%, 01/01/12 | 1,222 | ||||||
| 1,225 | Series A, Rev., 5.000%, 01/01/14 | 1,301 | ||||||
| 1,200 | City of Scottsdale IDA, Healthcare, Series A, Rev., 5.000%, 09/01/22 | 1,226 | ||||||
| 1,000 | City of Show Low IDA, Navapache Regional Medical Center, Series A, Rev., ACA, 5.500%, 12/01/17 | 1,001 | ||||||
| 1,000 | Scottsdale IDA, Healthcare, Series A, Rev., 5.000%, 09/01/15 | 1,078 | ||||||
| 695 | Yavapai County IDA, Yavapai Regional Medical Center, Series A, Rev., AGM, 5.125%, 12/01/13 | 697 | ||||||
| 6,525 | ||||||||
Housing — 0.0% (g) |
| |||||||
| 5 | Pima County IDA, Single Family Mortgage, Series A, Rev., 6.400%, 08/01/11 | 5 | ||||||
Other Revenue — 7.1% |
| |||||||
| 2,500 | Arizona Power Authority, Crossover, Series A, Rev., SO, 5.250%, 10/01/17 | 2,868 | ||||||
| 2,500 | Arizona Water Infrastructure Finance Authority, Series A, Rev., 5.000%, 10/01/17 | 2,889 | ||||||
| 1,000 | Greater Arizona Development Authority, Series A, Rev., NATL-RE, 5.000%, 08/01/22 | 1,017 | ||||||
| 2,000 | Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/27 | 1,993 | ||||||
| 8,767 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Prerefunded — 8.5% |
| |||||||
| 1,000 | Arizona School Facilities Board, Series A, COP, NATL-RE, 5.250%, 03/01/13 (p) | 1,089 | ||||||
| 1,000 | City of Phoenix, GO, 5.000%, 07/01/14 (p) | 1,133 | ||||||
| 6,450 | Maricopa County IDA, Capital Appreciation, Series 1983 A, Rev., Zero Coupon, 12/31/14 (p) | 6,003 | ||||||
| 2,000 | Scottsdale Municipal Property Corp., Rev., 5.000%, 07/01/16 (p) | 2,335 | ||||||
| 10,560 | ||||||||
Special Tax — 10.7% |
| |||||||
| 2,500 | City of Phoenix, Street & Highway, Capital Appreciation, Junior Lien, Series A, Rev., NATL-RE, FGIC, Zero Coupon, 07/01/12 | 2,450 | ||||||
| 1,125 | City of Tempe, Excise Tax, Rev., 5.000%, 07/01/16 | 1,270 | ||||||
| 3,000 | Phoenix Civic Improvement Corp., Sub Lien, Series B, Rev., NATL-RE, 5.000%, 07/01/15 | 3,315 | ||||||
Scottsdale Municipal Property Corp., | ||||||||
| 2,500 | Rev., 5.000%, 07/01/14 | 2,787 | ||||||
| 3,000 | Rev., 5.000%, 07/01/17 | 3,441 | ||||||
| 13,263 | ||||||||
Transportation — 9.1% |
| |||||||
Arizona Transportation Board, | ||||||||
| 2,000 | Series A, Rev., 5.000%, 07/01/24 | 2,125 | ||||||
| 2,000 | Series A, Rev., 5.250%, 07/01/17 | 2,145 | ||||||
| 3,000 | Series B, Rev., 5.250%, 07/01/18 | 3,147 | ||||||
| 1,000 | City of Mesa, Street & Highway, Rev., AGM, 5.000%, 07/01/12 | 1,054 | ||||||
| 1,000 | Tucson Airport Authority, Inc., Rev., AGM, 5.000%, 06/01/12 | 1,052 | ||||||
| 1,670 | Tucson Airport Authority, Inc., Sub Lien, Rev., AMT, NATL-RE, 5.000%, 12/01/18 | 1,705 | ||||||
| 11,228 | ||||||||
Utility — 7.2% |
| |||||||
| 3,000 | City of Mesa, Utility Systems, Rev., NATL-RE, FGIC, 5.000%, 07/01/20 | 3,337 | ||||||
Salt River Project Agricultural Improvement & Power District, | ||||||||
| 1,550 | Series A, Rev., 5.000%, 01/01/21 | 1,716 | ||||||
| 3,600 | Series A, Rev., 5.000%, 01/01/23 | 3,880 | ||||||
| 8,933 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Water & Sewer — 11.9% |
| |||||||
Arizona Water Infrastructure Finance Authority, Water Quality, | ||||||||
| 1,915 | Series A, Rev., 5.000%, 10/01/23 | 2,096 | ||||||
| 2,025 | Series A, Rev., 5.000%, 10/01/24 | 2,176 | ||||||
| 2,020 | Series A, Rev., 5.000%, 10/01/29 | 2,109 | ||||||
City of Scottsdale, Water & Sewer, | ||||||||
| 1,430 | Rev., 5.250%, 07/01/21 | 1,713 | ||||||
| 1,875 | Rev., 5.250%, 07/01/23 | 2,228 | ||||||
| 2,000 | Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/25 | 2,119 | ||||||
| 2,000 | Phoenix Civic Improvement Corp., Wastewater Systems, Senior Lien, Rev., 5.500%, 07/01/20 | 2,291 | ||||||
| 14,732 | ||||||||
Total Arizona | 113,878 | |||||||
Illinois — 0.8% |
| |||||||
Other Revenue — 0.8% |
| |||||||
| 1,000 | Railsplitter Tobacco Settlement Authority, Rev., 5.000%, 06/01/16 | 1,041 | ||||||
Pennsylvania — 0.9% |
| |||||||
Hospital — 0.9% |
| |||||||
| 1,000 | Allegheny County Hospital Development Authority, University of Pittsburgh Medical Center, Series A, Rev., 5.000%, 09/01/14 | 1,103 | ||||||
South Carolina — 0.9% |
| |||||||
Utility — 0.9% |
| |||||||
| 1,000 | South Carolina State Public Service Authority, Santee Cooper, Series A, Rev., 5.375%, 01/01/28 | 1,066 | ||||||
Texas — 4.3% |
| |||||||
General Obligation — 1.6% |
| |||||||
| 1,700 | Eagle Mountain & Saginaw Independent School District, School Building, GO, PSF-GTD, 5.000%, 08/15/20 | 1,903 | ||||||
Transportation — 2.7% |
| |||||||
| 3,000 | Texas State Transportation Commission, First Tier, Series A, Rev., 5.250%, 04/01/14 | 3,364 | ||||||
Total Texas | 5,267 | |||||||
Total Municipal Bonds | 122,355 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 17 | ||||||
Table of Contents
JPMorgan Arizona Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 0.6% |
| ||||||
Investment Company — 0.6% | ||||||||
| 710 | JPMorgan Tax Free Money Market Fund, Institutional Class Shares, | 710 | ||||||
Total Investments — 99.5% | 123,065 | |||||||
Other Assets in Excess of | 643 | |||||||
NET ASSETS — 100.0% | $ | 123,708 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Michigan Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Municipal Bonds — 97.6% |
| ||||||
Arizona — 2.7% |
| |||||||
Other Revenue — 1.8% |
| |||||||
| 2,000 | Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/23 | 2,042 | ||||||
Utility — 0.9% |
| |||||||
| 1,000 | Salt River Project Agricultural Improvement & Power District, Series A, Rev., 5.000%, 01/01/23 | 1,078 | ||||||
Total Arizona | 3,120 | |||||||
California — 0.9% |
| |||||||
Water & Sewer — 0.9% |
| |||||||
| 1,000 | San Diego Public Facilities Financing Authority, Series B, Rev., 5.500%, 05/15/23 | 1,094 | ||||||
Michigan — 89.1% |
| |||||||
Certificate of Participation/Lease — 4.0% |
| |||||||
| 1,800 | City of Detroit, Wayne County Stadium Authority, Rev., COP, NATL-RE, FGIC, 5.500%, 02/01/17 | 1,803 | ||||||
| 1,250 | Michigan State Building Authority, Facilities Program, Series I, Rev., COP, AGM, 5.250%, 10/15/15 | 1,350 | ||||||
| 1,500 | Michigan Strategic Fund, House of Representatives Facilities, Series A, Rev., COP, AGC, 5.250%, 10/15/20 | 1,579 | ||||||
| 4,732 | ||||||||
Education — 3.2% |
| |||||||
| 1,000 | Michigan Higher Education Student Loan Authority, Series XVII-A, Rev., AMBAC, 5.750%, 06/01/13 | 966 | ||||||
| 1,670 | Oakland University, Rev., AMBAC, 5.250%, 05/15/19 | 1,795 | ||||||
| 1,000 | Western Michigan University, Rev., NATL-RE, 5.000%, 11/15/19 | 1,047 | ||||||
| 3,808 | ||||||||
General Obligation — 29.4% |
| |||||||
| 1,675 | Charles Stewart Mott Community College, Community College Facilities, GO, NATL-RE, 5.000%, 05/01/20 | 1,779 | ||||||
| 1,000 | City of Dearborn School District, GO, NATL-RE, FGIC, Q-SBLF, 5.000%, 05/01/18 | 1,095 | ||||||
City of Jackson, Capital Appreciation, Downtown Development, | ||||||||
| 1,710 | GO, AGM, Zero Coupon, 06/01/17 | 1,277 | ||||||
| 2,060 | GO, AGM, Zero Coupon, 06/01/18 | 1,430 | ||||||
| 2,075 | East Grand Rapids Public School District, GO, AGM, Q-SBLF, 5.000%, 05/01/18 | 2,236 | ||||||
| 1,000 | Ecorse Public School District, GO, AGM, Q-SBLF, 5.250%, 05/01/20 | 1,081 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — Continued |
| |||||||
| 1,000 | Grand Blanc Community Schools, School Building & Site, GO, AGM, Q-SBLF, 5.000%, 05/01/15 | 1,081 | ||||||
| 2,660 | Hartland Consolidated School District, GO, Q-SBLF, 5.375%, 05/01/16 | 2,673 | ||||||
| 1,515 | Healthsource Saginaw, Inc., GO, NATL-RE, 5.000%, 05/01/20 | 1,594 | ||||||
| 1,600 | Howell Public Schools, School Building & Site, GO, Q-SBLF, 5.000%, 05/01/15 | 1,698 | ||||||
| 1,620 | Jackson Public Schools, School Building & Site, GO, AGM, Q-SBLF, 5.000%, 05/01/18 | 1,746 | ||||||
| 1,250 | Lansing Community College, Building & Site, GO, NATL-RE, 5.000%, 05/01/19 | 1,330 | ||||||
Lowell Area Schools, Capital Appreciation, | ||||||||
| 5,000 | GO, NATL-RE, FGIC, Q-SBLF, Zero Coupon, 05/01/14 | 4,613 | ||||||
| 1,425 | GO, NATL-RE, FGIC, Q-SBLF, Zero Coupon, 05/01/16 | 1,197 | ||||||
| 1,210 | Newaygo Public Schools, GO, NATL-RE, Q-SBLF, 5.000%, 05/01/22 | 1,270 | ||||||
| 1,910 | Pinckney Community Schools, GO, AGM, Q-SBLF, 5.000%, 05/01/19 | 2,037 | ||||||
| 1,935 | South Lyon Community Schools, Series II, GO, NATL-RE, FGIC, Q-SBLF, 5.000%, 05/01/21 | 2,011 | ||||||
| 1,500 | South Redford School District, School Building & Site, GO, NATL-RE, Q-SBLF, 5.000%, 05/01/21 | 1,559 | ||||||
| 1,450 | Southfield Library Building Authority, GO, NATL-RE, 5.000%, 05/01/19 | 1,581 | ||||||
| 1,175 | Wayne County, Downriver Sewer Disposal, Series B, GO, NATL-RE, 5.125%, 11/01/18 | 1,182 | ||||||
| 34,470 | ||||||||
Hospital — 6.6% |
| |||||||
| 1,000 | Michigan State Hospital Finance Authority, Ascension Health, Senior Care Group, Rev., 5.000%, 11/15/16 | 1,107 | ||||||
Michigan State Hospital Finance Authority, Oakwood Obligation Group, | ||||||||
| 2,000 | Series A, Rev., 5.000%, 07/15/14 | 2,111 | ||||||
| 1,030 | Series A, Rev., 5.000%, 07/15/17 | 1,070 | ||||||
| 960 | Michigan State Hospital Finance Authority, Port Huron Hospital Obligation, Rev., AGM, 5.375%, 07/01/12 | 963 | ||||||
Michigan State Hospital Finance Authority, Sparrow Obligation Group, | ||||||||
| 1,000 | Rev., 5.000%, 11/15/19 | 1,015 | ||||||
| 1,500 | Rev., NATL-RE, 5.000%, 11/15/19 | 1,539 | ||||||
| 7,805 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 19 | ||||||
Table of Contents
JPMorgan Michigan Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Housing — 2.1% |
| |||||||
Michigan State Housing Development Authority, Weston, Limited Obligation, | ||||||||
| 725 | Series A, Rev., GNMA COLL, 4.100%, 12/20/15 | 736 | ||||||
| 1,880 | Series A, Rev., GNMA COLL, 4.600%, 12/20/25 | 1,771 | ||||||
| 2,507 | ||||||||
Other Revenue — 2.5% |
| |||||||
| 1,610 | Michigan Finance Authority, Trinity Health, Series A, Rev., 5.000%, 12/01/16 | 1,789 | ||||||
| 1,055 | Michigan Municipal Bond Authority, Local Government Lien Program, Series 4-A, Rev., AMBAC, 5.000%, 05/01/16 | 1,109 | ||||||
| 2,898 | ||||||||
Prerefunded — 10.4% |
| |||||||
Michigan State Hospital Finance Authority, Mercy Health Services, | ||||||||
| 1,000 | Series R, Rev., AMBAC, 5.375%, 08/15/16 (p) | 1,004 | ||||||
| 3,795 | Series U, Rev., 5.625%, 08/15/16 (p) | 3,812 | ||||||
| 6,875 | Series W, Rev., AGM, 5.250%, 08/15/17 (p) | 6,900 | ||||||
| 415 | Tawas City Hospital Finance Authority, St. Joseph, Series A, Rev., RADIAN-IBCC, 5.600%, 02/15/13 (p) | 435 | ||||||
| 12,151 | ||||||||
Private Placement — 3.6% |
| |||||||
Chelsea Economic Development Corp., United Methodist Retirement, | ||||||||
| 1,075 | Rev., 5.400%, 11/15/18 (f) (i) | 1,071 | ||||||
| 2,000 | Rev., 5.400%, 11/15/27 (f) (i) | 1,783 | ||||||
| 1,240 | Michigan Higher Education Facilities Authority, Kettering University, Limited Obligation, Rev., AMBAC, 5.500%, 09/01/19 (f) (i) | 1,197 | ||||||
| 4,051 | ||||||||
Special Tax — 9.2% |
| |||||||
State of Michigan, | ||||||||
| 3,000 | Rev., AGM, 5.250%, 11/01/16 | 3,381 | ||||||
| 1,500 | Rev., AGM, 5.250%, 11/01/17 | 1,689 | ||||||
| 3,130 | Rev., AGM, 5.250%, 05/15/18 | 3,526 | ||||||
| 2,000 | Rev., AGM, 5.250%, 05/15/21 | 2,247 | ||||||
| 10,843 | ||||||||
Transportation — 1.0% |
| |||||||
| 1,000 | Michigan State Trunk Line, Rev., AGM, 5.250%, 11/01/20 | 1,109 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Utility — 2.2% |
| |||||||
| 1,245 | Michigan Public Power Agency, Combustion Turbine No. 1 Project, Series A, Rev., AMBAC, 5.250%, 01/01/14 | 1,278 | ||||||
| 1,170 | Michigan Strategic Fund, Detroit Pollution Fund, Series BB, Rev., AMBAC, 7.000%, 05/01/21 | 1,347 | ||||||
| 2,625 | ||||||||
Water & Sewer — 14.9% |
| |||||||
| 5,000 | City of Detroit, Capital Appreciation, Series A, Rev., NATL-RE, FGIC, Zero Coupon, 07/01/13 | 4,646 | ||||||
| 3,000 | City of Detroit, Water Supply System, Senior Lien, Series A, Rev., AGM, 5.000%, 07/01/17 | 3,192 | ||||||
| 1,670 | City of Grand Rapids, Sanitation Sewer System, Rev., 5.000%, 01/01/23 | 1,805 | ||||||
| 5,000 | Michigan Municipal Bond Authority, Clean Water Revolving Fund, Rev., 5.000%, 10/01/24 | 5,406 | ||||||
| 1,250 | Michigan Municipal Bond Authority, Drinking Water Revolving Fund, Rev., 5.000%, 10/01/18 | 1,372 | ||||||
| 1,000 | North Kent Sewer Authority, Rev., NATL-RE, 5.000%, 11/01/19 | 1,071 | ||||||
| 17,492 | ||||||||
Total Michigan | 104,491 | |||||||
New York — 1.3% |
| |||||||
Industrial Development Revenue/Pollution Control Revenue — 1.3% |
| |||||||
| 1,425 | New York State Dormitory Authority, Personal Income Tax, Series A, Rev., 5.250%, 02/15/27 | 1,516 | ||||||
Texas — 2.3% |
| |||||||
General Obligation — 0.9% |
| |||||||
| 1,000 | Conroe Independent School District, Series C, GO, PSF-GTD, 5.000%, 02/15/20 | 1,086 | ||||||
Water & Sewer — 1.4% |
| |||||||
| 1,500 | City of San Antonio, Rev., NATL-RE, 5.000%, 05/15/20 | 1,630 | ||||||
Total Texas | 2,716 | |||||||
Washington — 1.3% |
| |||||||
Water & Sewer — 1.3% |
| |||||||
| 1,500 | City of Seattle, Water Systems, Rev., NATL-RE, 5.000%, 09/01/22 | 1,591 | ||||||
Total Municipal Bonds | 114,528 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.7% |
| ||||||
Investment Company — 1.7% |
| |||||||
| 2,034 | JPMorgan Tax Free Money Market Fund, Institutional Class Shares, | 2,034 | ||||||
Total Investments — 99.3% | 116,562 | |||||||
Other Assets in Excess of | 768 | |||||||
NET ASSETS — 100.0% | $ | 117,330 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 21 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Municipal Bonds — 96.4% |
| ||||||
Alabama — 1.0% | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.1% |
| |||||||
| 1,290 | Fairfield Industrial Development Board, USX Corp. Project, Rev., VAR, 5.400%, 11/01/11 | 1,327 | ||||||
Other Revenue — 0.9% |
| |||||||
Alabama 21st Century Authority, Tobacco Settlement, | ||||||||
| 1,790 | Rev., 5.750%, 12/01/12 | 1,831 | ||||||
| 2,000 | Rev., 5.750%, 12/01/19 | 2,023 | ||||||
| 2,290 | Rev., 5.850%, 12/01/13 | 2,341 | ||||||
| 3,000 | Chatom Industrial Development Board, Power South Energy, Series B, Rev., 4.000%, 08/01/15 | 3,109 | ||||||
| 9,304 | ||||||||
Total Alabama | 10,631 | |||||||
Alaska — 1.9% |
| |||||||
Education — 0.6% |
| |||||||
Alaska Student Loan Corp., | ||||||||
| 3,000 | Series A-2, Rev., AMT, 5.000%, 06/01/18 | 3,144 | ||||||
| 3,000 | Series A-3, Rev., AMT, 5.000%, 06/01/13 | 3,183 | ||||||
| 6,327 | ||||||||
General Obligation — 0.9% |
| |||||||
| 3,160 | City of Anchorage Schools, Series B, GO, NATL-RE, 5.000%, 12/01/17 | 3,543 | ||||||
| 6,350 | City of North Slope Boro, Series A, GO, NATL-RE, Zero Coupon, 06/30/13 | 6,124 | ||||||
| 9,667 | ||||||||
Housing — 0.2% |
| |||||||
| 2,315 | Alaska Housing Finance Corp., Home Mortgage, Series A, Rev., AMT, NATL-RE, 5.000%, 06/01/36 | 2,385 | ||||||
Other Revenue — 0.2% |
| |||||||
| 2,315 | Northern Tobacco Securitization Corp., Series A, Rev., 4.625%, 06/01/23 | 2,117 | ||||||
Total Alaska | 20,496 | |||||||
Arizona — 3.1% |
| |||||||
Certificate of Participation/Lease — 0.8% |
| |||||||
| 2,100 | Arizona State University, Board of Regents, COP, NATL-RE, 5.000%, 07/01/15 | 2,297 | ||||||
Pinal County, | ||||||||
| 2,910 | COP, 5.250%, 12/01/19 | 3,008 | ||||||
| 3,065 | COP, 5.250%, 12/01/20 | 3,137 | ||||||
| 8,442 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Hospital — 0.5% |
| |||||||
| 2,000 | Arizona Health Facilities Authority, Banner Health, Series D, Rev., 5.000%, 01/01/13 | 2,096 | ||||||
| 1,000 | Gila County IDA, Cobre Valley Community Hospital, Rev., ACA, 6.000%, 12/01/20 | 765 | ||||||
| 3,000 | Scottsdale IDA, Healthcare, Series A, Rev., 5.000%, 09/01/16 | 3,219 | ||||||
| 6,080 | ||||||||
Housing — 0.3% |
| |||||||
| 260 | Arizona Housing Finance Authority, Series 2A, Rev., GNMA/FNMA/FHLMC, 5.625%, 07/01/34 | 260 | ||||||
Maricopa County IDA, Single Family Mortgage, | ||||||||
| 1,488 | Series 1B, Rev., VAR, GNMA/FNMA, 5.650%, 07/01/39 | 1,513 | ||||||
| 295 | Series 2B, Rev., GNMA/FNMA/FHLMC, 5.950%, 03/01/34 | 306 | ||||||
| 285 | Phoenix IDA, Single Family Mortgage, | 296 | ||||||
| 475 | Tucson & Prima Counties IDA, Single Family Mortgage, Series 1A, Rev., GNMA COLL, 5.625%, 07/01/34 | 475 | ||||||
| 2,850 | ||||||||
Other Revenue — 0.9% |
| |||||||
| 1,250 | Arizona School Facilities Board, State School Trust, Rev., AMBAC, 4.000%, 07/01/15 | 1,302 | ||||||
| 4,790 | Arizona Transportation Board, Regional Area Road Fund, Rev., 5.000%, 07/01/16 | 5,449 | ||||||
| 3,000 | Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.000%, 07/01/23 | 3,063 | ||||||
| 9,814 | ||||||||
Prerefunded — 0.3% |
| |||||||
| 3,595 | City of Phoenix, Series B, GO, 5.000%, 07/01/14 (p) | 3,789 | ||||||
Water & Sewer — 0.3% |
| |||||||
| 2,645 | City of Scottsdale, Rev., 5.250%, 07/01/22 | 3,163 | ||||||
Total Arizona | 34,138 | |||||||
Arkansas — 0.5% |
| |||||||
Housing — 0.1% |
| |||||||
| 700 | Arkansas Development Finance Authority, Single Family Mortgage, Series D, Rev., AMT, GNMA/FNMA, 5.500%, 01/01/37 | 736 | ||||||
Special Tax — 0.4% |
| |||||||
City of Fayetteville, Sales & Use Tax, | ||||||||
| 10 | Rev., AGM, 4.125%, 11/01/26 | 10 | ||||||
| 330 | Rev., AGM, 4.250%, 11/01/25 | 343 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Special Tax — Continued |
| |||||||
| 1,330 | City of Rogers, Water Revenue Improvement, Capital Improvement, GO, XLCA, 4.250%, 03/01/31 | 1,352 | ||||||
| 3,000 | City of Springdale, Sales & Use Tax, Rev., AGM, 4.250%, 07/01/23 | 3,007 | ||||||
| 4,712 | ||||||||
Total Arkansas | 5,448 | |||||||
California — 5.3% |
| |||||||
Certificate of Participation/Lease — 0.5% |
| |||||||
| 5,000 | Sacramento City Financing Authority, Rev., COP, NATL-RE, FGIC, 5.000%, 12/01/21 | 5,122 | ||||||
General Obligation — 2.2% |
| |||||||
| 1,000 | Alum Rock Union Elementary School District, Election of 2008, Series A, GO, AGC, 5.250%, 08/01/29 | 1,007 | ||||||
| 3,000 | Escondido Union High School District, Capital Appreciation, Series A, GO, AGC, Zero Coupon, 08/01/23 | 1,436 | ||||||
| 3,000 | Mount San Antonio Community College District, GO, Zero Coupon, 05/01/15 | 2,663 | ||||||
| 3,400 | Pasadena Area Community College District, Election of 2002, Series C, GO, AMBAC, Zero Coupon, 08/01/14 | 3,178 | ||||||
State of California, | ||||||||
| 5,000 | GO, 5.000%, 10/01/15 | 5,544 | ||||||
| 5,000 | GO, 5.125%, 04/01/23 | 5,089 | ||||||
| 5,000 | State of California, Various Purpose, GO, 5.000%, 03/01/14 | 5,443 | ||||||
| 24,360 | ||||||||
Hospital — 0.4% |
| |||||||
| 4,375 | Kaweah Delta Health Care District, Rev., 5.000%, 08/01/22 | 4,234 | ||||||
Housing — 0.9% |
| |||||||
| 1,480 | California Housing Finance Agency, Multi-Family Housing III, Series A, Rev., AMT, 5.375%, 08/01/28 | 1,404 | ||||||
California Rural Home Mortgage Finance Authority, Single Family Mortgage, Mortgage-Backed Security Program, | ||||||||
| 20 | Series A, Rev., GNMA/FNMA, 5.000%, 12/01/11 | 20 | ||||||
| 1,375 | Series A, Rev., GNMA/FNMA/FHLMC, 5.400%, 12/01/36 | 1,389 | ||||||
| 4,465 | California Statewide Communities Development Authority, Poinsettia Apartments, Series B, Rev., VAR, LIQ: FNMA, 4.750%, 06/15/11 | 4,510 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — Continued |
| |||||||
| 3,000 | State of California, Veterans, GO, 4.900%, 12/01/25 | 2,779 | ||||||
| 10,102 | ||||||||
Other Revenue — 0.8% |
| |||||||
| 2,155 | Bay Area Toll Authority, California Toll Sanitary Francisco Bay Area, Series F, Rev., 5.000%, 04/01/25 | 2,262 | ||||||
| 2,780 | California Statewide Communities Development Authority, Inland Regional Center Project, Rev., 5.000%, 12/01/17 | 2,828 | ||||||
| 1,000 | Golden State Tobacco Securitization Corp., Asset-Backed, Series A-1, Rev., 5.000%, 06/01/15 | 1,010 | ||||||
| 2,000 | San Diego Public Facilities Financing Authority, Series A, Rev., 5.250%, 08/01/26 | 2,090 | ||||||
| 8,190 | ||||||||
Transportation — 0.4% |
| |||||||
| 4,000 | San Francisco City & County Airports Commission, Series 34E, Rev., AMT, AGM, 5.750%, 05/01/21 | 4,372 | ||||||
Water & Sewer — 0.1% |
| |||||||
| 1,050 | San Diego Public Facilities Financing Authority, Series B, Rev., 5.500%, 05/15/23 | 1,149 | ||||||
Total California | 57,529 | |||||||
Colorado — 3.2% |
| |||||||
General Obligation — 0.8% |
| |||||||
| 1,000 | Adams & Arapahoe Joint School District 28J Aurora, GO, NATL-RE, 5.250%, 12/01/25 | 1,054 | ||||||
| 2,925 | Douglas County School District No. Re-1, Douglas & Elbert Counties, GO, 5.250%, 12/15/20 | 3,422 | ||||||
| 4,000 | Jefferson County School District R-001, GO, 5.000%, 12/15/18 | 4,612 | ||||||
| 9,088 | ||||||||
Hospital — 0.8% |
| |||||||
| 6,290 | Colorado Health Facilities Authority, Adventist Health, Unrefunded Balance, Series E, Rev., VAR, 5.125%, 11/15/25 | 6,292 | ||||||
| 2,415 | Colorado Health Facilities Authority, Parkview Medical Center Project, Series B, Rev., 5.000%, 09/01/22 | 2,408 | ||||||
| 8,700 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 23 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Housing — 0.8% |
| |||||||
| 985 | Colorado Housing & Facilities Finance Authority, Capital Appreciation, Single Family Program, Series C-1, Rev., AMT, Zero Coupon, 11/01/29 | 327 | ||||||
Colorado Housing & Facilities Finance Authority, Multi-Family Project, | ||||||||
| 550 | Series C-3, Class I, Rev., AMT, 4.450%, 04/01/11 | 552 | ||||||
| 825 | Series C-3, Class I, Rev., AMT, 4.550%, 10/01/12 | 851 | ||||||
| 820 | Series C-3, Class I, Rev., AMT, 4.650%, 10/01/13 | 842 | ||||||
Colorado Housing & Facilities Finance Authority, Single Family Program, | ||||||||
| 85 | Series B-2, Rev., NATL-RE-IBC, 6.800%, 04/01/30 | 86 | ||||||
| 780 | Series C-2, Rev., AMT, FHA/VA MTGS, 7.050%, 04/01/31 | 814 | ||||||
| 2,074 | Denver City & County, Single Family Mortgage, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.550%, 12/01/39 | 2,158 | ||||||
Denver City & County, Single Family Mortgage, Metropolitan Mayors Caucus, | ||||||||
| 110 | Rev., GNMA/FNMA/FHLMC COLL, 6.000%, 05/01/27 | 111 | ||||||
| 260 | Rev., GNMA/FNMA/FHLMC COLL, 6.150%, 11/01/34 | 268 | ||||||
| 120 | Series A, Rev., GNMA/FNMA/FHLMC COLL, 7.300%, 11/01/31 | 122 | ||||||
| 1,576 | El Paso County, Single Family Mortgage, Series A, Rev., VAR, GNMA/FNMA, 5.350%, 06/01/39 | 1,630 | ||||||
| 755 | El Paso County, Single Family Mortgage, Southern Front Range, Series E, Rev., AMT, GNMA/FNMA/FHLMC, 5.850%, 04/01/41 | 797 | ||||||
| 8,558 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.2% |
| |||||||
| 1,920 | City of Aurora, McKesson Corp. Project, Series A, Rev., VAR, 5.375%, 12/01/11 | 1,926 | ||||||
Prerefunded — 0.0% (g) |
| |||||||
| 135 | Colorado Health Facilities Authority, Adventist Health, Series E, Rev., 5.000%, 11/15/13 (p) | 151 | ||||||
Private Placement — 0.0% (g) |
| |||||||
| 132 | IDK Partners III Trust, Pass-Through Certificates, 5.100%, 08/01/23 (f) (i) | 132 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Transportation — 0.6% | ||||||||
Denver City & County, Airport, | ||||||||
| 2,410 | Series D, Rev., AGM, 5.500%, 11/15/13 | 2,488 | ||||||
| 1,000 | Series D, Rev., AGM, 5.500%, 11/15/15 | 1,031 | ||||||
| 2,500 | Series D, Rev., AGM, 5.500%, 11/15/16 | 2,574 | ||||||
| 675 | Denver City & County, Special Facilities, Airport, Rental Car Project, Series A, Rev., NATL-RE, 6.000%, 01/01/13 | 677 | ||||||
| 6,770 | ||||||||
Total Colorado | 35,325 | |||||||
Connecticut — 0.4% |
| |||||||
Other Revenue — 0.4% |
| |||||||
Connecticut State Higher Education Supplement Loan Authority, Chesla Loan Program, | ||||||||
| 1,385 | Series A, Rev., 5.000%, 11/15/16 | 1,551 | ||||||
| 1,560 | Series A, Rev., 5.250%, 11/15/23 | 1,676 | ||||||
| 1,500 | Series A, Rev., 5.250%, 11/15/24 | 1,593 | ||||||
Total Connecticut | 4,820 | |||||||
Delaware — 0.5% |
| |||||||
Housing — 0.5% |
| |||||||
Delaware State Housing Authority, Single Family Mortgage, | ||||||||
| 600 | Series A-1, Rev., AMBAC, 5.170%, 01/01/30 | 622 | ||||||
| 3,480 | Series C-1, Rev., AMT, GNMA/FNMA/FHLMC, 5.550%, 07/01/39 | 3,689 | ||||||
| 700 | Series D-1, Rev., AMT, 4.625%, 01/01/23 | 709 | ||||||
Total Delaware | 5,020 | |||||||
District of Columbia — 1.1% |
| |||||||
Housing — 0.1% |
| |||||||
| 1,140 | District of Columbia Housing Finance Agency, Single Family Program, Series B, Rev., AMT, 5.625%, 06/01/35 | 1,178 | ||||||
Other Revenue — 0.3% |
| |||||||
District of Columbia, Income Tax, | ||||||||
| 1,500 | Series A, Rev., 5.000%, 12/01/18 | 1,739 | ||||||
| 1,650 | Series B, Rev., 5.250%, 12/01/29 | 1,755 | ||||||
| 3,494 | ||||||||
Transportation — 0.7% |
| |||||||
| 3,000 | Metropolitan Washington Airports Authority, Series A, Rev., AMT, 5.500%, 10/01/21 | 3,226 | ||||||
| 4,000 | Washington Metropolitan Area Transit Authority, Series A, Rev., 5.250%, 07/01/25 | 4,249 | ||||||
| 7,475 | ||||||||
Total District of Columbia | 12,147 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Florida — 6.8% |
| |||||||
Certificate of Participation/Lease — 0.6% |
| |||||||
| 4,000 | Collier County School Board, COP, AGM, 5.250%, 02/15/21 | 4,329 | ||||||
| 2,000 | Miami-Dade County School Board, Series A, COP, NATL-RE, FGIC, 5.000%, 05/01/15 | 2,159 | ||||||
| 6,488 | ||||||||
Education — 0.5% |
| |||||||
Capital Projects Finance Authority, Capital Projects Loan Program, | ||||||||
| 2,385 | Series F-1, Rev., NATL-RE, 5.500%, 10/01/13 | 2,382 | ||||||
| 2,880 | Series F-1, Rev., NATL-RE, 5.500%, 10/01/14 | 2,854 | ||||||
| 5,236 | ||||||||
General Obligation — 0.1% |
| |||||||
| 1,250 | Florida State Board Education, Public Education Capital Outlay 2004, Series C, GO, 5.000%, 06/01/24 | 1,310 | ||||||
Hospital — 0.5% |
| |||||||
| 500 | Highlands County Health Facilities Authority, Adventist Health, Series A, Rev., VAR, 5.000%, 11/15/16 | 544 | ||||||
| 5,000 | South Miami Health Facilities Authority, Baptist Health South Florida Group, Rev., 5.000%, 08/15/21 | 5,133 | ||||||
| 5,677 | ||||||||
Housing — 1.7% |
| |||||||
| 1,330 | Broward County Housing Finance Authority, Series B, Rev., AMT, 4.500%, 04/01/27 | 1,338 | ||||||
| 1,940 | Escambia County, Housing Finance Authority, Single Family Mortgage, Multi-County Program, Series A, Rev., GNMA/FNMA/FHLMC FHA/VA GTD, 4.800%, 10/01/38 | 1,939 | ||||||
| 4,245 | Florida Housing Finance Corp., Homeowner Mortgage, Series A-1, Rev., GNMA/FNMA/FHLMC COLL, 5.000%, 07/01/28 | 4,517 | ||||||
| 2,000 | Florida Housing Finance Corp., Homeowner Mortgage Special Program, Series A, Rev., GNMA/FNMA/FHLMC, 5.000%, 07/01/28 | 2,121 | ||||||
Hillsborough County Housing Finance Authority, | ||||||||
| 1,245 | Rev., AMT, GNMA/FMNA/FHLMC, 5.200%, 04/01/38 | 1,283 | ||||||
| 1,020 | Series 2, Rev., AMT, GNMA/FMNA/FHLMC, 4.400%, 10/01/27 | 1,024 | ||||||
| 680 | Miami-Dade County Housing Finance Authority, Home Ownership Mortgage, Series A-1, Rev., GNMA/FNMA, 5.300%, 10/01/36 | 698 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — Continued |
| |||||||
| 440 | Orange County, Housing Finance Authority, Series B, Rev., AMT, GNMA/FNMA, 5.400%, 09/01/32 | 462 | ||||||
| 1,680 | Orange County, Housing Finance Authority, Multi-County Program, Series A, Rev., AMT, GNMA, 5.125%, 09/01/38 | 1,749 | ||||||
Pinellas County Housing Finance Authority, Multi-County Program, | ||||||||
| 1,530 | Series A-2, Rev., AMT, GNMA/FMNA/FHLMC, 4.900%, 09/01/27 | 1,517 | ||||||
| 1,230 | Series B-1, Rev., GNMA/FNMA, 5.200%, 03/01/36 | 1,250 | ||||||
| 17,898 | ||||||||
Other Revenue — 0.5% |
| |||||||
| 2,000 | Florida Housing Finance Corp., Homeowner Mortgage, Series B, Rev., GNMA, 4.500%, 01/01/29 | 2,106 | ||||||
| 2,900 | Florida Water Pollution Control Financing Corp., Water Pollution Control, Series A, Rev., 5.000%, 07/15/22 | 3,239 | ||||||
| 5,345 | ||||||||
Resource Recovery — 0.1% |
| |||||||
| 1,135 | Lee County, Solid Waste System, Rev., NATL-RE, 5.625%, 10/01/13 | 1,157 | ||||||
Special Tax — 0.2% |
| |||||||
| 2,900 | Miami-Dade County, Sub Series A, Rev., NATL-RE, Zero Coupon, 10/01/16 | 2,202 | ||||||
Transportation — 1.2% |
| |||||||
Hillsborough County Aviation Authority, Tampa International Airport, | ||||||||
| 3,890 | Series A, Rev., NATL-RE, 5.375%, 10/01/16 | 4,129 | ||||||
| 5,000 | Series A, Rev., NATL-RE, 5.500%, 10/01/15 | 5,371 | ||||||
| 3,000 | Miami-Dade County, Miami International Airport, Series B, Rev., AMT, AGM-CR, CIFG, 5.000%, 10/01/16 | 3,234 | ||||||
| 12,734 | ||||||||
Utility — 0.9% |
| |||||||
| 5,000 | City of Port St. Lucie, Rev., NATL-RE, 5.250%, 09/01/24 | 5,130 | ||||||
| 4,640 | Fort Pierce Utilities Authority, Rev., AMBAC, 5.000%, 10/01/15 | 4,918 | ||||||
| 10,048 | ||||||||
Water & Sewer — 0.5% |
| |||||||
| 5,000 | Tampa Bay Water Utility System, Rev., NATL-RE, FGIC, 5.500%, 10/01/22 | 5,819 | ||||||
Total Florida | 73,914 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 25 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Georgia — 1.2% |
| |||||||
Certificate of Participation/Lease — 0.5% |
| |||||||
| 5,000 | Gwinnett County Development Authority, Public Schools Project, COP, NATL-RE, 5.250%, 01/01/22 | 5,596 | ||||||
General Obligation — 0.5% |
| |||||||
| 5,000 | Fulton County School District, GO, 5.500%, 01/01/21 | 5,983 | ||||||
Housing — 0.2% |
| |||||||
| 1,990 | Atlanta Urban Residential Finance Authority, Multi-Family Housing, Mortgage-Backed Securities, Series B, Rev., GNMA/FNMA/FHLMC, 5.500%, 03/01/41 | 2,023 | ||||||
Total Georgia | 13,602 | |||||||
Hawaii — 0.4% |
| |||||||
General Obligation — 0.4% |
| |||||||
City & County of Honolulu, |
| |||||||
| 1,470 | Series D, GO, 5.250%, 09/01/26 | 1,593 | ||||||
| 2,900 | Series D, GO, 5.250%, 09/01/27 | 3,118 | ||||||
Total Hawaii | 4,711 | |||||||
Idaho — 0.1% |
| |||||||
Housing — 0.1% |
| |||||||
| 650 | Idaho Housing & Finance Association, Series A, Class III, Rev., 5.550%, 07/01/20 | 667 | ||||||
Idaho Housing & Finance Association, Single Family Mortgage, | ||||||||
| 35 | Series D, Rev., FHA/VA MTGS, 6.450%, 07/01/14 | 35 | ||||||
| 80 | Series E-2, Rev., 5.950%, 07/01/14 | 80 | ||||||
| 95 | Series H, Rev., FHA/VA MTGS, 6.050%, 07/01/14 | 96 | ||||||
| 15 | Sub Series A, Rev., FHA/VA MTGS, 5.350%, 07/01/11 | 15 | ||||||
| 893 | ||||||||
Total Idaho | 893 | |||||||
Illinois — 4.3% |
| |||||||
General Obligation — 1.4% |
| |||||||
Chicago Board of Education, | ||||||||
| 3,000 | Series C, GO, 5.250%, 12/01/24 | 3,016 | ||||||
| 2,000 | Series C, GO, AGC-ICC, 5.250%, 12/01/26 | 1,987 | ||||||
| 350 | City of Chicago Heights, Series A, GO, NATL-RE, FGIC, 5.650%, 12/01/16 | 354 | ||||||
| 1,315 | City of Chicago, Unrefunded Balance, Series A, GO, AGM, 5.250%, 01/01/19 | 1,399 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — Continued |
| |||||||
| 8,680 | State of Illinois, Series 1, GO, NATL-RE, FGIC, 6.000%, 11/01/26 | 9,011 | ||||||
| 15,767 | ||||||||
Hospital — 0.1% |
| |||||||
| 1,500 | Illinois Finance Authority, OSF Healthcare Systems, Rev., 5.250%, 11/15/23 | 1,431 | ||||||
Housing — 1.8% |
| |||||||
City of Aurora, Single Family Mortgage, | ||||||||
| 1,661 | Series A, Rev., AMT, GNMA/FNMA/FHLMC FHA/VA GTD, 5.500%, 12/01/39 | 1,628 | ||||||
| 1,738 | Series B, Rev., GNMA/FNMA/FHLMC, 5.450%, 12/01/39 | 1,813 | ||||||
City of Chicago, Single Family Mortgage, | ||||||||
| 1,110 | Series B, Rev., GNMA/FNMA/FHLMC COLL, 6.000%, 10/01/33 | 1,152 | ||||||
| 1,990 | Series C, Rev., GNMA/FNMA, 5.750%, 12/01/42 | 2,102 | ||||||
| 2,890 | Series E, Rev., GNMA/FNMA/FHLMC, 5.500%, 12/01/42 | 3,028 | ||||||
| 2,480 | Series K, Rev., GNMA/FNMA/FHLMC, 5.350%, 06/01/43 | 2,576 | ||||||
Illinois Developmental Finance Authority, Multi-Family Housing, Lincoln Place, | ||||||||
| 2,385 | Series A, Rev., GNMA COLL, 6.500%, 07/20/15 | 2,511 | ||||||
| 4,465 | Series A, Rev., GNMA COLL, 6.600%, 07/20/21 | 4,695 | ||||||
| 45 | Peoria, Moline & Freeport, Single Family Collateral Mortgage, Series A, Rev., GNMA COLL/FHA/VA MTGS, 7.600%, 04/01/27 | 46 | ||||||
| 19,551 | ||||||||
Other Revenue — 0.4% |
| |||||||
| 1,000 | Illinois Finance Authority, Gas Supply, Peoples Gas Light & Coke, Rev., VAR, 2.125%, 07/01/14 | 977 | ||||||
Railsplitter Tobacco Settlement Authority, | ||||||||
| 1,500 | Rev., 5.000%, 06/01/19 | 1,458 | ||||||
| 1,500 | Rev., 5.250%, 06/01/20 | 1,471 | ||||||
| 3,906 | ||||||||
Transportation — 0.6% |
| |||||||
| 5,980 | Chicago O’Hare International Airport, 3rd Lien, Series C, Rev., AMT, NATL-RE, 5.250%, 01/01/23 | 5,933 | ||||||
| 100 | City of Chicago, Midway Airport, Series A, Rev., AMT, AGM, 5.125%, 01/01/26 | 97 | ||||||
| 6,030 | ||||||||
Total Illinois | 46,685 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Indiana — 2.5% |
| |||||||
General Obligation — 0.1% |
| |||||||
| 1,400 | Indiana Housing & Community Development Authority, Home First Program, Series A, GO, GNMA/FNMA/COLL, 4.500%, 06/01/28 | 1,475 | ||||||
Hospital — 0.4% |
| |||||||
Indiana Health & Educational Facilities Finance Authority, Baptist Homes of Indiana, | ||||||||
| 805 | Rev., 5.000%, 11/15/12 | 834 | ||||||
| 1,095 | Rev., 5.000%, 11/15/15 | 1,145 | ||||||
| 1,000 | Rev., 5.250%, 11/15/25 | 949 | ||||||
| 1,750 | Indiana Health Facility Financing Authority, Ascension Health, Series A-1, Rev., VAR, 5.000%, 05/01/13 | 1,879 | ||||||
| 4,807 | ||||||||
Housing — 0.4% |
| |||||||
Indiana Housing & Community Development Authority, | ||||||||
| 2,580 | Series B-2, Rev., GNMA/FNMA, 5.000%, 07/01/36 | 2,627 | ||||||
| 1,555 | Series C-2, Rev., GNMA/FNMA, 5.000%, 01/01/36 | 1,592 | ||||||
| 4,219 | ||||||||
Other Revenue — 0.9% |
| |||||||
| 2,000 | Indiana Finance Authority, Ascension Health, Series A-8, Rev., VAR, 5.000%, 07/28/16 | 2,238 | ||||||
| 4,790 | Indiana State Finance Authority Revenue, State Revolving Fund Program, Series B, Rev., 5.000%, 02/01/27 | 5,001 | ||||||
| 2,000 | Indianapolis Local Public Improvement Bond Bank, Pilot Infrastructure Project, Series F, Rev., AGM, 5.000%, 01/01/27 | 2,063 | ||||||
| 9,302 | ||||||||
Transportation — 0.3% |
| |||||||
| 3,000 | Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series F, Rev., AMBAC, 5.250%, 01/01/14 | 3,231 | ||||||
Water & Sewer — 0.4% |
| |||||||
| 4,050 | Indianapolis Local Public Improvement Bond Bank, Waterworks Project, Series F, Rev., NATL-RE, 5.000%, 07/01/19 | 4,315 | ||||||
Total Indiana | 27,349 | |||||||
Iowa — 0.1% |
| |||||||
Housing — 0.1% |
| |||||||
| 880 | Iowa Finance Authority, Mortgage-Backed Securities Program, Series 1, Rev., GNMA/FNMA/FHLMC, 5.000%, 07/01/28 | 933 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Kansas — 1.2% |
| |||||||
Housing — 1.2% |
| |||||||
Sedgwick & Shawnee Counties, Single Family Mortgage, | ||||||||
| 2,205 | Series A, Rev., GNMA/FNMA, 5.400%, 12/01/37 | 2,296 | ||||||
| 960 | Series A-3, Rev., GNMA/FNMA, 5.500%, 06/01/28 | 1,015 | ||||||
| 475 | Series A-3, Rev., GNMA/FNMA, 5.650%, 06/01/37 | 495 | ||||||
Sedgwick & Shawnee Counties, Single Family Mortgage-Backed Securities Program, | ||||||||
| 620 | Series A, Rev., GNMA/FNMA, 6.050%, 06/01/27 | 661 | ||||||
| 2,990 | Series A, Rev., GNMA/FNMA/FHLMC, 5.450%, 06/01/38 | 3,112 | ||||||
| 2,330 | Series A-4, Rev., GNMA/FNMA/FHLMC, 5.850%, 06/01/39 | 2,443 | ||||||
| 1,990 | Series B-2, Rev., GNMA/FNMA/FHLMC, 5.250%, 12/01/38 | 2,069 | ||||||
| 825 | Series B-3, Rev., GNMA/FNMA, 5.850%, 12/01/34 | 848 | ||||||
Total Kansas | 12,939 | |||||||
Kentucky — 0.4% |
| |||||||
Housing — 0.4% |
| |||||||
| 4,250 | Kentucky Housing Corp., Series A, Rev., 5.000%, 01/01/27 | 4,536 | ||||||
Louisiana — 2.6% |
| |||||||
Certificate of Participation/Lease — 0.1% |
| |||||||
| 1,000 | Louisiana State Military Department, CR, Rev., COP, 5.000%, 08/01/15 | 1,092 | ||||||
Hospital — 0.9% |
| |||||||
| 5,000 | Louisiana Public Facilities Authority, Franciscan Missionaries, Series A, Rev., AGM, 5.750%, 07/01/18 | 5,394 | ||||||
St. Tammany Parish Hospital Service District No. 2, | ||||||||
| 540 | Series B, GO, RADIAN, 5.250%, 03/01/11 | 540 | ||||||
| 515 | Series B, GO, RADIAN, 5.250%, 03/01/12 | 530 | ||||||
| 400 | St. Tammany Parish Public Trust Financing Authority, Christwood Project, Rev., 5.700%, 11/15/18 | 371 | ||||||
Tangipahoa Parish Hospital Service District No. 1, North Oaks Medical Center Project, | ||||||||
| 2,000 | Series A, Rev., 5.375%, 02/01/14 | 2,087 | ||||||
| 1,190 | Series A, Rev., 5.375%, 02/01/16 | 1,226 | ||||||
| 10,148 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 27 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Housing — 0.6% |
| |||||||
Calcasieu Parish Public Transportation Authority, Single Family Mortgage, | ||||||||
| 175 | Series B, Rev., GNMA/FNMA, 5.000%, 04/01/28 | 179 | ||||||
| 2,410 | Series B, Rev., AMT, GNMA/FNMA/FHLMC, 5.350%, 09/01/38 | 2,487 | ||||||
| 533 | East Baton Rouge Mortgage Finance Authority, Mortgage-Backed Securities Program, Series A-2, Rev., GNMA/FNMA/FHLMC, 5.250%, 10/01/39 | 571 | ||||||
Jefferson Parish Finance Authority, Single Family Mortgage, | ||||||||
| 510 | Series B-1, Rev., GNMA/FNMA/COLL, 6.650%, 12/01/33 | 540 | ||||||
| 2,155 | Series C, Rev., GNMA/FNMA, 4.500%, 12/01/24 | 2,161 | ||||||
| 695 | Louisiana Housing Finance Agency, Single Family Home Ownership Program, Series A, Rev., GNMA/FNMA/FHLMC, 5.500%, 06/01/40 | 713 | ||||||
| 6,651 | ||||||||
Other Revenue — 0.3% |
| |||||||
| 2,930 | State of Louisiana, Gas And Fuels Tax, Second Lien, Series B, Rev., 5.000%, 05/01/26 | 3,068 | ||||||
Utility — 0.7% |
| |||||||
Louisiana Energy & Power Authority, | ||||||||
| 4,320 | Rev., AGM, 5.750%, 01/01/12 | 4,507 | ||||||
| 2,290 | Rev., AGM, 5.750%, 01/01/13 | 2,484 | ||||||
| 6,991 | ||||||||
Total Louisiana | 27,950 | |||||||
Maryland — 2.1% |
| |||||||
General Obligation — 1.9% |
| |||||||
| 5,000 | Montgomery County, Public Improvement, Series A, GO, 5.000%, 08/01/18 | 5,891 | ||||||
State of Maryland, | ||||||||
| 4,225 | Series B, GO, 5.000%, 03/01/18 | 4,967 | ||||||
| 3,000 | Series B, GO, 5.000%, 03/01/19 | 3,537 | ||||||
| 6,000 | State of Maryland, State and Local Facilities Lien, Series 1, GO, 5.000%, 03/15/17 (p) | 7,006 | ||||||
| 21,401 | ||||||||
Housing — 0.2% |
| |||||||
| 640 | Baltimore County, Multi-Family Housing, Compound Interest, Series A, Rev., FHA, Zero Coupon, 09/01/24 | 308 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — Continued |
| |||||||
| 810 | Montgomery County Housing Opportunites Commission, Single Family Mortgage, Series D, Rev., AMT, 5.500%, 01/01/38 | 844 | ||||||
| 610 | Prince Georges County, Housing Authority, Bristol Pines Apartments Project, Rev., FNMA, 4.500%, 12/15/15 | 637 | ||||||
| 100 | Prince Georges County, Housing Authority, Single Family Mortgage, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.600%, 12/01/34 | 100 | ||||||
| 1,889 | ||||||||
Total Maryland | 23,290 | |||||||
Massachusetts — 2.3% |
| |||||||
Education — 0.2% |
| |||||||
Massachusetts Health & Educational Facilities Authority, Springfield College, | ||||||||
| 1,050 | Rev., 5.000%, 10/15/15 | 1,150 | ||||||
| 1,060 | Rev., 5.000%, 10/15/17 | 1,160 | ||||||
| 2,310 | ||||||||
General Obligation — 0.8% |
| |||||||
Commonwealth of Massachusetts, | ||||||||
| 5,250 | Series A, GO, 5.000%, 08/01/24 | 5,609 | ||||||
| 2,500 | Series B, GO, AGM, 5.250%, 09/01/21 | 2,925 | ||||||
| 8,534 | ||||||||
Housing — 0.8% |
| |||||||
| 3,725 | Boston Housing Authority, Rev., AGM, 5.000%, 04/01/16 | 4,026 | ||||||
| 1,000 | Massachusetts Housing Finance Agency, Single Family Housing, Series 124, Rev., AMT, 4.900%, 12/01/21 | 1,009 | ||||||
New Bedford Housing Authority, Capital Funding Program, | ||||||||
| 675 | Series A, Rev., 3.400%, 10/01/11 | 686 | ||||||
| 700 | Series A, Rev., 3.600%, 10/01/12 | 727 | ||||||
| 725 | Series A, Rev., 3.750%, 10/01/13 | 766 | ||||||
| 750 | Series A, Rev., 3.900%, 10/01/14 | 800 | ||||||
| 8,014 | ||||||||
Water & Sewer — 0.5% |
| |||||||
| 5,000 | Massachusetts State Water Pollution Abatement, MWRA Program, Rev., 5.250%, 08/01/24 | 5,759 | ||||||
Total Massachusetts | 24,617 | |||||||
Michigan — 2.8% |
| |||||||
Education — 0.4% |
| |||||||
| 4,000 | University of Michigan, Series C, Rev., 5.000%, 04/01/18 | 4,679 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Hospital — 1.2% |
| |||||||
| 2,055 | Kent Hospital Finance Authority, Spectrum Health, Series A, Rev., VAR, 5.000%, 01/15/12 | 2,130 | ||||||
| 1,000 | Michigan State Hospital Finance Authority, Ascension Health, Senior Care Group, Rev., 5.000%, 11/15/16 | 1,107 | ||||||
Michigan State Hospital Finance Authority, Oakwood Obligation Group, | ||||||||
| 5,000 | Rev., 5.500%, 11/01/17 | 5,145 | ||||||
| 2,500 | Series A, Rev., 5.000%, 07/15/15 | 2,642 | ||||||
| 2,500 | Saginaw Hospital Finance Authority, Covenant Medical Center, Series G, Rev., 5.125%, 07/01/22 | 2,494 | ||||||
| 13,518 | ||||||||
Housing — 0.5% |
| |||||||
Michigan State Housing Development Authority, | ||||||||
| 3,185 | Series A, Rev., AMT, 5.000%, 06/01/30 | 3,264 | ||||||
| 2,030 | Series D, Rev., AMT, AGM, 4.950%, 04/01/21 | 2,040 | ||||||
| 5,304 | ||||||||
Other Revenue — 0.2% |
| |||||||
| 1,705 | Saginaw County Economic Development Corp., BGI South LLC-Recovery Zone, Rev., 5.000%, 12/01/20 | 1,730 | ||||||
Water & Sewer — 0.5% |
| |||||||
| 5,430 | City of Detroit, Water Supply System, Senior Lien, Series A, Rev., AGM, 5.000%, 07/01/17 | 5,777 | ||||||
Total Michigan | 31,008 | |||||||
Minnesota — 3.1% |
| |||||||
General Obligation — 1.0% |
| |||||||
| 3,360 | Minneapolis St. Paul Housing Finance Board, Mortgage-Backed, City Living, Series A-2, GO, GNMA/FNMA/FHLMC, 5.520%, 03/01/41 | 3,454 | ||||||
| 1,925 | Minnesota Housing Finance Agency, Non Amount, Non Ace Mortgage-Backed, GO, GNMA/FNMA/FHLMC COLL, 4.250%, 07/01/28 | 1,989 | ||||||
| 4,465 | State of Minnesota, Various Purpose, Series K, GO, 5.000%, 11/01/20 | 5,208 | ||||||
| 10,651 | ||||||||
Housing — 1.5% |
| |||||||
| 4,763 | Dakota County Community Development Agency, Mortgage-Backed Securities Program, Series A, Rev., GNMA/FNMA/FHLMC, 5.125%, 12/01/40 | 4,906 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — Continued |
| |||||||
| 677 | Dakota County Community Development Agency, Single Family Mortgage, Series B, Rev., GNMA/FMNA/FHLMC, 5.150%, 12/01/38 | 690 | ||||||
| 3,492 | Minneapolis & St. Paul Housing Finance Board, Mortgage-Backed Securities Program, City Living, Series A-1, Rev., GNMA/FNMA/FHLMC, 5.250%, 12/01/40 | 3,616 | ||||||
| 1,505 | Minneapolis Community Development Agency, Multi-Family Housing, Riverside Homes Project, Rev., 6.100%, 09/01/19 | 1,509 | ||||||
Minnesota Housing Finance Agency, Residential Housing Finance, | ||||||||
| 1,105 | Series D, Rev., VAR, AMT, 5.500%, 01/01/38 | 1,156 | ||||||
| 4,195 | Series L, Rev., AMT, 5.500%, 07/01/48 | 4,408 | ||||||
| 16,285 | ||||||||
Other Revenue — 0.3% |
| |||||||
Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation, | ||||||||
| 1,015 | Rev., 5.250%, 08/01/24 | 1,099 | ||||||
| 1,070 | Rev., 5.250%, 08/01/25 | 1,143 | ||||||
| 825 | Rev., 5.250%, 08/01/26 | 862 | ||||||
| 3,104 | ||||||||
Transportation — 0.3% |
| |||||||
| 3,000 | Minneapolis-St. Paul Metropolitan Airports Commission, Series B, Rev., AMT, 5.000%, 01/01/16 | 3,242 | ||||||
Total Minnesota | 33,282 | |||||||
Mississippi — 0.8% |
| |||||||
Education — 0.1% |
| |||||||
| 945 | Jackson State University Educational Building Corp., Campus Facilities Project, Rev., VAR, 5.000%, 03/01/11 (p) | 945 | ||||||
Housing — 0.5% |
| |||||||
| 5,250 | Mississippi Home Corp., Single Family Mortgage, Series B-1, Rev., GNMA/FNMA/FHLMC, 5.375%, 12/01/38 | 5,457 | ||||||
Other Revenue — 0.2% |
| |||||||
| 2,000 | Mississippi Home Corp., Series A, Rev., GNMA/FMNA/FHLMC, 4.500%, 12/01/31 | 2,095 | ||||||
Total Mississippi | 8,497 | |||||||
Missouri — 1.4% |
| |||||||
Housing — 1.2% |
| |||||||
Missouri Housing Development Commission, Home Ownership Loan Program, | ||||||||
| 1,640 | GNMA, 6.000%, 03/01/36 | 1,708 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 29 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Housing — Continued |
| |||||||
| 700 | Series B-1, Rev., AMT, GNMA/FNMA/FHLMC, 5.050%, 03/01/38 | 709 | ||||||
| 3,655 | Series C-1, Rev., AMT, GNMA/FNMA/FHLMC, 5.600%, 09/01/38 | 3,846 | ||||||
| 985 | Series E-1, Rev., FHLMC, 5.000%, 11/01/27 | 1,051 | ||||||
| 1,725 | Series E-1, Rev., AMT, GNMA/FNMA, 5.600%, 03/01/37 | 1,811 | ||||||
| 3,275 | Missouri Housing Development Commission, Home Ownership Loan Program, Single Family Mortgage, Series B, Rev., AMT, GNMA/FNMA, 5.800%, 09/01/35 | 3,378 | ||||||
Missouri Housing Development Commission, Single Family Homeowner Mortgage, | ||||||||
| 95 | Series B-1, Rev., AMT, GNMA/FNMA/COLL, 6.150%, 03/01/20 | 97 | ||||||
| 125 | Series B-1, Rev., AMT, NATL-RE-IBC, 7.450%, 09/01/31 | 127 | ||||||
| 12,727 | ||||||||
Transportation — 0.2% |
| |||||||
| 2,105 | City of St. Louis, Lambert, Series B, Rev., AMT, AGM, 5.000%, 07/01/19 | 2,173 | ||||||
Total Missouri | 14,900 | |||||||
Montana — 0.4% |
| |||||||
Housing — 0.4% |
| |||||||
Montana Board of Housing, Single Family Mortgage, | ||||||||
| 2,910 | Series A, Rev., 5.250%, 12/01/36 | 3,018 | ||||||
| 170 | Series B, Rev., 5.500%, 12/01/37 | 176 | ||||||
| 745 | Series B-2, Rev., AMT, 6.000%, 12/01/29 | 756 | ||||||
| 3,950 | ||||||||
Total Montana | 3,950 | |||||||
Nebraska — 0.3% |
| |||||||
Housing — 0.3% |
| |||||||
Nebraska Investment Finance Authority, | ||||||||
| 1,750 | Series C, Rev., 5.500%, 03/01/36 | 1,804 | ||||||
| 1,900 | Series C, Rev., GNMA/FNMA/FHLMC, 5.250%, 09/01/31 | 1,944 | ||||||
| 3,748 | ||||||||
Total Nebraska | 3,748 | |||||||
Nevada — 1.7% |
| |||||||
Education — 0.5% |
| |||||||
| 5,445 | Nevada System of Higher Education, Series B, Rev., AMBAC, 5.000%, 07/01/19 | 5,765 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — 0.8% |
| |||||||
| 7,000 | Clark County School District, Series B, GO, AGM, 5.000%, 06/15/18 | 7,545 | ||||||
| 1,360 | Las Vegas Convention & Visitors Authority, GO, AMBAC, 5.000%, 07/01/29 | 1,317 | ||||||
| 8,862 | ||||||||
Housing — 0.2% |
| |||||||
| 785 | Nevada Housing Division, Multi-Unit Housing, Citivista Project, Series A, Rev., FNMA COLL, 5.450%, 10/01/15 | 786 | ||||||
| 10 | Nevada Housing Division, Single Family Mortgage, Sub Series A-1, Rev., AMT, 5.200%, 04/01/11 | 10 | ||||||
| 1,536 | Nevada Rural Housing Authority, Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.200%, 11/01/40 | 1,595 | ||||||
| 2,391 | ||||||||
Other Revenue — 0.2% |
| |||||||
| 1,690 | Las Vegas Special Improvement District No. 707, Special Assessment, Series A, AGM, 5.400%, 06/01/14 | 1,699 | ||||||
Total Nevada | 18,717 | |||||||
New Hampshire — 0.6% |
| |||||||
Housing — 0.1% |
| |||||||
| 1,650 | New Hampshire Housing Finance Authority, Single Family Mortgage, Series E, Rev., 6.625%, 07/01/38 | 1,810 | ||||||
Other Revenue — 0.5% |
| |||||||
City of Manchester, School Facilities, | ||||||||
| 3,545 | Rev., NATL-RE, 5.500%, 06/01/24 | 4,154 | ||||||
| 900 | Rev., NATL-RE, 5.500%, 06/01/27 | 1,039 | ||||||
| 5,193 | ||||||||
Total New Hampshire | 7,003 | |||||||
New Jersey — 3.4% |
| |||||||
Education — 0.6% |
| |||||||
New Jersey EDA, School Facilities Construction, | ||||||||
| 3,000 | Series O, Rev., 5.250%, 03/01/14 | 3,231 | ||||||
| 3,000 | Series P, Rev., 5.250%, 09/01/16 | 3,233 | ||||||
| 6,464 | ||||||||
General Obligation — 0.1% |
| |||||||
| 1,215 | Egg Harbor Township School District, GO, AGM, 5.750%, 07/15/24 | 1,451 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Hospital — 0.1% |
| |||||||
| 1,355 | New Jersey Health Care Facilities Financing Authority, Shore Memorial Health Care Systems, Rev., RADIAN, 5.000%, 07/01/11 | 1,364 | ||||||
Other Revenue — 1.0% |
| |||||||
| 2,310 | Casino Reinvestment Development Authority, New Jersey Hotel Room Fee, Rev., AMBAC, 5.000%, 01/01/15 | 2,390 | ||||||
Tobacco Settlement Financing Corp., | ||||||||
| 5,000 | Series 1A, Rev., 5.000%, 06/01/14 | 5,085 | ||||||
| 1,155 | Series 1A, Rev., 5.000%, 06/01/16 | 1,153 | ||||||
| 2,550 | Series 1A, Rev., 5.000%, 06/01/19 | 2,403 | ||||||
| 11,031 | ||||||||
Transportation — 1.6% |
| |||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
| 2,000 | Series A, Rev., 5.500%, 12/15/21 | 2,145 | ||||||
| 5,000 | Series A, Rev., AMBAC, 5.500%, 12/15/15 | 5,561 | ||||||
| 8,690 | Series B, Rev., AMBAC, 5.250%, 12/15/22 | 9,025 | ||||||
| 16,731 | ||||||||
Total New Jersey | 37,041 | |||||||
New Mexico — 0.8% |
| |||||||
General Obligation — 0.1% |
| |||||||
| 1,000 | New Mexico Finance Authority, State Transportation, Senior Lien, GO, 5.000%, 06/15/17 | 1,156 | ||||||
Housing — 0.7% |
| |||||||
New Mexico Mortgage Finance Authority, Single Family Mortgage, | ||||||||
| 2,440 | Series B-3, Class I, Rev., AMT, GNMA/FNMA/FHLMC, 4.200%, 07/01/28 | 2,391 | ||||||
| 770 | Series C, Rev., AMT, GNMA/FNMA/FHLMC, 5.850%, 01/01/37 | 809 | ||||||
| 2,535 | Series C-2, Rev., AMT, FNMA/GNMA, 4.700%, 09/01/33 | 2,540 | ||||||
| 2,195 | Series D-1, Class I, Rev., AMT, GNMA/FMNA/FHLMC, 5.850%, 01/01/37 | 2,345 | ||||||
| 8,085 | ||||||||
Total New Mexico | 9,241 | |||||||
New York — 7.7% |
| |||||||
Certificate of Participation/Lease — 2.7% |
| |||||||
| 5,010 | New York State Dormitory Authority, Court Facilities Lease, Series A, Rev., COP, AMBAC, 5.500%, 05/15/20 | 5,627 | ||||||
| 2,800 | New York State Dormitory Authority, Mental Health Services, Unrefunded Balance, Series B, Rev., COP, 6.000%, 08/15/16 | 3,129 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Certificate of Participation/Lease — Continued |
| |||||||
| 5,900 | New York State Dormitory Authority, Personal State Income Tax, Series C, Rev., COP, 5.000%, 03/15/26 | 6,178 | ||||||
Tobacco Settlement Financing Corp., Asset-Backed Securities, | ||||||||
| 4,000 | Series A-1, Rev., COP, 5.000%, 06/01/12 | 4,206 | ||||||
| 1,675 | Series B-1, Rev., COP, XLCA-ICR, 4.000%, 06/01/12 | 1,740 | ||||||
| 8,000 | Series B-1C, Rev., COP, 5.500%, 06/01/16 | 8,083 | ||||||
| 28,963 | ||||||||
Education — 0.8% |
| |||||||
| 2,000 | New York Municipal Bond Bank Agency, Series C, Rev., 5.000%, 12/01/23 | 2,021 | ||||||
New York State Dormitory Authority, | ||||||||
| 5,000 | Series A, Rev., 5.000%, 03/15/21 | 5,458 | ||||||
| 1,295 | Series B, Rev., VAR, 5.250%, 05/15/12 | 1,356 | ||||||
| 8,835 | ||||||||
General Obligation — 1.6% |
| |||||||
New York City, | ||||||||
| 7,500 | Series D, GO, 5.000%, 11/01/22 | 7,921 | ||||||
| 5,000 | Series G, GO, 5.000%, 08/01/14 | 5,552 | ||||||
| 4,000 | Series G, GO, 5.250%, 08/01/15 | 4,363 | ||||||
| 17,836 | ||||||||
Housing — 0.2% |
| |||||||
| 2,000 | New York State Mortgage Agency, Rev., 5.000%, 04/01/28 | 2,126 | ||||||
Other Revenue — 0.1% |
| |||||||
| 1,100 | New York State Dormitory Authority, Jewish Board of Family & Children, Rev., AMBAC, 5.000%, 07/01/11 | 1,112 | ||||||
Resource Recovery — 0.2% |
| |||||||
| 2,140 | Islip Resource Recovery Agency, 1985 Facility, Series F, Rev., AGM, 5.000%, 07/01/13 | 2,291 | ||||||
Special Tax — 0.7% |
| |||||||
| 5,000 | New York City Transitional Finance Authority, Future Tax Secured, Series A, Rev., VAR, 5.500%, 11/01/26 | 5,154 | ||||||
| 2,000 | New York State Dormitory Authority, Series A, Rev., 5.250%, 02/15/24 | 2,183 | ||||||
| 7,337 | ||||||||
Transportation — 1.4% |
| |||||||
| 1,000 | Metropolitan Transportation Authority, Series C, Rev., 5.250%, 11/15/14 | 1,103 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 31 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Transportation — Continued |
| |||||||
| 3,145 | Metropolitan Transportation Authority, Dedicated Tax Fund, Series B, Rev., 5.250%, 11/15/24 | 3,326 | ||||||
| 1,365 | Monroe County, Airport Authority, Greater Rochester International, Rev., NATL-RE, 5.250%, 01/01/12 | 1,398 | ||||||
| 5,000 | New York State Thruway Authority, Secondary General Highway & Bridge Trust Fund, Series B, Rev., NATL-RE, FGIC, 5.000%, 04/01/17 | 5,566 | ||||||
| 4,000 | Port Authority of New York & New Jersey, CONS-131, Series CIFG, Rev., CIFG-TCRS, 5.000%, 12/15/17 | 4,264 | ||||||
| 15,657 | ||||||||
Total New York | 84,157 | |||||||
North Carolina — 3.0% |
| |||||||
Education — 0.5% |
| |||||||
| 3,300 | Board of Governors of the University of North Carolina, Appalachian State Charlotte, Series B1, Rev., 5.250%, 10/01/23 | 3,633 | ||||||
| 1,355 | University of North Carolina System, Series A, Rev., 5.250%, 10/01/23 | 1,501 | ||||||
| 5,134 | ||||||||
General Obligation — 0.8% |
| |||||||
| 2,000 | Asheville North Carolina Water System, GO, AGM, 5.000%, 08/01/19 | 2,225 | ||||||
| 2,000 | Mecklenburg County, Series A, GO, 5.000%, 08/01/19 | 2,360 | ||||||
| 3,250 | Union County, Series B, GO, 5.000%, 03/01/17 | 3,777 | ||||||
| 8,362 | ||||||||
Housing — 0.6% |
| |||||||
| 490 | Asheville Housing Authority, Multi-Family, Battery Park Apartment, Series A, Rev., GNMA, 3.900%, 08/20/15 | 509 | ||||||
| 3,160 | North Carolina Housing Finance Agency, Series 30-A, Rev., AMT, 5.500%, 01/01/39 | 3,270 | ||||||
North Carolina Housing Finance Agency, Home Ownership, | ||||||||
| 1,420 | Series 23-A, Rev., VAR, AMT, 5.000%, 07/01/36 | 1,447 | ||||||
| 1,495 | Series 26-A, Rev., VAR, AMT, 5.500%, 01/01/38 | 1,562 | ||||||
| 6,788 | ||||||||
Other Revenue — 0.5% |
| |||||||
| 1,000 | North Carolina Capital Facilities Finance Agency, Waste Management of Carolinas Project, Rev., VAR, 3.375%, 08/01/14 | 990 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Other Revenue — Continued |
| |||||||
| 3,000 | State of North Carolina, State Capital Improvement Ltd., Series A, Rev., 5.000%, 05/01/17 | 3,471 | ||||||
| 1,250 | Wake County, Hammond Road Detention Center, Rev., 5.000%, 06/01/24 | 1,344 | ||||||
| 5,805 | ||||||||
Utility — 0.3% |
| |||||||
| 2,500 | North Carolina Municipal Power Agency No. 1-Catawba Electric, Series A, Rev., 5.250%, 01/01/16 | 2,818 | ||||||
Water & Sewer — 0.3% |
| |||||||
| 3,330 | City of Charlotte, Water & Sewer System, Rev., 5.250%, 07/01/22 | 3,792 | ||||||
Total North Carolina | 32,699 | |||||||
North Dakota — 0.7% |
| |||||||
General Obligation — 0.1% |
| |||||||
| 1,500 | North Dakota Housing Finance Agency, Home Mortgage Finance Program, Series F, GO, 4.500%, 01/01/35 | 1,521 | ||||||
Housing — 0.2% |
| |||||||
| 1,990 | North Dakota Housing Finance Agency, Home Mortgage Finance Program, Series B, Rev., 5.000%, 07/01/28 | 2,102 | ||||||
Industrial Development Revenue/Pollution Control Revenue — 0.2% |
| |||||||
| 2,000 | McLean County, Solid Waste Great River Energy Project, Series A, Rev., 4.875%, 07/01/26 | 1,906 | ||||||
Other Revenue — 0.2% |
| |||||||
| 2,000 | North Dakota Housing Finance Agency, Home Mortgage Finance Program, Series D, Rev., 4.500%, 01/01/29 | 2,081 | ||||||
Total North Dakota | 7,610 | |||||||
Ohio — 2.0% |
| |||||||
General Obligation — 0.6% |
| |||||||
| 1,000 | Lakota Local School District, Series A, GO, NATL-RE, FGIC, 5.250%, 12/01/25 | 1,122 | ||||||
| 5,000 | State of Ohio, Infrastructure Improvement, Series A, GO, 5.500%, 02/01/20 | 5,911 | ||||||
| 7,033 | ||||||||
Housing — 0.3% |
| |||||||
| 450 | Cuyahoga County, Multi-Family Housing, Carter Manor, Rev., GNMA, 4.000%, 09/20/14 | 462 | ||||||
Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, | ||||||||
| 95 | Series B, Rev., AMT, GNMA COLL, 4.650%, 09/01/20 | 96 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Housing — Continued |
| |||||||
| 325 | Series C, Rev., GNMA COLL, 4.625%, 09/01/31 | 333 | ||||||
Summit County Port Authority, Eastland Woods Project, | ||||||||
| 350 | Series A, Rev., FHA, GNMA COLL, 4.000%, 12/20/14 | 354 | ||||||
| 580 | Series A, Rev., FHA, GNMA COLL, 4.350%, 12/20/19 | 579 | ||||||
| 1,020 | Series A, Rev., FHA, GNMA COLL, 4.750%, 12/20/26 | 1,000 | ||||||
| 2,824 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.2% |
| |||||||
| 1,160 | Cleveland-Cuyahoga County Port Authority, Capital Improvement Project, Series A, Rev., 5.375%, 05/15/19 | 1,099 | ||||||
| 385 | Cleveland-Cuyahoga County Port Authority, Cleveland Bond Fund, Series A, Rev., LOC: Fifth Third Bank, 6.250%, 05/15/16 | 385 | ||||||
| 520 | Cleveland-Cuyahoga County Port Authority, Cleveland City Project, Tax Allocation, | 379 | ||||||
| 1,863 | ||||||||
Other Revenue — 0.3% |
| |||||||
| 1,000 | City of Columbus, Sewer Revenue System, Series A, Rev., 5.000%, 06/01/23 | 1,078 | ||||||
| 2,430 | RiverSouth Authority, RiverSouth Area Redevelopment, Series A, Rev., 5.000%, 12/01/16 | 2,724 | ||||||
| 3,802 | ||||||||
Prerefunded — 0.1% | ||||||||
Toledo-Lucas County Port Authority, Development, Northwest Ohio Bond Fund, | ||||||||
| 685 | Series C, Rev., 5.350%, 11/15/12 (p) | 707 | ||||||
| 80 | Series C, Rev., 6.000%, 05/15/11 (p) | 81 | ||||||
| 788 | ||||||||
Water & Sewer — 0.5% | ||||||||
| 5,000 | City of Cincinnati, Water System, Series A, Rev., 5.000%, 12/01/17 | 5,789 | ||||||
Total Ohio | 22,099 | |||||||
Oklahoma — 0.6% | ||||||||
General Obligation — 0.1% | ||||||||
| 1,735 | Oklahoma Housing Finance Agency, Single Homeownership Loan Program, Series A, GO, GNMA/FNMA/FHLMC, 4.375%, 09/01/27 | 1,819 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — 0.5% | ||||||||
| 470 | Canadian County, Home Finance Authority, Single Family Mortgage, Mortgage-Backed Securities Program, Series A, Rev., GNMA COLL, 6.700%, 09/01/32 | 478 | ||||||
Oklahoma County Home Finance Authority, Mortgage-Backed Securities, | ||||||||
| 3,400 | Series A, Rev., AMT, GNMA/FNMA/FHLMC, 5.400%, 10/01/38 | 3,499 | ||||||
| 1,147 | Series A-2, Rev., GNMA, 5.700%, 04/01/36 | 1,201 | ||||||
| 5,178 | ||||||||
Total Oklahoma | 6,997 | |||||||
Oregon — 0.8% | ||||||||
General Obligation — 0.2% | ||||||||
| 1,840 | Jackson County School District No. 549C, GO, School Board Guaranty, 5.250%, 06/15/16 | 2,146 | ||||||
Housing — 0.3% | ||||||||
| 2,555 | Oregon State Facilities Authority, Cascadian Terrace Apartments, Series A, Rev., LOC: Bank of The West, 5.100%, 11/01/17 | 2,616 | ||||||
Other Revenue — 0.3% | ||||||||
| 3,495 | Oregon State Housing & Community Services Department, Single Family Mortgage Program, Series B, Rev., AMT, 5.000%, 07/01/30 | 3,628 | ||||||
Total Oregon | 8,390 | |||||||
Other Territories — 0.6% | ||||||||
Housing — 0.6% | ||||||||
| 2,000 | Multi-Family Housing, Bond Pass-Through Certificates, Series 7, Rev., VAR, 5.850%, 11/01/21 | 1,854 | ||||||
| 1,225 | Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments, Series 8, Rev., VAR, 5.950%, 11/01/23 | 1,109 | ||||||
| 2,390 | Multi-Family Housing, Bond Pass-Through Certificates, Town Center Villas, Series 12, Rev., 5.800%, 11/01/15 | 2,382 | ||||||
| 1,530 | Multi-Family Housing, Bond Pass-Through Certificates, Valencia Apartments of Bernalilo, Series 2, Rev., 5.850%, 05/01/16 | 1,517 | ||||||
| 6,862 | ||||||||
Total Other Territories | 6,862 | |||||||
Pennsylvania — 3.3% | ||||||||
Education — 0.6% | ||||||||
| 2,000 | Pennsylvania Higher Educational Facilities Authority, LaSalle University, Series A, Rev., 5.000%, 05/01/12 | 2,072 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 33 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Education — Continued | ||||||||
| 4,000 | University of Pittsburgh, University Capital Project, Series B, Rev., 5.250%, 09/15/26 | 4,329 | ||||||
| 6,401 | ||||||||
General Obligation — 0.5% | ||||||||
City of Philadelphia, | ||||||||
| 3,000 | Series A, GO, AGM, 5.000%, 08/01/14 | 3,274 | ||||||
| 1,700 | Series A, GO, XLCA, 5.000%, 02/15/12 | 1,746 | ||||||
| 5,020 | ||||||||
Hospital — 0.2% | ||||||||
| 1,875 | Allegheny County Hospital Development Authority, University of Pittsburgh Medical Center, Series A, Rev., 5.000%, 09/01/17 | 2,068 | ||||||
Housing — 0.1% | ||||||||
| 1,150 | Allegheny County Residential Finance Authority, Single Family, Series TT, Rev., GNMA/FNMA, 5.750%, 05/01/37 | 1,199 | ||||||
| 125 | Philadelphia Authority for Industrial Development, Senior Living Arbor House Project, Series E, Rev., 4.700%, 07/01/13 | 126 | ||||||
| 105 | Philadelphia Authority for Industrial Development, Senior Living Rieder House Project, Series A, Rev., 4.700%, 07/01/13 | 106 | ||||||
| 105 | Philadelphia Authority for Industrial Development, Senior Living Saligman House Project, Series C, Rev., 4.700%, 07/01/13 | 105 | ||||||
| 1,536 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.4% |
| |||||||
| 3,000 | Bucks County IDA, Wastewater Management, Inc. Project, Rev., VAR, 2.875%, 02/01/13 | 2,968 | ||||||
| 1,500 | Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project, Series A, Rev., VAR, 3.700%, 05/01/15 | 1,495 | ||||||
| 4,463 | ||||||||
Other Revenue — 0.7% | ||||||||
| 3,000 | Allegheny County Airport Authority, Series 2B, Rev., FGIC, 5.000%, 01/01/18 | 3,066 | ||||||
| 1,235 | Allegheny County Redevelopment Authority, Waterfront Project, Tax Allocation, Series A, 5.000%, 12/15/11 | 1,264 | ||||||
| 3,000 | Pennsylvania Economic Development Financing Authority, People Energy Supply, Series A, Rev., VAR, 3.000%, 09/01/15 | 2,971 | ||||||
| 7,301 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Private Placement — 0.2% | ||||||||
| 2,500 | Pennsylvania Higher Educational Facilities Authority, Allegheny Delaware Obligation, Health Services, Series A, Rev., NATL-RE, 5.700%, 11/15/11 (f) (i) | 2,489 | ||||||
Resource Recovery — 0.6% | ||||||||
| 6,925 | Harrisburg Authority, Resource Recovery Improvements, Series D-2, Rev., VAR, AGM, 5.000%, 12/01/13 | 6,933 | ||||||
Total Pennsylvania | 36,211 | |||||||
South Carolina — 2.4% | ||||||||
Certificate of Participation/Lease — 0.6% | ||||||||
| 3,500 | Charleston Educational Excellence Finance Corp., Charleston County School District, Rev., COP, 5.250%, 12/01/22 | 3,650 | ||||||
| 2,560 | City of Columbia, Tourism Development Fee Pledge, COP, AMBAC, 5.250%, 06/01/20 | 2,656 | ||||||
| 6,306 | ||||||||
General Obligation — 0.6% | ||||||||
| 5,855 | York County School District No. 1, Series A, GO, SCSDE, 5.250%, 03/01/24 | 6,443 | ||||||
Hospital — 0.6% | ||||||||
Lexington County, Health Services District, | ||||||||
| 925 | Rev., 6.000%, 05/01/11 | 932 | ||||||
| 1,090 | Rev., 6.000%, 05/01/14 | 1,195 | ||||||
| 4,125 | Medical University Hospital Authority, FHA Insured Mortgage, Series A, Rev., NATL-RE, FHA, 5.250%, 02/15/23 | 4,239 | ||||||
| 6,366 | ||||||||
Other Revenue — 0.1% | ||||||||
| 1,240 | South Carolina State Housing Finance & Development Authority, Series 1, Rev., GNMA/FNMA/FHLMC, 5.000%, 01/01/28 | 1,323 | ||||||
Utility — 0.5% | ||||||||
| 5,000 | South Carolina State Public Service Authority, Series A, Rev., NATL-RE, FGIC, 5.250%, 01/01/21 | 5,440 | ||||||
Total South Carolina | 25,878 | |||||||
South Dakota — 0.4% | ||||||||
Housing — 0.3% | ||||||||
South Dakota Housing Development Authority, Home Ownership Mortgage, | ||||||||
| 40 | Series D, Rev., 4.800%, 05/01/11 | 41 | ||||||
| 50 | Series D, Rev., 4.900%, 05/01/12 | 51 | ||||||
| 2,640 | Series E, Rev., 6.000%, 11/01/38 | 2,833 | ||||||
| 2,925 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Other Revenue — 0.1% | ||||||||
| 1,000 | South Dakota Health & Educational Facilities Authority, Regional Health, Rev., 5.000%, 09/01/17 | 1,080 | ||||||
Total South Dakota | 4,005 | |||||||
Tennessee — 3.2% |
| |||||||
General Obligation — 0.5% |
| |||||||
| 4,955 | Tennessee Housing Development Agency, Home Ownership Program, Series 1C, GO, 3.750%, 01/01/25 | 4,816 | ||||||
Housing — 1.5% |
| |||||||
| 3,155 | Knox County, Health Educational & Housing Facilities Board, Multi-Family, Eastowne Village Project, Rev., VAR, LIQ: FNMA, 4.900%, 06/01/11 | 3,188 | ||||||
| 2,000 | Memphis Health Educational & Housing Facility Board, Hillcrest Apartments Project, Rev., VAR, AMT, FHLMC, LIQ: FHLMC, 5.000%, 10/01/17 | 2,100 | ||||||
Tennessee Housing Development Agency, | ||||||||
| 2,500 | Series A-1, Rev., 5.000%, 01/01/27 | 2,656 | ||||||
| 2,895 | Series A-2, Rev., 4.200%, 07/01/25 | 2,789 | ||||||
Tennessee Housing Development Agency, Home Ownership Program, | ||||||||
| 4,130 | Series 2006-2, Rev., AMT, 5.750%, 01/01/37 | 4,340 | ||||||
| 1,590 | Series 2007-1, Rev., AMT, 5.500%, 01/01/38 | 1,671 | ||||||
| 16,744 | ||||||||
Other Revenue — 0.1% |
| |||||||
| 1,300 | Memphis-Shelby County Airport Authority, | 1,403 | ||||||
Transportation — 0.1% |
| |||||||
| 1,000 | Memphis-Shelby County Airport Authority, Series B, Rev., AMT, 5.750%, 07/01/25 | 1,012 | ||||||
Utility — 0.5% |
| |||||||
| 5,000 | Tennessee Energy Acquisition Corp., Series A, Rev., 5.250%, 09/01/21 | 4,870 | ||||||
Water & Sewer — 0.5% |
| |||||||
| 5,000 | Metropolitan Government Nashville & Davidson County, Series A, Rev., AGM, 5.250%, 01/01/21 | 5,786 | ||||||
Total Tennessee | 34,631 | |||||||
Texas — 8.0% |
| |||||||
General Obligation — 2.7% |
| |||||||
| 1,150 | Conroe Independent School District, School Building, GO, PSF-GTD, 5.000%, 02/15/19 (w) | 1,341 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — Continued |
| |||||||
| 4,685 | El Paso County Hospital District, Certicates Obligation, GO, AMBAC, 5.000%, 08/15/21 | 4,951 | ||||||
| 4,000 | Fort Bend County, GO, 5.250%, 03/01/28 | 4,225 | ||||||
| 2,335 | Keller Independent School District, School Building, GO, 5.250%, 02/15/26 | 2,459 | ||||||
Little Elm Independent School District, Unrefunded Balance, | ||||||||
| 5 | GO, PSF-GTD, Zero Coupon, 08/15/30 | 2 | ||||||
| 5 | GO, PSF-GTD, Zero Coupon, 08/15/31 | 1 | ||||||
| 5 | GO, PSF-GTD, Zero Coupon, 08/15/32 | 1 | ||||||
Northside Independent School District, School Building, | ||||||||
| 6,035 | GO, PSF-GTD, 5.000%, 08/15/19 | 6,824 | ||||||
| 1,900 | Series C, GO, VAR, PSF-GTD, 4.100%, 05/31/12 | 1,966 | ||||||
| 2,000 | Port of Houston Authority, Series D-1, GO, 5.000%, 10/01/24 | 2,186 | ||||||
| 1,150 | State of Texas, Series B1 & B2, GO, VAR, 9.667%, 09/30/11 | 1,213 | ||||||
| 1,895 | State of Texas, College Student Loans, Series A, GO, 5.250%, 08/01/19 | 2,108 | ||||||
| 2,500 | Wichita Falls Independent School District, School Building, GO, PSF-GTD, 5.000%, 02/01/25 | 2,651 | ||||||
| 29,928 | ||||||||
Hospital — 0.4% |
| |||||||
| 1,470 | Harris County Health Facilities Development Corp., Memorial Hermann Healthcare System, Series A, Rev., 5.250%, 12/01/13 | 1,560 | ||||||
| 100 | Lufkin Health Facilities Development Corp., Memorial Health System, East Texas, Rev., 5.000%, 02/15/13 | 102 | ||||||
| 3,000 | North Central Texas Health Facility Development Corp., Baylor Health Care System, Rev., 5.000%, 05/15/17 | 3,003 | ||||||
| 4,665 | ||||||||
Housing — 1.0% |
| |||||||
| 270 | Houston Housing Finance Corp., Sterlingshire Apartments, Series A-2, Rev., 4.250%, 11/01/12 | 274 | ||||||
| 2,310 | Nortex Single Family Housing Finance Corp., Mortgage-Backed Securities Program, Series A, Rev., GNMA/FNMA/FHLMC, 5.500%, 07/01/38 | 2,403 | ||||||
| 1,025 | Texas Department of Housing & Community Affairs, Series D, Rev., AMT, 4.400%, 03/01/28 | 1,047 | ||||||
| 1,713 | Texas State Affordable Housing Corp., Single Family Mortgage, Series C, Rev., GNMA/FMNA/FHLMC, 5.300%, 10/01/39 | 1,778 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 35 | ||||||
Table of Contents
JPMorgan Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Housing — Continued |
| |||||||
| 4,009 | Texas State Affordable Housing Corp., Single Family Mortgage, Professional Educators Home Loan Program, Series A, Rev., GNMA/FMNA/FHLMC, 5.350%, 09/01/39 | 4,151 | ||||||
| 600 | Texas State Affordable Housing Corp., Single Family Mortgage, Teachers Home Loan Program, Rev., GNMA/FNMA/COLL, 6.200%, 03/01/32 | 613 | ||||||
| 673 | West Central Regional Housing Finance Corp., Mortgage-Backed Securities Program, | 696 | ||||||
| 10,962 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.3% |
| |||||||
Harris County Industrial Development Corp., Deer Park Refining Project, | ||||||||
| 900 | Rev., 4.700%, 05/01/18 | 934 | ||||||
| 2,000 | Rev., 5.000%, 02/01/23 | 2,006 | ||||||
| 2,940 | ||||||||
Other Revenue — 0.6% |
| |||||||
| 2,000 | Texas Department of Housing & Community Affairs, Series A, Rev., GNMA COLL, 5.000%, 07/01/29 (w) | 2,146 | ||||||
| 4,175 | Texas State Transportation Commission, First Tier, Rev., 5.000%, 04/01/26 | 4,436 | ||||||
| 6,582 | ||||||||
Prerefunded — 0.2% |
| |||||||
Little Elm Independent School District, Capital Appreciation, | ||||||||
| 1,925 | GO, PSF-GTD, Zero Coupon, 08/15/12 (p) | 616 | ||||||
| 1,625 | GO, PSF-GTD, Zero Coupon, 08/15/12 (p) | 490 | ||||||
| 1,925 | GO, PSF-GTD, Zero Coupon, 08/15/12 (p) | 545 | ||||||
| 1,651 | ||||||||
Transportation — 1.8% |
| |||||||
| 3,000 | City of Austin, Texas Airport System, Prior Lien, Rev., NATL-RE, 5.250%, 11/15/16 | 3,160 | ||||||
| 2,000 | Dallas Area Rapid Transit, Senior Lien, Rev., AMBAC, 5.000%, 12/01/18 | 2,240 | ||||||
Dallas-Fort Worth International Airport Facilities Improvement Corp., | ||||||||
| 1,500 | Series A, Rev., 5.000%, 11/01/22 | 1,549 | ||||||
| 6,000 | Series A, Rev., AGM, 5.500%, 11/01/21 | 6,225 | ||||||
| 6,000 | Texas State Transportation Commission, First Tier, Series A, Rev., 5.000%, 04/01/23 | 6,535 | ||||||
| 19,709 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Utility — 0.5% |
| |||||||
Harris County Cultural Education Facilities Finance Corp., Teco Project, | ||||||||
| 950 | Series A, Rev., 5.000%, 11/15/15 | 1,078 | ||||||
| 1,025 | Series B, Rev., 5.000%, 11/15/13 | 1,131 | ||||||
| 3,000 | Lower Colorado River Authority, Transmission Service, Rev., AGM, 5.250%, 05/15/18 | 3,125 | ||||||
| 5,334 | ||||||||
Water & Sewer — 0.5% |
| |||||||
| 5,000 | Texas Water Development Board, Revolving Funds, Sub Lien, Series B, Rev., 5.250%, 07/15/24 | 5,423 | ||||||
Total Texas | 87,194 | |||||||
Utah — 0.7% |
| |||||||
Education — 0.4% |
| |||||||
| 3,245 | Utah State Board of Regents, Student Fee and Housing System, Rev., NATL-RE, 5.250%, 04/01/23 | 3,678 | ||||||
Housing — 0.0% (g) |
| |||||||
| 115 | Utah State Housing Finance Agency, Single Family Mortgage, Series D-2, Rev., FHA/VA MTGS, 5.350%, 07/01/18 | 115 | ||||||
Industrial Development Revenue/Pollution Control Revenue — 0.3% |
| |||||||
| 3,300 | Utah County, Marathon Oil Project, Rev., VAR, 5.050%, 11/01/17 | 3,347 | ||||||
Total Utah | 7,140 | |||||||
Vermont — 0.2% |
| |||||||
Other Revenue — 0.2% |
| |||||||
| 2,250 | Vermont Municipal Bond Bank, Series 1, Rev., 5.000%, 12/01/23 | 2,487 | ||||||
Virginia — 2.7% |
| |||||||
Education — 0.4% |
| |||||||
| 4,000 | Virginia Public School Authority, School Financing, Series B-1, Rev., 5.000%, 08/01/22 | 4,451 | ||||||
General Obligation — 0.9% |
| |||||||
| 5,045 | Chesterfield County, Public Improvement, GO, 5.000%, 01/01/20 | 5,686 | ||||||
| 3,000 | City of Virginia Beach, Public Improvement, Series B, GO, 5.000%, 07/15/19 | 3,532 | ||||||
| 9,218 | ||||||||
Other Revenue — 0.7% |
| |||||||
| 2,050 | Virginia Public Building Authority, Public Facilities, Series B, Rev., 5.250%, 08/01/21 | 2,332 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Other Revenue — Continued |
| |||||||
| 5,000 | Virginia Public School Authority, School Financing, Series C, Rev., 5.000%, 08/01/16 | 5,763 | ||||||
| 8,095 | ||||||||
Resource Recovery — 0.3% |
| |||||||
Virginia Resources Authority, Pooled Financing, | ||||||||
| 1,110 | Series A, Rev., 5.000%, 11/01/17 | 1,292 | ||||||
| 1,500 | Series B, Rev., 5.000%, 11/01/16 | 1,736 | ||||||
| 3,028 | ||||||||
Transportation — 0.4% |
| |||||||
| 4,000 | Virginia Commonwealth Transportation Board, U.S. Route 58, Corridor Development, Series C, Rev., 5.000%, 05/15/24 | 4,197 | ||||||
Total Virginia | 28,989 | |||||||
Washington — 2.3% |
| |||||||
General Obligation — 1.5% |
| |||||||
| 1,035 | City of Tacoma, Limited Tax, Series B, GO, 5.000%, 12/01/17 | 1,182 | ||||||
| 2,390 | King County School District No. 401 Highline, GO, NATL-RE, FGIC, 5.250%, 12/01/22 | 2,591 | ||||||
| 4,765 | State of Washington, Motor Vehicle Fuel Tax, Series B, GO, 5.000%, 07/01/24 | 5,104 | ||||||
| 6,465 | State of Washington, Various Purpose, Series 2007A, GO, AGM, 5.000%, 07/01/21 | 6,960 | ||||||
| 15,837 | ||||||||
Housing — 0.2% |
| |||||||
| 2,135 | Washington Housing Finance Commission, GNMA Mortgage-Backed Securities Program, Rev., GNMA COLL, 7.000%, 01/01/26 | 2,244 | ||||||
Other Revenue — 0.1% |
| |||||||
| 1,000 | Port of Seattle, Intermediate Lien, Series C, Rev., AMT, 5.000%, 02/01/16 | 1,079 | ||||||
Prerefunded — 0.1% |
| |||||||
| 1,100 | Energy Northwest, Public Power Supply System, Nuclear Project No. 1, Rev., VAR, AGM, 10.736%, 07/01/11 (p) | 1,141 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Private Placement — 0.1% |
| |||||||
| 1,700 | Quinault Indian Nation, Quinault Beach, Series A, Rev., ACA, 5.850%, 12/01/12 (f) (i) | 1,616 | ||||||
Utility — 0.3% |
| |||||||
| 2,500 | City of Seattle, Light & Power, Rev., AGM, 5.000%, 08/01/16 | 2,766 | ||||||
Total Washington | 24,683 | |||||||
Wisconsin — 1.5% |
| |||||||
General Obligation — 1.0% |
| |||||||
| 5,000 | City of Kenosha, Capital Appreciation, Series D, GO, AMBAC, Zero Coupon, 09/01/15 | 4,483 | ||||||
| 6,335 | State of Wisconsin, Series C, GO, 5.000%, 05/01/23 | 6,831 | ||||||
| 11,314 | ||||||||
Housing — 0.0% (g) |
| |||||||
| 140 | Wisconsin Housing & EDA, Home Ownership, Series E, Rev., AMT, 5.750%, 09/01/27 | 143 | ||||||
Private Placement — 0.5% |
| |||||||
| 5,000 | State of Wisconsin, Health & Education, Rev., 4.780%, 05/01/29 (f) (i) | 5,017 | ||||||
Total Wisconsin | 16,474 | |||||||
Total Municipal Bonds | 1,050,866 | |||||||
| SHARES | ||||||||
Investment Company — 0.5% | ||||||||
| 389 | Nuveen Premium Income Municipal Fund | 4,995 | ||||||
| Short-Term Investment — 1.9% |
| ||||||
| 21,033 | JPMorgan Tax Free Money Market Fund, Institutional Class Shares, | 21,033 | ||||||
Total Investments — 98.8% | 1,076,894 | |||||||
Other Assets in Excess of | 12,600 | |||||||
NET ASSETS — 100.0% | $ | 1,089,494 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 37 | ||||||
Table of Contents
JPMorgan Ohio Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Municipal Bonds — 98.8% |
| ||||||
California — 0.9% |
| |||||||
General Obligation — 0.9% |
| |||||||
| 1,500 | Napa Valley Community College District, Election of 2002, Series C, GO, NATL-RE, Zero Coupon, 08/01/20 | 886 | ||||||
| 1,500 | State of California, GO, 5.000%, 03/01/21 | 1,567 | ||||||
Total California | 2,453 | |||||||
Colorado — 1.9% |
| |||||||
Prerefunded — 1.9% |
| |||||||
| 2,350 | Colorado Housing & Finance Authority, Capital Appreciation, Series A, Rev., Zero Coupon, 09/01/14 (p) | 2,210 | ||||||
| 2,810 | El Paso County, Single Family Mortgage, Capital Appreciation, Series A, Rev., Zero Coupon, 05/01/15 (p) | 2,578 | ||||||
Total Colorado | 4,788 | |||||||
Florida — 0.4% |
| |||||||
Transportation — 0.4% |
| |||||||
| 1,000 | Miami-Dade County, Aviation, Series B, Rev., AMT, AGM-CR, XLCA, 5.000%, 10/01/19 | 1,040 | ||||||
Hawaii — 0.6% |
| |||||||
Water & Sewer — 0.6% |
| |||||||
| 1,500 | Honolulu City & County Board of Water Supply, Series B, Rev., AMT, NATL-RE, 5.250%, 07/01/19 | 1,594 | ||||||
Illinois — 2.0% |
| |||||||
Certificate of Participation/Lease — 0.6% |
| |||||||
| 1,500 | University of Illinois, Academic Facilities Projects, Series A, COP, AMBAC, 5.000%, 03/15/18 | 1,551 | ||||||
General Obligation — 0.8% |
| |||||||
| 2,000 | Chicago Park District, Alternative Revenue Source, Series D, GO, NATL-RE, FGIC, 5.000%, 01/01/21 | 2,083 | ||||||
Water & Sewer — 0.6% |
| |||||||
| 1,500 | City of Chicago, Water, Second Lien, Series A, Rev., AMBAC, 5.000%, 11/01/20 | 1,574 | ||||||
Total Illinois | 5,208 | |||||||
Kansas — 0.8% |
| |||||||
Prerefunded — 0.8% |
| |||||||
| 1,000 | Kansas City, Single Family Mortgage, Municipal Multiplier, Series A, Rev., FHLMC COLL, Zero Coupon, 12/01/14 (p) | 934 | ||||||
| 1,390 | Saline County, Single Family Mortgage, Rev., Zero Coupon, 12/01/15 (p) | 1,254 | ||||||
Total Kansas | 2,188 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Louisiana — 0.6% |
| |||||||
Prerefunded — 0.6% |
| |||||||
| 1,685 | Jefferson Parish Finance Authority, Single Family Mortgage, Rev., FGIC, Zero Coupon, 05/01/17 (p) | 1,421 | ||||||
New York — 0.6% |
| |||||||
General Obligation — 0.6% |
| |||||||
| 1,500 | New York City, Series E, GO, AGM, 5.000%, 11/01/17 | 1,637 | ||||||
Ohio — 89.1% |
| |||||||
Certificate of Participation/Lease — 9.5% |
| |||||||
| 5,250 | City of Cleveland, Cleveland Stadium Project, COP, AMBAC, Zero Coupon, 11/15/11 | 5,207 | ||||||
Ohio State Building Authority, Adult Correctional Facilities, | ||||||||
| 1,745 | Series A, Rev., COP, 5.000%, 10/01/22 | 1,870 | ||||||
| 1,000 | Series A, Rev., COP, AGM, 5.500%, 10/01/14 | 1,026 | ||||||
| 2,000 | Series B, Rev., COP, 5.000%, 10/01/13 | 2,183 | ||||||
| 2,030 | Series B, Rev., COP, 5.250%, 04/01/15 | 2,279 | ||||||
Ohio State Building Authority, State Facilities, Administrative Building Fund, | ||||||||
| 1,835 | Series A, Rev., COP, 5.000%, 10/01/24 | 1,916 | ||||||
| 2,000 | Series A, Rev., COP, AGM, 5.000%, 10/01/20 | 2,226 | ||||||
| 1,800 | Ohio State Department of Administrative Services, State Taxation Accounting & Revenue, COP, 5.000%, 09/01/18 | 1,972 | ||||||
| 2,000 | State of Ohio, Cultural & Sports Capital Appreciation, Series A, Rev., COP, 5.250%, 10/01/20 | 2,286 | ||||||
| 2,000 | State of Ohio, Higher Education Capital Facilities, Series II-A, Rev., COP, 5.375%, 12/01/12 | 2,163 | ||||||
| 1,235 | State of Ohio, Parks & Recreation, Series II-A, Rev., COP, 5.000%, 12/01/20 | 1,379 | ||||||
| 24,507 | ||||||||
Education — 4.4% | ||||||||
| 1,000 | Kent State University, General Receipts, Series B, Rev., AGC, 5.000%, 05/01/19 | 1,104 | ||||||
| 180 | Ohio State University, General Receipts, Unrefunded Balance, Series B, Rev., 5.250%, 06/01/16 | 194 | ||||||
| 1,000 | State of Ohio, Higher Educational Facility, Baldwin-Wallace College Project, Rev., 5.500%, 12/01/20 | 1,067 | ||||||
| 1,650 | State of Ohio, Higher Educational Facility, Case Western Reserve University Project, Rev., NATL-RE, 5.250%, 12/01/19 | 1,889 | ||||||
| 2,185 | State of Ohio, Higher Educational Facility, Otterbein College Project, Series A, Rev., 5.500%, 12/01/23 | 2,343 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Education — Continued |
| |||||||
| 1,000 | State of Ohio, Higher Educational Facility, University of Dayton 2001, Rev., AMBAC, 5.375%, 12/01/17 | 1,021 | ||||||
| 1,500 | University of Cincinnati, Series G, Rev., NATL-RE, 5.000%, 06/01/18 | 1,661 | ||||||
| 2,000 | University of Toledo, Series A, Rev., 4.000%, 06/01/13 | 2,096 | ||||||
| 11,375 | ||||||||
General Obligation — 31.4% | ||||||||
| 1,530 | Beavercreek City School District, School Improvement, GO, 5.000%, 12/01/23 | 1,650 | ||||||
Cincinnati City School District, Classroom Construction & Improvement, | ||||||||
| 1,000 | GO, NATL-RE, FGIC, 5.250%, 12/01/20 | 1,161 | ||||||
| 3,000 | GO, NATL-RE, FGIC, 5.250%, 12/01/24 | 3,330 | ||||||
| 1,800 | GO, NATL-RE, FGIC, 5.250%, 12/01/25 | 1,973 | ||||||
| 2,000 | City of Akron, Various Purpose, Series A, GO, 5.000%, 12/01/16 | 2,242 | ||||||
City of Avon, | ||||||||
| 1,000 | Series B, GO, 5.000%, 12/01/24 | 1,065 | ||||||
| 1,000 | Series B, GO, 5.000%, 12/01/25 | 1,056 | ||||||
City of Cincinnati, Various Purpose, | ||||||||
| 1,105 | Series A, GO, 5.000%, 12/01/22 | 1,211 | ||||||
| 1,500 | Series C, GO, 5.000%, 12/01/18 | 1,696 | ||||||
| 1,000 | City of Cleveland, GO, NATL-RE, 5.750%, 08/01/11 | 1,021 | ||||||
| 2,200 | City of Cleveland, Various Purpose, Series A, GO, AGC, 5.000%, 12/01/22 | 2,342 | ||||||
| 1,000 | City of Columbus School District, School Facilities Construction & Improvement, GO, 5.000%, 12/01/24 | 1,062 | ||||||
| 1,255 | City of Dayton, Various Purpose, Series A, GO, 3.250%, 12/01/16 | 1,319 | ||||||
City of Dublin, Various Purpose, | ||||||||
| 1,000 | Series A, GO, 3.000%, 12/01/14 | 1,058 | ||||||
| 1,030 | Series A, GO, 4.000%, 12/01/16 | 1,141 | ||||||
| 1,495 | City of Newark, Capital Appreciation, GO, NATL-RE, FGIC, Zero Coupon, 12/01/11 | 1,482 | ||||||
| 25 | City of Strongsville, Unrefunded Balance, GO, 6.700%, 12/01/11 | 25 | ||||||
City of Strongsville, Various Purpose, | ||||||||
| 1,000 | GO, 5.000%, 12/01/24 | 1,077 | ||||||
| 1,000 | GO, 5.000%, 12/01/25 | 1,067 | ||||||
| 1,475 | City of Westerville, GO, 5.000%, 12/01/15 | 1,695 | ||||||
| 1,775 | Columbus City School District, Capital Appreciation, Construction & Improvement, Series B, GO, Zero Coupon, 12/01/18 | 1,314 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — Continued | ||||||||
| 1,500 | Cuyahoga County, Capital Appreciation, Series A, GO, NATL-RE, Zero Coupon, 10/01/13 | 1,436 | ||||||
| 1,000 | Cuyahoga County, Various Purpose, Series A, GO, 4.000%, 12/01/15 | 1,097 | ||||||
| 1,000 | Dublin City School District, Capital Appreciation Bonds, GO, NATL-RE, FGIC, Zero Coupon, 12/01/15 | 893 | ||||||
Dublin City School District, School Facilities, Construction & Improvement, | ||||||||
| 1,000 | GO, 5.000%, 12/01/24 | 1,075 | ||||||
| 1,000 | GO, NATL-RE, 5.000%, 12/01/18 | 1,110 | ||||||
| 1,000 | GO, NATL-RE, 5.000%, 12/01/18 | 1,138 | ||||||
| 1,350 | Hamilton County, GO, 5.000%, 12/01/15 | 1,512 | ||||||
Lake County, Building Improvement, | ||||||||
| 1,010 | GO, NATL-RE, 5.000%, 12/01/21 | 1,068 | ||||||
| 1,060 | GO, NATL-RE, 5.000%, 12/01/22 | 1,111 | ||||||
| 1,400 | Lake Local School District/Stark County, School Improvement, GO, AGM, 5.000%, 12/01/19 | 1,501 | ||||||
| 2,450 | Lakewood City School District, Capital Appreciation, GO, AGM, Zero Coupon, 12/01/17 | 1,988 | ||||||
| 2,500 | Lakota Local School District, Series A, GO, NATL-RE, FGIC, 5.250%, 12/01/24 | 2,812 | ||||||
| 1,120 | Lebanon City School District, School Construction, GO, AGM, 5.000%, 12/01/21 | 1,183 | ||||||
| 1,930 | London City School District, School Facilities, Construction & Improvement, GO, NATL-RE, FGIC, 5.250%, 12/01/12 | 1,993 | ||||||
| 1,430 | Marysville Exempt Village School District, GO, AGM, 5.000%, 12/01/21 | 1,510 | ||||||
Olentangy Local School District, | ||||||||
| 2,000 | GO, AGM, 5.000%, 12/01/22 | 2,144 | ||||||
| 500 | GO, NATL-RE, 7.750%, 12/01/11 | 527 | ||||||
| 1,405 | Olentangy Local School District, School Facilities, Construction & Improvement, GO, 5.000%, 12/01/22 | 1,532 | ||||||
| 1,000 | Plain Local School District, GO, NATL-RE, FGIC, 5.800%, 12/01/15 | 1,012 | ||||||
| 1,260 | Southwest Licking Local School District, GO, NATL-RE, FGIC, 5.750%, 12/01/14 | 1,430 | ||||||
| 1,710 | Springfield City School District, Clark County, Capital Appreciation, GO, AMBAC, Zero Coupon, 12/01/12 | 1,655 | ||||||
| 1,750 | State of Ohio, Series A, GO, 5.375%, 09/01/23 | 1,916 | ||||||
State of Ohio, Common Schools, | ||||||||
| 1,205 | Series A, GO, 5.250%, 09/15/12 | 1,288 | ||||||
| 1,250 | Series B, GO, 5.000%, 03/15/19 | 1,346 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 39 | ||||||
Table of Contents
JPMorgan Ohio Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
General Obligation — Continued | ||||||||
State of Ohio, Conservation Projects, | ||||||||
| 2,720 | Series A, GO, 5.000%, 09/01/16 | 3,113 | ||||||
| 2,000 | Series B, GO, 3.500%, 03/01/15 | 2,129 | ||||||
| 1,000 | State of Ohio, Cultural & Sports Capital Refunding, Series B, GO, AGM, 5.000%, 10/01/15 | 1,125 | ||||||
| 2,000 | State of Ohio, Higher Education, Series A, GO, 5.000%, 08/01/16 | 2,288 | ||||||
| 1,500 | State of Ohio, Infrastructure Improvements, Series D, GO, 5.000%, 03/01/20 | 1,608 | ||||||
| 3,335 | State of Ohio, Site Development, Series A, GO, 4.000%, 11/01/14 | 3,632 | ||||||
| 1,380 | Sylvania City School District, School Improvement, GO, AGC, 5.000%, 12/01/23 | 1,455 | ||||||
| 1,905 | Westlake City School District, Capital Appreciation, School Improvement, Series A, GO, NATL-RE, FGIC, Zero Coupon, 12/01/15 | 1,680 | ||||||
| 81,294 | ||||||||
Hospital — 7.2% |
| |||||||
Cuyahoga County, | ||||||||
| 2,500 | Series A, Rev., 5.500%, 01/01/13 | 2,681 | ||||||
| 1,400 | Series A, Rev., 6.000%, 01/01/17 | 1,518 | ||||||
| 1,000 | Series A, Rev., 6.000%, 01/01/20 | 1,079 | ||||||
| 1,000 | Cuyahoga County, Metrohealth System, Series A, Rev., NATL-RE, 5.125%, 02/15/13 | 1,003 | ||||||
| 610 | Cuyahoga County, W.O. Walker Center, Inc., Series I, Rev., AMBAC, 5.250%, 01/01/13 | 611 | ||||||
| 1,000 | Franklin County, Health Care Facilities, Ohio Presbyterian Services, Rev., 5.500%, 07/01/17 | 1,001 | ||||||
Lucas County Hospital, Promedica Healthcare Obligation Group, | ||||||||
| 1,000 | Rev., AMBAC, 5.625%, 11/15/13 | 1,008 | ||||||
| 1,000 | Rev., AMBAC, 5.625%, 11/15/15 | 1,007 | ||||||
Ohio Higher Educational Facility Commission, University Hospital Health System, | ||||||||
| 1,000 | Series A, Rev., 5.000%, 01/15/14 | 1,063 | ||||||
| 550 | Series A, Rev., 5.000%, 01/15/24 | 534 | ||||||
| 1,000 | Series A, Rev., 5.250%, 01/15/23 | 1,021 | ||||||
| 2,500 | Richland County, Hospital Facilities, Medcentral Health Systems, Rev., 5.125%, 11/15/21 | 2,526 | ||||||
| 2,000 | State of Ohio, Higher Educational Facility, Cleveland Clinic Health, Series A, Rev., 5.000%, 01/01/26 | 2,002 | ||||||
| 1,500 | State of Ohio, Hospital Facility, Cleveland Clinic Health, Rev., 5.000%, 01/01/25 | 1,526 | ||||||
| 18,580 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — 5.5% |
| |||||||
| 920 | Cuyahoga County, Multi-Family Housing, Allerton Apartments, Series A, Rev., FHA, GNMA, 4.900%, 08/20/22 | 972 | ||||||
| 490 | Cuyahoga County, Multi-Family Housing, Clifton Plaza, Rev., GNMA COLL, 4.150%, 06/20/15 | 507 | ||||||
| 550 | Montgomery County, Multi-Family Housing, Chevy Chase Apartments, Rev., FHLMC, 4.600%, 11/01/15 | 575 | ||||||
| 195 | Ohio Capital Corp. For Housing, Mortgage, Section 8 Assisted, Series M, Rev., FHA, 5.900%, 02/01/14 | 195 | ||||||
Ohio Housing Finance Agency, | ||||||||
| 880 | Series A, Rev., AGM, 4.500%, 04/01/12 | 913 | ||||||
| 1,000 | Series A, Rev., AGM, 5.000%, 04/01/22 | 1,045 | ||||||
| 500 | Series A, Rev., AGM, 5.000%, 04/01/27 | 503 | ||||||
| 1,240 | Ohio Housing Finance Agency, Mortgage-Backed Securities Program, Series F, Rev., GNMA/FNMA/FHLMC, 4.250%, 09/01/16 | 1,303 | ||||||
| 1,390 | Ohio Housing Finance Agency, Multi-Family Housing, Hillwood II Project, Rev., AMT, GNMA COLL, 4.850%, 05/20/21 | 1,406 | ||||||
| 550 | Ohio Housing Finance Agency, Multi-Family Housing, Warren Heights, Series C, Rev., AMT, GNMA COLL, FHA, 4.500%, 11/20/17 | 536 | ||||||
Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, | ||||||||
| 690 | Series A, Rev., AMT, GNMA COLL, 4.300%, 03/01/16 | 702 | ||||||
| 1,750 | Series J, Rev., GNMA/FNMA/FHLMC, 5.900%, 09/01/23 | 1,847 | ||||||
| 2,730 | Summit County Port Authority, Callis Tower Apartments, Rev., GNMA COLL, FHA, 4.500%, 09/20/17 | 2,844 | ||||||
| 940 | Trumbull County, Multi-Family Housing, Royal Mall Apartments, Rev., FHA, GNMA COLL, 4.800%, 05/20/17 | 989 | ||||||
| 14,337 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 1.0% |
| |||||||
| 630 | Cleveland-Cuyahoga County Port Authority, Capital Improvement Project, Series A, Rev., 5.375%, 05/15/19 | 597 | ||||||
| 900 | Cleveland-Cuyahoga County Port Authority, Cleveland Bottle Supply, Series B, Rev., LOC: Fifth Third Bank, 6.500%, 11/15/21 | 864 | ||||||
| 885 | Summit County Port Authority, Twinsburg Project, Series D, Rev., 5.125%, 05/15/25 | 743 | ||||||
| 415 | Toledo-Lucas County Port Authority, Northwest Ohio Bond Fund, Series A, Rev., 5.100%, 05/15/12 | 410 | ||||||
| 2,614 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Other Revenue — 5.6% |
| |||||||
| 2,500 | Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Series A-1, Rev., 5.000%, 06/01/15 | 2,526 | ||||||
| 1,310 | Cuyahoga County, Economic Development, Shaker Square, Series D, Rev., 5.000%, 12/01/25 | 1,348 | ||||||
| 1,000 | Franklin County, Convention Facilities Authority, Tax and Lease, Rev., 5.000%, 12/01/22 | 1,076 | ||||||
Ohio State Building Authority, State Facilities, Administrative Building Fund, | ||||||||
| 1,000 | Series B, Rev., 5.000%, 10/01/23 | 1,058 | ||||||
| 1,220 | Series B, Rev., 5.000%, 10/01/24 | 1,276 | ||||||
Ohio State University, General Receipts, | ||||||||
| 2,000 | Series D, Rev., 5.000%, 12/01/26 | 2,178 | ||||||
| 2,000 | Series D, Rev., 5.000%, 12/01/27 | 2,161 | ||||||
| 75 | Ohio State Water Development Authority, Unrefunded Balance, Drinking Water Assistance Fund, Rev., 5.000%, 12/01/18 | 82 | ||||||
| 2,550 | RiverSouth Authority, RiverSouth Area Redevelopment, Series A, Rev., 5.000%, 12/01/17 | 2,816 | ||||||
| 14,521 | ||||||||
Prerefunded — 3.2% |
| |||||||
| 1,015 | City of Cleveland, GO, AMBAC, 5.250%, 12/01/14 (p) | 1,172 | ||||||
| 320 | City of Cleveland, Capital Appreciation, Public Power Systems, First Mortgage, Series A, Rev., NATL-RE, Zero Coupon, 11/15/11 (p) | 319 | ||||||
| 2,000 | City of Columbus School District, School Facilities Construction & Improvement, GO, AGM, 5.250%, 12/01/14 (p) | 2,295 | ||||||
| 2,685 | Ohio Housing Finance Agency, Single Family Mortgage, Rev., FGIC, FHA/VA/PRIV MTGS, Zero Coupon, 07/15/13 (p) | 2,245 | ||||||
| 820 | Ohio State University, General Receipts, Series B, Rev., 5.250%, 06/01/13 (p) | 898 | ||||||
| 1,175 | Ohio State Water Development Authority, Drinking Water Assistance Fund, Rev., 5.000%, 06/01/14 (p) | 1,319 | ||||||
| 8,248 | ||||||||
Private Placement — 0.1% |
| |||||||
| 357 | City of Columbus, Clintonville II Street Light Assessment, GO, 4.400%, 09/01/15 | 360 | ||||||
Special Tax — 2.3% |
| |||||||
| 1,000 | City of Akron, Community Learning Centers, Series A, Rev., NATL-RE, FGIC, 5.250%, 12/01/19 | 1,067 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Special Tax — Continued |
| |||||||
| 1,000 | Hamilton County, Sales Tax, Series A, Rev., AMBAC, 5.000%, 12/01/18 | 1,075 | ||||||
State of Ohio, | ||||||||
| 1,500 | Series A, Rev., 5.000%, 10/01/20 | 1,638 | ||||||
| 1,000 | Series A, Rev., 5.000%, 10/01/21 | 1,080 | ||||||
| 1,000 | Series A, Rev., 5.000%, 10/01/22 | 1,065 | ||||||
| 5,925 | ||||||||
Transportation — 8.4% |
| |||||||
City of Cleveland, Airport System, | ||||||||
| 2,000 | Series A, Rev., AGM-CR, AMBAC, 5.250%, 01/01/20 | 2,194 | ||||||
| 1,500 | Series C, Rev., AGC, 4.000%, 01/01/16 | 1,590 | ||||||
| 1,000 | Series C, Rev., AGC, 5.000%, 01/01/16 | 1,105 | ||||||
| 1,500 | Series C, Rev., AGM, 5.000%, 01/01/19 | 1,598 | ||||||
City of Cleveland, Parking Facilities, | ||||||||
| 1,000 | Rev., AGM, 5.000%, 09/15/14 | 1,075 | ||||||
| 1,370 | Rev., AGM, 5.250%, 09/15/21 | 1,448 | ||||||
| 2,000 | Columbus Regional Airport Authority, Rev., NATL-RE, 5.000%, 01/01/19 | 2,155 | ||||||
Ohio State Turnpike Commission, | ||||||||
| 2,000 | Series A, Rev., 5.000%, 02/15/22 | 2,147 | ||||||
| 1,185 | Series A, Rev., 5.000%, 02/15/23 | 1,254 | ||||||
| 5,155 | Series A, Rev., NATL-RE, FGIC, 5.500%, 02/15/14 | 5,743 | ||||||
| 1,250 | State of Ohio, Major Infrastructure Project, Series 2007-1, Rev., AGM, 5.000%, 06/15/17 | 1,429 | ||||||
| 21,738 | ||||||||
Utility — 3.7% |
| |||||||
| 1,000 | American Municipal Power-Ohio, Inc., Prairie State Energy Campus, Series A, Rev., AGC, 5.000%, 02/15/24 | 1,032 | ||||||
| 2,680 | City of Cleveland, Capital Appreciation, Public Power Systems, First Mortgage, Unrefunded Balance, Series A, Rev., NATL-RE, Zero Coupon, 11/15/11 | 2,655 | ||||||
City of Cleveland, Public Power Systems, | ||||||||
| 1,220 | Rev., AMBAC, 5.500%, 11/15/16 | 1,251 | ||||||
| 1,280 | Series A, Rev., NATL-RE, FGIC, 5.000%, 11/15/15 | 1,398 | ||||||
| 1,000 | Series A-1, Rev., NATL-RE, FGIC, 5.000%, 11/15/20 | 1,043 | ||||||
City of Hamilton, Electric Systems, | ||||||||
| 950 | Series A, Rev., AGC, 5.000%, 10/01/20 | 1,056 | ||||||
| 1,000 | Series A, Rev., AGC, 5.000%, 10/01/21 | 1,098 | ||||||
| 9,533 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 41 | ||||||
Table of Contents
JPMorgan Ohio Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Water & Sewer — 6.8% |
| |||||||
City of Akron, Sanitation Sewer System, | ||||||||
| 1,030 | Rev., NATL-RE, FGIC, 5.375%, 12/01/13 | 1,106 | ||||||
| 1,070 | Rev., NATL-RE, FGIC, 5.500%, 12/01/12 | 1,133 | ||||||
| 1,000 | City of Akron, Waterworks, Rev., AGC, 5.000%, 03/01/18 | 1,125 | ||||||
City of Cincinnati, Water Systems, | ||||||||
| 1,500 | Series A, Rev., 5.000%, 12/01/18 | 1,682 | ||||||
| 1,000 | Sub Series B, Rev., NATL-RE, 5.000%, 12/01/22 | 1,079 | ||||||
| 1,220 | City of Cleveland, Waterworks, Series O, Rev., NATL-RE, 5.000%, 01/01/19 | 1,348 | ||||||
| 775 | City of Cleveland, Waterworks, First Mortgage, Series G, Rev., NATL-RE, 5.500%, 01/01/13 | 804 | ||||||
| 2,975 | Clermont County, Sewer District, Rev., AMBAC, 5.250%, 08/01/16 | 3,228 | ||||||
| 2,000 | Ohio State Water Development Authority, Capital Appreciation, Water Quality Fund, Series B, Rev., Zero Coupon, 06/01/17 | 1,656 | ||||||
| 2,000 | Ohio State Water Development Authority, Drinking Water Assistance Fund, Rev., 5.000%, 12/01/23 | 2,159 | ||||||
| 2,000 | Ohio State Water Development Authority, Fresh Water, Rev., 5.500%, 12/01/21 | 2,395 | ||||||
| 17,715 | ||||||||
Total Ohio | 230,747 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Texas — 1.9% |
| |||||||
General Obligation — 1.1% |
| |||||||
| 1,000 | Northside Independent School District, Series D, GO, PSF-GTD, 5.000%, 06/15/18 | 1,122 | ||||||
| 1,500 | State of Texas, Transition Community, Mobility Fund, GO, 5.000%, 04/01/19 | 1,659 | ||||||
| 2,781 | ||||||||
Prerefunded — 0.8% |
| |||||||
| 2,500 | Southeast Texas Housing Finance Corp., Rev., NATL-RE, Zero Coupon, 09/01/17 (p) | 2,095 | ||||||
Total Texas | 4,876 | |||||||
Total Municipal Bonds | 255,952 | |||||||
| Short-Term Investment — 0.4% |
| ||||||
Investment Company — 0.4% |
| |||||||
| 898 | JPMorgan Tax Free Money Market Fund, Institutional Class Shares, 0.090% (b) (l) (m) | 898 | ||||||
Total Investments — 99.2% | 256,850 | |||||||
Other Assets in Excess of | 2,196 | |||||||
NET ASSETS — 100.0% | $ | 259,046 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Collateralized Mortgage Obligation — 0.1% |
| ||||||
Agency CMO — 0.1% |
| |||||||
| 1,040 | Federal National Mortgage Association REMICS, Series 2002-36, Class FS, VAR, 0.762%, 06/25/32 | 1,046 | ||||||
| 171 | Government National Mortgage Association, Series 2000-38, Class F, VAR, 0.663%, 12/20/30 | 171 | ||||||
| 1,217 | ||||||||
Total Collateralized Mortgage Obligations | 1,217 | |||||||
| Municipal Bonds — 98.2% |
| ||||||
Alabama — 0.6% |
| |||||||
Other Revenue — 0.6% |
| |||||||
| 2,440 | Auburn University, Rev., 5.000%, 06/01/15 | 2,744 | ||||||
| 5,000 | Mobile Industrial Development Board, Alabama Power Co., Barry Plant, Rev., VAR, 1.000%, 08/16/11 | 5,002 | ||||||
Total Alabama | 7,746 | |||||||
Alaska — 0.1% |
| |||||||
Other Revenue — 0.1% |
| |||||||
| 1,000 | Alaska Industrial Development & Export Authority, Revolving Fund, Series A, Rev., 5.000%, 04/01/12 | 1,043 | ||||||
Arizona — 0.9% |
| |||||||
Certificate of Participation/Lease — 0.3% |
| |||||||
| 3,625 | Salt River Project Agricultural Improvement & Power District, COP, NATL-RE, 5.000%, 12/01/18 | 3,884 | ||||||
Hospital — 0.4% | ||||||||
| 5,000 | Arizona Health Facilities Authority, Phoenix Children’s Hospital, Series A, Rev., VAR, 1.260%, 02/02/15 | 4,332 | ||||||
Transportation — 0.2% |
| |||||||
| 2,000 | Arizona State Transportation Board, Maricopa County Regional Area Roads, Rev., 5.000%, 07/01/11 | 2,032 | ||||||
Total Arizona | 10,248 | |||||||
California — 1.4% |
| |||||||
Certificate of Participation/Lease — 0.2% |
| |||||||
| 2,000 | Santa Clara County Financing Authority, Multiple Facilities Projects, Series N, Rev., COP, 4.000%, 05/15/11 | 2,014 | ||||||
Hospital — 0.3% |
| |||||||
| 1,000 | California Health Facilities Financing Authority, Stanford Hospital, Series A-3, Rev., VAR, 3.450%, 06/15/11 | 1,009 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Hospital — Continued |
| |||||||
| 3,000 | California Statewide Communities Development Authority, Kaiser Permanente, Series E, Rev., VAR, 4.000%, 05/02/11 | 3,019 | ||||||
| 4,028 | ||||||||
Other Revenue — 0.2% |
| |||||||
| 3,860 | Golden State Tobacco Securitization Corp., Asset-Backed, Series A-1, Rev., 4.500%, 06/01/27 | 2,768 | ||||||
Prerefunded — 0.7% |
| |||||||
| 5,250 | Golden State Tobacco Securitization Corp., Asset-Backed, Series A-4, Rev., 7.800%, 06/01/13 (p) | 6,036 | ||||||
| 1,635 | State of California, Economic Recovery, Series A, GO, NATL-RE, 5.250%, 07/01/13 (p) | 1,805 | ||||||
| 7,841 | ||||||||
Total California | 16,651 | |||||||
Colorado — 1.6% |
| |||||||
Housing — 0.0% (g) |
| |||||||
| 100 | El Paso County, Single Family Mortgage, Series A, Rev., 6.200%, 11/01/24 | 101 | ||||||
Prerefunded — 0.4% |
| |||||||
| 2,165 | Douglas County School District No Re-1 Douglas & Elbert Counties, GO, NATL-RE, FGIC, 5.750%, 12/15/14 (p) | 2,535 | ||||||
| 2,295 | El Paso County School District No. 20 Academy, GO, NATL-RE, FGIC, 5.250%, 12/15/12 (p) | 2,486 | ||||||
| 5,021 | ||||||||
Transportation — 1.0% |
| |||||||
| 10,000 | Colorado Department of Transportation, Series B, Rev., NATL-RE, 5.500%, 06/15/14 | 11,332 | ||||||
Utility — 0.2% |
| |||||||
| 2,000 | City of Colorado Springs, Utilities Systems, Sub Lien, Series A, Rev., 5.000%, 11/15/11 | 2,065 | ||||||
Total Colorado | 18,519 | |||||||
Connecticut — 2.8% | ||||||||
Education — 0.2% | ||||||||
| 2,395 | Connecticut State Higher Education Supplement Loan Authority, Family Education Loan Program, Series A, Rev., NATL-RE, 4.375%, 11/15/13 | 2,525 | ||||||
General Obligation — 2.6% | ||||||||
State of Connecticut, | ||||||||
| 5,000 | GO, 5.000%, 03/15/12 | 5,235 | ||||||
| 5,000 | Series E, GO, AGM, 5.500%, 11/15/12 | 5,411 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 43 | ||||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
General Obligation — Continued | ||||||||
State of Connecticut, Economic Recovery, | ||||||||
| 10,100 | Series A, GO, 5.000%, 01/01/13 | 10,864 | ||||||
| 5,500 | Series A, GO, 5.000%, 01/01/16 | 6,258 | ||||||
Town of Glastonbury, | ||||||||
| 1,320 | GO, 5.000%, 05/15/13 | 1,441 | ||||||
| 1,000 | GO, 5.000%, 05/15/14 | 1,121 | ||||||
| 30,330 | ||||||||
Total Connecticut | 32,855 | |||||||
Delaware — 1.3% | ||||||||
General Obligation — 0.6% | ||||||||
| 6,790 | State of Delaware, Series A, GO, 5.000%, 07/01/17 | 7,954 | ||||||
Transportation — 0.7% | ||||||||
| 7,500 | Delaware Transportation Authority, Motor Fuel Tax Revenue, Series B, Rev., AMBAC, 5.250%, 07/01/12 | 7,968 | ||||||
Total Delaware | 15,922 | |||||||
District of Columbia — 0.2% | ||||||||
Water & Sewer — 0.2% | ||||||||
| 1,725 | District of Columbia Water & Sewer Authority, Sub Lien, Series A, Rev., AGC, 5.000%, 10/01/13 | 1,891 | ||||||
Florida — 5.0% | ||||||||
Education — 0.5% | ||||||||
| 6,250 | Miami-Dade County Educational Facilities Authority, University of Miami, Series B, Rev., 5.000%, 04/01/12 | 6,487 | ||||||
Other Revenue — 1.2% | ||||||||
| 2,000 | Broward County, Main Court House Project, Series A, Rev., 5.000%, 10/01/15 | 2,224 | ||||||
| 10,000 | Florida Hurricane Catastrophe Fund Finance Corp., Series A, Rev., 5.000%, 07/01/11 | 10,115 | ||||||
| 1,785 | Miami-Dade County, Capital Asset Acquisition, Series A, Rev., AMBAC, 5.000%, 04/01/14 | 1,911 | ||||||
| 14,250 | ||||||||
Prerefunded — 1.7% | ||||||||
| 2,195 | Collier County School Board, COP, AGM, 5.375%, 02/15/12 (p) | 2,298 | ||||||
| 9,440 | Hillsborough County School Board, Rev., AMBAC, 5.375%, 10/01/11 (p) | 9,712 | ||||||
| 3,000 | Orange County, Tourist Development, Senior Lien, Rev., AMBAC, 5.500%, 04/01/12 (p) | 3,164 | ||||||
| 4,875 | Palm Beach County School Board, Series B, COP, VAR, FGIC, 5.000%, 08/01/11 (p) | 4,957 | ||||||
| 20,131 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Water & Sewer — 1.6% | ||||||||
Miami-Dade County, Water & Sewer Systems, | ||||||||
| 1,645 | Series B, Rev., AGM, 5.000%, 10/01/13 | 1,791 | ||||||
| 5,000 | Series B, Rev., AGM, 5.000%, 10/01/14 | 5,536 | ||||||
Tampa Bay Water Utility System, Water Supply Authority, | ||||||||
| 5,000 | Rev., NATL-RE, FGIC, 5.000%, 10/01/13 | 5,485 | ||||||
| 5,000 | Rev., NATL-RE, FGIC, 5.250%, 10/01/15 | 5,718 | ||||||
| 18,530 | ||||||||
Total Florida | 59,398 | |||||||
Georgia — 6.4% | ||||||||
General Obligation — 3.7% | ||||||||
| 5,000 | Bartow County School District, Series A, GO, 5.000%, 10/01/14 | 5,596 | ||||||
| 2,000 | Carroll County, Sales Tax, GO, AGC, 5.000%, 07/01/11 | 2,032 | ||||||
| 5,365 | DeKalb County, Special Transportation Parks & Greenspace, GO, 5.000%, 12/01/15 | 6,091 | ||||||
| 2,160 | Floyd County, Sales Tax, GO, 5.000%, 04/01/12 | 2,264 | ||||||
State of Georgia, | ||||||||
| 5,000 | Series G, GO, 4.000%, 11/01/12 | 5,286 | ||||||
| 7,415 | Series G, GO, 5.000%, 10/01/12 | 7,936 | ||||||
| 2,780 | Series I, GO, 5.000%, 07/01/16 | 3,225 | ||||||
| 10,000 | Series I, GO, 5.000%, 07/01/18 | 11,778 | ||||||
| 44,208 | ||||||||
Other Revenue — 1.3% |
| |||||||
Camden County Public Service Authority, St. Mary’s Project, | ||||||||
| 1,230 | Rev., 5.000%, 12/01/15 | 1,397 | ||||||
| 1,685 | Rev., 5.000%, 12/01/16 | 1,932 | ||||||
| 5,000 | Douglas County, Sales Tax, GO, 5.000%, 08/01/14 | 5,588 | ||||||
| 5,000 | Georgia State Road & Tollway Authority, Federal Highway, Series A, Rev., GAN, 5.000%, 06/01/16 | 5,712 | ||||||
| 14,629 | ||||||||
Prerefunded — 0.8% |
| |||||||
| 8,850 | State of Georgia, Series B, GO, 5.000%, 05/01/12 (p) | 9,323 | ||||||
Special Tax — 0.6% |
| |||||||
| 6,870 | Georgia State Road & Tollway Authority, Rev., 5.250%, 10/01/12 | 7,380 | ||||||
Total Georgia | 75,540 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Hawaii — 1.7% |
| |||||||
General Obligation — 1.5% |
| |||||||
| 5,000 | City & County of Honolulu, Series A, GO, NATL-RE, 5.000%, 07/01/13 | 5,465 | ||||||
| 10,160 | State of Hawaii, Series DY, GO, 5.000%, 02/01/20 | 11,747 | ||||||
| 17,212 | ||||||||
Prerefunded — 0.2% |
| |||||||
| 2,750 | State of Hawaii, Series CZ, GO, AGM, 5.000%, 07/01/12 (p) | 2,910 | ||||||
Total Hawaii | 20,122 | |||||||
Idaho — 1.1% |
| |||||||
Short Term Note — 0.5% |
| |||||||
| 5,925 | State of Idaho, TAN, Rev., 2.000%, 06/30/11 | 5,958 | ||||||
Transportation — 0.6% |
| |||||||
| 6,045 | Idaho Housing & Finance Association, Federal Highway, Series A, Rev., AGC, 5.250%, 07/15/14 | 6,694 | ||||||
Total Idaho | 12,652 | |||||||
Illinois — 4.2% |
| |||||||
Education — 0.4% |
| |||||||
| 5,000 | Illinois Finance Authority, Educational Facilities, University of Chicago, Series B-1, Rev., VAR, 1.125%, 02/14/13 | 4,983 | ||||||
General Obligation — 0.4% |
| |||||||
| 5,000 | Kane Cook & DuPage Counties School District No. U-46 Elgin, GO, 4.000%, 01/01/14 | 5,256 | ||||||
Hospital — 0.7% |
| |||||||
Illinois Finance Authority, Advocate Health Care, | ||||||||
| 2,500 | Series A-3, Rev., VAR, 3.875%, 05/01/12 | 2,551 | ||||||
| 5,245 | Series C, Rev., VAR, 0.400%, 03/25/11 | 5,245 | ||||||
| 1,010 | Sub Series C3B, Rev., VAR, 4.375%, 07/01/14 | 1,061 | ||||||
| 8,857 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.2% |
| |||||||
| 2,075 | City of Chicago, Pilsen Redevelopment, Tax Allocation, Series A, AMBAC, 4.350%, 06/01/13 | 2,045 | ||||||
Other Revenue — 0.2% |
| |||||||
| 1,790 | Illinois Educational Facilities Authority, Medical Term-Field Museum, Rev., VAR, 4.450%, 11/01/14 | 1,885 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Prerefunded — 2.0% |
| |||||||
| 5,000 | Chicago Board of Education, Series C, GO, AGM, 5.000%, 12/01/11 (p) | 5,176 | ||||||
| 5,000 | Chicago Metropolitan Water Reclamation District-Greater Chicago, Capital Improvement, GO, 5.500%, 12/01/12 (p) | 5,263 | ||||||
| 6,775 | City of Chicago, Series A, GO, AGM, 5.000%, 01/01/14 (p) | 7,532 | ||||||
| 3,735 | State of Illinois, First Series, GO, NATL-RE, FGIC, 5.375%, 11/01/11 (p) | 3,858 | ||||||
| 2,000 | Will & Kendall Counties Community Consolidated School District 202, School Building, Series A, GO, FGIC, 5.000%, 07/01/13 (p) | 2,199 | ||||||
| 24,028 | ||||||||
Transportation — 0.3% |
| |||||||
| 2,845 | Chicago Transit Authority, Capital Grant, Federal Transit Administration, Section 5309, Rev., AGC, 5.000%, 06/01/14 | 3,014 | ||||||
Total Illinois | 50,068 | |||||||
Indiana — 2.2% |
| |||||||
Education — 0.3% |
| |||||||
| 2,375 | Indiana University, Student Fee, Series T-1, Rev., 5.000%, 08/01/14 | 2,666 | ||||||
| 1,000 | Purdue University, Student Fee, Series X, Rev., 5.000%, 07/01/11 | 1,016 | ||||||
| 3,682 | ||||||||
General Obligation — 0.1% |
| |||||||
| 1,000 | Indianapolis-Marion County Public Library, GO, 5.000%, 01/01/16 | 1,130 | ||||||
Hospital — 0.1% |
| |||||||
| 1,750 | Indiana Health Facility Financing Authority, Ascension Health, Series A3, Rev., VAR, 5.000%, 07/01/11 | 1,778 | ||||||
Other Revenue — 0.2% |
| |||||||
| 1,900 | Indiana Finance Authority, Ascension Health, Series A-8, Rev., VAR, 5.000%, 07/28/16 | 2,126 | ||||||
Prerefunded — 1.5% |
| |||||||
| 4,775 | Carmel School Building Corp., First Mortgage, Rev., NATL-RE, 5.000%, 07/15/13 (p) | 5,256 | ||||||
| 2,100 | Indiana Finance Authority, Series A, Rev., FGIC, 5.250%, 06/01/14 (p) | 2,382 | ||||||
| 9,000 | Indiana Transportation Finance Authority, Series A, Rev., FGIC, 5.250%, 06/01/14 (p) | 10,207 | ||||||
| 17,845 | ||||||||
Total Indiana | 26,561 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 45 | ||||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Iowa — 0.2% |
| |||||||
Other Revenue — 0.2% |
| |||||||
| 2,000 | Iowa Higher Education Loan Authority, Private College Facility, Rev., 4.000%, 12/01/13 | 2,158 | ||||||
Kansas — 0.3% |
| |||||||
General Obligation — 0.2% |
| |||||||
| 2,400 | City of Olathe, Series 211, GO, 5.000%, 10/01/12 | 2,565 | ||||||
Other Revenue — 0.1% |
| |||||||
| 1,000 | Kansas Development Finance Authority, Kansas State Projects, Series E-1, Rev., 5.000%, 11/01/14 | 1,120 | ||||||
Total Kansas | 3,685 | |||||||
Kentucky — 1.7% |
| |||||||
Other Revenue — 0.4% |
| |||||||
| 3,820 | Kentucky State Property & Buildings Commission, Project 95, Series A, Rev., 5.000%, 08/01/13 | 4,139 | ||||||
Prerefunded — 0.7% |
| |||||||
| 5,310 | Kentucky State Property & Buildings Commission, Project 85, Rev., AGM, 5.000%, 08/01/15 (p) | 6,111 | ||||||
| 2,585 | Kentucky State Property & Buildings Commission, Refunding Project 72, Rev., NATL-RE, 5.375%, 10/01/11 (p) | 2,662 | ||||||
| 8,773 | ||||||||
Transportation — 0.6% |
| |||||||
Kenton County Airport Board, | ||||||||
| 1,000 | Rev., AMT, NATL-RE, 5.000%, 03/01/12 | 1,030 | ||||||
| 5,830 | Rev., AMT, XLCA, 5.000%, 03/01/12 | 6,009 | ||||||
| 7,039 | ||||||||
Total Kentucky | 19,951 | |||||||
Louisiana — 1.4% |
| |||||||
Certificate of Participation/Lease — 0.5% |
| |||||||
| 5,000 | City of Baton Rouge / Parish of East Baton Rouge, Public Improvement, Series ST, Rev., COP, NATL-RE, 5.000%, 02/01/13 (p) | 5,462 | ||||||
Hospital — 0.0% (g) | ||||||||
| 510 | Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, Series B, Rev., 5.000%, 05/15/11 | 512 | ||||||
Other Revenue — 0.6% |
| |||||||
| 7,605 | State of Louisiana, Gas & Fuel Tax Revenue, Second Lien, Series A, Rev., VAR, 1.010%, 06/01/13 | 7,591 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Prerefunded — 0.3% |
| |||||||
| 3,010 | City of Baton Rouge / Parish of East Baton Rouge, Public Improvement, Series ST, Rev., AMBAC, 5.125%, 02/01/14 (p) | 3,389 | ||||||
Resource Recovery — 0.0% (g) |
| |||||||
| 310 | Parish of St. Mary, Solid Waste, Rev., 5.400%, 03/01/11 | 310 | ||||||
Total Louisiana | 17,264 | |||||||
Maine — 0.7% |
| |||||||
General Obligation — 0.2% |
| |||||||
| 2,675 | State of Maine, Series C, GO, 4.000%, 06/01/13 | 2,855 | ||||||
Other Revenue — 0.5% |
| |||||||
| 5,215 | University of Maine, Rev., AGM, 5.375%, 03/01/12 | 5,473 | ||||||
Total Maine | 8,328 | |||||||
Maryland — 6.2% |
| |||||||
General Obligation — 5.4% |
| |||||||
Anne Arundel County, General Improvement, | ||||||||
| 2,475 | GO, 4.000%, 04/01/12 | 2,571 | ||||||
| 7,610 | GO, 5.000%, 04/01/14 | 8,503 | ||||||
| 3,250 | Harford County, Public Improvement, GO, 4.500%, 12/01/13 | 3,560 | ||||||
| 2,100 | Maryland State Transportation Authority, GO, 5.250%, 03/01/16 | 2,440 | ||||||
| 10,850 | Montgomery County, Public Improvement, Series A, GO, 5.000%, 08/01/18 | 12,784 | ||||||
Prince George’s County, Public Improvement, | ||||||||
| 1,500 | GO, 5.500%, 10/01/13 | 1,675 | ||||||
| 3,000 | Series A, GO, 5.000%, 07/15/13 | 3,290 | ||||||
| 5,270 | Series A, GO, 5.000%, 09/15/18 | 6,205 | ||||||
State of Maryland, State and Local Facilities, | ||||||||
| 11,275 | Series A, GO, 5.000%, 11/01/14 | 12,771 | ||||||
| 5,000 | Series B, GO, 5.000%, 08/01/17 | 5,857 | ||||||
| 5,000 | State of Maryland, State and Local Facilities Capital Improvement, Series A, GO, 5.500%, 03/01/11 | 5,001 | ||||||
| 64,657 | ||||||||
Other Revenue — 0.5% |
| |||||||
| 5,000 | Maryland State Department of Transportation County Transportation, Rev., 5.000%, 03/01/16 | 5,731 | ||||||
Special Tax — 0.3% |
| |||||||
| 3,190 | Maryland State Department of Transportation County Transportation, Rev., 5.000%, 11/01/12 | 3,422 | ||||||
Total Maryland | 73,810 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Massachusetts — 5.4% |
| |||||||
Education — 2.1% |
| |||||||
Massachusetts School Building Authority, | ||||||||
| 6,890 | Series A, Rev., 4.000%, 05/15/13 | 7,334 | ||||||
| 8,385 | Series A, Rev., 4.000%, 05/15/14 | 9,064 | ||||||
| 7,250 | Series A, Rev., 5.000%, 05/15/15 | 8,204 | ||||||
| 24,602 | ||||||||
General Obligation — 1.4% |
| |||||||
| 2,840 | City of Boston, Series A, GO, 5.000%, 04/01/16 | 3,272 | ||||||
| 5,000 | Commonwealth of Massachusetts, Series D, GO, NATL-RE, 5.500%, 11/01/13 | 5,572 | ||||||
| 6,500 | Commonwealth of Massachusetts, Consolidated Loan, Series C, GO, 5.000%, 12/01/15 | 7,412 | ||||||
| 16,256 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.1% |
| |||||||
| 1,500 | Massachusetts Water Pollution Abatement, State Revolving Fund, Series 14, Rev., 5.000%, 08/01/13 | 1,646 | ||||||
Prerefunded — 1.5% |
| |||||||
Commonwealth of Massachusetts, | ||||||||
| 2,000 | Series A, GO, AMBAC, 6.500%, 11/01/14 (p) | 2,389 | ||||||
| 5,500 | Series B, GO, 5.000%, 08/01/14 (p) | 6,128 | ||||||
| 5,000 | Series D, GO, 5.250%, 10/01/13 (p) | 5,549 | ||||||
| 3,515 | University of Massachusetts Building Authority, Commonwealth Guaranteed, Series 4-A, Rev., NATL-RE, 5.250%, 11/01/14 (p) | 4,041 | ||||||
| 18,107 | ||||||||
Special Tax — 0.3% |
| |||||||
| 3,000 | Massachusetts Bay Transportation Authority, Series B, Rev., 5.250%, 07/01/14 | 3,382 | ||||||
Total Massachusetts | 63,993 | |||||||
Michigan — 2.1% |
| |||||||
General Obligation — 0.3% |
| |||||||
| 1,470 | Kentwood Public Schools, GO, 5.000%, 05/01/12 | 1,538 | ||||||
| 1,645 | Southfield Public Schools, GO, NATL-RE, Q-SBLF, 5.000%, 05/01/15 | 1,806 | ||||||
| 3,344 | ||||||||
Prerefunded — 0.9% |
| |||||||
| 5,000 | City of Detroit, Senior Lien, Series A, Rev., FGIC, 5.125%, 07/01/11 (p) | 5,082 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Prerefunded — Continued |
| |||||||
| 4,420 | Delta County Economic Development Corp., Mead Westvaco-Escanaba, Series A, Rev., 6.250%, 04/15/12 (p) | 4,697 | ||||||
| 1,070 | Van Buren Charter Township Local Development Finance Authority, Tax Increment, GO, FGIC, 5.250%, 04/01/13 (p) | 1,170 | ||||||
| 10,949 | ||||||||
Transportation — 0.3% |
| |||||||
| 2,825 | Wayne County Airport Authority, Rev., NATL-RE, FGIC, 5.000%, 12/01/14 | 2,993 | ||||||
Water & Sewer — 0.6% |
| |||||||
| 10,885 | City of Detroit, Sewer Disposal, Series D, Rev., VAR, AGM, 0.803%, 07/01/32 | 7,405 | ||||||
Total Michigan | 24,691 | |||||||
Minnesota — 2.9% |
| |||||||
General Obligation — 1.6% |
| |||||||
State of Minnesota, | ||||||||
| 6,565 | GO, 5.000%, 08/01/13 | 7,210 | ||||||
| 5,555 | GO, 5.000%, 10/01/15 | 6,377 | ||||||
| 5,000 | State of Minnesota, Various Purpose, Series A, GO, 5.000%, 08/01/15 | 5,722 | ||||||
| 19,309 | ||||||||
Hospital — 0.2% |
| |||||||
| 2,000 | St. Paul Housing & Redevelopment Authority, Series A, Rev., NATL-RE, 5.000%, 11/15/14 | 2,171 | ||||||
Prerefunded — 1.1% |
| |||||||
| 5,000 | Minnesota Public Facilities Authority, Series A, Rev., 5.000%, 03/01/12 (p) | 5,226 | ||||||
| 7,305 | State of Minnesota, GO, 5.250%, 11/01/12 (p) | 7,874 | ||||||
| 13,100 | ||||||||
Total Minnesota | 34,580 | |||||||
Mississippi — 0.2% |
| |||||||
Certificate of Participation/Lease — 0.2% |
| |||||||
| 1,060 | Mississippi Development Bank Special Obligation, Marshall County Correctional Facility, Series C, Rev., COP, 5.000%, 08/01/11 (p) | 1,081 | ||||||
| 1,045 | Mississippi Development Bank Special Obligation, Wilkinson County Correctional Center, Series D, Rev., COP, 5.000%, 08/01/11 (p) | 1,065 | ||||||
Total Mississippi | 2,146 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 47 | ||||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Missouri — 0.9% |
| |||||||
General Obligation — 0.5% |
| |||||||
| 5,000 | Kansas City, Streetlight Project, Series A, GO, NATL-RE, 5.000%, 02/01/13 | 5,397 | ||||||
| 665 | Riverview Gardens School District, Capital Appreciation, GO, AGM, Zero Coupon, 04/01/11 | 665 | ||||||
| 6,062 | ||||||||
Transportation — 0.4% |
| |||||||
City of St. Louis, Lambert-St. Louis International Airport, | ||||||||
| 4,000 | Series A-2, Rev., 4.000%, 07/01/11 | 4,028 | ||||||
| 1,000 | Series A-2, Rev., 4.250%, 07/01/12 | 1,006 | ||||||
| 5,034 | ||||||||
Total Missouri | 11,096 | |||||||
Montana — 0.1% |
| |||||||
General Obligation — 0.1% |
| |||||||
| 1,775 | State of Montana, Long Range Building Program, Series A, GO, 3.000%, 08/01/12 | 1,836 | ||||||
Nebraska — 0.1% |
| |||||||
Utility — 0.1% |
| |||||||
| 1,160 | Nebraska Public Power District, Series B, Rev., 5.000%, 01/01/12 | 1,202 | ||||||
Nevada — 0.6% |
| |||||||
Prerefunded — 0.6% |
| |||||||
| 7,185 | Truckee Meadows Water Authority, Series A, Rev., AGM, 5.250%, 07/01/11 (p) | 7,306 | ||||||
New Hampshire — 0.4% |
| |||||||
Other Revenue — 0.4% |
| |||||||
| 4,530 | New Hampshire Municipal Bond Bank, Series A, Rev., 5.000%, 08/15/15 | 5,156 | ||||||
New Jersey — 3.8% |
| |||||||
Education — 1.8% |
| |||||||
New Jersey EDA, School Facilities Construction, | ||||||||
| 2,475 | Series J3, Rev., VAR, AGM, 5.000%, 09/01/14 | 2,708 | ||||||
| 4,500 | Series J4, Rev., VAR, AGM, 5.000%, 09/01/14 | 4,924 | ||||||
| 5,095 | Series L, Rev., AGM, 5.250%, 03/01/15 | 5,677 | ||||||
| 5,845 | New Jersey Educational Facilities Authority, Princeton University, Series D, Rev., 5.250%, 07/01/14 | 6,612 | ||||||
| 1,475 | New Jersey State Educational Facilities Authority, Stevens Institute of Technology, Series A, Rev., 5.000%, 07/01/13 | 1,540 | ||||||
| 21,461 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — 1.2% |
| |||||||
| 410 | New Jersey Transportation Trust Fund Authority, Transportation System, Series B, GO, NATL-RE, 5.250%, 12/15/13 (p) | 460 | ||||||
| 9,605 | New Jersey Transportation Trust Fund Authority, Unrefunded Balance, Transportation System, GO, NATL-RE, 5.250%, 12/15/13 | 10,431 | ||||||
| 3,000 | State of New Jersey, Various Purpose, GO, AMBAC, 5.000%, 04/01/14 (p) | 3,358 | ||||||
| 14,249 | ||||||||
Other Revenue — 0.2% |
| |||||||
| 2,250 | New Jersey EDA, PSE&G Project, Rev., AMT, VAR, 1.200%, 12/01/11 | 2,250 | ||||||
Prerefunded — 0.5% |
| |||||||
| 4,675 | Garden State Preservation Trust, Series A, Rev., AGM, 5.250%, 11/01/13 (p) | 5,228 | ||||||
Transportation — 0.1% |
| |||||||
| 1,445 | New Jersey Transportation Trust Fund Authority, Transportation System, Series B, Rev., NATL-RE, 5.500%, 12/15/15 | 1,607 | ||||||
Total New Jersey | 44,795 | |||||||
New Mexico — 1.8% |
| |||||||
General Obligation — 0.2% |
| |||||||
| 2,000 | New Mexico Finance Authority, Senior Lien, Series A, GO, NATL-RE, 5.250%, 06/15/14 (p) | 2,271 | ||||||
Other Revenue — 1.6% |
| |||||||
City of Santa Fe, Gross Receipts, | ||||||||
| 4,520 | Series A, Rev., 5.000%, 06/01/14 | 5,005 | ||||||
| 3,000 | Series A, Rev., 5.000%, 06/01/15 | 3,360 | ||||||
New Mexico Finance Authority, Sub Lien, | ||||||||
| 5,000 | Series A-2, Rev., 5.000%, 12/15/13 | 5,520 | ||||||
| 5,000 | Series A-2, Rev., 5.000%, 12/15/14 | 5,616 | ||||||
| 19,501 | ||||||||
Total New Mexico | 21,772 | |||||||
New York — 4.8% |
| |||||||
Education — 0.4% |
| |||||||
| 2,060 | Erie County Industrial Development Agency, School District Buffalo Project, Series A, Rev., AGM, 5.000%, 05/01/12 | 2,156 | ||||||
| 2,500 | New York State Dormitory Authority, Series B, Rev., VAR, CIFG, 6.000%, 05/15/12 | 2,641 | ||||||
| 4,797 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
General Obligation — 0.3% |
| |||||||
| 1,000 | New York City, Series F, GO, 5.500%, 12/15/12 | 1,083 | ||||||
| 2,740 | Suffolk County, Public Improvement, Series B, GO, 4.500%, 11/01/11 | 2,808 | ||||||
| 3,891 | ||||||||
Hospital — 0.1% |
| |||||||
| 1,055 | New York State Dormitory Authority, Health Facilities, Series 1, Rev., 5.000%, 01/15/14 | 1,144 | ||||||
Other Revenue — 1.8% |
| |||||||
| 1,050 | Erie County Industrial Development Agency (The), Series A, Rev., 5.000%, 05/01/14 | 1,146 | ||||||
| 6,250 | New York City Transitional Finance Authority, New York City Recovery, Sub Series 3B-1, Rev., 5.000%, 11/01/15 | 7,091 | ||||||
| 4,000 | New York State Thruway Authority, Local Highway & Bridge, Rev., 5.000%, 04/01/15 | 4,436 | ||||||
| 3,500 | New York State Thruway Authority, Second Generation Highway & Bridge Trust Fund, Series B, Rev., 5.000%, 04/01/11 | 3,514 | ||||||
| 5,000 | Tobacco Settlement Financing Authority, Asset-Backed, Series A-1, Rev., 5.000%, 06/01/11 | 5,059 | ||||||
| 21,246 | ||||||||
Special Tax — 0.3% |
| |||||||
| 3,500 | New York City Transitional Finance Authority, Sub Series 3B-1, Rev., 5.000%, 11/01/12 | 3,748 | ||||||
Transportation — 1.2% |
| |||||||
| 2,000 | Metropolitan Transportation Authority, Series A, Rev., NATL-RE, FGIC, 5.250%, 11/15/11 | 2,067 | ||||||
| 11,575 | Triborough Bridge & Tunnel Authority, Series A-1, Rev., VAR, 4.000%, 11/15/12 | 12,188 | ||||||
| 14,255 | ||||||||
Utility — 0.3% |
| |||||||
| 3,000 | Long Island Power Authority, Series B, Rev., 5.250%, 12/01/12 | 3,215 | ||||||
Water & Sewer — 0.4% |
| |||||||
| 4,315 | New York City Municipal Water Finance Authority, Series BB, Rev., 5.000%, 06/15/13 | 4,697 | ||||||
Total New York | 56,993 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
North Carolina — 4.8% |
| |||||||
General Obligation — 3.7% |
| |||||||
| 1,445 | City of Charlotte, Series C, GO, 5.000%, 06/01/12 | 1,527 | ||||||
| 3,155 | Durham County, Series A, GO, 5.000%, 11/01/17 | 3,686 | ||||||
| 5,000 | Mecklenburg County, Public Improvement, Series C, GO, 5.000%, 02/01/13 | 5,408 | ||||||
| 2,215 | New Hanover County, GO, 5.000%, 12/01/12 | 2,386 | ||||||
State of North Carolina, | ||||||||
| 10,000 | Series A, GO, 5.000%, 03/01/15 | 11,355 | ||||||
| 5,000 | Series B, GO, 5.000%, 04/01/16 | 5,782 | ||||||
Wake County, | ||||||||
| 10,000 | GO, 5.000%, 02/01/16 | 11,532 | ||||||
| 2,035 | Series C, GO, 5.000%, 03/01/14 | 2,271 | ||||||
| 43,947 | ||||||||
Utility — 0.8% |
| |||||||
| 4,550 | North Carolina Eastern Municipal Power Agency, Series A, Rev., AGC, 5.000%, 01/01/13 | 4,849 | ||||||
| 3,930 | North Carolina Municipal Power Agency, No. 1-Catawba, Series A, Rev., 5.250%, 01/01/13 | 4,215 | ||||||
| 9,064 | ||||||||
Water & Sewer — 0.3% |
| |||||||
| 3,160 | City of Raleigh, Series A, Rev., 5.000%, 03/01/15 | 3,579 | ||||||
Total North Carolina | 56,590 | |||||||
Ohio — 3.2% |
| |||||||
General Obligation — 1.4% |
| |||||||
| 5,080 | State of Ohio, Common Schools, Series C, GO, 5.000%, 09/15/13 | 5,562 | ||||||
| 5,000 | State of Ohio, Higher Education, Series C, GO, 5.000%, 08/01/15 | 5,642 | ||||||
| 5,050 | State of Ohio, Infrastructure Improvement, Series C, GO, 5.000%, 09/01/15 | 5,719 | ||||||
| 16,923 | ||||||||
Housing — 0.0% (g) |
| |||||||
| 305 | Columbus Regional Airport Authority, Joseph Knight Towers Project, Series A, Rev., GNMA COLL, 4.300%, 02/20/14 | 314 | ||||||
Other Revenue — 1.4% |
| |||||||
| 1,645 | Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Turbo, Series A-2, Rev., 5.125%, 06/01/24 | 1,230 | ||||||
| 5,000 | Ohio State Building Authority, Series C, Rev., 5.000%, 10/01/14 | 5,551 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 49 | ||||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Other Revenue — Continued |
| |||||||
| 4,995 | Ohio State Water Development Authority, Drinking Water Assistance, Series B, Rev., 5.000%, 12/01/13 | 5,519 | ||||||
| 3,205 | University of Cincinnati, Series F, Rev., 5.000%, 06/01/15 | 3,540 | ||||||
| 15,840 | ||||||||
Prerefunded — 0.4% |
| |||||||
| 4,325 | Milford Exempt Village School District, School Improvement, GO, AGM, 5.125%, 12/01/11 (p) | 4,481 | ||||||
Total Ohio | 37,558 | |||||||
Oregon — 0.8% |
| |||||||
Certificate of Participation/Lease — 0.8% |
| |||||||
Oregon State Department of Administrative Services, | ||||||||
| 2,850 | Series A, COP, 5.000%, 05/01/15 | 3,185 | ||||||
| 6,030 | Series D, COP, 5.000%, 11/01/12 | 6,439 | ||||||
Total Oregon | 9,624 | |||||||
Pennsylvania — 6.9% |
| |||||||
Education — 0.2% |
| |||||||
Pennsylvania State Higher Educational Facilities Authority, LaSalle University, | ||||||||
| 1,000 | Series A, Rev., 4.125%, 05/01/13 | 1,038 | ||||||
| 1,875 | Series A, Rev., 5.000%, 05/01/11 | 1,886 | ||||||
| 2,924 | ||||||||
General Obligation — 1.1% | ||||||||
| 5,000 | Commonwealth of Pennsylvania, First Series, GO, NATL-RE, 5.250%, 02/01/12 | 5,223 | ||||||
Philadelphia School District, | ||||||||
| 4,335 | Series C, GO, 5.000%, 09/01/11 | 4,429 | ||||||
| 3,020 | Series C, GO, 5.000%, 09/01/12 | 3,180 | ||||||
| 12,832 | ||||||||
Other Revenue — 0.7% | ||||||||
| 2,775 | Lancaster County Solid Waste Management Authority, Rev., NATL-RE, 5.000%, 12/15/14 | 2,989 | ||||||
| 3,000 | Pennsylvania Economic Development Financing Authority, Waste Management Project, Rev., VAR, 2.625%, 12/03/12 | 3,016 | ||||||
| 1,940 | Southeastern Pennsylvania Transportation Authority, Rev., 5.000%, 03/01/17 | 2,159 | ||||||
| 8,164 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Prerefunded — 4.1% | ||||||||
| 3,060 | City of Scranton, Series C, GO, 7.100%, 09/01/11 (p) | 3,162 | ||||||
Commonwealth of Pennsylvania, First Series, | ||||||||
| 3,500 | GO, NATL-RE, 5.000%, 01/01/13 (p) | 3,777 | ||||||
| 6,025 | GO, NATL-RE, 5.000%, 02/01/14 (p) | 6,716 | ||||||
| 5,485 | Commonwealth of Pennsylvania, Second Series, GO, 5.000%, 09/15/11 (p) | 5,679 | ||||||
| 5,000 | Philadelphia Authority for Industrial Development, Series B, Rev., AGM, 5.500%, 10/01/11 (p) | 5,201 | ||||||
Philadelphia School District, | ||||||||
| 2,005 | Series A, GO, AGM, 5.500%, 02/01/12 (p) | 2,098 | ||||||
| 2,350 | Series D, GO, FGIC, 5.125%, 06/01/14 (p) | 2,641 | ||||||
| 5,000 | State Public School Building Authority, Rev., FGIC, 5.000%, 11/15/14 (p) | 5,704 | ||||||
| 12,020 | State Public School Building Authority, Philadelphia School District Project, Rev., AGM, 5.000%, 06/01/13 (p) | 13,140 | ||||||
| 48,118 | ||||||||
Special Tax — 0.2% | ||||||||
| 2,500 | Pennsylvania Intergovernmental Cooperation Authority, Special Tax, 5.000%, 06/15/12 | 2,638 | ||||||
Transportation — 0.6% | ||||||||
| 5,000 | Pennsylvania Turnpike Commission, Series C, Rev., VAR, 0.780%, 12/01/11 | 5,007 | ||||||
| 2,450 | Philadelphia Parking Authority, Airport, Rev., 5.000%, 09/01/11 | 2,497 | ||||||
| 7,504 | ||||||||
Total Pennsylvania | 82,180 | |||||||
Puerto Rico — 0.5% | ||||||||
Prerefunded — 0.5% | ||||||||
| 2,820 | Puerto Rico Highway & Transportation Authority, Series G, Rev., 5.000%, 07/01/13 (p) | 3,101 | ||||||
| 3,000 | Puerto Rico Public Finance Corp., Commonwealth Appropriations, Series A, Rev., NATL-RE, 5.375%, 08/01/11 (p) | 3,064 | ||||||
Total Puerto Rico | 6,165 | |||||||
South Carolina — 1.9% | ||||||||
General Obligation — 0.5% | ||||||||
| 5,000 | State of South Carolina, Series A, GO, 5.000%, 11/01/15 | 5,754 | ||||||
Other Revenue — 0.4% | ||||||||
| 4,665 | Tobacco Settlement Revenue Management Authority, Rev., 5.000%, 06/01/18 | 4,674 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Prerefunded — 0.5% | ||||||||
| 6,000 | South Carolina Transportation Infrastructure Bank, Junior Lien, Series B, Rev., AMBAC, 5.250%, 10/01/11 (p) | 6,168 | ||||||
Utility — 0.5% | ||||||||
| 6,000 | South Carolina State Public Service Authority, Series D, Rev., AGM, 5.250%, 01/01/12 | 6,244 | ||||||
Total South Carolina | 22,840 | |||||||
Tennessee — 2.6% | ||||||||
Education — 0.3% | ||||||||
| 2,550 | Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Vanderbilt University, Series A, Rev., 5.000%, 10/01/13 | 2,809 | ||||||
General Obligation — 1.6% |
| |||||||
| 4,000 | Metropolitan Government of Nashville & Davidson County, Series D, GO, 5.000%, 07/01/16 | 4,609 | ||||||
| 7,000 | Shelby County, Series A, GO, AMBAC, 5.000%, 04/01/15 | 7,924 | ||||||
| 6,325 | Shelby County, Public Improvement & Schools, Series A, GO, 5.000%, 04/01/13 | 6,869 | ||||||
| 19,402 | ||||||||
Other Revenue — 0.5% |
| |||||||
| 3,200 | Metropolitan Nashville Airport Authority, Series B, Rev., AGM, 4.000%, 07/01/13 | 3,390 | ||||||
| 2,750 | Sevier County Public Building Authority, Local Government Public Improvement, Series V-K-1, Rev., AGC, 5.000%, 03/01/11 | 2,750 | ||||||
| 6,140 | ||||||||
Prerefunded — 0.2% |
| |||||||
| 2,195 | Tennessee State School Bond Authority, Higher Educational Facilities, Series A, Rev., AGM, 5.000%, 05/01/12 (p) | 2,311 | ||||||
Total Tennessee | 30,662 | |||||||
Texas — 7.0% |
| |||||||
Education — 0.6% |
| |||||||
| 1,110 | Austin Community College District, Round Rock Campus, Educational Facilities Project, Rev., 5.250%, 08/01/13 | 1,212 | ||||||
| 2,385 | Houston Community College System, Junior Lien, Unrefunded Balance, Series A, Rev., NATL-RE, 5.375%, 04/15/11 (p) | 2,401 | ||||||
San Leanna Educational Facilities Corp., Higher Education, Saint Edwards University Project, | ||||||||
| 285 | Rev., 4.500%, 06/01/11 | 287 | ||||||
| 685 | Rev., 4.500%, 06/01/12 | 705 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Education — Continued |
| |||||||
University of North Texas, Financing System, | ||||||||
| 1,250 | Series A, Rev., 5.000%, 04/15/15 | 1,406 | ||||||
| 1,000 | Series A, Rev., 5.000%, 04/15/16 | 1,138 | ||||||
| 7,149 | ||||||||
General Obligation — 1.7% |
| |||||||
| 1,205 | Austin Independent School District, Capital Appreciation, GO, NATL-RE, FGIC, Zero Coupon, 08/01/11 | 1,201 | ||||||
Katy Independent School District, School Building, | ||||||||
| 2,500 | Series C, GO, PSF-GTD, 5.000%, 02/15/15 | 2,824 | ||||||
| 2,500 | Series C, GO, PSF-GTD, 5.000%, 02/15/16 | 2,869 | ||||||
| 2,000 | Nueces County, GO, 5.000%, 02/15/16 | 2,272 | ||||||
State of Texas, Public Financing Authority, | ||||||||
| 2,390 | GO, 5.000%, 10/01/11 | 2,457 | ||||||
| 2,515 | Series A, GO, 5.000%, 10/01/14 | 2,839 | ||||||
| 1,000 | State of Texas, Water Financial Assistance, Series E, GO, 4.000%, 08/01/14 | 1,091 | ||||||
Township of Woodlands, Sales & Refunding, | ||||||||
| 2,080 | GO, AGM, 5.000%, 03/01/15 | 2,298 | ||||||
| 2,180 | GO, AGM, 5.000%, 03/01/16 | 2,427 | ||||||
| 20,278 | ||||||||
Hospital — 0.1% |
| |||||||
| 1,500 | Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources, Series A, Rev., 5.000%, 02/15/13 | 1,592 | ||||||
Other Revenue — 1.3% |
| |||||||
| 2,395 | Harris County, Toll Road, Senior Lien, Series D, Rev., 5.000%, 08/15/15 | 2,702 | ||||||
Lower Colorado River Authority, | ||||||||
| 1,000 | Rev., 5.000%, 05/15/11 | 1,010 | ||||||
| 5,000 | Rev., 5.000%, 05/15/16 | 5,655 | ||||||
| 3,250 | Texas Public Finance Authority, Unemployment Compensation, Series A, Rev., 5.000%, 07/01/14 | 3,626 | ||||||
| 2,200 | Texas State University Systems, Financing System, Rev., 5.000%, 03/15/15 | 2,475 | ||||||
| 15,468 | ||||||||
Prerefunded — 1.8% |
| |||||||
| 5,130 | City of Austin, GO, 5.125%, 09/01/11 (p) | 5,255 | ||||||
| 5,000 | Harris County Flood Control District, Series A, GO, 5.250%, 10/01/14 (p) | 5,706 | ||||||
| 2,205 | Houston Community College System, Junior Lien, Series A, Rev., NATL-RE, 5.375%, 04/15/11 (p) | 2,219 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 51 | ||||||
Table of Contents
JPMorgan Short-Intermediate Municipal Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Prerefunded — Continued |
| |||||||
University of Texas, | ||||||||
| 4,425 | Series B, Rev., 4.750%, 07/01/14 (p) | 4,961 | ||||||
| 2,650 | Series B, Rev., 5.000%, 07/01/15 (p) | 3,048 | ||||||
| 21,189 | ||||||||
Transportation — 0.5% |
| |||||||
| 5,025 | Harris County, Toll Road, Senior Lien, Series B-1, Rev., NATL-RE, FGIC, 5.000%, 08/15/14 | 5,606 | ||||||
Utility — 1.0% |
| |||||||
| 2,785 | City of San Antonio, Electric & Gas Systems, Series A, Rev., 5.000%, 02/01/12 | 2,902 | ||||||
| 7,765 | Lower Colorado River Authority, Rev., 5.000%, 05/15/14 | 8,584 | ||||||
| 11,486 | ||||||||
Total Texas | 82,768 | |||||||
Utah — 0.2% |
| |||||||
Industrial Development Revenue/Pollution Control Revenue — 0.2% |
| |||||||
| 2,000 | State of Utah, Recapitalization, Series B, Rev., 5.000%, 07/01/15 | 2,271 | ||||||
Virginia — 5.9% |
| |||||||
Certificate of Participation/Lease — 0.4% |
| |||||||
| 5,100 | Virginia Beach Development Authority, Sentara Health Systems, Series A, Rev., COP, 5.000%, 12/01/11 | 5,277 | ||||||
Education — 0.5% |
| |||||||
| 5,185 | Virginia College Building Authority, 21st Century College Equipment, Series A, Rev., 5.000%, 02/01/14 | 5,748 | ||||||
General Obligation — 1.7% |
| |||||||
| 2,500 | Arlington County, Series C, GO, 4.000%, 08/15/16 | 2,779 | ||||||
| 3,000 | Fairfax County, Series A, GO, 5.000%, 10/01/13 | 3,315 | ||||||
Fairfax County, Public Improvement, | ||||||||
| 5,280 | Series A, GO, 5.000%, 04/01/11 | 5,303 | ||||||
| 7,275 | Series A, GO, 5.250%, 04/01/14 | 8,191 | ||||||
| 19,588 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.5% |
| |||||||
| 5,090 | Virginia Beach Development Authority, Series C, Rev., 5.000%, 08/01/18 | 5,890 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Other Revenue — 0.6% |
| |||||||
| 5,585 | Virginia Commonwealth Transportation Board, Capital Projects, Series A-1, Rev., 5.000%, 05/15/16 | 6,416 | ||||||
| 1,300 | Wise County IDA, Virginia Electric & Power Co., Series A, Rev., VAR, 2.375%, 11/01/15 | 1,271 | ||||||
| 7,687 | ||||||||
Prerefunded — 1.2% |
| |||||||
| 11,040 | Tobacco Settlement Financing Corp., Asset-Backed, Rev., 5.625%, 06/01/15 (p) | 12,802 | ||||||
| 1,015 | Virginia College Building Authority, 21st Century College Equipment, Series A, Rev., 5.000%, 02/01/13 (p) | 1,099 | ||||||
| 13,901 | ||||||||
Transportation — 0.9% |
| |||||||
| 5,000 | Virginia Commonwealth Transportation Board, Capital Projects, Series A-1, Rev., 5.000%, 05/15/15 | 5,666 | ||||||
| 4,500 | Virginia Commonwealth Transportation Board, Federal Highway, Reimbursement Notes, Rev., 5.000%, 09/27/12 | 4,811 | ||||||
| 10,477 | ||||||||
Water & Sewer — 0.1% |
| |||||||
| 1,125 | Virginia Resources Authority, Clean Water Revolving Fund, Rev., 5.000%, 10/01/14 | 1,270 | ||||||
Total Virginia | 69,838 | |||||||
Washington — 0.6% |
| |||||||
General Obligation — 0.6% |
| |||||||
| 5,000 | Pierce County School District No. 3 Puyallup, GO, AGM, 5.000%, 06/01/14 | 5,563 | ||||||
| 1,890 | State of Washington, Unrefunded Balance, Series 1998-B & AT-7, GO, 6.000%, 06/01/13 | 2,098 | ||||||
Total Washington | 7,661 | |||||||
Wisconsin — 0.7% |
| |||||||
General Obligation — 0.7% |
| |||||||
| 7,710 | City of Milwaukee, Promissory Notes, Series N1, GO, 5.000%, 02/01/18 | 8,934 | ||||||
Total Municipal Bonds | 1,167,069 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 0.8% |
| ||||||
Investment Company — 0.8% |
| |||||||
| 9,211 | JPMorgan Tax Free Money Market Fund, Institutional Class Shares, | 9,211 | ||||||
Total Investments — 99.1% | 1,177,497 | |||||||
Other Assets in Excess of | 10,164 | |||||||
NET ASSETS — 100.0% | $ | 1,187,661 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 53 | ||||||
Table of Contents
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Municipal Bonds — 96.6% |
| ||||||
Alaska — 2.8% |
| |||||||
Certificate of Participation/Lease — 0.6% |
| |||||||
| 2,750 | Boro of Matanuska-Susitna, Goose Creek Correctional Center, Rev., COP, AGC, 6.000%, 09/01/28 | 3,019 | ||||||
Utility — 2.2% |
| |||||||
Alaska Energy Authority Power, Bradley Lake, Fourth Series, | ||||||||
| 3,485 | Rev., AGM, 6.000%, 07/01/17 (m) | 4,002 | ||||||
| 3,915 | Rev., AGM, 6.000%, 07/01/19 | 4,506 | ||||||
| 2,500 | Alaska Municipal Bond Bank Authority, Series 1, Rev., 5.750%, 09/01/33 | 2,564 | ||||||
| 11,072 | ||||||||
Total Alaska | 14,091 | |||||||
Arizona — 3.1% |
| |||||||
Special Tax — 3.1% |
| |||||||
| 15,000 | Glendale Western Loop 101 Public Facilities Corp., Series A, Rev., 6.250%, 07/01/38 | 15,358 | ||||||
California — 17.6% |
| |||||||
Certificate of Participation/Lease — 1.5% |
| |||||||
| 2,750 | California State Public Works Board, Department of Corrections, Series C, Rev., COP, 5.500%, 06/01/21 | 2,822 | ||||||
| 4,500 | Santa Ana Financing Authority, Police Administration & Holding Facility, Series A, Rev., COP, NATL-RE, 6.250%, 07/01/24 | 4,712 | ||||||
| 7,534 | ||||||||
Education — 2.6% |
| |||||||
| 3,000 | California Educational Facilities Authority, University of Southern California, Series A, Rev., 5.000%, 10/01/39 | 2,937 | ||||||
California State University, Systemwide, | ||||||||
| 5,915 | Series A, Rev., NATL-RE, FGIC, 5.000%, 11/01/35 | 5,421 | ||||||
| 2,850 | Series C, Rev., NATL-RE, 5.000%, 11/01/23 | 2,877 | ||||||
| 2,060 | University of California, Series G, Rev., NATL-RE, FGIC, 5.000%, 05/15/24 | 2,110 | ||||||
| 13,345 | ||||||||
General Obligation — 4.8% |
| |||||||
| 5,000 | Los Angeles Unified School District, Series D, GO, 5.000%, 01/01/34 | 4,771 | ||||||
| 50 | Pomona Unified School District, Series A, GO, NATL-RE, 6.100%, 02/01/20 | 56 | ||||||
| 3,000 | State of California, GO, 5.250%, 02/01/18 | 3,157 | ||||||
| 5,500 | State of California, Economic Recovery, Series A, GO, 5.000%, 07/01/17 | 5,567 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
General Obligation — Continued |
| |||||||
| 4,980 | State of California, Unrefunded Balance, GO, XLCA-ICR, 5.000%, 02/01/19 | 5,101 | ||||||
| 5,000 | State of California, Various Purpose, GO, 6.500%, 04/01/33 | 5,425 | ||||||
| 24,077 | ||||||||
Hospital — 2.1% |
| |||||||
California Health Facilities Financing Authority, Marshall Medical Center, | ||||||||
| 2,200 | Series A, Rev., MTG, 5.000%, 11/01/24 | 2,098 | ||||||
| 2,000 | Series A, Rev., MTG, 5.000%, 11/01/29 | 1,823 | ||||||
| 3,000 | California State Public Works Board, Department of Mental Health, Coalinga State Hospital, Series A, Rev., 5.500%, 06/01/21 | 3,046 | ||||||
| 4,000 | California Statewide Communities Development Authority, Insured Health Facilities, Los Angeles Jewish Home, Rev., 5.250%, 11/15/23 | 3,951 | ||||||
| 10,918 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.1% |
| |||||||
| 350 | Chico Public Financing Authority, Merged Redevelopment Project, Tax Allocation, | 351 | ||||||
Other Revenue — 0.5% |
| |||||||
| 1,960 | California Health Facilities Financing Authority, Unrefunded Balance, Providence Health, Rev., 6.500%, 10/01/38 | 2,126 | ||||||
| 325 | Golden West Schools Financing Authority, Series A, Rev., NATL-RE, 5.800%, 02/01/20 | 374 | ||||||
| 2,500 | ||||||||
Prerefunded — 0.6% |
| |||||||
| 40 | California Health Facilities Financing Authority, Providence Health, Rev., 6.500%, 10/01/18 (p) | 50 | ||||||
| 2,630 | Los Angeles Harbor Department, Rev., 7.600%, 10/01/18 (p) | 3,155 | ||||||
| 20 | State of California, GO, XLCA-ICR, 5.000%, 02/01/12 (p) | 21 | ||||||
| 3,226 | ||||||||
Special Tax — 1.3% |
| |||||||
| 1,805 | Pomona Public Financing Authority, Merged Redevelopment, Unrefunded Balance, Series AH, Rev., AMBAC, 5.250%, 02/01/20 | 1,905 | ||||||
| 160 | San Mateo County Transportation District, Series A, Rev., NATL-RE, 5.250%, 06/01/19 | 180 | ||||||
| 4,550 | Sweetwater Union High School District, Special Tax, Series A, AGM, 5.000%, 09/01/27 | 4,329 | ||||||
| 6,414 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Utility — 0.9% |
| |||||||
| 2,000 | Long Beach Bond Finance Authority, Natural Gas, Series A, Rev., 5.250%, 11/15/21 | 1,960 | ||||||
| 2,500 | Los Angeles Department of Water & Power System, Sub Series A-1, Rev., 5.250%, 07/01/38 | 2,475 | ||||||
| 4,435 | ||||||||
Water & Sewer — 3.2% |
| |||||||
| 2,555 | City of Oakland, Sewer System, Series A, Rev., AGM, 5.000%, 06/15/27 | 2,577 | ||||||
| 6,000 | Metropolitan Water District of Southern California, Series A, Rev., 5.000%, 07/01/32 | 6,101 | ||||||
| 7,500 | San Diego Public Facilities Financing Authority, Series A, Rev., 5.250%, 05/15/39 | 7,401 | ||||||
| 16,079 | ||||||||
Total California | 88,879 | |||||||
Colorado — 3.4% |
| |||||||
Education — 0.3% |
| |||||||
| 1,500 | University of Colorado, Series A, Rev., 5.375%, 06/01/38 | 1,522 | ||||||
General Obligation — 0.5% |
| |||||||
| 2,000 | Douglas County School District No. Re-1, Douglas & Elbert Counties, GO, NATL-RE, FGIC, 5.750%, 12/15/14 (p) | 2,342 | ||||||
Prerefunded — 0.6% |
| |||||||
| 3,550 | Adams County, Single Family Mortgage, Capital Appreciation, Series A, Rev., Zero Coupon, 06/01/16 (m) (p) | 3,137 | ||||||
Transportation — 1.6% |
| |||||||
| 3,395 | Denver City & County, Airport, Series D, Rev., AMBAC-TCRS, 7.750%, 11/15/13 | 3,675 | ||||||
| 10,000 | E-470 Public Highway Authority, Capital Appreciation, Series B, Rev., NATL-RE, Zero Coupon, 09/01/22 | 4,655 | ||||||
| 8,330 | ||||||||
Utility — 0.4% |
| |||||||
Colorado Water Resources & Power Development Authority, | ||||||||
| 1,000 | Series A, Rev., AGC, 5.125%, 12/01/30 | 1,010 | ||||||
| 1,000 | Series A, Rev., AGC, 5.250%, 12/01/38 | 986 | ||||||
| 1,996 | ||||||||
Total Colorado | 17,327 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Delaware — 1.2% |
| |||||||
Prerefunded — 1.2% |
| |||||||
| 5,000 | Delaware State EDA, Osteopathic Hospital Association, Series A, Rev., 6.900%, 01/01/18 (p) | 6,050 | ||||||
District of Columbia — 0.9% |
| |||||||
General Obligation — 0.9% |
| |||||||
| 3,965 | District of Columbia, Series B, GO, NATL-RE, 6.000%, 06/01/19 | 4,695 | ||||||
Florida — 2.3% |
| |||||||
General Obligation — 0.6% |
| |||||||
| 2,415 | Hillsborough County, Parks & Recreation Program, GO, NATL-RE, 5.250%, 07/01/25 | 2,772 | ||||||
Hospital — 0.1% |
| |||||||
| 680 | Orange County, Health Facilities Authority, Unrefunded Balance, Series C, Rev., NATL-RE, 6.250%, 10/01/12 | 721 | ||||||
Transportation — 0.7% |
| |||||||
| 3,205 | Hillsborough County Aviation Authority, Tampa International Airport, Series B, Rev., NATL-RE, FGIC, 6.000%, 10/01/18 | 3,724 | ||||||
Utility — 0.9% |
| |||||||
| 3,750 | City of Lakeland, Electric & Water System, First Lien, Series B, Rev., AGM, 6.050%, 10/01/14 | 4,273 | ||||||
Total Florida | 11,490 | |||||||
Georgia — 5.7% |
| |||||||
Hospital — 1.9% |
| |||||||
| 10,000 | Dalton Development Authority, Hamilton Health Care System, Rev., NATL-RE, 5.500%, 08/15/26 | 9,437 | ||||||
Special Tax — 2.4% | ||||||||
| 10,485 | Metropolitan Atlanta Rapid Transit Authority, Series P, Rev., AMBAC, 6.250%, 07/01/20 | 12,264 | ||||||
Utility — 1.4% | ||||||||
Municipal Electric Authority of Georgia, | ||||||||
| 4,500 | Series BB, Rev., NATL-RE-IBC, 5.250%, 01/01/25 | 4,647 | ||||||
| 2,490 | Series C, Rev., NATL-RE-IBC, 5.250%, 01/01/25 | 2,571 | ||||||
| 7,218 | ||||||||
Total Georgia | 28,919 | |||||||
Illinois — 7.0% | ||||||||
Education — 1.4% | ||||||||
| 2,510 | Cook County Community High School District No. 219-Niles Township, Unrefunded Balance, GO, NATL-RE, FGIC, 8.000%, 12/01/15 | 3,082 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 55 | ||||||
Table of Contents
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Education — Continued | ||||||||
| 3,930 | Illinois Health Facilities Authority, Revolving Fund, Series A, Rev., VAR, 5.500%, 08/01/20 | 4,066 | ||||||
| 7,148 | ||||||||
Other Revenue — 0.8% | ||||||||
| 4,000 | Railsplitter Tobacco Settlement Authority, Rev., 6.000%, 06/01/28 | 3,907 | ||||||
Prerefunded — 0.8% | ||||||||
| 1,750 | Chicago Public Building, Commission Building, Series A, Rev., NATL-RE, 7.000%, | 2,217 | ||||||
| 1,480 | Cook County Community High School District No. 219-Niles Township, GO, FGIC, 8.000%, 12/01/15 (p) | 1,914 | ||||||
| 4,131 | ||||||||
Special Tax — 1.1% | ||||||||
| 4,725 | State of Illinois, Series P, Rev., 6.500%, 06/15/22 | 5,455 | ||||||
Transportation — 2.9% | ||||||||
Regional Transportation Authority, | ||||||||
| 2,425 | Rev., NATL-RE, 6.250%, 07/01/15 | 2,734 | ||||||
| 6,000 | Rev., NATL-RE, 6.500%, 07/01/30 | 6,928 | ||||||
| 4,000 | Series D, Rev., NATL-RE, FGIC, 7.750%, 06/01/19 | 4,852 | ||||||
| 14,514 | ||||||||
Total Illinois | 35,155 | |||||||
Indiana — 3.4% | ||||||||
Certificate of Participation/Lease — 0.3% | ||||||||
| 1,445 | Beech Grove School Building Corp., First Mortgage, Rev., COP, NATL-RE, 6.250%, 07/05/16 | 1,615 | ||||||
Prerefunded — 0.1% | ||||||||
| 295 | Indiana Transportation Finance Authority, Highway, Series A, Rev., 7.250%, | 300 | ||||||
Transportation — 2.3% | ||||||||
| 7,730 | Indiana Transportation Finance Authority, Highway, Series A, Rev., 6.800%, 12/01/16 | 8,713 | ||||||
| 2,750 | Indiana Transportation Finance Authority, Highway, Unrefunded Balance, Airport Facility, Series A, Rev., 7.250%, 06/01/15 | 3,073 | ||||||
| 11,786 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Utility — 0.7% | ||||||||
| 3,000 | Indiana Municipal Power Agency Supply System, Series B, Rev., NATL-RE, 5.500%, 01/01/16 | 3,289 | ||||||
Total Indiana | 16,990 | |||||||
Kansas — 0.6% | ||||||||
General Obligation — 0.6% | ||||||||
| 3,050 | Johnson County Unified School District 232, Series A, GO, AGM, 5.250%, 09/01/23 | 3,197 | ||||||
Louisiana — 2.6% | ||||||||
Special Tax — 2.0% | ||||||||
St. Bernard Parish, Sales & Use Tax, | ||||||||
| 2,535 | Rev., AGM, 5.000%, 03/01/16 | 2,744 | ||||||
| 2,445 | Rev., AGM, 5.000%, 03/01/17 | 2,624 | ||||||
| 1,505 | Rev., AGM, 5.000%, 03/01/19 | 1,591 | ||||||
| 2,885 | Rev., AGM, 5.000%, 03/01/20 | 3,030 | ||||||
| 9,989 | ||||||||
Transportation — 0.6% | ||||||||
State of Louisiana, Gas & Fuels Tax, | ||||||||
| 2,000 | Series A, Rev., AMBAC, 5.375%, 06/01/18 | 2,093 | ||||||
| 1,040 | �� | Series A, Rev., AMBAC, 5.375%, 06/01/19 | 1,087 | |||||
| 3,180 | ||||||||
Total Louisiana | 13,169 | |||||||
Maine — 1.2% | ||||||||
Transportation — 1.2% | ||||||||
Maine Turnpike Authority, | ||||||||
| 2,995 | Rev., 6.000%, 07/01/34 | 3,216 | ||||||
| 2,680 | Rev., 6.000%, 07/01/38 | 2,853 | ||||||
Total Maine | 6,069 | |||||||
Massachusetts — 0.3% |
| |||||||
Education — 0.3% |
| |||||||
| 1,495 | Massachusetts School Building Authority, Series A, Rev., AMBAC, 5.000%, 08/15/37 | 1,497 | ||||||
Minnesota — 0.1% |
| |||||||
Housing — 0.1% |
| |||||||
| 480 | Minnesota Housing Finance Agency, Rental Housing, Series D, Rev., NATL-RE, 5.900%, 08/01/15 | 482 | ||||||
Missouri — 0.5% |
| |||||||
Education — 0.2% |
| |||||||
| 1,000 | University of Missouri, Curators University, Series B, Rev., 5.000%, 11/01/17 | 1,086 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Utility — 0.3% |
| |||||||
| 1,105 | City of Sikeston, Electric, Rev., NATL-RE, 6.000%, 06/01/16 | 1,185 | ||||||
Total Missouri | 2,271 | |||||||
Montana — 0.6% |
| |||||||
Certificate of Participation/Lease — 0.2% |
| |||||||
City of Helena, | ||||||||
| 400 | COP, 5.000%, 01/01/29 | 410 | ||||||
| 500 | COP, 5.150%, 01/01/34 | 507 | ||||||
| 917 | ||||||||
Education — 0.4% |
| |||||||
| 890 | Montana State Board of Regents, Higher Education, Series H, Rev., AMBAC, 5.000%, 11/15/18 | 961 | ||||||
| 1,210 | Montana State Board of Regents, Higher Education, Montana State University, Series I, Rev., AMBAC, 5.000%, 11/15/20 | 1,297 | ||||||
| 2,258 | ||||||||
Total Montana | 3,175 | |||||||
New Jersey — 3.0% |
| |||||||
Housing — 1.0% |
| |||||||
| 4,705 | New Jersey Housing & Mortgage Finance Agency, Series AA, Rev., 6.375%, 10/01/28 | 4,991 | ||||||
Prerefunded — 1.1% |
| |||||||
| 5,000 | New Jersey Transportation Trust Fund Authority, Transportation Systems, Series C, Rev., NATL-RE, 5.250%, 06/15/15 (k) (p) | 5,785 | ||||||
Transportation — 0.9% |
| |||||||
| 25,000 | New Jersey Transportation Trust Fund Authority, Capital Appreciation, Transportation Systems, Series A, Rev., Zero Coupon, 12/15/36 | 4,533 | ||||||
Total New Jersey | 15,309 | |||||||
New York — 16.5% |
| |||||||
Education — 0.4% |
| |||||||
| 1,900 | New York Municipal Bond Bank Agency, Series C, Rev., 5.250%, 06/01/21 | 2,025 | ||||||
General Obligation — 2.0% |
| |||||||
| 9,255 | New York City, Unrefunded Balance, GO, 6.000%, 01/15/18 | 9,949 | ||||||
| 10 | Rome City School District, GO, NATL-RE, FGIC, 5.000%, 06/15/12 | 11 | ||||||
| 9,960 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Housing — 1.3% |
| |||||||
Tobacco Settlement Financing Corp., | ||||||||
| 3,000 | Series B-1C, Rev., 5.500%, 06/01/20 | 3,211 | ||||||
| 3,000 | Series B-1C, Rev., 5.500%, 06/01/21 | 3,203 | ||||||
| 6,414 | ||||||||
Other Revenue — 5.6% |
| |||||||
New York State Environmental Facilities Corp., Revolving Funds, Municipal Water Project, | ||||||||
| 9,345 | Series D, Rev., 5.375%, 06/15/19 | 9,803 | ||||||
| 7,270 | Series E, Rev., 5.375%, 06/15/17 | 7,644 | ||||||
| 7,135 | Series E, Rev., 5.375%, 06/15/18 | 7,464 | ||||||
| 3,000 | Tobacco Settlement Financing Corp., Asset-Backed, Series A-1, Rev., 5.500%, 06/01/19 | 3,216 | ||||||
| 28,127 | ||||||||
Transportation — 5.8% |
| |||||||
| 26,000 | Port Authority of New York & New Jersey, CONS, 93rd Series, Rev., 6.125%, 06/01/94 | 29,430 | ||||||
Water & Sewer — 1.4% |
| |||||||
| 2,000 | New York City Municipal Water Finance Authority, Second Generation Resolution, Sewer, Series DD, Rev., 5.000%, 06/15/39 | 1,964 | ||||||
| 5,000 | New York City Municipal Water Finance Authority, Water & Sewer System, Fiscal Year 2009, Series A, Rev., 5.750%, 06/15/40 | 5,277 | ||||||
| 7,241 | ||||||||
Total New York | 83,197 | |||||||
North Carolina — 0.0% (g) |
| |||||||
Housing — 0.0% (g) |
| |||||||
| 20 | North Carolina Housing Finance Agency, Single Family Mortgage, Series FF, Rev., AMT, FHA, 6.250%, 03/01/28 | 20 | ||||||
Ohio — 0.6% |
| |||||||
General Obligation — 0.4% |
| |||||||
Richland County, Correctional Facilities Improvement, | ||||||||
| 500 | GO, AGC, 5.875%, 12/01/24 | 545 | ||||||
| 400 | GO, AGC, 6.000%, 12/01/28 | 430 | ||||||
| 250 | GO, AGC, 6.125%, 12/01/33 | 265 | ||||||
| 400 | GO, AGC, 6.125%, 12/01/38 | 419 | ||||||
| 1,659 | ||||||||
Industrial Development Revenue/Pollution Control Revenue — 0.2% |
| |||||||
| 1,000 | RiverSouth Authority, Riverfront Area Redevelopment, Series A, Rev., 5.250%, 12/01/21 | 1,068 | ||||||
Total Ohio | 2,727 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 57 | ||||||
Table of Contents
JPMorgan Tax Free Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Oklahoma — 0.4% |
| |||||||
Water & Sewer — 0.4% |
| |||||||
| 2,000 | Oklahoma City Water Utilities Trust, Series A, Rev., 5.000%, 07/01/34 | 2,059 | ||||||
Pennsylvania — 1.6% |
| |||||||
Education — 0.2% |
| |||||||
| 1,000 | Pennsylvania State University, Series A, Rev., 5.000%, 03/01/26 | 1,066 | ||||||
Industrial Development Revenue/Pollution Control Revenue — 1.4% |
| |||||||
| 6,500 | Pennsylvania IDA, Economic Development, Rev., AMBAC, 5.500%, 07/01/18 | 6,762 | ||||||
Total Pennsylvania | 7,828 | |||||||
Puerto Rico — 2.2% |
| |||||||
Utility — 2.2% |
| |||||||
| 10,000 | Puerto Rico Electric Power Authority, Series KK, Rev., NATL-RE, 5.500%, 07/01/15 | 10,925 | ||||||
South Carolina — 6.1% |
| |||||||
General Obligation — 2.0% |
| |||||||
| 9,515 | Laurens County School District, No. 056, GO, AGC, SCSDE, 6.125%, 03/01/33 | 10,285 | ||||||
Prerefunded — 3.0% |
| |||||||
| 3,900 | Piedmont Municipal Power Agency, Electric, Rev., FGIC, 6.750%, 01/01/20 (p) | 4,931 | ||||||
| 8,945 | South Carolina Jobs & EDA, Palmetto Healthcare, Series C, Rev., 6.875%, 08/01/13 (p) | 10,178 | ||||||
| 15,109 | ||||||||
Utility — 1.1% |
| |||||||
| 4,615 | Piedmont Municipal Power Agency, Electric, Unrefunded Balance, Rev., NATL-RE, FGIC, 6.750%, 01/01/20 | 5,542 | ||||||
Total South Carolina | 30,936 | |||||||
South Dakota — 1.2% |
| |||||||
Prerefunded — 0.7% |
| |||||||
| 2,006 | Heartland Consumers Power District, Rev., 6.375%, 01/01/16 (p) | 2,258 | ||||||
| 975 | Heartland Consumers Power District, Electric, Rev., 7.000%, 01/01/16 (p) | 1,129 | ||||||
| 3,387 | ||||||||
Utility — 0.5% |
| |||||||
| 2,500 | Heartland Consumers Power District, Electric, Rev., AGM, 6.000%, 01/01/17 | 2,811 | ||||||
Total South Dakota | 6,198 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Texas — 8.4% |
| |||||||
General Obligation — 1.0% |
| |||||||
| 445 | City of Austin, Certificates of Obligation, GO, NATL-RE, 5.000%, 09/01/16 | 486 | ||||||
| 535 | City of Carrollton, GO, 5.000%, 08/15/26 | 567 | ||||||
| 2,200 | City of Forney, Independent School District, School Building, Series A, GO, PSF-GTD, 5.750%, 08/15/33 | 2,367 | ||||||
| 1,550 | Clear Creek Independent School District, School Improvement, GO, 5.250%, 02/15/26 | 1,623 | ||||||
| 5,043 | ||||||||
Hospital — 0.8% |
| |||||||
| 3,500 | Harris County Health Facilities Development Corp., Memorial Hermann Healthcare System, Series B, Rev., 7.250%, 12/01/35 | 3,790 | ||||||
Other Revenue — 2.0% |
| |||||||
| 1,965 | Dallas-Fort Worth International Airport Facilities Improvement Corp., Series A, Rev., 5.000%, 11/01/42 | 1,796 | ||||||
| 5,000 | Lower Colorado River Authority, Rev., 5.750%, 05/15/28 | 5,190 | ||||||
Midtown Redevelopment Authority, Tax Allocation, | ||||||||
| 1,570 | AMBAC, 5.000%, 01/01/21 | 1,630 | ||||||
| 1,650 | AMBAC, 5.000%, 01/01/22 | 1,696 | ||||||
| 10,312 | ||||||||
Prerefunded — 2.7% |
| |||||||
| 3,915 | City of Brownsville, Priority Refunding, Utilities, Rev., NATL-RE, 6.250%, 09/01/14 (p) | 4,297 | ||||||
| 2,500 | City of Houston, Junior Lien, Series A, Rev., AGM, 5.750%, 12/01/32 (p) | 2,892 | ||||||
| 4,250 | City of San Antonio, Electric & Gas, Rev., 5.000%, 02/01/17 (p) | 4,714 | ||||||
| 1,500 | Harris County Health Facilities Development Corp., Children Hospital Project, Rev., 5.500%, 10/01/19 (p) | 1,736 | ||||||
| 13,639 | ||||||||
Utility — 1.0% |
| |||||||
| 5,000 | SA Energy Acquisition Public Facility Corp., Gas Supply, Rev., 5.250%, 08/01/16 | 5,206 | ||||||
Water & Sewer — 0.9% |
| |||||||
| 4,435 | Canyon Regional Water Authority, Wells Ranch Project, Rev., AMBAC, 5.125%, 08/01/25 | 4,480 | ||||||
Total Texas | 42,470 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Washington — 3.2% |
| |||||||
Education — 1.2% |
| |||||||
| 5,430 | Western Washington University, Housing & Dining, Junior Lien, Series A, Rev., AMBAC, 5.500%, 10/01/22 | 6,150 | ||||||
Hospital — 0.9% |
| |||||||
| 5,000 | Washington Health Care Facilities Authority, Multicare Health System, Series A, Rev., AGM, 5.000%, 08/15/34 | 4,623 | ||||||
Utility — 1.1% |
| |||||||
| 5,000 | Energy Northwest Electric, Project No. 1, Series A, Rev., NATL-RE, 5.500%, 07/01/16 | 5,264 | ||||||
Total Washington | 16,037 | |||||||
Wisconsin — 0.1% |
| |||||||
Hospital — 0.1% |
| |||||||
Wisconsin Health & Educational Facilities Authority, Froedert & Community, Unrefunded Balance, | ||||||||
| 250 | Rev., 5.625%, 10/01/12 | 259 | ||||||
| 90 | Rev., 5.625%, 10/01/13 | 93 | ||||||
| 30 | Rev., 5.625%, 10/01/14 | 31 | ||||||
Total Wisconsin | 383 | |||||||
Total Municipal Bonds | 486,903 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.8% |
| ||||||
Investment Company — 2.8% |
| |||||||
| 14,132 | JPMorgan Tax Free Money Market Fund, Institutional Class Shares, | 14,132 | ||||||
Total Investments — 99.4% | 501,035 | |||||||
Other Assets in Excess | 3,134 | |||||||
NET ASSETS — 100.0% | $ | 504,169 | ||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT 02/28/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Short Futures Outstanding | ||||||||||||||||
| (142 | ) | 30 Year U.S. Treasury Bond | 06/21/11 | $ | (17,089 | ) | $ | (42 | ) | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 59 | ||||||
Table of Contents
J.P. Morgan Municipal Bond Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
| ACA | — Insured by American Capital Access | |||||
| 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 | |||||
| CIFG | — Insured by CDC IXIS Financial Guaranty | |||||
| CMO | — Collateralized Mortgage Obligation | |||||
| COLL | — Collateral | |||||
| CONS | — Consolidated Bonds | |||||
| COP | — Certificate of Participation | |||||
| CR | — Custodial Receipts | |||||
| EDA | — Economic Development Authority | |||||
| FGIC | — Insured by Financial Guaranty Insurance Co. | |||||
| FHA | — Federal Housing Administration | |||||
| FHLMC | — Federal Home Loan Mortgage Corp. | |||||
| FNMA | — Federal National Mortgage Association | |||||
| GAN | — Grant Anticipation Notes | |||||
| GNMA | — Government National Mortgage Association | |||||
| GO | — General Obligation | |||||
| GTD | — Guaranteed | |||||
| IBC | — Insured Bond Certificates | |||||
| IBCC | — Insured Bond Custodial Certificate | |||||
| ICC | — Insured Custody Certificates | |||||
| ICR | — Insured Custodial Receipts | |||||
| IDA | — Industrial Development Authority | |||||
| LIQ | — Liquidity Agreement | |||||
| LOC | — Letter of Credit | |||||
| MTGS | — Mortgages | |||||
| NATL | — Insured by National Public Finance Guarantee Corp. | |||||
| PRIV | — Private | |||||
| PSF | — Permanent School Fund | |||||
| Q-SBLF | — Qualified School Bond Loan Fund | |||||
| RADIAN | — Insured by Radian Asset Assurance | |||||
| RE | — Reinsured | |||||
| REMICS | — Real Estate Mortgage Investment Conduits | |||||
| Rev. | — Revenue | |||||
| SCSDE | — South Carolina School District Enhancement |
| ||||||||
| TAN | — Tax Anticipation Note |
| ||||||||
| TCRS | — Transferable Custodial Receipts |
| ||||||||
| VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2011. |
| ||||||||
| SO | — Special Obligation |
| ||||||||
| VA | — Veterans Administration |
| ||||||||
| XLCA | — Insured by XL Capital Assurance |
| ||||||||
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
| ||||||||
| (f) | — Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands): |
| ||||||||
| Fund | Value | Percentage | ||||||||
| Michigan Municipal Bond Fund | $ | 4,051 | 3.5 | % | ||||||
| Municipal Income Fund | 9,254 | 0.9 | ||||||||
| (g) | — Amount rounds to less than 0.1%. |
| ||||||||
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
| ||||||||
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
| ||||||||
| (l) | — The rate shown is the current yield as of February 28, 2011. |
| ||||||||
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
| ||||||||
| (p) | — Security is prerefunded or escrowed to maturity. |
| ||||||||
| (t) | — The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| ||||||||
| (w) | — When-issued security. |
| ||||||||
* Filed for bankruptcy on November 8, 2010.
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 61 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011
(Amounts in thousands, except per share amounts)
Arizona | Michigan Municipal Bond Fund | Municipal Income Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 122,355 | $ | 114,528 | $ | 1,055,861 | ||||||
Investments in affiliates, at value | 710 | 2,034 | 21,033 | |||||||||
Total investment securities, at value | 123,065 | 116,562 | 1,076,894 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | — | 3,668 | |||||||||
Fund shares sold | 7 | 20 | 5,198 | |||||||||
Interest and dividends | 1,211 | 1,285 | 12,785 | |||||||||
Total Assets | 124,283 | 117,867 | 1,098,545 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 124 | 140 | 2,409 | |||||||||
Investment securities purchased | — | (a) | — | (a) | 4,799 | |||||||
Fund shares redeemed | 290 | 261 | 1,164 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 29 | 27 | 246 | |||||||||
Administration fees | 9 | 9 | 83 | |||||||||
Shareholder servicing fees | 14 | 12 | 163 | |||||||||
Distribution fees | 18 | 17 | 36 | |||||||||
Custodian and accounting fees | 18 | 16 | 40 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | 2 | |||||||||
Audit fees | 38 | 39 | 38 | |||||||||
Other | 34 | 15 | 71 | |||||||||
Total Liabilities | 575 | 537 | 9,051 | |||||||||
Net Assets | $ | 123,708 | $ | 117,330 | $ | 1,089,494 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
Arizona | Michigan Municipal Bond Fund | Municipal Income Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 118,761 | $ | 112,427 | $ | 1,096,956 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (3 | ) | 383 | (27 | ) | |||||||
Accumulated net realized gains (losses) | 655 | 1,553 | (16,675 | ) | ||||||||
Net unrealized appreciation (depreciation) | 4,295 | 2,967 | 9,240 | |||||||||
Total Net Assets | $ | 123,708 | $ | 117,330 | $ | 1,089,494 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 35,413 | $ | 52,244 | $ | 94,167 | ||||||
Class B | 818 | 2,610 | 2,993 | |||||||||
Class C | 18,163 | 8,171 | 27,426 | |||||||||
Select Class | 69,314 | 54,305 | 964,908 | |||||||||
Total | $ | 123,708 | $ | 117,330 | $ | 1,089,494 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 3,697 | 4,964 | 9,553 | |||||||||
Class B | 84 | 262 | 305 | |||||||||
Class C | 1,882 | 821 | 2,804 | |||||||||
Select Class | 7,153 | 5,167 | 98,459 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 9.58 | $ | 10.52 | $ | 9.86 | ||||||
Class B — Offering price per share (b) | 9.70 | 9.98 | 9.80 | |||||||||
Class C — Offering price per share (b) | 9.65 | 9.95 | 9.78 | |||||||||
Select Class — Offering and redemption price per share | 9.69 | 10.51 | 9.80 | |||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 9.95 | $ | 10.93 | $ | 10.24 | ||||||
Cost of investments in non-affiliates | $ | 118,060 | $ | 111,561 | $ | 1,046,621 | ||||||
Cost of investments in affiliates | 710 | 2,034 | 21,033 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 63 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except per share amounts)
Ohio | Short-Intermediate Municipal Bond Fund | Tax Free Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 255,952 | $ | 1,168,286 | $ | 486,903 | ||||||
Investments in affiliates, at value | 898 | 9,211 | 14,132 | |||||||||
Total investment securities, at value | 256,850 | 1,177,497 | 501,035 | |||||||||
Receivables: | ||||||||||||
Fund shares sold | 254 | 2,827 | 452 | |||||||||
Interest and dividends | 2,880 | 14,134 | 5,915 | |||||||||
Total Assets | 259,984 | 1,194,458 | 507,402 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | — | 14 | |||||||||
Dividends | 240 | 1,133 | 1,050 | |||||||||
Investment securities purchased | — | (a) | 1 | 1 | ||||||||
Fund shares redeemed | 432 | 5,056 | 1,778 | |||||||||
Variation margin on futures contracts | — | — | 42 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 60 | 97 | 116 | |||||||||
Administration fees | 19 | 84 | 40 | |||||||||
Shareholder servicing fees | 35 | 192 | 46 | |||||||||
Distribution fees | 53 | 53 | 60 | |||||||||
Custodian and accounting fees | 22 | 37 | 24 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | (a) | — | (a) | |||||||
Other | 76 | 144 | 62 | |||||||||
Total Liabilities | 938 | 6,797 | 3,233 | |||||||||
Net Assets | $ | 259,046 | $ | 1,187,661 | $ | 504,169 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
Ohio | Short-Intermediate Municipal Bond Fund | Tax Free Bond Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 250,638 | $ | 1,216,658 | $ | 483,446 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (22 | ) | (73 | ) | (39 | ) | ||||||
Accumulated net realized gains (losses) | (288 | ) | (35,320 | ) | (3,096 | ) | ||||||
Net unrealized appreciation (depreciation) | 8,718 | 6,396 | 23,858 | |||||||||
Total Net Assets | $ | 259,046 | $ | 1,187,661 | $ | 504,169 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 102,830 | $ | 121,687 | $ | 187,253 | ||||||
Class B | 4,591 | 394 | 2,836 | |||||||||
Class C | 51,174 | 51,202 | 37,380 | |||||||||
Institutional Class | — | 199,764 | — | |||||||||
Select Class | 100,451 | 814,614 | 276,700 | |||||||||
Total | $ | 259,046 | $ | 1,187,661 | $ | 504,169 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 9,394 | 11,654 | 15,496 | |||||||||
Class B | 416 | 37 | 236 | |||||||||
Class C | 4,655 | 4,864 | 3,112 | |||||||||
Institutional Class | — | 19,037 | — | |||||||||
Select Class | 9,231 | 77,792 | 22,966 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 10.95 | $ | 10.44 | $ | 12.08 | ||||||
Class B — Offering price per share (b) | 11.04 | 10.54 | 12.04 | |||||||||
Class C — Offering price per share(b) | 10.99 | 10.53 | 12.01 | |||||||||
Institutional Class — Offering and redemption price per share | — | 10.49 | — | |||||||||
Select Class — Offering and redemption price per share | 10.88 | 10.47 | 12.05 | |||||||||
Class A maximum sales charge | 3.75 | % | 2.25 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 11.38 | $ | 10.68 | $ | 12.55 | ||||||
Cost of investments in non-affiliates | $ | 247,234 | $ | 1,161,890 | $ | 463,003 | ||||||
Cost of investments in affiliates | 898 | 9,211 | 14,132 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 65 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011
(Amounts in thousands)
Arizona | Michigan Municipal Bond Fund | Municipal Income Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 5,644 | $ | 6,634 | $ | 46,724 | ||||||
Dividend income from non-affiliates | — | — | 353 | |||||||||
Dividend income from affiliates | 3 | 2 | 35 | |||||||||
Other income | 6 | 8 | 33 | |||||||||
Total investment income | 5,653 | 6,644 | 47,145 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 451 | 463 | 3,596 | |||||||||
Administration fees | 138 | 142 | 1,098 | |||||||||
Distribution fees: | ||||||||||||
Class A | 113 | 146 | 253 | |||||||||
Class B | 8 | 33 | 45 | |||||||||
Class C | 176 | 83 | 256 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 113 | 146 | 253 | |||||||||
Class B | 3 | 11 | 15 | |||||||||
Class C | 59 | 27 | 86 | |||||||||
Select Class | 201 | 201 | 2,644 | |||||||||
Custodian and accounting fees | 40 | 41 | 119 | |||||||||
Interest expense to affiliates | 1 | 4 | — | (a) | ||||||||
Professional fees | 57 | 56 | 67 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | 12 | |||||||||
Printing and mailing costs | 8 | 8 | 47 | |||||||||
Registration and filing fees | 33 | 21 | 75 | |||||||||
Transfer agent fees | 21 | 27 | 63 | |||||||||
Other | 10 | 8 | 18 | |||||||||
Total expenses | 1,433 | 1,418 | 8,647 | |||||||||
Less amounts waived | (160 | ) | (165 | ) | (695 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
Net expenses | 1,273 | 1,253 | 7,952 | |||||||||
Net investment income (loss) | 4,380 | 5,391 | 39,193 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 1,512 | 1,705 | 3,493 | |||||||||
Change in net unrealized appreciation (depreciation) of investments in non-affiliates | (4,192 | ) | (4,863 | ) | (22,486 | ) | ||||||
Net realized/unrealized gains (losses) | (2,680 | ) | (3,158 | ) | (18,993 | ) | ||||||
Change in net assets resulting from operations | $ | 1,700 | $ | 2,233 | $ | 20,200 | ||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
Ohio | Short-Intermediate Municipal Bond Fund | Tax Free Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 11,958 | $ | 25,186 | $ | 31,699 | ||||||
Dividend income from affiliates | 13 | 67 | 9 | |||||||||
Other income | 6 | 30 | 50 | |||||||||
Total investment income | 11,977 | 25,283 | 31,758 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 913 | 3,291 | 1,992 | |||||||||
Administration fees | 279 | 1,206 | 609 | |||||||||
Distribution fees: | ||||||||||||
Class A | 299 | 352 | 546 | |||||||||
Class B | 53 | 5 | 31 | |||||||||
Class C | 496 | 463 | 354 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 299 | 352 | 546 | |||||||||
Class B | 18 | 2 | 10 | |||||||||
Class C | 165 | 155 | 118 | |||||||||
Institutional Class | — | 218 | — | |||||||||
Select Class | 279 | 2,238 | 986 | |||||||||
Custodian and accounting fees | 56 | 100 | 71 | |||||||||
Interest expense to affiliates | 1 | — | 1 | |||||||||
Professional fees | 59 | 105 | 59 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 16 | 10 | |||||||||
Printing and mailing costs | 19 | 80 | 32 | |||||||||
Registration and filing fees | 16 | 125 | 68 | |||||||||
Transfer agent fees | 69 | 50 | 84 | |||||||||
Other | 12 | 26 | 15 | |||||||||
Total expenses | 3,035 | 8,784 | 5,532 | |||||||||
Less amounts waived | (228 | ) | (2,035 | ) | (880 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
Net expenses | 2,807 | 6,749 | 4,652 | |||||||||
Net investment income (loss) | 9,170 | 18,534 | 27,106 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | (218 | ) | 3,215 | 1,821 | ||||||||
Futures | — | — | (1,349 | ) | ||||||||
Net realized gain (loss) | (218 | ) | 3,215 | 472 | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | (5,772 | ) | (14,722 | ) | (21,984 | ) | ||||||
Futures | — | — | 164 | |||||||||
Change in net unrealized appreciation (depreciation) | (5,772 | ) | (14,722 | ) | (21,820 | ) | ||||||
Net realized/unrealized gains (losses) | (5,990 | ) | (11,507 | ) | (21,348 | ) | ||||||
Change in net assets resulting from operations | $ | 3,180 | $ | 7,027 | $ | 5,758 | ||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Arizona Municipal Bond Fund | Michigan Municipal Bond Fund | Municipal Income Fund | ||||||||||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 4,380 | $ | 5,106 | $ | 5,391 | $ | 6,671 | $ | 39,193 | $ | 42,696 | ||||||||||||
Net realized gain (loss) | 1,512 | 564 | 1,705 | 383 | 3,493 | 1,047 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (4,192 | ) | 3,170 | (4,863 | ) | 3,709 | (22,486 | ) | 51,686 | |||||||||||||||
Change in net assets resulting from operations | 1,700 | 8,840 | 2,233 | 10,763 | 20,200 | 95,429 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
From net investment income | (1,315 | ) | (1,559 | ) | (1,851 | ) | (1,996 | ) | (3,090 | ) | (3,108 | ) | ||||||||||||
From net realized gains | (247 | ) | — | (238 | ) | — | — | — | ||||||||||||||||
Class B | ||||||||||||||||||||||||
From net investment income | (24 | ) | (30 | ) | (124 | ) | (311 | ) | (149 | ) | (312 | ) | ||||||||||||
From net realized gains | (5 | ) | — | (13 | ) | — | — | — | ||||||||||||||||
Class C | ||||||||||||||||||||||||
From net investment income | (531 | ) | (493 | ) | (307 | ) | (267 | ) | (867 | ) | (752 | ) | ||||||||||||
From net realized gains | (124 | ) | — | (41 | ) | — | — | — | ||||||||||||||||
Select Class | ||||||||||||||||||||||||
From net investment income | (2,509 | ) | (3,026 | ) | (2,722 | ) | (4,102 | ) | (35,053 | ) | (38,629 | ) | ||||||||||||
From net realized gains | (420 | ) | — | (243 | ) | — | — | — | ||||||||||||||||
Total distributions to shareholders | (5,175 | ) | (5,108 | ) | (5,539 | ) | (6,676 | ) | (39,159 | ) | (42,801 | ) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||
Change in net assets from capital transactions | (33,933 | ) | 4,300 | (53,743 | ) | (30,633 | ) | (108,445 | ) | (70,775 | ) | |||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Change in net assets | (37,408 | ) | 8,032 | (57,049 | ) | (26,546 | ) | (127,404 | ) | (18,147 | ) | |||||||||||||
Beginning of period | 161,116 | 153,084 | 174,379 | 200,925 | 1,216,898 | 1,235,045 | ||||||||||||||||||
End of period | $ | 123,708 | $ | 161,116 | $ | 117,330 | $ | 174,379 | $ | 1,089,494 | $ | 1,216,898 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (3 | ) | $ | (4 | ) | $ | 383 | $ | (4 | ) | $ | (27 | ) | $ | (61 | ) | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ohio Municipal Bond Fund | Short-Intermediate Municipal Bond Fund | Tax Free Bond Fund | ||||||||||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 9,170 | $ | 9,058 | $ | 18,534 | $ | 13,385 | $ | 27,106 | $ | 33,978 | ||||||||||||
Net realized gain (loss) | (218 | ) | 6 | 3,215 | (1,425 | ) | 472 | 2,203 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (5,772 | ) | 7,245 | (14,722 | ) | 19,159 | (21,820 | ) | 19,632 | |||||||||||||||
Change in net assets resulting from operations | 3,180 | 16,309 | 7,027 | 31,119 | 5,758 | 55,813 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
From net investment income | (3,679 | ) | (3,713 | ) | (1,646 | ) | (2,012 | ) | (8,914 | ) | (7,978 | ) | ||||||||||||
From net realized gains | (25 | ) | — | — | — | — | — | |||||||||||||||||
Class B | ||||||||||||||||||||||||
From net investment income | (171 | ) | (332 | ) | (5 | ) | (18 | ) | (139 | ) | (245 | ) | ||||||||||||
From net realized gains | (1 | ) | — | — | — | — | — | |||||||||||||||||
Class C | ||||||||||||||||||||||||
From net investment income | (1,628 | ) | (1,253 | ) | (423 | ) | (445 | ) | (1,613 | ) | (888 | ) | ||||||||||||
From net realized gains | (14 | ) | — | — | — | — | — | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||
From net investment income | — | — | (3,670 | ) | (1,876 | ) | — | — | ||||||||||||||||
Select Class | ||||||||||||||||||||||||
From net investment income | (3,729 | ) | (3,742 | ) | (12,809 | ) | (8,967 | ) | (16,433 | ) | (24,858 | ) | ||||||||||||
From net realized gains | (24 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions to shareholders | (9,271 | ) | (9,040 | ) | (18,553 | ) | (13,318 | ) | (27,099 | ) | (33,969 | ) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||
Change in net assets from capital transactions | (47,351 | ) | 71,258 | (89,669 | ) | 1,002,738 | (202,668 | ) | (87,333 | ) | ||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Change in net assets | (53,442 | ) | 78,527 | (101,195 | ) | 1,020,539 | (224,009 | ) | (65,489 | ) | ||||||||||||||
Beginning of period | 312,488 | 233,961 | 1,288,856 | 268,317 | 728,178 | 793,667 | ||||||||||||||||||
End of period | $ | 259,046 | $ | 312,488 | $ | 1,187,661 | $ | 1,288,856 | $ | 504,169 | $ | 728,178 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (22 | ) | $ | 22 | $ | (73 | ) | $ | (53 | ) | $ | (39 | ) | $ | (46 | ) | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 69 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Arizona Municipal Bond Fund | Michigan Municipal Bond Fund | Municipal Income Fund | ||||||||||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 4,525 | $ | 19,708 | $ | 8,455 | $ | 19,585 | $ | 18,251 | $ | 23,275 | ||||||||||||
Dividends and distributions reinvested | 1,089 | 1,117 | 1,582 | 1,528 | 2,206 | 2,162 | ||||||||||||||||||
Cost of shares redeemed | (17,876 | ) | (18,200 | ) | (16,505 | ) | (13,672 | ) | (25,184 | ) | (20,141 | ) | ||||||||||||
Change in net assets from Class A capital transactions | $ | (12,262 | ) | $ | 2,625 | $ | (6,468 | ) | $ | 7,441 | $ | (4,727 | ) | $ | 5,296 | |||||||||
Class B | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 32 | $ | 129 | $ | 1 | $ | 174 | $ | 40 | $ | 245 | ||||||||||||
Dividends and distributions reinvested | 20 | 22 | 89 | 213 | 119 | 249 | ||||||||||||||||||
Cost of shares redeemed | (407 | ) | (231 | ) | (4,079 | ) | (6,364 | ) | (6,181 | ) | (6,020 | ) | ||||||||||||
Change in net assets from Class B capital transactions | $ | (355 | ) | $ | (80 | ) | $ | (3,989 | ) | $ | (5,977 | ) | $ | (6,022 | ) | $ | (5,526 | ) | ||||||
Class C | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 5,530 | $ | 16,640 | $ | 3,087 | $ | 7,907 | $ | 10,386 | $ | 17,589 | ||||||||||||
Dividends and distributions reinvested | 531 | 398 | 297 | 221 | 654 | 557 | ||||||||||||||||||
Cost of shares redeemed | (12,073 | ) | (4,006 | ) | (5,673 | ) | (2,654 | ) | (16,458 | ) | (4,774 | ) | ||||||||||||
Change in net assets from Class C capital transactions | $ | (6,012 | ) | $ | 13,032 | $ | (2,289 | ) | $ | 5,474 | $ | (5,418 | ) | $ | 13,372 | |||||||||
Select Class | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 10,399 | $ | 14,223 | $ | 4,163 | $ | 7,330 | $ | 334,672 | $ | 301,484 | ||||||||||||
Dividends and distributions reinvested | 1,461 | 1,272 | 1,386 | 1,772 | 1,607 | 1,712 | ||||||||||||||||||
Cost of shares redeemed | (27,164 | ) | (26,772 | ) | (46,546 | ) | (46,673 | ) | (428,557 | ) | (387,113 | ) | ||||||||||||
Change in net assets from Select Class capital transactions | $ | (15,304 | ) | $ | (11,277 | ) | $ | (40,997 | ) | $ | (37,571 | ) | $ | (92,278 | ) | $ | (83,917 | ) | ||||||
Total change in net assets from capital transactions | $ | (33,933 | ) | $ | 4,300 | $ | (53,743 | ) | $ | (30,633 | ) | $ | (108,445 | ) | $ | (70,775 | ) | |||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Issued | 461 | 2,043 | 785 | 1,841 | 1,817 | 2,376 | ||||||||||||||||||
Reinvested | 112 | 115 | 147 | 144 | 221 | 220 | ||||||||||||||||||
Redeemed | (1,853 | ) | (1,882 | ) | (1,545 | ) | (1,284 | ) | (2,532 | ) | (2,065 | ) | ||||||||||||
| �� | ||||||||||||||||||||||||
Change in Class A Shares | (1,280 | ) | 276 | (613 | ) | 701 | (494 | ) | 531 | |||||||||||||||
Class B | ||||||||||||||||||||||||
Issued | 3 | 13 | — | (a) | 18 | 4 | 25 | |||||||||||||||||
Reinvested | 2 | 2 | 9 | 21 | 12 | 26 | ||||||||||||||||||
Redeemed | (41 | ) | (23 | ) | (400 | ) | (629 | ) | (622 | ) | (620 | ) | ||||||||||||
Change in Class B Shares | (36 | ) | (8 | ) | (391 | ) | (590 | ) | (606 | ) | (569 | ) | ||||||||||||
Class C | ||||||||||||||||||||||||
Issued | 560 | 1,708 | 302 | 784 | 1,042 | 1,811 | ||||||||||||||||||
Reinvested | 54 | 41 | 29 | 22 | 66 | 57 | ||||||||||||||||||
Redeemed | (1,237 | ) | (411 | ) | (565 | ) | (264 | ) | (1,672 | ) | (489 | ) | ||||||||||||
Change in Class C Shares | (623 | ) | 1,338 | (234 | ) | 542 | (564 | ) | 1,379 | |||||||||||||||
Select Class | ||||||||||||||||||||||||
Issued | 1,051 | 1,453 | 389 | 689 | 33,704 | 30,856 | ||||||||||||||||||
Reinvested | 148 | 130 | 129 | 167 | 162 | 176 | ||||||||||||||||||
Redeemed | (2,766 | ) | (2,732 | ) | (4,360 | ) | (4,422 | ) | (43,425 | ) | (39,704 | ) | ||||||||||||
Change in Select Class Shares | (1,567 | ) | (1,149 | ) | (3,842 | ) | (3,566 | ) | (9,559 | ) | (8,672 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ohio Municipal Bond Fund | Short-Intermediate Municipal Bond Fund | Tax Free Bond Fund | ||||||||||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 24,603 | $ | 47,851 | $ | 44,765 | $ | 132,708 | $ | 66,770 | $ | 94,267 | ||||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | — | — | 1,989 | — | — | ||||||||||||||||||
Dividends and distributions reinvested | 2,478 | 2,756 | 1,371 | 1,655 | 6,315 | 5,487 | ||||||||||||||||||
Cost of shares redeemed | (44,867 | ) | (22,156 | ) | (79,100 | ) | (56,362 | ) | (88,630 | ) | (46,157 | ) | ||||||||||||
Change in net assets from Class A capital transactions | $ | (17,786 | ) | $ | 28,451 | $ | (32,964 | ) | $ | 79,990 | $ | (15,545 | ) | $ | 53,597 | |||||||||
Class B | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 59 | $ | 741 | $ | 75 | $ | 35 | $ | 60 | $ | 564 | ||||||||||||
Dividends and distributions reinvested | 130 | 249 | 3 | 13 | 97 | 185 | ||||||||||||||||||
Cost of shares redeemed | (5,609 | ) | (7,115 | ) | (633 | ) | (2,440 | ) | (2,855 | ) | (3,136 | ) | ||||||||||||
Change in net assets from Class B capital transactions | $ | (5,420 | ) | $ | (6,125 | ) | $ | (555 | ) | $ | (2,392 | ) | $ | (2,698 | ) | $ | (2,387 | ) | ||||||
Class C | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 18,960 | $ | 42,546 | $ | 28,135 | $ | 63,044 | $ | 27,079 | $ | 37,022 | ||||||||||||
Dividends and distributions reinvested | 1,377 | 1,027 | 389 | 413 | 1,300 | 729 | ||||||||||||||||||
Cost of shares redeemed | (30,609 | ) | (6,346 | ) | (42,007 | ) | (20,788 | ) | (28,776 | ) | (4,108 | ) | ||||||||||||
Change in net assets from Class C capital transactions | $ | (10,272 | ) | $ | 37,227 | $ | (13,483 | ) | $ | 42,669 | $ | (397 | ) | $ | 33,643 | |||||||||
Institutional Class | ||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 253,776 | $ | 127,370 | $ | — | $ | — | ||||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | — | — | 84,058 | — | — | ||||||||||||||||||
Dividends and distributions reinvested | — | — | 330 | 118 | — | — | ||||||||||||||||||
Cost of shares redeemed | — | — | (232,198 | ) | (34,367 | ) | — | — | ||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 21,908 | $ | 177,179 | $ | — | $ | — | ||||||||||||
Select Class | ||||||||||||||||||||||||
Proceeds from shares issued | $ | 27,523 | $ | 38,403 | $ | 685,549 | $ | 780,541 | $ | 20,488 | $ | 40,127 | ||||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | — | — | 181,090 | — | — | ||||||||||||||||||
Dividends and distributions reinvested | 1,735 | 1,591 | 1,003 | 1,016 | 1,993 | 2,487 | ||||||||||||||||||
Cost of shares redeemed | (43,131 | ) | (28,289 | ) | (751,127 | ) | (257,355 | ) | (206,509 | ) | (214,800 | ) | ||||||||||||
Change in net assets from Select Class capital transactions | $ | (13,873 | ) | $ | 11,705 | $ | (64,575 | ) | $ | 705,292 | $ | (184,028 | ) | $ | (172,186 | ) | ||||||||
Total change in net assets from capital transactions | $ | (47,351 | ) | $ | 71,258 | $ | (89,669 | ) | $ | 1,002,738 | $ | (202,668 | ) | $ | (87,333 | ) | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 71 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Ohio Municipal Bond Fund | Short-Intermediate Municipal Bond Fund | Tax Free Bond Fund | ||||||||||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Issued | 2,209 | 4,357 | 4,253 | 12,765 | 5,340 | 7,631 | ||||||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | — | — | 192 | — | — | ||||||||||||||||||
Reinvested | 222 | 250 | 131 | 159 | 508 | 444 | ||||||||||||||||||
Redeemed | (4,065 | ) | (2,007 | ) | (7,538 | ) | (5,413 | ) | (7,189 | ) | (3,731 | ) | ||||||||||||
Change in Class A Shares | (1,634 | ) | 2,600 | (3,154 | ) | 7,703 | (1,341 | ) | 4,344 | |||||||||||||||
Class B | ||||||||||||||||||||||||
Issued | 5 | 67 | 7 | 4 | 5 | 46 | ||||||||||||||||||
Reinvested | 12 | 23 | — | (a) | 1 | 8 | 15 | |||||||||||||||||
Redeemed | (499 | ) | (643 | ) | (60 | ) | (233 | ) | (230 | ) | (255 | ) | ||||||||||||
Change in Class B Shares | (482 | ) | (553 | ) | (53 | ) | (228 | ) | (217 | ) | (194 | ) | ||||||||||||
Class C | ||||||||||||||||||||||||
Issued | 1,685 | 3,856 | 2,655 | 6,001 | 2,173 | 3,008 | ||||||||||||||||||
Reinvested | 123 | 93 | 36 | 39 | 106 | 59 | ||||||||||||||||||
Redeemed | (2,772 | ) | (574 | ) | (3,972 | ) | (1,979 | ) | (2,361 | ) | (335 | ) | ||||||||||||
Change in Class C Shares | (964 | ) | 3,375 | (1,281 | ) | 4,061 | (82 | ) | 2,732 | |||||||||||||||
Institutional Class | ||||||||||||||||||||||||
Issued | — | — | 24,021 | 12,129 | — | — | ||||||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | — | — | 8,105 | — | — | ||||||||||||||||||
Reinvested | — | — | 31 | 11 | — | — | ||||||||||||||||||
Redeemed | — | — | (21,997 | ) | (3,263 | ) | — | — | ||||||||||||||||
Change in Institutional Class Shares | — | — | 2,055 | 16,982 | — | — | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||
Issued | 2,488 | 3,504 | 64,968 | 74,507 | 1,658 | 3,258 | ||||||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | — | — | 17,474 | — | — | ||||||||||||||||||
Reinvested | 157 | 145 | 95 | 97 | 160 | 202 | ||||||||||||||||||
Redeemed | (3,919 | ) | (2,583 | ) | (71,287 | ) | (24,564 | ) | (16,796 | ) | (17,414 | ) | ||||||||||||
Change in Select Class Shares | (1,274 | ) | 1,066 | (6,224 | ) | 67,514 | (14,978 | ) | (13,954 | ) | ||||||||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 73 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Arizona Municipal Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 9.80 | $ | 0.27 | $ | (0.15 | ) | $ | 0.12 | $ | (0.29 | ) | $ | (0.05 | ) | $ | (0.34 | ) | ||||||||||
Year Ended February 28, 2010 | 9.58 | 0.31 | 0.22 | (c) | 0.53 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.30 | 0.33 | 0.28 | 0.61 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.54 | 0.34 | (0.22 | ) | 0.12 | (0.34 | ) | (0.02 | ) | (0.36 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 9.60 | 0.36 | (0.02 | ) | 0.34 | (0.36 | ) | (0.04 | ) | (0.40 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.92 | 0.22 | (0.16 | ) | 0.06 | (0.23 | ) | (0.05 | ) | (0.28 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 9.69 | 0.25 | 0.22 | (c) | 0.47 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.39 | 0.26 | 0.30 | 0.56 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.62 | 0.28 | (0.21 | ) | 0.07 | (0.28 | ) | (0.02 | ) | (0.30 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 9.69 | 0.30 | (0.03 | ) | 0.27 | (0.30 | ) | (0.04 | ) | (0.34 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.87 | 0.22 | (0.16 | ) | 0.06 | (0.23 | ) | (0.05 | ) | (0.28 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 9.65 | 0.25 | 0.22 | (c) | 0.47 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.37 | 0.27 | 0.28 | 0.55 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.60 | 0.28 | (0.21 | ) | 0.07 | (0.28 | ) | (0.02 | ) | (0.30 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 9.67 | 0.31 | (0.04 | ) | 0.27 | (0.30 | ) | (0.04 | ) | (0.34 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.91 | 0.32 | (0.18 | ) | 0.14 | (0.31 | ) | (0.05 | ) | (0.36 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 9.68 | 0.34 | 0.22 | (c) | 0.56 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.39 | 0.35 | 0.29 | 0.64 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.63 | 0.36 | (0.22 | ) | 0.14 | (0.36 | ) | (0.02 | ) | (0.38 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 9.69 | 0.39 | (0.02 | ) | 0.37 | (0.39 | ) | (0.04 | ) | (0.43 | ) | |||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to the total return. |
| (d) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
Net asset | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 9.58 | 1.23 | % | $ | 35,413 | 0.88 | % | 2.88 | % | 1.01 | % | 8 | % | |||||||||||||
| 9.80 | 5.59 | (c) | 48,783 | 0.87 | 3.14 | 1.01 | 14 | |||||||||||||||||||
| 9.58 | 6.64 | 45,037 | 0.88 | 3.42 | 1.02 | 25 | ||||||||||||||||||||
| 9.30 | 1.30 | (d) | 37,232 | 0.88 | 3.55 | 1.02 | 19 | |||||||||||||||||||
| 9.54 | 3.61 | 32,842 | 0.88 | 3.77 | 1.01 | 30 | ||||||||||||||||||||
| 9.70 | 0.58 | 818 | 1.50 | 2.26 | 1.51 | 8 | ||||||||||||||||||||
| 9.92 | 4.94 | (c) | 1,191 | 1.50 | 2.51 | 1.51 | 14 | |||||||||||||||||||
| 9.69 | 6.09 | 1,243 | 1.51 | 2.79 | 1.52 | 25 | ||||||||||||||||||||
| 9.39 | 0.72 | (d) | 1,410 | 1.52 | 2.92 | 1.52 | 19 | |||||||||||||||||||
| 9.62 | 2.83 | 1,477 | 1.51 | 3.16 | 1.51 | 30 | ||||||||||||||||||||
| 9.65 | 0.60 | 18,163 | 1.50 | 2.25 | 1.51 | 8 | ||||||||||||||||||||
| 9.87 | 4.90 | (c) | 24,729 | 1.50 | 2.48 | 1.51 | 14 | |||||||||||||||||||
| 9.65 | 5.98 | 11,258 | 1.52 | 2.78 | 1.52 | 25 | ||||||||||||||||||||
| 9.37 | 0.78 | (d) | 3,309 | 1.52 | 2.91 | 1.52 | 19 | |||||||||||||||||||
| 9.60 | 2.85 | 2,456 | 1.51 | 3.14 | 1.51 | 30 | ||||||||||||||||||||
| 9.69 | 1.46 | 69,314 | 0.63 | 3.13 | 0.76 | 8 | ||||||||||||||||||||
| 9.91 | 5.89 | (c) | 86,413 | 0.62 | 3.40 | 0.76 | 14 | |||||||||||||||||||
| 9.68 | 6.94 | 95,546 | 0.63 | 3.68 | 0.77 | 25 | ||||||||||||||||||||
| 9.39 | 1.52 | (d) | 110,367 | 0.63 | 3.81 | 0.77 | 19 | |||||||||||||||||||
| 9.63 | 3.83 | 102,553 | 0.63 | 4.02 | 0.76 | 30 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 75 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Michigan Municipal Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.77 | $ | 0.37 | (c) | $ | (0.24 | ) | $ | 0.13 | $ | (0.34 | ) | $ | (0.04 | ) | $ | (0.38 | ) | |||||||||
Year Ended February 28, 2010 | 10.52 | 0.38 | (c) | 0.25 | (d) | 0.63 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.36 | 0.38 | (c) | 0.16 | 0.54 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.65 | 0.39 | (c) | (0.29 | ) | 0.10 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 10.69 | 0.42 | (0.05 | ) | 0.37 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.23 | 0.29 | (c) | (0.22 | ) | 0.07 | (0.28 | ) | (0.04 | ) | (0.32 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.01 | 0.30 | (c) | 0.24 | (d) | 0.54 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 9.88 | 0.30 | (c) | 0.15 | 0.45 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.17 | 0.31 | (c) | (0.27 | ) | 0.04 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 10.23 | 0.32 | (0.03 | ) | 0.29 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.20 | 0.29 | (c) | (0.22 | ) | 0.07 | (0.28 | ) | (0.04 | ) | (0.32 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 9.99 | 0.30 | (c) | 0.24 | (d) | 0.54 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 9.86 | 0.30 | (c) | 0.15 | 0.45 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.31 | (c) | (0.27 | ) | 0.04 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 10.22 | 0.35 | (0.07 | ) | 0.28 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.75 | 0.39 | (c) | (0.22 | ) | 0.17 | (0.37 | ) | (0.04 | ) | (0.41 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.50 | 0.41 | (c) | 0.25 | (d) | 0.66 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.35 | 0.40 | (c) | 0.15 | 0.55 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.63 | 0.42 | (c) | (0.28 | ) | 0.14 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 10.68 | 0.44 | (0.05 | ) | 0.39 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | The Advisor reimbused the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to the total return. |
| (e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 10.52 | 1.26 | % | $ | 52,244 | 0.88 | % | 3.44 | % | 1.00 | % | 12 | % | |||||||||||||
| 10.77 | 6.13 | (d) | 60,059 | 0.88 | 3.61 | 0.99 | 5 | |||||||||||||||||||
| 10.52 | 5.30 | 51,278 | 0.88 | 3.60 | 1.00 | 12 | ||||||||||||||||||||
| 10.36 | 0.93 | (e) | 49,175 | 0.88 | 3.68 | 0.99 | 4 | |||||||||||||||||||
| 10.65 | 3.53 | 60,941 | 0.86 | 3.89 | 0.97 | 21 | ||||||||||||||||||||
| 9.98 | 0.70 | 2,610 | 1.50 | 2.81 | 1.50 | 12 | ||||||||||||||||||||
| 10.23 | 5.50 | (d) | 6,679 | 1.49 | 3.00 | 1.50 | 5 | |||||||||||||||||||
| 10.01 | 4.59 | 12,444 | 1.50 | 2.98 | 1.50 | 12 | ||||||||||||||||||||
| 9.88 | 0.37 | (e) | 15,563 | 1.49 | 3.07 | 1.49 | 4 | |||||||||||||||||||
| 10.17 | 2.88 | 22,644 | 1.47 | 3.28 | 1.47 | 21 | ||||||||||||||||||||
| 9.95 | 0.71 | 8,171 | 1.50 | 2.81 | 1.50 | 12 | ||||||||||||||||||||
| 10.20 | 5.46 | (d) | 10,768 | 1.49 | 3.00 | 1.49 | 5 | |||||||||||||||||||
| 9.99 | 4.64 | 5,121 | 1.50 | 2.98 | 1.50 | 12 | ||||||||||||||||||||
| 9.86 | 0.37 | (e) | 3,457 | 1.49 | 3.07 | 1.49 | 4 | |||||||||||||||||||
| 10.15 | 2.84 | 4,381 | 1.47 | 3.26 | 1.47 | 21 | ||||||||||||||||||||
| 10.51 | 1.59 | 54,305 | 0.63 | 3.67 | 0.75 | 12 | ||||||||||||||||||||
| 10.75 | 6.42 | (d) | 96,873 | 0.63 | 3.86 | 0.75 | 5 | |||||||||||||||||||
| 10.50 | 5.46 | 132,082 | 0.63 | 3.85 | 0.75 | 12 | ||||||||||||||||||||
| 10.35 | 1.29 | (e) | 173,800 | 0.63 | 3.93 | 0.74 | 4 | |||||||||||||||||||
| 10.63 | 3.72 | 210,128 | 0.61 | 4.13 | 0.72 | 21 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 77 | ||||||
Table of Contents
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 | Total from investment operations | Net investment income | Net asset value, end of period | Total return (excludes sales charge) (a) | ||||||||||||||||||||||
Municipal Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.00 | $ | 0.31 | (c) | $ | (0.14 | ) | $ | 0.17 | $ | (0.31 | ) | $ | 9.86 | 1.67 | % | |||||||||||
Year Ended February 28, 2010 | 9.57 | 0.32 | (c) | 0.43 | 0.75 | (0.32 | ) | 10.00 | 8.01 | |||||||||||||||||||
Year Ended February 28, 2009 | 9.55 | 0.34 | 0.02 | 0.36 | (0.34 | ) | 9.57 | 3.81 | ||||||||||||||||||||
Year Ended February 29, 2008 | 9.81 | 0.34 | (0.27 | ) | 0.07 | (0.33 | ) | 9.55 | 0.73 | (d) | ||||||||||||||||||
Year Ended February 28, 2007 | 9.79 | 0.35 | 0.01 | 0.36 | (0.34 | ) | 9.81 | 3.76 | ||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.94 | 0.25 | (c) | (0.14 | ) | 0.11 | (0.25 | ) | 9.80 | 1.12 | ||||||||||||||||||
Year Ended February 28, 2010 | 9.52 | 0.27 | (c) | 0.42 | 0.69 | (0.27 | ) | 9.94 | 7.32 | |||||||||||||||||||
Year Ended February 28, 2009 | 9.50 | 0.29 | 0.01 | 0.30 | (0.28 | ) | 9.52 | 3.23 | ||||||||||||||||||||
Year Ended February 29, 2008 | 9.76 | 0.30 | (0.29 | ) | 0.01 | (0.27 | ) | 9.50 | 0.10 | (d) | ||||||||||||||||||
Year Ended February 28, 2007 | 9.73 | 0.29 | 0.02 | 0.31 | (0.28 | ) | 9.76 | 3.29 | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.93 | 0.25 | (c) | (0.15 | ) | 0.10 | (0.25 | ) | 9.78 | 1.04 | ||||||||||||||||||
Year Ended February 28, 2010 | 9.51 | 0.27 | (c) | 0.42 | 0.69 | (0.27 | ) | 9.93 | 7.35 | |||||||||||||||||||
Year Ended February 28, 2009 | 9.48 | 0.28 | 0.03 | 0.31 | (0.28 | ) | 9.51 | 3.36 | ||||||||||||||||||||
Year Ended February 29, 2008 | 9.75 | 0.28 | (0.28 | ) | — | (0.27 | ) | 9.48 | 0.02 | (d) | ||||||||||||||||||
Year Ended February 28, 2007 | 9.72 | 0.28 | 0.03 | 0.31 | (0.28 | ) | 9.75 | 3.29 | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.94 | 0.33 | (c) | (0.14 | ) | 0.19 | (0.33 | ) | 9.80 | 1.94 | ||||||||||||||||||
Year Ended February 28, 2010 | 9.52 | 0.35 | (c) | 0.42 | 0.77 | (0.35 | ) | 9.94 | 8.22 | |||||||||||||||||||
Year Ended February 28, 2009 | 9.50 | 0.36 | 0.02 | 0.38 | (0.36 | ) | 9.52 | 4.08 | ||||||||||||||||||||
Year Ended February 29, 2008 | 9.77 | 0.36 | (0.27 | ) | 0.09 | (0.36 | ) | 9.50 | 0.89 | (d) | ||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.36 | 0.03 | 0.39 | (0.36 | ) | 9.77 | 4.14 | ||||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (e) | See Note 2.H. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net assets, end of period (000’s) | Net expenses (excluding imputed interest) (b) | Net expenses (including imputed interest) (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (excluding imputed interest) | Expenses without waivers, reimbursements and earnings credits (including imputed interest) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 94,167 | 0.87 | % | 0.87 | % | 3.07 | % | 0.93 | % | 0.93 | % | 18 | % | |||||||||||||
| 100,454 | 0.86 | 0.86 | 3.32 | 0.93 | 0.93 | 18 | ||||||||||||||||||||
| 91,082 | 0.87 | 0.88 | (e) | 3.49 | 0.94 | 0.95 | (e) | 12 | ||||||||||||||||||
| 101,274 | 0.85 | 0.88 | (e) | 3.44 | 0.94 | 0.97 | (e) | 29 | ||||||||||||||||||
| 106,260 | 0.84 | 0.91 | (e) | 3.53 | 0.93 | 1.00 | (e) | 39 | ||||||||||||||||||
| 2,993 | 1.42 | 1.42 | 2.52 | 1.43 | 1.43 | 18 | ||||||||||||||||||||
| 9,058 | 1.43 | 1.43 | 2.77 | 1.43 | 1.43 | 18 | ||||||||||||||||||||
| 14,094 | 1.44 | 1.45 | (e) | 2.91 | 1.44 | 1.45 | (e) | 12 | ||||||||||||||||||
| 19,530 | 1.44 | 1.47 | (e) | 2.86 | 1.44 | 1.47 | (e) | 29 | ||||||||||||||||||
| 34,456 | 1.43 | 1.50 | (e) | 2.95 | 1.43 | 1.50 | (e) | 39 | ||||||||||||||||||
| 27,426 | 1.42 | 1.42 | 2.51 | 1.42 | 1.42 | 18 | ||||||||||||||||||||
| 33,426 | 1.42 | 1.42 | 2.74 | 1.43 | 1.43 | 18 | ||||||||||||||||||||
| 18,906 | 1.44 | 1.45 | (e) | 2.92 | 1.44 | 1.45 | (e) | 12 | ||||||||||||||||||
| 17,655 | 1.44 | 1.47 | (e) | 2.86 | 1.44 | 1.47 | (e) | 29 | ||||||||||||||||||
| 19,137 | 1.43 | 1.50 | (e) | 2.94 | 1.43 | 1.50 | (e) | 39 | ||||||||||||||||||
| 964,908 | 0.62 | 0.62 | 3.32 | 0.68 | 0.68 | 18 | ||||||||||||||||||||
| 1,073,960 | 0.62 | 0.62 | 3.57 | 0.68 | 0.68 | 18 | ||||||||||||||||||||
| 1,110,963 | 0.62 | 0.63 | (e) | 3.73 | 0.69 | 0.70 | (e) | 12 | ||||||||||||||||||
| 1,512,691 | 0.60 | 0.63 | (e) | 3.69 | 0.69 | 0.72 | (e) | 29 | ||||||||||||||||||
| 1,372,743 | 0.59 | 0.66 | (e) | 3.77 | 0.68 | 0.75 | (e) | 39 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 79 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Ohio Municipal Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 11.15 | $ | 0.34 | (c) | $ | (0.19 | ) | $ | 0.15 | $ | (0.35 | ) | $ | — | (d) | $ | (0.35 | ) | |||||||||
Year Ended February 28, 2010 | 10.87 | 0.36 | (c) | 0.28 | 0.64 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.58 | �� | 0.40 | 0.29 | 0.69 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.86 | 0.41 | (0.28 | ) | 0.13 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.88 | 0.42 | (0.02 | ) | 0.40 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 11.24 | 0.28 | (c) | (0.20 | ) | 0.08 | (0.28 | ) | — | (d) | (0.28 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.95 | 0.30 | (c) | 0.28 | 0.58 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.66 | 0.35 | 0.27 | 0.62 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 10.93 | 0.37 | (0.30 | ) | 0.07 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.96 | 0.37 | (0.05 | ) | 0.32 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 11.20 | 0.28 | (c) | (0.21 | ) | 0.07 | (0.28 | ) | — | (d) | (0.28 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.91 | 0.29 | (c) | 0.29 | 0.58 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.63 | 0.34 | 0.28 | 0.62 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 10.90 | 0.35 | (0.28 | ) | 0.07 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.93 | 0.36 | (0.03 | ) | 0.33 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 11.09 | 0.37 | (c) | (0.21 | ) | 0.16 | (0.37 | ) | — | (d) | (0.37 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.81 | 0.39 | (c) | 0.28 | 0.67 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.52 | 0.43 | 0.29 | 0.72 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 10.80 | 0.43 | (0.28 | ) | 0.15 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.83 | 0.44 | (0.02 | ) | 0.42 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 10.95 | 1.33 | % | $ | 102,830 | 0.87 | % | 3.06 | % | 0.97 | % | 7 | % | |||||||||||||
| 11.15 | 5.94 | 122,990 | 0.87 | 3.27 | 0.98 | 7 | ||||||||||||||||||||
| 10.87 | 6.66 | 91,571 | 0.88 | 3.76 | 1.00 | 12 | ||||||||||||||||||||
| 10.58 | 1.18 | (e) | 69,138 | 0.88 | 3.79 | 1.00 | 15 | |||||||||||||||||||
| 10.86 | 3.74 | 67,941 | 0.88 | 3.87 | 1.00 | 19 | ||||||||||||||||||||
| 11.04 | 0.69 | 4,591 | 1.46 | 2.48 | 1.47 | 7 | ||||||||||||||||||||
| 11.24 | 5.35 | 10,095 | 1.47 | 2.71 | 1.48 | 7 | ||||||||||||||||||||
| 10.95 | 5.95 | 15,896 | 1.50 | 3.13 | 1.50 | 12 | ||||||||||||||||||||
| 10.66 | 0.62 | (e) | 18,326 | 1.50 | 3.18 | 1.50 | 15 | |||||||||||||||||||
| 10.93 | 2.99 | 27,079 | 1.50 | 3.26 | 1.50 | 19 | ||||||||||||||||||||
| 10.99 | 0.62 | 51,174 | 1.46 | 2.47 | 1.47 | 7 | ||||||||||||||||||||
| 11.20 | 5.41 | 62,918 | 1.46 | 2.64 | 1.48 | 7 | ||||||||||||||||||||
| 10.91 | 5.92 | 24,481 | 1.50 | 3.14 | 1.50 | 12 | ||||||||||||||||||||
| 10.63 | 0.64 | (e) | 8,959 | 1.50 | 3.17 | 1.50 | 15 | |||||||||||||||||||
| 10.90 | 3.06 | 5,658 | 1.49 | 3.25 | 1.50 | 19 | ||||||||||||||||||||
| 10.88 | 1.49 | 100,451 | 0.62 | 3.32 | 0.72 | 7 | ||||||||||||||||||||
| 11.09 | 6.26 | 116,485 | 0.62 | 3.53 | 0.73 | 7 | ||||||||||||||||||||
| 10.81 | 6.98 | 102,013 | 0.63 | 4.00 | 0.75 | 12 | ||||||||||||||||||||
| 10.52 | 1.43 | (e) | 118,518 | 0.63 | 4.04 | 0.75 | 15 | |||||||||||||||||||
| 10.80 | 3.94 | 106,494 | 0.63 | 4.12 | 0.75 | 19 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 81 | ||||||
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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 | ||||||||||||||||
Short-Intermediate Municipal Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.53 | $ | 0.12 | (e) | $ | (0.09 | ) | $ | 0.03 | $ | (0.12 | ) | |||||||
Year Ended February 28, 2010 | 10.29 | 0.17 | (e) | 0.24 | 0.41 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2009 | 10.17 | 0.29 | 0.10 | 0.39 | (0.27 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.13 | 0.28 | 0.06 | 0.34 | (0.30 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.10 | 0.25 | 0.04 | 0.29 | (0.26 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.63 | 0.07 | (e) | (0.09 | ) | (0.02 | ) | (0.07 | ) | |||||||||||
Year Ended February 28, 2010 | 10.38 | 0.13 | (e) | 0.23 | 0.36 | (0.11 | ) | |||||||||||||
Year Ended February 28, 2009 | 10.26 | 0.23 | 0.11 | 0.34 | (0.22 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.21 | 0.25 | 0.04 | 0.29 | (0.24 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.18 | 0.21 | 0.03 | 0.24 | (0.21 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.61 | 0.07 | (e) | (0.08 | ) | (0.01 | ) | (0.07 | ) | |||||||||||
Year Ended February 28, 2010 | 10.37 | 0.12 | (e) | 0.24 | 0.36 | (0.12 | ) | |||||||||||||
Year Ended February 28, 2009 | 10.25 | 0.22 | 0.12 | 0.34 | (0.22 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.21 | 0.25 | 0.03 | 0.28 | (0.24 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.18 | 0.22 | 0.02 | 0.24 | (0.21 | ) | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.58 | 0.18 | (e) | (0.09 | ) | 0.09 | (0.18 | ) | ||||||||||||
June 19, 2009 (g) through February 28, 2010 | 10.36 | 0.15 | (e) | 0.21 | 0.36 | (0.14 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.56 | 0.15 | (e) | (0.09 | ) | 0.06 | (0.15 | ) | ||||||||||||
Year Ended February 28, 2010 | 10.32 | 0.19 | (e) | 0.24 | 0.43 | (0.19 | ) | |||||||||||||
Year Ended February 28, 2009 | 10.20 | 0.30 | 0.12 | 0.42 | (0.30 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.16 | 0.32 | 0.04 | 0.36 | (0.32 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.13 | 0.29 | 0.03 | 0.32 | (0.29 | ) | ||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.44 | 0.32 | % | $ | 121,687 | 0.74 | % | 1.18 | % | 0.88 | % | 42 | % | |||||||||||||
| 10.53 | 3.97 | 155,902 | 0.75 | 1.63 | 0.90 | 22 | ||||||||||||||||||||
| 10.29 | 3.92 | 73,101 | 0.80 | 2.62 | 0.95 | 40 | ||||||||||||||||||||
| 10.17 | 3.38 | (f) | 26,376 | 0.80 | 2.89 | 0.94 | 43 | |||||||||||||||||||
| 10.13 | 2.93 | 43,798 | 0.80 | 2.55 | 0.92 | 24 | ||||||||||||||||||||
| 10.54 | (0.18 | ) | 394 | 1.24 | 0.69 | 1.38 | 42 | |||||||||||||||||||
| 10.63 | 3.48 | 953 | 1.26 | 1.28 | 1.43 | 22 | ||||||||||||||||||||
| 10.38 | 3.36 | 3,305 | 1.30 | 2.17 | 1.45 | 40 | ||||||||||||||||||||
| 10.26 | 2.89 | (f) | 5,739 | 1.30 | 2.39 | 1.44 | 43 | |||||||||||||||||||
| 10.21 | 2.40 | 9,005 | 1.30 | 2.05 | 1.42 | 24 | ||||||||||||||||||||
| 10.53 | (0.07 | ) | 51,202 | 1.24 | 0.68 | 1.38 | 42 | |||||||||||||||||||
| 10.61 | 3.44 | 65,222 | 1.25 | 1.10 | 1.40 | 22 | ||||||||||||||||||||
| 10.37 | 3.40 | 21,616 | 1.30 | 2.14 | 1.45 | 40 | ||||||||||||||||||||
| 10.25 | 2.80 | (f) | 15,096 | 1.30 | 2.39 | 1.44 | 43 | |||||||||||||||||||
| 10.21 | 2.40 | 21,490 | 1.30 | 2.04 | 1.42 | 24 | ||||||||||||||||||||
| 10.49 | 0.84 | 199,764 | 0.24 | 1.67 | 0.48 | 42 | ||||||||||||||||||||
| 10.58 | 3.49 | 179,648 | 0.24 | 2.01 | 0.48 | 22 | ||||||||||||||||||||
| 10.47 | 0.59 | 814,614 | 0.49 | 1.43 | 0.63 | 42 | ||||||||||||||||||||
| 10.56 | 4.23 | 887,131 | 0.49 | 1.82 | 0.64 | 22 | ||||||||||||||||||||
| 10.32 | 4.17 | 170,295 | 0.55 | 2.90 | 0.70 | 40 | ||||||||||||||||||||
| 10.20 | 3.63 | (f) | 180,070 | 0.55 | 3.14 | 0.69 | 43 | |||||||||||||||||||
| 10.16 | 3.19 | 198,903 | 0.55 | 2.80 | 0.67 | 24 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 83 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Tax Free Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 12.49 | $ | 0.50 | $ | (0.40 | ) | $ | 0.10 | $ | (0.51 | ) | $ | — | $ | (0.51 | ) | |||||||||||
Year Ended February 28, 2010 | 12.15 | 0.53 | 0.34 | 0.87 | (0.53 | ) | — | (0.53 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 12.08 | 0.52 | 0.07 | 0.59 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 12.72 | 0.52 | (0.62 | ) | (0.10 | ) | (0.52 | ) | (0.02 | ) | (0.54 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 12.76 | 0.51 | — | 0.51 | (0.52 | ) | (0.03 | ) | (0.55 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 12.45 | 0.37 | (0.36 | ) | 0.01 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 12.11 | 0.43 | 0.35 | 0.78 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 12.04 | 0.43 | 0.08 | 0.51 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 12.68 | 0.43 | (0.62 | ) | (0.19 | ) | (0.43 | ) | (0.02 | ) | (0.45 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 12.73 | 0.42 | (0.01 | ) | 0.41 | (0.43 | ) | (0.03 | ) | (0.46 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 12.42 | 0.41 | (0.40 | ) | 0.01 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 12.09 | 0.45 | 0.34 | 0.79 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
July 1, 2008 (f) through February 28, 2009 | 12.24 | 0.30 | (0.14 | ) | 0.16 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 12.45 | 0.54 | (0.41 | ) | 0.13 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 12.11 | 0.56 | 0.33 | 0.89 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 12.05 | 0.54 | 0.06 | 0.60 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 12.69 | 0.54 | (0.62 | ) | (0.08 | ) | (0.54 | ) | (0.02 | ) | (0.56 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 12.74 | 0.53 | (0.01 | ) | 0.52 | (0.54 | ) | (0.03 | ) | (0.57 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 12.08 | 0.78 | % | $ | 187,253 | 0.75 | % | 4.04 | % | 0.94 | % | 1 | % | |||||||||||||
| 12.49 | 7.30 | 210,306 | 0.75 | 4.28 | 0.95 | 10 | ||||||||||||||||||||
| 12.15 | 4.98 | 151,732 | 0.75 | 4.28 | 0.95 | 30 | ||||||||||||||||||||
| 12.08 | (0.85 | )(e) | 127,232 | 0.75 | 4.11 | 0.95 | 29 | |||||||||||||||||||
| 12.72 | 4.03 | 126,207 | 0.75 | 4.02 | 0.95 | 31 | ||||||||||||||||||||
| 12.04 | 0.07 | 2,836 | 1.44 | 3.35 | 1.44 | 1 | ||||||||||||||||||||
| 12.45 | 6.58 | 5,642 | 1.44 | 3.60 | 1.45 | 10 | ||||||||||||||||||||
| 12.11 | 4.28 | 7,832 | 1.44 | 3.58 | 1.45 | 30 | ||||||||||||||||||||
| 12.04 | (1.55 | )(e) | 9,213 | 1.44 | 3.42 | 1.45 | 29 | |||||||||||||||||||
| 12.68 | 3.24 | 11,836 | 1.44 | 3.33 | 1.45 | 31 | ||||||||||||||||||||
| 12.01 | 0.08 | 37,380 | 1.44 | 3.35 | 1.44 | 1 | ||||||||||||||||||||
| 12.42 | 6.62 | 39,673 | 1.43 | 3.58 | 1.44 | 10 | ||||||||||||||||||||
| 12.09 | 1.40 | 5,583 | 1.44 | 3.67 | 1.47 | 30 | ||||||||||||||||||||
| 12.05 | 1.02 | 276,700 | 0.58 | 4.20 | 0.69 | 1 | ||||||||||||||||||||
| 12.45 | 7.51 | 472,557 | 0.58 | 4.45 | 0.70 | 10 | ||||||||||||||||||||
| 12.11 | 5.11 | 628,520 | 0.58 | 4.43 | 0.70 | 30 | ||||||||||||||||||||
| 12.05 | (0.67 | )(e) | 751,440 | 0.58 | 4.28 | 0.70 | 29 | |||||||||||||||||||
| 12.69 | 4.13 | 897,343 | 0.58 | 4.19 | 0.70 | 31 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 85 | ||||||
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AS OF FEBRUARY 28, 2011
1. Organization
JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 6 separate funds of the Trust (collectively, the “Funds”) covered by this report:
| Classes Offered | Diversified/Non-Diversified | |||
| Arizona Municipal Bond Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Michigan Municipal Bond Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Municipal Income Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Ohio Municipal Bond Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Short-Intermediate Municipal Bond Fund | Class A, Class B, Class C, Institutional Class and Select Class | Diversified | ||
| Tax Free Bond Fund | Class A, Class B, Class C and Select Class | Diversified |
Effective November 1, 2009, Class B Shares may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”) (except for Class C Shares of Short-Intermediate Municipal Bond Fund). Class B Shares automatically convert to Class A Shares after eight years (except for Short-Intermediate Municipal Bond Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. 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.
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 fair value of the Funds’ investments are summarized into the three broad levels listed below:
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
| 86 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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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.
The following table represents each valuation input by municipal sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Arizona Municipal Bond Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities # | $ | 710 | $ | 122,355 | $ | — | $ | 123,065 | ||||||||
| Michigan Municipal Bond Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Municipal Bonds | ||||||||||||||||
Arizona | ||||||||||||||||
Other Revenue | $ | — | $ | 2,042 | $ | — | $ | 2,042 | ||||||||
Utility | — | 1,078 | — | 1,078 | ||||||||||||
Total Arizona | — | 3,120 | — | 3,120 | ||||||||||||
California | ||||||||||||||||
Water & Sewer | — | 1,094 | — | 1,094 | ||||||||||||
Michigan | ||||||||||||||||
Certificate of Participation/Lease | — | 4,732 | — | 4,732 | ||||||||||||
Education | — | 3,808 | — | 3,808 | ||||||||||||
General Obligation | — | 34,470 | — | 34,470 | ||||||||||||
Hospital | — | 7,805 | — | 7,805 | ||||||||||||
Housing | — | 2,507 | — | 2,507 | ||||||||||||
Other Revenue | — | 2,898 | — | 2,898 | ||||||||||||
Prerefunded | — | 12,151 | — | 12,151 | ||||||||||||
Private Placement | — | — | 4,051 | 4,051 | ||||||||||||
Special Tax | — | 10,843 | — | 10,843 | ||||||||||||
Transportation | — | 1,109 | — | 1,109 | ||||||||||||
Utility | — | 2,625 | — | 2,625 | ||||||||||||
Water & Sewer | — | 17,492 | — | 17,492 | ||||||||||||
Total Michigan | — | 100,440 | 4,051 | 104,491 | ||||||||||||
New York | ||||||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 1,516 | — | 1,516 | ||||||||||||
Texas | ||||||||||||||||
General Obligation | — | 1,086 | — | 1,086 | ||||||||||||
Water & Sewer | — | 1,630 | — | 1,630 | ||||||||||||
Total Texas | — | 2,716 | — | 2,716 | ||||||||||||
Washington | ||||||||||||||||
Water & Sewer | — | 1,591 | — | 1,591 | ||||||||||||
Total | — | 110,477 | 4,051 | 114,528 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 2,034 | — | — | 2,034 | ||||||||||||
Total Investments in Securities | $ | 2,034 | $ | 110,477 | $ | 4,051 | $ | 116,562 | ||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 87 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Municipal Income Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Municipal Bonds | ||||||||||||||||
Alabama | ||||||||||||||||
Industrial Development Revenue/Pollution Control Revenue | $ | — | $ | 1,327 | $ | — | $ | 1,327 | ||||||||
Other Revenue | — | 9,304 | — | 9,304 | ||||||||||||
Total Alabama | — | 10,631 | — | 10,631 | ||||||||||||
Alaska | ||||||||||||||||
Education | — | 6,327 | — | 6,327 | ||||||||||||
General Obligation | — | 9,667 | — | 9,667 | ||||||||||||
Housing | — | 2,385 | — | 2,385 | ||||||||||||
Other Revenue | — | 2,117 | — | 2,117 | ||||||||||||
Total Alaska | — | 20,496 | — | 20,496 | ||||||||||||
Arizona | ||||||||||||||||
Certificate of Participation/Lease | — | 8,442 | — | 8,442 | ||||||||||||
Hospital | — | 6,080 | — | 6,080 | ||||||||||||
Housing | — | 2,850 | — | 2,850 | ||||||||||||
Other Revenue | — | 9,814 | — | 9,814 | ||||||||||||
Prerefunded | — | 3,789 | — | 3,789 | ||||||||||||
Water & Sewer | — | 3,163 | — | 3,163 | ||||||||||||
Total Arizona | — | 34,138 | — | 34,138 | ||||||||||||
Arkansas | ||||||||||||||||
Housing | — | 736 | — | 736 | ||||||||||||
Special Tax | — | 4,712 | — | 4,712 | ||||||||||||
Total Arkansas | — | 5,448 | — | 5,448 | ||||||||||||
California | ||||||||||||||||
Certificate of Participation/Lease | — | 5,122 | — | 5,122 | ||||||||||||
General Obligation | — | 24,360 | — | 24,360 | ||||||||||||
Hospital | — | 4,234 | — | 4,234 | ||||||||||||
Housing | — | 10,102 | — | 10,102 | ||||||||||||
Other Revenue | — | 8,190 | — | 8,190 | ||||||||||||
Transportation | — | 4,372 | — | 4,372 | ||||||||||||
Water & Sewer | — | 1,149 | — | 1,149 | ||||||||||||
Total California | — | 57,529 | — | 57,529 | ||||||||||||
Colorado | ||||||||||||||||
General Obligation | — | 9,088 | — | 9,088 | ||||||||||||
Hospital | — | 8,700 | — | 8,700 | ||||||||||||
Housing | — | 8,558 | — | 8,558 | ||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 1,926 | — | 1,926 | ||||||||||||
Prerefunded | — | 151 | — | 151 | ||||||||||||
Private Placement | — | — | 132 | 132 | ||||||||||||
Transportation | — | 6,770 | — | 6,770 | ||||||||||||
Total Colorado | — | 35,193 | 132 | 35,325 | ||||||||||||
Connecticut | ||||||||||||||||
Other Revenue | — | 4,820 | — | 4,820 | ||||||||||||
Delaware | ||||||||||||||||
Housing | — | 5,020 | — | 5,020 | ||||||||||||
| 88 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Municipal Income Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
District of Columbia | ||||||||||||||||
Housing | $ | — | $ | 1,178 | $ | — | $ | 1,178 | ||||||||
Other Revenue | — | 3,494 | — | 3,494 | ||||||||||||
Transportation | — | 7,475 | — | 7,475 | ||||||||||||
Total District of Columbia | — | 12,147 | — | 12,147 | ||||||||||||
Florida | ||||||||||||||||
Certificate of Participation/Lease | — | 6,488 | — | 6,488 | ||||||||||||
Education | — | 5,236 | — | 5,236 | ||||||||||||
General Obligation | — | 1,310 | — | 1,310 | ||||||||||||
Hospital | — | 5,677 | — | 5,677 | ||||||||||||
Housing | — | 17,898 | — | 17,898 | ||||||||||||
Other Revenue | — | 5,345 | — | 5,345 | ||||||||||||
Resource Recovery | — | 1,157 | — | 1,157 | ||||||||||||
Special Tax | — | 2,202 | — | 2,202 | ||||||||||||
Transportation | — | 12,734 | — | 12,734 | ||||||||||||
Utility | — | 10,048 | — | 10,048 | ||||||||||||
Water & Sewer | — | 5,819 | — | 5,819 | ||||||||||||
Total Florida | — | 73,914 | — | 73,914 | ||||||||||||
Georgia | ||||||||||||||||
Certificate of Participation/Lease | — | 5,596 | — | 5,596 | ||||||||||||
General Obligation | — | 5,983 | — | 5,983 | ||||||||||||
Housing | — | 2,023 | — | 2,023 | ||||||||||||
Total Georgia | — | 13,602 | — | 13,602 | ||||||||||||
Hawaii | ||||||||||||||||
General Obligation | — | 4,711 | — | 4,711 | ||||||||||||
Idaho | ||||||||||||||||
Housing | — | 893 | — | 893 | ||||||||||||
Illinois | ||||||||||||||||
General Obligation | — | 15,767 | — | 15,767 | ||||||||||||
Hospital | — | 1,431 | — | 1,431 | ||||||||||||
Housing | — | 19,551 | — | 19,551 | ||||||||||||
Other Revenue | — | 3,906 | — | 3,906 | ||||||||||||
Transportation | — | 6,030 | — | 6,030 | ||||||||||||
Total Illinois | — | 46,685 | — | 46,685 | ||||||||||||
Indiana | ||||||||||||||||
General Obligation | — | 1,475 | — | 1,475 | ||||||||||||
Hospital | — | 4,807 | — | 4,807 | ||||||||||||
Housing | — | 4,219 | — | 4,219 | ||||||||||||
Other Revenue | — | 9,302 | — | 9,302 | ||||||||||||
Transportation | — | 3,231 | — | 3,231 | ||||||||||||
Water & Sewer | — | 4,315 | — | 4,315 | ||||||||||||
Total Indiana | — | 27,349 | — | 27,349 | ||||||||||||
Iowa | ||||||||||||||||
Housing | — | 933 | — | 933 | ||||||||||||
Kansas | ||||||||||||||||
Housing | — | 12,939 | — | 12,939 | ||||||||||||
Kentucky | ||||||||||||||||
Housing | — | 4,536 | — | 4,536 | ||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 89 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
| Municipal Income Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Louisiana | ||||||||||||||||
Certificate of Participation/Lease | $ | — | $ | 1,092 | $ | — | $ | 1,092 | ||||||||
Hospital | — | 10,148 | — | 10,148 | ||||||||||||
Housing | — | 6,651 | — | 6,651 | ||||||||||||
Other Revenue | — | 3,068 | — | 3,068 | ||||||||||||
Utility | — | 6,991 | — | 6,991 | ||||||||||||
Total Louisiana | — | 27,950 | — | 27,950 | ||||||||||||
Maryland | ||||||||||||||||
General Obligation | — | 21,401 | — | 21,401 | ||||||||||||
Housing | — | 1,889 | — | 1,889 | ||||||||||||
Total Maryland | — | 23,290 | — | 23,290 | ||||||||||||
Massachusetts | ||||||||||||||||
Education | — | 2,310 | — | 2,310 | ||||||||||||
General Obligation | — | 8,534 | — | 8,534 | ||||||||||||
Housing | — | 8,014 | — | 8,014 | ||||||||||||
Water & Sewer | — | 5,759 | — | 5,759 | ||||||||||||
Total Massachusetts | — | 24,617 | — | 24,617 | ||||||||||||
Michigan | ||||||||||||||||
Education | — | 4,679 | — | 4,679 | ||||||||||||
Hospital | — | 13,518 | — | 13,518 | ||||||||||||
Housing | — | 5,304 | — | 5,304 | ||||||||||||
Other Revenue | — | 1,730 | — | 1,730 | ||||||||||||
Water & Sewer | — | 5,777 | — | 5,777 | ||||||||||||
Total Michigan | — | 31,008 | — | 31,008 | ||||||||||||
Minnesota | ||||||||||||||||
General Obligation | — | 10,651 | — | 10,651 | ||||||||||||
Housing | — | 16,285 | — | 16,285 | ||||||||||||
Other Revenue | — | 3,104 | — | 3,104 | ||||||||||||
Transportation | — | 3,242 | — | 3,242 | ||||||||||||
Total Minnesota | — | 33,282 | — | 33,282 | ||||||||||||
Mississippi | ||||||||||||||||
Education | — | 945 | — | 945 | ||||||||||||
Housing | — | 5,457 | — | 5,457 | ||||||||||||
Other Revenue | — | 2,095 | — | 2,095 | ||||||||||||
Total Mississippi | — | 8,497 | — | 8,497 | ||||||||||||
Missouri | ||||||||||||||||
Housing | — | 12,727 | — | 12,727 | ||||||||||||
Transportation | — | 2,173 | — | 2,173 | ||||||||||||
Total Missouri | — | 14,900 | — | 14,900 | ||||||||||||
Montana | ||||||||||||||||
Housing | — | 3,950 | — | 3,950 | ||||||||||||
Nebraska | ||||||||||||||||
Housing | — | 3,748 | — | 3,748 | ||||||||||||
Nevada | ||||||||||||||||
Education | — | 5,765 | — | 5,765 | ||||||||||||
General Obligation | — | 8,862 | — | 8,862 | ||||||||||||
Housing | — | 2,391 | — | 2,391 | ||||||||||||
Other Revenue | — | 1,699 | — | 1,699 | ||||||||||||
Total Nevada | — | 18,717 | — | 18,717 | ||||||||||||
| 90 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Municipal Income Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
New Hampshire | ||||||||||||||||
Housing | $ | — | $ | 1,810 | $ | — | $ | 1,810 | ||||||||
Other Revenue | — | 5,193 | — | 5,193 | ||||||||||||
Total New Hampshire | — | 7,003 | — | 7,003 | ||||||||||||
New Jersey | ||||||||||||||||
Education | — | 6,464 | — | 6,464 | ||||||||||||
General Obligation | — | 1,451 | — | 1,451 | ||||||||||||
Hospital | — | 1,364 | — | 1,364 | ||||||||||||
Other Revenue | — | 11,031 | — | 11,031 | ||||||||||||
Transportation | — | 16,731 | — | 16,731 | ||||||||||||
Total New Jersey | — | 37,041 | — | 37,041 | ||||||||||||
New Mexico | ||||||||||||||||
General Obligation | — | 1,156 | — | 1,156 | ||||||||||||
Housing | — | 8,085 | — | 8,085 | ||||||||||||
Total New Mexico | — | 9,241 | — | 9,241 | ||||||||||||
New York | ||||||||||||||||
Certificate of Participation/Lease | — | 28,963 | — | 28,963 | ||||||||||||
Education | — | 8,835 | — | 8,835 | ||||||||||||
General Obligation | — | 17,836 | — | 17,836 | ||||||||||||
Housing | — | 2,126 | — | 2,126 | ||||||||||||
Other Revenue | — | 1,112 | — | 1,112 | ||||||||||||
Resource Recovery | — | 2,291 | — | 2,291 | ||||||||||||
Special Tax | — | 7,337 | — | 7,337 | ||||||||||||
Transportation | — | 15,657 | — | 15,657 | ||||||||||||
Total New York | — | 84,157 | — | 84,157 | ||||||||||||
North Carolina | ||||||||||||||||
Education | — | 5,134 | — | 5,134 | ||||||||||||
General Obligation | — | 8,362 | — | 8,362 | ||||||||||||
Housing | — | 6,788 | — | 6,788 | ||||||||||||
Other Revenue | — | 5,805 | — | 5,805 | ||||||||||||
Utility | — | 2,818 | — | 2,818 | ||||||||||||
Water & Sewer | — | 3,792 | — | 3,792 | ||||||||||||
Total North Carolina | — | 32,699 | — | 32,699 | ||||||||||||
North Dakota | ||||||||||||||||
General Obligation | — | 1,521 | — | 1,521 | ||||||||||||
Housing | — | 2,102 | — | 2,102 | ||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 1,906 | — | 1,906 | ||||||||||||
Other Revenue | — | 2,081 | — | 2,081 | ||||||||||||
Total North Dakota | — | 7,610 | — | 7,610 | ||||||||||||
Ohio | ||||||||||||||||
General Obligation | — | 7,033 | — | 7,033 | ||||||||||||
Housing | — | 2,824 | — | 2,824 | ||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 1,863 | — | 1,863 | ||||||||||||
Other Revenue | — | 3,802 | — | 3,802 | ||||||||||||
Prerefunded | — | 788 | — | 788 | ||||||||||||
Water & Sewer | — | 5,789 | — | 5,789 | ||||||||||||
Total Ohio | — | 22,099 | — | 22,099 | ||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 91 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
| Municipal Income Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Oklahoma | ||||||||||||||||
General Obligation | $ | — | $ | 1,819 | $ | — | $ | 1,819 | ||||||||
Housing | — | 5,178 | — | 5,178 | ||||||||||||
Total Oklahoma | — | 6,997 | — | 6,997 | ||||||||||||
Oregon | ||||||||||||||||
General Obligation | — | 2,146 | — | 2,146 | ||||||||||||
Housing | — | 2,616 | — | 2,616 | ||||||||||||
Other Revenue | — | 3,628 | — | 3,628 | ||||||||||||
Total Oregon | — | 8,390 | — | 8,390 | ||||||||||||
Other Territories | ||||||||||||||||
Housing | — | 6,862 | — | 6,862 | ||||||||||||
Pennsylvania | ||||||||||||||||
Education | — | 6,401 | — | 6,401 | ||||||||||||
General Obligation | — | 5,020 | — | 5,020 | ||||||||||||
Hospital | — | 2,068 | — | 2,068 | ||||||||||||
Housing | — | 1,536 | — | 1,536 | ||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 4,463 | — | 4,463 | ||||||||||||
Private Placement | — | — | 2,489 | 2,489 | ||||||||||||
Other Revenue | — | 7,301 | — | 7,301 | ||||||||||||
Resource Recovery | — | 6,933 | — | 6,933 | ||||||||||||
Total Pennsylvania | — | 33,722 | 2,489 | 36,211 | ||||||||||||
South Carolina | ||||||||||||||||
Certificate of Participation/Lease | — | 6,306 | — | 6,306 | ||||||||||||
General Obligation | — | 6,443 | — | 6,443 | ||||||||||||
Hospital | — | 6,366 | — | 6,366 | ||||||||||||
Other Revenue | — | 1,323 | — | 1,323 | ||||||||||||
Utility | — | 5,440 | — | 5,440 | ||||||||||||
Total South Carolina | — | 25,878 | — | 25,878 | ||||||||||||
South Dakota | ||||||||||||||||
Housing | — | 2,925 | — | 2,925 | ||||||||||||
Other Revenue | — | 1,080 | — | 1,080 | ||||||||||||
Total South Dakota | — | 4,005 | — | 4,005 | ||||||||||||
Tennessee | ||||||||||||||||
General Obligation | — | 4,816 | — | 4,816 | ||||||||||||
Housing | — | 16,744 | — | 16,744 | ||||||||||||
Other Revenue | — | 1,403 | — | 1,403 | ||||||||||||
Transportation | — | 1,012 | — | 1,012 | ||||||||||||
Utility | — | 4,870 | — | 4,870 | ||||||||||||
Water & Sewer | — | 5,786 | — | 5,786 | ||||||||||||
Total Tennessee | — | 34,631 | — | 34,631 | ||||||||||||
Texas | ||||||||||||||||
General Obligation | — | 29,928 | — | 29,928 | ||||||||||||
Hospital | — | 4,665 | — | 4,665 | ||||||||||||
Housing | — | 10,962 | — | 10,962 | ||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 2,940 | — | 2,940 | ||||||||||||
Other Revenue | — | 6,582 | — | 6,582 | ||||||||||||
Prerefunded | — | 1,651 | — | 1,651 | ||||||||||||
Transportation | — | 19,709 | — | 19,709 | ||||||||||||
| 92 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Municipal Income Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Utility | $ | — | $ | 5,334 | $ | — | $ | 5,334 | ||||||||
Water & Sewer | — | 5,423 | — | 5,423 | ||||||||||||
Total Texas | — | 87,194 | — | 87,194 | ||||||||||||
Utah | ||||||||||||||||
Education | — | 3,678 | — | 3,678 | ||||||||||||
Housing | — | 115 | — | 115 | ||||||||||||
Industrial Development Revenue/Pollution Control Revenue | — | 3,347 | — | 3,347 | ||||||||||||
Total Utah | — | 7,140 | — | 7,140 | ||||||||||||
Vermont | ||||||||||||||||
Other Revenue | — | 2,487 | — | 2,487 | ||||||||||||
Virginia | ||||||||||||||||
Education | — | 4,451 | — | 4,451 | ||||||||||||
General Obligation | — | 9,218 | — | 9,218 | ||||||||||||
Other Revenue | — | 8,095 | — | 8,095 | ||||||||||||
Resource Recovery | — | 3,028 | — | 3,028 | ||||||||||||
Transportation | — | 4,197 | — | 4,197 | ||||||||||||
Total Virginia | — | 28,989 | — | 28,989 | ||||||||||||
Washington | ||||||||||||||||
General Obligation | — | 15,837 | — | 15,837 | ||||||||||||
Housing | — | 2,244 | — | 2,244 | ||||||||||||
Other Revenue | — | 1,079 | — | 1,079 | ||||||||||||
Prerefunded | — | 1,141 | — | 1,141 | ||||||||||||
Private Placement | — | — | 1,616 | 1,616 | ||||||||||||
Utility | — | 2,766 | — | 2,766 | ||||||||||||
Total Washington | — | 23,067 | 1,616 | 24,683 | ||||||||||||
Wisconsin | ||||||||||||||||
General Obligation | — | 11,314 | — | 11,314 | ||||||||||||
Housing | — | 143 | — | 143 | ||||||||||||
Private Placement | — | — | 5,017 | 5,017 | ||||||||||||
Total Wisconsin | — | 11,457 | 5,017 | 16,474 | ||||||||||||
Total | — | 1,041,612 | 9,254 | 1,050,866 | ||||||||||||
Investment Company | 4,995 | — | — | 4,995 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 21,033 | — | — | 21,033 | ||||||||||||
Total Investments in Securities | $ | 26,028 | $ | 1,041,612 | $ | 9,254 | $ | 1,076,894 | ||||||||
Ohio Municipal Bond Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities # | $ | 898 | $ | 255,952 | $ | — | $ | 256,850 | ||||||||
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 # | $ | 9,211 | $ | 1,168,286 | $ | — | $ | 1,177,497 | ||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN MUNICIPAL BOND FUNDS | 93 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Tax Free Bond Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities # | $ | 14,132 | $ | 486,903 | $ | — | $ | 501,035 | ||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (42 | ) | $ | — | $ | — | $ | (42 | ) | ||||||
| # | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in 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 the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended February 28, 2011.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
| Michigan Municipal Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Michigan — Private Placement | $ | 4,164 | $ | — | $ | (89 | ) | $ | (24 | ) | $ | — | $ | — | $ | — | $ | — | $ | 4,051 | ||||||||||||||||
Total | $ | 4,164 | $ | — | $ | (89 | ) | $ | (24 | ) | $ | — | $ | — | $ | — | $ | — | $ | 4,051 | ||||||||||||||||
| Municipal Income Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
California — Private Placement | $ | 3,151 | $ | (2,521 | ) | $ | 2,234 | $ | (25 | ) | $ | — | $ | (2,839 | ) | $ | — | $ | — | $ | — | |||||||||||||||
Colorado — Private Placement | 156 | — | — | (a) | — | — | (24 | ) | — | — | 132 | |||||||||||||||||||||||||
Pennsylvania — Private Placement | 2,497 | — | 24 | (32 | ) | — | — | — | — | 2,489 | ||||||||||||||||||||||||||
Washington — Private Placement | 1,592 | — | 24 | — | (a) | — | — | — | — | 1,616 | ||||||||||||||||||||||||||
Wisconsin — Private Placement | 8,137 | — | (120 | ) | — | — | (3,000 | ) | — | — | 5,017 | |||||||||||||||||||||||||
Total | $ | 15,533 | $ | (2,521 | ) | $ | 2,162 | $ | (57 | ) | $ | — | $ | (5,863 | ) | $ | — | $ | — | $ | 9,254 | |||||||||||||||
| 1 | Purchases include all purchases of securities, and securities received in corporate actions. |
| 2 | Sales include all sales of securities, maturities and securities tendered in a corporate action. |
| (a) | Amount rounds to less than $1,000. |
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at February 28, 2011, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):
Michigan Municipal Bond Fund | $ | (89 | ) | |
Municipal Income Fund | (48 | ) |
These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
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The following is the value and percentage of net assets of illiquid securities as of February 28, 2011 (amounts in thousands):
| Value | Percentage | |||||||
Michigan Municipal Bond Fund | $ | 4,051 | 3.5 | % | ||||
Municipal Income Fund | 9,254 | 0.8 | ||||||
C. Futures Contracts — Tax Free Bond Fund uses treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Fund also uses futures contracts to lengthen or shorten the duration of the overall investment portfolio. The use of futures contracts exposes the Fund to interest rate risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or 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 unrealized appreciation or depreciation in 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 in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited 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 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 unfavorable positions.
The table below discloses the volume of the Fund’s derivatives activities during the year ended February 28, 2011 (amounts in thousands):
Futures Contracts: | ||||
Average Notional Balance Short | $18,167 | |||
Ending Notional Balance Short | 17,089 |
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 adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
Purchases of to be announced (“TBA”), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds’ policy to reserve assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments. As of February 28, 2011, Municipal Income Fund had when-issued securities on its SOI.
E. Allocation of Income and Expenses — In calculating the net asset value per share of each class, 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. 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. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
F. 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 of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
G. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid monthly. Dividends 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 dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
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/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Arizona Municipal Bond Fund | $ | — | $ | — | (a) | $ | — | (a) | ||||
Ohio Municipal Bond Fund | — | (7 | ) | 7 | ||||||||
Short-Intermediate Municipal Bond Fund | (6,488 | ) | (1 | ) | 6,489 | |||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to tax return true up item (Arizona Municipal Bond Fund), distribution reclassifications (Ohio Municipal Bond Fund) and expiration of capital loss carryforwards (Short-Intermediate Municipal Bond Fund).
H. Floating-Rate Note Obligations Related to Securities Held — Municipal Income Fund may enter into transactions in which a fixed-rate note owned by the Fund is transferred to a trust in exchange for cash and residual interests in the trust’s assets and cash flows, which are in the form of inverse floating rate investments (the “Inverse Floater”). The trust funds the purchase of the fixed-rate notes by issuing floating-rate certificates to third parties and allowing the Fund to retain the residual interests in the fixed-rate notes. The Inverse Floater held by the Fund gives the Fund the right to (1) cause the holders of the floating-rate certificates to tender their notes at par at the next reset date, and (2) to transfer the fixed-rate notes from the trust to the Fund, causing the trust to collapse.
At February 28, 2011, Municipal Income Fund did not hold any Inverse Floaters.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management Inc. (“JPMIM” or “the Advisor”) acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
Arizona Municipal Bond Fund | 0.30 | % | ||
Michigan Municipal Bond Fund | 0.30 | |||
Municipal Income Fund | 0.30 | |||
Ohio Municipal Bond Fund | 0.30 | |||
Short-Intermediate Municipal Bond Fund | 0.25 | |||
Tax Free Bond Fund | 0.30 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended February 28, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | ||||||||||
| 0.25 | % | 0.75 | % | 0.75 | % | |||||||
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In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares (except for Class C Shares of the Short-Intermediate Municipal Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the year ended February 28, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Arizona Municipal Bond Fund | $ | 11 | $ | 8 | ||||
Michigan Municipal Bond Fund | 11 | 9 | ||||||
Municipal Income Fund | 24 | 20 | ||||||
Ohio Municipal Bond Fund | 36 | 20 | ||||||
Short-Intermediate Municipal Bond Fund | 11 | 7 | ||||||
Tax Free Bond Fund | 103 | 42 | ||||||
D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Institutional Class | Select Class | ||||||||||||||||
Arizona Municipal Bond Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.25 | % | |||||||||||
Michigan Municipal Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | |||||||||||||||
Municipal Income Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | |||||||||||||||
Ohio Municipal Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | |||||||||||||||
Short-Intermediate Municipal Bond Fund | 0.25 | 0.25 | 0.25 | 0.10 | % | 0.25 | ||||||||||||||
Tax Free Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | |||||||||||||||
The Distributor 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 under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor 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, dividend expense related to short sales, interest (which includes imputed interest), taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Institutional Class | Select Class | ||||||||||||||||
Arizona Municipal Bond Fund | 0.88 | % | 1.53 | % | 1.53 | % | n/a | 0.63 | % | |||||||||||
Michigan Municipal Bond Fund | 0.88 | 1.53 | 1.53 | n/a | 0.63 | |||||||||||||||
Municipal Income Fund | 0.87 | 1.52 | 1.52 | n/a | 0.62 | |||||||||||||||
Ohio Municipal Bond Fund | 0.88 | 1.53 | 1.53 | n/a | 0.63 | |||||||||||||||
Short-Intermediate Municipal Bond Fund | 0.75 | 1.30 | 1.30 | 0.25 | % | 0.50 | ||||||||||||||
Tax Free Bond Fund | 0.75 | 1.44 | 1.44 | n/a | 0.58 | |||||||||||||||
The contractual expense limitation agreements were in effect for the year ended February 28, 2011. The expense limitation percentages in the table above are in place until at least June 30, 2011. In addition, the Funds’ service providers have voluntarily waived fees during the year ended February 28, 2011. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
For the year ended February 28, 2011, 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 reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||
| Investment Advisory | Shareholder Servicing | Total | ||||||||||
Arizona Municipal Bond Fund | $ | — | $ | 157 | $ | 157 | ||||||
Michigan Municipal Bond Fund | — | 162 | 162 | |||||||||
Municipal Income Fund | — | 638 | 638 | |||||||||
Ohio Municipal Bond Fund | — | 204 | 204 | |||||||||
Short-Intermediate Municipal Bond Fund | 1,678 | 218 | 1,896 | |||||||||
Tax Free Bond Fund | 3 | 864 | 867 | |||||||||
| Voluntary Waivers | ||||||||
| Investment Advisory | Total | |||||||
Short-Intermediate Municipal Bond Fund | $ | 31 | $ | 31 | ||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Shareholder Servicing Agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in the money market funds for the year ended February 28, 2011 was as follows (amounts in thousands):
Arizona Municipal Bond Fund | $ | 3 | ||
Michigan Municipal Bond Fund | 3 | |||
Municipal Income Fund | 57 | |||
Ohio Municipal Bond Fund | 24 | |||
Short-Intermediate Municipal Bond Fund | 108 | |||
Tax Free Bond Fund | 13 |
G. Other — Certain officers of the Trust are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-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 in the Statements 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 a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended February 28, 2011, the Funds did not incur any brokerage commissions with brokers/dealers affiliated with the Advisor.
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 28, 2011, 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) | |||||||
Arizona Municipal Bond Fund | $ | 12,356 | $ | 44,181 | ||||
Michigan Municipal Bond Fund | 17,816 | 69,176 | ||||||
Municipal Income Fund | 212,262 | 310,682 | ||||||
Ohio Municipal Bond Fund | 21,667 | 53,610 | ||||||
Short-Intermediate Municipal Bond Fund | 526,407 | 529,706 | ||||||
Tax Free Bond Fund | 8,881 | 219,486 | ||||||
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During the year ended February 28, 2011, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at February 28, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Arizona Municipal Bond Fund | $ | 118,770 | $ | 4,807 | $ | 512 | $ | 4,295 | ||||||||
Michigan Municipal Bond Fund | 113,595 | 3,668 | 701 | 2,967 | ||||||||||||
Municipal Income Fund | 1,067,660 | 20,209 | 10,975 | 9,234 | ||||||||||||
Ohio Municipal Bond Fund | 248,132 | 9,940 | 1,222 | 8,718 | ||||||||||||
Short-Intermediate Municipal Bond Fund | 1,171,101 | 13,034 | 6,638 | 6,396 | ||||||||||||
Tax Free Bond Fund | 477,135 | 27,427 | 3,527 | 23,900 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals (Municipal Income Fund).
The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):
| Ordinary Income | Tax Exempt Income | Net Long Term Capital Gains | Total Distributions Paid | |||||||||||||
Arizona Municipal Bond Fund | $ | 6 | $ | 4,373 | $ | 796 | $ | 5,175 | ||||||||
Michigan Municipal Bond Fund | 26 | 4,981 | 532 | 5,539 | ||||||||||||
Municipal Income Fund | 33 | 39,126 | — | 39,159 | ||||||||||||
Ohio Municipal Bond Fund | 142 | 9,072 | 57 | 9,271 | ||||||||||||
Short-Intermediate Municipal Bond Fund | 312 | 18,241 | — | 18,553 | ||||||||||||
Tax Free Bond Fund | 51 | 27,048 | — | 27,099 | ||||||||||||
The tax character of distributions paid during the fiscal year ended February 28, 2010 was as follows (amounts in thousands):
| Ordinary Income | Tax Exempt Income | Total Distributions Paid | ||||||||||
Arizona Municipal Bond Fund | $ | 137 | $ | 4,971 | $ | 5,108 | ||||||
Michigan Municipal Bond Fund | 193 | 6,483 | 6,676 | |||||||||
Municipal Income Fund | — | 42,801 | 42,801 | |||||||||
Ohio Municipal Bond Fund | 290 | 8,750 | 9,040 | |||||||||
Short-Intermediate Municipal Bond Fund | 532 | 12,786 | 13,318 | |||||||||
Tax Free Bond Fund | — | 33,969 | 33,969 | |||||||||
At February 28, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Tax Exempt Income | Current Distributable Long-Term Capital-Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Arizona Municipal Bond Fund | $ | 125 | $ | 655 | $ | 4,295 | ||||||
Michigan Municipal Bond Fund | 530 | 1,553 | 2,967 | |||||||||
Municipal Income Fund | 2,407 | (16,669 | ) | 9,234 | ||||||||
Ohio Municipal Bond Fund | 222 | — | 8,718 | |||||||||
Short-Intermediate Municipal Bond Fund | 1,095 | (35,320 | ) | 6,396 | ||||||||
Tax Free Bond Fund | 1,052 | (3,137 | ) | 23,900 | ||||||||
For the Funds, the cumulative timing differences primarily consist of distributions payable, wash sale loss deferrals (Municipal Income Fund), mark to market of futures contracts (Tax Free Bond Fund). and post-October loss deferrals (Ohio Municipal Bond Fund).
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
As of February 28, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | Total | |||||||||||||||||||||||||
Municipal Income Fund | $ | 1,843 | $ | — | $ | 1,582 | $ | — | $ | 6,158 | $ | 6,506 | $ | 580 | $ | 16,669 | ||||||||||||||||
Short-Intermediate Municipal Bond Fund | 11,092 | * | 4,569 | * | 11,664 | * | 2,707 | * | 3,672 | * | 969 | * | 647 | 35,320 | ||||||||||||||||||
Tax Free Bond Fund | — | — | — | — | — | — | 3,137 | 3,137 | ||||||||||||||||||||||||
| * | Includes amounts from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
During the year ended February 28, 2011, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
Arizona Municipal Bond Fund | $ | 61 | ||
Municipal Income Fund | 3,493 | |||
Ohio Municipal Bond Fund | 13 | |||
Short-Intermediate Municipal Bond Fund | 2,437 | |||
Tax Free Bond Fund | 636 |
As of February 28, 2011, the following Fund had capital loss carryforwards expire (amounts in thousands):
Short-Intermediate Municipal Bond Fund | $ | 6,489 |
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 28, 2011, the following Fund deferred to March 1, 2011 post-October capital losses of (amounts in thousands):
Ohio Municipal Bond Fund | $ | 288 |
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“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 JPMorgan Trust II and may be relied upon by the Funds because it is an investment company in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act.)
In addition, 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 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 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 28, 2011, or at any time during the year then ended. Average borrowings from the Facility for the year ended February 28, 2011, were as follows (amounts in thousands):
| Average Borrowings | Number of Days Outstanding | Interest Paid | ||||||||||
JPMorgan Municipal Income Fund | $ | 11,614 | 2 | $ | — | (a) | ||||||
JPMorgan Ohio Municipal Bond Fund | 9,092 | 5 | — | (a) | ||||||||
JPMorgan Tax Free Bond Fund | 12,784 | 7 | 1 | |||||||||
| (a) | Amount rounds to less than $1,000. |
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
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, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Funds’ investment advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for all Funds. Significant shareholder transactions, if any, may impact the Funds’ performance.
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Municipal Income Fund, Short-Intermediate Municipal Bond Fund and Tax Free Bond Fund invest substantially all of their assets in a diversified 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 Arizona, Michigan and Ohio Municipal Bond Funds primarily invest in issuers in the States of Arizona, Michigan and Ohio, respectively. 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 a 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.
As of February 28, 2011, companies that insured greater than 20% of the total investments of the respective funds were as follows:
National Public Finance Guarantee Corp.: | ||||
Arizona Municipal Bond Fund | 23.2 | % | ||
Michigan Municipal Bond Fund | 27.9 | |||
Ohio Municipal Bond Fund | 21.0 | |||
Assured Guaranty Municipal Corp.: | ||||
Michigan Municipal Bond Fund | 24.3 |
The concentration percentages presented above do not include insured bonds that have been prerefunded as of February 28, 2011.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settment, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
9. Business Combinations
On February 18, 2009, the Boards of Trustees of JPM II and JPMorgan Trust I (“JPM I”) approved management’s proposals to merge JPMorgan Tax Aware Enhanced Income Fund (“Tax Aware Enhanced Income Fund”) and JPMorgan Tax Aware Short-Intermediate Income Fund (“Tax Aware Short-Intermediate Income Fund”) (collectively, the “Target Funds”) and each a Fund of JPM I, into JPMorgan Short-Intermediate Municipal Bond Fund (the “Acquiring Fund”). The Agreement and Plan of Reorganization with respect to the Tax Aware Short-Intermediate Income Fund was approved by Tax Aware Short-Intermediate Income Funds’ shareholders at a special meeting of shareholders held on June 15, 2009. The Agreement and Plan of Reorganization with respect to the Tax Aware Enhanced Income Fund was approved by Tax Aware Enhanced Income Funds’ shareholders at a special meeting of shareholders held on June 22, 2009. The purpose of the transaction was to combine three portfolios with comparative investment objectives and strategies.
The reorganizations were effective after the close of business on June 26, 2009. The Acquiring Fund acquired all of the assets and liabilities of the Target Funds as shown in the table below. The merger transactions were structured to qualify as tax-free reorganizations under the Code. Pursuant
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
to the Agreements and Plans of Reorganization, Class A, Institutional Class and Select Class shareholders of Tax Aware Enhanced Income Fund and Institutional Class and Select Class shareholders of Tax Aware Short-Intermediate Income Fund received a number of shares of the corresponding class in the Acquiring Fund with a value equal to their holdings in the Target Funds as of the close of business on date of the reorganizations. The investment portfolio of the Target Funds, with a fair value of $264,619 and identified cost of $264,691 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 Funds 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.
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 reorganizations (amounts in thousands, except per share amounts):
| Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Target Funds | ||||||||||||||||
Tax Aware Enhanced Income Fund | ||||||||||||||||
Class A | 202 | $ | 1,989 | $ | 9.87 | $ | 93 | |||||||||
Institutional Class | 3,794 | 37,402 | 9.86 | |||||||||||||
Select Class | 1,934 | 19,086 | 9.87 | |||||||||||||
Tax Aware Short-Intermediate Income Fund | ||||||||||||||||
Institutional Class | 4,805 | 46,656 | 9.71 | (165 | ) | |||||||||||
Select Class | 16,690 | 162,004 | 9.71 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Short-Intermediate Municipal Bond Fund | ||||||||||||||||
Class A | 12,498 | 129,129 | 10.33 | 3,815 | ||||||||||||
Class B | 190 | 1,985 | 10.43 | |||||||||||||
Class C | 3,262 | 33,980 | 10.42 | |||||||||||||
Institutional Class | 3 | 30 | 10.37 | |||||||||||||
Select Class | 26,373 | 273,310 | 10.36 | |||||||||||||
Post Reorganization | ||||||||||||||||
Short-Intermediate Municipal Bond Fund | ||||||||||||||||
Class A | 12,690 | 131,117 | 10.33 | 3,743 | ||||||||||||
Class B | 190 | 1,985 | 10.43 | |||||||||||||
Class C | 3,262 | 33,980 | 10.42 | |||||||||||||
Institutional Class | 8,108 | 84,088 | 10.37 | |||||||||||||
Select Class | 43,847 | 454,400 | 10.36 | |||||||||||||
Expenses related to the reorganization were incurred by the Target Funds. The Administrator voluntarily waived its fee and/or reimbursed expenses in an amount equal to the reorganization expense.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust II and Shareholders of JPMorgan Arizona Municipal Bond Fund, JPMorgan Michigan Municipal Bond Fund, JPMorgan Municipal Income Fund, JPMorgan Ohio Municipal Bond Fund, JPMorgan Short-Intermediate Municipal Bond Fund and JPMorgan Tax Free Bond Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Arizona Municipal Bond Fund, JPMorgan Michigan Municipal Bond Fund, JPMorgan Municipal Income Fund, JPMorgan Ohio Municipal Bond Fund, JPMorgan Short-Intermediate Municipal Bond Fund and JPMorgan Tax Free Bond Fund (hereafter referred to as the “Funds”) at February 28, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
April 29, 2011
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TRUSTEES
(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 148 | None. | |||
| John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 148 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 148 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 148 | None. | |||
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 148 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| 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). | 148 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 148 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| 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). | 148 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 148 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
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Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||||
Independent Trustees (continued) |
| |||||||
| Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 148 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||||
| James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 148 | None. | |||||
Interested Trustees | ||||||||
| Frankie D. Hughes** (1952), Trustee of Trust since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 148 | Trustee, The Victory Portfolios (2000-2008). | |||||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 148 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||||
| (1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (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 advisor or have an investment advisor that is an affiliated person of the investment advisor 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 (148 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
| Patricia A. Maleski (1960), President and Principal Executive Officer (2010) | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
| Michael J. Tansley (1964), Controller (2008) | Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
| Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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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 redemption fees and (2) ongoing costs, including investment advisory, 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 costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2010, and continued to hold your shares at the end of the reporting period, February 28, 2011.
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 entitled “Expenses Paid During” 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, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Arizona Municipal Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 973.60 | $ | 4.31 | 0.88 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 971.00 | 7.33 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 969.90 | 7.33 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 974.10 | 3.08 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 | ||||||||||||
Michigan Municipal Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 972.00 | 4.30 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 969.50 | 7.32 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 969.30 | 7.37 | 1.51 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.31 | 7.55 | 1.51 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 973.10 | 3.08 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 | ||||||||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Municipal Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 977.70 | 4.27 | 0.87 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.48 | 4.36 | 0.87 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 973.80 | 6.95 | 1.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.75 | 7.10 | 1.42 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 973.80 | 6.95 | 1.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.75 | 7.10 | 1.42 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 977.80 | 3.04 | 0.62 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.72 | 3.11 | 0.62 | ||||||||||||
Ohio Municipal Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 972.20 | 4.30 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 968.50 | 7.13 | 1.46 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.55 | 7.30 | 1.46 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 968.50 | 7.13 | 1.46 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.55 | 7.30 | 1.46 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 972.30 | 3.08 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 | ||||||||||||
Short-Intermediate Municipal Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 987.80 | 3.65 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 985.40 | 6.10 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 985.40 | 6.10 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 989.40 | 1.18 | 0.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.60 | 1.20 | 0.24 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 988.20 | 2.42 | 0.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.36 | 2.46 | 0.49 | ||||||||||||
Tax Free Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 968.10 | 3.66 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 964.70 | 7.01 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
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Table of Contents
| Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Tax Free Bond Fund (continued) | ||||||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 965.30 | 7.02 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 969.70 | 2.83 | 0.58 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 2.91 | 0.58 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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(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 28, 2011. 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, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 28, 2011 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Arizona Municipal Bond Fund | $ | 796 | ||
Michigan Municipal Bond Fund | 532 | |||
Ohio Municipal Bond Fund | 57 | |||
Tax-Exempt Income
The following represents the percentage of distributions paid from net investment income that are exempt from federal income tax for the fiscal year ended February 28, 2011:
| Exempt Distributions Paid | ||||
Arizona Municipal Bond Fund | 100.00 | % | ||
Michigan Municipal Bond Fund | 99.57 | |||
Municipal Income Fund | 100.00 | |||
Ohio Municipal Bond Fund | 98.46 | |||
Short-Intermediate Municipal Bond Fund | 98.32 | |||
Tax Free Bond Fund | 100.00 | |||
| 110 | J.P. MORGAN MUNICIPAL BOND FUNDS | FEBRUARY 28, 2011 | ||||
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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 are no 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? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| 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. | |
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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. at 1-800-480-4111 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 at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or 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 prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 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 Advisor. A copy of the Funds’ voting record for the most recent 12-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.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
 | © JPMorgan Chase & Co., 2011 All rights reserved. February 2011. | AN-MUNIBOND-211 |
Table of Contents
Annual Report
J.P. Morgan Money Market Funds
February 28, 2011
JPMorgan California Municipal Money Market Fund
JPMorgan Michigan Municipal Money Market Fund
JPMorgan New York Municipal Money Market Fund
JPMorgan Ohio Municipal Money Market Fund
Table of Contents
| CEO’s Letter | 1 | |||
Fund Facts: | ||||
| 2 | ||||
| 3 | ||||
| 4 | ||||
| 5 | ||||
| Schedules of Portfolio Investments | 6 | |||
| Financial Statements | 24 | |||
| Financial Highlights | 32 | |||
| Notes to Financial Statements | 40 | |||
| Report of Independent Registered Public Accounting Firm | 46 | |||
| Trustees | 47 | |||
| Officers | 49 | |||
| Schedule of Shareholder Expenses | 50 | |||
| Tax Letter | 52 | |||
Investments in a Fund are not bank 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. Although a Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a Fund.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. 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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 (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.
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MARCH 21, 2011 (Unaudited)
Dear Shareholder:
For many investors, the old adage “What’s old is new again,” may be the best way to describe the current economic recovery. While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.
In the U.S., economic momentum and growth appear to be accelerating, helped by pent-up consumer demand, improved balance sheets, and an extension of the Bush-era tax cuts. Additionally, this recovery has seen a sharp rebound in corporate profits. Investors responded enthusiastically to these developments, sending stock markets on an impressive rally, and leading to double-digit gains in 2010.
 |
“While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.” |
On the other hand, heightened tensions in the Middle East and renewed concerns about European debt resulted in an increase in market volatility, while the devastating earthquake and tsunami in Japan and the uncertain aftermath is likely to have lingering macroeconomic and market implications.
While positive tailwinds may continue to fuel economic growth, we remain concerned about the scope and potential impact of political unrest and other crises on global markets and economies.
U.S. Treasuries experience broad gains
Investors have continued to focus their investments on fixed income securities, particularly mortgage, investment grade corporate and high yield areas of the market. However, the heightened publicity surrounding the fiscal woes of state and local governments, and the expiration of the Build America Bond Program led many investors away from municipal bonds, which contributed to an increase in market volatility.
The Barclays Capital High Yield Index returned 17.5%, while the Barclays Capital U.S. Aggregate Bond Index returned 4.9%, and the Barclays Capital Emerging Markets Index returned 11.3% for the 12-month period ended February 28, 2011. The Barclays Capital Municipal Index returned 1.7% for the same period.
A late year U.S. stock market rally did little to reverse broad gains experienced by U.S. Treasuries in 2010. Stock market volatility, rising oil prices, and concerns about unrest in the
Middle East generally led to higher prices and lower yields for U.S. Treasuries and other safe haven investments. As of the end of the 12-month period ended February 28, 2011, the yield on the 10-year U.S. Treasury bond declined from 3.6% to 3.4%. Yields on the 30-year U.S. Treasury bond dropped slightly, from 4.6% to 4.5%, while yields on the 2-year U.S. Treasury bond dipped from 0.8% to 0.7% as of the end of the annual reporting period.
Improved economic outlook fuels equity rally
Stocks were supported by improved economic expectations and job growth, as well as the combination of the Federal Reserve’s launch of quantitative easing (QE2) and Congress’ extension of the Bush-era tax cuts. As of the 12-month reporting period ended February 28, 2011, the S&P 500 Index had reached a level of 1,327, an increase of 22.6% from 12 months prior.
Recently, however, risky assets have become more volatile as investors grew concerned about how the disaster in Japan, rising oil prices, and Middle East turmoil will impact the global recovery.
Rely on diversification to prepare for geopolitical risks
While the global economic recovery has demonstrated resiliency, the world is witnessing ongoing turmoil in the Middle East and uncertainty surrounding the fallout from the tragedy in Japan. Additionally, we continue to experience concerns about European sovereign debt.
This environment reminds us of the importance of preparing portfolios for shocks that could not only potentially derail the economic recovery, but also our investment goals. As “uncertainty” is often the only certainty, it makes sense for investors to prepare by maintaining a diversified approach to investing within the context of a balanced portfolio.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).
Sincerely yours,
George C.W. Gatch
CEO-Investment Management Americas
J.P. Morgan Asset Management
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 1 | ||||||
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JPMorgan California Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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 | E*Trade, Morgan and Service | |
| Net Assets as of 2/28/2011 | $1.4 Billion | |
| Weighted Average Maturity^ | 16 days | |
| Weighted Average Life^^ | 16 days | |
MATURITY SCHEDULE**^ | ||||
| 1 day | 10.8 | % | ||
| 2–7 days | 74.2 | |||
| 8–30 days | 3.5 | |||
| 31–60 days | 4.7 | |||
| 91–180 days | 6.8 | |||
7-DAY SEC YIELD (1) | ||||
| E*Trade Shares | 0.05 | % | ||
| Morgan Shares | 0.04 | |||
| Service Shares | 0.04 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| (1) | The yields for E*Trade Shares, Morgan Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.72)%, (0.27)% and (0.72)% for E*Trade Shares, Morgan Shares and Service shares, respectively. |
| * | 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 based on total value of investments as of February 28, 2011. |
| An unaudited uncertified list of prior-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. |
| 2 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Michigan Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| Objective | Seeks as high a level of current interest income exempt from federal income tax and Michigan personal income tax as is consistent with capital preservation and stability of principal* | |
| Primary Investment | High-quality short-term municipal securities issued in Michigan, which provide tax-exempt income | |
| Suggested investment time frame | Short-term | |
| Share classes offered | Morgan, Premier and Reserve | |
| Net Assets as of 2/28/2011 | $178.1 Million | |
| Weighted Average Maturity^. | 22 days | |
| Weighted Average Life^^ | 22 days | |
MATURITY SCHEDULE**^ | ||||
| 1 day | 18.3 | % | ||
| 2–7 days | 70.5 | |||
| 31–60 days | 3.1 | |||
| 91–180 days | 4.1 | |||
| 181+ days | 4.0 | |||
7-DAY SEC YIELD (1) | ||||
| Morgan Shares | 0.00 | % | ||
| Premier Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| (1) | The yields for 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 (0.34)%, (0.19)% and (0.44)% for Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| * | 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 based on total value of investments as of February 28, 2011. |
| An unaudited uncertified list of prior-day portfolio holdings of the JPMorgan Michigan 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 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 3 | ||||||
Table of Contents
JPMorgan New York Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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 | E*Trade, Morgan, Reserve and Service | |
| Net Assets as of 2/28/2011 | $1.6 Billion | |
| Weighted Average Maturity^ | 26 days | |
| Weighted Average Life^^ | 26 days | |
MATURITY SCHEDULE**^ | ||||
| 1 day | 5.3 | % | ||
| 2–7 days | 81.0 | |||
| 8–31 days | 0.7 | |||
| 31–60 days | 0.9 | |||
| 61–90 days | 1.4 | |||
| 91–180 days | 6.7 | |||
| 181+ days | 4.0 | |||
7-DAY SEC YIELD (1) | ||||
| E*Trade Shares | 0.01 | % | ||
| Morgan Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
| Service Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| (1) | The yields for E*Trade Shares, Morgan 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 (0.73)%, (0.28)%, (0.38)% and (0.73)% for E*Trade Shares, Morgan Shares, Reserve Shares and Service Shares, respectively. |
| * | 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 based on total value of investments as of February 28, 2011. |
| An unaudited uncertified list of prior-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. |
| 4 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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JPMorgan Ohio Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| Objective | Seeks as high a level of current interest income exempt from federal income tax and Ohio personal income tax as is consistent with capital preservation and stability of principal* | |
| Primary Investment | High-quality short-term municipal securities issued in Ohio, which provide tax-exempt income | |
| Suggested investment time frame | Short-term | |
| Share classes offered | Morgan, Premier, Reserve and Service | |
| Net Assets as of 2/28/2011 | $77.9 Million | |
| Weighted Average Maturity^ | 18 days | |
| Weighted Average Life^^ | 18 days | |
MATURITY SCHEDULE**^ | ||||
| 1 day | 20.8 | % | ||
| 2–7 days | 66.3 | |||
| 8–30 days | 5.0 | |||
| 91–180 days | 4.9 | |||
| 181+ days | 3.0 | |||
7-DAY SEC YIELD (1) | ||||
| Morgan Shares | 0.08 | % | ||
| Premier Shares | 0.08 | |||
| Reserve Shares | 0.08 | |||
| Service Shares | 0.08 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| (1) | The yields for Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been (0.40)%, (0.25)%, (0.50)% and (0.85)% for Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| * | A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. |
| ** | Percentages based on total value of investments as of February 28, 2011. |
| An unaudited uncertified list of prior-day portfolio holdings of the JPMorgan Ohio Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 5 | ||||||
Table of Contents
JPMorgan California Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Commercial Paper — 16.4% (n) |
| ||||||
California — 16.4% |
| |||||||
| 6,170 | California State Department of Water Resources, 0.330%, 04/05/11 | 6,170 | ||||||
California Statewide Communities Development Authority, | ||||||||
| 10,000 | 0.330%, 04/07/11 | 10,000 | ||||||
| 10,000 | 0.350%, 07/08/11 | 10,000 | ||||||
| 20,000 | 0.370%, 07/05/11 | 20,000 | ||||||
| 3,375 | Imperial Irregation District, 0.290%, 03/30/11 | 3,375 | ||||||
| 10,050 | Orange County Water District, 0.270%, 03/07/11 | 10,050 | ||||||
| 12,500 | Regents of the University of California, 0.260%, 03/03/11 | 12,500 | ||||||
| 15,200 | San Diego County Regional Transportation Commission, 0.300%, 03/01/11 | 15,200 | ||||||
San Diego County Water Authority, | ||||||||
| 8,295 | 0.270%, 03/04/11 | 8,295 | ||||||
| 15,000 | 0.280%, 04/07/11 | 15,000 | ||||||
| 22,500 | 0.310%, 04/04/11 | 22,500 | ||||||
San Gabriel Valley Council of Governments, | ||||||||
| 9,850 | 0.300%, 03/15/11 | 9,850 | ||||||
| 2,000 | 0.320%, 04/08/11 | 2,000 | ||||||
| 15,000 | 0.380%, 03/17/11 | 15,000 | ||||||
State of California, | ||||||||
| 20,100 | 0.290%, 03/04/11 | 20,100 | ||||||
| 9,550 | 0.300%, 03/03/11 | 9,550 | ||||||
| 4,375 | 0.300%, 03/04/11 | 4,375 | ||||||
| 15,000 | 0.320%, 03/03/11 | 15,000 | ||||||
| 16,000 | 0.320%, 03/04/11 | 16,000 | ||||||
Total Commercial Paper | 224,965 | |||||||
| Daily Demand Notes — 8.6% |
| ||||||
California — 8.6% | ||||||||
| 1,900 | Abag Finance Authority for Nonprofit Corps., Oshman Family Jewish Community, Center Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.300%, 03/01/11 | 1,900 | ||||||
| 4,500 | California Health Facilities Financing Authority, Adventist Health System, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/11 | 4,500 | ||||||
| 7,500 | California Infrastructure & Economic Development Bank, IDR, Jewish Community Center, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/01/11 | 7,500 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued | ||||||||
| 3,025 | California Infrastructure & Economic Development Bank, Orange County Performing, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/01/11 | 3,025 | ||||||
| 8,000 | California Infrastructure & Economic Development Bank, Pacific Gas & Electric, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/11 | 8,000 | ||||||
| 12,200 | California Statewide Communities Development Authority, John Muir Health, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/11 | 12,200 | ||||||
| 3,600 | California Statewide Communities Development Authority, Rady Children’s Hospital, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/11 | 3,600 | ||||||
| 3,083 | City of Irvine, Improvement Bond Act of 1915, District No. 00-18, Special Assessment, Series A, VRDO, LOC: State Street Bank & Trust Co., 0.240%, 03/01/11 | 3,083 | ||||||
| 8,600 | City of Irvine, Improvement Bond Act of 1915, District No. 03-19, Special Assessment, Series A, VRDO, LOC: U.S. Bank N.A., 0.240%, 03/01/11 | 8,600 | ||||||
| 17,200 | City of Irvine, Improvement Bond Act of 1915, District No. 04-20, Limited Obligation Assessment, Series B, Rev., VRDO, LOC: KBC Bank N.V., 0.290%, 03/01/11 | 17,200 | ||||||
| 8,100 | City of Irvine, Improvement Bond Act of 1915, District No. 04-20, Special Assessment, Series A, VRDO, LOC: KBC Bank N.V., 0.290%, 03/01/11 | 8,100 | ||||||
| 2,475 | City of Irvine, Improvement Bond Act of 1915, District No. 07-22, Limited Obligation Assessment, Series A, Rev., VRDO, LOC: KBC Bank N.V., 0.290%, 03/01/11 | 2,475 | ||||||
| 9,100 | Irvine Ranch Water District, Series A, GO, VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.260%, 03/01/11 | 9,100 | ||||||
Orange County Sanitation District, | ||||||||
| 3,000 | Series A, COP, VRDO, 0.260%, 03/01/11 | 3,000 | ||||||
| 10,400 | Series B, COP, VRDO, 0.260%, 03/01/11 | 10,400 | ||||||
State of California, Economic Recovery, | ||||||||
| 3,200 | Series C-1, GO, VRDO, LOC: Bank of America N.A., 0.220%, 03/01/11 | 3,200 | ||||||
| 2,500 | Series C-5, GO, VRDO, LOC: Bank of America N.A., 0.190%, 03/01/11 | 2,500 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Daily Demand Notes — Continued |
| ||||||
California — Continued | ||||||||
| 9,100 | Tustin Unified School District, Community Facilities District No. 07-1, Special Tax, VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 9,100 | ||||||
Total Daily Demand Notes | 117,483 | |||||||
| Monthly Demand Note — 1.0% |
| ||||||
California — 1.0% | ||||||||
| 14,150 | CRHMFA Homebuyers Fund, Single Family Mortgage, Draw Down, Rev., VRDO, 0.510%, 03/01/11 (i) | 14,150 | ||||||
| Municipal Bonds — 4.6% |
| ||||||
California — 4.6% | ||||||||
| 11,500 | Berkeley Unified School District, GO, TRAN, 1.500%, 06/01/11 | 11,532 | ||||||
| 15,000 | City of Berkeley, GO, TRAN, 2.000%, 06/30/11 | 15,081 | ||||||
| 4,000 | Desert Sands Unified School District, GO, TRAN, 2.000%, 06/30/11 | 4,020 | ||||||
| 7,500 | Orange County, Series A, Rev., TRAN, 2.000%, 06/30/11 | 7,540 | ||||||
| 10,000 | San Diego County School Districts, Series A, Rev., TRAN, 2.000%, 06/30/11 | 10,053 | ||||||
| 5,000 | Santa Barbara County, GO, TRAN, 2.000%, 06/30/11 | 5,027 | ||||||
| 10,000 | Ventura County, GO, TRAN, 2.000%, 07/01/11 | 10,054 | ||||||
Total Municipal Bonds | 63,307 | |||||||
| Semi-Annual Demand Notes — 2.7% |
| ||||||
California — 2.7% | ||||||||
| 19,715 | California Statewide Communities Development Authority, MERLOTS, Series E, COP, VRDO, AGM, 0.400%, 03/23/11 | 19,715 | ||||||
Wells Fargo Stage Trust, | ||||||||
| 7,585 | Series 19Z, GO, VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.380%, 03/31/11 (e) | 7,585 | ||||||
| 9,725 | Series 2009-37C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 (e) | 9,725 | ||||||
Total Semi-Annual Demand Notes | 37,025 | |||||||
| Weekly Demand Notes — 66.0% |
| ||||||
California — 65.9% | ||||||||
| 1,100 | Abag Finance Authority for Nonprofit Corps. Housing, Arbors Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 1,100 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued | ||||||||
| 6,000 | Abag Finance Authority for Nonprofit Corps. Housing, California Hill Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 6,000 | ||||||
| 6,750 | Abag Finance Authority for Nonprofit Corps., Branson School, Rev., VRDO, LOC: Northern Trust Co., 0.270%, 03/07/11 | 6,750 | ||||||
| 7,400 | Abag Finance Authority for Nonprofit Corps., San Francisco Friends School, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 7,400 | ||||||
| 3,200 | Abag Finance Authority for Nonprofit Corps., Zoological Society, Rev., VRDO, LOC: Bank of America N.A., 0.310%, 03/07/11 (m) | 3,200 | ||||||
| 1,752 | Alameda County IDA, Autumn Press, Inc. Project, Rev., VRDO, AMT, LOC: Wells Fargo Bank N.A., 0.350%, 03/07/11 | 1,752 | ||||||
| 840 | Alameda Public Financing Authority, Alameda Point Improvement Project, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.280%, 03/07/11 | 840 | ||||||
Austin Trust, | ||||||||
| 3,180 | Series 2008-1134, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.350%, 03/07/11 | 3,180 | ||||||
| 5,315 | Series 2008-1154, GO, VRDO, AGM, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 5,315 | ||||||
| 6,665 | Series 2008-3039X, GO, VRDO, AGM, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 6,665 | ||||||
| 8,680 | Series 2008-3301, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.360%, 03/07/11 | 8,680 | ||||||
| 2,040 | Series 2008-3312, GO, VRDO, AGM-CR, NATL-RE, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 2,040 | ||||||
| 2,800 | Series 2008-3501, GO, VRDO, AGM, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 2,800 | ||||||
Barclays Capital Municipal Trust Receipts, | ||||||||
| 4,700 | Series 8B, Rev., VRDO, LIQ: Barclays Bank plc, 0.240%, 03/07/11 (e) | 4,700 | ||||||
| 5,200 | Series 11B, Rev., VRDO, LIQ: Barclays Bank plc, 0.230%, 03/07/11 (e) | 5,200 | ||||||
| 3,750 | Series 2W, Rev., VRDO, LIQ: Barclays Bank plc, 0.240%, 03/07/11 (e) | 3,750 | ||||||
| 1,700 | Bay Area Toll Authority, Toll Bridge, Series ROCS-RR-II-R-11901, Rev., VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 1,700 | ||||||
| 7,150 | Beaumont Utility Authority, Wastewater Enterprise Project, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.250%, 03/07/11 | 7,150 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 7 | ||||||
Table of Contents
JPMorgan California Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
California — Continued | ||||||||
| 5,400 | City of Big Bear Lake, Industrial Revenue, Southwest Gas Corp. Project, Series A, Rev., VRDO, LOC: KBC Bank N.V., 0.270%, 03/07/11 | 5,400 | ||||||
| 1,600 | California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., VRDO, LOC: U.S. Bank N.A., 0.290%, 03/07/11 | 1,600 | ||||||
| 9,650 | California Health Facilities Financing Authority, Kaiser Permanente, Series C, Rev., VRDO, 0.240%, 03/07/11 | 9,650 | ||||||
| 8,275 | California Health Facilities Financing Authority, North California Presbyterian Homes, Rev., VRDO, LOC: Union Bank N.A., 0.280%, 03/07/11 | 8,275 | ||||||
| 4,620 | California Housing Finance Agency, Multi-Family Housing, Mission Apartments, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 4,620 | ||||||
| 4,820 | California Infrastructure & Economic Development Bank, IDR, Elite Leather Co. Project, Rev., VRDO, LOC: Union Bank of California N.A., 0.310%, 03/07/11 | 4,820 | ||||||
| 3,120 | California Infrastructure & Economic Development Bank, Kruger & Sons, Inc. Project, Rev., VRDO, AMT, LOC: Bank of The West, 0.340%, 03/07/11 | 3,120 | ||||||
| 4,745 | California Infrastructure & Economic Development Bank, M.A. Silva Corks USA LLC Project, Rev., VRDO, LOC: Bank of America N.A., 0.420%, 03/07/11 | 4,745 | ||||||
| 6,720 | California Infrastructure & Economic Development Bank, Westmark School Project, Rev., VRDO, LOC: First Republic Bank, 0.270%, 03/07/11 | 6,720 | ||||||
| 10,000 | California Municipal Finance Authority, Westmont College, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.260%, 03/07/11 | 10,000 | ||||||
| 300 | California Pollution Control Financing Authority, Resource Recovery, Wadham Energy, Series B, Rev., VRDO, LOC: BNP Paribas, 0.320%, 03/07/11 | 300 | ||||||
| 3,100 | California Pollution Control Financing Authority, Sanger Project, Series A, Rev., VRDO, LOC: National Bank of Canada, 0.280%, 03/07/11 | 3,100 | ||||||
| 2,300 | California Statewide Communities Development Authority, COP, VRDO, LOC: Union Bank of California N.A., 0.240%, 03/07/11 | 2,300 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued | ||||||||
| 15,000 | California Statewide Communities Development Authority, Gas Supply, Rev., VRDO, 0.250%, 03/07/11 | 15,000 | ||||||
| 565 | California Statewide Communities Development Authority, IDR, EVAPCO Project, Series K, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/07/11 | 565 | ||||||
| 1,155 | California Statewide Communities Development Authority, IDR, Kennerly Project, Series A, Rev., VRDO, LOC: Bank of The West, 0.300%, 03/07/11 | 1,155 | ||||||
| 6,000 | California Statewide Communities Development Authority, Kaiser Permanente, Series D, Rev., VRDO, 0.240%, 03/07/11 | 6,000 | ||||||
| 11,100 | California Statewide Communities Development Authority, Multi-Family Housing, Crossing Senior Phase, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 11,100 | ||||||
| 2,900 | California Statewide Communities Development Authority, Multi-Family Housing, Golden Age Garden Apartments, Series H, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.240%, 03/07/11 | 2,900 | ||||||
| 9,750 | California Statewide Communities Development Authority, Multi-Family Housing, Westgate Pasadena Apartments, Series G, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 9,750 | ||||||
| 14,000 | California Statewide Communities Development Authority, New Morgan Hill Country School, Rev., VRDO, LOC: Comerica Bank, 0.270%, 03/07/11 | 14,000 | ||||||
| 2,000 | California Statewide Communities Development Authority, Plan Nine Partners Project, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.320%, 03/07/11 | 2,000 | ||||||
| 7,530 | California Statewide Communities Development Authority, Prospect Sierra School, Rev., VRDO, LOC: Bank of America N.A., 0.420%, 03/07/11 | 7,530 | ||||||
| 8,685 | City & County of San Francisco, Multi-Family Housing, Series 34G, Rev., VRDO, LIQ: Goldman Sachs Special Situations, LOC: Goldman Sachs & Co., 0.260%, 03/07/11 | 8,685 | ||||||
| 11,395 | City of Fremont, Capital Improvement Financing Project, COP, VRDO, LOC: Scotiabank, 0.240%, 03/07/11 | 11,395 | ||||||
| 5,445 | City of Fremont, Family Residence Center Financing Project, COP, VRDO, LOC: KBC Bank N.V., 0.240%, 03/07/11 | 5,445 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
California — Continued | ||||||||
| 5,170 | City of Fresno, Sewer Revenue, Series ROCS-RR-II-R-11741, Rev., VRDO, AGC, LIQ: Citibank N.A., 0.300%, 03/07/11 (e) | 5,170 | ||||||
| 2,105 | City of Fresno, Trinity Health Credit, Series C, Rev., VRDO, 0.250%, 03/07/11 | 2,105 | ||||||
| 3,180 | City of Hayward, Multi-Family Housing, Shorewood, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 3,180 | ||||||
| 4,000 | City of Livermore, Capital Improvement Projects, COP, VRDO, LOC: U.S. Bank N.A., 0.240%, 03/07/11 | 4,000 | ||||||
| 6,400 | City of Livermore, Multi-Family Housing, Diablo Vista Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 6,400 | ||||||
| 9,155 | City of Los Angeles, Multi-Family Housing, Series PT-3700, Rev., VRDO, 0.420%, 03/07/11 | 9,155 | ||||||
| 2,500 | City of Los Angeles, Multi-Family Housing, Masselin Manor, Rev., VRDO, LOC: Bank of America N.A., 0.340%, 03/07/11 | 2,500 | ||||||
| 29,035 | City of Los Angeles, Wastewater Systems, EAGLE, Series 2006-0013, Class A, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.260%, 03/07/11 | 29,035 | ||||||
| 3,600 | City of Manhattan Beach, COP, VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 3,600 | ||||||
| 6,385 | City of Modesto, Water Revenue, Series A, COP, VRDO, AGC, 0.310%, 03/07/11 | 6,385 | ||||||
| 6,075 | City of Modesto, Multi-Family Housing, Live Oak Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.430%, 03/07/11 | 6,075 | ||||||
| 4,100 | City of Modesto, Multi-Family Housing, Westdale Commons, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.430%, 03/07/11 | 4,100 | ||||||
| 4,500 | City of Pasadena, Series A, COP, VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 4,500 | ||||||
| 5,000 | City of Richmond, Wastewater Systems, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.250%, 03/07/11 | 5,000 | ||||||
| 8,200 | City of Riverside, Water Revenue, Series A, Rev., VRDO, 0.250%, 03/07/11 | 8,200 | ||||||
| 800 | City of San Leandro, Multi-Family Housing, Parkside, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 800 | ||||||
| 2,150 | City of Tracy, Multi-Family Housing, Sycamore, Series A, Rev., VRDO, LOC: FHLMC, 0.310%, 03/07/11 | 2,150 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued | ||||||||
| 3,400 | City of Walnut Creek, Multi- Family Housing, Creekside Drive, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.310%, 03/07/11 | 3,400 | ||||||
| 9,170 | Contra Costa County Housing Authority, Multi-Family Housing, Lakeshore, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 9,170 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 3,330 | Series DB-298, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 3,330 | ||||||
| 8,215 | Series DB-304, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 8,215 | ||||||
| 3,890 | Series DB-413, Rev., VRDO, AMBAC, 0.350%, 03/07/11 | 3,890 | ||||||
| 23,090 | Series DB-422, GO, VRDO, AGM, NATL-RE, AMBAC, FGIC, LIQ: Deutsche Bank AG, 0.300%, 03/07/11 | 23,090 | ||||||
| 7,620 | Series DB-429, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 7,620 | ||||||
| 6,700 | Deutsche Bank Spears/Lifers Trust Various States, Tax Allocation, Series DB-294, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 6,700 | ||||||
| 8,025 | Eclipse Funding Trust, Solar Eclipse, California, Series 2006-0065, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 8,025 | ||||||
| 8,130 | Eclipse Funding Trust, Solar Eclipse, Los Angeles, Series 2006-0037, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 8,130 | ||||||
| 10,520 | Eclipse Funding Trust, Solar Eclipse, San Jose, Series 2007-0037, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,520 | ||||||
| 10,575 | Eclipse Funding Trust, Solar Eclipse, San Mateo, Tax Allocation, Series 2006-0052, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,575 | ||||||
| 7,085 | Eclipse Funding Trust, Solar Eclipse, Santa Cruz, Tax Allocation, Series 2006-0031, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 7,085 | ||||||
| 10,000 | Grand Terrace Community Redevelopment Agency, Multi-Family Housing, Mount Vernon Villas, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 10,000 | ||||||
| 8,630 | Hacienda La Puente Unified School District, Series PT-2877, GO, VRDO, FGIC, LIQ: Dexia Credit Local, 0.390%, 03/07/11 | 8,630 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 9 | ||||||
Table of Contents
JPMorgan California Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
California — Continued | ||||||||
| 490 | Hesperia Public Financing Authority, Water & Administration Facilities, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.400%, 03/07/11 | 490 | ||||||
| 23,880 | Inland Valley Development Agency, Tax Allocation, VRDO, LOC: Union Bank of California N.A., 0.240%, 03/07/11 | 23,880 | ||||||
| 8,315 | Lake Elsinore Recreation Authority, Public Facilities Project, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.270%, 03/07/11 | 8,315 | ||||||
| 3,400 | Los Angeles County Community Development Commission, Willowbrook Project, COP, VRDO, LOC: Wells Fargo Bank N.A., 0.350%, 03/07/11 | 3,400 | ||||||
| 5,165 | Los Angeles County Housing Authority, Multi-Family Housing, Sand Canyon, Series F, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.420%, 03/07/11 | 5,165 | ||||||
| 21,200 | Los Angeles Department of Water & Power, Power System, Subseries A-7, Rev., VRDO, 0.230%, 03/07/11 | 21,200 | ||||||
| 2,365 | Madera Public Financing Authority, Golf Course Refinancing Project, Rev., VRDO, LOC: Union Bank N.A., 0.260%, 03/07/11 | 2,365 | ||||||
Metropolitan Water District of Southern California, | ||||||||
| 19,500 | Series A-1, Rev., VRDO, 0.250%, 03/07/11 | 19,500 | ||||||
| 9,525 | Series ROCS-RR-II-R-11565, Rev., VRDO, BHAC-CR, FGIC, LIQ: Citibank N.A., 0.260%, 03/07/11 | 9,525 | ||||||
| 3,100 | Northern California Transmission Agency, Series A, Rev., VRDO, AGM, 0.340%, 03/07/11 | 3,100 | ||||||
| 26,500 | Nuveen Insured, VAR, 0.430%, 03/07/11 | 26,500 | ||||||
| 45,000 | Nuveen Insured, VAR, 0.510%, 03/07/11 | 45,000 | ||||||
| 1,785 | Orange County Housing Authority, Multi-Family Housing, Lantern Pines Project, Series CC, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 1,785 | ||||||
| 7,900 | Orange County, WLCO LF Partners, Series G1, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 7,900 | ||||||
| 5,930 | Pleasant Valley School District/Ventura County, Series PT-2783, GO, VRDO, NATL-RE, LIQ: Dexia Credit Local, 0.390%, 03/07/11 | 5,930 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 14,815 | Series MT-557, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.420%, 03/07/11 | 14,815 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued | ||||||||
| 4,995 | Series MT-654, Rev., VRDO, LIQ: FHLMC, 0.350%, 03/07/11 (e) | 4,995 | ||||||
| 3,340 | Series PT-4665, Rev., VRDO, LIQ: Bank of America N.A., 0.320%, 03/07/11 (e) | 3,340 | ||||||
| 11,480 | Series PT-4672, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.320%, 03/07/11 (e) | 11,480 | ||||||
| 4,000 | Series PT-4694, Rev., VRDO, LIQ: Bank of America N.A., 0.320%, 03/07/11 (e) | 4,000 | ||||||
| 13,290 | Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-1, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.330%, 03/07/11 | 13,290 | ||||||
| 5,000 | Sacramento County Housing Authority, Multi-Family Housing, Ashford Heights Apartments, Series H, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 5,000 | ||||||
| 10,200 | Sacramento County Housing Authority, Multi-Family Housing, Hasting Park Apartments, Series G, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 10,200 | ||||||
| 6,315 | Sacramento County, Single Family Mortgage, Series PT-2331, Rev., VRDO, 0.420%, 03/07/11 | 6,315 | ||||||
| 15,500 | Sacramento Municipal Utility District, Series ROCS-RR-II-R-11513, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.310%, 03/07/11 | 15,500 | ||||||
| 2,200 | San Bernardino County, Multi-Family Housing, Rosewood Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 2,200 | ||||||
| 800 | San Bernardino County, Multi-Family Housing, Somerset Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 800 | ||||||
| 1,900 | San Diego County Regional Transportation Commission, Limited Tax, Series C, Rev., VRDO, 0.330%, 03/07/11 | 1,900 | ||||||
| 9,900 | San Francisco Bay Area Transit District, EAGLE, Series 2007-0100, Class A, GO, VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 | 9,900 | ||||||
| 7,100 | San Francisco City & County Airports Commission, Series 36B, Rev., VRDO, LOC: Union Bank N.A., 0.210%, 03/07/11 | 7,100 | ||||||
| 3,155 | San Francisco City & County Public Utilities Commission, Series 2190, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.290%, 03/07/11 | 3,155 | ||||||
| 19,790 | San Francisco City & County Public Utilities Commission, MERLOTS, Series B20, Rev., VRDO, NATL-RE, 0.440%, 03/07/11 | 19,790 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
California — Continued | ||||||||
| 1,250 | Santa Clara County Financing Authority, Housing Authority Office Project, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.280%, 03/07/11 | 1,250 | ||||||
| 4,224 | Santa Clara County Housing Authority, Multi-Family Housing, Willows Apartments, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.300%, 03/07/11 Southern California Public Power Authority, | 4,224 | ||||||
| 8,000 | Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 8,000 | ||||||
| 26,500 | Rev., VRDO, LOC: KBC Bank N.V., 0.260%, 03/07/11 | 26,500 | ||||||
| 10,450 | State of California, Series DCL-049, GO, VRDO, AGM, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.390%, 03/07/11 | 10,450 | ||||||
| 1,650 | State of California, Municipal Securities Trust Receipts, Series SGC-6, Class A, GO, VRDO, LIQ: Societe Generale, LOC: Societe Generale, 0.260%, 03/07/11 | 1,650 | ||||||
| 7,500 | Stockton Public Financing Authority, Delta Water Supply Project, Series A, Rev., VRDO, LOC: Union Bank N.A., 0.250%, 03/07/11 | 7,500 | ||||||
University of California, | ||||||||
| 4,495 | Series 1119, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 | 4,495 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued | ||||||||
| 10,615 | Series 1274, Rev., VRDO, NATL-RE, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 | 10,615 | ||||||
| 34,280 | Series 2902, Rev., VRDO, AMBAC, LIQ: Morgan Stanley Bank, 0.280%, 03/07/11 | 34,280 | ||||||
| 5,905 | Woodland Finance Authority, Series ROCS-RR-II-R-11805, Rev., VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 5,905 | ||||||
| 901,836 | ||||||||
Other Territories — 0.1% |
| |||||||
| 1,555 | Deutsche Bank Spears/Lifers Trust Various States, Series DB-344, Rev., VRDO, NATL-RE, AMBAC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 1,555 | ||||||
Total Weekly Demand Notes | 903,391 | |||||||
Total Investments — 99.3% | 1,360,321 | |||||||
Other Assets in Excess of | 9,802 | |||||||
NET ASSETS — 100.0% | $ | 1,370,123 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 11 | ||||||
Table of Contents
JPMorgan Michigan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Commercial Paper — 3.1% (n) |
| ||||||
Michigan — 3.1% |
| |||||||
| 5,500 | Michigan State Housing Development Authority, 0.380%, 04/07/11 | 5,500 | ||||||
| Daily Demand Notes — 18.1% |
| ||||||
Michigan — 18.1% |
| |||||||
| 800 | Farmington Hills Hospital Finance Authority, Botsford Obligated, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.180%, 03/01/11 | 800 | ||||||
| 2,645 | Michigan State Hospital Finance Authority, Crittenton Hospital, Series A, Rev., VRDO, LOC: Comerica Bank, 0.210%, 03/01/11 | 2,645 | ||||||
| 11,320 | Michigan State Housing Development Authority, Multi-Family Housing, Jackson Project, Rev., VRDO, LOC: FHLB, 0.210%, 03/01/11 | 11,320 | ||||||
Michigan State Housing Development Authority, Rental Housing, | ||||||||
| 8,425 | Series A, Rev., VRDO, AMT, AGM, 0.320%, 03/01/11 | 8,425 | ||||||
| 1,050 | University of Michigan, Series A, Rev., VRDO, 0.190%, 03/01/11 | 1,050 | ||||||
University of Michigan, Hospital, | ||||||||
| 1,500 | Series A, Rev., VRDO, 0.100%, 03/01/11 | 1,500 | ||||||
| 700 | Series A-2, Rev., VRDO, 0.100%, 03/01/11 | 700 | ||||||
| 5,800 | University of Michigan, Medical Services Plan, Series A-1, Rev., VRDO, 0.100%, 03/01/11 | 5,800 | ||||||
Total Daily Demand Notes | 32,240 | |||||||
| Municipal Bonds — 4.0% |
| ||||||
Michigan — 4.0% |
| |||||||
| 1,150 | Kent Hospital Finance Authority, Spectrum Health, Series B, Rev., 5.000%, 07/15/11 | 1,169 | ||||||
| 6,000 | Michigan Finance Authority, Series D-1, Rev., 2.000%, 08/19/11 | 6,033 | ||||||
Total Municipal Bonds | 7,202 | |||||||
| Weekly Demand Notes — 73.9% |
| ||||||
Michigan — 73.9% |
| |||||||
| 1,650 | Austin Trust, Series 2007-1009, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.400%, 03/07/11 (m) | 1,650 | ||||||
City of Detroit, | ||||||||
| 2,590 | Series PT-3756, Rev., VRDO, AGM, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 2,590 | ||||||
| 3,395 | City of Detroit, Water Supply Systems, Series ROCS-RR-II-R-11898, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.310%, 03/07/11 (e) | 3,395 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Michigan — Continued |
| |||||||
| 1,000 | City of Grand Rapids, Clipper Belt Lacer Co. Project, Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 1,000 | ||||||
Detroit City School District, | ||||||||
| 2,000 | Series PT-3480, GO, VRDO, AGM, Q-SBLF, LIQ: Dexia Credit Local, 0.420%, 03/07/11 | 2,000 | ||||||
| 12,275 | Series ROCS-RR-II-R-12251, GO, VRDO, BHAC-CR, AGM-CR, FGIC, Q-SBLF, 0.270%, 03/07/11 (e) | 12,275 | ||||||
| 385 | Deutsche Bank Spears/Lifers Trust Various States, Series DB-302, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 385 | ||||||
| 7,000 | Eclipse Funding Trust, Solar Eclipse, Detroit, Series 2006-0001, GO, VRDO, AGM, Q-SBLF, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 7,000 | ||||||
| 2,465 | Jackson County Economic Development Corp., Melling Tool Co. Project, Rev., VRDO, LOC: Comerica Bank, 0.410%, 03/07/11 | 2,465 | ||||||
| 1,300 | Kent Hospital Finance Authority, Metropolitan Hospital Project, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 1,300 | ||||||
| 7,500 | Michigan State Hospital Finance Authority, Series ROCS-RR-II-R-11869, Rev., VRDO, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 7,500 | ||||||
| 7,100 | Michigan State Hospital Finance Authority, Ascension Health, Series F-8, Rev., VRDO, 0.350%, 09/26/11 (i) | 7,100 | ||||||
Michigan State Housing Development Authority, | ||||||||
| 10,000 | Series B, Rev., VRDO, AMT, LOC: FNMA, 0.300%, 03/07/11 | 10,000 | ||||||
| 3,055 | Series C, Rev., VRDO, 0.270%, 03/07/11 | 3,055 | ||||||
| 1,500 | Series D, Rev., VRDO, LOC: FNMA, 0.270%, 03/07/11 | 1,500 | ||||||
| 1,320 | Series D, Rev., VRDO, AMT, 0.370%, 03/07/11 | 1,320 | ||||||
| 8,715 | Series E, Rev., VRDO, AMT, 0.310%, 03/07/11 | 8,715 | ||||||
| 5,925 | Michigan State Housing Development Authority, Multi-Family Housing, Canton Club, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.310%, 03/07/11 | 5,925 | ||||||
| 1,030 | Michigan State Housing Development Authority, Multi-Family Housing, Courtyards of Taylor, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 1,030 | ||||||
| 3,000 | Michigan State Housing Development Authority, Multi-Family Housing, Parks of Taylor Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 3,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Michigan — Continued |
| |||||||
Michigan State Housing Development Authority, Rental Housing, | ||||||||
| 6,925 | Series C, Rev., VRDO, AMT, 0.310%, 03/07/11 | 6,925 | ||||||
| 435 | Series D, Rev., VRDO, AMT, 0.320%, 03/07/11 | 435 | ||||||
| 3,850 | Michigan State Housing Development Authority, Single Family Mortgage, Series C, Rev., VRDO, AMT, AGM, LIQ: Dexia Credit Local, 0.650%, 03/07/11 | 3,850 | ||||||
| 1,800 | Michigan State University, Rev., VRDO, 0.220%, 03/07/11 | 1,800 | ||||||
| 885 | Michigan Strategic Fund, Artex Label & Graphics, Rev., VRDO, LOC: U.S. Bank N.A., 0.470%, 03/07/11 | 885 | ||||||
| 1,600 | Michigan Strategic Fund, B&C Leasing LLC Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.490%, 03/07/11 | 1,600 | ||||||
| 1,000 | Michigan Strategic Fund, Bayloff Properties LLC Project, Rev., VRDO, LOC: PNC Bank N.A., 0.400%, 03/07/11 | 1,000 | ||||||
| 1,000 | Michigan Strategic Fund, Consumers Energy Co. Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 1,000 | ||||||
| 420 | Michigan Strategic Fund, Duo-Form Acquisition Project, Rev., VRDO, LOC: Wachovia Bank N.A., 0.400%, 03/07/11 | 420 | ||||||
| 2,150 | Michigan Strategic Fund, Enovateit LLC Project, Rev., VRDO, LOC: Comerica Bank, 0.310%, 03/07/11 | 2,150 | ||||||
| 1,500 | Michigan Strategic Fund, Geskus Photography, Inc. Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.470%, 03/07/11 | 1,500 | ||||||
| 450 | Michigan Strategic Fund, Grayling Generating Project, Rev., VRDO, LOC: Barclays Bank New York, 0.250%, 03/07/11 | 450 | ||||||
| 5,000 | Michigan Strategic Fund, Kroger Co. Recovery Zone, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.270%, 03/07/11 | 5,000 | ||||||
| 1,070 | Michigan Strategic Fund, Merchants LLC Project, Rev., VRDO, LOC: National City Bank, 0.350%, 03/07/11 | 1,070 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Michigan — Continued |
| |||||||
| 2,625 | Michigan Strategic Fund, Millenium Steering LLC Project, Rev., VRDO, LOC: Comerica Bank, 0.410%, 03/07/11 | 2,625 | ||||||
| 1,820 | Michigan Strategic Fund, Southwest Ventures Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.420%, 03/07/11 | 1,820 | ||||||
| 2,600 | Michigan Strategic Fund, Sur-Flow Plastics, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.410%, 03/07/11 | 2,600 | ||||||
| 600 | Michigan Strategic Fund, Transnav Technologies, Inc., Rev., VRDO, LOC: Lasalle Bank Midwest, 0.490%, 03/07/11 | 600 | ||||||
| 2,000 | Michigan Strategic Fund, Waterfront, Series A, Rev., VRDO, LOC: Deutsche Bank AG, 0.250%, 03/07/11 | 2,000 | ||||||
| 1,740 | Oakland County EDC, A&M Label Project, Rev., VRDO, LOC: National City Bank of Michigan, 0.350%, 03/07/11 | 1,740 | ||||||
| 1,240 | Puttable Floating Option Tax-Exempt Receipts, Series MT-631, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.480%, 03/07/11 (e) | 1,240 | ||||||
RBC Municipal Products, Inc. Trust, Floater Certificates, | ||||||||
| 1,720 | Series L-26, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.300%, 03/07/11 | 1,720 | ||||||
| 5,950 | Series L-29, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.300%, 03/07/11 | 5,950 | ||||||
Total Weekly Demand Notes | 131,585 | |||||||
Total Investments — 99.1% | 176,527 | |||||||
Other Assets in Excess of | 1,561 | |||||||
NET ASSETS — 100.0% | $ | 178,088 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 13 | ||||||
Table of Contents
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Commercial Paper — 3.5% (n) |
| ||||||
New York — 3.5% |
| |||||||
Metropolitan Transportation Authority, | ||||||||
| 15,000 | Series A, 0.300%, 06/08/11 | 15,000 | ||||||
| 20,000 | Series C, 0.290%, 03/07/11 | 20,000 | ||||||
| 23,000 | Series C, 0.300%, 05/03/11 | 23,000 | ||||||
Total Commercial Paper | 58,000 | |||||||
| Daily Demand Notes — 5.3% |
| ||||||
New York — 5.3% |
| |||||||
| 10,300 | Long Island Power Authority, Electric Systems, Series 2, Subseries 2B, Rev., VRDO, LOC: Bayerische Landesbank, 0.180%, 03/01/11 | 10,300 | ||||||
New York City, | ||||||||
| 1,100 | Series I, Subseries I-8, GO, VRDO, LOC: Bank of America N.A., 0.170%, 03/01/11 | 1,100 | ||||||
| 1,200 | Subseries A-4, GO, VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.200%, 03/01/11 | 1,200 | ||||||
| 800 | Subseries A-4, GO, VRDO, LOC: Bayerische Landesbank, 0.210%, 03/01/11 | 800 | ||||||
| 2,185 | Subseries A-5, GO, VRDO, LOC: KBC Bank N.V., 0.110%, 03/01/11 | 2,185 | ||||||
| 2,100 | Subseries E-4, GO, VRDO, LOC: BNP Paribas, 0.120%, 03/01/11 | 2,100 | ||||||
| 730 | Subseries H-1, GO, VRDO, LOC: Bank of New York, 0.130%, 03/01/11 | 730 | ||||||
| 5,140 | Subseries H-1, GO, VRDO, LOC: Dexia Credit Local, 0.250%, 03/01/11 | 5,140 | ||||||
| 3,975 | Subseries H-2, GO, VRDO, LOC: Dexia Credit Local, 0.150%, 03/01/11 | 3,975 | ||||||
| 9,800 | Subseries H-4, GO, VRDO, LOC: Bank of New York, 0.100%, 03/01/11 | 9,800 | ||||||
| 900 | Subseries H-7, GO, VRDO, LOC: KBC Bank N.V., 0.210%, 03/01/11 | 900 | ||||||
| 200 | Subseries L-3, GO, VRDO, 0.220%, 03/01/11 | 200 | ||||||
| 2,705 | Subseries L-4, GO, VRDO, LOC: U.S. Bank N.A., 0.120%, 03/01/11 | 2,705 | ||||||
| 5,700 | Subseries L-6, GO, VRDO, 0.120%, 03/01/11 | 5,700 | ||||||
New York City Municipal Water Finance Authority, 2nd Generation, | ||||||||
| 5,900 | Series DD-1, Rev., VRDO, 0.120%, 03/01/11 | 5,900 | ||||||
| 2,500 | Series DD-3B, Rev., VRDO, 0.140%, 03/01/11 | 2,500 | ||||||
New York City Municipal Water Finance Authority, 2nd Generation Resolution, | ||||||||
| 2,200 | Series AA-2, Rev., VRDO, 0.250%, 03/01/11 | 2,200 | ||||||
| 4,100 | Series CC-1, Rev., VRDO, 0.190%, 03/01/11 | 4,100 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued |
| |||||||
New York City Transitional Finance Authority, Future Tax Secured, | ||||||||
| 900 | Series B, Rev., VRDO, 0.210%, 03/01/11 | 900 | ||||||
| 6,300 | Series C, Rev., VRDO, 0.160%, 03/01/11 | 6,300 | ||||||
| 410 | Subseries C-4, Rev., VRDO, 0.250%, 03/01/11 | 410 | ||||||
| 7,775 | New York City Transitional Finance Authority, New York City Recovery, Series 3, Subseries 3-H, Rev., VRDO, 0.110%, 03/01/11 | 7,775 | ||||||
| 1,900 | Trust for Cultural Resources, American Museum of Natural History, Series A1, Rev., VRDO, 0.140%, 03/01/11 | 1,900 | ||||||
New York City, Fiscal 2008, | ||||||||
| 3,300 | Sub Series J-5, GO, VRDO, 0.160%, 03/01/11 | 3,300 | ||||||
| 1,380 | Subseries J-6, GO, VRDO, LOC: Landesbank Hessen-Thuringen, 0.200%, 03/01/11 | 1,380 | ||||||
| 2,300 | New York Mortgage Agency, Homeowner Mortgage, Series 150, Rev., VRDO, AMT, 0.200%, 03/01/11 | 2,300 | ||||||
| 685 | New York State Dormitory Authority, Oxford University Press, Inc., Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.220%, 03/01/11 | 685 | ||||||
Total Daily Demand Notes | 86,485 | |||||||
| Municipal Bonds — 11.4% |
| ||||||
New York — 11.4% |
| |||||||
| 10,200 | Addison Central School District, GO, BAN, 1.500%, 01/19/12 (m) | 10,263 | ||||||
| 5,300 | Arkport Central School District, GO, BAN, 1.500%, 06/17/11 | 5,313 | ||||||
| 8,000 | Binghamton City School District, GO, TAN, 1.500%, 06/30/11 | 8,021 | ||||||
| 9,345 | Cheektowaga-Maryville Union Free School District, GO, BAN, 2.000%, 12/22/11 | 9,444 | ||||||
| 14,000 | East Islip Union Free School District, GO, TAN, 1.500%, 06/30/11 | 14,030 | ||||||
| 2,640 | Gouverneur Central School District, School Construction, GO, BAN, 1.750%, 06/24/11 | 2,647 | ||||||
Greene Central School District, | ||||||||
| 5,000 | GO, BAN, 1.500%, 06/30/11 | 5,005 | ||||||
| 10,000 | GO, BAN, 1.750%, 06/30/11 | 10,013 | ||||||
| 13,500 | Ilion Central School District, GO, BAN, 1.500%, 06/30/11 | 13,516 | ||||||
| 13,820 | Jamestown City School District, GO, BAN, 1.750%, 04/13/11 | 13,831 | ||||||
| 11,281 | Owego Apalachin Central School District, Series A, GO, BAN, 1.500%, 06/20/11 | 11,304 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
New York — Continued |
| |||||||
| 10,000 | Schenectady City School District, GO, RAN, 2.000%, 01/27/12 | 10,067 | ||||||
| 14,995 | Sullivan County, Series C, GO, BAN, 1.500%, 10/21/11 | 15,074 | ||||||
| 7,485 | Town of Clarence, GO, BAN, 1.500%, 07/28/11 | 7,507 | ||||||
| 15,000 | Town of Oyster Bay, Series C, GO, BAN, 1.500%, 11/18/11 | 15,115 | ||||||
| 11,385 | Town of Poughkeepsie, GO, BAN, 1.250%, 03/18/11 | 11,388 | ||||||
| 5,500 | Town of Webster, GO, BAN, 1.500%, 10/05/11 | 5,528 | ||||||
| 10,000 | Union Endicott Central School District, GO, BAN, 1.500%, 06/30/11 | 10,021 | ||||||
| 7,000 | Waverly Central School District, Series A, GO, BAN, 2.000%, 07/15/11 | 7,024 | ||||||
Total Municipal Bonds | 185,111 | |||||||
| Weekly Demand Notes — 79.7% |
| ||||||
New York — 79.7% |
| |||||||
| 6,855 | Albany Industrial Development Agency, Albany College of Pharmacy, Series B, Rev., VRDO, LOC: TD Bank N.A., 0.230%, 03/07/11 | 6,855 | ||||||
Austin Trust, Various States, | ||||||||
| 650 | Series 2008-1064, GO, VRDO, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 650 | ||||||
| 1,300 | Series 2008-1067, Rev., VRDO, LIQ: Bank of America N.A., 0.390%, 03/07/11 | 1,300 | ||||||
| 8,955 | Series 2008-3004X, Class R, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.350%, 03/07/11 | 8,955 | ||||||
| 4,750 | Series 2008-3006X, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.350%, 03/07/11 | 4,750 | ||||||
| 2,475 | Series 2008-3506, Rev., VRDO, AGM-CR, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 2,475 | ||||||
| 7,300 | Series 2009-1213, Rev., VRDO, LIQ: Bank of America N.A., 0.320%, 03/07/11 (e) | 7,300 | ||||||
| 15,310 | Dutchess County Industrial Development Agency, Marist College Civic Facilities, Series A, Rev., VRDO, LOC: TD Bank N.A., 0.250%, 03/07/11 | 15,310 | ||||||
| 9,650 | Eclipse Funding Trust, Solar Eclipse, Series 2006-0117, Class N, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,650 | ||||||
| 225 | Eclipse Funding Trust, Solar Eclipse, Long Island, Series 2006-0119, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 225 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued |
| |||||||
| 2,425 | Eclipse Funding Trust, Solar Eclipse, Metropolitan, Series 2006-0028, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 2,425 | ||||||
Eclipse Funding Trust, Solar Eclipse, New York, | ||||||||
| 8,115 | Series 2006-0029, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 8,115 | ||||||
| 15,035 | Series 2006-0045, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.240%, 03/07/11 | 15,035 | ||||||
| 1,745 | Franklin County Industrial Development Agency, Trudeau Institute Inc. Project, Rev., VRDO, LOC: HSBC Bank USA N.A., 0.450%, 03/07/11 | 1,745 | ||||||
Metropolitan Transportation Authority, | ||||||||
| 9,945 | Series A, Rev., VRDO, AGM, 0.330%, 03/07/11 | 9,945 | ||||||
| 11,385 | Series ROCS-RR-II-R-12299, Rev., VRDO, BHAC-CR, MBIA, 0.260%, 03/07/11 (e) | 11,385 | ||||||
| 1,595 | Subseries B-3, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.240%, 03/07/11 | 1,595 | ||||||
| 22,700 | Subseries D-1, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.250%, 03/07/11 | 22,700 | ||||||
New York City, | ||||||||
| 2,000 | Series E, Subseries E-4, GO, VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 2,000 | ||||||
| 3,800 | Series F-5, GO, VRDO, LOC: Bayerische Landesbank, 0.250%, 03/07/11 | 3,800 | ||||||
| 2,000 | Series H, Subseries H-4, GO, VRDO, AMBAC, 0.210%, 03/07/11 | 2,000 | ||||||
| 8,700 | Subseries A-2, GO, VRDO, LOC: Bank of America N.A., 0.230%, 03/07/11 | 8,700 | ||||||
| 10,800 | Subseries A-3, GO, VRDO, LOC: BNP Paribas, 0.220%, 03/07/11 | 10,800 | ||||||
| 6,800 | Subseries A-4, GO, VRDO, LOC: Bank of Nova Scotia, 0.210%, 03/07/11 | 6,800 | ||||||
| 6,150 | Subseries A-6, GO, VRDO, LOC: Helaba, 0.230%, 03/07/11 | 6,150 | ||||||
| 6,900 | Subseries A-6, GO, VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.240%, 03/07/11 | 6,900 | ||||||
| 3,550 | Subseries C-2, GO, VRDO, LOC: Bayerische Landesbank, 0.250%, 03/07/11 | 3,550 | ||||||
| 4,100 | Subseries C4, GO, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ, 0.220%, 03/07/11 | 4,100 | ||||||
| 17,000 | Subseries F-3, GO, VRDO, LOC: Sumitomo Mitsui Banking, 0.270%, 03/07/11 | 17,000 | ||||||
| 18,700 | Subseries F-4-B, GO, VRDO, LOC: Union Bank N.A., 0.250%, 03/07/11 | 18,700 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 15 | ||||||
Table of Contents
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
New York — Continued |
| |||||||
| 11,530 | Subseries H-2, GO, VRDO, LOC: Bank of New York, 0.220%, 03/07/11 | 11,530 | ||||||
| 17,915 | Subseries H-3, GO, VRDO, LOC: Bank of New York, 0.190%, 03/07/11 | 17,915 | ||||||
| 1,225 | New York City Capital Resources Corp., Loan Enhanced Assistance, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 1,225 | ||||||
| 1,950 | New York City Health & Hospital Corp., Health System, Series C, Rev., VRDO, LOC: TD Bank N.A., 0.220%, 03/07/11 | 1,950 | ||||||
| 11,400 | New York City Health & Hospital Corp., Health Systems, Series B, Rev., VRDO, LOC: TD Bank N.A., 0.210%, 03/07/11 | 11,400 | ||||||
| 9,950 | New York City Housing Development Corp., Series 2899, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.280%, 03/07/11 | 9,950 | ||||||
New York City Housing Development Corp., Multi-Family Housing, | ||||||||
| 6,900 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 6,900 | ||||||
| 12,750 | Series ROCS-RR-II-R-13100, Rev., VRDO, LIQ: Citibank N.A., 0.280%, 03/07/11 (e) | 12,750 | ||||||
| 3,400 | New York City Housing Development Corp., Multi-Family Housing, 100 Jane Street Development, Series A, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 3,400 | ||||||
| 13,000 | New York City Housing Development Corp., Multi-Family Housing, 20 Exchange Place, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 13,000 | ||||||
| 15,000 | New York City Housing Development Corp., Multi-Family Housing, 245 East 124th Street, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.220%, 03/07/11 | 15,000 | ||||||
| 17,700 | New York City Housing Development Corp., Multi-Family Housing, 90 Washington Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.220%, 03/07/11 | 17,700 | ||||||
| 2,970 | New York City Housing Development Corp., Multi-Family Housing, Brittany Development, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 2,970 | ||||||
| 5,000 | New York City Housing Development Corp., Multi-Family Housing, Bruckner, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 5,000 | ||||||
| 7,000 | New York City Housing Development Corp., Multi-Family Housing, Elliott Chelsea Development, Series A, Rev., VRDO, LOC: Citibank N.A., 0.250%, 03/07/11 | 7,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued |
| |||||||
| 6,100 | New York City Housing Development Corp., Multi-Family Housing, Lexington Courts, Series A, Rev., VRDO, LIQ: FHLMC, 0.220%, 03/07/11 | 6,100 | ||||||
| 200 | New York City Housing Development Corp., Multi-Family Housing, Lyric Development, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 200 | ||||||
| 5,000 | New York City Housing Development Corp., Multi-Family Housing, Marseilles Apartments, Series A, Rev., VRDO, LOC: Citibank N.A., 0.230%, 03/07/11 | 5,000 | ||||||
| 4,760 | New York City Housing Development Corp., Multi-Family Housing, Ogden Ave. Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 4,760 | ||||||
| 7,840 | New York City Housing Development Corp., Multi-Family Housing, Peter Cintron Apartments, Series C, Rev., VRDO, LOC: FNMA, 0.260%, 03/07/11 | 7,840 | ||||||
| 2,200 | New York City Housing Development Corp., Multi-Family Housing, Royal Properties, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.200%, 03/07/11 | 2,200 | ||||||
| 1,635 | New York City Housing Development Corp., Multi-Family Housing, The Plaza, Series A, Rev., VRDO, LOC: Citibank N.A., 0.270%, 03/07/11 | 1,635 | ||||||
| 300 | New York City Housing Development Corp., Multi-Family Housing, Tribeca Tower, Series A, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 300 | ||||||
| 3,300 | New York City Housing Development Corp., Multi-Family Housing, West 43rd Street Development, Series A, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 3,300 | ||||||
| 4,470 | New York City Housing Development Corp., Multi-Family Housing, West 89th Street Development, Series A, Rev., VRDO, LOC: FNMA, 0.250%, 03/07/11 | 4,470 | ||||||
| 8,900 | New York City Industrial Development Agency, Grace Church School Project, Rev., VRDO, LOC: Wachovia Bank N.A., 0.270%, 03/07/11 | 8,900 | ||||||
| 24,600 | New York City Industrial Development Agency, Liberty Facilities Hanson Office, Rev., VRDO, LOC: ING Bank N.V., 0.250%, 03/07/11 | 24,600 | ||||||
| 4,100 | New York City Industrial Development Agency, New York Congregational Nursing, Series A, Rev., VRDO, LOC: HSBC Bank USA N.A., 0.280%, 03/07/11 | 4,100 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
New York — Continued |
| |||||||
| 10,000 | New York City Municipal Water Finance Authority, 2nd Generation, Fiscal 2008, Series BB-4, Rev., VRDO, 0.220%, 03/07/11 | 10,000 | ||||||
| 8,470 | New York City Transitional Finance Authority, Subseries 2-D, Rev., VRDO, LIQ: Lloyds TSB Bank plc, 0.210%, 03/07/11 | 8,470 | ||||||
| 1,100 | New York City Transitional Finance Authority, EAGLE, Series 2007-0004, Class A, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 1,100 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, | ||||||||
| 600 | Series A-2, Rev., VRDO, 0.200%, 03/07/11 | 600 | ||||||
| 10,400 | Subseries F-5, Rev., VRDO, LOC: Sumitomo Mitsui Banking, 0.220%, 03/07/11 | 10,400 | ||||||
New York City Transitional Finance Authority, New York City Recovery, | ||||||||
| 8,135 | Series 1, Subseries 1E, Rev., VRDO, LIQ: Bayerische Landesbank, 0.230%, 03/07/11 | 8,135 | ||||||
| 8,500 | Series 3, Subseries 3-C, Rev., VRDO, 0.330%, 03/07/11 | 8,500 | ||||||
| 10,350 | Series 3, Subseries 3-G, Rev., VRDO, 0.200%, 03/07/11 | 10,350 | ||||||
| 4,505 | New York City Trust for Cultural Resources, American Museum Natural, Series B1, Rev., VRDO, 0.200%, 03/07/11 | 4,505 | ||||||
New York City, Fiscal 2008, | ||||||||
| 7,950 | Subseries D-3, GO, VRDO, 0.220%, 03/07/11 | 7,950 | ||||||
| 12,850 | Subseries J-9, GO, VRDO, 0.220%, 03/07/11 | 12,850 | ||||||
| 6,530 | Subseries J-10, GO, VRDO, 0.230%, 03/07/11 | 6,530 | ||||||
| 14,150 | Subseries J-11, GO, VRDO, 0.250%, 03/07/11 | 14,150 | ||||||
New York Liberty Development Corp., | ||||||||
| 5,000 | Series 1207, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 | 5,000 | ||||||
| 7,914 | Series 1251, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 | 7,914 | ||||||
| 10,000 | Series 3226, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 (e) | 10,000 | ||||||
| 31,170 | Series 3232, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 (e) | 31,170 | ||||||
| 15,000 | Series ROCS RR II R-11883, Rev., VRDO, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 15,000 | ||||||
New York Local Government Assistance Corp., | ||||||||
| 950 | Series C, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.220%, 03/07/11 | 950 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued |
| |||||||
| 120 | Series SG-100, Rev., VRDO, NATL-RE-IBC, 0.280%, 03/07/11 | 120 | ||||||
| 3,350 | New York Mortgage Agency, Series ROCS-RR-II-R-11708, Rev., VRDO, LIQ: Citibank N.A., 0.310%, 03/07/11 (e) | 3,350 | ||||||
New York State Dormitory Authority, | ||||||||
| 9,240 | Series ROCS-RR-II-R-11559, Rev., VRDO, BHAC-CR, AGC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 9,240 | ||||||
| 6,175 | Series ROCS-RR-II-R-11816, Rev., VRDO, LIQ: Citibank N.A., 0.280%, 03/07/11 (e) | 6,175 | ||||||
| 8,000 | Series ROCS-RR-II-R-11843, Rev., VRDO, BHAC-CR, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 8,000 | ||||||
New York State Dormitory Authority, City University, | ||||||||
| 10,000 | Series C, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 10,000 | ||||||
| 21,900 | Series D, Rev., VRDO, LOC: TD Bank N.A., 0.190%, 03/07/11 | 21,900 | ||||||
| 4,800 | New York State Dormitory Authority, Columbia University, Rev., VRDO, 0.170%, 03/07/11 | 4,800 | ||||||
| 18,500 | New York State Dormitory Authority, Cornell University, Series B, Rev., VRDO, 0.220%, 03/07/11 | 18,500 | ||||||
| 9,900 | New York State Dormitory Authority, Court Facilities Lease, Series B, Rev., VRDO, LOC: Bayerische Landesbank, 0.250%, 03/07/11 | 9,900 | ||||||
| 15,680 | New York State Dormitory Authority, EAGLE, Series 2006-0138, Class A, Rev., VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 | 15,680 | ||||||
New York State Dormitory Authority, Mental Health Services, | ||||||||
| 11,590 | Subseries D-2E, Rev., VRDO, LOC: Royal Bank of Canada, 0.230%, 03/07/11 | 11,590 | ||||||
| 11,690 | Subseries D-2H, Rev., VRDO, LOC: Royal Bank of Canada, 0.230%, 03/07/11 | 11,690 | ||||||
| 5,805 | New York State Dormitory Authority, Municipal Securities Trust Receipts, Series SGA-132, Rev., VRDO, LIQ: Societe Generale, 0.250%, 03/07/11 | 5,805 | ||||||
| 13,500 | New York State Dormitory Authority, New York Law School, Rev., VRDO, LOC: TD Bank N.A., 0.230%, 03/07/11 | 13,500 | ||||||
| 17,530 | New York State Dormitory Authority, New York Library, Series A, Rev., VRDO, LOC: TD Bank N.A., 0.210%, 03/07/11 | 17,530 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 17 | ||||||
Table of Contents
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
New York — Continued |
| |||||||
| 11,300 | New York State Dormitory Authority, North Shore-Long Island Jewish Health System, Series D, Rev., VRDO, LOC: Bank of America N.A., 0.180%, 03/07/11 | 11,300 | ||||||
| 2,500 | New York State Dormitory Authority, Northern Westchester Association, Rev., VRDO, LOC: TD Bank N.A., 0.190%, 03/07/11 | 2,500 | ||||||
| 17,190 | New York State Dormitory Authority, Puttable Floating Option, Series 2908, Rev., VRDO, AMBAC, LIQ: Dexia Credit Local, 0.390%, 03/07/11 | 17,190 | ||||||
New York State Dormitory Authority, Rockefeller University, | ||||||||
| 5,400 | Series A, Rev., VRDO, 0.210%, 03/07/11 | 5,400 | ||||||
| 7,000 | Series A, Rev., VRDO, 0.220%, 03/07/11 | 7,000 | ||||||
| 3,345 | New York State Dormitory Authority, Samaritan Medical Center, Series B, Rev., VRDO, LOC: HSBC Bank USA N.A., 0.230%, 03/07/11 | 3,345 | ||||||
| 12,000 | New York State Dormitory Authority, St. Johns University, Series B-1, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/11 | 12,000 | ||||||
| 18,090 | New York State Dormitory Authority, Teresian House, Rev., VRDO, LOC: Manufacturers and Traders, 0.310%, 03/07/11 | 18,090 | ||||||
| 3,810 | New York State Environmental Facilities Corp., MERLOTS, Series B-20, Rev., VRDO, 0.260%, 03/07/11 | 3,810 | ||||||
New York State Housing Finance Agency, | ||||||||
| 2,000 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 2,000 | ||||||
| 16,100 | Series M-1, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/11 | 16,100 | ||||||
| 700 | New York State Housing Finance Agency, 10 Barclay Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 700 | ||||||
New York State Housing Finance Agency, 101 West End, | ||||||||
| 1,150 | Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 1,150 | ||||||
| 8,600 | Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 8,600 | ||||||
| 5,000 | New York State Housing Finance Agency, 125 West 31st Street Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 5,000 | ||||||
| 4,500 | New York State Housing Finance Agency, 150 East 44th Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 4,500 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued |
| |||||||
| 2,000 | New York State Housing Finance Agency, 240 East 39th Street Housing, Series A, Rev., VRDO, 0.230%, 03/07/11 | 2,000 | ||||||
| 1,400 | New York State Housing Finance Agency, 250 West 93rd Street, Series 2005-A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.250%, 03/07/11 | 1,400 | ||||||
New York State Housing Finance Agency, 345 East 94th Street Housing, | ||||||||
| 13,100 | Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.250%, 03/07/11 | 13,100 | ||||||
| 9,400 | Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 9,400 | ||||||
| 5,600 | New York State Housing Finance Agency, 350 West 43rd Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 5,600 | ||||||
New York State Housing Finance Agency, 360 West 43rd Street, | ||||||||
| 11,050 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 11,050 | ||||||
| 400 | New York State Housing Finance Agency, 455 West 37th Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 400 | ||||||
| 2,700 | New York State Housing Finance Agency, 70 Battery Place Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 2,700 | ||||||
| 36,900 | New York State Housing Finance Agency, 8 East 102nd Street Housing, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/11 | 36,900 | ||||||
| 12,000 | New York State Housing Finance Agency, Avalon Bowery Place ll, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.310%, 03/07/11 | 12,000 | ||||||
| 3,450 | New York State Housing Finance Agency, Chelsea Arms Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 3,450 | ||||||
| 4,085 | New York State Housing Finance Agency, Clarkston Housing, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.190%, 03/07/11 | 4,085 | ||||||
| 1,150 | New York State Housing Finance Agency, Helena Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 1,150 | ||||||
| 10,000 | New York State Housing Finance Agency, Historic Front Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.240%, 03/07/11 | 10,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
New York — Continued |
| |||||||
| 5,800 | New York State Housing Finance Agency, Kew Gardens Hills Housing, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 5,800 | ||||||
| 6,800 | New York State Housing Finance Agency, McCarthy Manor Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 6,800 | ||||||
| 3,900 | New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage Program, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.230%, 03/07/11 | 3,900 | ||||||
| 6,890 | New York State Housing Finance Agency, Normandie Court I Project, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.240%, 03/07/11 | 6,890 | ||||||
| 6,230 | New York State Housing Finance Agency, Ocean Park Apartments Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 6,230 | ||||||
| 4,900 | New York State Housing Finance Agency, Parkledge Apartments Housing, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.270%, 03/07/11 | 4,900 | ||||||
| 3,820 | New York State Housing Finance Agency, Talleyrand Crescent, Rev., VRDO, FNMA, LOC: FNMA, 0.260%, 03/07/11 | 3,820 | ||||||
New York State Housing Finance Agency, Theater Row, | ||||||||
| 13,500 | Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.250%, 03/07/11 | 13,500 | ||||||
| 3,400 | New York State Housing Finance Agency, Tribeca, Series A, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 3,400 | ||||||
| 22,210 | New York State Housing Finance Agency, Tribeca Green Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.250%, 03/07/11 | 22,210 | ||||||
| 17,750 | New York State Housing Finance Agency, Union Square South Housing, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 17,750 | ||||||
| 5,000 | New York State Housing Finance Agency, Victory Housing, Series 2001-A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.250%, 03/07/11 | 5,000 | ||||||
| 6,700 | New York State Housing Finance Agency, Warren Knolls Apartments Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 6,700 | ||||||
| 5,700 | New York State Housing Finance Agency, West Haverstraw Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 5,700 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued |
| |||||||
New York State Housing Finance Agency, Worth Street, | ||||||||
| 5,700 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 5,700 | ||||||
| 5,455 | New York State Urban Development Corp., State Facilities, Series A3B, Rev., VRDO, 0.280%, 03/07/11 | 5,455 | ||||||
| 20,000 | Nuveen Insured, VAR, 0.430%, 03/07/11 | 20,000 | ||||||
| 20,000 | Nuveen Insured, VAR, 0.510%, 03/07/11 | 20,000 | ||||||
| 17,700 | Nuveen Quality Income Municipal Fund, Inc., 0.510%, 03/07/11 | 17,700 | ||||||
| 2,500 | Oneida County Industrial Development Agency, Rev., VRDO, LOC: NBT Bank N.A., 0.260%, 03/07/11 | 2,500 | ||||||
| 1,040 | Oneida County Industrial Development Agency, Industrial Development, Oriskany, Rev., VRDO, LOC: NBT Bank N.A., 0.260%, 03/07/11 | 1,040 | ||||||
| 3,550 | Onondaga County Industrial Development Agency, Albany Molecular Research Project, Rev., VRDO, LOC: Fleet National Bank, 0.520%, 03/07/11 | 3,550 | ||||||
| 9,665 | Port Authority of New York & New Jersey, Series ROCS-RR-II-R-11770, Rev., VRDO, LIQ: Citibank N.A., 0.320%, 03/07/11 (e) | 9,665 | ||||||
| 10,630 | Puttable Floating Option Tax-Exempt Receipts, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.450%, 03/07/11 (e) | 10,630 | ||||||
| 3,075 | Rockland County Industrial Development Agency, Jawonio Inc. Project, Rev., VRDO, LOC: TD Banknorth N.A., 0.180%, 03/07/11 | 3,075 | ||||||
| 5,000 | Seneca County Industrial Development Agency, Seneca Meadows, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 5,000 | ||||||
Triborough Bridge & Tunnel Authority, | ||||||||
| 8,915 | Series A, Rev., VRDO, 0.260%, 03/07/11 | 8,915 | ||||||
| 9,995 | Series ROCS-II-R-194, Rev., VRDO, LIQ: Citibank N.A., 0.270%, 03/07/11 | 9,995 | ||||||
| 7,060 | Subseries B-3, Rev., VRDO, 0.260%, 03/07/11 | 7,060 | ||||||
| 2,665 | Subseries B-4, Rev., VRDO, 0.280%, 03/07/11 | 2,665 | ||||||
| 12,045 | Subseries CD, Rev., VRDO, AGM, 0.270%, 03/07/11 | 12,045 | ||||||
| 9,590 | Trust for Cultural Resources, Alvin Ailey Dance Foundation, Rev., VRDO, LOC: Citibank N.A., 0.230%, 03/07/11 | 9,590 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 19 | ||||||
Table of Contents
JPMorgan New York Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
New York — Continued |
| |||||||
| 12,600 | Trust for Cultural Resources, Solomon R Guggenheim, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 12,600 | ||||||
| 3,300 | Trust for Cultural Resources, WNYC Radio, Inc., Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.200%, 03/07/11 | 3,300 | ||||||
| 3,885 | Westchester County Industrial Development Agency, Community Housing Innovations, Inc., Rev., VRDO, LOC: Bank of New York, 0.250%, 03/07/11 | 3,885 | ||||||
| 5,400 | Westchester County Industrial Development Agency, Northern Westchester Hospital, Rev., VRDO, LOC: Commerce Bank N.A., 0.200%, 03/07/11 | 5,400 | ||||||
Total Weekly Demand Notes | 1,297,654 | |||||||
Total Investments — 99.9% | 1,627,250 | |||||||
Other Assets in Excess of | 1,361 | |||||||
NET ASSETS — 100.0% | $ | 1,628,611 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Ohio Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Daily Demand Notes — 20.8% |
| ||||||
Ohio — 20.8% |
| |||||||
Allen County, Catholic Healthcare, | ||||||||
| 2,500 | Series A, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 2,500 | ||||||
| 2,760 | Series C, Rev., VRDO, LOC: Bank of Nova Scotia, 0.200%, 03/01/11 | 2,760 | ||||||
Ohio State Higher Educational Facility Commission, Case Western Reserve University, | ||||||||
| 2,760 | Series A, Rev., VRDO, 0.220%, 03/01/11 | 2,760 | ||||||
| 3,000 | Series B-2, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/01/11 | 3,000 | ||||||
| 3,300 | Ohio State Water Development Authority, Pollution Control Facility, First Energy Generation Corp. Project, Series A, Rev., VRDO, LOC: Barclays Bank plc, 0.210%, 03/01/11 | 3,300 | ||||||
| 1,870 | Ohio State Water Development Authority, Pollution Control, First Energy Nuclear Project, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 1,870 | ||||||
Total Daily Demand Notes | 16,190 | |||||||
| Municipal Bonds — 12.9% |
| ||||||
Ohio — 12.9% |
| |||||||
| 1,000 | City of Akron, Various Purpose, Series B, GO, BAN, 1.125%, 12/08/11 (m) | 1,004 | ||||||
| 300 | City of Columbus, Series B, GO, 5.000%, 06/15/11 | 304 | ||||||
| 1,000 | City of Marysville, Wastewater Treatment Centre, GO, 1.250%, 06/01/11 | 1,001 | ||||||
| 1,500 | Ohio State Water Development Authority, Fresh Water, Series B, Rev., 5.000%, 06/01/11 | 1,518 | ||||||
| 1,300 | Ohio State Building Authority, Adult Correctional Facilities, Series A, Rev., AGM, 5.500%, 10/01/11 | 1,339 | ||||||
| 3,875 | State of Ohio, Common Schools, Series A, GO, 5.000%, 03/15/11 (p) | 3,882 | ||||||
| 1,000 | State of Ohio, Higher Education Capital Facilities, Series II-A, Rev., AMBAC, 5.000%, 08/01/11 | 1,019 | ||||||
Total Municipal Bonds | 10,067 | |||||||
| Weekly Demand Notes — 66.2% |
| ||||||
Ohio — 66.2% |
| |||||||
| 2,785 | Austin Trust, Series 2008-3310, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.360%, 03/07/11 | 2,785 | ||||||
| 500 | City of Grove City, Multi-Family Housing, Regency Arms Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.310%, 03/07/11 | 500 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Ohio — Continued |
| |||||||
| 1,980 | City of Sharonville, Edgcomb Metals Co. Project, IDR, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.350%, 03/07/11 | 1,980 | ||||||
| 600 | Columbus Regional Airport Authority, Capital Funding, OASBO Program, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.260%, 03/07/11 | 600 | ||||||
| 1,090 | Columbus Regional Airport Authority, OASBO Expanded Asset, Rev., VRDO, LOC: U.S. Bank N.A., 0.260%, 03/07/11 | 1,090 | ||||||
| 1,080 | Columbus Regional Airport Authority, Pooled Financing Program, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.260%, 03/07/11 | 1,080 | ||||||
| 1,300 | Cuyahoga County, Airport Facilities, Corporate Wings Project, Rev., VRDO, LOC: Privatebank and Trust, 0.490%, 03/07/11 | 1,300 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 1,770 | Series 289, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 1,770 | ||||||
| 120 | Series 570, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 120 | ||||||
| 3,040 | Eclipse Funding Trust, Solar Eclipse, Hamilton, Series 2006-0158, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 3,040 | ||||||
| 700 | Franklin County, Holy Cross Health System, Rev., VRDO, 0.250%, 03/07/11 | 700 | ||||||
| 5,550 | Franklin County, Multi-Family Housing, Ashton Square Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.300%, 03/07/11 | 5,550 | ||||||
| 2,075 | Hamilton County, Boys/Girls Club, Inc. Project, Rev., VRDO, LOC: PNC Bank N.A., 0.280%, 03/07/11 | 2,075 | ||||||
| 400 | Kent State University, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 400 | ||||||
| 2,400 | Lucas County Hospital, Promedica Healthcare, Series A, Rev., VRDO, LOC: UBS AG, 0.230%, 03/07/11 | 2,400 | ||||||
| 2,295 | Mahoning County, Youngstown State University Project, Rev., VRDO, LOC: National City Bank, 0.280%, 03/07/11 | 2,295 | ||||||
Montgomery County, Kettering Health, | ||||||||
| 1,100 | Series A, Rev., VRDO, AGM, 0.370%, 03/07/11 | 1,100 | ||||||
| 540 | Series B, Rev., VRDO, AGM, 0.370%, 03/07/11 | 540 | ||||||
| 2,815 | Montgomery County, Multi-Family Housing, Cambridge Commons Apartments, Series A, Rev., VRDO, LOC: FHLB, 0.280%, 03/07/11 | 2,815 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 21 | ||||||
Table of Contents
JPMorgan Ohio Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Ohio — Continued |
| |||||||
| 455 | Montgomery County, Multi-Family Housing, Pedcor Investments, Lyons Gate, Series B, Rev., VRDO, LOC: FHLB, 0.470%, 03/07/11 | 455 | ||||||
| 500 | Ohio Housing Finance Agency, MERLOTS, Series A10, Rev., VRDO, GNMA/FNMA, LIQ: Wells Fargo Bank N.A., 0.330%, 03/07/11 | 500 | ||||||
Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, | ||||||||
| 2,200 | Series B, Rev., VRDO, AMT, GNMA/FNMA, 0.260%, 03/07/11 | 2,200 | ||||||
| 300 | Series B, Rev., VRDO, AMT, 0.260%, 03/07/11 | 300 | ||||||
| 1,000 | Series B, Rev., VRDO, AMT, GNMA COLL, 0.260%, 03/07/11 | 1,000 | ||||||
| 2,875 | Series B, Rev., VRDO, AMT, GNMA/FNMA, 0.270%, 03/07/11 | 2,875 | ||||||
| 350 | Series C, Rev., VRDO, AMT, GNMA COLL, 0.250%, 03/07/11 | 350 | ||||||
| 100 | Series E, Rev., VRDO, AMT, 0.270%, 03/07/11 | 100 | ||||||
| 350 | Series E, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, 0.250%, 03/07/11 | 350 | ||||||
| 1,000 | Series H, Rev., VRDO, AMT, GNMA/FNMA, 0.280%, 03/07/11 | 1,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Ohio — Continued |
| |||||||
| 1,950 | The Ohio State University, Rev., VRDO, AGM, 0.470%, 03/07/11 | 1,950 | ||||||
| 4,000 | Toledo-Lucas County Port Authority, Burlington Air Express, Inc., Rev., VRDO, AGC, LOC: Royal Bank of Scotland, 0.320%, 03/07/11 | 4,000 | ||||||
| 1,870 | Wells Fargo Stage Trust, Various States, Series 56-C, Rev., VRDO, LIQ: Wells Fargo & Company, 0.260%, 03/07/11 (e) | 1,870 | ||||||
| 2,473 | Wood County, Reclamation Technologies, IDR, Rev., VRDO, LOC: National City Bank, 0.350%, 03/07/11 | 2,473 | ||||||
Total Weekly Demand Notes | 51,563 | |||||||
Total Investments — 99.9% | 77,820 | |||||||
Other Assets in Excess of | 112 | |||||||
NET ASSETS — 100.0% | $ | 77,932 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
J.P. Morgan Money Market Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
| 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. | |||||
| COLL | — Collateral | |||||
| COP | — Certificate of Participation | |||||
| CR | — Custodial Receipts | |||||
| EAGLE | — Earnings of accrual generated on local tax-exempt securities | |||||
| EDC | — Economic Development Corp. | |||||
| FGIC | — Insured by Financial Guaranty Insurance Co. | |||||
| FHLB | — Federal Home Loan Bank | |||||
| FHLMC | — Federal Home Loan Mortgage Corp. | |||||
| FNMA | — Federal National Mortgage Association | |||||
| GNMA | — Government National Mortgage Association | |||||
| GO | — General Obligation | |||||
| IBC | — Insured Bond Certificates | |||||
| IDA | — Industrial Development Authority | |||||
| IDR | — Industrial Development Revenue | |||||
| LIQ | — Liquidity Agreement | |||||
| LOC | — Letter of Credit | |||||
| MBIA | — Insured by Municipal Bond Insurance Corp. | |||||
| MERLOTS | — Municipal Exempt Receipts Liquidity Optional Tender | |||||
| NATL | — Insured by National Public Finance Guarantee Corp. | |||||
| OASBO | — Ohio Association of School Business Officials | |||||
| Q-SBLF | — Qualified School Bond Loan Fund | |||||
| RAN | — Revenue Anticipation Note | |||||
† Filed for bankruptcy on 11/8/2010.
| RE | — Reinsured | |||||
| Rev. | — Revenue | |||||
| ROCS | — Reset Option Certificates | |||||
| TAN | — Tax Anticipation Note | |||||
| TRAN | — Tax & Revenue Anticipation Note | |||||
| VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2011. | |||||
| VRDO | — Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of February 28, 2011. | |||||
| (e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult sell. | |||||
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. | |||||
| (n) | — The rate shown is the effective yield at the date of purchase. | |||||
| (p) | — Security is prerefunded or escrowed to maturity. | |||||
| (t) | — The date shown represents the earliest of the next demand date or final maturity date. | |||||
| * | — The cost of securities is substantially the same for federal income tax purposes. | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 23 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011
(Amounts in thousands, except per share amounts)
| California Municipal Money Market Fund | Michigan Municipal Money Market Fund | New York Municipal Money Market Fund | Ohio Municipal Money Market Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 1,360,321 | $ | 176,527 | $ | 1,627,250 | $ | 77,820 | ||||||||
Cash | 23 | 35 | 43 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 9,000 | 1,447 | — | — | ||||||||||||
Interest | 1,184 | 175 | 1,894 | 184 | ||||||||||||
Total Assets | 1,370,528 | 178,184 | 1,629,187 | 78,004 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 6 | — | (a) | 4 | 1 | |||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 83 | 11 | 103 | 3 | ||||||||||||
Administration fees | 72 | 9 | 90 | 4 | ||||||||||||
Shareholder servicing fees | 145 | 16 | 216 | — | (a) | |||||||||||
Custodian and accounting fees | 27 | 11 | 36 | 14 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | 36 | — | (a) | |||||||||||
Transfer agent fees | 10 | 4 | 22 | 5 | ||||||||||||
Audit fees | 36 | 38 | 37 | 38 | ||||||||||||
Printing & Postage fees | 24 | 4 | 30 | 1 | ||||||||||||
Other | 1 | 2 | 2 | 6 | ||||||||||||
Total Liabilities | 405 | 96 | 576 | 72 | ||||||||||||
Net Assets | $ | 1,370,123 | $ | 178,088 | $ | 1,628,611 | $ | 77,932 | ||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 1,370,146 | $ | 178,092 | $ | 1,628,694 | $ | 77,937 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (24 | ) | (4 | ) | (83 | ) | (4 | ) | ||||||||
Accumulated net realized gains (losses) | 1 | — | — | (1 | ) | |||||||||||
Total Net Assets | $ | 1,370,123 | $ | 178,088 | $ | 1,628,611 | $ | 77,932 | ||||||||
Net Assets: | ||||||||||||||||
E*Trade | $ | 847,499 | $ | — | $ | 310,036 | $ | — | ||||||||
Morgan | 399,696 | 9,341 | 830,150 | 22,172 | ||||||||||||
Premier | — | 29,209 | — | 5,039 | ||||||||||||
Reserve | — | 139,538 | 395,301 | 30,018 | ||||||||||||
Service | 122,928 | — | 93,124 | 20,703 | ||||||||||||
Total | $ | 1,370,123 | $ | 178,088 | $ | 1,628,611 | $ | 77,932 | ||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
E*Trade | 847,320 | — | 310,105 | — | ||||||||||||
Morgan | 399,750 | 9,328 | 829,837 | 22,161 | ||||||||||||
Premier | — | 29,179 | — | 5,038 | ||||||||||||
Reserve | — | 139,600 | 395,524 | 30,008 | ||||||||||||
Service | 122,973 | — | 93,205 | 20,696 | ||||||||||||
Net asset value offering and redemption price per share | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||
Cost of investments in non-affiliates | $ | 1,360,321 | $ | 176,527 | $ | 1,627,250 | $ | 77,820 | ||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011
(Amounts in thousands)
| California Municipal Money Market Fund | Michigan Municipal Money Market Fund | New York Municipal Money Market Fund | Ohio Municipal Money Market Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 3,815 | $ | 688 | $ | 5,477 | $ | 242 | ||||||||
Other income | 3 | 6 | 81 | 3 | ||||||||||||
Total investment income | 3,818 | 694 | 5,558 | 245 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 998 | 159 | 1,273 | 54 | ||||||||||||
Administration fees | 840 | 134 | 1,071 | 45 | ||||||||||||
Distribution fees: | ||||||||||||||||
E*Trade | 4,389 | — | 1,806 | — | ||||||||||||
Morgan | 382 | 11 | 806 | 23 | ||||||||||||
Reserve | — | 390 | 963 | 59 | ||||||||||||
Service | 801 | — | 596 | 101 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
E*Trade | 2,194 | — | 903 | — | ||||||||||||
Morgan | 1,338 | 37 | 2,820 | 81 | ||||||||||||
Premier | — | 98 | — | 11 | ||||||||||||
Reserve | — | 468 | 1,155 | 71 | ||||||||||||
Service | 400 | — | 298 | 51 | ||||||||||||
Custodian and accounting fees | 62 | 29 | 67 | 31 | ||||||||||||
Interest expense to affiliates | — | (a) | — | — | (a) | — | (a) | |||||||||
Professional fees | 64 | 58 | 66 | 55 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 2 | 59 | 1 | ||||||||||||
Printing and mailing costs | 63 | 16 | 49 | 6 | ||||||||||||
Registration and filing fees | 38 | 20 | 43 | 21 | ||||||||||||
Transfer agent fees | 34 | 8 | 102 | 10 | ||||||||||||
Other | 14 | 7 | 16 | 10 | ||||||||||||
Total expenses | 11,632 | 1,437 | 12,093 | 630 | ||||||||||||
Less amounts waived | (7,890 | ) | (749 | ) | (6,646 | ) | (388 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Net expenses | 3,742 | 688 | 5,447 | 242 | ||||||||||||
Net investment income (loss) | 76 | 6 | 111 | 3 | ||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 114 | — | 71 | — | ||||||||||||
Change in net assets resulting from operations | $ | 190 | $ | 6 | $ | 182 | $ | 3 | ||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 25 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| California Municipal Money Market Fund | Michigan Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 76 | $ | 181 | $ | 6 | $ | 73 | ||||||||
Net realized gain (loss) | 114 | 257 | — | 24 | ||||||||||||
Change in net assets resulting from operations | 190 | 438 | 6 | 97 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
E*Trade | ||||||||||||||||
From net investment income | (375 | ) | (69 | ) | — | — | ||||||||||
From net realized gains | (152 | ) | — | — | — | |||||||||||
Morgan | ||||||||||||||||
From net investment income | (156 | ) | (112 | ) | (4 | ) | (10 | ) | ||||||||
From net realized gains | (77 | ) | — | (1 | ) | — | ||||||||||
Premier | ||||||||||||||||
From net investment income | — | — | (12 | ) | (59 | ) | ||||||||||
From net realized gains | — | — | (5 | ) | — | |||||||||||
Reserve | ||||||||||||||||
From net investment income | — | — | (53 | ) | (4 | ) | ||||||||||
From net realized gains | — | — | (24 | ) | — | |||||||||||
Service | ||||||||||||||||
From net investment income | (55 | ) | — | — | — | |||||||||||
From net realized gains | (27 | ) | — | — | — | |||||||||||
Total distributions to shareholders | (842 | ) | (181 | ) | (99 | ) | (73 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 75,320 | 270,527 | (95,346 | ) | 165,938 | |||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 74,668 | 270,784 | (95,439 | ) | 165,962 | |||||||||||
Beginning of period | 1,295,455 | 1,024,671 | 273,527 | 107,565 | ||||||||||||
End of period | $ | 1,370,123 | $ | 1,295,455 | $ | 178,088 | $ | 273,527 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (24 | ) | $ | 486 | $ | (4 | ) | $ | 85 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| New York Municipal Money Market Fund | Ohio Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 111 | $ | 782 | $ | 3 | $ | 44 | ||||||||
Net realized gain (loss) | 71 | 47 | — | 1 | ||||||||||||
Change in net assets resulting from operations | 182 | 829 | 3 | 45 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
E*Trade | ||||||||||||||||
From net investment income | (309 | ) | (28 | ) | — | — | ||||||||||
From net realized gains | (15 | ) | — | — | — | |||||||||||
Morgan | ||||||||||||||||
From net investment income | (761 | ) | (652 | ) | (16 | ) | (28 | ) | ||||||||
From net realized gains | (41 | ) | — | (1 | ) | (28 | ) | |||||||||
Premier | ||||||||||||||||
From net investment income | — | — | (3 | ) | (2 | ) | ||||||||||
From net realized gains | — | — | — | (a) | (5 | ) | ||||||||||
Reserve | ||||||||||||||||
From net investment income | (363 | ) | (102 | ) | (18 | ) | (14 | ) | ||||||||
From net realized gains | (20 | ) | — | (1 | ) | (32 | ) | |||||||||
Service | ||||||||||||||||
From net investment income | (92 | ) | — | (12 | ) | — | ||||||||||
From net realized gains | (5 | ) | — | (1 | ) | (21 | ) | |||||||||
Total distributions to shareholders | (1,606 | ) | (782 | ) | (52 | ) | (130 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 123,462 | (535,926 | ) | 7,633 | (33,154 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 122,038 | (535,879 | ) | 7,584 | (33,239 | ) | ||||||||||
Beginning of period | 1,506,573 | 2,042,452 | 70,348 | 103,587 | ||||||||||||
End of period | $ | 1,628,611 | $ | 1,506,573 | $ | 77,932 | $ | 70,348 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (83 | ) | $ | 1,396 | $ | (4 | ) | $ | 54 | ||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| California Municipal Money Market Fund | Michigan Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
E*Trade | ||||||||||||||||
Proceeds from shares issued | $ | 440,432 | $ | 429,721 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 527 | 69 | — | — | ||||||||||||
Cost of shares redeemed | (295,675 | ) | (345,570 | ) | — | — | ||||||||||
Change in net assets from E*Trade capital transactions | $ | 145,284 | $ | 84,220 | $ | — | $ | — | ||||||||
Morgan | ||||||||||||||||
Proceeds from shares issued | $ | 1,956,248 | $ | 2,343,733 | $ | 38,471 | $ | 37,515 | ||||||||
Dividends and distributions reinvested | 175 | 85 | 5 | 8 | ||||||||||||
Cost of shares redeemed | (1,988,906 | ) | (2,317,965 | ) | (43,699 | ) | (49,466 | ) | ||||||||
Change in net assets from Morgan capital transactions | $ | (32,483 | ) | $ | 25,853 | $ | (5,223 | ) | $ | (11,943 | ) | |||||
Premier | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 30,455 | $ | 38,298 | ||||||||
Dividends and distributions reinvested | — | — | 16 | 53 | ||||||||||||
Cost of shares redeemed | — | — | (39,411 | ) | (58,208 | ) | ||||||||||
Change in net assets from Premier capital transactions | $ | — | $ | — | $ | (8,940 | ) | $ | (19,857 | ) | ||||||
Reserve | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 144,360 | $ | 356,735 | ||||||||
Dividends and distributions reinvested | — | — | 77 | 4 | ||||||||||||
Cost of shares redeemed | — | — | (225,620 | ) | (159,001 | ) | ||||||||||
Change in net assets from Reserve capital transactions | $ | — | $ | — | $ | (81,183 | ) | $ | 197,738 | |||||||
Service (a) | ||||||||||||||||
Proceeds from shares issued | $ | 107,370 | $ | 689,597 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 82 | — | — | — | ||||||||||||
Cost of shares redeemed | (144,933 | ) | (529,143 | ) | — | — | ||||||||||
Change in net assets from Service capital transactions | $ | (37,481 | ) | $ | 160,454 | $ | — | $ | — | |||||||
Total change in net assets from capital transactions | $ | 75,320 | $ | 270,527 | $ | (95,346 | ) | $ | 165,938 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| California Municipal Money Market Fund | Michigan Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
E*Trade | ||||||||||||||||
Issued | 440,432 | 429,721 | — | — | ||||||||||||
Reinvested | 527 | 69 | — | — | ||||||||||||
Redeemed | (295,675 | ) | (345,570 | ) | — | — | ||||||||||
Change in E*Trade Shares | 145,284 | 84,220 | — | — | ||||||||||||
Morgan | ||||||||||||||||
Issued | 1,956,248 | 2,343,733 | 38,470 | 37,515 | ||||||||||||
Reinvested | 175 | 85 | 5 | 8 | ||||||||||||
Redeemed | (1,988,906 | ) | (2,317,965 | ) | (43,696 | ) | (49,466 | ) | ||||||||
Change in Morgan Shares | (32,483 | ) | 25,853 | (5,221 | ) | (11,943 | ) | |||||||||
Premier | ||||||||||||||||
Issued | — | — | 30,455 | 38,298 | ||||||||||||
Reinvested | — | — | 16 | 53 | ||||||||||||
Redeemed | — | — | (39,404 | ) | (58,208 | ) | ||||||||||
Change in Premier Shares | — | — | (8,933 | ) | (19,857 | ) | ||||||||||
Reserve | ||||||||||||||||
Issued | — | — | 144,352 | 356,735 | ||||||||||||
Reinvested | — | — | 77 | 4 | ||||||||||||
Redeemed | — | — | (225,621 | ) | (159,001 | ) | ||||||||||
Change in Reserve Shares | — | — | (81,192 | ) | 197,738 | |||||||||||
Service (a) | ||||||||||||||||
Issued | 107,370 | 689,597 | — | — | ||||||||||||
Reinvested | 82 | — | — | — | ||||||||||||
Redeemed | (144,933 | ) | (529,143 | ) | — | — | ||||||||||
Change in Service Shares | (37,481 | ) | 160,454 | — | — | |||||||||||
| (a) | Commencement of offering of class of shares effective July 1, 2009 for California Municipal Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| New York Municipal Money Market Fund | Ohio Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
E*Trade | ||||||||||||||||
Proceeds from shares issued | $ | 160,884 | $ | 188,417 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 324 | 28 | — | — | ||||||||||||
Cost of shares redeemed | (144,264 | ) | (146,970 | ) | — | — | ||||||||||
Change in net assets from E*Trade capital transactions | $ | 16,944 | $ | 41,475 | $ | — | $ | — | ||||||||
Morgan | ||||||||||||||||
Proceeds from shares issued | $ | 1,673,466 | $ | 1,516,863 | $ | 46,158 | $ | 38,623 | ||||||||
Dividends and distributions reinvested | 644 | 540 | 17 | 50 | ||||||||||||
Cost of shares redeemed | (1,587,286 | ) | (2,056,532 | ) | (47,505 | ) | (59,363 | ) | ||||||||
Change in net assets from Morgan capital transactions | $ | 86,824 | $ | (539,129 | ) | $ | (1,330 | ) | $ | (20,690 | ) | |||||
Premier | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 6,096 | $ | 9,762 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | 2 | |||||||||||
Cost of shares redeemed | — | — | (4,636 | ) | (6,975 | ) | ||||||||||
Change in net assets from Premier capital transactions | $ | — | $ | — | $ | 1,460 | $ | 2,789 | ||||||||
Reserve | ||||||||||||||||
Proceeds from shares issued | $ | 53,285,091 | $ | 68,261,279 | $ | 54,191 | $ | 68,164 | ||||||||
Dividends and distributions reinvested | 175 | 30 | 18 | 46 | ||||||||||||
Cost of shares redeemed | (53,254,537 | ) | (68,403,827 | ) | (48,010 | ) | (102,860 | ) | ||||||||
Change in net assets from Reserve capital transactions | $ | 30,729 | $ | (142,518 | ) | $ | 6,199 | $ | (34,650 | ) | ||||||
Service (a) | ||||||||||||||||
Proceeds from shares issued | $ | 80,003 | $ | 882,841 | $ | 29,839 | $ | 101,500 | ||||||||
Dividends and distributions reinvested | 97 | — | 13 | 21 | ||||||||||||
Cost of shares redeemed | (91,135 | ) | (778,595 | ) | (28,548 | ) | (82,124 | ) | ||||||||
Change in net assets from Service capital transactions | $ | (11,035 | ) | $ | 104,246 | $ | 1,304 | $ | 19,397 | |||||||
Total change in net assets from capital transactions | $ | 123,462 | $ | (535,926 | ) | $ | 7,633 | $ | (33,154 | ) | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| New York Municipal Money Market Fund | Ohio Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
E*Trade | ||||||||||||||||
Issued | 160,874 | 188,398 | — | — | ||||||||||||
Reinvested | 324 | 28 | — | — | ||||||||||||
Redeemed | (144,264 | ) | (146,970 | ) | — | — | ||||||||||
Change in E*Trade Shares | 16,934 | 41,456 | — | — | ||||||||||||
Morgan | ||||||||||||||||
Issued | 1,673,467 | 1,516,864 | 46,158 | 38,604 | ||||||||||||
Reinvested | 644 | 540 | 17 | 50 | ||||||||||||
Redeemed | (1,587,262 | ) | (2,056,486 | ) | (47,501 | ) | (59,353 | ) | ||||||||
Change in Morgan Shares | 86,849 | (539,082 | ) | (1,326 | ) | (20,699 | ) | |||||||||
Premier | ||||||||||||||||
Issued | — | — | 6,083 | 9,759 | ||||||||||||
Reinvested | — | — | — | (b) | 2 | |||||||||||
Redeemed | — | — | (4,637 | ) | (6,974 | ) | ||||||||||
Change in Premier Shares | — | — | 1,446 | 2,787 | ||||||||||||
Reserve | ||||||||||||||||
Issued | 53,285,079 | 68,261,255 | 54,191 | 68,149 | ||||||||||||
Reinvested | 175 | 30 | 18 | 46 | ||||||||||||
Redeemed | (53,254,537 | ) | (68,403,827 | ) | (47,996 | ) | (102,835 | ) | ||||||||
Change in Reserve Shares | 30,717 | (142,542 | ) | 6,213 | (34,640 | ) | ||||||||||
Service (a) | ||||||||||||||||
Issued | 80,000 | 882,838 | 29,835 | 101,495 | ||||||||||||
Reinvested | 98 | — | 13 | 21 | ||||||||||||
Redeemed | (91,135 | ) | (778,596 | ) | (28,548 | ) | (82,120 | ) | ||||||||
Change in Service Shares | (11,037 | ) | 104,242 | 1,300 | 19,396 | |||||||||||
| (a) | Commencement of offering of class of shares effective July 1, 2009. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 31 | ||||||
Table of Contents
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 | |||||||||||||||||||
California Municipal Money Market Fund | ||||||||||||||||||||||||
E*Trade | ||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | |||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Morgan | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Service | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
July 1, 2009 (f) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Includes insurance expense of 0.02%. |
| (f) | Commencement of offering of class of shares. |
| (g) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Total distributions | 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 | ||||||||||||||||||||
| $ | — | (d) | $ | 1.00 | 0.07 | % | $ | 847,499 | 0.30 | % | 0.01 | % | 1.07 | % | ||||||||||||
| — | (d) | 1.00 | 0.01 | 702,599 | 0.43 | (e) | 0.01 | 1.09 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 0.89 | 618,240 | 0.96 | (e) | 0.92 | 1.09 | ||||||||||||||||||
| (0.02 | ) | 1.00 | 2.50 | 812,635 | 1.00 | 2.49 | 1.09 | |||||||||||||||||||
| (0.03 | ) | 1.00 | 2.53 | 948,839 | 1.00 | 2.53 | 1.09 | |||||||||||||||||||
| — | (d) | 1.00 | 0.06 | 399,696 | 0.31 | 0.00 | (g) | 0.62 | ||||||||||||||||||
| — | (d) | 1.00 | 0.03 | 432,378 | 0.42 | (e) | 0.02 | 0.64 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 1.28 | 406,431 | 0.57 | (e) | 1.16 | 0.65 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.96 | 183,015 | 0.55 | 2.83 | 0.64 | |||||||||||||||||||
| (0.03 | ) | 1.00 | 2.99 | 91,046 | 0.55 | 2.96 | 0.65 | |||||||||||||||||||
| — | (d) | 1.00 | 0.06 | 122,928 | 0.31 | 0.00 | (g) | 1.07 | ||||||||||||||||||
| — | 1.00 | 0.00 | 160,478 | 0.26 | 0.00 | (g) | 1.06 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 33 | ||||||
Table of Contents
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 | |||||||||||||||||||
Michigan Municipal Money Market Fund | ||||||||||||||||||||||||
Morgan | ||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (b) | $ | — | $ | — | (b) | $ | — | (b) | $ | — | (b) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Premier | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | — | (b) | — | (b) | — | (b) | ||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Reserve (g) | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | — | (b) | — | (b) | — | (b) | ||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | ||||||||||||||||
| (a) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (b) | Amount rounds to less than $0.01. |
| (c) | Amount rounds to less than 0.01%. |
| (d) | Includes insurance expense of 0.03%. |
| (e) | Includes insurance expense of 0.01%. |
| (f) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (g) | Effective February 19, 2005, Class A was renamed Reserve. |
| (h) | Includes insurance expense of 0.02%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net asset | ||||||||||||||||||||||||||
| Total distributions | Net asset value, end of period | Total return | Net assets, end of period (000’s) | Net expenses (a) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | ||||||||||||||||||||
| $ | — | (b) | $ | 1.00 | 0.05 | % | $ | 9,341 | 0.35 | % | 0.00 | %(c) | 0.67 | % | ||||||||||||
| — | (b) | 1.00 | 0.04 | 14,569 | 0.51 | (d) | 0.05 | 0.73 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 1.44 | 26,507 | 0.60 | (e) | 1.48 | 0.71 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 3.00 | (f) | 37,673 | 0.59 | 3.00 | 0.71 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 3.02 | 60,944 | 0.59 | 3.00 | 0.67 | |||||||||||||||||||
| — | (b) | 1.00 | 0.05 | 29,209 | 0.35 | 0.00 | (c) | 0.52 | ||||||||||||||||||
| — | (b) | 1.00 | 0.10 | 38,165 | 0.42 | (d) | 0.11 | 0.57 | ||||||||||||||||||
| (0.02 | ) | 1.00 | 1.58 | 58,008 | 0.47 | (h) | 1.61 | 0.56 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 3.14 | (f) | 71,758 | 0.45 | 3.17 | 0.55 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 3.17 | 177,698 | 0.45 | 3.13 | 0.52 | |||||||||||||||||||
| — | (b) | 1.00 | 0.05 | 139,538 | 0.35 | 0.00 | (c) | 0.77 | ||||||||||||||||||
| — | (b) | 1.00 | 0.02 | 220,793 | 0.32 | (e) | 0.00 | (c) | 0.76 | |||||||||||||||||
| (0.01 | ) | 1.00 | 1.33 | 23,050 | 0.72 | (h) | 1.26 | 0.81 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.88 | (f) | 22,874 | 0.70 | 2.84 | 0.81 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.91 | 28,903 | 0.70 | 2.89 | 0.78 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 35 | ||||||
Table of Contents
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 | |||||||||||||||||||
New York Municipal Money Market Fund | ||||||||||||||||||||||||
E*Trade | ||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | |||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Morgan | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Reserve | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Service | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
July 1, 2009 (h) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Includes insurance expense of 0.02%. |
| (f) | Includes insurance expense of 0.03%. |
| (g) | Amount rounds to less than 0.01%. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Total distributions | 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 | ||||||||||||||||||||
| $ | — | (d) | $ | 1.00 | 0.11 | % | $ | 310,036 | 0.34 | % | 0.01 | % | 1.07 | % | ||||||||||||
| — | (d) | 1.00 | 0.01 | 293,356 | 0.57 | (e) | 0.01 | 1.09 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 0.86 | 251,873 | 0.98 | (e) | 0.89 | 1.08 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.50 | 320,928 | 1.00 | 2.52 | 1.08 | |||||||||||||||||||
| (0.03 | ) | 1.00 | 2.55 | 429,685 | 1.00 | 2.56 | 1.10 | |||||||||||||||||||
| — | (d) | 1.00 | 0.10 | 830,150 | 0.34 | 0.01 | 0.62 | |||||||||||||||||||
| — | (d) | 1.00 | 0.05 | 744,054 | 0.55 | (f) | 0.06 | 0.65 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 1.23 | 1,283,154 | 0.61 | (e) | 1.21 | 0.64 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.93 | 1,214,148 | 0.59 | 2.89 | 0.63 | |||||||||||||||||||
| (0.03 | ) | 1.00 | 2.97 | 1,204,017 | 0.59 | 2.93 | 0.65 | |||||||||||||||||||
| — | (d) | 1.00 | 0.10 | 395,301 | 0.34 | 0.01 | 0.72 | |||||||||||||||||||
| — | (d) | 1.00 | 0.02 | 364,918 | 0.58 | (f) | 0.02 | 0.74 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 1.12 | 507,425 | 0.72 | (e) | 1.10 | 0.74 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.81 | 410,594 | 0.70 | 2.79 | 0.73 | |||||||||||||||||||
| (0.03 | ) | 1.00 | 2.86 | 194,629 | 0.70 | 2.82 | 0.75 | |||||||||||||||||||
| — | (d) | 1.00 | 0.10 | 93,124 | 0.34 | 0.00 | (g) | 1.07 | ||||||||||||||||||
| — | 1.00 | 0.00 | 104,245 | 0.44 | 0.00 | (g) | 1.06 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 37 | ||||||
Table of Contents
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 | |||||||||||||||||||
Ohio Municipal Money Market Fund | ||||||||||||||||||||||||
Morgan | ||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | (g) | — | (d) | 0.03 | (0.03 | ) | — | (d) | ||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Premier | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | — | (d) | — | (d) | — | (d) | ||||||||||||||
Year Ended February 28, 2010 | 1.00 | (0.01 | ) | 0.01 | — | (d) | — | (d) | — | (d) | ||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | (g) | — | (d) | 0.03 | (0.03 | ) | — | (d) | ||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Reserve | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | — | (d) | — | (d) | — | (d) | ||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | ||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | (g) | — | (d) | 0.03 | (0.03 | ) | — | (d) | ||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | ||||||||||||||||
Service | ||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | — | (d) | — | (d) | — | (d) | ||||||||||||||
July 1, 2009 (j) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Includes insurance expense of 0.03%. |
| (f) | Includes insurance expense of 0.02%. |
| (g) | Calculated based upon average shares outstanding. |
| (h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (i) | Includes insurance expense of 0.01%. |
| (j) | Commencement of offering of class of shares. |
| (k) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
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| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Total distributions | 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 | ||||||||||||||||||||
| $ | — | (d) | $ | 1.00 | 0.08 | % | $ | 22,172 | 0.36 | % | 0.01 | % | 0.79 | % | ||||||||||||
| — | (d) | 1.00 | 0.19 | 23,532 | 0.55 | (e) | 0.09 | 0.77 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 1.39 | 44,250 | 0.61 | (f) | 1.35 | 0.71 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.98 | (h) | 25,619 | 0.59 | 2.94 | 0.74 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.99 | 33,418 | 0.59 | 2.95 | 0.70 | |||||||||||||||||||
| — | (d) | 1.00 | 0.08 | 5,039 | 0.36 | 0.01 | 0.64 | |||||||||||||||||||
| — | (d) | 1.00 | 0.27 | 3,589 | 0.40 | (i) | 0.08 | 0.62 | ||||||||||||||||||
| (0.02 | ) | 1.00 | 1.53 | 805 | 0.47 | (f) | 1.30 | 0.56 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 3.12 | (h) | 626 | 0.45 | 3.28 | 0.57 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 3.14 | 32,989 | 0.45 | 3.09 | 0.55 | |||||||||||||||||||
| — | (d) | 1.00 | 0.08 | 30,018 | 0.36 | 0.01 | 0.89 | |||||||||||||||||||
| — | (d) | 1.00 | 0.14 | 23,851 | 0.61 | (e) | 0.03 | 0.87 | ||||||||||||||||||
| (0.01 | ) | 1.00 | 1.28 | 58,532 | 0.72 | (f) | 1.27 | 0.81 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.86 | (h) | 54,774 | 0.70 | 2.82 | 0.85 | ||||||||||||||||||
| (0.03 | ) | 1.00 | 2.88 | 69,853 | 0.70 | 2.84 | 0.80 | |||||||||||||||||||
| — | (d) | 1.00 | 0.08 | 20,703 | 0.36 | 0.00 | (k) | 1.25 | ||||||||||||||||||
| — | (d) | 1.00 | 0.11 | 19,376 | 0.34 | 0.00 | (k) | 1.22 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 39 | ||||||
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AS OF FEBRUARY 28, 2011
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 4 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| California Municipal Money Market Fund | E*Trade, Morgan and Service | JPM I | Diversified | |||
| Michigan Municipal Money Market Fund | Morgan, Premier and Reserve | JPM II | Non-Diversified | |||
| New York Municipal Money Market Fund | E*Trade, Morgan, Reserve and Service | JPM I | Diversified | |||
| Ohio Municipal Money Market Fund | Morgan, Premier, Reserve and Service | JPM II | Non-Diversified |
All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America.
The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Each Fund has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act provided that certain conditions are met, including that the Fund’s Board of Trustees continues to believe that the amortized cost valuation method fairly reflects the market based net asset value per share of the Fund. This involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discounts 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 be expected to vary inversely with changes in prevailing interest rates.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | 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 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, 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 is a summary of the inputs used as of February 28, 2011, in valuing the Funds’ assets and liabilities carried at amortized cost which approximates fair value (amounts in thousands):
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
California Municipal Money Market Fund # | ||||||||||||||||
Total Investments in Securities | $ | — | $ | 1,360,321 | $ | — | $ | 1,360,321 | ||||||||
Michigan Municipal Money Market Fund # | ||||||||||||||||
Total Investments in Securities | $ | — | $ | 176,527 | $ | — | $ | 176,527 | ||||||||
New York Municipal Money Market Fund # | ||||||||||||||||
Total Investments in Securities | $ | — | $ | 1,627,250 | $ | — | $ | 1,627,250 | ||||||||
Ohio Municipal Money Market Fund # | ||||||||||||||||
Total Investments in Securities | $ | — | $ | 77,820 | $ | — | $ | 77,820 | ||||||||
| # | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the Schedule of Portfolio of Investments (“SOI”). Please refer to the SOI for specifics of the major categories of portfolio holdings. |
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For each of the Funds, there were no transfers between Levels 1 and 2 during the year ended February 28, 2011.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the value and percentage of net assets of illiquid securities as of February 28, 2011 (amounts in thousands):
| Value | Percentage | |||||||
California Municipal Money Market Fund | $ | 14,150 | 1.0 | % | ||||
Michigan Municipal Money Market Fund | 7,100 | 4.0 | ||||||
C. 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 adjusted for amortization of premiums and accretion of discounts.
D. Allocation of Income and Expenses — In calculating the net asset value per share of each class, 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. 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 respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
E. 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 of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
F. Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly. Dividends 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 dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. 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/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
California Municipal Money Market Fund | $ | 115 | $ | — | (a) | $ | (115 | ) | ||||
Michigan Municipal Money Market Fund | (4 | ) | (26 | ) | 30 | |||||||
New York Municipal Money Market Fund | 102 | (65 | ) | (37 | ) | |||||||
Ohio Municipal Money Market Fund | 10 | (12 | ) | 2 | ||||||||
The reclassifications for the Funds relate primarily to distribution reclassifications (California Municipal Money Market Fund, Michigan Municipal Money Market Fund and Ohio Municipal Money Market Fund), prior year equalization (California Municipal Money Market Fund, New York Municipal Money Market Fund and Ohio Municipal Money Market Fund) and taxable overdistribution (California Municipal Money Market Fund, New York Municipal Money Market Fund and Ohio Municipal Money Market Fund).
| (a) | Amount rounds to less than 1,000. |
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). The Advisor supervises the investments of each Fund and for such services is paid a fee. The Advisor’s fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is 0.08%.
Prior to January 1, 2010, JPMorgan Investment Advisors Inc. (“JPMIA”), which was an indirect, wholly-owned subsidiary of JPMorgan, acted as the investment advisor to the Michigan Municipal Money Market Fund and Ohio Municipal Money Market Fund. Effective January 1, 2010, the investment advisory business of JPMIA was transferred to JPMIM and JPMIM became the investment advisor for the Michigan Municipal Money Market Fund and Ohio Municipal Money Market Fund, assuming all rights and responsibilities of JPMIA with respect to the Michigan Municipal Money Market Fund and Ohio Municipal Money Market Fund under the Investment Advisory Agreement. The appointment of JPMIM did not change the portfolio management team, investment strategies, investment advisory fees charged to the Michigan Municipal Money Market Fund and Ohio Municipal Money Market Fund or the terms of the investment advisory agreement (other than the identity of the advisor).
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.10% of the first $100 billion of the average daily net assets of all money market funds in the J.P. Morgan Funds Complex and 0.05% of the average daily net assets in excess of $100 billion of all such funds. For the year ended February 28, 2011, the annual effective rate was 0.07% of each Fund’s average daily net assets.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for E*Trade, Morgan, Reserve and Service Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| E*Trade | Morgan | Reserve | Service | |||||||||||||
California Municipal Money Market Fund | 0.60 | % | 0.10 | % | n/a | 0.60 | % | |||||||||
Michigan Municipal Money Market Fund | n/a | 0.10 | 0.25 | % | n/a | |||||||||||
New York Municipal Money Market Fund | 0.60 | 0.10 | 0.25 | 0.60 | ||||||||||||
Ohio Municipal Money Market Fund | n/a | 0.10 | 0.25 | 0.60 | ||||||||||||
The Distributor waived Distribution fees as outlined in Note 3.F.
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| E*Trade | Morgan | Premier | Reserve | Service | ||||||||||||||||
California Municipal Money Market Fund | 0.30 | % | 0.35 | % | n/a | n/a | 0.30 | % | ||||||||||||
Michigan Municipal Money Market Fund | n/a | 0.35 | 0.30 | % | 0.30 | % | n/a | |||||||||||||
New York Municipal Money Market Fund | 0.30 | 0.35 | n/a | 0.30 | 0.30 | |||||||||||||||
Ohio Municipal Money Market Fund | n/a | 0.35 | 0.30 | 0.30 | 0.30 | |||||||||||||||
The Distributor 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 under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
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F. Waivers and Reimbursements — The Advisor, Administrator and Distributor 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, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| E*Trade | Morgan | Premier | Reserve | Service | ||||||||||||||||
California Municipal Money Market Fund | 1.00 | % | 0.59 | % | n/a | n/a | 1.05 | % | ||||||||||||
Michigan Municipal Money Market Fund | n/a | 0.59 | 0.45 | % | 0.70 | % | n/a | |||||||||||||
New York Municipal Money Market Fund | 1.00 | 0.59 | n/a | 0.70 | 1.05 | |||||||||||||||
Ohio Municipal Money Market Fund | n/a | 0.59 | 0.45 | 0.70 | 1.05 | |||||||||||||||
The contractual expense limitation agreements were in effect for the year ended February 28, 2011. The expense limitation percentages in the table above are in place until at least June 30, 2011. In addition, the Funds’ service providers have voluntarily waived fees during the year ended February 28, 2011. 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 28, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||
| Investment Advisory | Shareholder Servicing | Total | ||||||||||
California Municipal Money Market Fund | $ | 1 | $ | 659 | $ | 660 | ||||||
Michigan Municipal Money Market Fund | — | 147 | 147 | |||||||||
New York Municipal Money Market Fund | 7 | 583 | 590 | |||||||||
Ohio Municipal Money Market Fund | 7 | 133 | 140 | |||||||||
| Voluntary Waivers | ||||||||||||
| Shareholder Servicing | Distribution | Total | ||||||||||
California Municipal Money Market Fund | $ | 1,658 | $ | 5,572 | $ | 7,230 | ||||||
Michigan Municipal Money Market Fund | 202 | 400 | 602 | |||||||||
New York Municipal Money Market Fund | 1,891 | 4,165 | 6,056 | |||||||||
Ohio Municipal Money Market Fund | 65 | 183 | 248 | |||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Shareholder Servicing Agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the reimbursement is voluntary.
For the year ended February 28, 2011, the Funds did not invest in any money market funds.
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-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 in 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 a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended February 28, 2011, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisor.
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.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
4. Federal Income Tax Matters
The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||||||||||
| Ordinary Income | Net Long Term Capital Gains | Tax Exempt Income | Total Distributions Paid | |||||||||||||
California Municipal Money Market Fund | $ | 575 | $ | — | $ | 267 | $ | 842 | ||||||||
Michigan Municipal Money Market Fund | 30 | — | 69 | 99 | ||||||||||||
New York Municipal Money Market Fund | 798 | 3 | 805 | 1,606 | ||||||||||||
Ohio Municipal Money Market Fund | 7 | — | 45 | 52 | ||||||||||||
The tax character of distributions paid during the fiscal year ended February 28, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||||||||||
| Ordinary Income | Net Long Term Capital Gains | Tax Exempt Income | Total Distributions Paid | |||||||||||||
California Municipal Money Market Fund | $ | 89 | $ | 5 | $ | 87 | $ | 181 | ||||||||
Michigan Municipal Money Market Fund | 24 | — | 49 | 73 | ||||||||||||
New York Municipal Money Market Fund | 158 | 19 | 605 | 782 | ||||||||||||
Ohio Municipal Money Market Fund | 86 | — | 44 | 130 | ||||||||||||
At February 28, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | Current Distributable Tax-Exempt Income | ||||||||||
California Municipal Money Market Fund | $ | — | $ | — | $ | — | ||||||
Michigan Municipal Money Market Fund | — | — | — | |||||||||
New York Municipal Money Market Fund | — | — | — | |||||||||
Ohio Municipal Money Market Fund | — | (1 | ) | — | ||||||||
For the Funds, the cumulative timing differences primarily consist of Trustee deferred compensation and distributions payable (California Municipal Money Market Fund and Ohio Municipal Money Market Fund).
As of February 28, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2019 | ||||
Ohio Municipal Money Market Fund | $ | 1 | ||
5. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“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 JPMorgan Trust II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, 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 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 28, 2011, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
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6. 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, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for California Municipal Money Market Fund and New York Municipal Money Market Fund.
In addition, California Municipal Money Market Fund, Michigan Municipal Money Market Fund and Ohio Municipal Money Market Fund each have a shareholder or shareholders, which are accounts maintained by financial intermediaries on behalf of their clients, that own significant portions of the Funds’ outstanding shares.
Significant shareholder transactions, if any, may impact the Funds’ performance.
The Funds invest substantially all of their assets in a diversified 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, Michigan Municipal Money Market Fund, New York Municipal Money Market Fund and Ohio Municipal Money Market Fund primarily invest in issuers in the States of California, Michigan, New York and Ohio, respectively. An issuer’s ability to meet its obligation 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. These securities generally have features that preserve their eligibility for investment under Rule 2a-7 under the 1940 Act without relying on the ratings or solvency of such bond insurers. The value of these investments may be impacted by changes to bond insurers’ ratings and a 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.
7. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”), subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (“the SEC order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations conducted by the SEC and the NYAG into market timing of certain One Group mutual funds advised by BOIA which were series of One Group Mutual Funds, possible late trading of certain funds and related matters. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds.
Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five-year period commencing September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland for coordinated or consolidated pretrial proceedings by the orders of the Judicial Panel on Multidistrict Litigation, a federal judicial body that assists in the administration of such actions. The plaintiffs filed consolidated amended complaints, naming as defendants, among others, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. The court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 45 | ||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan California Municipal Money Market Fund, JPMorgan Michigan Municipal Money Market Fund, JPMorgan New York Municipal Money Market Fund and JPMorgan Ohio Municipal Money Market Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan California Municipal Money Market Fund, JPMorgan Michigan Municipal Money Market Fund, JPMorgan New York Municipal Money Market Fund and JPMorgan Ohio Municipal Money Market Fund (hereafter referred to as the “Funds”) at February 28, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the periods then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
April 29, 2011
| 46 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 (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 Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 148 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 148 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 148 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 148 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 148 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| 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). | 148 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 148 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| 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). | 148 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 148 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 47 | ||||||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||||
Independent Trustees (continued) |
| |||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 148 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 148 | None. | |||||
Interested Trustees | ||||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 148 | Trustee, The Victory Portfolios (2000-2008). | |||||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 148 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (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 advisor or have an investment advisor that is an affiliated person of the investment advisor 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 (148 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 48 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
| Michael J. Tansley (1964), Controller (2008) | Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
| Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 49 | ||||||
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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 redemption fees and (2) ongoing costs, including investment advisory, 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 costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at September 1, 2010, and continued to hold your shares at the end of the reporting period, February 28, 2011.
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 entitled “Expenses Paid During” 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, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
California Municipal Money Market Fund | ||||||||||||||||
E*Trade | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.40 | $ | 1.54 | 0.31 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.30 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Michigan Municipal Money Market Fund | ||||||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 1.79 | 0.36 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.01 | 1.81 | 0.36 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 1.74 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 1.79 | 0.36 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.01 | 1.81 | 0.36 | ||||||||||||
| 50 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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| Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
New York Municipal Money Market Fund | ||||||||||||||||
E*Trade | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.60 | $ | 1.64 | 0.33 | |||||||||
Hypothetical | 1,000.00 | 1,023.16 | 1.66 | 0.33 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.69 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.64 | 0.33 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.16 | 1.66 | 0.33 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.69 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
Ohio Municipal Money Market Fund | ||||||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.69 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.69 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.69 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.69 | 0.34 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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(Unaudited)
Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2011. 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, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Tax-Exempt Income
The following represents the percentage of distributions paid from net investment income that are exempt from federal income tax for the fiscal year ended February 28, 2011:
| Exempt Distributions Paid | ||||
California Municipal Money Market Fund | 100.00 | % | ||
Michigan Municipal Money Market Fund | 100.00 | |||
New York Municipal Money Market Fund | 100.00 | |||
Ohio Municipal Money Market Fund | 100.00 | |||
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 28, 2011 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
New York Municipal Money Market Fund | $ | 3 | ||
| 52 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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| 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 are no 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? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| 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. | |
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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. at 1-800-480-4111 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 at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or 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 prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 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 Advisor. A copy of the Funds’ voting record for the most recent 12-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.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
 | © JPMorgan Chase & Co., 2011 All rights reserved. February 2011. | AN-MMKTST-211 |
Table of Contents
Annual Report
J.P. Morgan Money Market Funds
February 28, 2011
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
Table of Contents
| CEO’s Letter | 1 | |||
Fund Facts: | ||||
| 2 | ||||
| 3 | ||||
| 4 | ||||
| 5 | ||||
| 6 | ||||
| 7 | ||||
| 8 | ||||
| 9 | ||||
| Schedules of Portfolio Investments | 10 | |||
| Financial Statements | 68 | |||
| Financial Highlights | 92 | |||
| Notes to Financial Statements | 116 | |||
| Report of Independent Registered Public Accounting Firm | 126 | |||
| Trustees | 127 | |||
| Officers | 129 | |||
| Schedule of Shareholder Expenses | 130 | |||
| Tax Letter | 135 | |||
Privacy Notice — Located at the back of this Annual Report | ||||
Investments in a Fund are not bank 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. Although a Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a Fund.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. 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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (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.
Table of Contents
MARCH 21, 2011 (Unaudited)
Dear Shareholder:
For many investors, the old adage “What’s old is new again,” may be the best way to describe the current economic recovery. While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.
In the U.S., economic momentum and growth appear to be accelerating, helped by pent-up consumer demand, improved balance sheets, and an extension of the Bush-era tax cuts. Additionally, this recovery has seen a sharp rebound in corporate profits. Investors responded enthusiastically to these developments, sending stock markets on an impressive rally, and leading to double-digit gains in 2010.
 |
“While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.” |
On the other hand, heightened tensions in the Middle East and renewed concerns about European debt resulted in an increase in market volatility, while the devastating earthquake and tsunami in Japan and the uncertain aftermath is likely to have lingering macroeconomic and market implications.
While positive tailwinds may continue to fuel economic growth, we remain concerned about the scope and potential impact of political unrest and other crises on global markets and economies.
U.S. Treasuries experience broad gains
Investors have continued to focus their investments on fixed income securities, particularly mortgage, investment grade corporate and high yield areas of the market. However, the heightened publicity surrounding the fiscal woes of state and local governments, and the expiration of the Build America Bond Program led many investors away from municipal bonds, which contributed to an increase in market volatility.
The Barclays Capital High Yield Index returned 17.5%, while the Barclays Capital U.S. Aggregate Bond Index returned 4.9%, and the Barclays Capital Emerging Markets Index returned 11.3% for the 12-month period ended February 28, 2011. The Barclays Capital Municipal Index returned 1.7% for the same period.
A late year U.S. stock market rally did little to reverse broad gains experienced by U.S. Treasuries in 2010. Stock market volatility, rising oil prices, and concerns about unrest in the
Middle East generally led to higher prices and lower yields for U.S. Treasuries and other safe haven investments. As of the end of the 12-month period ended February 28, 2011, the yield on the 10-year U.S. Treasury bond declined from 3.6% to 3.4%. Yields on the 30-year U.S. Treasury bond dropped slightly, from 4.6% to 4.5%, while yields on the 2-year U.S. Treasury bond dipped from 0.8% to 0.7% as of the end of the annual reporting period.
Improved economic outlook fuels equity rally
Stocks were supported by improved economic expectations and job growth, as well as the combination of the Federal Reserve’s launch of quantitative easing (QE2) and Congress’ extension of the Bush-era tax cuts. As of the 12-month reporting period ended February 28, 2011, the S&P 500 Index had reached a level of 1,327, an increase of 22.6% from 12 months prior.
Recently, however, risky assets have become more volatile as investors grew concerned about how the disaster in Japan, rising oil prices, and Middle East turmoil will impact the global recovery.
Rely on diversification to prepare for geopolitical risks
While the global economic recovery has demonstrated resiliency, the world is witnessing ongoing turmoil in the Middle East and uncertainty surrounding the fallout from the tragedy in Japan. Additionally, we continue to experience concerns about European sovereign debt.
This environment reminds us of the importance of preparing portfolios for shocks that could not only potentially derail the economic recovery, but also our investment goals. As “uncertainty” is often the only certainty, it makes sense for investors to prepare by maintaining a diversified approach to investing within the context of a balanced portfolio.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors).
Sincerely yours,
George C.W. Gatch
CEO-Investment Management Americas
J.P. Morgan Asset Management
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 1 | ||||||
Table of Contents
JPMorgan Prime Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| Objective | Aims to provide the highest possible level of current income while still maintaining liquidity and preserving capital | |
| Primary Investments | High quality, short-term, U.S. dollar-denominated money market instruments | |
| Suggested investment time frame | Short-term | |
| Share classes offered | Class B, Class C, Agency, Capital, Cash Management, Direct, Eagle Class, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares | |
| Net Assets as of 2/28/2011 | $133.6 Billion | |
| Weighted Average Maturity^ | 47 days | |
| Weighted Average Life^^. | 81 days | |
| S&P rating* (a) | AAAm | |
| Moody’s rating* (b) | Aaa |
The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.
| (a) | Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value. |
| (b) | Rating incorporate Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund. |
MATURITY SCHEDULE**^ | ||||
| 1 day | 28.7 | % | ||
| 2–7 days | 10.7 | |||
| 8–30 days | 16.2 | |||
| 31–60 days | 11.2 | |||
| 61–90 days | 16.4 | |||
| 91–180 days | 13.5 | |||
| 181+ days | 3.3 | |||
7-DAY SEC YIELD (1) | ||||
| Class B Shares | 0.01 | % | ||
| Class C Shares | 0.01 | |||
| Agency Shares | 0.06 | |||
| Capital Shares | 0.14 | |||
| Cash Management Shares | 0.01 | |||
| Direct Shares | 0.02 | |||
| Eagle Class Shares | 0.01 | |||
| Institutional Class Shares | 0.11 | |||
| Investor Shares | 0.01 | |||
| Morgan Shares | 0.01 | |||
| Premier Shares | 0.01 | |||
| Reserve Shares | 0.01 | |||
| Service Shares | 0.01 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| * | This rating is historical and is based upon the Fund’s credit quality, market price exposure and management. |
| ** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (1) | The yields for Class B Shares, Class C Shares, Agency Shares, Capital Shares, Cash Management Shares, Direct Shares, Eagle Class 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 (0.84)%, (0.84)%, 0.01%, 0.11%, (0.64)%, 0.01%, (0.39)%, 0.06%, (0.19)%, (0.20)%, (0.14)%, (0.40)% and (0.74)% for Class B Shares, Class C Shares, Agency Shares, Capital Shares, Cash Management Shares, Direct Shares, Eagle Class Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| 2 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Liquid Assets Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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 B, Class C, Agency, Capital, E*Trade, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares | |
| Net Assets as of 2/28/2011 | $9.7 Billion | |
| Weighted Average Maturity^ | 47 days | |
| Weighted Average Life^^. | 75 days |
MATURITY SCHEDULE*^ | ||||
| 1 day | 31.4 | % | ||
| 2–7 days | 11.1 | |||
| 8–30 days | 13.7 | |||
| 31–60 days | 14.0 | |||
| 61–90 days | 11.8 | |||
| 91–180 days | 14.3 | |||
| 181+ days | 3.7 | |||
7-DAY SEC YIELD (1) | ||||
| Class B Shares | 0.01 | % | ||
| Class C Shares | 0.01 | |||
| Agency Shares | 0.07 | |||
| Capital Shares | 0.15 | |||
| E*Trade | 0.05 | |||
| Institutional Class Shares | 0.12 | |||
| Investor Shares | 0.01 | |||
| Morgan Shares | 0.01 | |||
| Premier Shares | 0.01 | |||
| Reserve Shares | 0.01 | |||
| Service Shares | 0.01 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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 28, 2011. |
| (1) | The yields for Class B Shares, Class C Shares, Agency Shares, Capital Shares, E*Trade 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 (0.86)%, (0.86)%, (0.01)%, 0.09%, (0.76)%, 0.04%, (0.20)%, (0.31)%, (0.16)%, (0.43)% and (0.78)% for Class B Shares, Class C Shares, Agency Shares, Capital Shares, E*Trade Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 3 | ||||||
Table of Contents
JPMorgan U.S. Government Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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 | Agency, Capital, Direct, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares | |
| Net Assets as of 2/28/2011 | $65.5 Billion | |
| Weighted Average Maturity^ | 49 days | |
| Weighted Average Life^^. | 84 days | |
| S&P rating* (a) | AAAm | |
| Moody’s rating* (b) | Aaa |
The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.
| (a) | Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value. |
| (b) | Rating incorporate Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund. |
MATURITY SCHEDULE**^ | ||||
| 1 day | 18.2 | % | ||
| 2–7 days | 13.5 | |||
| 8–30 days | 17.9 | |||
| 31–60 days | 24.0 | |||
| 61–90 days | 10.2 | |||
| 91–180 days | 11.1 | |||
| 181+ days | 5.1 | |||
7-DAY SEC YIELD (1) | ||||
| Agency Shares | 0.00 | % | ||
| Capital Shares | 0.03 | |||
| Direct Shares | 0.00 | |||
| Institutional Class Shares | 0.00 | |||
| Investor Shares | 0.00 | |||
| Morgan Shares | 0.00 | |||
| Premier Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
| Service Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| * | This rating is historical and is based upon the Fund’s credit quality, market price exposure and management. |
| ** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (1) | The yields for Agency Shares, Capital Shares, Direct 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 (0.09)%, 0.01%, (0.09)%, (0.04)%, (0.29)%, (0.40)%, (0.24)%, (0.52)% and (0.84)% for Agency Shares, Capital Shares, Direct Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| 4 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan U.S. Treasury Plus Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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 B, Class C, Agency, Direct, Institutional Class, Investor, Morgan, Premier, Reserve and Service Shares | |
| Net Assets as of 2/28/2011 | $12.4 Billion | |
| Weighted Average Maturity^ | 48 days | |
| Weighted Average Life^^. | 48 days | |
| S&P rating* (a) | AAAm | |
| Moody’s rating* (b) | Aaa |
The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.
| (a) | Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value. |
| (b) | Rating incorporate Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund. |
MATURITY SCHEDULE**^ | ||||
| 1 day | 45.0 | % | ||
| 2–7 days | 12.2 | |||
| 8–30 days | 12.5 | |||
| 31–60 days | 6.1 | |||
| 61–90 days | 0.5 | |||
| 91–180 days | 11.8 | |||
| 181+ days | 11.9 | |||
7-DAY SEC YIELD (1) | ||||
| Class B Shares | 0.00 | % | ||
| Class C Shares | 0.00 | |||
| Agency Shares | 0.00 | |||
| Direct Shares | 0.00 | |||
| Institutional Class Shares | 0.00 | |||
| Investor Shares | 0.00 | |||
| Morgan Shares | 0.00 | |||
| Premier Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
| Service Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| * | This rating is historical and is based upon the Fund’s credit quality, market price exposure and management. |
| ** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (1) | The yields for Class B Shares, Class C Shares, Agency Shares, Direct 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 (0.99)%, (0.99)%, (0.14)%, (0.14)%, (0.09)%, (0.34)%, (0.44)%, (0.29)%, (0.54)% and (0.89)% for Class B Shares, Class C Shares, Agency Shares, Direct Shares, Institutional Class Shares, Investor Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 5 | ||||||
Table of Contents
JPMorgan Federal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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, Premier and Reserve Shares | |
| Net Assets as of 2/28/2011 | $7.2 Billion | |
| Weighted Average Maturity^ | 47 days | |
| Weighted Average Life^^. | 80 days | |
| S&P rating* (a) | AAAm | |
| Moody’s rating* (b) | Aaa |
The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.
| (a) | Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value. |
| (b) | Rating incorporate Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund. |
MATURITY SCHEDULE**^ | ||||
| 1 day | 4.9 | % | ||
| 2–7 days | 19.6 | |||
| 8–30 days | 31.2 | |||
| 31–60 days | 19.7 | |||
| 61–90 days | 6.5 | |||
| 91–180 days | 13.6 | |||
| 181+ days | 4.5 | |||
7-DAY SEC YIELD (1) | ||||
| Agency Shares | 0.00 | % | ||
| Institutional Class Shares | 0.00 | |||
| Morgan Shares | 0.00 | |||
| Premier Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| * | This rating is historical and is based upon the Fund’s credit quality, market price exposure and management. |
| ** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (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 (0.12)%, (0.07)%, (0.42)%, (0.27)% and (0.52)% for Agency Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| 6 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan 100% U.S. Treasury Securities Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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, Institutional Class, Morgan, Premier, Reserve and Service Shares | |
| Net Assets as of 2/28/2011 | $16.8 Billion | |
| Weighted Average Maturity^ | 45 days | |
| Weighted Average Life^^. | 45 days | |
| S&P rating* (a) | AAAm-G | |
| Moody’s rating* (b) | Aaa |
The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share. The ‘G’ designation in the S&P rating means that the Fund’s portfolio consists primarily of U.S. Government securities.
| (a) | Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value. |
| (b) | Rating incorporate Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund. |
MATURITY SCHEDULE**^ | ||||
| 1 day | 0.0 | % | ||
| 2–7 days | 16.5 | |||
| 8–30 days | 42.2 | |||
| 31–60 days | 15.2 | |||
| 61–90 days | 16.5 | |||
| 91–180 days | 3.6 | |||
| 181+ days | 6.0 | |||
7-DAY SEC YIELD (1) | ||||
| Agency Shares | 0.00 | % | ||
| Capital Shares | 0.00 | |||
| Institutional Class Shares | 0.00 | |||
| Morgan Shares | 0.00 | |||
| Premier Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
| Service Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| * | This rating is historical and is based upon the Fund’s credit quality, market price exposure and management. |
| ** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (1) | The yields for Agency Shares, Capital 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 (0.15)%, (0.05)%, (0.10)%, (0.45)%, (0.30)%, (0.55)% and (0.90)% for Agency Shares, Capital Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 7 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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, Direct, Eagle Class, Institutional Class, Morgan, Premier and Reserve Shares | |
| Net Assets as of 2/28/2011 | $22.4 Billion | |
| Weighted Average Maturity^ | 28 days | |
| Weighted Average Life^^. | 28 days | |
| S&P rating** (a) | AAAm | |
| Moody’s rating** (b) | Aaa |
The S&P and Moody’s ratings are historical and signify that the Fund’s safety is excellent, with superior capacity to maintain a net asset value of $1.00 per share.
| (a) | Standard & Poor’s analysis focuses primarily on the creditworthiness of the fund’s management’s ability and policies to maintain the fund’s stable net asset value. Principal stability fund ratings are assigned to funds that seek to maintain a stable or an accumulating net asset value. |
| (b) | Rating incorporate Moody’s assessment of a fund’s published investment objectives and policies, the creditworthiness of the assets held by the fund, as well as the management characteristics of the fund. |
MATURITY SCHEDULE***^ | ||||
| 1 day | 12.6 | % | ||
| 2–7 days | 72.5 | |||
| 8–30 days | 0.7 | |||
| 31–60 days | 1.7 | |||
| 61–90 days | 0.2 | |||
| 91–180 days | 4.7 | |||
| 181+ days | 7.6 | |||
7-DAY SEC YIELD (1) | ||||
| Agency Shares | 0.04 | % | ||
| Direct Shares | 0.00 | |||
| Eagle Class Shares | 0.01 | |||
| Institutional Class Shares | 0.09 | |||
| Morgan Shares | 0.00 | |||
| Premier Shares | 0.00 | |||
| Reserve Shares | 0.00 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | 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. |
| ** | This rating is historical and is based upon the Fund’s credit quality, market price exposure and management. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (1) | The yields for Agency Shares, Direct Shares, Eagle Class 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 (0.01)%, (0.01)%, (0.41)%, 0.04%, (0.31)%, (0.16)% and (0.41)% for Agency Shares, Direct Shares, Eagle Class Shares, Institutional Class Shares, Morgan Shares, Premier Shares and Reserve Shares, respectively. |
| An unaudited uncertified list of prior-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. |
| 8 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Municipal Money Market Fund
FUND FACTS
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (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, Reserve and Service Shares | |
| Net Assets as of 2/28/2011 | $3.5 Billion | |
| Weighted Average Maturity^ | 37 days | |
| Weighted Average Life^^. | 37 days |
MATURITY SCHEDULE**^ | ||||
| 1 day | 13.2 | % | ||
| 2–7 days | 65.3 | |||
| 8–30 days | 3.2 | |||
| 31–60 days | 2.4 | |||
| 61–90 days | 1.4 | |||
| 91–180 days | 5.2 | |||
| 181+ days | 9.3 | |||
7-DAY SEC YIELD (1) | ||||
| Agency Shares | 0.13 | % | ||
| E*Trade | 0.03 | |||
| Institutional Class Shares | 0.18 | |||
| Morgan Shares | 0.02 | |||
| Premier Shares | 0.02 | |||
| Reserve Shares | 0.02 | |||
| Service Shares | 0.02 | |||
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 (retail investors) or 1-800-766-7722 (institutional investors).
An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund.
| ^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made and may utilize the interest rate reset date for variable or floating rate securities. |
| ^^ | The calculation takes into account the period remaining until the date on which, in accordance with the terms of the security, the principal amount must unconditionally be paid, or in the case of a security called for redemption, the date on which the redemption payment must be made. |
| * | A portion of the Fund’s income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. |
| ** | Percentages indicated are based upon total investments as of February 28, 2011. |
| (1) | The yields for Agency Shares, E*Trade Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares reflect the reimbursements and/or waivers of certain expenses. Without these reimbursements and/or waivers, the yields would have been 0.06%, (0.69)%, 0.11%, (0.24)%, (0.09)%, (0.34)% and (0.69)% for Agency Shares, E*Trade Shares, Institutional Class Shares, Morgan Shares, Premier Shares, Reserve Shares and Service Shares, respectively. |
| An unaudited uncertified list of prior-day portfolio holdings of the JPMorgan Municipal Money Market Fund is available upon request. Please contact your J.P. Morgan representative to obtain further information regarding this facility and information on holdings. |
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 9 | ||||||
Table of Contents
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Certificates of Deposit — 48.3% |
| ||||||
ABN Amro Bank N.V., | ||||||||
| 500,000 | 0.305%, 03/31/11 | 500,002 | ||||||
| 300,000 | 0.305%, 03/09/11 | 300,000 | ||||||
Australia & New Zealand Banking Group Ltd., | ||||||||
| 138,000 | 0.310%, 03/17/11 | 138,000 | ||||||
| 125,000 | 0.310%, 05/19/11 | 124,992 | ||||||
| 285,000 | 0.320%, 03/14/11 | 285,000 | ||||||
| 250,000 | 0.340%, 05/11/11 | 250,000 | ||||||
| 9,000 | 0.340%, 05/19/11 | 9,000 | ||||||
| 250,000 | 0.340%, 05/26/11 | 250,000 | ||||||
| 294,575 | Bank of Montreal, 0.190%, 03/04/11 | 294,575 | ||||||
Bank of Nova Scotia, | ||||||||
| 224,000 | 0.260%, 03/18/11 | 224,000 | ||||||
| 460,000 | 0.260%, 04/18/11 | 460,000 | ||||||
| 200,000 | 0.260%, 03/01/11 | 200,000 | ||||||
| 894,000 | 0.270%, 05/25/11 | 894,000 | ||||||
| 269,000 | 0.270%, 04/10/11 | 269,000 | ||||||
| 518,000 | 0.280%, 05/18/11 | 518,000 | ||||||
| 1,132,400 | 0.350%, 07/06/11 | 1,132,400 | ||||||
| 488,150 | 0.430%, 09/06/11 | 488,150 | ||||||
| 173,000 | 0.430%, 09/07/11 | 173,000 | ||||||
| 150,000 | 0.430%, 09/09/11 | 150,000 | ||||||
| 300,000 | 0.430%, 09/12/11 | 300,000 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||
| 109,600 | 0.380%, 03/14/11 | 109,600 | ||||||
| 348,000 | 0.380%, 05/02/11 | 348,000 | ||||||
| 569,000 | 0.400%, 08/03/11 | 569,000 | ||||||
| 242,000 | 0.420%, 08/18/11 | 242,011 | ||||||
| 300,000 | Banque Federative du Credit Mutuel, 0.350%, 03/11/11 | 300,000 | ||||||
Barclays Bank plc, | ||||||||
| 675,000 | 0.360%, 03/02/11 | 675,000 | ||||||
| 690,000 | 0.363%, 03/18/11 | 690,000 | ||||||
| 850,000 | 0.400%, 03/07/11 | 850,000 | ||||||
| 530,000 | 0.400%, 03/10/11 | 530,000 | ||||||
BNP Paribas, | ||||||||
| 240,000 | 0.352%, 03/30/11 | 240,000 | ||||||
| 500,000 | 0.352%, 03/22/11 | 500,000 | ||||||
| 1,064,000 | 0.362%, 03/20/11 | 1,064,000 | ||||||
| 360,000 | 0.373%, 03/22/11 | 360,000 | ||||||
| 471,000 | 0.380%, 05/02/11 | 471,000 | ||||||
| 465,000 | 0.400%, 04/01/11 | 465,000 | ||||||
| 966,730 | 0.400%, 05/03/11 | 966,730 | ||||||
| 437,000 | 0.560%, 08/09/11 | 437,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
BPCE, | ||||||||
| 44,000 | 0.380%, 04/06/11 | 44,000 | ||||||
| 164,000 | 0.390%, 04/12/11 | 164,002 | ||||||
| 383,000 | 0.410%, 05/10/11 | 383,007 | ||||||
Caisse des Depots et Consignation, | ||||||||
| 1,193,000 | 0.410%, 08/01/11 | 1,193,043 | ||||||
| 320,000 | 0.420%, 08/09/11 | 320,000 | ||||||
| 87,000 | 0.570%, 09/13/11 | 87,000 | ||||||
| 400,000 | 0.580%, 09/02/11 | 400,020 | ||||||
Clydesdale Bank plc, | ||||||||
| 90,000 | 0.340%, 05/27/11 | 90,002 | ||||||
| 140,000 | 0.360%, 05/16/11 | 140,003 | ||||||
| 273,000 | 0.410%, 04/15/11 | 273,004 | ||||||
Commonwealth Bank of Australia, Ltd. | ||||||||
| 273,500 | 0.315%, 05/10/11 | 273,503 | ||||||
| 240,000 | 0.340%, 03/15/11 | 240,000 | ||||||
Credit Agricole S.A., | ||||||||
| 632,450 | 0.340%, 03/15/11 | 632,450 | ||||||
| 512,000 | 0.350%, 05/23/11 | 512,000 | ||||||
| 1,509,000 | 0.360%, 05/09/11 | 1,509,000 | ||||||
| 339,375 | 0.380%, 05/02/11 | 339,375 | ||||||
Credit Industriel Et Commercial, | ||||||||
| 1,110,000 | 0.295%, 04/11/11 | 1,110,006 | ||||||
| 590,000 | 0.340%, 03/07/11 | 590,001 | ||||||
| 166,000 | 0.350%, 03/10/11 | 166,000 | ||||||
Credit Suisse First Boston, | ||||||||
| 631,000 | 0.260%, 03/01/11 | 631,000 | ||||||
| 428,000 | 0.260%, 03/01/11 | 428,000 | ||||||
| 622,000 | 0.350%, 07/05/11 | 622,000 | ||||||
| 582,000 | 0.260%, 03/01/11 | 582,000 | ||||||
Danske Bank A/S, | ||||||||
| 420,000 | 0.280%, 03/11/11 | 420,000 | ||||||
| 496,000 | 0.285%, 03/08/11 | 496,000 | ||||||
Deutsche Bank AG, | ||||||||
| 550,000 | 0.270%, 03/01/11 | 550,000 | ||||||
| 159,000 | 0.340%, 04/04/11 | 159,000 | ||||||
| 817,000 | 0.340%, 05/16/11 | 817,000 | ||||||
| 696,000 | 0.350%, 05/26/11 | 696,000 | ||||||
DnB NOR Bank ASA, | ||||||||
| 200,000 | 0.285%, 04/12/11 | 200,000 | ||||||
| 425,000 | 0.290%, 04/12/11 | 425,000 | ||||||
| 537,000 | 0.295%, 04/12/11 | 537,003 | ||||||
DZ Bank AG, | ||||||||
| 522,000 | 0.280%, 03/25/11 | 522,000 | ||||||
| 253,000 | 0.300%, 03/07/11 | 253,000 | ||||||
| 266,000 | 0.310%, 03/04/11 | 266,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Certificates of Deposit — Continued |
| ||||||
| 1,000,000 | Erste Bank Der Oesterreichischen Sparkas, 0.250%, 03/04/11 | 1,000,000 | ||||||
HSBC Bank plc, | ||||||||
| 300,000 | 0.310%, 03/10/11 | 300,000 | ||||||
| 543,000 | 0.340%, 06/01/11 | 543,000 | ||||||
| 285,000 | 0.345%, 05/19/11 | 285,003 | ||||||
| 487,000 | 0.350%, 08/26/11 | 487,000 | ||||||
| 300,000 | 0.465%, 09/16/11 | 300,000 | ||||||
| 215,000 | 0.510%, 08/23/11 | 215,000 | ||||||
| 750,000 | 0.530%, 08/22/11 | 750,000 | ||||||
| 600,000 | 0.570%, 08/19/11 | 600,014 | ||||||
| 73,000 | 0.580%, 08/16/11 | 73,000 | ||||||
| 580,000 | 0.590%, 08/16/11 | 580,014 | ||||||
ING Bank N.V., | ||||||||
| 535,000 | 0.310%, 04/08/11 | 535,000 | ||||||
| 2,004,000 | 0.320%, 05/06/11 | 2,004,000 | ||||||
| 538,000 | Lloyds TSB Bank plc, 0.287%, 03/28/11 | 538,000 | ||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||
| 100,000 | 0.340%, 04/07/11 | 100,000 | ||||||
| 100,000 | 0.350%, 03/03/11 | 100,000 | ||||||
| 150,000 | 0.385%, 05/05/11 | 149,896 | ||||||
| 137,000 | 0.390%, 08/30/11 | 137,000 | ||||||
| 100,000 | 0.390%, 05/06/11 | 100,000 | ||||||
| 300,000 | 0.398%, 08/15/11 | 300,000 | ||||||
| 155,000 | 0.400%, 05/31/11 | 155,000 | ||||||
| 160,000 | 0.470%, 04/29/11 | 160,003 | ||||||
Mizuho Corporate Bank Ltd., | ||||||||
| 382,000 | 0.280%, 03/10/11 | 382,000 | ||||||
| 427,000 | 0.290%, 03/08/11 | 427,000 | ||||||
| 910,000 | 0.300%, 05/05/11 | 910,000 | ||||||
| 939,000 | 0.310%, 05/03/11 | 939,000 | ||||||
National Australia Bank Ltd., | ||||||||
| 473,000 | 0.335%, 03/07/11 | 473,000 | ||||||
| 480,000 | 0.350%, 06/09/11 | 480,000 | ||||||
| 159,000 | 0.390%, 06/09/11 | 159,000 | ||||||
Natixis, | ||||||||
| 802,000 | 0.350%, 03/01/11 | 802,000 | ||||||
| 123,000 | 0.410%, 05/24/11 | 123,000 | ||||||
| 250,000 | 0.440%, 05/06/11 | 250,000 | ||||||
| 112,000 | Nederlandse Waterschapsbank N.V., 0.395%, 04/06/11 | 111,956 | ||||||
Nordea Bank Finland plc, | ||||||||
| 400,000 | 0.330%, 03/02/11 | 400,000 | ||||||
| 700,000 | 0.335%, 03/03/11 | 700,000 | ||||||
| 100,000 | 0.340%, 05/24/11 | 100,000 | ||||||
| 247,000 | 0.370%, 07/13/11 | 247,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Norinchukin Bank-New York, | ||||||||
| 445,000 | 0.340%, 04/04/11 | 445,000 | ||||||
| 276,000 | 0.340%, 04/28/11 | 276,000 | ||||||
| 559,000 | 0.350%, 03/29/11 | 559,000 | ||||||
| 82,000 | Rabobank Australia Ltd., 0.350%, 05/16/11 | 81,939 | ||||||
Rabobank Nederland N.V., | ||||||||
| 330,000 | 0.330%, 04/06/11 | 330,000 | ||||||
| 536,000 | 0.331%, 05/29/11 | 536,000 | ||||||
| 567,800 | 0.342%, 03/22/11 | 567,800 | ||||||
| 200,000 | 0.352%, 03/31/11 | 200,000 | ||||||
| 268,000 | 0.400%, 08/10/11 | 267,519 | ||||||
| 104,000 | 0.400%, 08/25/11 | 103,796 | ||||||
| 544,000 | 0.460%, 09/06/11 | 544,028 | ||||||
| 325,000 | 0.475%, 08/19/11 | 325,000 | ||||||
| 565,000 | 0.495%, 09/13/11 | 565,015 | ||||||
| 594,220 | 0.500%, 08/17/11 | 594,220 | ||||||
Royal Bank of Canada, | ||||||||
| 273,000 | 0.350%, 03/01/11 | 273,000 | ||||||
| 410,000 | 0.350%, 03/01/11 | 410,000 | ||||||
Royal Bank of Scotland plc, | ||||||||
| 813,000 | 0.260%, 03/11/11 | 813,000 | ||||||
Shizuoka Bank, | ||||||||
| 23,500 | 0.300%, 04/04/11 | 23,500 | ||||||
| 31,900 | 0.340%, 05/03/11 | 31,900 | ||||||
Societe Generale, | ||||||||
| 115,000 | 0.340%, 04/25/11 | 115,000 | ||||||
| 555,000 | 0.350%, 03/11/11 | 555,000 | ||||||
| 164,000 | 0.360%, 03/14/11 | 164,001 | ||||||
| 452,000 | 0.367%, 04/08/11 | 452,000 | ||||||
| 500,000 | 0.370%, 03/01/11 | 500,000 | ||||||
| 293,000 | 0.380%, 03/01/11 | 293,000 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
| 378,000 | 0.305%, 05/03/11 | 377,997 | ||||||
| 564,000 | 0.315%, 05/12/11 | 564,000 | ||||||
| 363,000 | 0.345%, 08/24/11 | 362,994 | ||||||
| 80,000 | 0.350%, 08/25/11 | 80,000 | ||||||
| 242,000 | VAR, 0.353%, 04/25/11 | 242,000 | ||||||
| 531,600 | 0.360%, 08/12/11 | 531,600 | ||||||
| 175,000 | 0.360%, 03/18/11 | 175,000 | ||||||
| 280,000 | 0.370%, 03/14/11 | 280,000 | ||||||
| 316,000 | 0.370%, 03/16/11 | 316,000 | ||||||
Sumitomo Trust & Banking Co., Ltd., | ||||||||
| 60,000 | 0.310%, 04/15/11 | 60,000 | ||||||
| 100,000 | 0.330%, 05/04/11 | 99,942 | ||||||
| 48,000 | 0.345%, 05/03/11 | 47,971 | ||||||
| 103,000 | 0.360%, 05/03/11 | 102,935 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 11 | ||||||
Table of Contents
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Certificates of Deposit — Continued |
| ||||||
Svenska Handelsbanken, Inc., | ||||||||
| 327,000 | 0.285%, 04/04/11 | 327,000 | ||||||
| 500,000 | 0.325%, 03/08/11 | 500,001 | ||||||
| 595,000 | 0.350%, 07/13/11 | 595,000 | ||||||
| 200,000 | 0.355%, 09/01/11 | 200,005 | ||||||
| 489,500 | 0.360%, 06/08/11 | 489,500 | ||||||
| 995,000 | Swedbank AB, 0.190%, 03/03/11 | 995,000 | ||||||
Toronto Dominion Bank, | ||||||||
| 164,000 | 0.300%, 03/14/11 | 164,000 | ||||||
| 170,000 | 0.350%, 07/12/11 | 170,000 | ||||||
| 260,000 | UBS AG, 0.300%, 05/13/11 | 260,000 | ||||||
Westpac Banking Corp., | ||||||||
| 269,000 | 0.250%, 03/01/11 | 269,000 | ||||||
| 500,000 | 0.250%, 03/01/11 | 500,000 | ||||||
Total Certificates of Deposit | 64,499,428 | |||||||
| Commercial Paper — 17.9% (n) |
| ||||||
Alpine Securitization Corp., | ||||||||
| 146,400 | 0.180%, 03/01/11 (e) | 146,400 | ||||||
| 100,000 | 0.250%, 03/11/11 (e) | 99,993 | ||||||
Amsterdam Funding Corp., | ||||||||
| 100,000 | 0.240%, 03/08/11 (e) | 99,995 | ||||||
| 54,809 | 0.270%, 03/07/11 (e) | 54,807 | ||||||
| 112,210 | Antalis U.S. Funding Corp., 0.290%, 03/04/11 (e) | 112,207 | ||||||
Argento Variable Funding LLC, | ||||||||
| 70,000 | 0.270%, 03/07/11 (e) | 69,997 | ||||||
| 92,000 | 0.270%, 03/02/11 (e) | 91,999 | ||||||
| 326,000 | 0.270%, 03/04/11 (e) | 325,988 | ||||||
Atlantic Asset Securitization LLC, | ||||||||
| 306,017 | 0.180%, 03/01/11 (e) | 306,017 | ||||||
| 50,000 | 0.250%, 03/02/11 (e) | 50,000 | ||||||
Atlantis One Funding Corp., | ||||||||
| 563,000 | 0.331%, 05/04/11 (e) | 562,670 | ||||||
| 211,337 | 0.331%, 05/09/11 (e) | 211,203 | ||||||
| 176,000 | 0.331%, 04/04/11 (e) (m) | 175,945 | ||||||
| 388,000 | 0.371%, 08/23/11 (e) | 387,302 | ||||||
Australia & New Zealand Banking Group Ltd., |
| |||||||
| 470,000 | 0.341%, 05/27/11 (e) | 469,614 | ||||||
| 263,000 | 0.351%, 06/08/11 (e) | 262,747 | ||||||
| 450,000 | 0.361%, 05/31/11 (e) | 449,590 | ||||||
| 43,000 | Banque et Caisse d’Epargne de L’Etat, 0.310%, 04/04/11 | 42,987 | ||||||
| 200,000 | Barclays Bank plc, 0.340%, 05/12/11 (e) | 199,864 | ||||||
| 417,100 | Barclays U.S. Funding Corp., 0.381%, 05/18/11 | 416,756 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Belmont Funding LLC, | ||||||||
| 121,000 | 0.450%, 03/18/11 (e) | 120,974 | ||||||
| 23,000 | 0.450%, 03/10/11 (e) | 22,998 | ||||||
BNP Paribas, | ||||||||
| 162,000 | 0.401%, 05/03/11 | 161,886 | ||||||
| 125,496 | 0.562%, 08/09/11 | 125,182 | ||||||
BPCE, | ||||||||
| 240,800 | 0.380%, 03/23/11 (e) | 240,744 | ||||||
| 266,000 | 0.380%, 04/05/11 (e) | 265,902 | ||||||
| 230,000 | 0.380%, 03/31/11 (e) | 229,927 | ||||||
Caisse d’Amortissement de la Dette Socia, | ||||||||
| 100,000 | 0.340%, 06/07/11 (e) | 99,908 | ||||||
| 128,000 | 0.345%, 05/10/11 (e) | 127,914 | ||||||
| 211,000 | 0.345%, 05/12/11 (e) | 210,854 | ||||||
| 800,000 | 0.366%, 07/07/11 (e) | 798,962 | ||||||
| 136,000 | 0.391%, 07/20/11 (e) | 135,792 | ||||||
Cancara Asset Securitisation LLC, | ||||||||
| 130,000 | 0.265%, 03/11/11 (e) | 129,990 | ||||||
| 146,000 | 0.280%, 03/21/11 (e) | 145,977 | ||||||
| 108,663 | 0.280%, 03/24/11 (e) | 108,644 | ||||||
| 100,000 | Citigroup Funding, Inc., 0.260%, 03/03/11 | 99,998 | ||||||
Commonwealth Bank of Australia Ltd., | ||||||||
| 453,000 | 0.265%, 05/09/11 (e) | 452,770 | ||||||
| 95,000 | 0.300%, 03/09/11 (e) | 94,994 | ||||||
| 500,000 | 0.300%, 03/14/11 (e) | 499,946 | ||||||
| 190,000 | 0.351%, 06/15/11 (e) | 189,804 | ||||||
| 141,000 | 0.354%, 07/07/11 (e) | 140,823 | ||||||
| 500,000 | Danske Corp., 0.270%, 03/31/11 (e) | 499,887 | ||||||
| 25,000 | Deutsche Bank Financial LLC, 0.341%, 05/16/11 | 24,982 | ||||||
| 153,500 | Ebbets Funding LLC, 0.330%, 03/01/11 (e) | 153,500 | ||||||
| 212,357 | Erste Finance Delaware LLC, 0.180%, 03/01/11 (e) | 212,357 | ||||||
| 530,000 | European Investment Bank, 0.400%, 03/25/11 | 529,859 | ||||||
| 100,000 | GDF Suez, 0.270%, 03/21/11 (e) | 99,985 | ||||||
| 185,000 | Gemini Securitization Corp., 0.280%, 03/08/11 (e) | 184,990 | ||||||
General Electric Capital Corp., | ||||||||
| 150,000 | 0.150%, 03/01/11 | 150,000 | ||||||
| 155,000 | 0.240%, 03/04/11 | 154,997 | ||||||
| 375,000 | 0.240%, 03/03/11 | 374,995 | ||||||
| 500,000 | 0.250%, 04/07/11 | 499,872 | ||||||
| 31,000 | 0.250%, 04/06/11 | 30,992 | ||||||
| 50,000 | General Electric Capital Services, Inc., 0.150%, 03/01/11 | 50,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Paper — Continued |
| ||||||
Grampian Funding LLC, | ||||||||
| 383,000 | 0.270%, 03/03/11 (e) | 382,984 | ||||||
Kells Funding LLC, | ||||||||
| 100,000 | 0.340%, 06/09/11 | 99,905 | ||||||
| 200,000 | 0.360%, 06/22/11 (e) | 199,774 | ||||||
| 200,000 | 0.360%, 06/23/11 | 199,772 | ||||||
| 150,000 | 0.391%, 07/06/11 (e) | 149,794 | ||||||
| 170,000 | 0.411%, 08/02/11 | 169,702 | ||||||
| 100,000 | Kreditanstalt Fur Wiederaufbau, 0.331%, 07/08/11 (e) | 99,882 | ||||||
| 25,000 | Liberty Street Funding Corp., 0.280%, 04/25/11 (e) | 24,989 | ||||||
Macquarie Bank Ltd., | ||||||||
| 50,000 | 0.300%, 03/08/11 (e) | 49,997 | ||||||
| 50,000 | 0.300%, 03/10/11 (e) | 49,996 | ||||||
| 100,000 | 0.300%, 03/16/11 (e) | 99,987 | ||||||
| 200,000 | 0.300%, 03/28/11 (e) | 199,953 | ||||||
| 50,000 | 0.300%, 03/15/11 (e) | 49,994 | ||||||
MetLife Short Term Funding LLC, | ||||||||
| 72,125 | 0.270%, 03/14/11 (e) | 72,118 | ||||||
| 76,500 | 0.270%, 04/26/11 (e) | 76,468 | ||||||
| 90,000 | 0.270%, 04/11/11 (e) | 89,972 | ||||||
| 150,000 | 0.280%, 04/21/11 (e) | 149,941 | ||||||
| 60,000 | 0.280%, 05/02/11 (e) | 59,971 | ||||||
| 44,000 | 0.280%, 04/08/11 (e) | 43,987 | ||||||
Mizuho Funding LLC, | ||||||||
| 160,600 | 0.290%, 03/02/11 (e) | 160,599 | ||||||
| 123,500 | 0.320%, 04/20/11 (e) | 123,445 | ||||||
| 242,000 | National Australia Funding Delaware, Inc., 0.341%, 07/01/11 (e) | 241,721 | ||||||
Nordea North America, Inc., | ||||||||
| 196,450 | 0.275%, 05/02/11 | 196,357 | ||||||
| 139,997 | 0.371%, 07/12/11 | 139,806 | ||||||
| 150,000 | 0.376%, 07/07/11 | 149,800 | ||||||
NRW Bank Corp., | ||||||||
| 117,000 | 0.290%, 05/02/11 | 116,941 | ||||||
| 849,600 | 0.300%, 05/09/11 | 849,108 | ||||||
| 40,000 | 0.351%, 07/11/11 | 39,949 | ||||||
| 200,000 | 0.361%, 04/06/11 | 199,928 | ||||||
| 794,000 | 0.396%, 03/10/11 | 793,922 | ||||||
Old Line Funding LLC, | ||||||||
| 50,000 | 0.270%, 03/04/11 (e) | 49,999 | ||||||
| 39,197 | 0.270%, 04/11/11 (e) | 39,185 | ||||||
| 125,000 | Private Export Funding Corp., 0.321%, 03/08/11 (e) | 124,992 | ||||||
| 57,522 | Regency Markets No. 1 LLC, 0.250%, 03/09/11 (e) | 57,519 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 140,000 | Royal Bank of Scotland plc, 0.260%, 03/11/11 | 139,990 | ||||||
Royal Park Investment Funding Corp., | ||||||||
| 184,000 | 0.480%, 03/17/11 (e) | 183,961 | ||||||
| 150,000 | 0.480%, 03/14/11 (e) | 149,974 | ||||||
| 40,000 | Salisbury Receivables Co. LLC, 0.260%, 03/15/11 (e) | 39,996 | ||||||
Scaldis Capital LLC, | ||||||||
| 130,000 | 0.270%, 03/03/11 (e) | 129,998 | ||||||
| 175,000 | 0.280%, 03/07/11 (e) | 174,992 | ||||||
| 200,000 | 0.280%, 03/09/11 (e) | 199,987 | ||||||
| 118,000 | Societe de Prise de Participation de l’Etat, 0.290%, 04/06/11 (e) | 117,966 | ||||||
| 529,100 | Societe Generale North America, Inc., 0.170%, 03/01/11 | 529,100 | ||||||
Straight-A Funding LLC, | ||||||||
| 70,462 | 0.250%, 05/02/11 | 70,432 | ||||||
| 218,729 | 0.250%, 03/01/11 (e) | 218,729 | ||||||
| 542,143 | 0.250%, 03/11/11 | 541,981 | ||||||
| 161,683 | 0.250%, 03/08/11 | 161,675 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
| 252,875 | 0.305%, 05/02/11 (e) | 252,742 | ||||||
| 100,000 | 0.316%, 05/12/11 (e) | 99,937 | ||||||
| 101,000 | 0.351%, 03/21/11 (e) | 100,980 | ||||||
Thames Asset Global Securitization No. 1, Inc., |
| |||||||
| 180,662 | 0.240%, 03/09/11 (e) | 180,652 | ||||||
| 174,850 | 0.240%, 03/04/11 (e) | 174,847 | ||||||
| 121,000 | Total Capital Canada Ltd., 0.321%, 03/03/11 (e) | 120,998 | ||||||
Toyota Credit Canada, Inc., | ||||||||
| 100,000 | 0.300%, 03/31/11 | 99,975 | ||||||
| 30,000 | 0.300%, 03/08/11 | 29,998 | ||||||
Toyota Motor Credit Corp., | ||||||||
| 41,500 | 0.250%, 04/04/11 | 41,490 | ||||||
| 97,500 | 0.280%, 04/29/11 | 97,455 | ||||||
| 45,000 | 0.300%, 03/08/11 | 44,998 | ||||||
| 54,000 | Versailles Commercial Paper LLC, 0.340%, 05/19/11 (e) | 53,960 | ||||||
Westpac Banking Corp., | ||||||||
| 267,000 | 0.300%, 03/08/11 (e) | 266,985 | ||||||
| 275,000 | 0.300%, 03/18/11 (e) | 274,961 | ||||||
| 410,000 | 0.311%, 04/05/11 (e) | 409,876 | ||||||
| 500,000 | 0.311%, 04/11/11 (e) | 499,824 | ||||||
| 100,000 | 0.311%, 04/12/11 (e) | 99,964 | ||||||
| 552,750 | 0.341%, 07/05/11 (e) | 552,092 | ||||||
| 287,000 | 0.351%, 06/10/11 (e) | 286,718 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 13 | ||||||
Table of Contents
JPMorgan Prime Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Paper — Continued |
| ||||||
| 109,250 | Westpac Securities NZ Ltd., 0.270%, 03/16/11 (e) | 109,238 | ||||||
| 30,000 | Windmill Funding I Corp., 0.240%, 03/08/11 (e) | 29,999 | ||||||
Total Commercial Paper | 23,945,413 | |||||||
| Corporate Notes — 0.8% |
| ||||||
Financials — 0.5% | ||||||||
Commercial Banks — 0.5% | ||||||||
| 546,250 | Australia & New Zealand Banking Group Ltd., 0.360%, 06/15/11 (e) | 546,250 | ||||||
| 88,000 | Kreditanstalt Fur Wiederaufbau, | 88,938 | ||||||
| 635,188 | ||||||||
Supranational — 0.3% | ||||||||
| 479,070 | World Bank, 0.314%, 03/13/11 | 479,070 | ||||||
Total Corporate Notes | 1,114,258 | |||||||
| Foreign Government Security — 0.1% |
| ||||||
| 121,520 | Kingdom of Denmark, 2.750%, 11/15/11 (Cost $123,459) | 123,459 | ||||||
| Repurchase Agreements — 7.2% |
| ||||||
| 362,085 | Barclays Capital, Inc., 0.180%, dated 02/28/11, due 03/01/11, repurchase price $362,087, collateralized by U.S. Government Agency Securities with a value of $369,327. | 362,085 | ||||||
| 400,000 | Barclays Capital, Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $400,002, collateralized by U.S. Government Agency Securities with a value of $408,001. | 400,000 | ||||||
| 425,000 | Citigroup, Inc., 0.720%, dated 02/28/11, due 07/12/11, repurchase price $426,139, collateralized by Corporate Bonds and Notes with a value of $433,500. (i) | 425,000 | ||||||
| 425,000 | Citigroup, Inc., 0.920%, dated 02/28/11, due 07/12/11, repurchase price $426,455, collateralized by Corporate Bonds and Notes with a value of $433,500. (i) | 425,000 | ||||||
| 836,686 | Deutsche Bank Securities, Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $836,691, collateralized by U.S. Government Agency Securities with a value of $853,420. | 836,686 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 500,000 | Deutsche Bank Securities, Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $500,003, collateralized by U.S. Government Agency Securities with a value of $510,000. | 500,000 | ||||||
| 350,000 | Deutsche Bank Securities, Inc., 0.410%, dated 02/28/11, due 03/01/11, repurchase price $350,004, collateralized by Corporate Bonds and Notes with a value of $360,500. | 350,000 | ||||||
| 496,000 | Deutsche Bank Securities, Inc., 0.500%, dated 02/28/11, due 04/19/11, repurchase price $496,344, collateralized by Corporate Bonds and Notes and U.S. Government Agency Securities with a value of $510,864. (i) | 496,000 | ||||||
| 460,000 | Deutsche Bank Securities, Inc., 0.500%, dated 02/28/11, due 04/26/11, repurchase price $460,364, collateralized by Corporate Bonds and Notes with a value of $473,800. (i) | 460,000 | ||||||
| 775,000 | Goldman Sachs & Co., 0.190%, dated 02/28/11, due 03/01/11, repurchase price $775,004, collateralized by U.S. Government Agency Securities with a value of $790,500. | 775,000 | ||||||
| 250,000 | Goldman Sachs & Co., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $250,001, collateralized by U.S. Government Agency Securities with a value of $255,000. | 250,000 | ||||||
| 365,000 | HSBC Securities USA, Inc., 0.300%, dated 02/28/11, due 03/01/11, repurchase price $365,003, collateralized by Corporate Bonds and Notes with a value of $375,952. | 365,000 | ||||||
| 728,465 | Merrill Lynch & Co., Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $728,469, collateralized by U.S. Government Agency Securities with a value of $750,146. | 728,465 | ||||||
| 294,000 | Merrill Lynch & Co., Inc., 0.400%, dated 02/28/11, due 11/04/11, repurchase price $294,813, collateralized by Corporate Bonds and Notes and U.S. Government Agency Securities with a value of $308,298. (i) | 294,000 | ||||||
| 1,400,000 | Merrill Lynch & Co., Inc., 0.850%, dated 02/28/11, due 09/15/11, repurchase price $1,406,578, collateralized by Corporate Bonds and Notes with a value of $1,470,000. (i) | 1,400,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Repurchase Agreements — Continued |
| ||||||
| 913,500 | RBS Securities, Inc., 0.480%, dated 02/28/11, due 03/01/11, repurchase price $913,512, collateralized by Corporate Bonds and Notes with a value of $959,179. | 913,500 | ||||||
| 246,500 | UBS Warburg LLC, 0.400%, dated 02/28/11, due 05/16/11, repurchase price $246,711, collateralized by Corporate Bonds and Notes with a value of $258,825. (i) | 246,500 | ||||||
| 377,000 | UBS Warburg LLC, 0.500%, dated 02/28/11, due 05/16/11, repurchase price $377,403, collateralized by U.S. Government Agency Securities with a value of $395,850. (i) | 377,000 | ||||||
Total Repurchase Agreements | 9,604,236 | |||||||
| Time Deposits — 19.0% |
| ||||||
Bank of America N.A., | ||||||||
| 2,194,475 | 0.150%, 03/01/11 | 2,194,475 | ||||||
| 1,000,000 | Banque Federative du Credit Mutuel, 0.180%, 03/01/11 | 1,000,000 | ||||||
| 1,000,000 | BPCE, 0.190%, 03/01/11 | 1,000,000 | ||||||
| 500,000 | Canadian Imperial Bank of Commerce, 0.130%, 03/01/11 | 500,000 | ||||||
Citibank N.A., | ||||||||
| 500,000 | 0.180%, 03/03/11 | 500,000 | ||||||
| 549,575 | 0.180%, 03/03/11 | 549,575 | ||||||
| 1,650,000 | Commerzbank AG, 0.180%, 03/04/11 | 1,650,000 | ||||||
Credit Agricole S.A., | ||||||||
| 600,000 | 0.170%, 03/01/11 | 600,000 | ||||||
| 1,065,000 | 0.190%, 03/01/11 | 1,065,000 | ||||||
DnB NOR Bank ASA, | ||||||||
| 3,000,000 | 0.170%, 03/01/11 | 3,000,000 | ||||||
| 500,000 | DZ Bank AG, 0.200%, 03/04/11 | 500,000 | ||||||
| 800,000 | Erste Bank Der Oesterreichischen Sparkas, 0.190%, 03/01/11 | 800,000 | ||||||
| 1,000,000 | Intesa Sanpaolo S.p.A., 0.190%, 03/01/11 | 1,000,000 | ||||||
KBC Bank N.V., | ||||||||
| 1,300,000 | 0.170%, 03/01/11 | 1,300,000 | ||||||
| 1,000,000 | 0.180%, 03/01/11 | 1,000,000 | ||||||
Landesbank Hessen-Thueringen Girozentral, | ||||||||
| 700,000 | 0.200%, 03/02/11 | 700,000 | ||||||
| 500,000 | Natixis, 0.190%, 03/01/11 | 500,000 | ||||||
Royal Bank of Canada, | ||||||||
| 500,000 | 0.180%, 03/01/11 | 500,000 | ||||||
| 1,764,342 | 0.200%, 03/01/11 | 1,764,342 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 500,000 | Skandinaviska Enskilda Banken, 0.190%, 03/01/11 | 500,000 | ||||||
| 1,300,000 | Societe Generale, 0.190%, 03/01/11 | 1,300,000 | ||||||
| 1,000,000 | Svenska Handelsbanken, Inc., 0.170%, 03/01/11 | 1,000,000 | ||||||
| 1,500,000 | UBS AG, 0.180%, 03/01/11 | 1,500,000 | ||||||
| 1,000,000 | UniCredit Bank AG, 0.220%, 03/03/11 | 1,000,000 | ||||||
Total Time Deposits | 25,423,392 | |||||||
| U.S. Government Agency Securities — 6.2% |
| ||||||
Federal Home Loan Bank, | ||||||||
| 632,000 | VAR, 0.154%, 04/30/11 | 631,849 | ||||||
| 409,000 | VAR, 0.271%, 05/07/11 | 408,888 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 550,000 | VAR, 0.212%, 03/29/11 | 549,770 | ||||||
| 200,000 | VAR, 0.224%, 03/14/11 | 199,937 | ||||||
| 600,000 | VAR, 0.225%, 03/16/11 | 599,807 | ||||||
| 466,550 | VAR, 0.233%, 03/03/11 | 466,346 | ||||||
| 509,900 | VAR, 0.262%, 03/26/11 | 509,765 | ||||||
| 687,000 | VAR, 0.350%, 03/01/11 | 686,613 | ||||||
Federal National Mortgage Association, | ||||||||
| 561,000 | DN, 0.513%, 05/02/11 (n) | 560,507 | ||||||
| 416,000 | VAR, 0.282%, 03/23/11 | 415,813 | ||||||
| 900,000 | VAR, 0.292%, 03/28/11 | 899,667 | ||||||
| 423,000 | VAR, 0.293%, 03/20/11 | 422,845 | ||||||
| 1,082,250 | VAR, 0.360%, 03/01/11 | 1,081,866 | ||||||
| 835,000 | VAR, 0.390%, 03/01/11 | 834,741 | ||||||
Total U.S. Government Agency Securities | 8,268,414 | |||||||
| U.S. Treasury Obligations — 0.6% |
| ||||||
U.S. Treasury Notes — 0.6% | ||||||||
| 273,000 | 0.875%, 01/31/12 | 274,294 | ||||||
| 553,000 | 0.875%, 02/29/12 | 555,891 | ||||||
| 830,185 | ||||||||
Total U.S. Treasury Obligations | 830,185 | |||||||
Total Investments — 100.1% | 133,808,785 | |||||||
Liabilities in Excess of | (176,715 | ) | ||||||
NET ASSETS — 100.0% | $ | 133,632,070 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 15 | ||||||
Table of Contents
JPMorgan Liquid Assets Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Certificates of Deposit — 49.7% | |||||||
ABN Amro Bank N.V., | ||||||||
| 35,000 | 0.305%, 03/31/11 | 35,000 | ||||||
| 50,000 | 0.305%, 03/09/11 | 50,000 | ||||||
Australia & New Zealand Banking Group Ltd., | ||||||||
| 11,000 | 0.310%, 03/17/11 | 11,000 | ||||||
| 19,000 | 0.320%, 03/14/11 | 19,000 | ||||||
| 18,000 | 0.340%, 05/19/11 | 18,000 | ||||||
| 10,000 | 0.350%, 06/01/11 | 10,000 | ||||||
Bank of Nova Scotia, | ||||||||
| 9,000 | 0.260%, 03/18/11 | 9,000 | ||||||
| 40,000 | 0.260%, 04/18/11 | 40,000 | ||||||
| 34,000 | 0.260%, 03/01/11 | 34,000 | ||||||
| 19,000 | 0.270%, 05/25/11 | 19,000 | ||||||
| 15,000 | 0.270%, 04/10/11 | 15,000 | ||||||
| 38,000 | 0.280%, 05/18/11 | 38,000 | ||||||
| 37,000 | 0.350%, 07/06/11 | 37,000 | ||||||
| 37,000 | 0.430%, 09/06/11 | 37,000 | ||||||
| 12,000 | 0.430%, 09/07/11 | 12,000 | ||||||
| 20,000 | 0.430%, 09/09/11 | 20,000 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||
| 15,000 | 0.360%, 03/23/11 | 15,000 | ||||||
| 8,000 | 0.380%, 03/14/11 | 8,000 | ||||||
| 20,000 | 0.380%, 04/25/11 | 20,000 | ||||||
| 23,000 | 0.380%, 05/02/11 | 23,000 | ||||||
| 213,000 | 0.400%, 07/20/11 | 213,000 | ||||||
| 3,000 | 0.950%, 07/14/11 | 3,006 | ||||||
Barclays Bank plc, | ||||||||
| 35,000 | 0.362%, 03/22/11 | 35,000 | ||||||
| 60,000 | 0.400%, 03/07/11 | 60,000 | ||||||
BNP Paribas, | ||||||||
| 37,000 | 0.352%, 03/29/11 | 37,000 | ||||||
| 18,000 | 0.352%, 03/30/11 | 18,000 | ||||||
| 70,000 | 0.362%, 03/20/11 | 70,000 | ||||||
| 68,000 | 0.373%, 03/22/11 | 68,000 | ||||||
| 32,000 | 0.380%, 05/02/11 | 32,000 | ||||||
| 34,000 | 0.400%, 04/01/11 | 34,000 | ||||||
| 33,000 | 0.400%, 05/03/11 | 33,000 | ||||||
| 43,000 | 0.560%, 08/09/11 | 43,000 | ||||||
| 20,000 | BPCE S.A., 0.410%, 05/10/11 | 20,000 | ||||||
Caisse des Depots et Consignation, | ||||||||
| 113,000 | 0.410%, 07/28/11 | 113,004 | ||||||
| 23,000 | 0.420%, 08/09/11 | 23,000 | ||||||
| 15,000 | 0.570%, 09/13/11 | 15,000 | ||||||
| 30,000 | 0.580%, 09/02/11 | 30,002 | ||||||
Clydesdale Bank plc, | ||||||||
| 9,000 | 0.340%, 05/27/11 | 9,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 19,000 | 0.410%, 04/15/11 | 19,001 | ||||||
| 10,000 | Commonwealth Bank of Australia Ltd., 0.340%, 05/26/11 | 10,000 | ||||||
Credit Agricole Corporate & Investment Bank, | ||||||||
| 40,000 | 0.340%, 03/15/11 | 40,000 | ||||||
| 10,000 | 0.350%, 05/23/11 | 10,000 | ||||||
| 98,000 | 0.360%, 05/09/11 | 98,000 | ||||||
| 19,000 | 0.380%, 05/02/11 | 19,000 | ||||||
| 80,000 | Credit Industriel et Commercial, 0.295%, 04/14/11 | 80,001 | ||||||
Credit Suisse, | ||||||||
| 46,000 | 0.260%, 03/01/11 | 46,000 | ||||||
| 29,000 | 0.260%, 03/01/11 | 29,000 | ||||||
| 36,000 | 0.260%, 03/01/11 | 36,000 | ||||||
Danske Bank A/S, | ||||||||
| 210,000 | 0.280%, 03/11/11 | 210,001 | ||||||
| 36,000 | 0.285%, 03/08/11 | 36,000 | ||||||
Deutsche Bank AG, | ||||||||
| 20,000 | 0.340%, 05/16/11 | 20,000 | ||||||
| 47,000 | 0.350%, 05/26/11 | 47,000 | ||||||
| 55,000 | DnB NOR Bank ASA, 0.295%, 04/12/11 | 55,000 | ||||||
DZ Bank AG, | ||||||||
| 18,000 | 0.280%, 03/31/11 | 18,000 | ||||||
| 18,000 | 0.300%, 03/07/11 | 18,000 | ||||||
| 19,000 | 0.310%, 03/04/11 | 19,000 | ||||||
HSBC Bank plc, | ||||||||
| 18,000 | 0.340%, 06/01/11 | 18,000 | ||||||
| 20,000 | 0.345%, 05/19/11 | 20,000 | ||||||
| 100,000 | 0.465%, 09/16/11 | 100,000 | ||||||
| 100,000 | 0.510%, 08/23/11 | 100,000 | ||||||
| 106,000 | 0.530%, 08/22/11 | 106,000 | ||||||
| 50,000 | 0.590%, 08/16/11 | 50,001 | ||||||
ING Bank N.V., | ||||||||
| 40,000 | 0.310%, 04/08/11 | 40,000 | ||||||
| 108,000 | 0.320%, 05/06/11 | 108,000 | ||||||
| 39,000 | Lloyds TSB Bank plc, 0.287%, 03/28/11 | 39,000 | ||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||
| 10,000 | 0.390%, 08/30/11 | 10,000 | ||||||
| 10,000 | 0.400%, 05/31/11 | 10,000 | ||||||
| 25,000 | 0.405%, 06/01/11 | 25,000 | ||||||
| 50,000 | 0.470%, 04/29/11 | 50,001 | ||||||
Mizuho Corporate Bank Ltd., | ||||||||
| 18,000 | 0.290%, 03/11/11 | 18,000 | ||||||
| 40,000 | 0.300%, 05/09/11 | 40,000 | ||||||
| 61,000 | 0.310%, 05/03/11 | 61,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Certificates of Deposit — Continued | |||||||
National Australia Bank Ltd., | ||||||||
| 35,000 | 0.315%, 05/10/11 | 35,000 | ||||||
| 33,000 | 0.335%, 03/07/11 | 33,000 | ||||||
| 34,000 | 0.350%, 06/09/11 | 34,000 | ||||||
| 11,000 | 0.390%, 06/09/11 | 11,000 | ||||||
Natixis, | ||||||||
| 51,000 | 0.360%, 03/01/11 | 51,000 | ||||||
| 9,000 | 0.410%, 05/24/11 | 9,000 | ||||||
| 10,000 | 0.440%, 05/06/11 | 10,000 | ||||||
| 150,000 | 0.450%, 04/26/11 | 150,000 | ||||||
| 8,000 | Nederlandse Waterschapsbank N.V., 0.395%, 04/06/11 | 7,997 | ||||||
Nordea Bank Finland plc, | ||||||||
| 84,000 | 0.330%, 03/02/11 | 84,000 | ||||||
| 15,000 | 0.340%, 05/24/11 | 15,000 | ||||||
| 42,000 | 0.370%, 07/13/11 | 42,000 | ||||||
Norinchukin Bank-New York, | ||||||||
| 61,000 | 0.340%, 04/04/11 | 61,000 | ||||||
| 49,000 | 0.350%, 03/29/11 | 49,000 | ||||||
Rabobank Nederland N.V., | ||||||||
| 24,000 | 0.330%, 04/06/11 | 24,000 | ||||||
| 35,000 | 0.331%, 05/29/11 | 35,000 | ||||||
| 38,000 | 0.342%, 03/22/11 | 38,000 | ||||||
| 10,000 | 0.350%, 05/16/11 | 9,993 | ||||||
| 15,000 | 0.352%, 03/31/11 | 15,000 | ||||||
| 20,000 | 0.400%, 08/10/11 | 19,964 | ||||||
| 7,000 | 0.400%, 08/25/11 | 6,986 | ||||||
| 38,000 | 0.460%, 09/06/11 | 38,002 | ||||||
| 20,000 | 0.475%, 08/19/11 | 20,000 | ||||||
Royal Bank of Canada, | ||||||||
| 26,000 | 0.310%, 03/01/11 | 26,000 | ||||||
| 81,000 | 0.325%, 03/01/11 | 81,000 | ||||||
| 20,000 | 0.350%, 03/01/11 | 20,000 | ||||||
| 29,000 | 0.350%, 03/01/11 | 29,000 | ||||||
Royal Bank of Scotland plc, | ||||||||
| 138,000 | 0.260%, 04/08/11 | 138,000 | ||||||
Shizuoka Bank, | ||||||||
| 5,000 | 0.300%, 04/04/11 | 5,000 | ||||||
| 35,000 | 0.340%, 05/03/11 | 35,000 | ||||||
Societe Generale, | ||||||||
| 8,000 | 0.340%, 04/25/11 | 8,000 | ||||||
| 11,000 | 0.360%, 03/14/11 | 11,000 | ||||||
| 33,000 | 0.367%, 04/08/11 | 33,000 | ||||||
| 80,000 | 0.370%, 03/01/11 | 80,000 | ||||||
| 22,000 | 0.380%, 03/01/11 | 22,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
| 27,000 | 0.305%, 05/03/11 | 27,000 | ||||||
| 43,000 | 0.345%, 08/24/11 | 42,999 | ||||||
| 18,000 | VAR, 0.353%, 04/25/11 | 18,000 | ||||||
| 48,000 | 0.360%, 08/12/11 | 48,000 | ||||||
| 15,000 | 0.360%, 03/18/11 | 15,000 | ||||||
| 40,000 | 0.370%, 03/16/11 | 40,000 | ||||||
Sumitomo Trust & Banking Co., Ltd., | ||||||||
| 10,000 | 0.310%, 04/15/11 | 10,000 | ||||||
| 5,000 | 0.345%, 05/03/11 | 4,997 | ||||||
| 5,000 | 0.350%, 04/26/11 | 5,000 | ||||||
| 8,000 | 0.360%, 05/03/11 | 7,995 | ||||||
Svenska Handelsbanken, | ||||||||
| 24,000 | 0.285%, 04/04/11 | 24,000 | ||||||
| 38,000 | 0.320%, 03/08/11 | 38,000 | ||||||
| 27,000 | 0.350%, 08/25/11 | 27,000 | ||||||
| 29,000 | 0.355%, 09/01/11 | 29,001 | ||||||
| 39,000 | 0.360%, 06/08/11 | 39,000 | ||||||
| 100,000 | Swedbank AB, 0.190%, 03/03/11 | 100,000 | ||||||
| 12,000 | Toronto Dominion Bank, 0.300%, 03/14/11 | 12,000 | ||||||
| 19,000 | UBS AG, 0.300%, 05/13/11 | 19,000 | ||||||
Westpac Banking Corp., | ||||||||
| 18,000 | 0.250%, 03/01/11 | 18,000 | ||||||
| 75,000 | 0.250%, 03/01/11 | 75,000 | ||||||
Total Certificates of Deposit | 4,817,951 | |||||||
| Commercial Paper - 19.6% (n) | |||||||
| 22,699 | Amsterdam Funding Corp., 0.240%, | 22,699 | ||||||
| 45,000 | Antalis U.S. Funding Corp., 0.300%, | 44,997 | ||||||
| 50,000 | Argento Variable Funding Co. LLC, 0.270%, | 50,000 | ||||||
| 231,934 | Atlantic Asset Securitization LLC, 0.180%, | 231,934 | ||||||
Atlantis One Funding Corp., | ||||||||
| 13,000 | 0.331%, 04/04/11 (e) (m) | 12,996 | ||||||
| 16,000 | 0.331%, 05/09/11 (e) | 15,990 | ||||||
| 15,000 | 0.341%, 03/21/11 (e) | 14,997 | ||||||
| 27,000 | 0.371%, 08/23/11 (e) | 26,951 | ||||||
Australia & New Zealand Banking Group Ltd., | ||||||||
| 25,000 | 0.310%, 03/16/11 (e) | 24,997 | ||||||
| 30,000 | 0.341%, 05/27/11 (e) | 29,975 | ||||||
| 18,000 | 0.351%, 06/08/11 (e) | 17,983 | ||||||
| 50,000 | 0.361%, 05/31/11 (e) | 49,954 | ||||||
| 27,000 | Barclays U.S. Funding Corp., 0.381%, 05/18/11 | 26,978 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 17 | ||||||
Table of Contents
JPMorgan Liquid Assets Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Paper — Continued | |||||||
| 20,000 | Belmont Funding LLC, 0.450%, 03/18/11 (e) | 19,996 | ||||||
| 30,000 | BNP Paribas, 0.401%, 05/03/11 | 29,979 | ||||||
BPCE S.A., | ||||||||
| 30,000 | 0.380%, 03/23/11 (e) | 29,993 | ||||||
| 16,000 | 0.380%, 03/31/11 (e) | 15,995 | ||||||
Caisse d’Amortissement de la Dette Sociale, | ||||||||
| 68,000 | 0.345%, 05/10/11 (e) | 67,954 | ||||||
| 15,000 | 0.345%, 05/12/11 (e) | 14,990 | ||||||
| 55,000 | 0.366%, 07/07/11 (e) | 54,929 | ||||||
| 9,000 | 0.391%, 07/20/11 (e) | 8,986 | ||||||
Commonwealth Bank of Australia Ltd., | ||||||||
| 5,000 | 0.351%, 06/09/11 (e) | 4,995 | ||||||
| 10,000 | 0.351%, 07/07/11 (e) | 9,988 | ||||||
| 20,000 | Credit Agricole North America, Inc., 0.355%, 04/21/11 | 19,990 | ||||||
| 180,000 | Erste Finance (Delaware) LLC, 0.250%, 03/03/11 (e) | 179,997 | ||||||
| 97,000 | European Investment Bank, 0.400%, 03/25/11 | 96,974 | ||||||
General Electric Capital Corp., | ||||||||
| 20,000 | 0.240%, 03/04/11 | 20,000 | ||||||
| 35,000 | 0.250%, 04/06/11 | 34,991 | ||||||
Kells Funding LLC, | ||||||||
| 20,000 | 0.401%, 08/02/11 | 19,966 | ||||||
| 50,000 | 0.411%, 08/01/11 (e) | 49,913 | ||||||
Macquarie Bank Ltd., | ||||||||
| 10,000 | 0.295%, 03/24/11 (e) | 9,998 | ||||||
| 15,000 | 0.300%, 03/09/11 (e) | 14,999 | ||||||
| 50,000 | 0.300%, 03/15/11 (e) | 49,994 | ||||||
| 38,500 | MetLife Short Term Funding LLC, 0.260%, 04/04/11 (e) | 38,491 | ||||||
| 65,000 | Mizuho Funding LLC, 0.290%, 03/02/11 (e) | 64,999 | ||||||
| 16,000 | National Australia Funding (Delaware), Inc., 0.341%, 07/01/11 (e) | 15,982 | ||||||
NRW Bank Corp., | ||||||||
| 9,000 | 0.290%, 05/02/11 | 8,996 | ||||||
| 29,000 | 0.300%, 05/03/11 | 28,985 | ||||||
| 10,000 | 0.351%, 07/11/11 | 9,987 | ||||||
| 50,000 | 0.361%, 07/12/11 | 49,933 | ||||||
| 51,000 | 0.396%, 03/10/11 | 50,995 | ||||||
| 10,000 | Royal Park Investments Funding Corp., 0.480%, 03/10/11 | 9,999 | ||||||
| 50,000 | Scaldis Capital LLC, 0.280%, 03/07/11 (e) | 49,998 | ||||||
Straight-A Funding LLC, | ||||||||
| 66,369 | 0.250%, 03/01/11 | 66,365 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
| 10,000 | 0.305%, 05/02/11 (e) | 9,995 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 50,000 | 0.351%, 03/21/11 (e) | 49,990 | ||||||
| 30,000 | Total Capital Canada Ltd., 0.321%, 03/03/11 (e) | 29,999 | ||||||
| 10,000 | Toyota Motor Credit Corp., 0.300%, 03/08/11 | 9,999 | ||||||
Westpac Banking Corp., | ||||||||
| 19,000 | 0.300%, 03/08/11 (e) | 18,999 | ||||||
| 30,000 | 0.310%, 04/05/11 (e) | 29,991 | ||||||
| 14,000 | 0.341%, 07/05/11 (e) | 13,983 | ||||||
| 15,000 | 0.351%, 06/10/11 (e) | 14,985 | ||||||
Total Commercial Paper | 1,897,749 | |||||||
| Corporate Notes — 0.6% | |||||||
Financials — 0.6% | ||||||||
Commercial Banks — 0.3% | ||||||||
| 35,000 | Australia & New Zealand Banking Group Ltd., 0.360%, 06/15/11 (e) | 35,000 | ||||||
Supranational — 0.3% | ||||||||
| 30,000 | World Bank, VAR, 0.314%, 03/13/11 | 30,000 | ||||||
Total Corporate Notes | 65,000 | |||||||
| Discount Note — 0.1% | |||||||
Supranational — 0.1% | ||||||||
| 13,800 | Inter-American Development Bank, 5.220%, 04/11/11 | 13,868 | ||||||
| Repurchase Agreements — 13.0% | |||||||
| 75,000 | Citigroup Global Markets, Inc., 0.730%, dated 02/28/11, due 07/12/11, repurchase price $75,204, collateralized by Corporate Bonds and Notes with a value of $76,500. (i) | 75,000 | ||||||
| 75,000 | Citigroup Global Markets, Inc., 0.930%, dated 02/28/11, due 07/12/11, repurchase price $75,260, collateralized by Corporate Bonds and Notes with a value of $76,500. (i) | 75,000 | ||||||
| 541,930 | Deutsche Bank Securities, 0.200%, dated 02/28/11, due 03/01/11, repurchase price $541,933, collateralized by U.S. Government Agency Securities with a value of $552,769. | 541,930 | ||||||
| 150,000 | Deutsche Bank Securities, 0.410%, dated 02/28/11, due 03/01/11, repurchase price $150,002, collateralized by Corporate Bonds and Notes with a value of $154,500. | 150,000 | ||||||
| 40,000 | Deutsche Bank Securities, 0.500%, dated 02/28/11, due 04/26/11, repurchase price $40,032, collateralized by Corporate Bonds and Notes with a value of $41,200. (i) | 40,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Repurchase Agreements — Continued | |||||||
| 35,000 | HSBC Securities, 0.300%, dated 02/28/11, due 03/01/11, repurchase price $35,000, collateralized by Corporate Bonds and Notes with a value of $36,052. | 35,000 | ||||||
| 150,000 | Merrill Lynch PFS, Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $150,001, collateralized by U.S. Government Agency Securities with a value of $153,000. | 150,000 | ||||||
| 100,000 | Merrill Lynch PFS, Inc., 0.880%, dated 02/28/11, due 09/15/11, repurchase price $100,486, collateralized by Corporate Bonds and Notes and U.S. Treasury Securities with a value of $105,000. (i) | 100,000 | ||||||
| 75,000 | RBS Securities, Inc., 0.480%, dated 02/28/11, due 03/01/11, repurchase price $75,001, collateralized by Corporate Bonds and Notes and U.S. Government Agency Securities with a value of $76,851. | 75,000 | ||||||
| 20,000 | UBS Securities LLC, 0.500%, dated 02/28/11, due 05/16/11, repurchase price $20,021, collateralized by Corporate Bonds and Notes with a value of $21,000. (i) | 20,000 | ||||||
Total Repurchase Agreements | 1,261,930 | |||||||
| Time Deposits — 13.0% | |||||||
| 150,000 | Citibank N.A., 0.180%, 03/03/11 | 150,000 | ||||||
| 185,000 | Commerzbank AG, 0.180%, 03/04/11 | 185,000 | ||||||
| 200,000 | Erste Bank, 0.190%, 03/01/11 | 200,000 | ||||||
| 300,000 | Intesa Sanpaolo S.p.A., 0.190%, 03/01/11 | 300,000 | ||||||
| 200,000 | KBC Bank N.V., 0.180%, 03/01/11 | 200,000 | ||||||
| 25,000 | Landesbank Hessen, 0.200%, 03/03/11 | 25,000 | ||||||
| 200,000 | Societe Generale, 0.190%, 03/01/11 | 200,000 | ||||||
Total Time Deposits | 1,260,000 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 4.7% | |||||||
Federal Home Loan Bank, | ||||||||
| 46,000 | VAR, 0.154%, 04/30/11 | 45,989 | ||||||
| 30,600 | VAR, 0.271%, 05/07/11 | 30,592 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 40,000 | VAR, 0.212%, 03/29/11 | 39,983 | ||||||
| 40,000 | VAR, 0.262%, 03/26/11 | 39,989 | ||||||
| 48,000 | VAR, 0.350%, 03/01/11 | 47,973 | ||||||
Federal National Mortgage Association, | ||||||||
| 41,000 | DN, 0.513%, 05/02/11 (n) | 40,964 | ||||||
| 50,000 | VAR, 0.282%, 03/23/11 | 49,978 | ||||||
| 50,000 | VAR, 0.292%, 03/28/11 | 49,981 | ||||||
| 76,000 | VAR, 0.360%, 03/01/11 | 75,973 | ||||||
| 33,000 | VAR, 0.390%, 03/01/11 | 32,990 | ||||||
Total U.S. Government Agency Securities | 454,412 | |||||||
| U.S. Treasury Obligations — 0.6% | |||||||
U.S. Treasury Notes — 0.6% | ||||||||
| 19,000 | 0.875%, 01/31/12 | 19,089 | ||||||
| 39,000 | 0.875%, 02/29/12 | 39,204 | ||||||
Total U.S. Treasury Obligations | 58,293 | |||||||
Total Investments — 101.3% | 9,829,203 | |||||||
Liabilities in Excess of | (127,577 | ) | ||||||
NET ASSETS — 100.0% | $ | 9,701,626 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 19 | ||||||
Table of Contents
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| U.S. Government Agency Securities — 69.5% |
| ||||||
Federal Farm Credit Bank — 0.6% |
| |||||||
| 100,000 | DN, 0.200%, 07/01/11 (n) | 99,932 | ||||||
| 50,000 | VAR, 0.284%, 03/12/11 | 49,992 | ||||||
| 250,000 | VAR, 0.320%, 03/01/11 | 249,764 | ||||||
| 399,688 | ||||||||
Federal Home Loan Bank — 25.2% |
| |||||||
| 50,000 | 0.190%, 08/04/11 | 49,995 | ||||||
| 350,000 | 0.190%, 08/11/11 | 349,951 | ||||||
| 390,000 | 0.200%, 04/21/11 | 389,977 | ||||||
| 660,000 | 0.200%, 04/29/11 | 659,975 | ||||||
| 374,000 | 0.210%, 03/30/11 | 373,988 | ||||||
| 257,000 | 0.260%, 11/18/11 | 256,937 | ||||||
| 50,000 | 0.320%, 12/09/11 | 49,983 | ||||||
| 234,200 | 0.330%, 04/25/11 | 234,227 | ||||||
| 217,195 | 0.340%, 05/03/11 | 217,226 | ||||||
| 100,000 | 0.350%, 12/07/11 | 99,981 | ||||||
| 419,000 | 0.530%, 06/28/11 | 419,401 | ||||||
| 220,000 | 3.250%, 03/11/11 | 220,182 | ||||||
| 1,733,000 | DN, 0.150%, 03/09/11 (n) | 1,732,942 | ||||||
| 1,552,550 | DN, 0.166%, 03/02/11 (n) | 1,552,543 | ||||||
| 592,347 | DN, 0.170%, 03/23/11 (n) | 592,286 | ||||||
| 221,095 | DN, 0.170%, 03/25/11 (n) | 221,070 | ||||||
| 974,000 | DN, 0.170%, 04/06/11 (n) | 973,834 | ||||||
| 566,089 | DN, 0.170%, 05/06/11 (n) | 565,913 | ||||||
| 300,000 | DN, 0.170%, 05/09/11 (n) | 299,902 | ||||||
| 384,000 | DN, 0.170%, 05/04/11 (n) | 383,884 | ||||||
| 398,000 | DN, 0.175%, 04/13/11 (n) | 397,917 | ||||||
| 650,000 | DN, 0.179%, 04/20/11 (n) | 649,839 | ||||||
| 1,325,998 | DN, 0.180%, 03/04/11 (n) | 1,325,978 | ||||||
| 508,500 | DN, 0.181%, 04/15/11 (n) | 508,385 | ||||||
| 575,000 | DN, 0.183%, 04/08/11 (n) | 574,889 | ||||||
| 200,000 | DN, 0.190%, 03/30/11 (n) | 199,969 | ||||||
| 437,650 | DN, 0.203%, 05/11/11 (n) | 437,475 | ||||||
| 15,000 | DN, 0.210%, 04/27/11 (n) | 14,995 | ||||||
| 110,500 | DN, 0.210%, 05/25/11 (n) | 110,445 | ||||||
| 225,000 | DN, 0.215%, 07/06/11 (n) | 224,830 | ||||||
| 95,000 | DN, 0.225%, 05/13/11 (n) | 94,957 | ||||||
| 283,000 | DN, 0.230%, 05/27/11 (n) | 282,843 | ||||||
| 449,500 | VAR, 0.163%, 04/15/11 | 449,415 | ||||||
| 419,000 | VAR, 0.173%, 04/26/11 | 418,932 | ||||||
| 405,000 | VAR, 0.192%, 05/10/11 | 404,927 | ||||||
| 253,500 | VAR, 0.212%, 03/25/11 | 253,481 | ||||||
| 300,000 | VAR, 0.223%, 03/01/11 | 299,908 | ||||||
| 200,000 | VAR, 0.227%, 03/26/11 | 199,945 | ||||||
| 16,493,327 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal Home Loan Mortgage Corp. — 24.5% |
| |||||||
| 51,271 | 5.125%, 04/18/11 | 51,605 | ||||||
| 566,299 | DN, 0.175%, 03/07/11 (n) | 566,283 | ||||||
| 450,000 | DN, 0.175%, 04/18/11 (n) | 449,895 | ||||||
| 345,000 | DN, 0.180%, 08/22/11 (n) | 344,700 | ||||||
| 188,549 | DN, 0.180%, 08/23/11 (n) | 188,384 | ||||||
| 986,159 | DN, 0.184%, 04/11/11 (n) | 985,952 | ||||||
| 250,000 | DN, 0.190%, 04/08/11 (n) | 249,950 | ||||||
| 745,000 | DN, 0.195%, 03/15/11 (n) | 744,944 | ||||||
| 366,700 | DN, 0.195%, 04/01/11 (n) | 366,638 | ||||||
| 200,000 | DN, 0.190%, 08/30/11 (n) | 199,808 | ||||||
| 200,000 | DN, 0.200%, 05/02/11 (n) | 199,931 | ||||||
| 475,000 | DN, 0.200%, 07/08/11 (n) | 474,659 | ||||||
| 175,000 | DN, 0.200%, 07/19/11 (n) | 174,864 | ||||||
| 275,000 | DN, 0.200%, 08/17/11 (n) | 274,742 | ||||||
| 450,000 | DN, 0.200%, 10/19/11 (n) | 449,420 | ||||||
| 201,500 | DN, 0.200%, 11/01/11 (n) | 201,226 | ||||||
| 404,000 | DN, 0.200%, 03/28/11 (n) | 403,940 | ||||||
| 475,000 | DN, 0.200%, 07/07/11 (n) | 474,662 | ||||||
| 496,253 | DN, 0.200%, 05/09/11 (n) | 496,063 | ||||||
| 15,000 | DN, 0.210%, 09/07/11 (n) | 14,983 | ||||||
| 356,021 | DN, 0.210%, 03/14/11 (n) | 355,994 | ||||||
| 234,000 | DN, 0.210%, 05/10/11 (n) | 233,905 | ||||||
| 750,000 | DN, 0.212%, 07/13/11 (n) | 749,409 | ||||||
| 192,400 | DN, 0.215%, 08/04/11 (n) | 192,221 | ||||||
| 250,000 | DN, 0.215%, 08/05/11 (n) | 249,765 | ||||||
| 637,625 | DN, 0.218%, 04/26/11 (n) | 637,409 | ||||||
| 928,320 | DN, 0.219%, 04/04/11 (n) | 928,128 | ||||||
| 350,000 | DN, 0.220%, 07/26/11 (n) | 349,685 | ||||||
| 551,000 | DN, 0.220%, 04/06/11 (n) | 550,879 | ||||||
| 516,278 | DN, 0.221%, 07/05/11 (n) | 515,879 | ||||||
| 540,344 | DN, 0.222%, 04/27/11 (n) | 540,154 | ||||||
| 175,000 | DN, 0.225%, 05/16/11 (n) | 174,917 | ||||||
| 300,000 | DN, 0.230%, 04/05/11 (n) | 299,933 | ||||||
| 560,000 | DN, 0.261%, 06/21/11 (n) | 559,547 | ||||||
| 690,320 | VAR, 0.212%, 03/29/11 | 690,031 | ||||||
| 323,000 | VAR, 0.224%, 03/14/11 | 322,898 | ||||||
| 150,000 | VAR, 0.225%, 03/16/11 | 149,952 | ||||||
| 496,700 | VAR, 0.353%, 04/07/11 | 496,690 | ||||||
| 271,994 | VAR, 0.363%, 04/01/11 | 272,034 | ||||||
| 475,000 | VAR, 0.372%, 03/09/11 (m) | 474,999 | ||||||
| 16,057,078 | ||||||||
Federal National Mortgage Association — 19.2% |
| |||||||
| 550,000 | 1.375%, 04/28/11 | 551,024 | ||||||
| 300,000 | DN, 0.130%, 04/15/11 (n) | 299,951 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
Federal National Mortgage Association — Continued |
| |||||||
| 50,000 | DN, 0.160%, 03/09/11 (n) | 49,998 | ||||||
| 1,200,000 | DN, 0.160%, 03/17/11 (n) | 1,199,915 | ||||||
| 50,000 | DN, 0.170%, 05/11/11 (n) | 49,983 | ||||||
| 470,000 | DN, 0.175%, 04/13/11 (n) | 469,902 | ||||||
| 198,000 | DN, 0.175%, 08/17/11 (n) | 197,837 | ||||||
| 117,000 | DN, 0.180%, 08/03/11 (n) | 116,909 | ||||||
| 350,000 | DN, 0.186%, 03/21/11 (n) | 349,964 | ||||||
| 378,500 | DN, 0.190%, 04/26/11 (n) | 378,388 | ||||||
| 371,000 | DN, 0.190%, 05/04/11 (n) | 370,875 | ||||||
| 222,206 | DN, 0.197%, 03/23/11 (n) | 222,179 | ||||||
| 201,500 | DN, 0.200%, 08/10/11 (n) | 201,319 | ||||||
| 275,000 | DN, 0.200%, 04/27/11 (n) | 274,913 | ||||||
| 450,000 | DN, 0.200%, 10/03/11 (n) | 449,460 | ||||||
| 618,700 | DN, 0.201%, 05/02/11 (n) | 618,486 | ||||||
| 392,930 | DN, 0.208%, 05/16/11 (n) | 392,758 | ||||||
| 200,000 | DN, 0.210%, 07/06/11 (n) | 199,852 | ||||||
| 450,000 | DN, 0.210%, 05/17/11 (n) | 449,798 | ||||||
| 362,500 | DN, 0.214%, 05/18/11 (n) | 362,332 | ||||||
| 136,254 | DN, 0.220%, 03/16/11 (n) | 136,241 | ||||||
| 346,000 | DN, 0.240%, 03/28/11 (n) | 345,938 | ||||||
| 1,292,000 | DN, 0.261%, 04/11/11 (n) | 1,291,616 | ||||||
| 375,100 | DN, 0.280%, 03/02/11 (n) | 375,097 | ||||||
| 552,000 | DN, 0.325%, 07/11/11 (n) | 551,344 | ||||||
| 250,000 | DN, 0.492%, 04/01/11 (n) | 249,895 | ||||||
| 100,000 | VAR, 0.192%, 05/13/11 | 99,989 | ||||||
| 331,000 | VAR, 0.282%, 03/23/11 | 330,851 | ||||||
| 350,000 | VAR, 0.292%, 03/28/11 | 349,870 | ||||||
| 350,000 | VAR, 0.293%, 03/20/11 | 349,872 | ||||||
| 296,900 | VAR, 0.293%, 03/18/11 | 296,802 | ||||||
| 533,000 | VAR, 0.360%, 03/01/11 | 532,814 | ||||||
| 484,000 | VAR, 0.360%, 03/01/11 | 483,743 | ||||||
| 12,599,915 | ||||||||
Total U.S. Government Agency Securities | 45,550,008 | |||||||
| U.S. Treasury Obligations — 5.1% |
| ||||||
U.S. Treasury Bills — 2.3% (n) | ||||||||
| 1,150,000 | 0.161%, 03/17/11 | 1,149,918 | ||||||
| 350,000 | 0.173%, 09/01/11 | 349,695 | ||||||
| 1,499,613 | ||||||||
U.S. Treasury Notes — 2.8% |
| |||||||
| 200,000 | 0.875%, 03/31/11 | 200,105 | ||||||
| 185,000 | 0.875%, 01/31/12 | 185,903 | ||||||
| 192,000 | 0.875%, 02/29/12 | 192,984 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Treasury Notes — Continued |
| |||||||
| 528,000 | 1.000%, 09/30/11 | 530,311 | ||||||
| 300,000 | 1.125%, 06/30/11 | 300,945 | ||||||
| 320,000 | 4.500%, 09/30/11 | 327,893 | ||||||
| 36,000 | 4.625%, 08/31/11 | 36,792 | ||||||
| 50,000 | 4.875%, 05/31/11 | 50,580 | ||||||
| 1,825,513 | ||||||||
Total U.S. Treasury Obligations | 3,325,126 | |||||||
| Repurchase Agreements — 25.9% |
| ||||||
| 1,000,000 | Barclays Capital, Inc., 0.170%, dated 02/28/11, due 03/01/11, repurchase price $1,000,005, collateralized by U.S. Government Agency Securities with a value of $1,034,298. | 1,000,000 | ||||||
| 1,000,000 | Barclays Capital, Inc., 0.170%, dated 02/28/11, due 03/02/11, repurchase price $1,000,009, collateralized by U.S. Government Agency Securities with a value of $1,030,184. | 1,000,000 | ||||||
| 1,000,000 | Barclays Capital, Inc., 0.180%, dated 02/28/11, due 03/01/11, repurchase price $1,000,005, collateralized by U.S. Government Agency Securities with a value of $1,020,002. | 1,000,000 | ||||||
| 2,198,000 | Barclays Capital, Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $2,198,012, collateralized by U.S. Government Agency Securities with a value of $2,256,959. | 2,198,000 | ||||||
| 991,000 | Citibank N.A., 0.210%, dated 02/28/11, due 03/01/11, repurchase price $991,006, collateralized by U.S. Government Agency Securities with a value of $1,010,820. | 991,000 | ||||||
| 2,275,901 | Deutsche Bank AG, 0.200%, dated 02/28/11, due 03/01/11, repurchase price $2,275,914, collateralized by U.S. Government Agency Securities with a value of $2,321,419. | 2,275,901 | ||||||
| 1,500,000 | Goldman Sachs & Co., 0.180%, dated 02/28/11, due 03/02/11, repurchase price $1,500,015, collateralized by U.S. Government Agency Securities with a value of $1,530,000. | 1,500,000 | ||||||
| 1,500,000 | Goldman Sachs & Co., 0.180%, dated 02/28/11, due 03/03/11, repurchase price $1,500,023, collateralized by U.S. Government Agency Securities with a value of $1,530,000. | 1,500,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 21 | ||||||
Table of Contents
JPMorgan U.S. Government Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Repurchase Agreements — Continued |
| ||||||
| 500,000 | Goldman Sachs & Co., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $500,003, collateralized by U.S. Government Agency Securities with a value of $510,000. | 500,000 | ||||||
| 183,129 | Merrill Lynch & Co., Inc., 0.200%, dated 02/28/11, due 03/01/11, repurchase price $183,130, collateralized by U.S. Government Agency Securities with a value of $188,623. | 183,129 | ||||||
| 1,100,000 | RBS Securities, Inc., 0.170%, dated 02/28/11, due 03/02/11, repurchase price $1,100,010, collateralized by U.S. Government Agency Securities with a value of $1,130,596. | 1,100,000 | ||||||
| 1,491,000 | RBS Securities, Inc., 0.210%, dated 02/28/11, due 03/01/11, repurchase price $1,491,009, collateralized by U.S. Treasury Securities with a value of $1,520,822. | 1,491,000 | ||||||
| 475,000 | RBS Securities, Inc., 0.250%, dated 02/28/11, due 05/03/11, repurchase price $475,211, collateralized by U.S. Government Agency Securities with a value of $485,978. (i) | 475,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 1,000,000 | RBS Securities, Inc., 0.250%, dated 02/28/11, due 04/11/11, repurchase price $1,000,292, collateralized by U.S. Government Agency Securities with a value of $1,030,001. (i) | 1,000,000 | ||||||
| 741,000 | UBS Warburg LLC, 0.210%, dated 02/28/11, due 03/01/11, repurchase price $741,004, collateralized by U.S. Government Agency Securities with a value of $755,821. | 741,000 | ||||||
Total Repurchase Agreements | 16,955,030 | |||||||
Total Investments — 100.5% | 65,830,164 | |||||||
Liabilities in Excess of | (339,612 | ) | ||||||
NET ASSETS — 100.0% | $ | 65,490,552 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan U.S. Treasury Plus Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| U.S. Treasury Obligations — 42.8% |
| ||||||
U.S. Treasury Bills — 16.5% (n) | ||||||||
| 900,000 | 0.114%, 03/17/11 (m) | 899,954 | ||||||
| 500,000 | 0.142%, 03/10/11 | 499,982 | ||||||
| 66,500 | 0.186%, 05/19/11 | 66,473 | ||||||
| 75,000 | 0.187%, 07/28/11 | 74,942 | ||||||
| 150,000 | 0.200%, 03/24/11 | 149,981 | ||||||
| 200,000 | 0.200%, 03/31/11 | 199,967 | ||||||
| 150,000 | 0.202%, 07/07/11 | 149,892 | ||||||
| 2,041,191 | ||||||||
U.S. Treasury Notes — 26.3% |
| |||||||
| 296,500 | 0.750%, 11/30/11 | 297,594 | ||||||
| 350,000 | 0.875%, 03/31/11 | 350,194 | ||||||
| 120,000 | 0.875%, 05/31/11 | 120,208 | ||||||
| 35,000 | 0.875%, 01/31/12 | 35,171 | ||||||
| 100,000 | 0.875%, 02/29/12 | 100,514 | ||||||
| 100,000 | 1.000%, 07/31/11 | 100,349 | ||||||
| 270,000 | 1.000%, 08/31/11 | 271,043 | ||||||
| 200,000 | 1.000%, 09/30/11 | 200,844 | ||||||
| 300,000 | 1.000%, 10/31/11 | 301,463 | ||||||
| 250,000 | 1.125%, 06/30/11 | 250,761 | ||||||
| 75,000 | 1.125%, 12/15/11 | 75,486 | ||||||
| 100,000 | 1.750%, 11/15/11 | 101,054 | ||||||
| 80,000 | 4.500%, 09/30/11 | 81,973 | ||||||
| 200,000 | 4.750%, 03/31/11 | 200,751 | ||||||
| 350,000 | 4.875%, 05/31/11 | 354,069 | ||||||
| 399,000 | 5.125%, 06/30/11 | 405,484 | ||||||
| 3,246,958 | ||||||||
Total U.S. Treasury Obligations | 5,288,149 | |||||||
| Repurchase Agreements — 57.1% |
| ||||||
| 172,901 | Barclays Capital, Inc., 0.180%, dated 02/28/11, due 03/01/11, repurchase price $172,902, collateralized by U.S. Treasury Securities with a value of $176,359. | 172,901 | ||||||
| 400,000 | Barclays Capital, Inc., 0.180%, dated 02/28/11, due 03/01/11, repurchase price $400,002, collateralized by U.S. Treasury Securities with a value of $408,000. | 400,000 | ||||||
| 2,000,000 | Barclays Capital, Inc., 0.180%, dated 02/28/11, due 03/01/11, repurchase price $2,000,010, collateralized by U.S. Treasury Securities with a value of $2,040,000. | 2,000,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 1,000,000 | Credit Suisse First Boston USA, Inc., 0.180%, dated 02/28/11, due 03/01/11, repurchase price $1,000,005, collateralized by U.S. Treasury Securities with a value of $1,020,000. | 1,000,000 | ||||||
| 1,000,000 | Deutsche Bank Securities, Inc., 0.170%, dated 02/28/11, due 03/01/11, repurchase price $1,000,005, collateralized by U.S. Treasury Securities with a value of $1,020,000. | 1,000,000 | ||||||
| 500,000 | Deutsche Bank Securities, Inc., 0.130%, dated 02/28/11, due 03/01/11, repurchase price $500,002, collateralized by U.S. Treasury Securities with a value of $510,000 | 500,000 | ||||||
| 500,000 | Goldman Sachs & Co., 0.130%, dated 02/28/11, due 03/02/11, repurchase price $500,004, collateralized by U.S. Government Agency Securities with a value of $510,000. | 500,000 | ||||||
| 75,926 | Merrill Lynch & Co., Inc., 0.170%, dated 02/28/11, due 03/01/11, repurchase price $75,926, collateralized by U.S. Treasury Securities with a value of $77,445 | 75,926 | ||||||
| 1,000,000 | RBS Securities, Inc., 0.140%, dated 02/28/11, due 03/02/11, repurchase price $1,000,008, collateralized by U.S. Treasury Securities with a value of $1,020,000. | 1,000,000 | ||||||
| 400,000 | UBS Warburg LLC, 0.180%, dated 02/28/11, due 03/01/11, repurchase price $400,002, collateralized by U.S. Treasury Securities with a value of $408,000. | 400,000 | ||||||
Total Repurchase Agreements | 7,048,827 | |||||||
Total Investments — 99.9% | 12,336,976 | |||||||
Other Assets in Excess of | 16,255 | |||||||
NET ASSETS — 100.0% | $ | 12,353,231 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 23 | ||||||
Table of Contents
JPMorgan Federal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| U.S. Government Agency Securities — 60.2% |
| ||||||
Federal Farm Credit Bank — 16.1% |
| |||||||
| 25,000 | DN, 0.210%, 05/26/11 (m)(n) | 24,987 | ||||||
| 150,000 | DN, 0.210%, 06/10/11 (m)(n) | 149,912 | ||||||
| 50,000 | DN, 0.210%, 06/13/11 (m)(n) | 49,970 | ||||||
| 25,000 | DN, 0.220%, 03/01/11 (m)(n) | 25,000 | ||||||
| 25,000 | DN, 0.220%, 03/18/11 (m)(n) | 24,997 | ||||||
| 25,000 | DN, 0.220%, 03/22/11 (m)(n) | 24,997 | ||||||
| 232,200 | VAR, 0.160%, 03/01/11 (m) | 232,200 | ||||||
| 181,685 | VAR, 0.184%, 03/10/11 | 181,682 | ||||||
| 69,000 | VAR, 0.202%, 03/15/11 | 68,999 | ||||||
| 33,000 | VAR, 0.223%, 03/21/11 | 33,000 | ||||||
| 92,250 | VAR, 0.223%, 03/06/11 | 92,218 | ||||||
| 115,000 | VAR, 0.284%, 03/14/11 | 115,029 | ||||||
| 50,000 | VAR, 0.284%, 03/12/11 | 49,992 | ||||||
| 50,000 | VAR, 0.310%, 03/01/11 | 50,014 | ||||||
| 30,000 | VAR, 0.330%, 03/01/11 | 29,972 | ||||||
| 1,152,969 | ||||||||
Federal Home Loan Bank — 44.1% |
| |||||||
| 24,000 | 0.190%, 08/04/11 | 23,998 | ||||||
| 75,000 | 0.190%, 08/11/11 | 74,989 | ||||||
| 25,000 | 0.200%, 07/25/11 | 24,998 | ||||||
| 50,000 | 0.200%, 04/21/11 | 49,997 | ||||||
| 50,000 | 0.200%, 04/29/11 | 49,998 | ||||||
| 55,000 | 0.210%, 03/14/11 | 55,000 | ||||||
| 55,000 | 0.210%, 03/30/11 | 54,998 | ||||||
| 31,000 | 0.260%, 11/18/11 | 30,992 | ||||||
| 65,000 | 0.300%, 04/21/11 | 65,003 | ||||||
| 35,000 | 0.320%, 12/09/11 | 34,988 | ||||||
| 60,000 | 0.350%, 03/21/11 | 60,004 | ||||||
| 15,000 | 0.500%, 04/08/11 | 14,999 | ||||||
| 50,000 | 0.530%, 06/28/11 | 50,048 | ||||||
| 21,505 | 0.700%, 04/18/11 | 21,510 | ||||||
| 100,000 | 0.750%, 03/18/11 | 100,010 | ||||||
| 25,000 | 1.625%, 07/27/11 | 25,132 | ||||||
| 24,200 | 3.250%, 03/11/11 | 24,220 | ||||||
| 88,000 | DN, 0.001%, 04/27/11 (n) | 87,983 | ||||||
| 105,000 | DN, 0.110%, 03/11/11 (n) | 104,997 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal Home Loan Bank — Continued |
| |||||||
| 125,000 | DN, 0.125%, 03/25/11 (n) | 124,990 | ||||||
| 45,000 | DN, 0.130%, 05/23/11 (n) | 44,987 | ||||||
| 425,190 | DN, 0.137%, 03/02/11 (n) | 425,188 | ||||||
| 312,143 | DN, 0.159%, 03/23/11 (n) | 312,113 | ||||||
| 222,517 | DN, 0.160%, 03/30/11 (n) | 222,487 | ||||||
| 200,000 | DN, 0.164%, 03/18/11 (n) | 199,985 | ||||||
| 125,000 | DN, 0.170%, 03/09/11 (n) | 124,995 | ||||||
| 25,000 | DN, 0.180%, 04/15/11 (n) | 24,994 | ||||||
| 200,000 | DN, 0.180%, 04/25/11 (n) | 199,945 | ||||||
| 25,000 | DN, 0.210%, 07/06/11 (n) | 24,981 | ||||||
| 35,000 | DN, 0.210%, 05/25/11 (n) | 34,983 | ||||||
| 50,000 | DN, 0.230%, 05/27/11 (n) | 49,972 | ||||||
| 70,000 | VAR, 0.154%, 04/30/11 | 69,983 | ||||||
| 70,000 | VAR, 0.163%, 04/15/11 | 69,987 | ||||||
| 60,000 | VAR, 0.173%, 04/26/11 | 59,990 | ||||||
| 55,000 | VAR, 0.192%, 05/10/11 | 54,990 | ||||||
| 17,000 | VAR, 0.216%, 03/15/11 | 16,997 | ||||||
| 25,000 | VAR, 0.224%, 03/01/11 | 24,992 | ||||||
| 25,000 | VAR, 0.227%, 03/26/11 | 24,993 | ||||||
| 50,000 | VAR, 0.232%, 03/26/11 | 49,986 | ||||||
| 50,000 | VAR, 0.273%, 04/13/11 | 50,033 | ||||||
| 3,165,435 | ||||||||
Total U.S. Government Agency Securities | 4,318,404 | |||||||
| U.S. Treasury Obligations — 43.5% |
| ||||||
U.S. Treasury Bills — 34.2% (n) |
| |||||||
| 72,105 | 0.114%, 03/17/11 | 72,100 | ||||||
| 500,000 | 0.130%, 04/15/11 | 499,919 | ||||||
| 29,058 | 0.142%, 03/10/11 | 29,057 | ||||||
| 275,000 | 0.143%, 06/02/11 | 274,901 | ||||||
| 940,000 | 0.156%, 03/03/11 | 939,992 | ||||||
| 200,000 | 0.186%, 05/19/11 | 199,937 | ||||||
| 400,000 | 0.200%, 03/24/11 | 399,970 | ||||||
| 40,000 | 0.230%, 06/30/11 | 39,969 | ||||||
| 2,455,845 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
U.S. Treasury Notes — 9.3% | ||||||||
| 125,000 | 0.875%, 03/31/11 | 125,069 | ||||||
| 20,000 | 0.875%, 01/31/12 | 20,098 | ||||||
| 10,000 | 0.875%, 02/29/12 | 10,052 | ||||||
| 25,000 | 1.000%, 08/31/11 | 25,087 | ||||||
| 125,000 | 1.000%, 09/30/11 | 125,516 | ||||||
| 50,000 | 1.000%, 10/31/11 | 50,236 | ||||||
| 100,000 | 1.125%, 06/30/11 | 100,315 | ||||||
| 35,000 | 1.125%, 12/15/11 | 35,227 | ||||||
| 125,000 | 4.875%, 05/31/11 | 126,450 | ||||||
| 50,000 | 5.125%, 06/30/11 | 50,815 | ||||||
| 668,865 | ||||||||
Total U.S. Treasury Obligations | 3,124,710 | |||||||
Total Investments — 103.7% | 7,443,114 | |||||||
Liabilities in Excess of | (266,492 | ) | ||||||
NET ASSETS — 100.0% | $ | 7,176,622 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 25 | ||||||
Table of Contents
JPMorgan 100% U.S. Treasury Securities Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| U.S. Treasury Obligations — 107.7% |
| ||||||
U.S. Treasury Bills — 96.2% (n) |
| |||||||
| 1,000,000 | 0.130%, 04/15/11 | 999,837 | ||||||
| 1,000,000 | 0.135%, 03/31/11 | 999,895 | ||||||
| 250,000 | 0.136%, 04/07/11 | 249,965 | ||||||
| 3,319,585 | 0.137%, 03/24/11 | 3,319,295 | ||||||
| 2,566,303 | 0.140%, 03/17/11 | 2,566,144 | ||||||
| 1,400,000 | 0.143%, 05/12/11 | 1,399,601 | ||||||
| 300,000 | 0.143%, 06/02/11 | 299,892 | ||||||
| 1,750,000 | 0.148%, 03/10/11 | 1,749,935 | ||||||
| 938,152 | 0.149%, 05/05/11 | 937,900 | ||||||
| 550,000 | 0.150%, 05/19/11 | 549,819 | ||||||
| 2,989,917 | 0.156%, 03/03/11 (m) | 2,989,891 | ||||||
| 100,000 | 0.202%, 05/26/11 | 99,952 | ||||||
| 16,162,126 | ||||||||
U.S. Treasury Notes — 11.5% | ||||||||
| 226,000 | 0.750%, 11/30/11 | 226,816 | ||||||
| 500,000 | 0.875%, 03/31/11 | 500,279 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Treasury Notes — Continued | ||||||||
| 160,000 | 0.875%, 05/31/11 | 160,277 | ||||||
| 45,000 | 0.875%, 01/31/12 | 45,219 | ||||||
| 100,000 | 0.875%, 02/29/12 | 100,514 | ||||||
| 220,000 | 1.000%, 08/31/11 | 220,823 | ||||||
| 195,000 | 1.000%, 09/30/11 | 195,799 | ||||||
| 200,000 | 1.000%, 10/31/11 | 201,007 | ||||||
| 100,000 | 1.125%, 06/30/11 | 100,315 | ||||||
| 90,000 | 1.125%, 12/15/11 | 90,584 | ||||||
| 100,000 | 5.125%, 06/30/11 | 101,631 | ||||||
| 1,943,264 | ||||||||
Total Investments — 107.7% | 18,105,390 | |||||||
Liabilities in Excess of | (1,297,054 | ) | ||||||
NET ASSETS — 100.0% | $ | 16,808,336 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Municipal Bonds — 95.3% |
| ||||||
Alabama — 2.0% |
| |||||||
| 13,000 | Columbia Industrial Development Board, Alabama Power Co., Project, Rev., VRDO, 0.240%, 03/01/11 | 13,000 | ||||||
| 24,600 | Series C, Rev., VRDO, 0.240%, 03/01/11 | 24,600 | ||||||
| 9,750 | Eclipse Funding Trust, Solar Eclipse, Series 2007-0108, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,750 | ||||||
| 30,470 | Eclipse Funding Trust, Solar Eclipse, Mobile, Series 2006-0109, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 30,470 | ||||||
| 81,698 | Lower Alabama Gas District, Series A, Rev., VRDO, LIQ: Societe Generale, 0.300%, 03/07/11 | 81,698 | ||||||
| 22,965 | Mobile Industrial Development Board, Dock & Wharf, Holnam, Inc. Project, Series A, Rev., VRDO, LOC: Bayerische Landesbank, 0.260%, 03/07/11 | 22,965 | ||||||
| 228,820 | Southeast Alabama Gas District, Supply Project, Series A, Rev., VRDO, 0.250%, 03/01/11 | 228,820 | ||||||
| 30,000 | University of Alabama, Birmingham Project, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 30,000 | ||||||
| 441,303 | ||||||||
Alaska — 0.6% |
| |||||||
Alaska Housing Finance Corp., | ||||||||
| 10,935 | Series 1407, Rev., VRDO, GNMA/FNMA, 0.400%, 03/07/11 | 10,935 | ||||||
| 55,000 | Series D, Rev., VRDO, 0.270%, 03/07/11 | 55,000 | ||||||
| 15,000 | Alaska Industrial Development & Export Authority, Greater Fairbanks, Series A, Rev., VRDO, LOC: Union Bank N.A., 0.250%, 03/07/11 | 15,000 | ||||||
| 36,750 | City of Valdez, Marine Terminal, Exxon Pipeline Co. Project, Rev., VRDO, 0.160%, 03/01/11 | 36,750 | ||||||
| 23,475 | Eclipse Funding Trust, Solar Eclipse, Alaska, Series 2007-0028, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 23,475 | ||||||
| 141,160 | ||||||||
Arizona — 0.6% |
| |||||||
| 10,700 | Apache County IDA, Tucson Electric Power Co., Series 83-C, Rev., VRDO, LOC: Bank of New York, 0.230%, 03/07/11 | 10,700 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Arizona — Continued |
| |||||||
| 7,700 | Apache County IDA, Tucson Electric Power Co., Springerville Project, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.230%, 03/07/11 | 7,700 | ||||||
| 7,160 | Maricopa County IDA, Multi-Family Housing, Las Gardenias Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 7,160 | ||||||
| 15,760 | Phoenix Civic Improvement Corp., Series ROCS-RR-II-R-11732, Rev., VRDO, NATL-RE, FGIC, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 15,760 | ||||||
| 2,000 | Phoenix IDA, Multi-Family Housing, Del Mar Terrace, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.280%, 03/07/11 | 2,000 | ||||||
| 21,800 | Pima County IDA, Tucson Electric, Rev., VRDO, LOC: Bank of New York, 0.280%, 03/07/11 | 21,800 | ||||||
| 21,700 | Pima County IDA, Tucson Electric Irvington, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.280%, 03/07/11 | 21,700 | ||||||
| 25,585 | Pinal County Electric District No.3, Series U-2, Rev., VRDO, 0.380%, 03/07/11 | 25,585 | ||||||
| 26,565 | Salt River Pima-Maricopa Indian Community, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 26,565 | ||||||
| 4,365 | Yavapai County, Highway Construction, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.340%, 03/07/11 | 4,365 | ||||||
| 143,335 | ||||||||
California — 4.0% |
| |||||||
| 900 | Abag Finance Authority for Nonprofit Corps., Charleston Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.240%, 03/01/11 (m) | 900 | ||||||
| 2,385 | Abag Finance Authority for Nonprofit Corps., Colma Bart Apartments, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.420%, 03/07/11 (m) | 2,385 | ||||||
| 3,900 | Abag Finance Authority for Nonprofit Corps., On Lok Senior Health Services, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.200%, 03/07/11 (m) | 3,900 | ||||||
| 11,400 | Abag Finance Authority for Nonprofit Corps., San Francisco Friends School, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 (m) | 11,400 | ||||||
| 5,000 | Austin Trust Various States, Series 2008-3305, Rev., VRDO, LIQ: Bank of America N.A., 0.320%, 03/07/11 | 5,000 | ||||||
| 50,000 | Bay Area Toll Authority, Series G-1, Rev., VRDO, LOC: Bank of America N.A., 0.180%, 03/07/11 | 50,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 27 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
California — Continued |
| |||||||
| 10,480 | California Educational Facilities Authority, Life Chiropractic College, Rev., VRDO, LOC: Bank of The West, 0.200%, 03/07/11 | 10,480 | ||||||
| 23,940 | California Housing Finance Agency, Series N, Rev., VRDO, AMT, LOC: FNMA, 0.260%, 03/07/11 | 23,940 | ||||||
| 110 | California Infrastructure & Economic Development Bank, IDR, Elite Leather Co. Project, Rev., VRDO, LOC: Union Bank of California N.A., 0.310%, 03/07/11 | 110 | ||||||
| 1,610 | California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.290%, 03/07/11 | 1,610 | ||||||
| 6,050 | California Infrastructure & Economic Development Bank, Pacific Gas & Electric, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.150%, 03/01/11 | 6,050 | ||||||
| 305 | California Infrastructure & Economic Development Bank, Rand Corp., Series B, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/01/11 | 305 | ||||||
California Statewide Communities Development Authority, | ||||||||
| 10,600 | Series 176, COP, VRDO, AGM, LIQ: Morgan Stanley Bank, 0.280%, 03/07/11 | 10,600 | ||||||
| 20,495 | Series 3048, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.330%, 03/07/11 (e) | 20,495 | ||||||
| 3,420 | California Statewide Communities Development Authority, Multi-Family Housing, Breezewood Apartments, Series F-1, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 3,420 | ||||||
| 15,000 | California Statewide Communities Development Authority, Multi-Family Housing, Oakmont Concord Project, Series Q, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 15,000 | ||||||
| 9,800 | City of Corcoran, Water System Project, COP, VRDO, LOC: Union Bank of California N.A., 0.270%, 03/07/11 | 9,800 | ||||||
| 3,950 | City of Garden Grove, Multi-Family Housing, Malabar Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 3,950 | ||||||
| 600 | City of Irvine, Improvement Bond Act of 1915, District No. 87-8, Special Assessment, VRDO, LOC: KBC Bank N.V., 0.290%, 03/01/11 | 600 | ||||||
| 4,800 | City of Los Angeles, Multi-Family Housing, Fountain Park Project, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 4,800 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued |
| |||||||
| 17,000 | City of Ontario, Multi-Family Housing, Park Centre Apartments, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.230%, 03/07/11 | 17,000 | ||||||
| 9,350 | City of Riverside, Series A, Rev., VRDO, 0.250%, 03/07/11 | 9,350 | ||||||
| 4,625 | City of Tracy, Multi-Family Housing, Sycamore, Series A, Rev., VRDO, LOC: FHLMC, 0.310%, 03/07/11 | 4,625 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 11,945 | Series DB-332, GO, VRDO, LIQ: Deutsche Bank AG, 0.300%, 03/07/11 | 11,945 | ||||||
| 10,275 | Series DB-416, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 10,275 | ||||||
| 18,860 | Series DB-419, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 18,860 | ||||||
| 31,425 | Series DB-424, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 (e) | 31,425 | ||||||
| 9,805 | Series DB-429, GO, VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 9,805 | ||||||
| 11,095 | Series DB-432, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 11,095 | ||||||
| 7,785 | Deutsche Bank Spears/Lifers Trust Various States, Tax Allocation, Series DB-318, VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 7,785 | ||||||
| 33,385 | Dexia Credit Local Certificates Trust, Various States, Series 2008-066, GO, VRDO, AGM, LIQ: Dexia Credit Local, 0.390%, 03/07/11 | 33,385 | ||||||
| 29,900 | Eclipse Funding Trust, Solar Eclipse, Castai, Series 2007-0034, COP, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 29,900 | ||||||
| 11,670 | Eclipse Funding Trust, Solar Eclipse, Corona, Tax Allocation, Series 2006-0099, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 11,670 | ||||||
| 13,365 | Eclipse Funding Trust, Solar Eclipse, Sacramento, Series 2006-0079, COP, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 13,365 | ||||||
| 13,765 | Eclipse Funding Trust, Solar Eclipse, South San Francisco,Tax Allocation, Series 2006-0067, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 13,765 | ||||||
| 16,500 | Los Angeles Community College District, Series ROCS-RR-II-R-11773, GO, VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 16,500 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
California — Continued |
| |||||||
| 7,160 | Los Angeles County Housing Authority, Multi-Family Housing, Sand Canyon, Series F, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.420%, 03/07/11 | 7,160 | ||||||
| 5,000 | Los Angeles County, Multi-Family Housing, Valencia Housing Project, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.450%, 03/07/11 | 5,000 | ||||||
| 9,500 | Metropolitan Water District of Southern California, Series C-1, Rev., VRDO, 0.160%, 03/01/11 | 9,500 | ||||||
Orange County, WLCO LF Partners, | ||||||||
| 2,200 | Series G1, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 2,200 | ||||||
| 4,150 | Series G3, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 4,150 | ||||||
| 27,925 | Pasadena Public Financing Authority, Rose Bowl Refinancing & Improvement, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 27,925 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 9,810 | Series MT-557, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.420%, 03/07/11 | 9,810 | ||||||
| 8,165 | Series PT-4161, Rev., VRDO, 0.420%, 03/07/11 | 8,165 | ||||||
| 7,160 | Series PT-4554, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 | 7,160 | ||||||
| 6,970 | Series PT-4555, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 (e) | 6,970 | ||||||
| 5,775 | Series PT-4561, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 | 5,775 | ||||||
| 4,145 | Series PT-4571, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 | 4,145 | ||||||
| 3,445 | Series PT-4585, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 | 3,445 | ||||||
| 6,290 | Series PT-4589, VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 | 6,290 | ||||||
| 8,025 | Series PT-4597, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.350%, 03/07/11 | 8,025 | ||||||
| 11,495 | Series PT-4647, Rev., VRDO, LIQ: Merrill Lynch Capital Services, 0.320%, 03/07/11 (e) | 11,495 | ||||||
| 12,665 | Series PT-4648, Rev., VRDO, LIQ: Merrill Lynch Capital Services, 0.320%, 03/07/11 (e) | 12,665 | ||||||
| 5,000 | Sacramento County Housing Authority, Multi-Family Housing, Ashford Heights Apartments, Series H, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 5,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
California — Continued |
| |||||||
| 800 | Sacramento County Sanitation Districts Financing Authority, Sub Lien, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 800 | ||||||
| 71,935 | Sacramento Transportation Authority, Limited Tax Measure A, Series C, Rev., VRDO, 0.250%, 03/07/11 | 71,935 | ||||||
| 12,595 | San Diego City Housing Authority, Multifamily Housing, Hillside Garden Appartments, Series B, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 12,595 | ||||||
| 15,720 | San Francisco City & County Airports Commission, Series 36B, Rev., VRDO, LOC: Union Bank N.A., 0.210%, 03/07/11 | 15,720 | ||||||
| 16,310 | San Francisco City & County Public Utilities Commission, Series 2190, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.290%, 03/07/11 | 16,310 | ||||||
| 11,230 | San Francisco City & County Public Utilities Commission, MERLOTS, Series B20, Rev., VRDO, NATL-RE, 0.440%, 03/07/11 | 11,230 | ||||||
| 1,800 | San Jose Multi-Family Housing, Villa Monterey Apartments, Series F, Rev., VRDO, FNMA, LIQ: FNMA, 0.470%, 03/07/11 | 1,800 | ||||||
| 12,000 | South Placer Wastewater Authority, Series A, Rev., VRDO, LOC: State Street Bank & Trust Co., 0.220%, 03/07/11 | 12,000 | ||||||
| 62,870 | Southern California Public Power Authority, Subordinated Southern Transmission, Series A, Rev., VRDO, AGM, 0.320%, 03/07/11 | 62,870 | ||||||
| 9,195 | Stanilaus County Capital Improvements Financing Authority, Gallo Center For The Arts Project, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 9,195 | ||||||
| 1,400 | State of California, Economic Recovery, Series C-3, GO, VRDO, LOC: Bank of America N.A., 0.190%, 03/01/11 | 1,400 | ||||||
| 8,700 | University of California, Series 2902, Rev., VRDO, AMBAC, LIQ: Morgan Stanley Bank, 0.280%, 03/07/11 | 8,700 | ||||||
| 17,985 | University of California Regents Medical Center, Series B-2, Rev., VRDO, 0.190%, 03/01/11 | 17,985 | ||||||
Wells Fargo Stage Trust, | ||||||||
| 19,750 | Series 1C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 (e) | 19,750 | ||||||
| 9,780 | Series 20C, COP, VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 (e) | 9,780 | ||||||
| 25,400 | Series 38C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 (e) | 25,400 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 29 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
California — Continued |
| |||||||
| 9,970 | Series 56C, GO, VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 (e) | 9,970 | ||||||
| 887,815 | ||||||||
Colorado — 1.6% |
| |||||||
| 15,010 | Arapahoe County, Multi-Family Housing, Rental Housing, Hunters Run, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.250%, 03/07/11 | 15,010 | ||||||
| 1,000 | City of Colorado Springs, Utilities, Sub Lien, Series A, Rev., VRDO, 0.270%, 03/07/11 | 1,000 | ||||||
| 20,500 | Colorado Educational & Cultural Facilities Authority, Nature Conservatory, Series A, Rev., VRDO, 0.300%, 03/07/11 | 20,500 | ||||||
| 19,100 | Colorado Educational & Cultural Facilities Authority, Oaks Christian School Project, Rev., VRDO, LOC: U.S. Bank N.A., 0.240%, 03/01/11 | 19,100 | ||||||
| 400 | Colorado Health Facilities Authority, Hospital, NCMC, Inc. Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 400 | ||||||
| 17,330 | Colorado Housing & Finance Authority, Series AA-3, Class I, Rev., VRDO, LOC: FNMA, 0.240%, 03/07/11 | 17,330 | ||||||
| 1,885 | Colorado Housing & Finance Authority, Multi-Family Housing Project, Series A-4, Class I, Rev., VRDO, 0.270%, 03/07/11 | 1,885 | ||||||
| 1,600 | Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Class I, Rev., VRDO, FNMA, LIQ: FNMA, 0.220%, 03/07/11 | 1,600 | ||||||
| 15,000 | Colorado Housing & Finance Authority, Single Family Mortgage, Series C-2, Class I, Rev., VRDO, LIQ: FHLB, 0.240%, 03/07/11 | 15,000 | ||||||
Denver City & County, Airport, | ||||||||
| 40,980 | Series 2365, Rev., VRDO, FGIC, LIQ: Morgan Stanley Municipal Funding, 0.330%, 03/07/11 | 40,980 | ||||||
| 38,800 | Subseries C1, Rev., VRDO, AMT, LOC: KBC Bank N.V., 0.290%, 03/07/11 | 38,800 | ||||||
| 73,700 | Subseries G1, Rev., VRDO, AGC, 0.300%, 03/01/11 | 73,700 | ||||||
| 71,700 | Subseries G2, Rev., VRDO, AGC, 0.300%, 03/01/11 | 71,700 | ||||||
| 11,275 | Moffat County, PCR, Tri-State Generation Association Project, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 11,275 | ||||||
| 18,385 | Puttable Floating Option Tax-Exempt Receipts, Series MT-645, Rev., VRDO, LIQ: Bank of America N.A., 0.380%, 03/07/11 (e) | 18,385 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Colorado — Continued |
| |||||||
| 5,500 | University of Colorado, Enterprise System, Series PT-3840, Rev., VRDO, NATL-RE, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 5,500 | ||||||
| 352,165 | ||||||||
Connecticut — 0.8% |
| |||||||
| 20,450 | City of New Britain, GO, BAN, 1.750%, 03/29/11 | 20,470 | ||||||
| 27,500 | City of New Haven, GO, BAN, 2.000%, 03/24/11 | 27,527 | ||||||
Connecticut Housing Finance Authority, Housing Mortgage Finance Program, | ||||||||
| 14,545 | Series A-3, Rev., VRDO, AMT, AMBAC, 0.270%, 03/07/11 | 14,545 | ||||||
| 47,100 | Series B-3, Rev., VRDO, AMT, AMBAC, 0.270%, 03/07/11 | 47,100 | ||||||
| 15,345 | Series B-3, Rev., VRDO, AMT, AMBAC, 0.310%, 03/07/11 | 15,345 | ||||||
| 32,500 | Series D-3, Rev., VRDO, AMBAC, 0.310%, 03/07/11 | 32,500 | ||||||
| 900 | Connecticut State Health & Educational Facility Authority, Community Renewal Team, Series A, Rev., VRDO, LOC: Fleet National Bank, 0.490%, 03/07/11 | 900 | ||||||
| 8,800 | Connecticut State Health & Educational Facility Authority, Masonicare, Series C, Rev., VRDO, LOC: Wachovia Bank N.A., 0.240%, 03/01/11 | 8,800 | ||||||
| 17,060 | Wells Fargo Stage Trust, Series 61C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 (e) | 17,060 | ||||||
| 184,247 | ||||||||
Delaware — 0.2% |
| |||||||
| 15,000 | New Castle County, FlightSafety International, Inc. Project, Rev., VRDO, 0.250%, 03/07/11 | 15,000 | ||||||
| 28,155 | New Castle County, Multifamily Housing, Fairfield English Village Project, Series FA, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 28,155 | ||||||
| 5,725 | University of Delaware, Series B, Rev., VRDO, 0.200%, 03/01/11 | 5,725 | ||||||
| 48,880 | ||||||||
District of Columbia — 2.3% |
| |||||||
| 43,860 | Anacostia Waterfront Corp., MERLOTS, Series F02, Rev., VRDO, 0.260%, 03/07/11 | 43,860 | ||||||
| 203,000 | District of Columbia, GO, TRAN, 2.000%, 09/30/11 | 204,928 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
District of Columbia — Continued |
| |||||||
| 2,945 | District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 2,945 | ||||||
| 11,450 | District of Columbia Water & Sewer Authority, Series 2979, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 11,450 | ||||||
| 2,220 | District of Columbia, American Psychology Association, Rev., VRDO, LOC: Bank of America N.A., 0.400%, 03/07/11 | 2,220 | ||||||
| 43,150 | District of Columbia, American University, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 43,150 | ||||||
| 13,675 | District of Columbia, Edmund Burke School, Rev., VRDO, LOC: Bank of America N.A., 0.330%, 03/07/11 | 13,675 | ||||||
| 7,500 | District of Columbia, Enterprise Zone, House on F Street Project, Rev., VRDO, LOC: Bank of New York, 0.300%, 03/07/11 | 7,500 | ||||||
| 31,055 | District of Columbia, MERLOTS, Series B-34, GO, VRDO, AGM, 0.260%, 03/07/11 | 31,055 | ||||||
| 11,850 | District of Columbia, Multimodal, American University, Rev., VRDO, 0.220%, 03/07/11 | 11,850 | ||||||
| 3,810 | District of Columbia, National Children’s Center, Inc., Rev., VRDO, LOC: Bank of America N.A., 0.520%, 03/07/11 | 3,810 | ||||||
| 23,770 | District of Columbia, National Geographic Society, Rev., VRDO, 0.260%, 03/07/11 | 23,770 | ||||||
| 12,913 | District of Columbia, Pooled Loan Program, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.330%, 03/07/11 | 12,913 | ||||||
| 15,620 | District of Columbia, Trinity College Issue, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 15,620 | ||||||
| 27,750 | Eclipse Funding Trust, Solar Eclipse, Series 2007-0056, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 27,750 | ||||||
| 15,225 | Eclipse Funding Trust, Solar Eclipse, District of Columbia, Series 2006-0110, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 15,225 | ||||||
| 31,080 | Eclipse Funding Trust, Solar Eclipse, Washington D.C., Series 2007-0221, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 31,080 | ||||||
| 21,985 | Metropolitan Washington Airports Authority, Series 3140, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.290%, 03/07/11 (e) | 21,985 | ||||||
| 524,786 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Florida — 6.5% |
| |||||||
| 11,150 | Alachua County IDA, Florida Rock Industrial, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 11,150 | ||||||
| 4,570 | Broward County Educational Facilities Authority, Nova Southeastern University, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/01/11 | 4,570 | ||||||
| 32,820 | Broward County School Board, COP, VRDO, AGM, 0.330%, 03/07/11 | 32,820 | ||||||
| 8,850 | City of Fort Myers, Series 2077, Rev., VRDO, NATL-RE, LIQ: Wells Fargo & Co., 0.250%, 03/07/11 (e) | 8,850 | ||||||
| 93,090 | City of West Palm Beach, Utility System, Series C, Rev., VRDO, AGC, 0.300%, 03/07/11 | 93,090 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 6,070 | Series DB-271, Rev., VRDO, FGIC, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 6,070 | ||||||
| 105,980 | Series DB-459, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 105,980 | ||||||
Eclipse Funding Trust, Solar Eclipse, | ||||||||
| 8,305 | Series 2006-0043, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 (e) | 8,305 | ||||||
| 20,750 | Series 2007-0051, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 20,750 | ||||||
| 53,910 | Series 2007-0055, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 53,910 | ||||||
| 24,000 | Eclipse Funding Trust, Solar Eclipse, Golden, Series 2006-0125, COP, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 (e) | 24,000 | ||||||
Eclipse Funding Trust, Solar Eclipse, Miami, | ||||||||
| 11,155 | Series 2006-0049, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 11,155 | ||||||
| 18,400 | Series 2006-0059, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 18,400 | ||||||
| 13,270 | Series 2007-0045, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 13,270 | ||||||
| 10,595 | Eclipse Funding Trust, Solar Eclipse, Palm Bay, Series 2006-0136, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,595 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 31 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Florida — Continued |
| |||||||
| 18,815 | Eclipse Funding Trust, Solar Eclipse, Peace, Series 2006-0144, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 18,815 | ||||||
| 8,600 | Eclipse Funding Trust, Solar Eclipse, Port S, Series 2006-0135, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 8,600 | ||||||
| 35,295 | Eclipse Funding Trust, Solar Eclipse, South, Series 2007-0035, COP, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 35,295 | ||||||
| 6,350 | Florida Housing Finance Corp., Multi-Family Housing, Banyon Bay Partners, Series FF, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 6,350 | ||||||
| 9,590 | Florida Housing Finance Corp., Multi-Family Housing, Heron Park Project, Series U, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 9,590 | ||||||
| 8,225 | Florida Housing Finance Corp., Multi-Family Housing, Monterey Lake, Series C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 8,225 | ||||||
| 18,375 | Highlands County Health Facilities Authority, Hospital, Adventist Health Systems, Series A, Rev., VRDO, 0.230%, 03/07/11 | 18,375 | ||||||
| 16,595 | Hillsborough Community College Foundation, Inc. (The), Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 16,595 | ||||||
Hillsborough County Aviation Authority, | ||||||||
| 6,750 | Series PT-2723, Rev., VRDO, AMBAC, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.470%, 03/07/11 | 6,750 | ||||||
| 6,530 | Series PT-3878, Rev., VRDO, FGIC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 6,530 | ||||||
| 20,500 | Hillsborough County School Board, Master Lease, Series C, COP, VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 20,500 | ||||||
| 7,030 | Hillsborough County School Board, Master Lease Program, Series A, COP, VRDO, NATL-RE, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 7,030 | ||||||
Jacksonville Health Facilities Authority, Baptist Medical, | ||||||||
| 14,000 | Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 14,000 | ||||||
| 2,810 | Series C, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 2,810 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Florida — Continued |
| |||||||
| 14,675 | Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 14,675 | ||||||
| 31,790 | JEA, Electric Systems, Subseries D, Rev., VRDO, 0.230%, 03/07/11 | 31,790 | ||||||
| 1,340 | Miami Health Facilities Authority, Mercy Hospital Project, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 1,340 | ||||||
| 10,000 | Miami-Dade County, Aviation, Series 3041, Rev., VRDO, BHAC-CR, ACG-ICC, XLCA, LIQ: Morgan Stanley Bank, 0.290%, 03/07/11 (e) | 10,000 | ||||||
| 17,120 | Miami-Dade County, Aviation, EAGLE, Series 2006-0029, Class A, Rev., VRDO, BHAC, AGM-CR, FGIC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 17,120 | ||||||
| 22,540 | Miami-Dade County, Transit System, EAGLE, Series 2006-0101, Class A, Rev., VRDO, AGC-ICC, XLCA, LIQ: Citibank N.A., 0.270%, 03/07/11 | 22,540 | ||||||
| 6,700 | Nassau County, PCR, Private Activity, Rayonier, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/07/11 | 6,700 | ||||||
| 7,645 | Orange County Housing Finance Authority, Multi-Family Housing, Falcon Trace Apartments Project, Series D, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 7,645 | ||||||
| 9,201 | Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, LOC: Nationsbank N.A., 0.280%, 03/07/11 | 9,201 | ||||||
| 3,420 | Orange County Housing Finance Authority, Multi-Family Housing, Water View Club Apartments, Series D, Rev., VRDO, FNMA, LIQ: FNMA, 0.310%, 03/07/11 | 3,420 | ||||||
| 28,410 | Orange County IDA, Diocese Orlando Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 28,410 | ||||||
| 22,285 | Orange County, Tourist Development, Series 2352, Rev., VRDO, FGIC, LIQ: Wells Fargo & Co., 0.250%, 03/07/11 | 22,285 | ||||||
Orlando & Orange County Expressway Authority, | ||||||||
| 60,000 | Series C-2, Rev., VRDO, AGM, 0.310%, 03/07/11 | 60,000 | ||||||
| 49,225 | Subseries B-1, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 49,225 | ||||||
| 8,650 | Orlando Utilities Commission, Water & Electric Revenue, Series PT-3791, Rev., VRDO, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 8,650 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Florida — Continued |
| |||||||
| 6,980 | Osceola County Housing Finance Authority, Multi-Family Housing, Arrow Ridge Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 6,980 | ||||||
| 125,000 | Palm Beach County Solid Waste Authority, Solid Improvement, Rev., VAR, 1.000%, 01/12/12 | 125,626 | ||||||
| 75,215 | Pinellas County Health Facility Authority, Baycare Health System, Series B-1, Rev., VRDO, AGM, 0.300%, 03/07/11 | 75,215 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 34,725 | Series MT-683, Rev., VRDO, LIQ: Bank of America N.A., 0.410%, 03/07/11 (e) | 34,725 | ||||||
| 104,290 | Series PT-4615, COP, VRDO, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 104,290 | ||||||
| 78,500 | Sarasota County Public Hospital District, Sarasota Memorial Hospital, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 78,500 | ||||||
South Miami Health Facilities Authority, | ||||||||
| 20,375 | Series 2833, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 | 20,375 | ||||||
| 8,615 | Series 3119, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 8,615 | ||||||
| 8,265 | State of Florida, MERLOTS, Series C07, GO, VRDO, 0.260%, 03/07/11 | 8,265 | ||||||
| 12,700 | Tohopekaliga Water Authority, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.270%, 03/07/11 | 12,700 | ||||||
| 33,950 | USF Financing Corp., Master Lease Program, Series B-1, COP, VRDO, AMBAC, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 33,950 | ||||||
Volusia County Health Facilities Authority, | ||||||||
| 23,640 | Series MT-151, Rev., VRDO, AMBAC, LIQ: Bank of America N.A., 0.400%, 03/07/11 | 23,640 | ||||||
| 35,115 | Series MT-317, Rev., VRDO, AMBAC, LIQ: Merrill Lynch International Bank Ltd., 0.430%, 03/07/11 | 35,115 | ||||||
| 1,463,377 | ||||||||
Georgia — 0.9% |
| |||||||
| 4,745 | Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., VRDO, LOC: FHLMC, 0.490%, 03/07/11 | 4,745 | ||||||
| 7,650 | DeKalb County Development Authority, Inland Fresh Seafood Corp., Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 7,650 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Georgia — Continued |
| |||||||
| 8,460 | DeKalb County Housing Authority, Multi-Family Housing, Chapel Run Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 8,460 | ||||||
| 11,345 | DeKalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 11,345 | ||||||
| 10,735 | DeKalb County Housing Authority, Multi-Family Housing, Timber Trace Apartments Project, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.300%, 03/07/11 | 10,735 | ||||||
| 4,865 | DeKalb Private Hospital Authority, Children’s Healthcare, Rev., VRDO, 0.260%, 03/07/11 | 4,865 | ||||||
| 9,600 | DeKalb County, Water & Sewage, Series ROCS-RR-II-R-11900, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 9,600 | ||||||
| 15,185 | Eclipse Funding Trust, Solar Eclipse, Series 2007-0117, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 15,185 | ||||||
| 21,355 | Eclipse Funding Trust, Solar Eclipse, Cobb County, Series 2006-0105, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 21,355 | ||||||
| 9,795 | Eclipse Funding Trust, Solar Eclipse, De Kalb County, Series 2006-0074, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,795 | ||||||
| 6,865 | Fulton County Development Authority, St. George Village CCRC Project, Rev., VRDO, LOC: Bank of America N.A., 0.330%, 03/07/11 | 6,865 | ||||||
| 17,645 | Fulton County Hospital Authority, Northside Hospital Inc., Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 17,645 | ||||||
| 4,370 | Griffin-Spaulding County Development Authority IDA, Norcom, Inc. Project, Rev., VRDO, LOC: Lasalle Bank N.A., 0.490%, 03/07/11 | 4,370 | ||||||
| 5,940 | Henry County Water & Sewer Authority, EAGLE, Series 2005-0008, Class A, Rev., VRDO, BHAC, AGM-CR, NATL-RE, LIQ: Citibank N.A., 0.270%, 03/07/11 | 5,940 | ||||||
| 600 | Marietta Housing Authority, Multi-Family Housing, Concepts 21 Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 600 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 33 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Georgia — Continued |
| |||||||
| 43,445 | Monroe County Development Authority, Oglethorpe Power Corp., Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/11 | 43,445 | ||||||
| 9,710 | Puttable Floating Option Tax-Exempt Receipts, Metropolitan, Series PT-4017, Rev., VRDO, FGIC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 9,710 | ||||||
| 19,295 | Wells Fargo Stage Trust, Series 57C, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 19,295 | ||||||
| 211,605 | ||||||||
Hawaii — 0.4% |
| |||||||
Eclipse Funding Trust, Solar Eclipse, Honolulu, | ||||||||
| 13,820 | Series 2006-0096, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 13,820 | ||||||
| 9,300 | Series 2006-0123, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,300 | ||||||
| 19,485 | Hawaii State Department of Budget & Finance, Series 2135, Rev., VRDO, FGIC, LIQ: Wells Fargo & Co., 0.250%, 03/07/11 | 19,485 | ||||||
| 10,557 | Hawaii State Department of Budget & Finance, Special Purpose, Wailuku River Hydroelectric, ACES, Rev., VRDO, LOC: Union Bank of California N.A., 0.350%, 03/07/11 | 10,557 | ||||||
| 29,660 | Puttable Floating Option Tax-Exempt Receipts, Series MT-685, Rev., VRDO, AMBAC, LIQ: Bank of America N.A., 0.470%, 03/07/11 (e) | 29,660 | ||||||
| 82,822 | ||||||||
Idaho — 0.6% |
| |||||||
| 27,560 | Eclipse Funding Trust, Solar Eclipse, Boise, Series 2007-0002, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 27,560 | ||||||
Idaho Housing & Finance Association, Single Family Mortgage, | ||||||||
| 12,815 | Series D-1, Class I, Rev., VRDO, LOC: FNMA, 0.280%, 03/07/11 | 12,815 | ||||||
| 22,000 | Series F-1, Rev., VRDO, LIQ: Lloyds TSB Bank plc, 0.280%, 03/07/11 | 22,000 | ||||||
| 9,340 | Idaho State Building Authority, Prison Facilities Project, Series A, Rev., VRDO, 0.270%, 03/07/11 | 9,340 | ||||||
| 52,000 | State of Idaho, Rev., TAN, 2.000%, 06/30/11 | 52,273 | ||||||
| 123,988 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Illinois — 4.9% |
| |||||||
Chicago Board of Education, | ||||||||
| 37,370 | Series B, GO, VRDO, AGM, 0.330%, 03/07/11 | 37,370 | ||||||
| 23,300 | Series PT-2931, GO, VRDO, AMBAC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 23,300 | ||||||
| 7,910 | Series PT-3620, GO, VRDO, AMBAC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 7,910 | ||||||
Chicago O’Hare International Airport, | ||||||||
| 21,135 | Series ROCS-RR-II-R-11430, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.310%, 03/07/11 | 21,135 | ||||||
| 19,180 | Series ROCS-RR-II-R-11517, Rev., VRDO, AGC-ICC, NATL-RE, LIQ: Citibank N.A., 0.310%, 03/07/11 | 19,180 | ||||||
| 26,765 | Series ROCS-RR-II-R-12245, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.310%, 03/07/11 (e) | 26,765 | ||||||
| 31,680 | Series ROCS-RR-II-R-12246, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.310%, 03/07/11 (e) | 31,680 | ||||||
| 2,500 | Chicago O’Hare International Airport, Compagnie Nationale Air France, Rev., VRDO, LOC: Societe Generale, 0.270%, 03/07/11 | 2,500 | ||||||
| 6,000 | Chicago O’Hare International Airport, General Airport, Second Lien, ACES, Series B, Rev., VRDO, LOC: Bayerische Landesbank, 0.280%, 03/07/11 | 6,000 | ||||||
| 10,380 | City of Chicago, Neighborhoods Alive 21, Series B-4, GO, VRDO, LOC: Bank of New York, 0.180%, 03/01/11 | 10,380 | ||||||
City of Chicago, Water, Senior Lien, | ||||||||
| 19,720 | Subseries 04-1, Rev., VRDO, LOC: California Public Employee Retirement Fund, 0.260%, 03/07/11 | 19,720 | ||||||
| 9,860 | Subseries 04-2, Rev., VRDO, LOC: California Public Employee Retirement Fund, 0.260%, 03/07/11 | 9,860 | ||||||
| 4,300 | City of Galesburg, Knox College Project, Rev., VRDO, LOC: Lasalle National Bank, 0.330%, 03/07/11 | 4,300 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 23,130 | Series DB-288, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 23,130 | ||||||
| 25,585 | Series DB-300, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 25,585 | ||||||
| 10,345 | Series DB-307, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 10,345 | ||||||
| 23,835 | Series DB-309, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 23,835 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Illinois — Continued |
| |||||||
| 18,965 | Series DB-315, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 18,965 | ||||||
| 15,710 | Series DB-322, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 15,710 | ||||||
| 10,945 | Series DB-368, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 10,945 | ||||||
| 5,235 | Series DB-400, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 5,235 | ||||||
| 16,130 | Series DB-475, GO, VRDO, AGM, LIQ: Deutsche Bank AG, 0.270%, 03/07/11 | 16,130 | ||||||
Eclipse Funding Trust, Solar Eclipse, Chicago, | ||||||||
| 9,060 | Series 2006-0003, GO, VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,060 | ||||||
| 10,270 | Series 2006-0131, GO, VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,270 | ||||||
Eclipse Funding Trust, Solar Eclipse, Illinois, | ||||||||
| 27,365 | Series 2006-0098, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 27,365 | ||||||
| 41,265 | Series 2006-0104, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.230%, 03/01/11 (e) | 41,265 | ||||||
| 28,850 | Eclipse Funding Trust, Solar Eclipse, Springfield, Series 2006-0007, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 28,850 | ||||||
| 11,990 | Illinois Educational Facilities Authority, ACI/Cultural Pooled Financing, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 11,990 | ||||||
| 3,400 | Illinois Educational Facilities Authority, St. Xavier University Project, Series A, Rev., VRDO, LOC: Lasalle Bank N.A., 0.330%, 03/07/11 | 3,400 | ||||||
| 30,175 | Illinois Finance Authority, Series 3089, Rev., VRDO, LIQ: Morgan Stanley Municipal Funding, 0.260%, 03/07/11 (e) | 30,175 | ||||||
| 3,286 | Illinois Finance Authority, IDR, Metropolitan Family Services, Rev., VRDO, LOC: Bank of America N.A., 0.400%, 03/07/11 | 3,286 | ||||||
| 10,000 | Illinois Finance Authority, IDR, Residential Rental, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.310%, 03/07/11 | 10,000 | ||||||
| 15,000 | Illinois Finance Authority, Loyola University Health System, Series B, Rev., VRDO, LOC: Harris N.A., 0.230%, 03/07/11 | 15,000 | ||||||
| 8,500 | Illinois Finance Authority, North Central College, Rev., VRDO, LOC: Bank of America N.A., 0.330%, 03/07/11 | 8,500 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Illinois — Continued |
| |||||||
| 14,905 | Illinois Finance Authority, Northwestern Memorial Hospital, Series A-3, Rev., VRDO, 0.230%, 03/07/11 | 14,905 | ||||||
Illinois Finance Authority, OSF Healthcare System, | ||||||||
| 70,000 | Series F, Rev., VRDO, AGM, 0.270%, 03/07/11 | 70,000 | ||||||
| 7,275 | Series G, Rev., VRDO, LOC: Wachovia Bank N.A., 0.240%, 03/01/11 | 7,275 | ||||||
| 2,435 | Illinois Finance Authority, Toughy Ltd. Partnership Project, Rev., VRDO, LOC: Lasalle National Bank, 0.500%, 03/07/11 | 2,435 | ||||||
| 8,057 | Illinois Finance Authority, University of Chicago, Series B, Rev., VRDO, 0.190%, 03/07/11 | 8,057 | ||||||
Illinois Housing Development Authority, Homeowner Mortgage, | ||||||||
| 10,175 | Series A-3, Rev., VRDO, AMT, 0.260%, 03/07/11 | 10,175 | ||||||
| 7,500 | Series C-3, Rev., VRDO, AMT, 0.280%, 03/07/11 | 7,500 | ||||||
| 5,450 | Illinois Housing Development Authority, | 5,450 | ||||||
Illinois State Toll Highway Authority, | ||||||||
| 66,600 | Series A-1B, Rev., VRDO, AGM, 0.290%, 03/07/11 | 66,600 | ||||||
| 79,700 | Series B, Rev., VRDO, AGM, 0.300%, 03/07/11 | 79,700 | ||||||
Illinois State Toll Highway Authority, Senior Priority, | ||||||||
| 38,000 | Series A-1, Rev., VRDO, 0.380%, 03/07/11 | 38,000 | ||||||
| 47,440 | Series A-2, Rev., VRDO, 0.380%, 03/07/11 | 47,440 | ||||||
| 19,700 | Jackson-Union Counties Regional Port District, Enron Transaction Services, Rev., VRDO, LOC: Wachovia Bank N.A., 0.240%, 03/07/11 | 19,700 | ||||||
| 1,640 | Lake County IDR, A.L. Hansen Manufacturing Co. Project, Rev., VRDO, LOC: Harris Trust & Savings Bank, 0.440%, 03/07/11 | 1,640 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 13,635 | Series PT-4681, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.330%, 03/07/11 (e) | 13,635 | ||||||
| 13,620 | Series PT-4682, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.330%, 03/07/11 (e) | 13,620 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 35 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Illinois — Continued |
| |||||||
Regional Transportation Authority, | ||||||||
| 17,955 | Series DCL-020, Rev., VRDO, AGM, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.320%, 03/07/11 | 17,955 | ||||||
| 14,495 | Series PT-2394, GO, VRDO, FGIC, 0.400%, 03/07/11 | 14,495 | ||||||
| 16,800 | University of Illinois, Health Services Facilities System, Series B, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.280%, 03/07/11 | 16,800 | ||||||
| 53,498 | University of Illinois, Utility Infrastructure Projects, COP, VRDO, 0.250%, 03/07/11 | 53,498 | ||||||
| 10,700 | Village of Justice, Multi-Family Housing, Candlewood Apartments Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 10,700 | ||||||
| 1,088,721 | ||||||||
Indiana — 1.5% | ||||||||
| 5,000 | De Kalb County, Economic Development, New Process Steel Project, Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 5,000 | ||||||
| 26,460 | Deutsche Bank Spears/Lifers Trust Various States, Series DB-355, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 26,460 | ||||||
| 9,495 | Eclipse Funding Trust, Solar Eclipse, Series 2007-0098, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,495 | ||||||
| 13,580 | Eclipse Funding Trust, Solar Eclipse, Carmel, Series 2006-0120, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 13,580 | ||||||
| 25,720 | Eclipse Funding Trust, Solar Eclipse, Decatur, Series 2006-0162, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 25,720 | ||||||
Eclipse Funding Trust, Solar Eclipse, Indiana, | ||||||||
| 17,295 | Series 2006-0092, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 17,295 | ||||||
| 14,485 | Series 2006-0100, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 14,485 | ||||||
| 21,325 | Series 2006-0138, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 21,325 | ||||||
| 24,125 | Indiana Finance Authority, Ascension, | 24,125 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Indiana — Continued |
| |||||||
| 14,400 | Indiana Finance Authority, Duke Energy Industry Project, Series A-4, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/11 | 14,400 | ||||||
| 15,000 | Indiana Finance Authority, Parkview Health System, Series D, Rev., VRDO, LOC: Citibank N.A., 0.230%, 03/07/11 | 15,000 | ||||||
| 18,585 | Indiana Health & Educational Facilities Financing Authority, Clarian Health Obligation, Rev., VRDO, AGM, 0.320%, 03/07/11 | 18,585 | ||||||
| 33,200 | Indiana Health Facility Financing Authority, Ascension, Series A-2, Rev., VRDO, 0.230%, 03/07/11 | 33,200 | ||||||
| 2,385 | Indiana Health Facility Financing Authority, Community Hospitals Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 2,385 | ||||||
| 6,020 | Indiana Housing & Community Development Authority, Series 1423-R, Rev., VRDO, GNMA/FNMA, 0.400%, 03/07/11 | 6,020 | ||||||
| 6,900 | Indiana State Finance Authority, Ispat Inland, Inc., Rev., VRDO, LOC: Royal Bank of Scotland, 0.230%, 03/07/11 | 6,900 | ||||||
| 28,045 | Indiana Transportation Finance Authority, Series PT-3610, Rev., VRDO, FGIC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 28,045 | ||||||
| 5,115 | Indianapolis Local Public Improvement Bond Bank, Series PT-3532, Rev., VRDO, AMBAC, LIQ: Dexia Credit Local, 0.470%, 03/07/11 | 5,115 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 13,905 | Series PT-3961, Rev., VRDO, NATL-RE, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 13,905 | ||||||
| 5,730 | Series PT-3962, Rev., VRDO, NATL-RE, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 5,730 | ||||||
| 10,025 | Series PT-3986, Rev., VRDO, FGIC, LIQ: Wells Fargo & Co., 0.260%, 03/07/11 | 10,025 | ||||||
| 19,405 | Wells Fargo Stage Trust, Series 2009-77C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 19,405 | ||||||
| 11,490 | Zionsville Community Schools Building Corp., Series DCL 047, Rev., VRDO, AGM, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.320%, 03/07/11 | 11,490 | ||||||
| 347,690 | ||||||||
Iowa — 0.4% | ||||||||
| 24,500 | City of Iowa City, Rev., VRDO, 0.230%, 03/01/11 | 24,500 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Iowa — Continued |
| |||||||
| 18,415 | Eclipse Funding Trust, Solar Eclipse, | 18,415 | ||||||
| 30,200 | Iowa Finance Authority, Private College Facility, Drake University Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.230%, 03/01/11 | 30,200 | ||||||
Iowa Finance Authority, Single Family Mortgage, | ||||||||
| 4,400 | Series F, Rev., VRDO, GNMA/FNMA, FHA/VA, 0.270%, 03/07/11 | 4,400 | ||||||
| 5,545 | Series I, Rev., VRDO, GNMA/FNMA/COLL, 0.270%, 03/07/11 | 5,545 | ||||||
| 83,060 | ||||||||
Kansas — 0.6% | ||||||||
| 9,780 | City of Overland Park, Series SG-155, GO, VRDO, 0.260%, 03/07/11 | 9,780 | ||||||
Kansas Development Finance Authority, Sisters of Charity, | ||||||||
| 17,710 | Series C, Rev., VRDO, 0.200%, 03/01/11 | 17,710 | ||||||
| 56,600 | Series D, Rev., VRDO, 0.200%, 03/01/11 | 56,600 | ||||||
| 12,700 | Kansas State Department of Transportation, Highway, Series D, Rev., VRDO, LIQ: Dexia Credit Local, 0.310%, 03/07/11 | 12,700 | ||||||
| 40,470 | Wyandotte County-Kansas City Unified Government, Temporary Notes, GO, 0.400%, 03/01/12 | 40,470 | ||||||
| 137,260 | ||||||||
Kentucky — 2.7% | ||||||||
| 8,880 | City of Jeffersontown, Lease Program, Kentucky League of Cities Funding Trust, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/07/11 | 8,880 | ||||||
Kentucky Housing Corp., | ||||||||
| 19,350 | Series F, Rev., VRDO, AMT, 0.340%, 03/07/11 | 19,350 | ||||||
| 21,925 | Series H, Rev., VRDO, AMT, 0.340%, 03/07/11 | 21,925 | ||||||
| 21,000 | Series M, Rev., VRDO, AMT, 0.340%, 03/07/11 | 21,000 | ||||||
Kentucky Public Energy Authority, | ||||||||
| 222,849 | Series A-1, Rev., VRDO, 0.320%, 03/07/11 | 222,849 | ||||||
| 208,135 | Series A-2, Rev., VRDO, 0.320%, 03/07/11 | 208,135 | ||||||
| 7,990 | Kentucky State Property & Buildings Commission, Series ROCS-RR-II-R-11767, Rev., VRDO, AGC, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 7,990 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Kentucky — Continued |
| |||||||
| 40,000 | Lexington-Fayette Urban County Government, Series E, GO, BAN, 2.000%, 08/01/11 | 40,260 | ||||||
| 39,500 | Louisville Regional Airport Authority, Ohio LLC Project, Series A, Rev., VRDO, 0.200%, 03/01/11 | 39,500 | ||||||
| 6,810 | Puttable Floating Option Tax-Exempt Receipts, Series PT-4149, Rev., VRDO, FGIC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 6,810 | ||||||
| 596,699 | ||||||||
Louisiana — 0.6% | ||||||||
| 13,200 | East Baton Rouge Parish Industrial Development Board, Inc., Rev., VRDO, LOC: Bank of America N.A., 0.330%, 03/07/11 | 13,200 | ||||||
| 2,300 | East Baton Rouge Parish Industrial Development Board, Inc., Exxonmobil Project, Series B, Rev., VRDO, 0.160%, 03/01/11 | 2,300 | ||||||
Eclipse Funding Trust, Solar Eclipse, | ||||||||
| 21,110 | Series 2007-0042, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 21,110 | ||||||
| 19,620 | Series 2007-0059, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.230%, 03/01/11 (e) | 19,620 | ||||||
| 18,030 | Series 2007-0112, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 18,030 | ||||||
| 19,810 | Parish of St. James, Pollution Control, Texaco Project, Series A, Rev., VRDO, 0.170%, 03/01/11 | 19,810 | ||||||
| 19,760 | Parish of St. John Baptist, Series 2116, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 19,760 | ||||||
| 10,000 | State of Louisiana, Gas & Fuels Tax, Series ROCS-RR-II-R-11769, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 10,000 | ||||||
| 6,490 | State of Louisiana, Gas And Fuels Tax, Series ROCS RR II R-11899, Rev., VRDO, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 6,490 | ||||||
| 130,320 | ||||||||
Maine — 0.4% | ||||||||
| 13,005 | Finance Authority of Maine, Jackson Lab Issue, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 13,005 | ||||||
| 68,300 | Maine Health & Higher Educational Facilities Authority, Series H, Rev., VRDO, AGM, 0.250%, 03/07/11 | 68,300 | ||||||
| 81,305 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 37 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Maryland — 2.0% | ||||||||
| 2,635 | Austin Trust Various States, | 2,635 | ||||||
| 20,525 | Baltimore IDA, Baltimore Capital Acquisition, Rev., VRDO, LOC: Bayerische Landesbank, 0.350%, 03/07/11 | 20,525 | ||||||
| 19,220 | Maryland Community Development Administration, Series J, Rev., VRDO, 0.290%, 03/07/11 | 19,220 | ||||||
| 14,200 | Maryland Community Development Administration, Residential, Series C, Rev., VRDO, 0.260%, 03/07/11 | 14,200 | ||||||
| 39,000 | Maryland Health & Higher Educational Facilities Authority, Anne Arundel Health System, Series B, Rev., VRDO, LOC: Manufacturers and Traders, 0.260%, 03/07/11 | 39,000 | ||||||
| 3,135 | Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Avalon Lea Apartment Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 3,135 | ||||||
| 9,320 | Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Fort Washington Development, Series A, Rev., VRDO, LOC: Citibank N.A., 0.290%, 03/07/11 | 9,320 | ||||||
| 6,400 | Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Parklane Apartments, Series C, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 6,400 | ||||||
| 18,000 | Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Residential, Series I, Rev., VRDO, AMT, 0.260%, 03/07/11 | 18,000 | ||||||
| 11,700 | Maryland State Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Walker Mews Apartments, | 11,700 | ||||||
| 15,200 | Maryland State Community Development Administration, Multi-Family, Series E, Rev., VRDO, LOC: Suntrust Bank, 0.330%, 03/07/11 | 15,200 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Maryland — Continued | ||||||||
Maryland State Community Development Administration, Residential, | ||||||||
| 44,305 | Series F, Rev., VRDO, 0.290%, 03/07/11 | 44,305 | ||||||
| 29,050 | Series M, Rev., VRDO, 0.290%, 03/07/11 | 29,050 | ||||||
| 9,865 | Maryland State Economic Development Corp., U.S. Pharmacopeial, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 9,865 | ||||||
| 21,170 | Maryland State Health & Higher Educational Facilities Authority, Loyola College, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 21,170 | ||||||
| 27,268 | Maryland State Health & Higher Educational Facilities Authority, Pooled Loan Program, Series D, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 27,268 | ||||||
| 24,700 | Maryland State Health & Higher Educational Facilities Authority, University of Maryland Medical Systems, Series D, Rev., VRDO, LOC: TD Bank N.A., 0.170%, 03/01/11 | 24,700 | ||||||
| 15,160 | Maryland State Health & Higher Educational Facilities Authority, Upper Chesapeake Hospital, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 15,160 | ||||||
| 27,650 | Montgomery County Housing Opportunities Commission Housing Revenue, Oakfield Apartments, Issue I, Rev., VRDO, AMT, FNMA, LIQ: FNMA, 0.320%, 03/07/11 | 27,650 | ||||||
| 53,365 | Montgomery County Housing Opportunities Commission Housing Revenue, | 53,365 | ||||||
Washington Suburban Sanitation District, | ||||||||
| 13,860 | Series A, BAN, GO, VRDO, 0.260%, 03/07/11 | 13,860 | ||||||
| 8,100 | Series A, BAN, GO, VRDO, 0.270%, 03/07/11 | 8,100 | ||||||
| 5,100 | Washington Suburban Sanitation District, Multimodal, Series A, BAN, GO, VRDO, 0.270%, 03/07/11 | 5,100 | ||||||
| 21,000 | Wells Fargo Stage Trust, Series 16C, Rev., VRDO, AGM, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 21,000 | ||||||
| 459,928 | ||||||||
Massachusetts — 3.0% | ||||||||
| 6,030 | Canton Housing Authority, Multi-Family Housing, Canton Arboretum Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 6,030 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Massachusetts — Continued | ||||||||
| 16,480 | City of Boston, Water & Sewer Commission, Series SG-75, Rev., VRDO, LIQ: Societe Generale, 0.290%, 03/07/11 (e) | 16,480 | ||||||
Commonwealth of Massachusetts, | ||||||||
| 50,000 | Series A, GO, RAN, 2.000%, 04/28/11 | 50,135 | ||||||
| 25,350 | Series B, GO, VRDO, 0.280%, 03/07/11 | 25,350 | ||||||
| 18,900 | Commonwealth of Massachusetts, Central Artery, Series B, GO, VRDO, 0.200%, 03/01/11 | 18,900 | ||||||
Eclipse Funding Trust, Solar Eclipse, Massachusetts, | ||||||||
| 13,790 | Series 2007-0010, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 13,790 | ||||||
| 30,860 | Series 2007-0032, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 30,860 | ||||||
Macon Trust Various States, | ||||||||
| 77,210 | Series 2007-343, Rev., VRDO, LIQ: Bank of America N.A., LOC: Bank of America N.A., 0.450%, 03/07/11 | 77,210 | ||||||
| 62,649 | Series 2007-344, Rev., VRDO, LIQ: Bank of America N.A., LOC: Bank of America N.A., 0.450%, 03/07/11 | 62,649 | ||||||
| 6,000 | Massachusetts Development Finance Agency, Series PT-923, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/11 | 6,000 | ||||||
| 30,025 | Massachusetts Development Finance Agency, Boston University, Series U-6E, Rev., VRDO, LOC: Bank of Nova Scotia, 0.180%, 03/07/11 | 30,025 | ||||||
| 9,600 | Massachusetts Development Finance Agency, Eaglebrook School, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 9,600 | ||||||
| 3,800 | Massachusetts Development Finance Agency, First Mortgage Brookhaven, Series B, Rev., VRDO, LOC: Fleet National Bank, 0.430%, 03/07/11 | 3,800 | ||||||
| 4,500 | Massachusetts Development Finance Agency, Simmons College, Series G, Rev., VRDO, LOC: TD Banknorth N.A., 0.270%, 03/07/11 | 4,500 | ||||||
| 14,790 | Massachusetts Educational Financing Authority, Education Loan, | 14,790 | ||||||
| 14,800 | Massachusetts Health & Educational Facilities Authority, Series J-2, Rev., VRDO, 0.210%, 03/01/11 | 14,800 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Massachusetts — Continued | ||||||||
Massachusetts Health & Educational Facilities Authority, Amherst College, | ||||||||
| 14,792 | Series H, Rev., VAR, 0.430%, 03/07/11 | 14,792 | ||||||
| 14,110 | Series I, Rev., VRDO, 0.220%, 03/07/11 | 14,110 | ||||||
Massachusetts Health & Educational Facilities Authority, Capital Asset Program, | ||||||||
| 26,900 | Series E, Rev., VRDO, LOC: Fleet National Bank, 0.200%, 03/01/11 | 26,900 | ||||||
| 12,200 | Series M-4A, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 12,200 | ||||||
| 57,600 | Massachusetts Health & Educational Facilities Authority, Museum of Fine Arts, Series A-1, Rev., VRDO, 0.230%, 03/01/11 | 57,600 | ||||||
| 9,520 | Massachusetts Housing Finance Agency, | 9,520 | ||||||
| 10,480 | Massachusetts Water Resources Authority, Series A, Rev., VRDO, 0.280%, 03/07/11 | 10,480 | ||||||
Massachusetts Water Resources Authority, Multimodal, | ||||||||
| 55,650 | Series B, Rev., VRDO, LOC: Helaba, 0.230%, 03/07/11 | 55,650 | ||||||
| 11,950 | Subseries D, Rev., VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.230%, 03/01/11 | 11,950 | ||||||
| 13,440 | Puttable Floating Option Tax-Exempt Receipts, Series MT-558, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/11 | 13,440 | ||||||
| 13,700 | University of Massachusetts Building Authority, Series 3, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/11 | 13,700 | ||||||
| 9,000 | University of Massachusetts Building Authority, Senior Community Guaranteed, Series 4, Rev., VRDO, 0.240%, 03/07/11 | 9,000 | ||||||
| 39,170 | Wells Fargo Stage Trust, Series 22C, Rev., VRDO, AMBAC, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 39,170 | ||||||
| 673,431 | ||||||||
Michigan — 1.8% | ||||||||
Detroit City School District, | ||||||||
| 25,730 | Series DCL 045, GO, VRDO, AGM, Q-SBLF, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.460%, 03/07/11 | 25,730 | ||||||
| 80,045 | Series PT-3480, GO, VRDO, AGM, Q-SBLF, LIQ: Dexia Credit Local, 0.420%, 03/07/11 | 80,045 | ||||||
| 12,500 | Lakeview School District, Calhoun, School Building & Site, Series B, GO, VRDO, Q-SBLF, LIQ: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 12,500 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 39 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Michigan — Continued | ||||||||
Michigan State Housing Development Authority, Rental Housing, | ||||||||
| 65,125 | Series C, Rev., VRDO, AMT, 0.310%, 03/07/11 | 65,125 | ||||||
| 62,975 | Series D, Rev., VRDO, AMT, 0.320%, 03/07/11 | 62,975 | ||||||
| 7,300 | Michigan State Housing Development Authority, Single Family Mortgage, Series C, Rev., VRDO, 0.270%, 03/07/11 | 7,300 | ||||||
| 1,600 | Michigan State University, Rev., VRDO, 0.220%, 03/07/11 | 1,600 | ||||||
| 16,595 | Milan Area Schools, GO, VRDO, Q-SBLF, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 16,595 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 7,885 | Series MT-631, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.480%, 03/07/11 (e) | 7,885 | ||||||
| 10,000 | Series PT-4668, Rev., VRDO, LIQ: Bank of America N.A., 0.330%, 03/07/11 (e) | 10,000 | ||||||
RBC Municipal Products, Inc. Trust, Floater Certificates, | ||||||||
| 48,745 | Series L-26, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.300%, 03/07/11 | 48,745 | ||||||
| 26,295 | Series L-29, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.300%, 03/07/11 | 26,295 | ||||||
| 7,440 | University of Michigan, Hospital, Series A, Rev., VRDO, 0.190%, 03/01/11 | 7,440 | ||||||
University of Michigan, Medical Services Plan, | ||||||||
| 17,550 | Series A, Rev., VRDO, 0.200%, 03/07/11 | 17,550 | ||||||
| 19,740 | Series A-1, Rev., VRDO, 0.100%, 03/01/11 | 19,740 | ||||||
| 409,525 | ||||||||
Minnesota — 1.7% | ||||||||
| 12,915 | Center City Health Care Facilities, Hazelden Foundation Project, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 12,915 | ||||||
City of Robbinsdale, North Memorial, | ||||||||
| 24,900 | Series A-2, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.230%, 03/01/11 | 24,900 | ||||||
| 13,070 | Series A-4, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.190%, 03/01/11 | 13,070 | ||||||
| 67,850 | Hennepin County Sales Tax Revenue, Ballpark Project, Third Lien, Series C, Rev., VRDO, 0.250%, 03/07/11 | 67,850 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Minnesota — Continued | ||||||||
| 13,900 | Midwest Consortium of Municipal Utilities, Draw Down Association Financing Project, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 13,900 | ||||||
| 21,800 | Minneapolis & St. Paul Housing & Redevelopment Authority, Children’s Health Care Facilities, Series A, Rev., VRDO, AGM, 0.240%, 03/01/11 | 21,800 | ||||||
| 11,000 | Minneapolis & St. Paul Housing & Redevelopment Authority, Children’s Hospital & Clinics, Series A, Rev., VRDO, AGM, 0.240%, 03/01/11 | 11,000 | ||||||
Minnesota Housing Finance Agency, Residential Housing, | ||||||||
| 5,000 | Series B, Rev., VRDO, AMT, 0.270%, 03/07/11 | 5,000 | ||||||
| 24,965 | Series C, Rev., VRDO, AMT, 0.270%, 03/07/11 | 24,965 | ||||||
| 4,685 | Series J, Rev., VRDO, AMT, 0.270%, 03/07/11 | 4,685 | ||||||
| 135,125 | Minnesota School District Capital Equipment Borrowing Program, Series B, COP, 2.000%, 09/01/11 | 136,245 | ||||||
| 22,490 | RBC Municipal Products, Inc. Trust, Floater Certificates, Series E-19, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.260%, 03/07/11 (e) | 22,490 | ||||||
| 14,895 | Wells Fargo State Trust, Series 52C, Rev., VRDO, AMBAC, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 14,895 | ||||||
| 373,715 | ||||||||
Mississippi — 0.5% | ||||||||
Mississippi Business Finance Corp., Chevron USA, Inc., | ||||||||
| 11,250 | Series F, Rev., VRDO, 0.180%, 03/07/11 | 11,250 | ||||||
| 34,600 | Series G, Rev., VRDO, 0.170%, 03/01/11 | 34,600 | ||||||
Mississippi Business Finance Corp., Chevron USA, Inc., | ||||||||
| 7,300 | Series K, Rev., VRDO, 0.170%, 03/01/11 | 7,300 | ||||||
| 5,100 | Series L, Rev., VRDO, 0.170%, 03/01/11 | 5,100 | ||||||
| 300 | Mississippi Business Finance Corp., Chevron USA, Inc. Project, Series F, Rev., VRDO, 0.170%, 03/01/11 | 300 | ||||||
| 25,000 | Mississippi Development Bank Special Obligation, Harrison County Coliseum, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 25,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Mississippi — Continued | ||||||||
| 25,000 | Perry County Pollution Control, Leaf River Forest Product Project, Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/07/11 | 25,000 | ||||||
| 108,550 | ||||||||
Missouri — 1.1% | ||||||||
| 17,500 | City of North Kansas, City Hospital, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 17,500 | ||||||
| 11,875 | Eclipse Funding Trust, Solar Eclipse, | 11,875 | ||||||
| 1,950 | Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., VRDO, LOC: Bank of America N.A., 0.540%, 03/07/11 | 1,950 | ||||||
| 49,355 | Missouri Development Finance Board, Kauffman Center for Performing Arts, | 49,355 | ||||||
| 17,250 | Missouri State Environmental Improvement & Energy Resources Authority, Series 1567, Rev., VRDO, BHAC-CR, AMBAC, LIQ: Morgan Stanley Bank, 0.290%, 03/07/11 | 17,250 | ||||||
| 10,000 | Missouri State Health & Educational Facilities Authority, Series ROCS-RR-II-R-11532, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.310%, 03/07/11 | 10,000 | ||||||
| 29,850 | Missouri State Health & Educational Facilities Authority, Bethesda Health Group, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 29,850 | ||||||
| 14,790 | Missouri State Health & Educational Facilities Authority, Rockhurst University, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 14,790 | ||||||
| 16,900 | Missouri State Health & Educational Facilities Authority, SSM Health Care Services, | 16,900 | ||||||
| 7,710 | Missouri State Health & Educational Facilities Authority, St. Francis Medical Center, | 7,710 | ||||||
Missouri State Health & Educational Facilities Authority, St. Louis University, | ||||||||
| 9,390 | Rev., VRDO, 0.190%, 03/01/11 | 9,390 | ||||||
| 43,530 | Series B, Rev., VRDO, 0.200%, 03/01/11 | 43,530 | ||||||
Missouri State Health & Educational Facilities Authority, Washington University, | ||||||||
| 10,025 | Series B, Rev., VRDO, 0.170%, 03/01/11 | 10,025 | ||||||
| 240,125 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Montana — 0.1% | ||||||||
| 30,000 | Montana Board of Investments, Colstrip Project, Rev., VRDO, LOC: Union Bank N.A., 0.250%, 03/07/11 | 30,000 | ||||||
Nebraska — 0.1% | ||||||||
| 18,955 | Eclipse Funding Trust, Solar Eclipse, Omaha, Series 2006-0141, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 (e) | 18,955 | ||||||
Nevada — 1.1% | ||||||||
| 42,750 | City of Reno, Series 2634, Rev., VRDO, | 42,750 | ||||||
| 14,800 | City of Reno, Capital Improvements, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 14,800 | ||||||
| 37,345 | City of Reno, Renown Regional Medical Center, Series A, Rev., VRDO, LOC: Union Bank of California N.A., 0.250%, 03/07/11 | 37,345 | ||||||
| 13,100 | Director of the State of Nevada Department of Business & Industry, Energy Partners LLC Project, Rev., VRDO, LOC: Sumitomo Mitsui Banking, 0.350%, 03/07/11 | 13,100 | ||||||
| 12,000 | Director of the State of Nevada Department of Business & Industry, Nevada Cancer Institute Project, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 12,000 | ||||||
| 12,780 | Eclipse Funding Trust, Solar Eclipse, Henderson, Series 2006-0094, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 12,780 | ||||||
| 9,835 | Eclipse Funding Trust, Solar Eclipse, Truckee Meadows, Series 2007-0015, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 9,835 | ||||||
Nevada Housing Division, Multi-Unit Housing, | ||||||||
| 10,900 | Series A, Rev., VRDO, LOC: Wachovia Bank N.A., 0.390%, 03/07/11 | 10,900 | ||||||
| 8,750 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.330%, 03/07/11 | 8,750 | ||||||
| 3,190 | Series M, Rev., VRDO, LOC: U.S. Bank N.A., 0.330%, 03/07/11 | 3,190 | ||||||
| 9,500 | Nevada Housing Division, Multi-Unit Housing, Flamingo Road, Series A, Rev., VRDO, LOC: Exchange Bank, 0.330%, 03/07/11 (e) | 9,500 | ||||||
| 7,800 | Nevada Housing Division, Multi-Unit Housing, Fort Apache, Series A, Rev., VRDO, LOC: Exchange Bank, 0.330%, 03/07/11 | 7,800 | ||||||
| 3,430 | Nevada Housing Division, Multi-Unit Housing, Horizon, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 3,430 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 41 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Nevada — Continued | ||||||||
| 17,850 | Nevada Housing Division, Multi-Unit Housing, Reno Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 17,850 | ||||||
| 12,710 | Nevada Housing Division, Multi-Unit Housing, Silverado, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 12,710 | ||||||
| 11,000 | Nevada Housing Division, Vintage at Laughlin Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 11,000 | ||||||
| 21,000 | Nevada Housing Division, Vista Creek Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 21,000 | ||||||
| 248,740 | ||||||||
New Hampshire — 0.3% | ||||||||
| 11,580 | New Hampshire Business Finance Authority, Mark H. Wentworth Home, Rev., VRDO, LOC: TD Banknorth N.A., 0.190%, 03/07/11 | 11,580 | ||||||
| 30,400 | New Hampshire Health & Education Facilities Authority, Saint Anselm College, Rev., VRDO, LOC: RBS Citizens N.A., 0.260%, 03/07/11 | 30,400 | ||||||
| 16,775 | New Hampshire Housing Finance Authority, Series 1404, Rev., VRDO, 0.400%, 03/07/11 | 16,775 | ||||||
| 12,610 | New Hampshire Housing Finance Authority, Multi-Family Housing, Series 2034, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.280%, 03/07/11 | 12,610 | ||||||
| 5,200 | New Hampshire Housing Finance Authority, Multi-Family Housing, EQR Board Partnership Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.210%, 03/07/11 | 5,200 | ||||||
| 76,565 | ||||||||
New Jersey — 2.4% | ||||||||
| 575 | Austin Trust Various States, | 575 | ||||||
| 17,700 | Deutsche Bank Spears/Lifers Trust Various States, Series DB-339, Rev., VRDO, AGM, AMBAC, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 17,700 | ||||||
| 15,000 | New Jersey EDA, Pivotal Utility, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ, 0.190%, 03/01/11 | 15,000 | ||||||
| 13,520 | New Jersey EDA, Presbyterian Homes Association, Series A, Rev., VRDO, LOC: Commerce Bank N.A., 0.190%, 03/07/11 | 13,520 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New Jersey — Continued | ||||||||
| 37,910 | New Jersey Health Care Facilities Financing Authority, Series 3018, Rev., VRDO, AGC, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 37,910 | ||||||
| 1,500 | New Jersey Health Care Facilities Financing Authority, Meridian Health Systems, | 1,500 | ||||||
| 16,095 | New Jersey Health Care Facilities Financing Authority, MERLOTS, Series F01, Rev., VRDO, 0.260%, 03/07/11 | 16,095 | ||||||
| 14,065 | New Jersey Health Care Facilities Financing Authority, Somerset Medical Center, Rev., VRDO, LOC: TD Bank N.A., 0.190%, 03/07/11 | 14,065 | ||||||
| 1,300 | New Jersey Health Care Facilities Financing Authority, St. Peter’s University Hospital, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 1,300 | ||||||
| 19,750 | New Jersey Health Care Facilities Financing Authority, Virtua Health, Series D, Rev., VRDO, LOC: TD Bank N.A., 0.190%, 03/07/11 | 19,750 | ||||||
| 12,960 | New Jersey State Housing & Mortgage Finance Agency, Single Family Housing, Series P, Rev., VRDO, 0.330%, 03/07/11 | 12,960 | ||||||
| 6,070 | New Jersey State Turnpike Authority, | 6,070 | ||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
| 21,950 | Series PT-2500, Rev., VRDO, NATL-RE, 0.390%, 03/07/11 | 21,950 | ||||||
| 5,760 | Series PT-2711, Rev., VRDO, FGIC, 0.390%, 03/07/11 | 5,760 | ||||||
New Jersey Transportation Trust Fund Authority, MERLOTS, | ||||||||
| 27,020 | Series B-03, Rev., VRDO, NATL-RE, 0.260%, 03/07/11 | 27,020 | ||||||
| 29,200 | Series B-04, Rev., VRDO, NATL-RE, 0.260%, 03/07/11 | 29,200 | ||||||
| 22,965 | Series B23, Rev., VRDO, AMBAC-TCRS-BNY, 0.260%, 03/07/11 | 22,965 | ||||||
| 25,000 | Nuveen New Jersey Investment Quality Municipal Fund, Inc., VRDO, LIQ: Citibank N.A., 0.510%, 03/07/11 | 25,000 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 31,700 | Series MT-639, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.320%, 03/07/11 (e) | 31,700 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
New Jersey — Continued | ||||||||
| 12,000 | Series PT-4643, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.470%, 03/07/11 (e) | 12,000 | ||||||
| 14,075 | Series PT-4689, Rev., VRDO, LIQ: Bank of America N.A., 0.320%, 03/07/11 (e) | 14,075 | ||||||
| 13,300 | Puttable Floating Option Tax-Exempt Receipts, New Jersey EDA, Series PT-4014, Rev., VRDO, AMBAC, LIQ: Dexia Credit Local, 0.390%, 03/07/11 | 13,300 | ||||||
| 180,700 | State of New Jersey, Rev., TRAN, 2.000%, 06/23/11 | 181,644 | ||||||
| 541,059 | ||||||||
New Mexico — 0.2% | ||||||||
| 42,520 | Puttable Floating Option Tax-Exempt Receipts, Series MT-637, Rev., VRDO, 0.400%, 03/07/11 | 42,520 | ||||||
New York — 13.3% | ||||||||
| 15,980 | Austin Trust Various States, | 15,980 | ||||||
| 47,411 | County of Albany, Various Purpose, GO, 1.250%, 12/08/11 | 47,706 | ||||||
| 24,075 | Eclipse Funding Trust, Solar Eclipse, Long Island, Series 2006-0119, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 24,075 | ||||||
| 10,495 | Eclipse Funding Trust, Solar Eclipse, Metropolitan, Series 2006-0028, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,495 | ||||||
Eclipse Funding Trust, Solar Eclipse, New York, | ||||||||
| 11,385 | Series 2006-0029, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 11,385 | ||||||
| 11,305 | Series 2006-0112, Rev., VRDO, AGM-CR, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 (e) | 11,305 | ||||||
| 20,815 | Series 2006-0159, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 20,815 | ||||||
| 8,200 | Long Island Power Authority, Electric Systems, Series 2, Subseries 2B, Rev., VRDO, LOC: Bayerische Landesbank, 0.180%, 03/01/11 | 8,200 | ||||||
Metropolitan Transportation Authority, | ||||||||
| 74,090 | Series A, Rev., VRDO, AGM, 0.330%, 03/07/11 | 74,090 | ||||||
| 60,750 | Series B, Rev., VRDO, AGM, 0.330%, 03/07/11 | 60,750 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued | ||||||||
| 87,200 | Subseries D-1, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.250%, 03/07/11 | 87,200 | ||||||
| 1,800 | Subseries D-2, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.230%, 03/01/11 | 1,800 | ||||||
Metropolitan Transportation Authority, EAGLE, | ||||||||
| 19,800 | Series 2005-3019, Class A, Rev., VRDO, BHAC-CR, MBIA, LIQ: Citibank N.A., 0.270%, 03/07/11 | 19,800 | ||||||
| 19,050 | Series 2006-0103, Class A, Rev., VRDO, BHAC, AGM-CR, AMBAC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 19,050 | ||||||
New York City, | ||||||||
| 11,250 | Series 3015, GO, VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 11,250 | ||||||
| 21,000 | Series B4, GO, VRDO, 0.260%, 03/07/11 | 21,000 | ||||||
| 8,900 | Series E, Subseries E-2, GO, VRDO, LOC: Bank of America N.A., 0.220%, 03/01/11 | 8,900 | ||||||
| 11,500 | Series F-4, GO, VRDO, LOC: Landesbank Hessen-Thuringen, 0.270%, 03/07/11 | 11,500 | ||||||
| 27,100 | Series H, Subseries H-2, GO, VRDO, NATL-RE, 0.190%, 03/01/11 | 27,100 | ||||||
| 13,400 | Series H, Subseries H-4, GO, VRDO, AMBAC, 0.220%, 03/07/11 | 13,400 | ||||||
| 27,400 | Series I, Subseries I-3, GO, VRDO, LOC: Bank of America N.A., 0.210%, 03/01/11 | 27,400 | ||||||
| 1,500 | Series I, Subseries I-5, GO, VRDO, LOC: California Public Employee Retirement Fund, 0.220%, 03/01/11 | 1,500 | ||||||
| 8,900 | Series I, Subseries I-8, GO, VRDO, LOC: Bank of America N.A., 0.170%, 03/01/11 | 8,900 | ||||||
| 9,750 | Subseries A-3, GO, VRDO, LOC: BNP Paribas, 0.250%, 03/07/11 | 9,750 | ||||||
| 100 | Subseries A-4, GO, VRDO, LOC: Bayerische Landesbank, 0.210%, 03/01/11 | 100 | ||||||
| 16,105 | Subseries A-4, GO, VRDO, LOC: Landesbank Baden-Wuerttemberg, 0.230%, 03/01/11 | 16,105 | ||||||
| 11,000 | Subseries A-4, GO, VRDO, LOC: Bank of Nova Scotia, 0.230%, 03/07/11 | 11,000 | ||||||
| 6,815 | Subseries A-5, GO, VRDO, LOC: KBC Bank N.V., 0.110%, 03/01/11 | 6,815 | ||||||
| 14,510 | Subseries A-6, GO, VRDO, LOC: Helaba, 0.240%, 03/07/11 | 14,510 | ||||||
| 15,750 | Subseries C-2, GO, VRDO, LOC: Bayerische Landesbank, 0.280%, 03/07/11 | 15,750 | ||||||
| 13,090 | Subseries C-5, GO, VRDO, LOC: Bank of New York, 0.220%, 03/07/11 | 13,090 | ||||||
| 3,700 | Subseries E-4, GO, VRDO, LOC: BNP Paribas, 0.120%, 03/01/11 | 3,700 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 43 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
New York — Continued | ||||||||
| 2,900 | Subseries E-4, GO, VRDO, LOC: BNP Paribas, 0.180%, 03/01/11 | 2,900 | ||||||
| 100 | Subseries H-1, GO, VRDO, LOC: Bank of New York, 0.130%, 03/01/11 | 100 | ||||||
| 18,300 | Subseries H-2, GO, VRDO, LOC: Bank of New York, 0.220%, 03/07/11 | 18,300 | ||||||
| 7,600 | Subseries H-4, GO, VRDO, LOC: Bank of New York, 0.100%, 03/01/11 | 7,600 | ||||||
| 19,015 | Subseries H-7, GO, VRDO, LOC: KBC Bank N.V., 0.210%, 03/01/11 | 19,015 | ||||||
| 18,600 | Subseries L-4, GO, VRDO, LOC: U.S. Bank N.A., 0.120%, 03/01/11 | 18,600 | ||||||
| 13,090 | Subseries L-6, GO, VRDO, 0.120%, 03/01/11 | 13,090 | ||||||
| 9,400 | New York City Capital Resources Corp., Loan Enhanced Assistance, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 9,400 | ||||||
New York City Housing Development Corp., Multi-Family Housing, | ||||||||
| 41,665 | Series C-3, Rev., VRDO, LIQ: Bank of America N.A., 0.260%, 03/07/11 | 41,665 | ||||||
| 10,155 | Series ROCS-RR-II-R-11667, Rev., VRDO, GNMA COLL, FHA, LIQ: Citibank N.A., 0.270%, 03/07/11 | 10,155 | ||||||
| 23,000 | Series ROCS-RR-II-R-13100, Rev., VRDO, LIQ: Citibank N.A., 0.280%, 03/07/11 (e) | 23,000 | ||||||
| 35,000 | New York City Housing Development Corp., Multi-Family Housing, 20 Exchange Place, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 35,000 | ||||||
| 13,500 | New York City Housing Development Corp., Multi-Family Housing, 245 East 124th Street, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.220%, 03/07/11 | 13,500 | ||||||
| 7,255 | New York City Housing Development Corp., Multi-Family Housing, 500 East 165th Street Apartments, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 7,255 | ||||||
| 15,900 | New York City Housing Development Corp., Multi-Family Housing, 90 Washington Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.220%, 03/07/11 | 15,900 | ||||||
| 10,300 | New York City Housing Development Corp., Multi-Family Housing, 90 West Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 10,300 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued | ||||||||
| 13,500 | New York City Housing Development Corp., Multi-Family Housing, Bruckner, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 13,500 | ||||||
| 3,070 | New York City Housing Development Corp., Multi-Family Housing, Columbus Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.220%, 03/07/11 | 3,070 | ||||||
| 13,600 | New York City Housing Development Corp., Multi-Family Housing, Highbridge Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 13,600 | ||||||
| 19,400 | New York City Housing Development Corp., Multi-Family Housing, Lexington Courts, Series A, Rev., VRDO, LIQ: FHLMC, 0.220%, 03/07/11 | 19,400 | ||||||
| 4,300 | New York City Housing Development Corp., Multi-Family Housing, Monterey, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.220%, 03/07/11 | 4,300 | ||||||
| 15,000 | New York City Housing Development Corp., Multi-Family Housing, One Columbus Place Development, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 15,000 | ||||||
| 7,800 | New York City Housing Development Corp., Multi-Family Housing, Royal Properties, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.200%, 03/07/11 | 7,800 | ||||||
| 8,875 | New York City Housing Development Corp., Multi-Family Housing, The Plaza, Series A, Rev., VRDO, LOC: Citibank N.A., 0.270%, 03/07/11 | 8,875 | ||||||
| 12,930 | New York City Housing Development Corp., Multi-Family Housing, West 89th Street Development, Series A, Rev., VRDO, LOC: FNMA, 0.260%, 03/07/11 | 12,930 | ||||||
| 40,000 | New York City Housing Development Corp., Multi-Family Housing, West End Towers, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 40,000 | ||||||
| 21,200 | New York City Industrial Development Agency, Liberty Facilities Hanson Office, Rev., VRDO, LOC: ING Bank N.V., 0.250%, 03/07/11 | 21,200 | ||||||
| 4,710 | New York City Industrial Development Agency, Planned Parenthood Project, Rev., VRDO, LOC: Bank of America N.A., 0.490%, 03/07/11 | 4,710 | ||||||
| 8,000 | New York City Municipal Water Finance Authority, Series F, Subseries F-2, Rev., VRDO, 0.250%, 03/01/11 | 8,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
New York — Continued | ||||||||
New York City Municipal Water Finance Authority, 2nd Generation, | ||||||||
| 14,600 | Series DD-1, Class A, Rev., VRDO, 0.120%, 03/01/11 | 14,600 | ||||||
| 24,000 | Series DD-3B, Rev., VRDO, 0.140%, 03/01/11 | 24,000 | ||||||
New York City Municipal Water Finance Authority, 2nd Generation Resolution, | ||||||||
| 2,500 | Series 2008-BB-1, Rev., VRDO, 0.160%, 03/01/11 | 2,500 | ||||||
| 7,850 | Series BB-1, Rev., VRDO, 0.210%, 03/01/11 | 7,850 | ||||||
| 74,390 | Series CC-1, Rev., VRDO, 0.190%, 03/01/11 | 74,390 | ||||||
| 15,400 | New York City Municipal Water Finance Authority, Water & Sewer Systems, Subseries B-4, Rev., VRDO, 0.230%, 03/07/11 | 15,400 | ||||||
New York City Transitional Finance Authority, | ||||||||
| 15,000 | Series ROCS-RR-II-R-12319, Rev., VRDO, LIQ: Citibank N.A., 0.250%, 03/07/11 (e) | 15,000 | ||||||
| 21,610 | Series ROCS-RR-II-R-12054, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.300%, 03/07/11 | 21,610 | ||||||
| 7,280 | Subseries 2-D, Rev., VRDO, LIQ: Lloyds TSB Bank plc, 0.220%, 03/07/11 | 7,280 | ||||||
New York City Transitional Finance Authority, EAGLE, | ||||||||
| 3,360 | Series 2007-0004, Class A, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 3,360 | ||||||
| 36,060 | Series 2007-0014, Class A, Rev., VRDO, AGM-CR, FGIC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 36,060 | ||||||
| 100 | New York City Transitional Finance Authority, Future Tax Secured, Series B, Rev., VRDO, 0.210%, 03/01/11 | 100 | ||||||
New York City Transitional Finance Authority, New York City Recovery, | ||||||||
| 3,660 | Series 1, Subseries 1A, Rev., VRDO, LIQ: Landesbank Hessen-Thuringen, 0.280%, 03/07/11 | 3,660 | ||||||
| 14,000 | Series 1, Subseries 1E, Rev., VRDO, LIQ: Bayerische Landesbank, 0.230%, 03/07/11 | 14,000 | ||||||
| 12,430 | Series 3, Subseries 3-B, Rev., VRDO, 0.160%, 03/01/11 | 12,430 | ||||||
| 18,285 | Series 3, Subseries 3-C, Rev., VRDO, 0.330%, 03/07/11 | 18,285 | ||||||
| 31,845 | Series 3, Subseries 3-D, Rev., VRDO, 0.330%, 03/07/11 | 31,845 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued | ||||||||
| 34,135 | Series 3, Subseries 3-E, Rev., VRDO, 0.250%, 03/01/11 | 34,135 | ||||||
| 14,770 | Series 3, Subseries 3-H, Rev., VRDO, 0.110%, 03/01/11 | 14,770 | ||||||
New York City Trust for Cultural Resources, American Museum of Natural History, | ||||||||
| 950 | Series A1, Rev., VRDO, 0.140%, 03/01/11 | 950 | ||||||
| 10,250 | Series A2, Rev., VRDO, 0.210%, 03/01/11 | 10,250 | ||||||
New York City, Fiscal 2008, | ||||||||
| 31,150 | Subseries J-6, GO, VRDO, LOC: Landesbank Hessen-Thuringen, 0.200%, 03/01/11 | 31,150 | ||||||
| 4,150 | Subseries J-9, GO, VRDO, 0.220%, 03/07/11 | 4,150 | ||||||
| 11,110 | Subseries J-10, GO, VRDO, 0.230%, 03/07/11 | 11,110 | ||||||
| 3,750 | Subseries J-11, GO, VRDO, 0.250%, 03/07/11 | 3,750 | ||||||
| 49,500 | New York Convention Center Operating Corp., EAGLE, Series 2006-0072, Class A, Rev., VRDO, BHAC, AGC-ICC, AMBAC, LIQ: Citibank N.A., 0.270%, 03/07/11 | 49,500 | ||||||
New York Liberty Development Corp., World Trade Center Project, | ||||||||
| 355,000 | Rev., VRDO, 0.350%, 08/04/11 | 355,000 | ||||||
| 50,000 | Series A-1, Rev., VRDO, 0.420%, 01/19/12 | 50,000 | ||||||
| 16,160 | New York Liberty Development Project, Series ROCS-RR-II-R-11868, Rev., VRDO, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 16,160 | ||||||
New York Local Government Assistance Corp., | ||||||||
| 11,421 | Series C, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.220%, 03/07/11 | 11,421 | ||||||
| 10,300 | Series SG-100, Rev., VRDO, NATL-RE-IBC, 0.280%, 03/07/11 | 10,300 | ||||||
| 4,400 | New York Mortgage Agency, Series ROCS-RR-II-R-11708, Rev., VRDO, LIQ: Citibank N.A., 0.310%, 03/07/11 (e) | 4,400 | ||||||
| 1,200 | New York Mortgage Agency, Homeowner Mortgage, Series 150, Rev., VRDO, AMT, 0.200%, 03/01/11 | 1,200 | ||||||
| 20,800 | New York State Dormitory Authority, City University, Series D, Rev., VRDO, LOC: TD Bank N.A., 0.190%, 03/07/11 | 20,800 | ||||||
| 87,200 | New York State Dormitory Authority, Court Facilities Lease, Series B, Rev., VRDO, LOC: Bayerische Landesbank, 0.250%, 03/07/11 | 87,200 | ||||||
New York State Dormitory Authority, Mental Health Services, | ||||||||
| 11,055 | Subseries D-2E, Rev., VRDO, LOC: Royal Bank of Canada, 0.230%, 03/07/11 | 11,055 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 45 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
New York — Continued | ||||||||
| 7,215 | Subseries D-2H, Rev., VRDO, LOC: Royal Bank of Canada, 0.230%, 03/07/11 | 7,215 | ||||||
| 10,490 | New York State Dormitory Authority, Royal, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.220%, 03/07/11 | 10,490 | ||||||
| 17,460 | New York State Environmental Facilities Corp., MERLOTS, Series B-20, Rev., VRDO, 0.260%, 03/07/11 | 17,460 | ||||||
| 1,800 | New York State Housing Finance Agency, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 1,800 | ||||||
| 2,755 | New York State Housing Finance Agency, 10 Barclay Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 2,755 | ||||||
| 8,000 | New York State Housing Finance Agency, 101 West End, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 8,000 | ||||||
New York State Housing Finance Agency, 150 East 44th Street, | ||||||||
| 37,200 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 37,200 | ||||||
| 4,100 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 4,100 | ||||||
| 65,800 | New York State Housing Finance Agency, 188 Ludlow Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.330%, 03/07/11 | 65,800 | ||||||
| 4,200 | New York State Housing Finance Agency, 240 East 39th Street Housing, Series A, Rev., VRDO, 0.230%, 03/07/11 | 4,200 | ||||||
| 30,600 | New York State Housing Finance Agency, 250 West 93rd Street, Series 2005-A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.250%, 03/07/11 | 30,600 | ||||||
| 7,200 | New York State Housing Finance Agency, 345 East 94th Street Housing, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.250%, 03/07/11 | 7,200 | ||||||
| 3,200 | New York State Housing Finance Agency, 360 West 43rd Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 3,200 | ||||||
| 9,600 | New York State Housing Finance Agency, 455 West 37th Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 9,600 | ||||||
| 50,000 | New York State Housing Finance Agency, 600 West 42nd Street Housing, Series A, Rev., VRDO, LOC: Bank of New York, 0.280%, 03/07/11 | 50,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
New York — Continued | ||||||||
| 98,900 | New York State Housing Finance Agency, 88 Leonard Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.230%, 03/07/11 | 98,900 | ||||||
| 10,300 | New York State Housing Finance Agency, Bennington Hills Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 10,300 | ||||||
| 9,550 | New York State Housing Finance Agency, Chelsea Arms Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 9,550 | ||||||
| 39,000 | New York State Housing Finance Agency, East 84th Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 39,000 | ||||||
| 45,900 | New York State Housing Finance Agency, Helena Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 45,900 | ||||||
| 24,300 | New York State Housing Finance Agency, Historic Front Street Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.240%, 03/07/11 | 24,300 | ||||||
| 7,050 | New York State Housing Finance Agency, North End, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 7,050 | ||||||
| 22,400 | New York State Housing Finance Agency, Parkledge Apartments Housing, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.280%, 03/07/11 | 22,400 | ||||||
| 6,680 | New York State Housing Finance Agency, Talleyrand Crescent, Rev., VRDO, FNMA, LOC: FNMA, 0.260%, 03/07/11 | 6,680 | ||||||
| 11,300 | New York State Housing Finance Agency, Theater Row, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 11,300 | ||||||
| 30,800 | New York State Housing Finance Agency, Tribeca Green Housing, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.250%, 03/07/11 | 30,800 | ||||||
| 4,850 | New York State Housing Finance Agency, Union Square South Housing, Rev., VRDO, FNMA, LIQ: FNMA, 0.230%, 03/07/11 | 4,850 | ||||||
| 10,000 | New York State Housing Finance Agency, Victory Housing, Series 2002-A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 10,000 | ||||||
| 7,700 | New York State Housing Finance Agency, West 33rd Street Housing, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 7,700 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
New York — Continued | ||||||||
| 2,500 | New York State Housing Finance Agency, West 38th Street, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.240%, 03/07/11 | 2,500 | ||||||
| 100 | New York State Housing Finance Agency, Weyant Green Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 100 | ||||||
New York State Housing Finance Agency, Worth Street, | ||||||||
| 5,500 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 5,500 | ||||||
| 16,275 | New York State Urban Development Corp., Series 2008-053, Rev., VRDO, NATL-RE, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.290%, 03/07/11 | 16,275 | ||||||
| 31,000 | Nuveen New York Select Quality Municipal Fund, Inc., VRDO, LIQ: Citibank N.A., 0.510%, 03/07/11 | 31,000 | ||||||
| 47,825 | Onondaga County, New York Trust Cultural, Syracuse University Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/07/11 | 47,825 | ||||||
| 33,905 | Sales Tax Asset Receivable Corp., Series ROCS-RR-II-R-10395, Rev., VRDO, AGM-CR, MBIA, 0.260%, 03/07/11 (e) | 33,905 | ||||||
Triborough Bridge & Tunnel Authority, | ||||||||
| 7,685 | Subseries B-3, Rev., VRDO, 0.260%, 03/07/11 | 7,685 | ||||||
| 84,550 | Subseries B-4, Rev., VRDO, 0.280%, 03/07/11 | 84,550 | ||||||
| 60,855 | Subseries CD, Rev., VRDO, AGM, 0.270%, 03/07/11 | 60,855 | ||||||
| 6,450 | Trust for Cultural Resources, Lincoln Center, Series A-2, Rev., VRDO, LOC: Bank of America N.A., 0.210%, 03/01/11 | 6,450 | ||||||
| 17,890 | Wells Fargo Stage Trust, Series 2009-12C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 17,890 | ||||||
| 2,985,142 | ||||||||
North Carolina — 3.6% |
| |||||||
Buncombe County Metropolitan Sewerage District, | ||||||||
| 32,480 | Series A, Rev., VRDO, 0.260%, 03/07/11 | 32,480 | ||||||
| 20,605 | Series B, Rev., VRDO, 0.260%, 03/07/11 | 20,605 | ||||||
Charlotte-Mecklenburg Hospital Authority, Carolinas Healthcare, | ||||||||
| 50,955 | Series F, Rev., VRDO, AGM, 0.330%, 03/07/11 | 50,955 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
North Carolina — Continued | ||||||||
| 23,420 | Series H, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.190%, 03/01/11 | 23,420 | ||||||
| 27,475 | City of Charlotte, Douglas International Airport, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/07/11 | 27,475 | ||||||
| 6,820 | City of Charlotte, Governmental Facilities, Series F, COP, VRDO, 0.280%, 03/07/11 | 6,820 | ||||||
| 1,500 | City of Durham, Water & Sewer Utility Systems, Rev., VRDO, 0.270%, 03/07/11 | 1,500 | ||||||
City of Greensboro, Combined Enterprise System, | ||||||||
| 22,690 | Series B, Rev., VRDO, 0.240%, 03/07/11 | 22,690 | ||||||
| 29,460 | Mecklenburg County, Series D, GO, VRDO, 0.360%, 09/26/11 (i) | 29,460 | ||||||
New Hanover County, Hospital, New Hanover Regional Medical, | ||||||||
| 6,265 | Series A-2, Rev., VRDO, AGM, 0.350%, 03/07/11 | 6,265 | ||||||
| 23,690 | Series B-2, Rev., VRDO, AGM, 0.350%, 03/07/11 | 23,690 | ||||||
| 48,000 | North Carolina Capital Facilities Finance Agency, EAGLE, Series 2007-0016, Class A, Rev., VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 | 48,000 | ||||||
| 4,355 | North Carolina Capital Facilities Finance Agency, Goodwill Community Foundation Project, Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 4,355 | ||||||
| 18,045 | North Carolina Capital Facilities Finance Agency, NCCU Real Estate, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 18,045 | ||||||
| 11,350 | North Carolina Capital Facilities Finance Agency, Wolfpack Towers Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 11,350 | ||||||
| 16,260 | North Carolina Capital Facilities Finance Agency, YMCA of Greater Charlotte Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 16,260 | ||||||
| 6,100 | North Carolina Educational Facilities Finance Agency, Elon College, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 6,100 | ||||||
| 4,160 | North Carolina Housing Finance Agency, Appalachian Student Housing, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.350%, 03/07/11 | 4,160 | ||||||
| 18,480 | North Carolina Medical Care Commission, Cleveland County Health, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 18,480 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 47 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
North Carolina — Continued | ||||||||
| 16,920 | North Carolina Medical Care Commission, Duke University Hospital Project, Series A, GO, VRDO, 0.240%, 03/07/11 | 16,920 | ||||||
| 28,900 | North Carolina Medical Care Commission, FirstHealth Carolinas Project, Rev., VRDO, 0.250%, 03/07/11 | 28,900 | ||||||
| 44,610 | North Carolina Medical Care Commission, Hugh Chatham Memorial Hospital Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 44,610 | ||||||
| 14,570 | North Carolina Medical Care Commission, Iredell Memorial Hospital, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 14,570 | ||||||
North Carolina Medical Care Commission, Moses Cone Health System, | ||||||||
| 43,540 | Rev., VRDO, 0.200%, 03/01/11 | 43,540 | ||||||
| 34,350 | Series A, Rev., VRDO, 0.250%, 03/07/11 | 34,350 | ||||||
| 32,300 | Series B, Rev., VRDO, 0.250%, 03/07/11 | 32,300 | ||||||
| 4,800 | North Carolina Medical Care Commission, Wake Forest University, Series C, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/07/11 | 4,800 | ||||||
| 29,300 | North Carolina State Education Assistance Authority, Student Loan, Series A-1, Rev., VRDO, LOC: Royal Bank of Canada, 0.280%, 03/07/11 | 29,300 | ||||||
| 16,625 | Person County Industrial Facilities & Pollution Control Financing Authority, Certainteed Gypsum, Inc., Rev., VRDO, LOC: Credit Industriel et Commercial, 0.280%, 03/07/11 | 16,625 | ||||||
| 5,560 | State of North Carolina, Public Improvement, Series D, GO, VRDO, 0.230%, 03/07/11 | 5,560 | ||||||
| 19,800 | University of North Carolina at Chapel Hill, EAGLE, Series 2006-0024, Class A, Rev., VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 | 19,800 | ||||||
University of North Carolina at Chapel Hill, University Hospital, | ||||||||
| 35,690 | Series A, Rev., VRDO, 0.220%, 03/01/11 | 35,690 | ||||||
| 11,400 | Series A, Rev., VRDO, 0.250%, 03/07/11 | 11,400 | ||||||
| 39,975 | Series A, Rev., VRDO, 0.260%, 03/07/11 | 39,975 | ||||||
| 18,700 | Series B, Rev., VRDO, 0.220%, 03/01/11 | 18,700 | ||||||
Wake County, School, | ||||||||
| 18,100 | Series A, GO, VRDO, 0.280%, 03/07/11 | 18,100 | ||||||
| 11,500 | Series B, GO, VRDO, 0.280%, 03/07/11 | 11,500 | ||||||
| 15,800 | Winston-Salem City, Series C, COP, VRDO, 0.250%, 03/07/11 | 15,800 | ||||||
| 814,550 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
North Dakota — 0.1% |
| |||||||
| 11,085 | City of Grand Forks, The United Hospital Obligation Group, Series A, Rev., VRDO, LOC: Lasalle National Bank, 0.270%, 03/01/11 | 11,085 | ||||||
North Dakota State Housing Finance Agency, Home Mortgage, | ||||||||
| 1,500 | Series A, Rev., VRDO, 0.280%, 03/07/11 | 1,500 | ||||||
| 9,205 | Series B, Rev., VRDO, 0.280%, 03/07/11 | 9,205 | ||||||
| 12,000 | Series C, Rev., VRDO, 0.280%, 03/07/11 | 12,000 | ||||||
| 33,790 | ||||||||
Ohio — 1.7% | ||||||||
Allen County, Catholic Healthcare, | ||||||||
| 28,000 | Series A, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 28,000 | ||||||
| 640 | Series C, Rev., VRDO, LOC: Bank of Nova Scotia, 0.200%, 03/01/11 | 640 | ||||||
| 7,909 | Austin Trust Various States, Series 2008-3308, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: Bank of America N.A., 0.400%, 03/07/11 | 7,909 | ||||||
| 1,375 | County of Cuyahoga, Health Care Facilities, Franciscan Communities, Series E, Rev., VRDO, LOC: Lasalle Bank N.A., 0.280%, 03/07/11 | 1,375 | ||||||
| 3,070 | County of Hamilton, Series 2706, Rev., VRDO, AMBAC, LIQ: Morgan Stanley Bank, 0.330%, 03/07/11 | 3,070 | ||||||
| 11,445 | Eclipse Funding Trust, Solar Eclipse, Chilli, Series 2007-0013, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 11,445 | ||||||
| 5,860 | Eclipse Funding Trust, Solar Eclipse, Hamilton, Series 2006-0158, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 5,860 | ||||||
| 3,100 | Franklin County, Holy Cross Health System, Rev., VRDO, 0.250%, 03/07/11 | 3,100 | ||||||
| 5,300 | Ohio Housing Finance Agency, Residential Mortgage, Series 1422-R, Rev., VRDO, GNMA/FNMA, LIQ: Merrill Lynch Capital Services, 0.400%, 03/07/11 | 5,300 | ||||||
| 20,175 | Ohio Housing Finance Agency, Residential Mortgage, Mortgage-Backed Securities Program, Series M, Rev., VRDO, AMT, GNMA/FNMA, 0.260%, 03/07/11 | 20,175 | ||||||
Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, | ||||||||
| 19,100 | Series B, Rev., VRDO, AMT, GNMA/FNMA, 0.270%, 03/07/11 | 19,100 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Ohio — Continued | ||||||||
| 28,070 | Series F, Rev., VRDO, AMT, GNMA/FNMA, 0.260%, 03/07/11 | 28,070 | ||||||
| 32,200 | Series F, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, 0.260%, 03/07/11 | 32,200 | ||||||
Ohio State Higher Educational Facility Commission, Case Western Reserve University, | ||||||||
| 25,850 | Series A, Rev., VRDO, 0.220%, 03/01/11 | 25,850 | ||||||
| 900 | Series B-1, Rev., VRDO, LOC: Bank of America N.A., 0.130%, 03/01/11 | 900 | ||||||
| 7,510 | Ohio State Turnpike Commission, Series PT-3839, Rev., VRDO, FGIC, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 7,510 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 44,350 | Rev., VRDO, LIQ: Bank of America N.A., 0.380%, 03/07/11 (e) | 44,350 | ||||||
| 39,170 | Series MT-567, Rev., VRDO, NATL-RE, LIQ: Merrill Lynch International Bank Ltd., 0.430%, 03/07/11 | 39,170 | ||||||
| 32,585 | Series MT-667, Rev., VRDO, LIQ: Bank of America N.A., 0.490%, 03/07/11 (e) | 32,585 | ||||||
| 51,730 | Series MT-670, Rev., VRDO, AMBAC, LIQ: Bank of America N.A., 0.490%, 03/07/11 (e) | 51,730 | ||||||
| 8,145 | Series PT-4481, Rev., VRDO, LIQ: Dexia Credit Local, LOC: Dexia Credit Local, 0.400%, 03/07/11 | 8,145 | ||||||
| 376,484 | ||||||||
Oklahoma — 0.3% | ||||||||
| 20,000 | Oklahoma Development Finance Authority, Series A2, Rev., VRDO, AGC, 0.250%, 03/07/11 | 20,000 | ||||||
| 15,305 | Oklahoma State Capital Improvement Authority, Higher Education, Series D1, Rev., VRDO, 0.270%, 03/01/11 | 15,305 | ||||||
| 14,665 | Oklahoma University Hospital, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.290%, 03/07/11 | 14,665 | ||||||
| 10,490 | Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 10,490 | ||||||
| 60,460 | ||||||||
Oregon — 1.1% | ||||||||
| 7,800 | City of Portland, Housing Authority, Multi-Family Housing, Civic Apartments Redevelopment, Rev., VRDO, AMT, FHLMC, 0.360%, 03/07/11 | 7,800 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oregon — Continued | ||||||||
| 15,450 | Clackamas County Hospital Facility Authority, Legacy Health Systems, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/07/11 | 15,450 | ||||||
| 6,925 | Oregon State Housing & Community Services Department, Covenant Retirement, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.280%, 03/07/11 | 6,925 | ||||||
Oregon State Housing & Community Services Department, Single Family Mortgage Program, | ||||||||
| 13,685 | Series F, Rev., VRDO, AMT, 0.250%, 03/07/11 | 13,685 | ||||||
| 35,000 | Series F, Rev., VRDO, AMT, 0.370%, 03/07/11 | 35,000 | ||||||
| 30,000 | Series H, Rev., VRDO, AMT, 0.280%, 03/07/11 | 30,000 | ||||||
| 17,300 | Port of Portland, Horizon Air Insurance, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 17,300 | ||||||
| 57,800 | Port of Portland, Portland Bulk Terminal, Rev., VRDO, LOC: Canadian Imperial Bank, 0.280%, 03/07/11 | 57,800 | ||||||
| 64,040 | Port of Portland, Portland International Airport, Series 18, Subseries 18B, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.250%, 03/07/11 | 64,040 | ||||||
| 248,000 | ||||||||
Other Territories — 5.1% | ||||||||
| 7,500 | Austin Trust Various States, Series 2008-1091, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.330%, 03/07/11 | 7,500 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 17,405 | Series DB-292, Rev., VRDO, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 17,405 | ||||||
| 8,445 | Series DB-295, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 8,445 | ||||||
| 11,345 | Series DB-325, GO, VRDO, FGIC, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 11,345 | ||||||
| 14,110 | Series DB-327, Rev., VRDO, AMBAC, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 14,110 | ||||||
| 70,130 | Series DB-331, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.290%, 03/07/11 | 70,130 | ||||||
| 11,960 | Series DB-343, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 11,960 | ||||||
| 28,625 | Eagle Tax-Exempt Trust, Rev., VRDO, FHLMC COLL, LIQ: FHLB, 0.330%, 03/07/11 | 28,625 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 49 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Other Territories — Continued | ||||||||
Federal Home Loan Mortgage Corp., Multi-Family Housing, | ||||||||
| 19,100 | Rev., VRDO, LIQ: FHLMC, 0.330%, 03/07/11 | 19,100 | ||||||
| 94,075 | Series M017, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.300%, 03/07/11 | 94,075 | ||||||
| 18,979 | Series M019, Class A, Rev., VRDO, FHLMC, 0.310%, 03/07/11 | 18,979 | ||||||
| 25,113 | Series M020, Class A, Rev., VRDO, FHLMC, 0.310%, 03/07/11 | 25,113 | ||||||
| 19,790 | Series M023, Class A, Rev., VRDO, FHLMC, 0.310%, 03/07/11 | 19,790 | ||||||
| 130,000 | Nuveen Insured Municipal Bond, 0.510%, 03/07/11 | 130,000 | ||||||
| 74,500 | Nuveen Municipal Market Opportunity Fund, Inc., VRDO, LIQ: Deutsche Bank AG, 0.460%, 03/07/11 (e) | 74,500 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 51,850 | Series MT-389, Rev., VRDO, NATL-RE, LIQ: Merrill Lynch International Bank Ltd., 0.400%, 03/07/11 | 51,850 | ||||||
| 38,620 | Series PPT-34, Class A, FHLMC, LIQ: FHLMC, 0.360%, 03/07/11 | 38,620 | ||||||
| 93,025 | Series PPT-1001, Class C, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/11 | 93,025 | ||||||
| 170,830 | Series PPT-1006, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/11 | 170,830 | ||||||
| 193,845 | Series PPT-1008, Class A, GO, VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/11 | 193,845 | ||||||
| 26,900 | Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-2, Class A, Rev., LIQ: FHLMC, 0.410%, 03/07/11 | 26,900 | ||||||
| 8,380 | SunAmerica Trust, Various States, Series 2, Class A, Rev., VRDO, FHLMC, LOC: FHLMC, 0.330%, 03/07/11 | 8,380 | ||||||
| 1,134,527 | ||||||||
Pennsylvania — 2.6% | ||||||||
| 51,975 | Allegheny County Higher Education Building Authority, Carnegie Mellon University, Rev., VRDO, 0.200%, 03/01/11 | 51,975 | ||||||
| 15,400 | Beaver County IDA, Firstenergy Generation, Pollution Control, Rev., VRDO, LOC: Barclays Bank plc, 0.200%, 03/01/11 | 15,400 | ||||||
| 12,600 | Beaver County IDA, Firstenergy Nuclear, Pollution Control, Series B, Rev., VRDO, LOC: Citibank N.A., 0.230%, 03/07/11 | 12,600 | ||||||
| 8,395 | Bucks County IDA, Grand View Hospital, Series B, Rev., VRDO, LOC: PNC Bank N.A., 0.210%, 03/07/11 | 8,395 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Pennsylvania — Continued | ||||||||
| 64,000 | City of Philadelphia, Series A, GO, TRAN, 2.000%, 06/30/11 | 64,274 | ||||||
| 33,000 | Dallastown Area School District, GO, VAR, 1.530%, 04/01/11 | 33,038 | ||||||
| 41,020 | Delaware River Port Authority, Series B, Rev., VRDO, LOC: TD Bank N.A., 0.190%, 03/07/11 | 41,020 | ||||||
| 16,390 | Delaware Valley Regional Financial Authority, Municipal Securities Trust Receipts, Series SGC-20, Class A, Rev., VRDO, LIQ: Societe Generale, 0.260%, 03/07/11 | 16,390 | ||||||
| 11,700 | Doylestown Hospital Authority, Series B, Rev., VRDO, LOC: PNC Bank N.A., 0.220%, 03/07/11 | 11,700 | ||||||
| 8,515 | Lancaster County Hospital Authority, Health Systems, Lancaster General Hospital, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 8,515 | ||||||
| 18,435 | Luzerne County IDA, Multifamily Housing, Series 35G, Rev., VRDO, LIQ: Goldman Sachs Special Situations, LOC: Goldman Sachs & Co., 0.280%, 03/07/11 | 18,435 | ||||||
Montgomery County Redevelopment Authority, Multi-Family Housing, Brookside Manors Apartments Project, | ||||||||
| 4,810 | Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 4,810 | ||||||
| 2,205 | Series A-T2, Rev., VRDO, LIQ: FNMA, 0.260%, 03/07/11 | 2,205 | ||||||
| 16,780 | Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 16,780 | ||||||
| 17,500 | Nuveen Pennsylvania Investment Quality Municipal Fund, VRDO, LIQ: Citibank N.A., 0.510%, 03/07/11 | 17,500 | ||||||
| 21,530 | Pennsylvania Economic Development Financing Authority, MERLOTS, Series F01, Rev., VRDO, 0.260%, 03/07/11 | 21,530 | ||||||
| 740 | Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.290%, 03/07/11 | 740 | ||||||
| 22,500 | Pennsylvania Higher Educational Facilties Authority, Drexel University, Second Series, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.220%, 03/07/11 | 22,500 | ||||||
| 1,835 | Pennsylvania Housing Finance Agency, MERLOTS, Series C-32, Rev., VRDO, 0.260%, 03/07/11 | 1,835 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Pennsylvania — Continued | ||||||||
Pennsylvania Housing Finance Agency, Single Family Mortgage, | ||||||||
| 25,000 | Series 82-C, Rev., VRDO, AMT, 0.310%, 03/07/11 | 25,000 | ||||||
| 21,800 | Series 83-C, Rev., VRDO, AMT, LOC: FNMA, 0.260%, 03/07/11 | 21,800 | ||||||
| 15,000 | Series 85-B, Rev., VRDO, 0.260%, 03/07/11 | 15,000 | ||||||
| 27,425 | Series 90C, Rev., VRDO, AMT, 0.260%, 03/07/11 | 27,425 | ||||||
| 26,100 | Pennsylvania State Public School Building Authority, Series 1552, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 | 26,100 | ||||||
| 1,400 | Pennsylvania Turnpike Commission, Series B-3, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 1,400 | ||||||
| 10,400 | Philadelphia Authority for Industrial Development, Regional Performing Arts Center Project, Rev., VRDO, LOC: Wachovia Bank N.A., 0.250%, 03/07/11 | 10,400 | ||||||
RBC Municipal Products, Inc. Trust, Floater Certificates, | ||||||||
| 19,800 | Series E-15, Rev., VRDO, LIQ: Royal Bank of Canada, 0.270%, 03/07/11 (e) | 19,800 | ||||||
| 30,000 | Series E-16, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.260%, 03/07/11 (e) | 30,000 | ||||||
| 14,000 | State Public School Building Authority, Series 1479, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 | 14,000 | ||||||
| 14,135 | Wells Fargo Stage Trust, Series 2008-1C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.260%, 03/07/11 (e) | 14,135 | ||||||
| 574,702 | ||||||||
Puerto Rico — 0.1% | ||||||||
| 26,950 | Austin Trust Various States, Series 2008-355, Rev., VRDO, LOC: Bank of America N.A., 0.440%, 03/07/11 | 26,950 | ||||||
Rhode Island — 0.5% | ||||||||
| 9,770 | Puttable Floating Option Tax-Exempt Receipts, Series PT-4670, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.400%, 03/07/11 (e) | 9,770 | ||||||
| 23,380 | Rhode Island Health & Educational Building Corp., Higher Education Facilities, Brown University, Series B, Rev., VRDO, 0.220%, 03/07/11 | 23,380 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Rhode Island — Continued | ||||||||
| 2,080 | Rhode Island Health & Educational Building Corp., International Institute of Rhode Island, Rev., VRDO, LOC: Fleet National Bank, 0.550%, 03/07/11 | 2,080 | ||||||
Rhode Island Health & Educational Building Corp., Rhode Island School of Design, | ||||||||
| 11,100 | Series A, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/07/11 | 11,100 | ||||||
| 6,650 | Series B, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 6,650 | ||||||
| 14,145 | Rhode Island Health & Educational Building Corp., St. George’s School, Rev., VRDO, LIQ: Bank of America N.A., 0.430%, 03/07/11 | 14,145 | ||||||
| 7,000 | Rhode Island Housing & Mortgage Finance Corp., Multi-Family Housing, Sutterfield, Rev., VRDO, AMT, FHLMC, LIQ: FHLMC, 0.340%, 03/07/11 | 7,000 | ||||||
| 22,400 | Rhode Island Housing & Mortgage Finance Corp., Multi-Family Housing, University Heights, Rev., VRDO, AMT, FHLMC, LIQ: FHLMC, 0.340%, 03/07/11 | 22,400 | ||||||
| 2,650 | Rhode Island Industrial Facilities Corp., ExxonMobil Project, Rev., VRDO, 0.160%, 03/01/11 | 2,650 | ||||||
| 13,000 | Rhode Island Student Loan Authority, Loan amount Program, Series B-4, Rev., VRDO, AMT, LOC: State Street Bank & Trust Co., 0.250%, 03/07/11 | 13,000 | ||||||
| 112,175 | ||||||||
South Carolina — 1.2% | ||||||||
| 3,000 | Cherokee County, Oshkosh Truck Project, Rev., VRDO, LOC: Bank of America N.A., 0.450%, 03/07/11 | 3,000 | ||||||
| 17,760 | City of Charleston, Waterworks & Sewers, Capital Improvements, Series B, Rev., VRDO, 0.250%, 03/07/11 | 17,760 | ||||||
| 12,130 | City of North Charleston, Public Facilities Convention, COP, VRDO, LOC: Bank of America N.A., 0.280%, 03/07/11 | 12,130 | ||||||
| 16,370 | Clarendon Hospital District, Health Care Facilities, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 16,370 | ||||||
| 26,805 | Eclipse Funding Trust, Solar Eclipse, SCAGO, Series 2007-0003, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 26,805 | ||||||
| 19,400 | Greenville Hospital System Board, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 19,400 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 51 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
South Carolina — Continued | ||||||||
| 124,734 | South Carolina Association of Governmental Organizations, COP, TAN, SCSDE, 2.000%, 04/15/11 | 124,984 | ||||||
| 10,510 | South Carolina Educational Facilities Authority, Furman University, Series B, Rev., VRDO, 0.210%, 03/01/11 | 10,510 | ||||||
| 900 | South Carolina Educational Facilities Authority, Morris College Project, Rev., VRDO, LOC: Bank of America N.A., 0.550%, 03/07/11 | 900 | ||||||
| 18,000 | South Carolina Jobs & EDA, CPF Properties II LLC Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 18,000 | ||||||
| 1,585 | South Carolina Jobs & EDA, South Carolina Catholic Diocese Project, Rev., VRDO, LOC: Bank of America N.A., 0.520%, 03/07/11 | 1,585 | ||||||
| 3,765 | South Carolina Jobs & EDA, Thompson Steel Co., Inc., Project, Rev., VRDO, LOC: Bank of America N.A., 0.490%, 03/07/11 | 3,765 | ||||||
| 10,000 | South Carolina State Public Service Authority, EAGLE, Series 2006-0007, Class A, Rev., VRDO, NATL-RE, LIQ: Citibank N.A., 0.270%, 03/07/11 | 10,000 | ||||||
| 265,209 | ||||||||
South Dakota — 0.7% | ||||||||
| 16,960 | South Dakota Health & Educational Facilities Authority, Series 3109, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 16,960 | ||||||
| 28,000 | South Dakota Health & Educational Facilities Authority, Regional Health, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 28,000 | ||||||
South Dakota Housing Development Authority, Home Ownership Mortgage, | ||||||||
| 14,525 | Series A, Rev., VRDO, 0.230%, 03/07/11 | 14,525 | ||||||
| 45,000 | Series C, Rev., VRDO, 0.280%, 03/07/11 | 45,000 | ||||||
| 12,000 | Series C, Rev., VRDO, AMT, 0.300%, 03/07/11 | 12,000 | ||||||
| 19,200 | Series C-1, Rev., VRDO, 0.280%, 03/07/11 | 19,200 | ||||||
| 10,300 | Series D, Rev., VRDO, 0.300%, 03/07/11 | 10,300 | ||||||
| 5,000 | Series F, Rev., VRDO, 0.310%, 03/07/11 | 5,000 | ||||||
| 8,700 | Series G, Rev., VRDO, 0.280%, 03/07/11 | 8,700 | ||||||
| 159,685 | ||||||||
Tennessee — 1.1% | ||||||||
Blount County Public Building Authority, Local Government Public Improvement, | ||||||||
| 20,165 | Series E-3-B, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 20,165 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Tennessee — Continued | ||||||||
| 14,125 | Series E-3-C, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 14,125 | ||||||
| 2,800 | Series E-3-D, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 2,800 | ||||||
| 8,555 | Series E-3-E, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 8,555 | ||||||
| 10,100 | Series E-4-A, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 10,100 | ||||||
| 19,110 | Chattanooga Health Educational & Housing Facility Board, Catholic Health, Series C, Rev., VRDO, 0.230%, 03/07/11 | 19,110 | ||||||
| 17,600 | Clarksville Public Building Authority, Morristown Loans, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 17,600 | ||||||
Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Board, | ||||||||
| 12,020 | Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 12,020 | ||||||
| 2,630 | Rev., VRDO, LOC: Bank of America N.A., 0.320%, 03/07/11 | 2,630 | ||||||
| 14,575 | Memphis Health Educational & Housing Facility Board, Multi-Family Housing, Watergrove Apartments Project, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.260%, 03/07/11 | 14,575 | ||||||
| 6,405 | Metropolitan Government Nashville & Davidson County, Health & Educational Facilities Board, Vanderbilt University, Series A, Rev., VRDO, 0.200%, 03/07/11 | 6,405 | ||||||
| 23,710 | Metropolitan Government Nashville & Davidson County, Industrial Development Board, YMCA Project, Rev., VRDO, LOC: Bank of America N.A., 0.400%, 03/07/11 | 23,710 | ||||||
Montgomery County Public Building Authority, Tennessee County Loan Pool, | ||||||||
| 31,285 | Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 31,285 | ||||||
| 5,760 | Rev., VRDO, LOC: Bank of America N.A., 0.300%, 03/07/11 | 5,760 | ||||||
Sevier County Public Building Authority, Local Government Public Improvement, | ||||||||
| 16,150 | Series A-1, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 16,150 | ||||||
| 9,725 | Series A-2, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 9,725 | ||||||
| 10,095 | Series A-3, Rev., VRDO, LOC: KBC Bank N.V., 0.250%, 03/01/11 | 10,095 | ||||||
| 7,140 | Series E-1, Rev., VRDO, LOC: KBC Bank N.V., 0.310%, 03/07/11 | 7,140 | ||||||
| 4,735 | Series M-1, Rev., VRDO, 0.500%, 03/07/11 | 4,735 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Tennessee — Continued | ||||||||
| 4,625 | Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/07/11 | 4,625 | ||||||
| 241,310 | ||||||||
Texas — 9.4% | ||||||||
Austin Trust Various States, | ||||||||
| 5,000 | Series 2008-1147, GO, VRDO, LIQ: Bank of America N.A., 0.330%, 03/07/11 | 5,000 | ||||||
| 5,605 | Series 2008-3023X, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.330%, 03/07/11 | 5,605 | ||||||
| 9,335 | Series 2008-3315, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.330%, 03/07/11 (e) | 9,335 | ||||||
| 9,100 | Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects, Rev., VRDO, FNMA, LIQ: FNMA, 0.250%, 03/07/11 | 9,100 | ||||||
| 1,200 | Calhoun County Port Authority, Formosa Plastics Corp. Project, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 1,200 | ||||||
| 13,200 | City of Houston, Series ROCS-RR-II-R-12046, Rev., VRDO, AGM, LIQ: Citibank N.A., 0.310%, 03/07/11 | 13,200 | ||||||
| 40,000 | City of Houston, First Lien, Series B1, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 40,000 | ||||||
| 64,665 | City of Houston, MERLOTS, Series B17, Rev., VRDO, NATL-RE, 0.260%, 03/07/11 (e) | 64,665 | ||||||
City of San Antonio, Electric & Gas, | ||||||||
| 24,200 | Series SG-104, Rev., VRDO, LIQ: Societe Generale, 0.260%, 03/07/11 (p) | 24,200 | ||||||
| 4,195 | Series SG-105, LOC: Societe Generale, 0.260%, 03/07/11 (p) | 4,195 | ||||||
| 11,000 | City of San Antonio, Electric & Gas Systems, Junior Lien, Rev., VRDO, 0.270%, 03/07/11 | 11,000 | ||||||
| 6,435 | City of San Antonio, Water Revenue, Series SG-159, Rev., VRDO, AGM, 0.260%, 03/07/11 | 6,435 | ||||||
| 48,500 | County of Harris, Toll Road, Senior Lien, Series A-2, Rev., VAR, 2.000%, 08/15/11 | 48,865 | ||||||
| 19,040 | Crawford Educational Facilities Corp., Southwestern University Project, Series B, Rev., VRDO, 0.240%, 03/07/11 | 19,040 | ||||||
| 6,800 | Dallas Performing Arts Cultural Facilities Corp., Dallas Center Foundation Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 6,800 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Texas — Continued | ||||||||
| 5,000 | Dallas-Fort Worth International Airport Facilities Improvement Corp., FlightSafety International, Inc. Project, Rev., VRDO, 0.250%, 03/07/11 | 5,000 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 24,965 | Series DB-456, Rev., VRDO, AGM, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 24,965 | ||||||
| 9,700 | Series DB-515, Rev., VRDO, LIQ: Deutsche Bank AG, 0.260%, 03/07/11 | 9,700 | ||||||
| 13,490 | Series DB-638, Rev., VRDO, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 13,490 | ||||||
| 10,770 | Eclipse Funding Trust, Solar Eclipse, El Paso, Series 2006-0032, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,770 | ||||||
| 15,845 | Eclipse Funding Trust, Solar Eclipse, Houston, Series 2007-0033, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 15,845 | ||||||
| 5,600 | Eclipse Funding Trust, Solar Eclipse, North East Independent School District, Series 2006-0058, GO, VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 5,600 | ||||||
| 19,210 | Eclipse Funding Trust, Solar Eclipse, Texas, Series 2006-0088, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.240%, 03/07/11 | 19,210 | ||||||
| 10,085 | Eclipse Funding Trust, Solar Eclipse, Waco, Series 2007-0040, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,085 | ||||||
| 25,019 | Garland Health Facilities Development Corp., Chambrel Club Hill, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 25,019 | ||||||
| 12,500 | Gulf Coast Waste Disposal Authority, Amoco Oil, Rev., VRDO, 0.190%, 03/01/11 | 12,500 | ||||||
Gulf Coast Waste Disposal Authority, Exxon Mobil Project, | ||||||||
| 4,100 | Rev., VRDO, 0.180%, 03/01/11 | 4,100 | ||||||
| 35,000 | Harris County Cultural Education Facilities Finance Corp., Hermann Memorial Hospital, Series C, Rev., VRDO, LOC: Wachovia Bank N.A., 0.250%, 03/07/11 | 35,000 | ||||||
| 50,600 | Harris County Flood Control District, Series ROCS-RR-II-R-10396, GO, VRDO, 0.260%, 03/07/11 (e) | 50,600 | ||||||
| 20,000 | Harris County Industrial Development Corp., Hfotco LLC Project, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/07/11 | 20,000 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 53 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Texas — Continued | ||||||||
| 30,000 | Harris County, EAGLE, Series 2007-0078, Class A, Rev., VRDO, BHAC-CR, NATL-RE, LIQ: Citibank N.A., 0.270%, 03/07/11 | 30,000 | ||||||
| 41,100 | Houston Higher Education Finance Corp., Rice University Project, Series A, Rev., VRDO, 0.170%, 03/01/11 | 41,100 | ||||||
| 7,435 | Judson Independent School District, Series ROCS-RR-II-R-11521, GO, VRDO, AGC, LIQ: Citibank N.A., 0.280%, 03/07/11 | 7,435 | ||||||
| 19,185 | Lamar Consolidated Independent School District, Schoolhouse, GO, VRDO, PSF-GTD, 0.260%, 03/07/11 | 19,185 | ||||||
Lower Neches Valley Authority Industrial Development Corp., Exxon Mobil Project, | ||||||||
| 5,575 | Series A, Rev., VRDO, 0.160%, 03/01/11 | 5,575 | ||||||
| 100 | Series A-2, Rev., VRDO, 0.160%, 03/01/11 | 100 | ||||||
| 4,600 | Subseries B-2, Rev., VRDO, 0.170%, 03/01/11 | 4,600 | ||||||
| 24,465 | Mansfield Independent School District, MERLOTS, Series B11, GO, VRDO, PSF-GTD, 0.260%, 03/07/11 | 24,465 | ||||||
North Texas Health Facility Development Corp., Baylor Health Care System Project, | ||||||||
| 53,000 | 0.300%, 03/07/11 | 53,000 | ||||||
| 55,735 | Series C, Rev., VRDO, AGM, 0.250%, 03/07/11 | 55,735 | ||||||
| 10,000 | North Texas Higher Education Authority, Series A, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.280%, 03/07/11 | 10,000 | ||||||
| 36,280 | North Texas Tollway Authority, Series 2903, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 | 36,280 | ||||||
| 16,125 | Pasadena Independent School District, Series A, GO, VRDO, PSF-GTD, 0.270%, 03/07/11 | 16,125 | ||||||
| 600 | Port of Port Arthur Navigation District, Fina Oil & Chemical Co. Project, Rev., VRDO, 0.280%, 03/07/11 | 600 | ||||||
Puttable Floating Option Tax-Exempt Receipts, | ||||||||
| 15,335 | Series MT-635, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.380%, 03/07/11 (e) | 15,335 | ||||||
| 25,090 | Series MT-641, Rev., VRDO, LIQ: Merrill Lynch International Bank Ltd., 0.380%, 03/07/11 (e) | 25,090 | ||||||
| 13,330 | Series PT-4651, GO, VRDO, LIQ: Merrill Lynch Capital Services, 0.330%, 03/07/11 (e) | 13,330 | ||||||
| 20,000 | RBC Municipal Products, Inc. Trust, Floater Certificates, Series E-14, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.260%, 03/07/11 (e) | 20,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Texas — Continued | ||||||||
| 9,300 | Southeast Texas Housing Finance Corp.,Wyndham Park Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 9,300 | ||||||
| 998,170 | State of Texas, Rev., TRAN, 2.000%, 08/31/11 | 1,006,347 | ||||||
| 23,000 | State of Texas, College Student Loan, GO, VRDO, 0.290%, 03/07/11 | 23,000 | ||||||
| 37,600 | State of Texas, EAGLE, Series 2006-0126, Class A, GO, VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 | 37,600 | ||||||
State of Texas, Veterans Housing Assistance Fund, | ||||||||
| 6,500 | Series A-1, GO, VRDO, LIQ: Texas State Treasurer, 0.250%, 03/07/11 | 6,500 | ||||||
| 6,665 | Series II-A, GO, VRDO, 0.280%, 03/07/11 | 6,665 | ||||||
| 16,745 | Series II-B, GO, VRDO, 0.290%, 03/07/11 | 16,745 | ||||||
| 15,145 | State of Texas, Veterans Land, GO, VRDO, LOC: Sumitomo Mitsui Banking, 0.250%, 03/07/11 | 15,145 | ||||||
| 9,875 | Tarrant County Cultural Education Facilities Finance Corp., Series 1760, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 | 9,875 | ||||||
| 23,335 | Tarrant County Health Facilities Development Corp., Cook Children’s Medical Center, Series C, Rev., VRDO, 0.220%, 03/07/11 | 23,335 | ||||||
| 8,700 | Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 8,700 | ||||||
| 14,040 | Texas Department of Housing & Community Affairs, Multi-Family Housing, Lancaster Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 14,040 | ||||||
| 9,650 | Texas Department of Housing & Community Affairs, Multi-Family Housing, Reading Pond Apartments, Senior, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/11 | 9,650 | ||||||
| 1,000 | Texas Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Series A-1, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.310%, 03/07/11 | 1,000 | ||||||
| 9,705 | Waco Health Facilities Development Corp., Series 2919, Rev., VRDO, NATL-RE, FHA, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 | 9,705 | ||||||
| 2,106,086 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Utah — 1.2% | ||||||||
| 3,978 | Austin Trust Various States, Series 2008-3300, Rev., VRDO, LIQ: Bank of America N.A., 0.400%, 03/07/11 | 3,978 | ||||||
Central Utah Water Conservancy District, | ||||||||
| 49,405 | Series A, Rev., VRDO, 0.310%, 03/07/11 | 49,405 | ||||||
| 13,400 | Series B, GO, VRDO, 0.310%, 03/07/11 | 13,400 | ||||||
| 31,285 | Central Utah Water Conservancy District, Limited Tax, Series B, GO, VRDO, LIQ: Helaba, 0.310%, 03/07/11 | 31,285 | ||||||
| 25,000 | Emery County, Pacific Corp., Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 25,000 | ||||||
| 10,080 | Park City, U.S. Ski & Snowboard Association, Series U, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 10,080 | ||||||
| 10,355 | Salt Lake City, Valley Mental Health Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 10,355 | ||||||
Utah Housing Corp., Single Family Mortgage, | ||||||||
| 13,700 | Series A, Class I, Rev., VRDO, 0.260%, 03/07/11 | 13,700 | ||||||
| 5,220 | Series A, Class I, Rev., VRDO, 0.280%, 03/07/11 | 5,220 | ||||||
| 16,000 | Series B, Class I, Rev., VRDO, 0.260%, 03/07/11 | 16,000 | ||||||
| 6,805 | Series E-1, Class I, Rev., VRDO, 0.280%, 03/07/11 | 6,805 | ||||||
| 11,800 | Series I, Rev., VRDO, 0.270%, 03/07/11 | 11,800 | ||||||
Utah Housing Finance Agency, Single Family Mortgage, | ||||||||
| 3,300 | Series C-1, Class I, Rev., VRDO, 0.280%, 03/07/11 | 3,300 | ||||||
| 7,420 | Series D-1, Rev., VRDO, AMT, 0.280%, 03/07/11 | 7,420 | ||||||
| 7,560 | Series E-1, Rev., VRDO, AMT, 0.280%, 03/07/11 | 7,560 | ||||||
| 6,590 | Series F-2, Class I, Rev., VRDO, 0.300%, 03/07/11 | 6,590 | ||||||
| 7,350 | Utah Transit Authority, Subseries A, Rev., VRDO, LOC: BNP Paribas, 0.200%, 03/01/11 | 7,350 | ||||||
| 13,500 | Utah Transit Authority, Sales Tax Revenue, Series 3006, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 13,500 | ||||||
| 12,500 | Washington County-St. George Interlocal Agency, Rev., VRDO, LOC: Bank of America N.A., 0.330%, 03/07/11 | 12,500 | ||||||
| 6,000 | Weber County, IHC Health Care Services, Series A, Rev., VRDO, 0.210%, 03/01/11 | 6,000 | ||||||
| 261,248 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Vermont — 0.2% | ||||||||
| 15,475 | University of Vermont & State Agricultural College, EAGLE, Series 2006-0086, Class A, Rev., VRDO, BHAC-CR, MBIA, LIQ: Citibank N.A., 0.270%, 03/07/11 | 15,475 | ||||||
| 28,945 | Vermont Educational & Health Buildings Financing Agency, Norwich University Project, Rev., VRDO, LOC: TD Bank N.A., 0.210%, 03/07/11 | 28,945 | ||||||
| 44,420 | ||||||||
Virginia — 1.2% | ||||||||
| 6,900 | Albermarle County EDA, Health Services Foundation, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/01/11 | 6,900 | ||||||
| 5,635 | City of Alexandria IDA, Pooled Loan Program, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.490%, 03/07/11 | 5,635 | ||||||
| 32,225 | Clarke County IDA, Winchester Medical Center Inc., Rev., VRDO, AGM, 0.320%, 03/07/11 | 32,225 | ||||||
| 4,400 | Fairfax County EDA, Public Broadcasting Services Project, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/07/11 | 4,400 | ||||||
| 24,255 | Fairfax County EDA, The Lorton Arts Foundation Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.250%, 03/07/11 | 24,255 | ||||||
| 12,000 | Harrisonburg Redevelopment & Housing Authority, Multi-family Housing, Series MT-323, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/11 | 12,000 | ||||||
| 20,220 | James City County EDA, United Methodist Homes, Series C, Rev., VRDO, LOC: Lasalle Bank N.A., 0.290%, 03/07/11 | 20,220 | ||||||
| 9,500 | James City County IDA, Housing Chambrel Project, Rev., VRDO, FNMA, LIQ: FNMA, 0.260%, 03/07/11 | 9,500 | ||||||
| 16,030 | Lexington IDA, MERLOTS, Series E01, Rev., VRDO, 0.260%, 03/07/11 | 16,030 | ||||||
Loudoun County IDA, Howard Hughes Medical Center, | ||||||||
| 22,000 | Series B, Rev., VRDO, 0.240%, 03/07/11 | 22,000 | ||||||
| 11,465 | Series C, Rev., VRDO, 0.240%, 03/07/11 | 11,465 | ||||||
| 3,930 | Virginia College Building Authority, 21st Century College, Series C, Rev., VRDO, 0.210%, 03/01/11 | 3,930 | ||||||
| 800 | Virginia College Building Authority, Shenandoah University Project, Rev., VRDO, LOC: Branch Banking & Trust, 0.210%, 03/01/11 | 800 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 55 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Virginia — Continued | ||||||||
Virginia College Building Authority, University of Richmond Project, | ||||||||
| 27,245 | Rev., VRDO, 0.210%, 03/01/11 | 27,245 | ||||||
| 35,800 | Rev., VRDO, 0.260%, 03/07/11 | 35,800 | ||||||
| 20,525 | Virginia Commonwealth University, Series B, Rev., VRDO, AMBAC, LOC: Wachovia Bank N.A., 0.220%, 03/01/11 | 20,525 | ||||||
| 13,680 | Virginia Small Business Financing Authority, Virginia State University Real Estate, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 13,680 | ||||||
| 266,610 | ||||||||
Washington — 2.6% | ||||||||
| 4,000 | City of Seattle, Municipal Securities Trust Receipts, Series SGA-142, GO, VRDO, LIQ: Societe Generale, 0.280%, 03/07/11 | 4,000 | ||||||
| 31,750 | County of King, Series A, GO, VRDO, 0.270%, 03/07/11 | 31,750 | ||||||
| 8,915 | Eagle Tax-Exempt Trust, Series 2009-0049, Class A, Rev., VRDO, AGM-CR, NATL-RE, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 8,915 | ||||||
| 35,950 | Eclipse Funding Trust, Solar Eclipse, Port Seattle, Series 2006-0063, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 (e) | 35,950 | ||||||
| 10,695 | Eclipse Funding Trust, Solar Eclipse, Washington, Series 2006-0009, GO, VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 10,695 | ||||||
| 5,305 | Port of Seattle, Series PT-3475, Rev., VRDO, AGM, LIQ: Dexia Credit Local, 0.470%, 03/07/11 | 5,305 | ||||||
| 79,600 | Port of Tacoma, Sub Lien, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.240%, 03/01/11 | 79,600 | ||||||
| 760 | Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.280%, 03/07/11 | 760 | ||||||
| 9,000 | Snohomish County Public Hospital District No. 2, Stevens Healthcare, GO, VRDO, LOC: Bank of America N.A., 0.470%, 03/07/11 | 9,000 | ||||||
| 26,100 | State of Washington, Series VR-96A, GO, VRDO, 0.210%, 03/07/11 | 26,100 | ||||||
State of Washington, MERLOTS, | ||||||||
| 21,485 | Series B-22, GO, VRDO, AGM, 0.260%, 03/07/11 | 21,485 | ||||||
| 28,930 | Series B-22, GO, VRDO, FGIC, MBIA, 0.260%, 03/07/11 | 28,930 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Washington — Continued | ||||||||
| 33,050 | Series B-23, GO, VRDO, NATL-RE, 0.260%, 03/07/11 | 33,050 | ||||||
| 4,900 | Washington Economic Development Finance Authority, Novelty Hill Properties LLC, Series C, Rev., VRDO, LOC: U.S. Bank N.A., 0.410%, 03/07/11 | 4,900 | ||||||
Washington Health Care Facilities Authority, Multicare Health System, | ||||||||
| 35,605 | Series C, Rev., VRDO, AGM, 0.270%, 03/07/11 | 35,605 | ||||||
| 53,230 | Series D, Rev., VRDO, AGM, 0.210%, 03/01/11 | 53,230 | ||||||
| 6,770 | Washington Health Care Facilities Authority, Southwest Washington Medical Center, Series B, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 6,770 | ||||||
| 28,000 | Washington Health Care Facilities Authority, Swedish Health Services, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/07/11 | 28,000 | ||||||
| 11,000 | Washington State Housing Finance Commission, Series PA-1430-R, Rev., VRDO, GNMA/FNMA/FHLMC, 0.400%, 03/07/11 | 11,000 | ||||||
| 4,500 | Washington State Housing Finance Commission, Bush School Project, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 4,500 | ||||||
| 2,545 | Washington State Housing Finance Commission, Multi-Family Housing, Granite Falls Assisted Living Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.280%, 03/07/11 | 2,545 | ||||||
| 280 | Washington State Housing Finance Commission, Multi-Family Housing, JATC Educational Development Trust Project, Rev., VRDO, LOC: U.S. Bank N.A., 0.200%, 03/01/11 | 280 | ||||||
| 13,600 | Washington State Housing Finance Commission, Multi-Family Housing, Mallard Lakes Apartments, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 13,600 | ||||||
| 29,240 | Washington State Housing Finance Commission, Multi-Family Housing, Merrill Gardens, Kirkland, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.260%, 03/07/11 | 29,240 | ||||||
| 25,180 | Washington State Housing Finance Commission, Multi-Family Housing, Queen Anne Project, Series A, Rev., VRDO, LIQ: FNMA, 0.260%, 03/07/11 | 25,180 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Washington — Continued | ||||||||
| 10,600 | Washington State Housing Finance Commission, Seattle County Day School, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 10,600 | ||||||
| 13,430 | Washington State Housing Finance Commission, Single Family Housing, Single Family Program, Series 1A, Rev., VRDO, GNMA/FNMA/FHLMC, 0.300%, 03/07/11 | 13,430 | ||||||
| 4,690 | Washington State Housing Finance Commission, Spokane Community College Foundation, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.500%, 03/07/11 | 4,690 | ||||||
| 15,410 | Washington State Housing Finance Commission, St. Thomas School Project, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.250%, 03/07/11 | 15,410 | ||||||
| 14,005 | Washington State Housing Finance Commission, YMCA Snohomish County Project, Rev., VRDO, LOC: Bank of America N.A., 0.310%, 03/01/11 | 14,005 | ||||||
| 20,475 | Wells Fargo Stage Trust, Series 35-C, Rev., VRDO, LIQ: Wells Fargo & Co., 0.260%, 03/07/11 (e) | 20,475 | ||||||
| 589,000 | ||||||||
West Virginia — 0.4% | ||||||||
| 15,430 | Eclipse Funding Trust, Solar Eclipse, Various States, Series 2006-0050, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 15,430 | ||||||
| 19,315 | Eclipse Funding Trust, Solar Eclipse, West Virginia, Series 2006-0132, Rev., VRDO, AGM, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 19,315 | ||||||
| 47,100 | West Virginia State Parkways Economic Development & Tourism Authority, Rev., VRDO, 0.310%, 03/07/11 | 47,100 | ||||||
| 81,845 | ||||||||
Wisconsin — 2.9% | ||||||||
| 32,500 | City of Milwaukee, GO, RAN, 2.000%, 06/27/11 | 32,673 | ||||||
| 64,000 | Madison Metropolitan School District, Rev., TRAN, 1.500%, 09/02/11 | 64,355 | ||||||
| 91,200 | Puttable Floating Option Tax-Exempt Receipts, Series MT-628, Rev., VRDO, NATL-RE, LIQ: Merrill Lynch International Bank Ltd., 0.430%, 03/07/11 (e) | 91,200 | ||||||
| 28,300 | Racine Unified School District, GO, TRAN, 2.000%, 07/18/11 | 28,464 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wisconsin — Continued | ||||||||
| 171,500 | State of Wisconsin, Rev., TAN, 2.000%, 06/15/11 | 172,248 | ||||||
| 19,940 | Wells Fargo Stage Trust, Series 2009-10C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.270%, 03/07/11 (e) | 19,940 | ||||||
Wisconsin Health & Educational Facilities Authority, | ||||||||
| 19,260 | Series 3114, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 19,260 | ||||||
| 24,715 | Series PT-761, Rev., VRDO, NATL-RE, 0.380%, 03/07/11 | 24,715 | ||||||
| 15,000 | Wisconsin Health & Educational Facilities Authority, Foedtert & Community Health, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.240%, 03/07/11 | 15,000 | ||||||
| 25,650 | Wisconsin Health & Educational Facilities Authority, Hospital Sister’s Services, Inc., Series B-1, Rev., VRDO, AGM, 0.290%, 03/07/11 | 25,650 | ||||||
| 29,240 | Wisconsin Health & Educational Facilities Authority, Meriter Hospital, Inc., Series C, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/01/11 | 29,240 | ||||||
| 23,900 | Wisconsin Health & Educational Facilities Authority, Wheaton Franciscan Services, Series B, Rev., VRDO, LOC: U.S. Bank N.A., 0.230%, 03/07/11 | 23,900 | ||||||
Wisconsin Housing & EDA, | ||||||||
| 31,825 | Series A, Rev., VRDO, 0.300%, 03/07/11 | 31,825 | ||||||
| 14,920 | Series A, Rev., VRDO, 0.340%, 03/07/11 | 14,920 | ||||||
| 67,850 | Series D, Rev., VRDO, LOC: FNMA, 0.280%, 03/07/11 | 67,850 | ||||||
| 560 | Series E, Rev., VRDO, 0.280%, 03/07/11 | 560 | ||||||
| 661,800 | ||||||||
Wyoming — 0.1% | ||||||||
| 10,600 | Platte County, PCR, Series A, Rev., VRDO, LOC: National Rural Utility Financing, 0.350%, 03/01/11 | 10,600 | ||||||
| 4,955 | Wyoming Community Development Authority, Series PA-1452-R, Rev., VRDO, 0.400%, 03/07/11 | 4,955 | ||||||
| 10,000 | Wyoming Community Development Authority, Single-Family Mortgage, Series A, Rev., VRDO, 0.250%, 03/07/11 | 10,000 | ||||||
| 25,555 | ||||||||
Total Municipal Bonds | 21,363,199 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 57 | ||||||
Table of Contents
JPMorgan Tax Free Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Commercial Paper — 4.7% (n) | |||||||
California — 0.1% | ||||||||
| 22,500 | California Statewide Communities Development Authority, 0.370%, 06/09/11 | 22,500 | ||||||
District of Columbia — 0.1% | ||||||||
| 27,000 | District of Columbia, 0.300%, 03/02/11 | 27,000 | ||||||
Florida — 0.4% | ||||||||
| 25,000 | Alachua County Health Facilities Authority, 0.290%, 03/07/11 | 25,000 | ||||||
| 43,829 | City of Cape Coral, 0.300%, 03/07/11 | 43,829 | ||||||
| 29,592 | Florida Local Government Finance Commission, 0.300%, 03/04/11 | 29,592 | ||||||
| 98,421 | ||||||||
Georgia — 0.2% | ||||||||
| 51,900 | Municipal Electricity Authority, 0.280%, 03/08/11 | 51,900 | ||||||
Maryland — 0.6% | ||||||||
| 21,400 | Baltimore County, 0.300%, 04/07/11 | 21,400 | ||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||
| 44,550 | 0.280%, 03/02/11 | 44,550 | ||||||
| 58,970 | 0.300%, 04/07/11 | 58,970 | ||||||
| 124,920 | ||||||||
Massachusetts — 0.2% | ||||||||
| 45,600 | Massachusetts Water Resources Authority, 0.310%, 05/02/11 | 45,600 | ||||||
Michigan — 0.2% | ||||||||
| 38,000 | University of Michigan, 0.250%, 03/02/11 | 38,000 | ||||||
Minnesota — 0.8% | ||||||||
| 50,000 | City of Rochester, 0.280%, 03/17/11 (e) | 50,000 | ||||||
| 30,000 | Regents of the University of Minnesota, 0.300%, 03/02/11 | 30,000 | ||||||
| 90,600 | Rochester, Minnesota Health Care Facilities, 0.280%, 03/04/11 | 90,600 | ||||||
| 170,600 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Nevada — 0.5% | ||||||||
| 112,400 | Las Vegas Valley Water District, 0.300%, 03/02/11 | 112,400 | ||||||
Ohio — 0.2% | ||||||||
| 48,000 | Cuyahoga County, 0.270%, 03/07/11 | 48,000 | ||||||
Tennessee — 0.5% | ||||||||
Metropolitan Government Nashville & Davidson County, | ||||||||
| 49,205 | 0.340%, 06/01/11 | 49,205 | ||||||
| 50,000 | 0.350%, 04/05/11 | 50,000 | ||||||
| 99,205 | ||||||||
Texas — 0.2% | ||||||||
| 37,000 | City of Garland, 0.300%, 03/07/11 | 37,000 | ||||||
Washington — 0.2% | ||||||||
| 19,785 | Port of Seattle, 0.300%, 04/11/11 | 19,785 | ||||||
| 28,000 | University of Washington, 0.280%, 04/04/11 | 28,000 | ||||||
| 47,785 | ||||||||
Wisconsin — 0.5% | ||||||||
State of Wisconsin, | ||||||||
| 50,249 | 0.270%, 03/07/11 | 50,249 | ||||||
| 36,316 | 0.280%, 03/07/11 | 36,316 | ||||||
| 29,275 | 0.290%, 04/04/11 | 29,275 | ||||||
| 115,840 | ||||||||
Total Municipal Commercial Paper | 1,039,171 | |||||||
Total Investments — 100.0% | 22,402,370 | |||||||
Other Assets in Excess of | 10,374 | |||||||
NET ASSETS — 100.0% | $ | 22,412,744 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION (t) | VALUE($) | ||||||
| Commercial Paper — 8.7% (n) |
| ||||||
California — 4.6% |
| |||||||
| 35,000 | California Statewide Communities Development Authority, 0.370%, 07/08/11 | 35,000 | ||||||
| 42,150 | San Gabriel Valley Council of Governments, 0.380%, 03/17/11 | 42,150 | ||||||
State of California, | ||||||||
| 16,290 | 0.300%, 03/04/11 | 16,290 | ||||||
| 50,000 | 0.320%, 03/03/11 | 50,000 | ||||||
| 15,000 | 0.320%, 03/04/11 | 15,000 | ||||||
| 158,440 | ||||||||
Florida — 1.2% |
| |||||||
| 40,000 | Hillsborouh Aviation, 0.330%, 04/08/11 | 40,000 | ||||||
Indiana — 1.7% |
| |||||||
State of Indiana, | ||||||||
| 18,000 | 0.320%, 03/07/11 | 18,000 | ||||||
| 40,000 | 0.350%, 03/08/11 | 40,000 | ||||||
| 58,000 | ||||||||
Massachusetts — 0.8% |
| |||||||
Massachusetts Water Resources Authority, | ||||||||
| 19,400 | 0.310%, 03/17/11 | 19,400 | ||||||
| 10,000 | 0.350%, 03/18/11 | 10,000 | ||||||
| 29,400 | ||||||||
Michigan — 0.4% |
| |||||||
| 15,000 | Michigan State Housing Development Authority, 0.400%, 05/05/11 | 15,000 | ||||||
Total Commercial Paper | 300,840 | |||||||
| Daily Demand Notes — 13.1% |
| ||||||
Alabama — 1.3% |
| |||||||
| 46,600 | Southeast Alabama Gas District, Supply Project, Series A, Rev., VRDO, 0.250%, 03/01/11 | 46,600 | ||||||
Delaware — 1.0% |
| |||||||
Delaware State EDA, Clean Power Project, | ||||||||
| 10,000 | Series B, Rev., VRDO, 0.230%, 03/01/11 | 10,000 | ||||||
| 25,000 | Series C, Rev., VRDO, 0.240%, 03/01/11 | 25,000 | ||||||
| 35,000 | ||||||||
Florida — 3.0% |
| |||||||
| 13,000 | Collier County Educational Facilities Authority, Limited Obligation, Ave Maria University, Rev., VRDO, LOC: Comerica Bank, | 13,000 | ||||||
| 12,000 | Jacksonville Health Facilities Authority, Series C, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 12,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Florida — Continued |
| |||||||
Jacksonville Health Facilities Authority, Baptist Medical, | ||||||||
| 21,900 | Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 21,900 | ||||||
| 31,300 | Series C, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 31,300 | ||||||
| 25,950 | Orange County Health Facilities Authority, Orlando Regional Healthcare, Series A-2, Rev., VRDO, AGM, 0.330%, 03/01/11 | 25,950 | ||||||
| 104,150 | ||||||||
Georgia — 0.4% |
| |||||||
| 13,400 | Gainesville & Hall County Hospital Authority, Series A, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 13,400 | ||||||
Michigan — 0.7% |
| |||||||
| 5,120 | Michigan State Hospital Finance Authority, Crittenton Hospital, Series A, Rev., VRDO, LOC: Comerica Bank, 0.250%, 03/01/11 | 5,120 | ||||||
| 20,900 | Michigan State Housing Development Authority, Rental Housing, Series A, Rev., VRDO, AMT, AGM, 0.320%, 03/01/11 | 20,900 | ||||||
| 26,020 | ||||||||
Missouri — 0.5% |
| |||||||
| 15,975 | Missouri State Health & Educational Facilities Authority, SSM Health Care, Series C, Rev., VRDO, 0.250%, 03/01/11 | 15,975 | ||||||
New York — 0.4% |
| |||||||
| 13,850 | Albany Industrial Development Agency, Civic Facilities, St. Rose, Series A, Rev., VRDO, NATL-RE, LOC: Bank of America N.A., 0.500%, 03/01/11 | 13,850 | ||||||
Ohio — 0.4% |
| |||||||
| 5,950 | Allen County, Catholic Healthcare, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.230%, 03/01/11 | 5,950 | ||||||
Ohio State Higher Educational Facility Commission, Case Western Reserve University, | ||||||||
| 4,550 | Series A, Rev., VRDO, 0.220%, 03/01/11 | 4,550 | ||||||
| 615 | Series B-1, Rev., VRDO, LOC: Bank of America N.A., 0.200%, 03/01/11 | 615 | ||||||
| 3,340 | Series B-2, Rev., VRDO, LOC: Bank of America N.A., 0.220%, 03/01/11 | 3,340 | ||||||
| 600 | Ohio State Water Development Authority, Pollution Control, First Energy Nuclear Project, Series B, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 600 | ||||||
| 15,055 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 59 | ||||||
Table of Contents
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Daily Demand Notes — Continued |
| ||||||
Oklahoma — 1.6% |
| |||||||
Oklahoma State Capital Improvement Authority, Higher Education, | ||||||||
| 15,300 | Series D2, Rev., VRDO, 0.270%, 03/01/11 | 15,300 | ||||||
| 17,745 | Series D3, Rev., VRDO, 0.270%, 03/01/11 | 17,745 | ||||||
| 22,725 | Series D4, Rev., VRDO, 0.270%, 03/01/11 | 22,725 | ||||||
| 55,770 | ||||||||
South Carolina — 0.8% |
| |||||||
| 14,500 | Charleston County, Hospital Facilities, Carealliance Health, Series B-2, Rev., VRDO, AGM, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 14,500 | ||||||
| 14,280 | South Carolina Educational Facilities Authority, Furman University, Series B, Rev., VRDO, 0.210%, 03/01/11 | 14,280 | ||||||
| 28,780 | ||||||||
Tennessee — 0.9% |
| |||||||
| 29,900 | Montgomery County Public Building Authority, Tennessee County Loan Pool, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 29,900 | ||||||
Texas — 0.2% |
| |||||||
| 8,000 | San Gabriel Industrial Development Corp., Airborn, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.250%, 03/01/11 | 8,000 | ||||||
Virginia — 1.1% |
| |||||||
| 13,900 | Albermarle County EDA, Martha Jefferson Hospital, Series D, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.210%, 03/01/11 | 13,900 | ||||||
| 5,720 | Norfolk Redevelopment & Housing Authority, Old Dominion University Project, Rev., VRDO, LOC: Bank of America N.A., 0.280%, 03/01/11 | 5,720 | ||||||
| 16,900 | Virginia College Building Authority, University of Richmond Project, Rev., VRDO, 0.210%, 03/01/11 | 16,900 | ||||||
| 36,520 | ||||||||
West Virginia — 0.8% |
| |||||||
| 28,315 | West Virginia Hospital Finance Authority, United Health System, Series A, Rev., VRDO, LOC: Bank of America N.A., 0.270%, 03/01/11 | 28,315 | ||||||
Total Daily Demand Notes | 457,335 | |||||||
| Municipal Bonds — 13.1% |
| ||||||
Connecticut — 0.6% |
| |||||||
| 20,000 | City of Hartford, GO, BAN, 2.500%, 04/14/11 | 20,048 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
District of Columbia — 0.3% |
| |||||||
| 10,000 | District of Columbia, GO, TRAN, 2.000%, 09/30/11 | 10,094 | ||||||
Florida — 0.3% |
| |||||||
| 9,965 | City of Tampa, Utility Tax & Special Revenue, Tax Allocation, AMBAC, 6.750%, 10/01/11 | 10,320 | ||||||
Michigan — 1.2% |
| |||||||
| 40,000 | State of Michigan, Series A, GO, 2.000%, 09/30/11 | 40,365 | ||||||
New Hampshire — 0.7% |
| |||||||
| 9,980 | County of Carroll, GO, TAN, 2.000%, 12/30/11 | 10,071 | ||||||
| 14,000 | County of Cheshire, GO, TAN, 1.500%, 12/30/11 | 14,084 | ||||||
| 24,155 | ||||||||
New Jersey — 2.7% |
| |||||||
| 22,646 | County of Passaic, GO, BAN, 1.500%, 04/12/11 | 22,669 | ||||||
| 18,360 | Township of Livingston, GO, BAN, 1.500%, 02/02/12 | 18,503 | ||||||
| 34,360 | Township of Monroe, Middlesex County, GO, BAN, 2.000%, 02/07/12 | 34,712 | ||||||
| 17,965 | Township of South Orange Village, Series A, GO, BAN, 2.000%, 01/31/12 | 18,196 | ||||||
| 94,080 | ||||||||
New York — 4.4% |
| |||||||
| 11,690 | Addison Central School District, GO, BAN, 1.500%, 06/24/11 | 11,719 | ||||||
| 10,890 | Byron-Bergen Central School District, GO, BAN, 1.500%, 05/26/11 | 10,911 | ||||||
| 17,000 | Camden Central School District, GO, BAN, 2.000%, 07/22/11 | 17,064 | ||||||
| 14,800 | City of Schenectady, GO, BAN, 1.500%, 05/20/11 | 14,824 | ||||||
| 13,416 | Depew Union Free School District, GO, BAN, 1.000%, 06/02/11 | 13,430 | ||||||
| 15,085 | Greene Central School District, GO, BAN, 1.750%, 06/30/11 | 15,105 | ||||||
| 16,862 | Moravia Central School District, GO, BAN, 2.000%, 06/24/11 | 16,902 | ||||||
| 21,306 | Schenectady City School District, GO, BAN, 2.000%, 07/08/11 | 21,370 | ||||||
| 13,600 | Town of Oyster Bay, GO, BAN, 1.000%, 11/18/11 | 13,650 | ||||||
| 19,000 | Waverly Central School District, Series A, GO, BAN, 2.000%, 07/15/11 | 19,064 | ||||||
| 154,039 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued |
| ||||||
Ohio — 0.5% |
| |||||||
| 16,000 | City of Marysville, Waste Water Treatment, GO, 1.250%, 06/01/11 | 16,020 | ||||||
Pennsylvania — 0.3% |
| |||||||
| 10,750 | Pennsylvania Housing Finance Agency, Single Family Mortgage, Series 111, Rev., 0.450%, 09/22/11 | 10,750 | ||||||
Texas — 1.3% |
| |||||||
| 46,900 | State of Texas, Rev.,TRAN, 2.000%, 08/31/11 | 47,289 | ||||||
Wisconsin — 0.8% |
| |||||||
| 15,000 | Green Bay Area Public School District, Rev.,TRAN, 1.000%, 06/27/11 | 15,028 | ||||||
| 12,000 | Pewaukee School District, Rev., BAN, 1.250%, 12/01/11 | 12,033 | ||||||
| 27,061 | ||||||||
Total Municipal Bonds | 454,221 | |||||||
| Quarterly Demand Note — 0.3% |
| ||||||
Pennsylvania — 0.3% |
| |||||||
| 10,000 | Hamburg Area School District, GO, VAR, 1.530%, 05/01/11 | 10,016 | ||||||
| Weekly Demand Notes — 64.7% | |||||||
Alabama — 1.0% |
| |||||||
| 35,000 | Lower Alabama Gas District, Series A, Rev., VRDO, LIQ: Societe Generale, 0.300%, 03/07/11 | 35,000 | ||||||
California — 2.8% |
| |||||||
| 15,000 | California Pollution Control Financing Authority, Sanger Project, Series A, Rev., VRDO, LOC: National Bank of Canada, 0.280%, 03/07/11 | 15,000 | ||||||
| 20,000 | Nuveen Insured California Premium Income Municipal Fund, Inc., 0.510%, 03/07/11 (e) | 20,000 | ||||||
| 26,000 | Nuveen California Select Quality Municipal Fund, Inc., VRDO, LIQ: Citibank N.A., 0.510%, 03/07/11 (e) | 26,000 | ||||||
| 21,850 | Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-1, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.330%, 03/07/11 | 21,850 | ||||||
| 15,930 | Wells Fargo Stage Trust, Floater Certificates, Series 15-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.320%, 03/07/11 (e) | 15,930 | ||||||
| 98,780 | ||||||||
Colorado — 4.9% |
| |||||||
Colorado Housing & Finance Authority, Single Family Mortgage, | ||||||||
| 23,000 | Series A-3, Class 1, Rev., VRDO, AMT, 0.300%, 03/07/11 | 23,000 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Colorado — Continued |
| |||||||
| 21,300 | Series B-2, Class I, Rev., VRDO, AMT, 0.320%, 03/07/11 | 21,300 | ||||||
| 50,000 | Series B-3, Class II, Rev., VRDO, AMT, 0.290%, 03/07/11 | 50,000 | ||||||
| 30,000 | Series C-2, Class I, Rev., VRDO, AMT, 0.330%, 03/07/11 | 30,000 | ||||||
Denver City & County, Airport, | ||||||||
| 7,800 | Series C, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.280%, 03/07/11 | 7,800 | ||||||
| 13,725 | Series F, Rev., VRDO, LOC: Lloyds TSB Bank plc, 0.280%, 03/07/11 | 13,725 | ||||||
Deutsche Bank Spears/Lifers Trust Various States, | ||||||||
| 4,015 | Series DBE-510, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 4,015 | ||||||
| 21,220 | Series DBE-647, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.280%, 03/07/11 | 21,220 | ||||||
| 171,060 | ||||||||
Connecticut — 0.6% |
| |||||||
| 22,010 | State of Connecticut, Series B, GO, VRDO, 0.300%, 03/07/11 | 22,010 | ||||||
Florida — 4.1% |
| |||||||
| 17,800 | Collier County IDA, Allete, Inc. Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.320%, 03/07/11 | 17,800 | ||||||
| 15,885 | Florida Housing Finance Corp., Boynton Bay Apartments, Multi-Family Housing, Rev., VRDO, LOC: Citibank N.A., 0.300%, 03/07/11 | 15,885 | ||||||
| 7,005 | Manatee County Housing Finance Authority, Centre Court Apartments Project, Series A, Rev., VRDO, LOC: Suntrust Bank, 0.280%, 03/07/11 | 7,005 | ||||||
| 4,675 | Miami-Dade County IDA, Lawson Industries, Inc. Project, Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 4,675 | ||||||
| 4,355 | Palm Beach County Housing Development Corp., Multi-Family Housing, Caribbean Villas, Rev., VRDO, FNMA, LIQ: FNMA, 0.290%, 03/07/11 | 4,355 | ||||||
| 33,450 | Pinellas County Health Facilities Authority, Health System Baycare, Series B-2, Rev., VRDO, AGM, 0.310%, 03/07/11 | 33,450 | ||||||
| 11,270 | Sumter County IDA, American Cement Co. Project, Rev., VRDO, LOC: Bank of America N.A., 0.360%, 03/07/11 | 11,270 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 61 | ||||||
Table of Contents
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Florida — Continued |
| |||||||
| 48,935 | Sunshine State Governmental Financing Commission, Goldman Convertible, Rev., VRDO, LOC: Dexia Credit Local, 0.320%, 03/07/11 | 48,935 | ||||||
| 143,375 | ||||||||
Georgia — 1.3% |
| |||||||
| 18,695 | Eclipse Funding Trust, Solar Eclipse, Atlanta, Series 2006-0024, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 18,695 | ||||||
| 20,000 | Fulton County Development Authority, FlightSafety International, Inc. Project, Series B, Rev., VRDO, 0.250%, 03/07/11 | 20,000 | ||||||
| 8,045 | Lehman Municipal Trust Receipts, Various States, Gwinnett County Housing, Series 06-K72, Rev., VRDO, FNMA, LIQ: Citibank N.A., 0.320%, 03/07/11 | 8,045 | ||||||
| 46,740 | ||||||||
Idaho — 0.8% |
| |||||||
Idaho Housing & Finance Association, Single Family Mortgage, | ||||||||
| 10,285 | Series D, Class I, Rev., VRDO, LOC: FNMA, 0.280%, 03/07/11 | 10,285 | ||||||
| 10,840 | Series E, Class I, Rev., VRDO, LOC: FNMA, 0.280%, 03/07/11 | 10,840 | ||||||
| 8,345 | Series F, Rev., VRDO, LOC: FNMA, 0.280%, 03/07/11 | 8,345 | ||||||
| 29,470 | ||||||||
Illinois — 3.1% |
| |||||||
| 2,400 | Chicago O’Hare International Airport, Compagnie Nationale Air France, Rev., VRDO, LOC: Societe Generale, 0.270%, 03/07/11 | 2,400 | ||||||
| 2,121 | Chicago O’Hare International Airport, Second Lien, Series B, Rev., VRDO, LOC: Societe Generale, 0.260%, 03/07/11 | 2,121 | ||||||
| 20,535 | City of Chicago, Series ROCS-RR-II-R-11270, GO, VRDO, AGM-CR, NATL-RE, LIQ: Citibank N.A., 0.310%, 03/07/11 | 20,535 | ||||||
| 10,000 | Illinois Finance Authority, 700 Hickory Hills Drive LLC, Rev., VRDO, LOC: Bank of America N.A., 0.400%, 03/07/11 | 10,000 | ||||||
| 9,900 | Illinois Finance Authority, Education Facilities, Series ROCS-RR-II-R-12258, Rev., VRDO, 0.260%, 03/07/11 (e) | 9,900 | ||||||
| 6,930 | Illinois Housing Development Authority, Pheasant Ridge Hunter Apartments, Rev., VRDO, LOC: Lasalle Bank N.A., 0.460%, 03/07/11 | 6,930 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Illinois — Continued |
| |||||||
| 10,000 | Illinois State Toll Highway Authority, Series B, Rev., VRDO, AGM, 0.300%, 03/07/11 | 10,000 | ||||||
| 17,500 | Metropolitan Pier & Exposition Authority, Series SG-165, Rev., VRDO, LIQ: Societe Generale, 0.310%, 03/07/11 | 17,500 | ||||||
| 14,295 | State of Illinois, Series ROCS-RR-II-R-12249, GO, VRDO, AGM, 0.360%, 03/07/11 (e) | 14,295 | ||||||
| 4,800 | Village of Carol Stream, Multi-Family Housing, St. Charles Square, Rev., VRDO, FNMA, LIQ: FNMA, 0.310%, 03/07/11 | 4,800 | ||||||
| 1,130 | Will & Kankakee Counties Regional Development Authority, JRS Realty Association LLC Project, Series A, Rev., VRDO, LOC: PNC Bank N.A., 0.340%, 03/07/11 | 1,130 | ||||||
| 7,300 | Will County, BASF Corp. Project, Rev., VRDO, 0.410%, 03/07/11 | 7,300 | ||||||
| 106,911 | ||||||||
Indiana — 0.4% |
| |||||||
| 9,365 | Deutsche Bank Spears/Lifers Trust Various States, Series DBE-584, Rev., VRDO, NATL-RE, LIQ: Deutsche Bank AG, 0.260%, 03/07/11 | 9,365 | ||||||
| 4,100 | Indiana Finance Authority, Four-Leaf Clover Dairy LLC, Rev., VRDO, LOC: Lasalle Bank N.A., 0.490%, 03/07/11 | 4,100 | ||||||
| 13,465 | ||||||||
Iowa — 0.3% |
| |||||||
| 11,700 | Iowa Finance Authority, Single Family Mortgage, Series C, Rev., VRDO, AMT, GNMA/FNMA, 0.270%, 03/07/11 | 11,700 | ||||||
Kansas — 0.4% |
| |||||||
| 15,000 | City of Wichita, FlightSafety International, Inc., Rev., VRDO, 0.250%, 03/07/11 | 15,000 | ||||||
Louisiana — 0.1% |
| |||||||
| 4,600 | Ascension Parish, BASF Corp. Project, Rev., VRDO, 0.410%, 03/01/11 | 4,600 | ||||||
Maine — 1.2% |
| |||||||
Maine State Housing Authority, | ||||||||
| 10,000 | Series D, Rev., VRDO, AMT, 0.300%, 03/07/11 | 10,000 | ||||||
| 15,000 | Series E-1, Rev., VRDO, 0.320%, 03/07/11 | 15,000 | ||||||
| 17,700 | Series G, Rev., VRDO, AMT, 0.300%, 03/07/11 | 17,700 | ||||||
| 42,700 | ||||||||
Maryland — 1.0% |
| |||||||
| 5,290 | Austin Trust, Various States, Series 2007-1023, Rev., VRDO, LIQ: Bank of America N.A., 0.400%, 03/07/11 | 5,290 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Maryland — Continued |
| |||||||
| 12,150 | Maryland Community Development Administration, Residential, Series F, Rev., VRDO, AMT, 0.280%, 03/07/11 | 12,150 | ||||||
| 15,850 | Wells Fargo Stage Trust, Multi-Family Housing, Series 32-C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.330%, 03/07/11 (e) | 15,850 | ||||||
| 33,290 | ||||||||
Massachusetts — 1.3% |
| |||||||
| 16,050 | Massachusetts Bay Transportation Authority, Series A, Rev., VRDO, 0.350%, 09/26/11 (i) | 16,050 | ||||||
| 27,540 | Massachusetts Housing Finance Agency, Series 2970, Rev., VRDO, AGM, LIQ: Morgan Stanley Bank, 0.290%, 03/07/11 (e) | 27,540 | ||||||
| 43,590 | ||||||||
Michigan — 8.1% |
| |||||||
| 4,100 | Austin Trust, Various States, Series 2008-1096, GO, VRDO, NATL-RE, Q-SBLF, LIQ: Bank of America N.A., 0.360%, 03/07/11 | 4,100 | ||||||
| 12,000 | City of Detroit, Series PT-3756, Rev., VRDO, AGM, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 12,000 | ||||||
Detroit City School District, | ||||||||
| 11,975 | Series PT-3556, GO, VRDO, FGIC, Q-SBLF, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 11,975 | ||||||
| 16,500 | Series ROCS-RR-II-R-11784, GO, VRDO, AGM, Q-SBLF, LIQ: Citibank N.A., 0.300%, 03/07/11 (e) | 16,500 | ||||||
| 100 | Series ROCS-RR-II-R-12251, GO, VRDO, BHAC-CR, AGM-CR, FGIC, Q-SBLF, 0.270%, 03/07/11 (e) | 100 | ||||||
| 6,525 | Holt Public Schools, GO, VRDO, Q-SBLF, 0.300%, 03/07/11 | 6,525 | ||||||
| 4,980 | Michigan State Hospital Finance Authority, Series 1308, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 | 4,980 | ||||||
Michigan State Hospital Finance Authority, Ascension Health Senior Credit, | ||||||||
| 21,200 | Rev., VRDO, 0.350%, 09/26/11 (i) | 21,200 | ||||||
Michigan State Housing Development Authority, | ||||||||
| 23,690 | Series C, Rev., VRDO, 0.270%, 03/07/11 | 23,690 | ||||||
| 3,750 | Series D, Rev., VRDO, LOC: FNMA, 0.270%, 03/07/11 | 3,750 | ||||||
| 10,280 | Series D, Rev., VRDO, AMT, 0.370%, 03/07/11 | 10,280 | ||||||
| 58,285 | Series E, Rev., VRDO, AMT, 0.310%, 03/07/11 | 58,285 | ||||||
| 28,960 | Michigan State Housing Development Authority, Multi-Family Housing, Series C, Rev., VRDO, AMT, 0.320%, 03/07/11 | 28,960 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Michigan — Continued |
| |||||||
| 3,760 | Michigan State Housing Development Authority, Multi-Family Housing, Courtyards of Taylor, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 3,760 | ||||||
| 11,915 | Michigan State Housing Development Authority, Rental Housing, Series C, Rev., VRDO, AMT, 0.310%, 03/07/11 | 11,915 | ||||||
| 4,625 | Milan Area Schools, GO, VRDO, Q-SBLF, LOC: Landesbank Hessen-Thuringen, 0.300%, 03/07/11 | 4,625 | ||||||
| 5,000 | Oakland County Economic Development Corp., Exhibit Enterprises, Inc. Project, Rev., VRDO, LOC: Comerica Bank, 0.410%, 03/07/11 | 5,000 | ||||||
| 10,880 | Puttable Floating Option Tax-Exempt Receipts, Series MT-617, Rev., VRDO, AGM, LIQ: Merrill Lynch International Bank Ltd., 0.560%, 03/07/11 | 10,880 | ||||||
RBC Municipal Products, Inc. Trust, Floater Certificates, | ||||||||
| 23,280 | Series L-26, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.300%, 03/07/11 | 23,280 | ||||||
| 18,750 | Series L-29, Rev., VRDO, LIQ: Royal Bank of Canada, LOC: Royal Bank of Canada, 0.300%, 03/07/11 | 18,750 | ||||||
| 1,245 | State of Michigan, Series PT-3760, GO, VRDO, LIQ: Dexia Credit Local, 0.400%, 03/07/11 | 1,245 | ||||||
| 281,800 | ||||||||
Minnesota — 0.8% |
| |||||||
| 6,605 | Minnesota Housing Finance Agency, MERLOTS, Series C-44, Rev., VRDO, 0.330%, 03/07/11 | 6,605 | ||||||
Minnesota Housing Finance Agency, Residential Housing, | ||||||||
| 15,700 | Series B, Rev., VRDO, AMT, 0.270%, 03/07/11 | 15,700 | ||||||
| 6,400 | Series F, Rev., VRDO, LIQ: FHLB, 0.270%, 03/07/11 | 6,400 | ||||||
| 28,705 | ||||||||
Missouri — 0.1% |
| |||||||
| 4,655 | Lehman Municipal Trust Receipts, Various States, St. Louis, Series 06-K50, Rev., VRDO, GNMA COLL, FHA, LIQ: Citibank N.A., 0.320%, 03/07/11 | 4,655 | ||||||
Montana — 0.4% |
| |||||||
| 13,640 | Montana Board of Housing, MERLOTS, Series C-41, Rev., VRDO, 0.330%, 03/07/11 | 13,640 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 63 | ||||||
Table of Contents
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Nevada — 0.2% |
| |||||||
| 6,700 | Director of the State of Nevada Department of Business & Industry, Energy Partners LLC Project, Rev., VRDO, LOC: Sumitomo Mitsui Banking, 0.350%, 03/07/11 | 6,700 | ||||||
New Jersey — 0.6% |
| |||||||
| 6,955 | New Jersey EDA, Accurate Box Co., Inc. Project, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.370%, 03/07/11 | 6,955 | ||||||
| 14,600 | Nuveen New Jersey Premium Income Municipal Fund, Inc., VRDO, LIQ: Citibank N.A., 0.510%, 03/07/11 (e) | 14,600 | ||||||
| 21,555 | ||||||||
New Mexico — 0.6% |
| |||||||
New Mexico Educational Assistance Foundation, Educational Loans, | ||||||||
| 10,000 | Series A-1, Rev., VRDO, LOC: Royal Bank of Canada, 0.290%, 03/07/11 | 10,000 | ||||||
| 9,050 | Series A-2, Rev., VRDO, AMT, LOC: Royal Bank of Canada, 0.290%, 03/07/11 | 9,050 | ||||||
| 19,050 | ||||||||
New York — 2.1% |
| |||||||
| 35,000 | Nassau County IDA, Series 75G, Rev., VRDO, LIQ: Goldman Sachs Special Situations, LOC: Goldman Sachs & Co., 0.280%, 03/07/11 | 35,000 | ||||||
| 2,865 | New York City Housing Development Corp., Multi-Family Housing, Urban Horizons II, Series A, Rev., VRDO, LOC: Citibank N.A., 0.270%, 03/07/11 | 2,865 | ||||||
| 20,000 | New York State Housing Finance Agency, Multi-Family Housing, 505 West 37th Street, Series A, Rev., VRDO, LOC: Landesbank Hessen-Thuringen, 0.340%, 03/07/11 | 20,000 | ||||||
| 16,020 | Puttable Floating Option Tax-Exempt Receipts, Series MT-672, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.450%, 03/07/11 (e) | 16,020 | ||||||
| 73,885 | ||||||||
North Carolina — 0.6% |
| |||||||
| 13,720 | City of Raleigh, Rev., VRDO, 0.360%, 09/26/11 (i) | 13,720 | ||||||
| 8,030 | Mecklenburg County Industrial Facilities & Pollution Control Financing Authority, Ferguson Supply & Box Manufacturing Co., Rev., VRDO, LOC: Bank of America N.A., 0.490%, 03/07/11 | 8,030 | ||||||
| 21,750 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
North Dakota — 1.1% |
| |||||||
North Dakota State Housing Finance Agency, Housing Financing Program, Home Mortgage, | ||||||||
| 27,210 | Series A, Rev., VRDO, 0.280%, 03/07/11 | 27,210 | ||||||
| 9,400 | Series B, Rev., VRDO, AMT, 0.280%, 03/07/11 | 9,400 | ||||||
| 36,610 | ||||||||
Ohio — 3.0% |
| |||||||
| 2,215 | Austin Trust, Various States, Series 2008-3310, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.360%, 03/07/11 | 2,215 | ||||||
| 2,600 | City of Sharonville, Edgcomb Metals Co. Project, IDR, Rev., VRDO, LOC: Wells Fargo Bank N.A., 0.350%, 03/07/11 | 2,600 | ||||||
| 800 | Columbus Regional Airport Authority, Capital Funding, OASBO Program, Series A, Rev., VRDO, LOC: U.S. Bank N.A., 0.260%, 03/07/11 | 800 | ||||||
| 33,975 | County of Cuyahoga, Series MT-263, Rev., VRDO, NATL-RE, LIQ: Bank of America N.A., 0.450%, 03/07/11 | 33,975 | ||||||
| 2,215 | Eclipse Funding Trust, Solar Eclipse, Hamilton, Series 2006-0158, Rev., VRDO, LIQ: U.S. Bank N.A., LOC: U.S. Bank N.A., 0.250%, 03/07/11 | 2,215 | ||||||
| 11,465 | Mahoning County, Youngstown State University Project, Rev., VRDO, LOC: National City Bank, 0.280%, 03/07/11 | 11,465 | ||||||
Ohio Housing Finance Agency, Residential Mortgage-Backed Securities, | ||||||||
| 11,800 | Series B, Rev., VRDO, AMT, GNMA/FNMA, 0.270%, 03/07/11 | 11,800 | ||||||
| 1,050 | Series C, Rev., VRDO, AMT, GNMA COLL, 0.260%, 03/07/11 | 1,050 | ||||||
| 1,955 | Series E, Rev., VRDO, AMT, 0.270%, 03/07/11 | 1,955 | ||||||
| 15,150 | Series E, Rev., VRDO, AMT, GNMA/FNMA/FHLMC, 0.260%, 03/07/11 | 15,150 | ||||||
| 19,500 | Puttable Floating Option Tax-Exempt Receipts, Series MT-667, Rev., VRDO, LIQ: Bank of America N.A., 0.490%, 03/07/11 (e) | 19,500 | ||||||
| 102,725 | ||||||||
Oregon — 1.8% |
| |||||||
| 14,000 | Oregon State Department of Administrative Services, Series ROCS-RR-II-R-11742, COP, VRDO, NATL-RE, FGIC, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 14,000 | ||||||
| 23,600 | Oregon State Housing & Community Services Department, Series I, Rev., VRDO, AMT, 0.370%, 03/07/11 | 23,600 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Oregon — Continued |
| |||||||
| 25,440 | Puttable Floating Option Tax-Exempt Receipts, Series MT-664, Rev., VRDO, AGM, LIQ: Bank of America N.A., 0.400%, 03/07/11 (e) | 25,440 | ||||||
| 63,040 | ||||||||
Other Territories — 6.8% |
| |||||||
| 15,880 | Eagle Tax-Exempt Trust, Rev., VRDO, FHLMC COLL, LIQ: FHLB, 0.330%, 03/07/11 | 15,880 | ||||||
Federal Home Loan Mortgage Corp., Multi-Family Housing, | ||||||||
| 9,570 | Series M015, Class A, Rev., VRDO, FHLMC, 0.310%, 03/07/11 | 9,570 | ||||||
| 50,899 | Series M017, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.300%, 03/07/11 | 50,899 | ||||||
| 18,300 | Series M023, Class A, Rev., VRDO, FHLMC, 0.310%, 03/07/11 | 18,300 | ||||||
| 15,000 | Nuveen New York Quality Income Municipal Fund, Inc., 0.510%, 03/07/11 | 15,000 | ||||||
Nuveen Municipal Market Opportunity Fund, Inc., | ||||||||
| 20,000 | 0.510%, 03/07/11 | 20,000 | ||||||
| 20,000 | VRDO, LIQ: Deutsche Bank AG, 0.460%, 03/07/11 (e) | 20,000 | ||||||
| 40,870 | Puttable Floating Option Tax-Exempt Receipts, Series PPT-1006, Class A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/11 | 40,870 | ||||||
| 26,805 | Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Series 2001-2, Class A, Rev., VAR, LIQ: FHLMC, 0.410%, 03/07/11 | 26,805 | ||||||
| 15,860 | SunAmerica Trust, Various States, Series 2, Class A, Rev., VRDO, FHLMC, LOC: FHLMC, 0.330%, 03/07/11 | 15,860 | ||||||
| 233,184 | ||||||||
Pennsylvania — 1.3% |
| |||||||
| 14,120 | Adams County IDA, Gettysburg Foundation Facility, Series A, Rev., VRDO, LOC: Manufacturers and Traders, 0.310%, 03/07/11 (m) | 14,120 | ||||||
| 7,500 | Delaware Valley Regional Financial Authority, Series 2996, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.270%, 03/07/11 (e) | 7,500 | ||||||
| 10,000 | Delaware Valley Regional Financial Authority, Municipal Securities Trust Receipts, Series 15, Class A, Rev., VRDO, LIQ: Societe Generale, 0.260%, 03/07/11 | 10,000 | ||||||
| 14,000 | Nuveen Pennsylvania Premium Income Municipal Fund 2, VRDO, LIQ: Citibank N.A., 0.510%, 03/07/11 (e) | 14,000 | ||||||
| 45,620 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
South Carolina — 0.2% |
| |||||||
| 5,700 | Cherokee County, Oshkosh Truck Project, Rev., VRDO, LOC: Bank of America N.A., 0.450%, 03/07/11 | 5,700 | ||||||
Tennessee — 0.3% |
| |||||||
| 9,000 | Jackson Industrial Development Board, General Cable Corp. Project, Rev., VRDO, LOC: PNC Bank N.A., 0.310%, 03/07/11 | 9,000 | ||||||
Texas — 4.1% |
| |||||||
| 21,130 | Hutto Independent School District, Series 2999, GO, VRDO, PSF-GTD, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 (e) | 21,130 | ||||||
| 18,000 | North Texas Tollway Authority, Series ROCS-RR-II-R-11845, Rev., VRDO, BHAC-CR, LIQ: Citibank N.A., 0.270%, 03/07/11 (e) | 18,000 | ||||||
| 5,200 | Port Freeport, Multi-Mode, BASF Corp., Rev., VRDO, 0.410%, 03/07/11 | 5,200 | ||||||
| 11,470 | Puttable Floating Option Tax-Exempt Receipts, Series PT-4591, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.360%, 03/07/11 | 11,470 | ||||||
State of Texas, Veterans Housing Assistance Fund, | ||||||||
| 11,145 | Series A, GO, VRDO, 0.280%, 03/07/11 | 11,145 | ||||||
| 9,840 | Series B, GO, VRDO, 0.280%, 03/07/11 | 9,840 | ||||||
| 10,800 | Series D, GO, VRDO, LOC: Sumitomo Trust & Banking Co., 0.290%, 03/07/11 | 10,800 | ||||||
| 20,000 | Tarrant County Cultural Education Facilities Finance Corp., Series 2834, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.260%, 03/07/11 | 20,000 | ||||||
| 14,595 | Texas Department of Housing & Community Affairs, Multi-Family Housing, Harris Branch Apartments, Rev., VRDO, LOC: FNMA, 0.370%, 03/07/11 | 14,595 | ||||||
| 14,040 | Texas Department of Housing & Community Affairs, Multi-Family Housing, Idlewilde Apartments, Rev., VRDO, FNMA, LIQ: FNMA, 0.280%, 03/07/11 | 14,040 | ||||||
| 6,270 | Texas Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Series A-1, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.310%, 03/07/11 | 6,270 | ||||||
| 142,490 | ||||||||
Utah — 2.9% |
| |||||||
| 10,280 | North Davis County Sewer District, Series ROCS-RR-II-R-11817, Rev., VRDO, LIQ: Citibank N.A., 0.260%, 03/07/11 (e) | 10,280 | ||||||
Utah Housing Corp., Single Family Mortgage, | ||||||||
| 6,335 | Series A, Rev., VRDO, 0.280%, 03/07/11 | 6,335 | ||||||
| 9,175 | Series A-2, Rev., VRDO, 0.280%, 03/07/11 | 9,175 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 65 | ||||||
Table of Contents
JPMorgan Municipal Money Market Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Weekly Demand Notes — Continued |
| ||||||
Utah — Continued |
| |||||||
| 15,090 | Series C, Class I, Rev., VRDO, 0.280%, 03/07/11 | 15,090 | ||||||
| 4,935 | Series C-1, Rev., VRDO, 0.280%, 03/07/11 | 4,935 | ||||||
| 12,210 | Series D-1, Class I, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.280%, 03/07/11 | 12,210 | ||||||
| 11,420 | Series E, Class I, Rev., VRDO, 0.280%, 03/07/11 | 11,420 | ||||||
| 11,270 | Series F, Rev., VRDO, 0.280%, 03/07/11 | 11,270 | ||||||
| 20,900 | Utah Water Finance Agency, Series B-3, Rev., VRDO, 0.310%, 03/07/11 | 20,900 | ||||||
| 101,615 | ||||||||
Virginia — 1.3% |
| |||||||
| 12,000 | Fairfax County IDA, Inova Health System Project, Rev., VRDO, 0.380%, 09/26/11 (i) | 12,000 | ||||||
Norfolk EDA, Sentra Healthcare, | ||||||||
| 20,155 | Rev., VRDO, 0.380%, 09/26/11 (i) | 20,155 | ||||||
| 12,750 | Virginia Housing Development Authority, MERLOTS, Series C-42, Rev., VRDO, 0.330%, 03/07/11 | 12,750 | ||||||
| 44,905 | ||||||||
Washington — 0.9% |
| |||||||
| 7,200 | Washington Economic Development Finance Authority, Specialty Chemical Products, Rev., VRDO, LOC: Bank of America N.A., 0.370%, 03/07/11 | 7,200 | ||||||
| 9,985 | Washington State Housing Finance Commission, Barkley Ridge Apartments Project, Series A, Rev., VRDO, FHLMC, LIQ: FHLMC, 0.290%, 03/07/11 | 9,985 | ||||||
| 14,000 | Washington State Housing Finance Commission, Vintage Spokane Project, Series A, Rev., VRDO, FNMA, LIQ: FNMA, 0.270%, 03/07/11 | 14,000 | ||||||
| 31,185 | ||||||||
West Virginia — 0.2% |
| |||||||
| 5,185 | Marshall County IDR, Warren Distribution, Inc., Rev., VRDO, LOC: Bank of America N.A., 0.460%, 03/07/11 | 5,185 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wisconsin — 3.0% |
| |||||||
| 16,795 | Wells Fargo Stage Trust, Series 2009-2C, Rev., VRDO, LIQ: Wells Fargo Bank N.A., 0.330%, 03/07/11 (e) | 16,795 | ||||||
Wisconsin Housing & EDA, | ||||||||
| 4,435 | Series 2995, Rev., VRDO, LIQ: Morgan Stanley Bank, 0.300%, 03/07/11 (e) | 4,435 | ||||||
| 9,700 | Series A, Rev., VRDO, 0.320%, 03/07/11 | 9,700 | ||||||
| 27,575 | Series C, Rev., VRDO, 0.310%, 03/07/11 | 27,575 | ||||||
| 22,000 | Series C, Rev., VRDO, 0.320%, 03/07/11 | 22,000 | ||||||
| 5,690 | Series C, Rev., VRDO, 0.330%, 03/07/11 | 5,690 | ||||||
| 18,520 | Series ROCS-RR-II-R-11522, Rev., VRDO, LIQ: Citibank N.A., 0.320%, 03/07/11 | 18,520 | ||||||
| 104,715 | ||||||||
Wyoming — 1.0% |
| |||||||
Wyoming Community Development Authority, | ||||||||
| 14,000 | Series 4, Rev., VRDO, AMT, LOC: FNMA, 0.300%, 03/07/11 | 14,000 | ||||||
| 10,000 | Series 5, Rev., VRDO, AMT, LOC: FNMA, 0.300%, 03/07/11 | 10,000 | ||||||
| 12,000 | Series 8, Rev., VRDO, AMT, LOC: FNMA, 0.300%, 03/07/11 | 12,000 | ||||||
| 36,000 | ||||||||
Total Weekly Demand Notes | 2,251,405 | |||||||
Total Investments — 99.9% | 3,473,817 | |||||||
Other Assets in Excess of | 4,135 | |||||||
NET ASSETS — 100.0% | $ | 3,477,952 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
J.P. Morgan Money Market Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
| ACES | — Automatically Convertible Securities | |
| 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. | |
| CCRC | — Congregate Care Retirement Center | |
| COLL | — Collateral | |
| COP | — Certificate of Participation | |
| CR | — Custodial Receipts | |
| DN | — Discount Notes | |
| EAGLE | — Earnings of accrual generated on local tax-exempt securities | |
| EDA | — Economic Development Authority | |
| FGIC | — Insured by Financial Guaranty Insurance Co. | |
| 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 | |
| GTD | — Guaranteed | |
| IBC | — Insured Bond Certificates | |
| ICC | — Insured Custody Certificates | |
| IDA | — Industrial Development Authority | |
| IDR | — Industrial Development Revenue | |
| LIQ | — Liquidity Agreement | |
| LOC | — Letter of Credit | |
| MBIA | — Insured by Municipal Bond Insurance Corp. | |
| MERLOTS | — Municipal Exempt Receipts Liquidity Optional Tender | |
| NATL | — Insured by National Public Finance Guarantee Corp. | |
| OASBO | — Ohio Association of School Business Officials | |
| PCR | — Pollution Control Revenue | |
| PSF | — Permanent School Fund | |
| Q-SBLF | — Qualified School Bond Loan Fund |
| † | Filed for bankruptcy on 11/8/2010. |
| RAN | — Revenue Anticipation Note | |
| RE | — Reinsured | |
| Rev. | — Revenue |
| ROCS | — Reset Option Certificates | |||||
| SCSDE | — South Carolina School District Enhancement | |||||
| TAN | — Tax Anticipation Note | |||||
| TCRS | — Transferable Custodial Receipts | |||||
| TRAN | — Tax & Revenue Anticipation Note | |||||
| VA | — Veterans Administration | |||||
| VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2011. | |||||
| VRDO | — Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of February 28, 2011. | |||||
| XLCA | — Insured by XL Capital Assurance | |||||
| (e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
| (g) | — Amount rounds to less than 0.1%. | |
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. | |
| (n) | — The rate shown is the effective yield at the date of purchase. | |
| (p) | — Security is prerefunded or escrowed to maturity. | |
| (t) | — The date shown represents the earliest of the next demand date or final maturity date. | |
| * | — The cost of securities is substantially the same for federal income tax purposes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011
(Amounts in thousands, except per share amounts)
| Prime Money Market Fund | Liquid Assets Money Market Fund | U.S. Government | U.S. Treasury Plus Money Market Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 124,204,549 | $ | 8,567,273 | $ | 48,875,134 | $ | 5,288,149 | ||||||||
Repurchase agreements, at value | 9,604,236 | 1,261,930 | 16,955,030 | 7,048,827 | ||||||||||||
Total investment securities, at value | 133,808,785 | 9,829,203 | 65,830,164 | 12,336,976 | ||||||||||||
Cash | 199,385 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Interest and dividends | 52,274 | 4,048 | 22,117 | 18,403 | ||||||||||||
Total Assets | 134,060,444 | 9,833,251 | 65,852,281 | 12,355,379 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 4,366 | 40 | 147 | — | ||||||||||||
Investment securities purchased | 400,005 | 129,001 | 349,695 | — | ||||||||||||
Fund shares redeemed | — | — | (a) | — | — | |||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 8,193 | 583 | 4,099 | 772 | ||||||||||||
Admin Fees | 6,877 | 423 | 2,706 | 634 | ||||||||||||
Shareholder servicing fees | 4,859 | 551 | 1,819 | 144 | ||||||||||||
Distribution fees | 344 | 41 | 876 | 1 | ||||||||||||
Custodian and accounting fees | 2,124 | 236 | 971 | 253 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 354 | 5 | 143 | 5 | ||||||||||||
Printing & Postage fees | — | 413 | 348 | 110 | ||||||||||||
Other | 1,252 | 332 | 925 | 229 | ||||||||||||
Total Liabilities | 428,374 | 131,625 | 361,729 | 2,148 | ||||||||||||
Net Assets | $ | 133,632,070 | $ | 9,701,626 | $ | 65,490,552 | $ | 12,353,231 | ||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Prime Money Market Fund | Liquid Assets Money Market Fund | U.S. Government | U.S. Treasury Plus Money Market Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 133,631,359 | $ | 9,701,903 | $ | 65,491,535 | $ | 12,353,626 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (10 | ) | (277 | ) | (730 | ) | (395 | ) | ||||||||
Accumulated net realized gains (losses) | 721 | — | (253 | ) | — | |||||||||||
Total Net Assets | $ | 133,632,070 | $ | 9,701,626 | $ | 65,490,552 | $ | 12,353,231 | ||||||||
Net Assets: | ||||||||||||||||
Class B | $ | 4,473 | $ | 9,102 | $ | — | $ | 617 | ||||||||
Class C | 12,361 | 419,195 | — | 175,024 | ||||||||||||
Agency | 12,815,353 | 415,248 | 7,720,013 | 2,052,542 | ||||||||||||
Capital | 76,648,261 | 2,296,780 | 34,776,795 | — | ||||||||||||
Cash Management | 565,910 | — | — | — | ||||||||||||
Direct | 1,183,658 | — | 377,821 | 1,197,068 | ||||||||||||
Eagle Class | 1,207,045 | — | — | — | ||||||||||||
E*Trade | — | 187,244 | — | — | ||||||||||||
Institutional Class | 29,886,053 | 2,183,936 | 11,591,430 | 5,796,795 | ||||||||||||
Investor | 480,917 | 491,592 | 3,266,727 | 461,529 | ||||||||||||
Morgan | 2,936,414 | 2,964,774 | 2,381,884 | 875,074 | ||||||||||||
Premier | 5,021,450 | 231,302 | 4,769,530 | 720,085 | ||||||||||||
Reserve | 1,781,936 | 286,293 | 44,382 | 1,074,397 | ||||||||||||
Service | 1,088,239 | 216,160 | 561,970 | 100 | ||||||||||||
Total | $ | 133,632,070 | $ | 9,701,626 | $ | 65,490,552 | $ | 12,353,231 | ||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class B | 4,474 | 9,103 | — | 618 | ||||||||||||
Class C | 12,361 | 419,181 | — | 175,031 | ||||||||||||
Agency | 12,815,251 | 415,256 | 7,720,005 | 2,052,481 | ||||||||||||
Capital | 76,647,514 | 2,296,763 | 34,776,784 | — | ||||||||||||
Cash Management | 565,914 | — | — | — | ||||||||||||
Direct | 1,183,665 | — | 377,856 | 1,197,164 | ||||||||||||
Eagle Class | 1,207,055 | — | — | — | ||||||||||||
E*Trade | — | 187,251 | — | — | ||||||||||||
Institutional Class | 29,886,595 | 2,183,973 | 11,591,749 | 5,796,943 | ||||||||||||
Investor | 480,920 | 491,608 | 3,267,252 | 461,574 | ||||||||||||
Morgan | 2,936,026 | 2,964,746 | 2,381,742 | 875,122 | ||||||||||||
Premier | 5,021,278 | 231,289 | 4,769,750 | 720,176 | ||||||||||||
Reserve | 1,781,916 | 286,396 | 44,363 | 1,074,407 | ||||||||||||
Service | 1,088,247 | 216,168 | 562,005 | 100 | ||||||||||||
Net asset value offering and redemption price per share (all classes) | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||
Cost of investments in non-affiliates | $ | 124,204,549 | $ | 8,567,273 | $ | 48,875,134 | $ | 5,288,149 | ||||||||
Cost of repurchase agreements | 9,604,236 | 1,261,930 | 16,955,030 | 7,048,827 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 69 | ||||||
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STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except per share amounts)
| Federal Money Market Fund | 100% U.S. Treasury Securities Money Market Fund | Tax Free Market Fund | Municipal Money | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 7,443,114 | $ | 18,105,390 | $ | 22,402,370 | $ | 3,473,817 | ||||||||
Cash | — | — | 30 | 4 | ||||||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 7,043 | — | — | — | ||||||||||||
Interest and dividends | 4,824 | 5,373 | 30,827 | 5,316 | ||||||||||||
Total Assets | 7,454,981 | 18,110,763 | 22,433,227 | 3,479,137 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | — | — | 570 | 23 | ||||||||||||
Investment securities purchased | 274,901 | 1,299,787 | 14,798 | — | ||||||||||||
Fund shares redeemed | 2,289 | — | — | — | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 442 | 1,042 | 1,424 | 214 | ||||||||||||
Admin Fees | 208 | 914 | 1,212 | 183 | ||||||||||||
Shareholder servicing fees | 218 | 35 | 1,733 | 387 | ||||||||||||
Distribution fees | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Custodian and accounting fees | 162 | 354 | 377 | 70 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 20 | 80 | 64 | — | ||||||||||||
Printing & Postage fees | 16 | 35 | 141 | 142 | ||||||||||||
Other | 103 | 180 | 164 | 166 | ||||||||||||
Total Liabilities | 278,359 | 1,302,427 | 20,483 | 1,185 | ||||||||||||
Net Assets | $ | 7,176,622 | $ | 16,808,336 | $ | 22,412,744 | $ | 3,477,952 | ||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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| Federal Money Market Fund | 100% U.S. Treasury Securities Money Market Fund | Tax Free | Municipal Money Market Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 7,176,660 | $ | 16,808,368 | $ | 22,410,725 | $ | 3,478,419 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (37 | ) | (170 | ) | 2,019 | 34 | ||||||||||
Accumulated net realized gains (losses) | (1 | ) | 138 | — | (501 | ) | ||||||||||
Total Net Assets | $ | 7,176,622 | $ | 16,808,336 | $ | 22,412,744 | $ | 3,477,952 | ||||||||
Net Assets: | ||||||||||||||||
Agency | $ | 1,070,681 | $ | 1,828,609 | $ | 791,812 | $ | 31,324 | ||||||||
Capital | — | 5,104,707 | — | — | ||||||||||||
Direct | — | — | 100 | — | ||||||||||||
Eagle Class | — | — | 1,131,461 | — | ||||||||||||
E*Trade | — | — | — | 1,696,495 | ||||||||||||
Institutional Class | 5,169,215 | 6,677,266 | 10,925,258 | 942,748 | ||||||||||||
Morgan | 260,943 | 1,391,343 | 535,623 | 320,868 | ||||||||||||
Premier | 669,328 | 1,760,070 | 2,710,731 | 113,158 | ||||||||||||
Reserve | 6,455 | 46,241 | 6,317,759 | 59,602 | ||||||||||||
Service | — | 100 | — | 313,757 | ||||||||||||
Total | $ | 7,176,622 | $ | 16,808,336 | $ | 22,412,744 | $ | 3,477,952 | ||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Agency | 1,070,766 | 1,828,603 | 792,010 | 31,345 | ||||||||||||
Capital | — | 5,104,689 | — | — | ||||||||||||
Direct | — | — | 100 | — | ||||||||||||
Eagle Class | — | — | 1,131,644 | — | ||||||||||||
E*Trade | — | — | — | 1,696,633 | ||||||||||||
Institutional Class | 5,169,527 | 6,677,244 | 10,924,151 | 942,963 | ||||||||||||
Morgan | 260,962 | 1,391,338 | 535,794 | 320,871 | ||||||||||||
Premier | 669,353 | 1,760,063 | 2,710,212 | 113,181 | ||||||||||||
Reserve | 6,457 | 46,241 | 6,316,358 | 59,583 | ||||||||||||
Service | — | 100 | — | 313,833 | ||||||||||||
Net asset value offering and redemption price per share (all classes) | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||
Cost of investments in non-affiliates | $ | 7,443,114 | $ | 18,105,390 | $ | 22,402,370 | $ | 3,473,817 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 71 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011
(Amounts in thousands)
| Prime Money Market Fund | Liquid Assets Money Market Fund | U.S. Government | U.S. Treasury Plus Money Market Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 441,886 | $ | 32,895 | $ | 173,629 | $ | 31,074 | ||||||||
Income from interfund lending (net) | — | 4 | — | — | ||||||||||||
Other income | 948 | 302 | 429 | 318 | ||||||||||||
Total investment income | 442,834 | 33,201 | 174,058 | 31,392 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 109,008 | 7,744 | 57,494 | 11,746 | ||||||||||||
Administration fees | 91,716 | 6,515 | 48,382 | 9,884 | ||||||||||||
Distribution fees | 15,842 | 9,325 | 5,366 | 4,880 | ||||||||||||
Shareholder servicing fees | 132,588 | 20,129 | 82,413 | 24,339 | ||||||||||||
Custodian and accounting fees | 4,737 | 492 | 1,830 | 444 | ||||||||||||
Interest expense to affiliates | 29 | — | (a) | 32 | — | |||||||||||
Professional fees | 1,815 | 157 | 838 | 160 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1,794 | 105 | 743 | 175 | ||||||||||||
Printing and mailing costs | 757 | 1,051 | 719 | 222 | ||||||||||||
Registration and filing fees | 547 | 207 | 364 | 147 | ||||||||||||
Transfer agent fees | 3,383 | 523 | 1,447 | 382 | ||||||||||||
Other | 787 | 94 | 736 | 161 | ||||||||||||
Total expenses | 363,003 | 46,342 | 200,364 | 52,540 | ||||||||||||
Less amounts waived | (79,460 | ) | (20,672 | ) | (54,537 | ) | (22,280 | ) | ||||||||
Less earnings credits | (2 | ) | (3 | ) | (11 | ) | (3 | ) | ||||||||
Net expenses | 283,541 | 25,667 | 145,816 | 30,257 | ||||||||||||
Net investment income (loss) | 159,293 | 7,534 | 28,242 | 1,135 | ||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 720 | 76 | 441 | 126 | ||||||||||||
Change in net assets resulting from operations | $ | 160,013 | $ | 7,610 | $ | 28,683 | $ | 1,261 | ||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Federal Money Market Fund | 100% U.S. Treasury Securities Money Market Fund | Tax Free | Municipal Money Market Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 21,236 | $ | 27,519 | $ | 71,344 | $ | 14,363 | ||||||||
Other income | 105 | 220 | 129 | 41 | ||||||||||||
Total investment income | 21,341 | 27,739 | 71,473 | 14,404 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 7,683 | 14,011 | 18,968 | 3,068 | ||||||||||||
Administration fees | 6,463 | 11,794 | 15,965 | 2,581 | ||||||||||||
Distribution fees | 272 | 1,674 | 17,009 | 12,128 | ||||||||||||
Shareholder servicing fees | 12,056 | 22,247 | 44,403 | 8,980 | ||||||||||||
Custodian and accounting fees | 312 | 455 | 731 | 162 | ||||||||||||
Interest expense to affiliates | — | (a) | — | (a) | 3 | — | (a) | |||||||||
Professional fees | 109 | 253 | 279 | 94 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 123 | 279 | 314 | 24 | ||||||||||||
Printing and mailing costs | 382 | 88 | 237 | 332 | ||||||||||||
Registration and filing fees | 131 | 128 | 144 | 69 | ||||||||||||
Transfer agent fees | 282 | 439 | 488 | 137 | ||||||||||||
Other | 36 | 51 | 119 | 55 | ||||||||||||
Total expenses | 27,849 | 51,419 | 98,660 | 27,630 | ||||||||||||
Less amounts waived | (7,804 | ) | (23,900 | ) | (39,372 | ) | (15,637 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | (1 | ) | — | (a) | ||||||||
Net expenses | 20,045 | 27,519 | 59,287 | 11,993 | ||||||||||||
Net investment income (loss) | 1,296 | 220 | 12,186 | 2,411 | ||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 189 | 146 | 2,021 | (502 | ) | |||||||||||
Change in net assets resulting from operations | $ | 1,485 | $ | 366 | $ | 14,207 | $ | 1,909 | ||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 73 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Prime Money Market Fund | Liquid Assets Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 159,293 | $ | 514,427 | $ | 7,534 | $ | 32,499 | ||||||||
Net realized gain (loss) | 720 | 450 | 76 | 26 | ||||||||||||
Change in net assets resulting from operations | 160,013 | 514,877 | 7,610 | 32,525 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class B | ||||||||||||||||
From net investment income | (1 | ) | — | (a) | (2 | ) | (1 | ) | ||||||||
From net realized gains | — | (a) | — | (1 | ) | — | ||||||||||
Class C | �� | |||||||||||||||
From net investment income | (1 | ) | — | (a) | (53 | ) | (10 | ) | ||||||||
From net realized gains | — | (a) | — | (16 | ) | — | ||||||||||
Agency | ||||||||||||||||
From net investment income | (7,770 | ) | (33,958 | ) | (258 | ) | (1,126 | ) | ||||||||
From net realized gains | (80 | ) | — | (13 | ) | — | ||||||||||
Capital | ||||||||||||||||
From net investment income | (113,469 | ) | (326,184 | ) | (3,857 | ) | (16,905 | ) | ||||||||
From net realized gains | (560 | ) | — | (100 | ) | — | ||||||||||
Cash Management | ||||||||||||||||
From net investment income | (56 | ) | (2 | ) | — | — | ||||||||||
From net realized gains | (3 | ) | — | — | — | |||||||||||
Direct (b) | ||||||||||||||||
From net investment income | (334 | ) | (203 | ) | — | — | ||||||||||
From net realized gains | (7 | ) | — | — | — | |||||||||||
Eagle Class (c) | ||||||||||||||||
From net investment income | (96 | ) | — | — | — | |||||||||||
From net realized gains | (9 | ) | — | — | — | |||||||||||
E*Trade | ||||||||||||||||
From net investment income | — | — | (99 | ) | (23 | ) | ||||||||||
From net realized gains | — | — | (8 | ) | — | |||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (36,951 | ) | (132,155 | ) | (2,692 | ) | (9,190 | ) | ||||||||
From net realized gains | (212 | ) | — | (74 | ) | — | ||||||||||
Investor (d) | ||||||||||||||||
From net investment income | (60 | ) | (1 | ) | (78 | ) | (870 | ) | ||||||||
From net realized gains | (4 | ) | — | (27 | ) | — | ||||||||||
Morgan | ||||||||||||||||
From net investment income | (381 | ) | (7,855 | ) | (398 | ) | (3,030 | ) | ||||||||
From net realized gains | (23 | ) | — | (127 | ) | — | ||||||||||
Premier | ||||||||||||||||
From net investment income | (585 | ) | (12,603 | ) | (40 | ) | (917 | ) | ||||||||
From net realized gains | (30 | ) | — | (14 | ) | — | ||||||||||
Reserve | ||||||||||||||||
From net investment income | (226 | ) | (1,465 | ) | (43 | ) | (425 | ) | ||||||||
From net realized gains | (13 | ) | — | (13 | ) | — | ||||||||||
Service (d) | ||||||||||||||||
From net investment income | (119 | ) | (1 | ) | (34 | ) | (2 | ) | ||||||||
From net realized gains | (7 | ) | — | (10 | ) | — | ||||||||||
Total distributions to shareholders | (160,997 | ) | (514,427 | ) | (7,957 | ) | (32,499 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (18,924,024 | ) | (13,332,107 | ) | (2,381,723 | ) | (1,417,268 | ) | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Prime Money Market Fund | Liquid Assets Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | $ | (18,925,008 | ) | $ | (13,331,657 | ) | $ | (2,382,070 | ) | $ | (1,417,242 | ) | ||||
Beginning of period | 152,557,078 | 165,888,735 | 12,083,696 | 13,500,938 | ||||||||||||
End of period | $ | 133,632,070 | $ | 152,557,078 | $ | 9,701,626 | $ | 12,083,696 | ||||||||
Accumulated undistributed net investment income | $ | (10 | ) | $ | 1,245 | $ | (277 | ) | $ | 44 | ||||||
| (a) | Amount rounds to less than 1,000. |
| (b) | Commencement of offering of class of shares effective July 17, 2009 for Prime Money Market Fund. |
| (c) | Commencement of offering of class of shares effective May 10, 2010 for Prime Money Market Fund. |
| (d) | Commencement of offering of class of shares effective July 1, 2009 for Prime Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 75 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Government Money Market Fund | U.S. Treasury Plus Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 28,242 | $ | 183,687 | $ | 1,135 | $ | 13,850 | ||||||||
Net realized gain (loss) | 441 | 4,076 | 126 | 147 | ||||||||||||
Change in net assets resulting from operations | 28,683 | 187,763 | 1,261 | 13,997 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | — | (a) | — | |||||||||||
From net realized gains | — | — | — | (a) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | — | (a) | — | |||||||||||
From net realized gains | — | — | (16 | ) | — | |||||||||||
Agency | ||||||||||||||||
From net investment income | (198 | ) | (15,141 | ) | (4 | ) | (1,051 | ) | ||||||||
From net realized gains | (1,457 | ) | — | (218 | ) | — | ||||||||||
Capital | ||||||||||||||||
From net investment income | (22,818 | ) | (123,110 | ) | — | — | ||||||||||
From net realized gains | (6,624 | ) | — | — | — | |||||||||||
Direct (b) | ||||||||||||||||
From net investment income | (1 | ) | (6 | ) | (2 | ) | — | (a) | ||||||||
From net realized gains | (39 | ) | — | (131 | ) | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (5,100 | ) | (43,605 | ) | (831 | ) | (12,770 | ) | ||||||||
From net realized gains | (2,916 | ) | — | (958 | ) | — | ||||||||||
Investor (c) | ||||||||||||||||
From net investment income | (17 | ) | — | (1 | ) | (3 | ) | |||||||||
From net realized gains | (605 | ) | — | (76 | ) | — | ||||||||||
Morgan | ||||||||||||||||
From net investment income | (12 | ) | (302 | ) | (2 | ) | — | (a) | ||||||||
From net realized gains | (364 | ) | — | (109 | ) | — | ||||||||||
Premier | ||||||||||||||||
From net investment income | (28 | ) | (1,523 | ) | (2 | ) | (26 | ) | ||||||||
From net realized gains | (884 | ) | — | (92 | ) | — | ||||||||||
Reserve | ||||||||||||||||
From net investment income | (1 | ) | — | (a) | (2 | ) | — | |||||||||
From net realized gains | (9 | ) | — | (131 | ) | — | ||||||||||
Service (c) | ||||||||||||||||
From net investment income | (3 | ) | — | — | (a) | — | ||||||||||
From net realized gains | (91 | ) | — | — | (a) | — | ||||||||||
Total distributions to shareholders | (41,167 | ) | (183,687 | ) | (2,575 | ) | (13,850 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (12,456,940 | ) | (21,860,022 | ) | (2,793,045 | ) | (6,074,546 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (12,469,424 | ) | (21,855,946 | ) | (2,794,359 | ) | (6,074,399 | ) | ||||||||
Beginning of period | 77,959,976 | 99,815,922 | 15,147,590 | 21,221,989 | ||||||||||||
End of period | $ | 65,490,552 | $ | 77,959,976 | $ | 12,353,231 | $ | 15,147,590 | ||||||||
Accumulated undistributed net investment income | $ | (730 | ) | $ | 7,425 | $ | (395 | ) | $ | 720 | ||||||
| (a) | Amount rounds to less than 1,000. |
| (b) | Commencement of offering of class of shares effective July 17, 2009. |
| (c) | Commencement of offering of class of shares effective July 1, 2009. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Federal Money Market Fund | 100% U.S. Treasury Securities Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,296 | $ | 26,100 | $ | 220 | $ | 5,119 | ||||||||
Net realized gain (loss) | 189 | 396 | 146 | 178 | ||||||||||||
Change in net assets resulting from operations | 1,485 | 26,496 | 366 | 5,297 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Agency | ||||||||||||||||
From net investment income | (13 | ) | (1,560 | ) | (3 | ) | (29 | ) | ||||||||
From net realized gains | (214 | ) | — | (250 | ) | — | ||||||||||
Capital | ||||||||||||||||
From net investment income | — | — | (10 | ) | (3,310 | ) | ||||||||||
From net realized gains | — | — | (967 | ) | — | |||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (1,273 | ) | (24,203 | ) | (9 | ) | (1,780 | ) | ||||||||
From net realized gains | (1,805 | ) | — | (768 | ) | — | ||||||||||
Morgan | ||||||||||||||||
From net investment income | (3 | ) | (5 | ) | (2 | ) | — | |||||||||
From net realized gains | (36 | ) | — | (175 | ) | — | ||||||||||
Premier | ||||||||||||||||
From net investment income | (7 | ) | (332 | ) | (3 | ) | — | |||||||||
From net realized gains | (158 | ) | — | (233 | ) | — | ||||||||||
Reserve | ||||||||||||||||
From net investment income | — | (a) | — | — | (a) | — | ||||||||||
From net realized gains | (8 | ) | — | (15 | ) | — | ||||||||||
Service (b) | ||||||||||||||||
From net investment income | — | — | — | (a) | — | |||||||||||
From net realized gains | — | — | — | (a) | — | |||||||||||
Total distributions to shareholders | (3,517 | ) | (26,100 | ) | (2,435 | ) | (5,119 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (4,491,612 | ) | (10,124,828 | ) | 611,416 | (17,008,420 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (4,493,644 | ) | (10,124,432 | ) | 609,347 | (17,008,242 | ) | |||||||||
Beginning of period | 11,670,266 | 21,794,698 | 16,198,989 | 33,207,231 | ||||||||||||
End of period | $ | 7,176,622 | $ | 11,670,266 | $ | 16,808,336 | $ | 16,198,989 | ||||||||
Accumulated undistributed net investment income | $ | (37 | ) | $ | 1,598 | $ | (170 | ) | $ | 1,955 | ||||||
| (a) | Amount rounds to less than 1,000. |
| (b) | Commencement of offering of class of shares effective July 1, 2009 for 100% U.S. Treasury Securities Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 77 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Tax Free Money Market Fund | Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 12,186 | $ | 37,159 | $ | 2,411 | $ | 5,421 | ||||||||
Net realized gain (loss) | 2,021 | 2,610 | (502 | ) | 33 | |||||||||||
Change in net assets resulting from operations | 14,207 | 39,769 | 1,909 | 5,454 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Agency | ||||||||||||||||
From net investment income | (640 | ) | (2,398 | ) | (109 | ) | (339 | ) | ||||||||
From net realized gains | (116 | ) | — | (1 | ) | — | ||||||||||
Direct (a) | ||||||||||||||||
From net investment income | — | (b) | — | (b) | — | — | ||||||||||
From net realized gains | — | (b) | — | — | — | |||||||||||
Eagle Class (c) | ||||||||||||||||
From net investment income | (190 | ) | — | — | — | |||||||||||
From net realized gains | (73 | ) | — | — | — | |||||||||||
E*Trade | ||||||||||||||||
From net investment income | — | — | (360 | ) | (177 | ) | ||||||||||
From net realized gains | — | — | (18 | ) | — | |||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (14,613 | ) | (31,365 | ) | (2,257 | ) | (4,127 | ) | ||||||||
From net realized gains | (1,501 | ) | — | (12 | ) | — | ||||||||||
Morgan | ||||||||||||||||
From net investment income | (112 | ) | (177 | ) | (40 | ) | (486 | ) | ||||||||
From net realized gains | (57 | ) | — | (4 | ) | — | ||||||||||
Premier | ||||||||||||||||
From net investment income | (628 | ) | (2,815 | ) | (14 | ) | (197 | ) | ||||||||
From net realized gains | (325 | ) | — | (1 | ) | — | ||||||||||
Reserve | ||||||||||||||||
From net investment income | (1,296 | ) | (386 | ) | (13 | ) | (97 | ) | ||||||||
From net realized gains | (667 | ) | — | (1 | ) | — | ||||||||||
Service | ||||||||||||||||
From net investment income | — | — | (41 | ) | (1 | ) | ||||||||||
From net realized gains | — | — | (4 | ) | — | |||||||||||
Total distributions to shareholders | (20,218 | ) | (37,141 | ) | (2,875 | ) | (5,424 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (597,066 | ) | (6,971,787 | ) | (844,372 | ) | 1,680,045 | |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (603,077 | ) | (6,969,159 | ) | (845,338 | ) | 1,680,075 | |||||||||
Beginning of period | 23,015,821 | 29,984,980 | 4,323,290 | 2,643,215 | ||||||||||||
End of period | $ | 22,412,744 | $ | 23,015,821 | $ | 3,477,952 | $ | 4,323,290 | ||||||||
Accumulated undistributed net investment income | $ | 2,019 | $ | 5,420 | $ | 34 | $ | 464 | ||||||||
| (a) | Commencement of offering of class of shares effective July 17, 2009 for Tax Free Money Market Fund. |
| (b) | Amount rounds to less than 1,000. |
| (c) | Commencement of offering of class of shares effective May 10, 2010 for Tax Free Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Prime Money Market Fund | Liquid Assets Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 1,531 | $ | 3,333 | $ | 3,505 | $ | 8,122 | ||||||||
Dividends and distributions reinvested | 1 | — | (a) | 2 | 1 | |||||||||||
Cost of shares redeemed | (3,991 | ) | (10,110 | ) | (12,117 | ) | (25,192 | ) | ||||||||
Change in net assets from Class B capital transactions | $ | (2,459 | ) | $ | (6,777 | ) | $ | (8,610 | ) | $ | (17,069 | ) | ||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 18,179 | $ | 9,037 | $ | 374,134 | $ | 211,333 | ||||||||
Dividends and distributions reinvested | 1 | — | (a) | 68 | 10 | |||||||||||
Cost of shares redeemed | (12,542 | ) | (13,371 | ) | (375,542 | ) | (259,517 | ) | ||||||||
Change in net assets from Class C capital transactions | $ | 5,638 | $ | (4,334 | ) | $ | (1,340 | ) | $ | (48,174 | ) | |||||
Agency | ||||||||||||||||
Proceeds from shares issued | $ | 418,124,009 | $ | 305,617,923 | $ | 3,449,716 | $ | 3,074,934 | ||||||||
Dividends and distributions reinvested | 5,590 | 23,938 | 237 | 832 | ||||||||||||
Cost of shares redeemed | (416,655,301 | ) | (308,892,343 | ) | (3,343,284 | ) | (3,218,653 | ) | ||||||||
Change in net assets from Agency capital transactions | $ | 1,474,298 | $ | (3,250,482 | ) | $ | 106,669 | $ | (142,887 | ) | ||||||
Capital | ||||||||||||||||
Proceeds from shares issued | $ | 677,299,592 | $ | 751,539,175 | $ | 19,679,225 | $ | 34,301,756 | ||||||||
Dividends and distributions reinvested | 61,294 | 165,794 | 3,652 | 15,267 | ||||||||||||
Cost of shares redeemed | (687,530,848 | ) | (747,348,654 | ) | (21,339,992 | ) | (34,316,572 | ) | ||||||||
Change in net assets from Capital capital transactions | $ | (10,169,962 | ) | $ | 4,356,315 | $ | (1,657,115 | ) | $ | 451 | ||||||
Cash Management | ||||||||||||||||
Proceeds from shares issued | $ | 1,759,654 | $ | 1,447,362 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 54 | 2 | — | — | ||||||||||||
Cost of shares redeemed | (1,579,303 | ) | (1,395,934 | ) | — | — | ||||||||||
Change in net assets from Cash Management capital transactions | $ | 180,405 | $ | 51,430 | $ | — | $ | — | ||||||||
Direct (b) | ||||||||||||||||
Proceeds from shares issued | $ | 2,826,934 | $ | 1,793,147 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | — | 2 | — | — | ||||||||||||
Cost of shares redeemed | (2,652,624 | ) | (783,794 | ) | — | — | ||||||||||
Change in net assets from Direct capital transactions | $ | 174,310 | $ | 1,009,355 | $ | — | $ | — | ||||||||
Eagle Class (c) | ||||||||||||||||
Proceeds from shares issued | $ | 1,898,945 | $ | — | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 103 | — | — | — | ||||||||||||
Cost of shares redeemed | (691,993 | ) | — | — | — | |||||||||||
Change in net assets from Eagle Class capital transactions | $ | 1,207,055 | $ | — | $ | — | $ | — | ||||||||
E*Trade | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 104,150 | $ | 265,776 | ||||||||
Dividends and distributions reinvested | — | — | 107 | 23 | ||||||||||||
Cost of shares redeemed | — | — | (96,386 | ) | (88,180 | ) | ||||||||||
Change in net assets from E*Trade capital transactions | $ | — | $ | — | $ | 7,871 | $ | 177,619 | ||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 203,208,964 | $ | 260,198,617 | $ | 14,259,388 | $ | 18,118,946 | ||||||||
Dividends and distributions reinvested | 22,551 | 56,482 | 2,529 | 8,541 | ||||||||||||
Cost of shares redeemed | (212,398,322 | ) | (266,923,284 | ) | (14,516,598 | ) | (17,736,043 | ) | ||||||||
Change in net assets from Institutional Class capital transactions | $ | (9,166,807 | ) | $ | (6,668,185 | ) | $ | (254,681 | ) | $ | 391,444 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 79 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Prime Money Market Fund | Liquid Assets Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS (continued): | ||||||||||||||||
Investor (d) | ||||||||||||||||
Proceeds from shares issued | $ | 394,120 | $ | 832,523 | $ | 2,045,981 | $ | 1,444,816 | ||||||||
Dividends and distributions reinvested | 64 | 1 | 52 | 251 | ||||||||||||
Cost of shares redeemed | (527,230 | ) | (218,558 | ) | (2,126,807 | ) | (1,586,815 | ) | ||||||||
Change in net assets from Investor capital transactions | $ | (133,046 | ) | $ | 613,966 | $ | (80,774 | ) | $ | (141,748 | ) | |||||
Morgan | ||||||||||||||||
Proceeds from shares issued | $ | 256,084,726 | $ | 573,626,048 | $ | 2,076,739 | $ | 2,059,725 | ||||||||
Dividends and distributions reinvested | 245 | 3,569 | 513 | 2,970 | ||||||||||||
Cost of shares redeemed | (257,040,938 | ) | (577,676,712 | ) | (2,253,650 | ) | (2,488,484 | ) | ||||||||
Change in net assets from Morgan capital transactions | $ | (955,967 | ) | $ | (4,047,095 | ) | $ | (176,398 | ) | $ | (425,789 | ) | ||||
Premier | ||||||||||||||||
Proceeds from shares issued | $ | 151,410,376 | $ | 361,226,928 | $ | 1,151,750 | $ | 1,793,654 | ||||||||
Dividends and distributions reinvested | 257 | 4,840 | 31 | 674 | ||||||||||||
Cost of shares redeemed | (152,241,517 | ) | (366,267,785 | ) | (1,237,871 | ) | (2,137,827 | ) | ||||||||
Change in net assets from Premier capital transactions | $ | (830,884 | ) | $ | (5,036,017 | ) | $ | (86,090 | ) | $ | (343,499 | ) | ||||
Reserve | ||||||||||||||||
Proceeds from shares issued | $ | 161,933,209 | $ | 277,832,557 | $ | 70,806,417 | $ | 129,071,927 | ||||||||
Dividends and distributions reinvested | 146 | 882 | 7 | 51 | ||||||||||||
Cost of shares redeemed | (162,720,918 | ) | (279,191,011 | ) | (70,901,067 | ) | (129,523,883 | ) | ||||||||
Change in net assets from Reserve capital transactions | $ | (787,563 | ) | $ | (1,357,572 | ) | $ | (94,643 | ) | $ | (451,905 | ) | ||||
Service (d) | ||||||||||||||||
Proceeds from shares issued | $ | 1,084,192 | $ | 1,421,245 | $ | 55,207,390 | $ | 111,095,138 | ||||||||
Dividends and distributions reinvested | 125 | 1 | 6 | — | (a) | |||||||||||
Cost of shares redeemed | (1,003,359 | ) | (413,957 | ) | (55,344,008 | ) | (111,510,849 | ) | ||||||||
Change in net assets from Service capital transactions | $ | 80,958 | $ | 1,007,289 | $ | (136,612 | ) | $ | (415,711 | ) | ||||||
Total change in net assets from capital transactions | $ | (18,924,024 | ) | $ | (13,332,107 | ) | $ | (2,381,723 | ) | $ | (1,417,268 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Prime Money Market Fund | Liquid Assets Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class B | ||||||||||||||||
Issued | 1,531 | 3,333 | 3,505 | 8,122 | ||||||||||||
Reinvested | 1 | — | (a) | 2 | 1 | |||||||||||
Redeemed | (3,991 | ) | (10,110 | ) | (12,117 | ) | (25,192 | ) | ||||||||
Change in Class B Shares | (2,459 | ) | (6,777 | ) | (8,610 | ) | (17,069 | ) | ||||||||
Class C | ||||||||||||||||
Issued | 18,179 | 9,037 | 374,134 | 211,333 | ||||||||||||
Reinvested | 1 | — | (a) | 68 | 10 | |||||||||||
Redeemed | (12,542 | ) | (13,371 | ) | (375,542 | ) | (259,517 | ) | ||||||||
Change in Class C Shares | 5,638 | (4,334 | ) | (1,340 | ) | (48,174 | ) | |||||||||
Agency | ||||||||||||||||
Issued | 418,124,009 | 305,617,923 | 3,449,716 | 3,074,934 | ||||||||||||
Reinvested | 5,590 | 23,938 | 237 | 832 | ||||||||||||
Redeemed | (416,655,301 | ) | (308,892,343 | ) | (3,343,284 | ) | (3,218,653 | ) | ||||||||
Change in Agency Shares | 1,474,298 | (3,250,482 | ) | 106,669 | (142,887 | ) | ||||||||||
Capital | ||||||||||||||||
Issued | 677,299,592 | 751,539,175 | 19,679,225 | 34,301,756 | ||||||||||||
Reinvested | 61,294 | 165,794 | 3,652 | 15,267 | ||||||||||||
Redeemed | (687,530,848 | ) | (747,348,654 | ) | (21,339,992 | ) | (34,316,572 | ) | ||||||||
Change in Capital Shares | (10,169,962 | ) | 4,356,315 | (1,657,115 | ) | 451 | ||||||||||
Cash Management | ||||||||||||||||
Issued | 1,759,654 | 1,447,362 | — | — | ||||||||||||
Reinvested | 54 | 2 | — | — | ||||||||||||
Redeemed | (1,579,303 | ) | (1,395,934 | ) | — | — | ||||||||||
Change in Cash Management Shares | 180,405 | 51,430 | — | — | ||||||||||||
Direct (b) | ||||||||||||||||
Issued | 2,826,934 | 1,793,147 | — | — | ||||||||||||
Reinvested | — | 2 | — | — | ||||||||||||
Redeemed | (2,652,624 | ) | (783,794 | ) | — | — | ||||||||||
Change in Direct Shares | 174,310 | 1,009,355 | — | — | ||||||||||||
Eagle Class (c) | ||||||||||||||||
Issued | 1,898,945 | — | — | — | ||||||||||||
Reinvested | 103 | — | — | — | ||||||||||||
Redeemed | (691,993 | ) | — | — | — | |||||||||||
Change in Eagle Class Shares | 1,207,055 | — | — | — | ||||||||||||
E*Trade | ||||||||||||||||
Issued | — | — | 104,150 | 265,776 | ||||||||||||
Reinvested | — | — | 107 | 23 | ||||||||||||
Redeemed | — | — | (96,386 | ) | (88,180 | ) | ||||||||||
Change in E*Trade Shares | — | — | 7,871 | 177,619 | ||||||||||||
Institutional Class | ||||||||||||||||
Issued | 203,208,964 | 260,198,617 | 14,259,388 | 18,118,946 | ||||||||||||
Reinvested | 22,551 | 56,482 | 2,529 | 8,541 | ||||||||||||
Redeemed | (212,398,322 | ) | (266,923,284 | ) | (14,516,598 | ) | (17,736,043 | ) | ||||||||
Change in Institutional Class Shares | (9,166,807 | ) | (6,668,185 | ) | (254,681 | ) | 391,444 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 81 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Prime Money Market Fund | Liquid Assets Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS (continued): | ||||||||||||||||
Investor (d) | ||||||||||||||||
Issued | 394,120 | 832,523 | 2,045,981 | 1,444,816 | ||||||||||||
Reinvested | 64 | 1 | 52 | 251 | ||||||||||||
Redeemed | (527,230 | ) | (218,558 | ) | (2,126,807 | ) | (1,586,815 | ) | ||||||||
Change in Investor Shares | (133,046 | ) | 613,966 | (80,774 | ) | (141,748 | ) | |||||||||
Morgan | ||||||||||||||||
Issued | 256,084,726 | 573,626,048 | 2,076,739 | 2,059,725 | ||||||||||||
Reinvested | 245 | 3,569 | 513 | 2,970 | ||||||||||||
Redeemed | (257,040,938 | ) | (577,676,712 | ) | (2,253,650 | ) | (2,488,484 | ) | ||||||||
Change in Morgan Shares | (955,967 | ) | (4,047,095 | ) | (176,398 | ) | (425,789 | ) | ||||||||
Premier | ||||||||||||||||
Issued | 151,410,376 | 361,226,928 | 1,151,750 | 1,793,654 | ||||||||||||
Reinvested | 257 | 4,840 | 31 | 674 | ||||||||||||
Redeemed | (152,241,517 | ) | (366,267,785 | ) | (1,237,871 | ) | (2,137,827 | ) | ||||||||
Change in Premier Shares | (830,884 | ) | (5,036,017 | ) | (86,090 | ) | (343,499 | ) | ||||||||
Reserve | ||||||||||||||||
Issued | 161,933,209 | 277,832,557 | 70,806,417 | 129,071,927 | ||||||||||||
Reinvested | 146 | 882 | 7 | 51 | ||||||||||||
Redeemed | (162,720,918 | ) | (279,191,011 | ) | (70,901,067 | ) | (129,523,883 | ) | ||||||||
Change in Reserve Shares | (787,563 | ) | (1,357,572 | ) | (94,643 | ) | (451,905 | ) | ||||||||
Service (d) | ||||||||||||||||
Issued | 1,084,192 | 1,421,245 | 55,207,390 | 111,095,138 | ||||||||||||
Reinvested | 125 | 1 | 6 | — | (a) | |||||||||||
Redeemed | (1,003,359 | ) | (413,957 | ) | (55,344,008 | ) | (111,510,849 | ) | ||||||||
Change in Service Shares | 80,958 | 1,007,289 | (136,612 | ) | (415,711 | ) | ||||||||||
| (a) | Amount rounds to less than 1,000 (Shares or dollars). |
| (b) | Commencement of offering of class of shares effective July 17, 2009 for Prime Money Market Fund. |
| (c) | Commencement of offering of class of shares effective May 10, 2010 for Prime Money Market Fund. |
| (d) | Commencement of offering of class of shares effective July 1, 2009 for Prime Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| U.S. Government Money Market Fund | U.S. Treasury Plus Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 224 | $ | 249 | ||||||||
Dividends and distributions reinvested | — | — | — | (a) | — | |||||||||||
Cost of shares redeemed | — | — | (799 | ) | (871 | ) | ||||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (575 | ) | $ | (622 | ) | ||||||
| �� | ||||||||||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 191,826 | $ | 61,450 | ||||||||
Dividends and distributions reinvested | — | — | 16 | — | ||||||||||||
Cost of shares redeemed | — | — | (108,613 | ) | (131,534 | ) | ||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | 83,229 | $ | (70,084 | ) | |||||||
Agency | ||||||||||||||||
Proceeds from shares issued | $ | 287,954,275 | $ | 233,555,467 | $ | 43,637,645 | $ | 45,331,644 | ||||||||
Dividends and distributions reinvested | 1,374 | 13,316 | 183 | 757 | ||||||||||||
Cost of shares redeemed | (288,291,246 | ) | (238,290,813 | ) | (43,801,422 | ) | (45,940,801 | ) | ||||||||
Change in net assets from Agency capital transactions | $ | (335,597 | ) | $ | (4,722,030 | ) | $ | (163,594 | ) | $ | (608,400 | ) | ||||
Capital | ||||||||||||||||
Proceeds from shares issued | $ | 257,845,676 | $ | 354,912,437 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 19,739 | 78,028 | — | — | ||||||||||||
Cost of shares redeemed | (261,586,696 | ) | (369,503,080 | ) | — | — | ||||||||||
Change in net assets from Capital capital transactions | $ | (3,721,281 | ) | $ | (14,512,615 | ) | $ | — | $ | — | ||||||
Direct (b) | ||||||||||||||||
Proceeds from shares issued | $ | 747,482 | $ | 223,275 | $ | 2,020,624 | $ | 1,684,270 | ||||||||
Dividends and distributions reinvested | — | — | (a) | — | — | (a) | ||||||||||
Cost of shares redeemed | (458,223 | ) | (134,678 | ) | (1,740,176 | ) | (767,554 | ) | ||||||||
Change in net assets from Direct capital transactions | $ | 289,259 | $ | 88,597 | $ | 280,448 | $ | 916,716 | ||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 110,409,234 | $ | 168,791,783 | $ | 45,215,494 | $ | 79,491,635 | ||||||||
Dividends and distributions reinvested | 5,228 | 29,939 | 946 | 5,098 | ||||||||||||
Cost of shares redeemed | (118,660,181 | ) | (173,847,219 | ) | (47,413,592 | ) | (83,547,049 | ) | ||||||||
Change in net assets from Institutional Class capital transactions | $ | (8,245,719 | ) | $ | (5,025,497 | ) | $ | (2,197,152 | ) | $ | (4,050,316 | ) | ||||
Investor (c) | ||||||||||||||||
Proceeds from shares issued | $ | 2,359,155 | $ | 4,021,274 | $ | 1,047,386 | $ | 2,630,050 | ||||||||
Dividends and distributions reinvested | 622 | — | 5 | 1 | ||||||||||||
Cost of shares redeemed | (2,531,009 | ) | (582,790 | ) | (1,447,081 | ) | (2,894,867 | ) | ||||||||
Change in net assets from Investor capital transactions | $ | (171,232 | ) | $ | 3,438,484 | $ | (399,690 | ) | $ | (264,816 | ) | |||||
Morgan | ||||||||||||||||
Proceeds from shares issued | $ | 274,838,343 | $ | 416,182,797 | $ | 128,009,152 | $ | 180,532,656 | ||||||||
Dividends and distributions reinvested | 125 | 94 | 32 | — | ||||||||||||
Cost of shares redeemed | (274,763,650 | ) | (418,866,042 | ) | (128,115,426 | ) | (181,199,909 | ) | ||||||||
Change in net assets from Morgan capital transactions | $ | 74,818 | $ | (2,683,151 | ) | $ | (106,242 | ) | $ | (667,253 | ) | |||||
Premier | ||||||||||||||||
Proceeds from shares issued | $ | 78,306,222 | $ | 110,280,834 | $ | 31,350,675 | $ | 42,673,439 | ||||||||
Dividends and distributions reinvested | 164 | 799 | 27 | 8 | ||||||||||||
Cost of shares redeemed | (78,698,992 | ) | (108,507,870 | ) | (31,491,046 | ) | (43,206,322 | ) | ||||||||
Change in net assets from Premier capital transactions | $ | (392,606 | ) | $ | 1,773,763 | $ | (140,344 | ) | $ | (532,875 | ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 83 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Government Money Market Fund | U.S. Treasury Plus Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS (continued): | ||||||||||||||||
Reserve | ||||||||||||||||
Proceeds from shares issued | $ | 10,390,733 | $ | 24,078,363 | $ | 90,191,004 | $ | 138,053,968 | ||||||||
Dividends and distributions reinvested | 2 | — | (a) | 88 | — | |||||||||||
Cost of shares redeemed | (10,411,769 | ) | (24,194,015 | ) | (90,340,217 | ) | (138,850,964 | ) | ||||||||
Change in net assets from Reserve capital transactions | $ | (21,034 | ) | $ | (115,652 | ) | $ | (149,125 | ) | $ | (796,996 | ) | ||||
Service (c) | ||||||||||||||||
Proceeds from shares issued | $ | 8,375,190 | $ | 15,011,804 | $ | — | $ | 100 | ||||||||
Dividends and distributions reinvested | 87 | — | — | (a) | — | (a) | ||||||||||
Cost of shares redeemed | (8,308,825 | ) | (15,113,725 | ) | — | — | (a) | |||||||||
Change in net assets from Service capital transactions | $ | 66,452 | $ | (101,921 | ) | $ | — | (a) | $ | 100 | ||||||
Total change in net assets from capital transactions | $ | (12,456,940 | ) | $ | (21,860,022 | ) | $ | (2,793,045 | ) | $ | (6,074,546 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| U.S. Government Money Market Fund | U.S. Treasury Plus Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class B | ||||||||||||||||
Issued | — | — | 224 | 249 | ||||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | (799 | ) | (871 | ) | ||||||||||
Change in Class B Shares | — | — | (575 | ) | (622 | ) | ||||||||||
Class C | ||||||||||||||||
Issued | — | — | 191,826 | 61,450 | ||||||||||||
Reinvested | — | — | 16 | — | ||||||||||||
Redeemed | — | — | (108,613 | ) | (131,534 | ) | ||||||||||
Change in Class C Shares | — | — | 83,229 | (70,084 | ) | |||||||||||
Agency | ||||||||||||||||
Issued | 287,954,275 | 233,555,467 | 43,637,645 | 45,331,644 | ||||||||||||
Reinvested | 1,374 | 13,316 | 183 | 757 | ||||||||||||
Redeemed | (288,291,246 | ) | (238,290,813 | ) | (43,801,422 | ) | (45,940,801 | ) | ||||||||
Change in Agency Shares | (335,597 | ) | (4,722,030 | ) | (163,594 | ) | (608,400 | ) | ||||||||
Capital | ||||||||||||||||
Issued | 257,845,676 | 354,912,437 | — | — | ||||||||||||
Reinvested | 19,739 | 78,028 | — | — | ||||||||||||
Redeemed | (261,586,696 | ) | (369,503,080 | ) | — | — | ||||||||||
Change in Capital Shares | (3,721,281 | ) | (14,512,615 | ) | — | — | ||||||||||
Direct (b) | ||||||||||||||||
Issued | 747,482 | 223,275 | 2,020,624 | 1,684,270 | ||||||||||||
Reinvested | — | — | (a) | — | — | (a) | ||||||||||
Redeemed | (458,223 | ) | (134,678 | ) | (1,740,176 | ) | (767,554 | ) | ||||||||
Change in Direct Shares | 289,259 | 88,597 | 280,448 | 916,716 | ||||||||||||
Institutional Class | ||||||||||||||||
Issued | 110,409,234 | 168,791,783 | 45,215,494 | 79,491,635 | ||||||||||||
Reinvested | 5,228 | 29,939 | 946 | 5,098 | ||||||||||||
Redeemed | (118,660,181 | ) | (173,847,219 | ) | (47,413,592 | ) | (83,547,049 | ) | ||||||||
Change in Institutional Class Shares | (8,245,719 | ) | (5,025,497 | ) | (2,197,152 | ) | (4,050,316 | ) | ||||||||
Investor (c) | ||||||||||||||||
Issued | 2,359,155 | 4,021,274 | 1,047,386 | 2,630,050 | ||||||||||||
Reinvested | 622 | — | 5 | 1 | ||||||||||||
Redeemed | (2,531,009 | ) | (582,790 | ) | (1,447,081 | ) | (2,894,867 | ) | ||||||||
Change in Investor Shares | (171,232 | ) | 3,438,484 | (399,690 | ) | (264,816 | ) | |||||||||
Morgan | ||||||||||||||||
Issued | 274,838,343 | 416,182,797 | 128,009,152 | 180,532,656 | ||||||||||||
Reinvested | 125 | 94 | 32 | — | ||||||||||||
Redeemed | (274,763,650 | ) | (418,866,042 | ) | (128,115,426 | ) | (181,199,909 | ) | ||||||||
Change in Morgan Shares | 74,818 | (2,683,151 | ) | (106,242 | ) | (667,253 | ) | |||||||||
Premier | ||||||||||||||||
Issued | 78,306,222 | 110,280,834 | 31,350,675 | 42,673,439 | ||||||||||||
Reinvested | 164 | 799 | 27 | 8 | ||||||||||||
Redeemed | (78,698,992 | ) | (108,507,870 | ) | (31,491,046 | ) | (43,206,322 | ) | ||||||||
Change in Premier Shares | (392,606 | ) | 1,773,763 | (140,344 | ) | (532,875 | ) | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 85 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Government Money Market Fund |
| U.S. Treasury Plus Money Market Fund |
| |||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS (continued): | ||||||||||||||||
Reserve | ||||||||||||||||
Issued | 10,390,733 | 24,078,363 | 90,191,004 | 138,053,968 | ||||||||||||
Reinvested | 2 | — | (a) | 88 | — | |||||||||||
Redeemed | (10,411,769 | ) | (24,194,015 | ) | (90,340,217 | ) | (138,850,964 | ) | ||||||||
Change in Reserve Shares | (21,034 | ) | (115,652 | ) | (149,125 | ) | (796,996 | ) | ||||||||
Service (c) | ||||||||||||||||
Issued | 8,375,190 | 15,011,804 | — | 100 | ||||||||||||
Reinvested | 87 | — | — | (a) | — | (a) | ||||||||||
Redeemed | (8,308,825 | ) | (15,113,725 | ) | — | — | (a) | |||||||||
Change in Service Shares | 66,452 | (101,921 | ) | — | 100 | |||||||||||
| (a) | Amount rounds to less than 1,000 (Shares or dollars). |
| (b) | Commencement of offering of class of shares effective July 17, 2009. |
| (c) | Commencement of offering of class of shares effective July 1, 2009. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Federal Money Market Fund | 100% U.S. Treasury Securities Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Agency | ||||||||||||||||
Proceeds from shares issued | $ | 2,633,757 | $ | 4,683,014 | $ | 40,426,158 | $ | 30,688,382 | ||||||||
Dividends and distributions reinvested | 175 | 993 | 145 | 14 | ||||||||||||
Cost of shares redeemed | (2,934,448 | ) | (4,895,765 | ) | (40,119,479 | ) | (31,339,059 | ) | ||||||||
Change in net assets from Agency capital transactions | $ | (300,516 | ) | $ | (211,758 | ) | $ | 306,824 | $ | (650,663 | ) | |||||
Capital | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 21,338,966 | $ | 16,363,866 | ||||||||
Dividends and distributions reinvested | — | — | 409 | 1,896 | ||||||||||||
Cost of shares redeemed | — | — | (22,338,688 | ) | (17,876,463 | ) | ||||||||||
Change in net assets from Capital capital transactions | $ | — | $ | — | $ | (999,313 | ) | $ | (1,510,701 | ) | ||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 20,934,210 | $ | 43,898,368 | $ | 16,665,951 | $ | 16,160,057 | ||||||||
Dividends and distributions reinvested | 1,373 | 9,289 | 249 | 597 | ||||||||||||
Cost of shares redeemed | (24,912,467 | ) | (52,976,601 | ) | (14,963,482 | ) | (23,951,892 | ) | ||||||||
Change in net assets from Institutional Class capital transactions | $ | (3,976,884 | ) | $ | (9,068,944 | ) | $ | 1,702,718 | $ | (7,791,238 | ) | |||||
Morgan | ||||||||||||||||
Proceeds from shares issued | $ | 4,953,566 | $ | 5,050,009 | $ | 76,469,637 | $ | 62,915,249 | ||||||||
Dividends and distributions reinvested | 30 | 4 | 99 | — | ||||||||||||
Cost of shares redeemed | (4,863,686 | ) | (5,150,745 | ) | (76,391,551 | ) | (63,705,124 | ) | ||||||||
Change in net assets from Morgan capital transactions | $ | 89,910 | $ | (100,732 | ) | $ | 78,185 | $ | (789,875 | ) | ||||||
Premier | ||||||||||||||||
Proceeds from shares issued | $ | 1,777,236 | $ | 2,836,367 | $ | 85,287,855 | $ | 119,799,983 | ||||||||
Dividends and distributions reinvested | 81 | 132 | 87 | — | ||||||||||||
Cost of shares redeemed | (1,980,643 | ) | (3,612,211 | ) | (85,502,056 | ) | (121,454,996 | ) | ||||||||
Change in net assets from Premier capital transactions | $ | (203,326 | ) | $ | (775,712 | ) | $ | (214,114 | ) | $ | (1,655,013 | ) | ||||
Reserve | ||||||||||||||||
Proceeds from shares issued | $ | 361,336 | $ | 546,386 | $ | 154,471 | $ | 2,921,228 | ||||||||
Dividends and distributions reinvested | 6 | — | 9 | — | ||||||||||||
Cost of shares redeemed | (462,138 | ) | (514,068 | ) | (417,364 | ) | (7,532,258 | ) | ||||||||
Change in net assets from Reserve capital transactions | $ | (100,796 | ) | $ | 32,318 | $ | (262,884 | ) | $ | (4,611,030 | ) | |||||
Service (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 100 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Change in net assets from Service capital transactions | $ | — | $ | — | $ | — | (b) | $ | 100 | |||||||
Total change in net assets from capital transactions | $ | (4,491,612 | ) | $ | (10,124,828 | ) | $ | 611,416 | $ | (17,008,420 | ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 87 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Federal Money Market Fund | 100% U.S. Treasury Securities Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Agency | ||||||||||||||||
Issued | 2,633,757 | 4,683,014 | 40,426,145 | 30,688,382 | ||||||||||||
Reinvested | 175 | 993 | 145 | 14 | ||||||||||||
Redeemed | (2,934,448 | ) | (4,895,765 | ) | (40,119,466 | ) | (31,339,059 | ) | ||||||||
Change in Agency Shares | (300,516 | ) | (211,758 | ) | 306,824 | (650,663 | ) | |||||||||
Capital | ||||||||||||||||
Issued | — | — | 21,338,887 | 16,363,866 | ||||||||||||
Reinvested | — | — | 409 | 1,896 | ||||||||||||
Redeemed | — | — | (22,338,688 | ) | (17,876,463 | ) | ||||||||||
Change in Capital Shares | — | — | (999,392 | ) | (1,510,701 | ) | ||||||||||
Institutional Class | ||||||||||||||||
Issued | 20,934,210 | 43,898,368 | 16,665,911 | 16,160,057 | ||||||||||||
Reinvested | 1,373 | 9,289 | 249 | 597 | ||||||||||||
Redeemed | (24,912,467 | ) | (52,976,601 | ) | (14,963,394 | ) | (23,951,892 | ) | ||||||||
Change in Institutional Class Shares | (3,976,884 | ) | (9,068,944 | ) | 1,702,766 | (7,791,238 | ) | |||||||||
Morgan | ||||||||||||||||
Issued | 4,953,566 | 5,050,009 | 76,469,611 | 62,915,249 | ||||||||||||
Reinvested | 30 | 4 | 99 | — | ||||||||||||
Redeemed | (4,863,686 | ) | (5,150,745 | ) | (76,391,551 | ) | (63,705,124 | ) | ||||||||
Change in Morgan Shares | 89,910 | (100,732 | ) | 78,159 | (789,875 | ) | ||||||||||
Premier | ||||||||||||||||
Issued | 1,777,236 | 2,836,367 | 85,287,843 | 119,799,983 | ||||||||||||
Reinvested | 81 | 132 | 87 | — | ||||||||||||
Redeemed | (1,980,643 | ) | (3,612,211 | ) | (85,502,011 | ) | (121,454,996 | ) | ||||||||
Change in Premier Shares | (203,326 | ) | (775,712 | ) | (214,081 | ) | (1,655,013 | ) | ||||||||
Reserve | ||||||||||||||||
Issued | 361,336 | 546,386 | 154,372 | 2,921,228 | ||||||||||||
Reinvested | 6 | — | 9 | — | ||||||||||||
Redeemed | (462,138 | ) | (514,068 | ) | (417,240 | ) | (7,532,258 | ) | ||||||||
Change in Reserve Shares | (100,796 | ) | 32,318 | (262,859 | ) | (4,611,030 | ) | |||||||||
Service (a) | ||||||||||||||||
Issued | — | — | — | 100 | ||||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Change in Service Shares | — | — | — | (b) | 100 | |||||||||||
| (a) | Commencement of offering of class of shares effective July 1, 2009 for 100% U.S. Treasury Securities Money Market Fund. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Tax Free Money Market Fund | Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Agency | ||||||||||||||||
Proceeds from shares issued | $ | 2,281,248 | $ | 3,292,343 | $ | 91,864 | $ | 488,132 | ||||||||
Dividends and distributions reinvested | 254 | 481 | 29 | 61 | ||||||||||||
Cost of shares redeemed | (2,551,888 | ) | (3,642,592 | ) | (190,351 | ) | (430,850 | ) | ||||||||
Change in net assets from Agency capital transactions | $ | (270,386 | ) | $ | (349,768 | ) | $ | (98,458 | ) | $ | 57,343 | |||||
Direct (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 100 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | — | (b) | — | (b) | — | — | ||||||||||
Change in net assets from Direct capital transactions | $ | — | (b) | $ | 100 | $ | — | $ | — | |||||||
Eagle Class (c) | ||||||||||||||||
Proceeds from shares issued | $ | 1,603,033 | $ | — | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 261 | — | — | — | ||||||||||||
Cost of shares redeemed | (471,650 | ) | — | — | — | |||||||||||
Change in net assets from Eagle Class capital transactions | $ | 1,131,644 | $ | — | $ | — | $ | — | ||||||||
E*Trade | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 648,507 | $ | 744,001 | ||||||||
Dividends and distributions reinvested | — | — | 378 | 177 | ||||||||||||
Cost of shares redeemed | — | — | (509,534 | ) | (556,869 | ) | ||||||||||
Change in net assets from E*Trade capital transactions | $ | — | $ | — | $ | 139,351 | $ | 187,309 | ||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 65,230,649 | $ | 38,303,795 | $ | 3,306,063 | $ | 4,333,619 | ||||||||
Dividends and distributions reinvested | 5,418 | 9,877 | 1,608 | 2,788 | ||||||||||||
Cost of shares redeemed | (66,112,487 | ) | (40,251,436 | ) | (3,944,633 | ) | (3,222,240 | ) | ||||||||
Change in net assets from Institutional Class capital transactions | $ | (876,420 | ) | $ | (1,937,764 | ) | $ | (636,962 | ) | $ | 1,114,167 | |||||
Morgan | ||||||||||||||||
Proceeds from shares issued | $ | 42,489,029 | $ | 66,420,507 | $ | 566,600 | $ | 573,073 | ||||||||
Dividends and distributions reinvested | 84 | 85 | 43 | 470 | ||||||||||||
Cost of shares redeemed | (42,491,534 | ) | (66,802,812 | ) | (596,901 | ) | (652,949 | ) | ||||||||
Change in net assets from Morgan capital transactions | $ | (2,421 | ) | $ | (382,220 | ) | $ | (30,258 | ) | $ | (79,406 | ) | ||||
Premier | ||||||||||||||||
Proceeds from shares issued | $ | 11,237,738 | $ | 12,742,221 | $ | 198,265 | $ | 430,721 | ||||||||
Dividends and distributions reinvested | 59 | 158 | 10 | 128 | ||||||||||||
Cost of shares redeemed | (11,912,760 | ) | (14,777,054 | ) | (250,665 | ) | (342,252 | ) | ||||||||
Change in net assets from Premier capital transactions | $ | (674,963 | ) | $ | (2,034,675 | ) | $ | (52,390 | ) | $ | 88,597 | |||||
Reserve | ||||||||||||||||
Proceeds from shares issued | $ | 33,749,575 | $ | 32,576,908 | $ | 18,626,576 | $ | 24,541,808 | ||||||||
Dividends and distributions reinvested | 113 | 19 | 3 | 21 | ||||||||||||
Cost of shares redeemed | (33,654,208 | ) | (34,844,387 | ) | (18,692,063 | ) | (24,554,674 | ) | ||||||||
Change in net assets from Reserve capital transactions | $ | 95,480 | $ | (2,267,460 | ) | $ | (65,484 | ) | $ | (12,845 | ) | |||||
Service | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 6,862,664 | $ | 11,161,613 | ||||||||
Dividends and distributions reinvested | — | — | 41 | — | (b) | |||||||||||
Cost of shares redeemed | — | — | (6,962,876 | ) | (10,836,733 | ) | ||||||||||
Change in net assets from Service capital transactions | $ | — | $ | — | $ | (100,171 | ) | $ | 324,880 | |||||||
Total change in net assets from capital transactions | $ | (597,066 | ) | $ | (6,971,787 | ) | $ | (844,372 | ) | $ | 1,680,045 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 89 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Tax Free Money Market Fund | Municipal Money Market Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Agency | ||||||||||||||||
Issued | 2,281,248 | 3,292,343 | 91,864 | 488,132 | ||||||||||||
Reinvested | 254 | 481 | 29 | 61 | ||||||||||||
Redeemed | (2,551,888 | ) | (3,642,592 | ) | (190,351 | ) | (430,850 | ) | ||||||||
Change in Agency Shares | (270,386 | ) | (349,768 | ) | (98,458 | ) | 57,343 | |||||||||
Direct (a) | ||||||||||||||||
Issued | — | 100 | — | — | ||||||||||||
Reinvested | — | (b) | — | (b) | — | — | ||||||||||
Change in Direct Shares | — | (b) | 100 | — | — | |||||||||||
Eagle Class (c) | ||||||||||||||||
Issued | 1,603,033 | — | — | — | ||||||||||||
Reinvested | 261 | — | — | — | ||||||||||||
Redeemed | (471,650 | ) | — | — | — | |||||||||||
Change in Eagle Class Shares | 1,131,644 | — | — | — | ||||||||||||
E*Trade | ||||||||||||||||
Issued | — | — | 648,507 | 744,001 | ||||||||||||
Reinvested | — | — | 378 | 177 | ||||||||||||
Redeemed | — | — | (509,534 | ) | (556,869 | ) | ||||||||||
Change in E*Trade Shares | — | — | 139,351 | 187,309 | ||||||||||||
Institutional Class | ||||||||||||||||
Issued | 65,230,649 | 38,303,795 | 3,306,063 | 4,333,619 | ||||||||||||
Reinvested | 5,418 | 9,877 | 1,608 | 2,788 | ||||||||||||
Redeemed | (66,112,487 | ) | (40,251,436 | ) | (3,944,633 | ) | (3,222,240 | ) | ||||||||
Change in Institutional Class Shares | (876,420 | ) | (1,937,764 | ) | (636,962 | ) | 1,114,167 | |||||||||
Morgan | ||||||||||||||||
Issued | 42,489,029 | 66,420,507 | 566,600 | 573,073 | ||||||||||||
Reinvested | 84 | 85 | 43 | 470 | ||||||||||||
Redeemed | (42,491,534 | ) | (66,802,812 | ) | (596,901 | ) | (652,949 | ) | ||||||||
Change in Morgan Shares | (2,421 | ) | (382,220 | ) | (30,258 | ) | (79,406 | ) | ||||||||
Premier | ||||||||||||||||
Issued | 11,237,738 | 12,742,221 | 198,265 | 430,721 | ||||||||||||
Reinvested | 59 | 158 | 10 | 128 | ||||||||||||
Redeemed | (11,912,761 | ) | (14,777,054 | ) | (250,665 | ) | (342,252 | ) | ||||||||
Change in Premier Shares | (674,964 | ) | (2,034,675 | ) | (52,390 | ) | 88,597 | |||||||||
Reserve | ||||||||||||||||
Issued | 33,749,575 | 32,576,908 | 18,626,576 | 24,541,808 | ||||||||||||
Reinvested | 113 | 19 | 3 | 21 | ||||||||||||
Redeemed | (33,654,208 | ) | (34,844,387 | ) | (18,692,063 | ) | (24,554,674 | ) | ||||||||
Change in Reserve Shares | 95,480 | (2,267,460 | ) | (65,484 | ) | (12,845 | ) | |||||||||
Service | ||||||||||||||||
Issued | — | — | 6,862,664 | 11,161,613 | ||||||||||||
Reinvested | — | — | 41 | — | (b) | |||||||||||
Redeemed | — | — | (6,962,876 | ) | (10,836,733 | ) | ||||||||||
Change in Service Shares | — | — | (100,171 | ) | 324,880 | |||||||||||
| (a) | Commencement of offering of class of shares effective July 17, 2009 for Tax Free Money Market Fund. |
| (b) | Amount rounds to less than 1,000 (Shares or dollars). |
| (c) | Commencement of offering of class of shares effective May 10, 2010 for Tax Free Money Market Fund |
SEE NOTES TO FINANCIAL STATEMENTS.
| 90 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 91 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Prime Money Market Fund | ||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Cash Management | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Direct | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 17, 2009 (i) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Eagle Class | ||||||||||||||||||||||||||||
May 10, 2010 (i) through February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | Includes insurance expense of 0.02%. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Includes insurance expense of 0.01%. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||
| Net asset value, end of period | Total return (b) | period | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.01 | % | $ | 4,473 | 0.31 | % | 0.01 | % | 1.16 | % | |||||||||||
| 1.00 | 0.00 | (e) | 6,932 | 0.59 | (f) | 0.00 | (e) | 1.17 | ||||||||||||||
| 1.00 | 1.62 | 13,709 | 0.99 | (f) | 1.52 | 1.17 | ||||||||||||||||
| 1.00 | 4.28 | (g) | 7,903 | 0.97 | 4.18 | 1.17 | ||||||||||||||||
| 1.00 | 4.31 | 6,161 | 0.97 | 4.26 | 1.18 | |||||||||||||||||
| 1.00 | 0.01 | 12,361 | 0.32 | 0.01 | 1.16 | |||||||||||||||||
| 1.00 | 0.00 | (e) | 6,723 | 0.58 | (f) | 0.00 | (e) | 1.17 | ||||||||||||||
| 1.00 | 1.62 | 11,057 | 0.99 | (f) | 1.52 | 1.17 | ||||||||||||||||
| 1.00 | 4.28 | (g) | 5,887 | 0.97 | 4.11 | 1.17 | ||||||||||||||||
| 1.00 | 4.31 | 1,497 | 0.97 | 4.33 | 1.17 | |||||||||||||||||
| 1.00 | 0.07 | 12,815,353 | 0.26 | 0.07 | 0.31 | |||||||||||||||||
| 1.00 | 0.26 | 11,341,161 | 0.28 | (f) | 0.27 | 0.32 | ||||||||||||||||
| 1.00 | 2.34 | 14,591,611 | 0.27 | (h) | 2.27 | 0.32 | ||||||||||||||||
| 1.00 | 5.02 | (g) | 10,640,542 | 0.26 | 4.88 | 0.32 | ||||||||||||||||
| 1.00 | 5.05 | 10,626,102 | 0.26 | 4.95 | 0.33 | |||||||||||||||||
| 1.00 | 0.15 | 76,648,261 | 0.18 | 0.14 | 0.21 | |||||||||||||||||
| 1.00 | 0.35 | 86,818,790 | 0.18 | (h) | 0.35 | 0.22 | ||||||||||||||||
| 1.00 | 2.44 | 82,462,192 | 0.18 | (f) | 2.30 | 0.22 | ||||||||||||||||
| 1.00 | 5.12 | (g) | 43,128,647 | 0.16 | 4.98 | 0.22 | ||||||||||||||||
| 1.00 | 5.15 | 38,644,921 | 0.16 | 5.06 | 0.23 | |||||||||||||||||
| 1.00 | 0.01 | 565,910 | 0.32 | 0.01 | 0.96 | |||||||||||||||||
| 1.00 | 0.00 | (e) | 385,509 | 0.53 | (h) | 0.00 | (e) | 0.97 | ||||||||||||||
| 1.00 | 1.63 | 334,078 | 0.97 | (h) | 1.52 | 0.97 | ||||||||||||||||
| 1.00 | 4.28 | (g) | 323,442 | 0.96 | 4.27 | 0.97 | ||||||||||||||||
| 1.00 | 4.32 | 28,464 | 0.96 | 4.19 | 0.98 | |||||||||||||||||
| 1.00 | 0.03 | 1,183,658 | 0.29 | 0.03 | 0.31 | |||||||||||||||||
| 1.00 | 0.04 | 1,009,356 | 0.30 | 0.04 | 0.30 | |||||||||||||||||
| 1.00 | 0.01 | 1,207,045 | 0.41 | 0.01 | 0.88 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 93 | ||||||
Table of Contents
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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Prime Money Market Fund (continued) | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Investor | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 1, 2009 (i) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Service | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 1, 2009 (i) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | Includes insurance expense of 0.02%. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Includes insurance expense of 0.01%. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||
| Net asset value, end of period | Total return (b) | period | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.12 | % | $ | 29,886,053 | 0.21 | % | 0.11 | % | 0.26 | % | |||||||||||
| 1.00 | 0.32 | 39,053,068 | 0.22 | (h) | 0.32 | 0.27 | ||||||||||||||||
| 1.00 | 2.40 | 45,721,168 | 0.22 | (f) | 2.28 | 0.27 | ||||||||||||||||
| 1.00 | 5.08 | (g) | 28,355,614 | 0.20 | 4.95 | 0.27 | ||||||||||||||||
| 1.00 | 5.11 | 25,408,596 | 0.20 | 5.01 | 0.28 | |||||||||||||||||
| 1.00 | 0.01 | 480,917 | 0.32 | 0.01 | 0.51 | |||||||||||||||||
| 1.00 | 0.00 | (e) | 613,967 | 0.32 | 0.00 | (e) | 0.50 | |||||||||||||||
| 1.00 | 0.01 | 2,936,414 | 0.31 | 0.01 | 0.51 | |||||||||||||||||
| 1.00 | 0.10 | 3,892,404 | 0.45 | (f) | 0.13 | 0.52 | ||||||||||||||||
| 1.00 | 2.09 | 7,939,483 | 0.52 | (f) | 2.05 | 0.52 | ||||||||||||||||
| 1.00 | 4.75 | (g) | 7,199,661 | 0.51 | 4.64 | 0.52 | ||||||||||||||||
| 1.00 | 4.79 | 5,961,657 | 0.51 | 4.72 | 0.53 | |||||||||||||||||
| 1.00 | 0.01 | 5,021,450 | 0.31 | 0.01 | 0.46 | |||||||||||||||||
| 1.00 | 0.13 | 5,852,367 | 0.42 | (f) | 0.14 | 0.47 | ||||||||||||||||
| 1.00 | 2.14 | 10,888,362 | 0.47 | (f) | 2.08 | 0.47 | ||||||||||||||||
| 1.00 | 4.82 | (g) | 9,105,808 | 0.45 | 4.72 | 0.47 | ||||||||||||||||
| 1.00 | 4.85 | 7,844,932 | 0.45 | 4.75 | 0.48 | |||||||||||||||||
| 1.00 | 0.01 | 1,781,936 | 0.31 | 0.01 | 0.71 | |||||||||||||||||
| 1.00 | 0.04 | 2,569,511 | 0.52 | (f) | 0.04 | 0.72 | ||||||||||||||||
| 1.00 | 1.89 | 3,927,075 | 0.72 | (f) | 1.74 | 0.72 | ||||||||||||||||
| 1.00 | 4.56 | (g) | 1,901,561 | 0.70 | 4.46 | 0.72 | ||||||||||||||||
| 1.00 | 4.59 | 461,798 | 0.70 | 4.49 | 0.73 | |||||||||||||||||
| 1.00 | 0.01 | 1,088,239 | 0.31 | 0.01 | 1.06 | |||||||||||||||||
| 1.00 | 0.00 | (e) | 1,007,290 | 0.32 | 0.00 | (e) | 1.05 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 95 | ||||||
Table of Contents
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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Liquid Assets Money Market Fund | ||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
E*Trade | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
January 8, 2009 (j) through February 28, 2009 | 1.00 | — | (d) | — | — | (d) | — | (d) | — | — | (d) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | Includes insurance expense of 0.02%. |
| (g) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (h) | Includes interest expense of 0.01%. |
| (i) | Includes insurance expense of 0.01%. |
| (j) | Commencement of offering of class of shares. |
| (k) | Includes insurance expense of 0.03%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 96 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||
| Net asset value, end of period | Total return (b) | end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.02 | % | $ | 9,102 | 0.33 | % | 0.01 | % | 1.17 | % | |||||||||||
| 1.00 | 0.00 | (e) | 17,713 | 0.63 | (f) | 0.00 | (e) | 1.18 | ||||||||||||||
| 1.00 | 1.71 | 34,781 | 0.99 | (f) | 1.57 | 1.19 | ||||||||||||||||
| 1.00 | 4.29 | (g) | 19,010 | 0.98 | (h) | 4.20 | 1.18 | |||||||||||||||
| 1.00 | 4.30 | 18,717 | 0.97 | 4.23 | 1.19 | |||||||||||||||||
| 1.00 | 0.02 | 419,195 | 0.33 | 0.01 | 1.18 | |||||||||||||||||
| 1.00 | 0.00 | (e) | 420,552 | 0.59 | (f) | �� | 0.00 | (e) | 1.18 | |||||||||||||
| 1.00 | 1.71 | 468,725 | 0.98 | (i) | 1.74 | 1.18 | ||||||||||||||||
| 1.00 | 4.29 | (g) | 616,746 | 0.98 | (h) | 4.17 | 1.18 | |||||||||||||||
| 1.00 | 4.29 | 494,963 | 0.97 | 4.20 | 1.19 | |||||||||||||||||
| 1.00 | 0.09 | 415,248 | 0.26 | 0.08 | 0.33 | |||||||||||||||||
| 1.00 | 0.30 | 308,594 | 0.28 | (f) | 0.31 | 0.33 | ||||||||||||||||
| 1.00 | 2.43 | 451,480 | 0.27 | (i) | 2.42 | 0.33 | ||||||||||||||||
| 1.00 | 5.03 | (g) | 499,591 | 0.26 | 4.86 | 0.33 | ||||||||||||||||
| 1.00 | 5.03 | 183,392 | 0.26 | 4.94 | 0.34 | |||||||||||||||||
| 1.00 | 0.17 | 2,296,780 | 0.18 | 0.16 | 0.22 | |||||||||||||||||
| 1.00 | 0.40 | 3,953,966 | 0.19 | (f) | 0.39 | 0.23 | ||||||||||||||||
| 1.00 | 2.53 | 3,953,504 | 0.18 | (f) | 2.40 | 0.23 | ||||||||||||||||
| 1.00 | 5.14 | (g) | 2,441,114 | 0.16 | 4.94 | 0.23 | ||||||||||||||||
| 1.00 | 5.14 | 1,663,573 | 0.16 | 5.02 | 0.24 | |||||||||||||||||
| 1.00 | 0.06 | 187,244 | 0.29 | 0.05 | 1.07 | |||||||||||||||||
| 1.00 | 0.03 | 179,380 | 0.32 | 0.05 | 1.06 | |||||||||||||||||
| 1.00 | 0.06 | 1,761 | 1.03 | (k) | 0.21 | 1.09 | ||||||||||||||||
| 1.00 | 0.14 | 2,183,936 | 0.21 | 0.13 | 0.27 | |||||||||||||||||
| 1.00 | 0.36 | 2,438,682 | 0.22 | (f) | 0.33 | 0.28 | ||||||||||||||||
| 1.00 | 2.49 | 2,047,234 | 0.22 | (f) | 2.36 | 0.28 | ||||||||||||||||
| 1.00 | 5.10 | (g) | 1,211,750 | 0.20 | 5.01 | 0.28 | ||||||||||||||||
| 1.00 | 5.10 | 1,670,013 | 0.20 | 4.96 | 0.29 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 97 | ||||||
Table of Contents
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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Liquid Assets Money Market Fund (continued) | ||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Service | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
| (a) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (b) | Amount rounds to less than $0.01. |
| (c) | Amount rounds to less than 0.01%. |
| (d) | Includes insurance expense of 0.02%. |
| (e) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (f) | Includes interest expense of 0.01%. |
| (g) | Includes insurance expense of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 98 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||
| Net asset value, end of period | Total return | end of period (000’s) | Net expenses (a) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.02 | % | $ | 491,592 | 0.33 | % | 0.01 | % | 0.52 | % | |||||||||||
| 1.00 | 0.12 | 572,388 | 0.47 | (d) | 0.14 | 0.53 | ||||||||||||||||
| 1.00 | 2.17 | 714,135 | 0.52 | (g) | 2.16 | 0.53 | ||||||||||||||||
| 1.00 | 4.77 | (e) | 745,382 | 0.51 | 4.74 | 0.53 | ||||||||||||||||
| 1.00 | 4.77 | 1,841,427 | 0.51 | 4.69 | 0.54 | |||||||||||||||||
| 1.00 | 0.02 | 2,964,774 | 0.33 | 0.01 | 0.62 | |||||||||||||||||
| 1.00 | 0.09 | 3,141,289 | 0.49 | (d) | 0.09 | 0.63 | ||||||||||||||||
| 1.00 | 2.09 | 3,567,073 | 0.60 | (g) | 2.05 | 0.63 | ||||||||||||||||
| 1.00 | 4.69 | (e) | 3,322,087 | 0.60 | (f) | 4.57 | 0.63 | |||||||||||||||
| 1.00 | 4.69 | 2,783,868 | 0.59 | 4.62 | 0.64 | |||||||||||||||||
| 1.00 | 0.02 | 231,302 | 0.33 | 0.01 | 0.47 | |||||||||||||||||
| 1.00 | 0.15 | 317,407 | 0.44 | (d) | 0.16 | 0.48 | ||||||||||||||||
| 1.00 | 2.23 | 660,906 | 0.46 | (g) | 2.27 | 0.48 | ||||||||||||||||
| 1.00 | 4.84 | (e) | 754,089 | 0.45 | 4.68 | 0.48 | ||||||||||||||||
| 1.00 | 4.84 | 545,911 | 0.45 | 4.77 | 0.49 | |||||||||||||||||
| 1.00 | 0.02 | 286,293 | 0.33 | 0.01 | 0.72 | |||||||||||||||||
| 1.00 | 0.05 | 380,945 | 0.57 | (d) | 0.07 | 0.73 | ||||||||||||||||
| 1.00 | 1.98 | 832,849 | 0.71 | (g) | 2.09 | 0.73 | ||||||||||||||||
| 1.00 | 4.57 | (e) | 1,951,990 | 0.71 | (f) | 4.48 | 0.73 | |||||||||||||||
| 1.00 | 4.58 | 1,461,304 | 0.70 | 4.41 | 0.74 | |||||||||||||||||
| 1.00 | 0.02 | 216,160 | 0.33 | 0.01 | 1.07 | |||||||||||||||||
| 1.00 | 0.00 | (c) | 352,780 | 0.64 | (d) | 0.00 | (c) | 1.08 | ||||||||||||||
| 1.00 | 1.62 | 768,490 | 1.07 | (d) | 1.43 | 1.09 | ||||||||||||||||
| 1.00 | 4.23 | (e) | 17 | 1.04 | 4.14 | 1.08 | ||||||||||||||||
| 1.00 | 4.27 | 16 | 1.00 | 4.19 | 1.09 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 99 | ||||||
Table of Contents
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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Direct | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 17, 2009 (j) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Investor | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 1, 2009 (j) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | — | ||||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | An affiliate reimbursed the Fund for losses incurred from an operational error. The effect was less than 0.01%. |
| (g) | Includes insurance expense of 0.01%. |
| (h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (i) | Includes insurance expense of 0.02%. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 100 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||
| Net asset value, end of period | Total return (b) | end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.02 | % | $ | 7,720,013 | 0.24 | % | 0.00 | %(e) | 0.31 | % | |||||||||||
| 1.00 | 0.13 | (f) | 8,057,013 | 0.26 | 0.14 | 0.31 | (f) | |||||||||||||||
| 1.00 | 1.81 | 12,778,607 | 0.27 | (g) | 1.60 | 0.32 | ||||||||||||||||
| 1.00 | 4.82 | (h) | 5,168,268 | 0.26 | 4.65 | 0.32 | ||||||||||||||||
| 1.00 | 5.00 | 3,890,478 | 0.26 | 4.91 | 0.33 | |||||||||||||||||
| 1.00 | 0.08 | 34,776,795 | 0.18 | 0.06 | 0.21 | |||||||||||||||||
| 1.00 | 0.21 | (f) | 38,504,450 | 0.17 | 0.22 | 0.21 | (f) | |||||||||||||||
| 1.00 | 1.92 | 53,014,849 | 0.18 | (i) | 1.58 | 0.22 | ||||||||||||||||
| 1.00 | 4.92 | (h) | 15,643,602 | 0.16 | 4.64 | 0.21 | ||||||||||||||||
| 1.00 | 5.10 | 6,985,294 | 0.16 | 4.94 | 0.23 | |||||||||||||||||
| 1.00 | 0.02 | 377,821 | 0.24 | 0.00 | (e) | 0.31 | ||||||||||||||||
| 1.00 | 0.01 | (f) | 88,599 | 0.27 | 0.01 | 0.30 | (f) | |||||||||||||||
| 1.00 | 0.05 | 11,591,430 | 0.21 | 0.03 | 0.26 | |||||||||||||||||
| 1.00 | 0.18 | (f) | 19,839,937 | 0.21 | 0.18 | 0.26 | (f) | |||||||||||||||
| 1.00 | 1.88 | 24,864,451 | 0.22 | (i) | 1.56 | 0.27 | ||||||||||||||||
| 1.00 | 4.88 | (h) | 7,023,964 | 0.20 | 4.58 | 0.26 | ||||||||||||||||
| 1.00 | 5.06 | 2,065,993 | 0.20 | 4.94 | 0.28 | |||||||||||||||||
| 1.00 | 0.02 | 3,266,727 | 0.24 | 0.00 | (e) | 0.51 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 3,438,538 | 0.25 | 0.00 | (e) | 0.50 | (f) | ||||||||||||||
| 1.00 | 0.02 | 2,381,884 | 0.24 | 0.00 | (e) | 0.61 | ||||||||||||||||
| 1.00 | 0.01 | (f) | 2,307,416 | 0.41 | 0.01 | 0.61 | (f) | |||||||||||||||
| 1.00 | 1.48 | 4,990,436 | 0.60 | (g) | 1.39 | 0.62 | ||||||||||||||||
| 1.00 | 4.48 | (h) | 3,356,978 | 0.59 | 4.38 | 0.62 | ||||||||||||||||
| 1.00 | 4.65 | 3,245,121 | 0.59 | 4.58 | 0.63 | |||||||||||||||||
| 1.00 | 0.02 | 4,769,530 | 0.24 | 0.00 | (e) | 0.46 | ||||||||||||||||
| 1.00 | 0.04 | (f) | 5,162,992 | 0.35 | 0.03 | 0.46 | (f) | |||||||||||||||
| 1.00 | 1.62 | 3,389,001 | 0.46 | (g) | 1.47 | 0.47 | ||||||||||||||||
| 1.00 | 4.62 | (h) | 1,856,533 | 0.45 | 4.49 | 0.47 | ||||||||||||||||
| 1.00 | 4.80 | 1,624,006 | 0.45 | 4.69 | 0.48 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 101 | ||||||
Table of Contents
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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
U.S. Government Money Market Fund (continued) |
| |||||||||||||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Service | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | — | — | ||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
| (a) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (b) | Amount rounds to less than $0.01. |
| (c) | Amount rounds to less than 0.01%. |
| (d) | An affiliate reimbursed the Fund for losses incurred from an operational error. The effect was less than 0.01%. |
| (e) | Includes insurance expense of 0.01%. |
| (f) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 102 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||
| Net asset value, end of period | Total return | end of period (000’s) | Net expenses (a) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.02 | % | $ | 44,382 | 0.24 | % | 0.00 | %(c) | 0.71 | % | |||||||||||
| 1.00 | 0.00 | (c)(d) | 65,425 | 0.43 | 0.00 | (c) | 0.71 | (d) | ||||||||||||||
| 1.00 | 1.37 | 181,072 | 0.71 | (e) | 1.47 | 0.71 | ||||||||||||||||
| 1.00 | 4.36 | (f) | 280,327 | 0.70 | 4.30 | 0.72 | ||||||||||||||||
| 1.00 | �� | 4.54 | 343,592 | 0.70 | 4.37 | 0.73 | ||||||||||||||||
| 1.00 | 0.02 | 561,970 | 0.24 | 0.00 | (c) | 1.06 | ||||||||||||||||
| 1.00 | 0.00 | (d) | 495,606 | 0.39 | 0.00 | (c) | 1.06 | (d) | ||||||||||||||
| 1.00 | 1.04 | 597,506 | 1.00 | (e) | 0.44 | 1.07 | ||||||||||||||||
| 1.00 | 4.01 | (f) | 252 | 1.05 | 3.00 | 1.06 | ||||||||||||||||
| 1.00 | 4.23 | 16 | 1.00 | 4.15 | 1.07 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 103 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
U.S. Treasury Plus Money Market Fund | ||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | — | ||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | — | ||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Direct | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 17, 2009 (i) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Investor | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | Includes insurance expense of 0.01%. |
| (g) | Includes insurance expense of 0.02%. |
| (h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (i) | Commencement of offering of class of shares. |
| (j) | An affiliate reimbursed the Fund for losses incurred from an operational error. The effect was less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 104 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| 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 | |||||||||||||||||
| $ | 1.00 | 0.01 | % | $ | 617 | 0.21 | % | 0.00 | (e)% | 1.16 | % | |||||||||||
| 1.00 | 0.00 | (j) | 1,192 | 0.28 | (f) | 0.00 | (e) | 1.16 | (j) | |||||||||||||
| 1.00 | 0.58 | 1,814 | 0.69 | (g) | 0.46 | 1.17 | ||||||||||||||||
| 1.00 | 3.63 | (h) | 1,542 | 0.97 | 3.60 | 1.17 | ||||||||||||||||
| 1.00 | 4.22 | 1,528 | 0.97 | 4.15 | 1.18 | |||||||||||||||||
| 1.00 | 0.01 | 175,024 | 0.21 | 0.00 | (e) | 1.16 | ||||||||||||||||
| 1.00 | 0.00 | (j) | 91,807 | 0.30 | (f) | 0.00 | (e) | 1.17 | (j) | |||||||||||||
| 1.00 | 0.58 | 161,891 | 0.68 | (g) | 0.44 | 1.18 | ||||||||||||||||
| 1.00 | 3.63 | (h) | 93,532 | 0.97 | 3.21 | 1.17 | ||||||||||||||||
| 1.00 | 4.22 | 28,026 | 0.97 | 4.18 | 1.18 | |||||||||||||||||
| 1.00 | 0.01 | 2,052,542 | 0.21 | 0.00 | (e) | 0.31 | ||||||||||||||||
| 1.00 | 0.05 | (j) | 2,216,299 | 0.23 | (f) | 0.05 | 0.31 | (j) | ||||||||||||||
| 1.00 | 1.05 | 2,824,679 | �� | 0.28 | (g) | 0.72 | 0.33 | |||||||||||||||
| 1.00 | 4.37 | (h) | 1,019,655 | 0.26 | 4.13 | 0.32 | ||||||||||||||||
| 1.00 | 4.96 | 896,961 | 0.26 | 4.85 | 0.33 | |||||||||||||||||
| 1.00 | 0.01 | 1,197,068 | 0.21 | 0.00 | (e) | 0.31 | ||||||||||||||||
| 1.00 | 0.00 | (e)(j) | 916,720 | 0.18 | 0.00 | (e) | 0.30 | (j) | ||||||||||||||
| 1.00 | 0.02 | 5,796,795 | 0.20 | 0.01 | 0.26 | |||||||||||||||||
| 1.00 | 0.08 | (j) | 7,994,678 | 0.20 | (f) | 0.09 | 0.26 | (j) | ||||||||||||||
| 1.00 | 1.12 | 12,044,908 | 0.22 | (g) | 0.73 | 0.28 | ||||||||||||||||
| 1.00 | 4.43 | (h) | 6,073,940 | 0.20 | 3.92 | 0.27 | ||||||||||||||||
| 1.00 | 5.03 | 1,009,749 | 0.20 | 4.87 | 0.28 | |||||||||||||||||
| 1.00 | 0.01 | 461,529 | 0.21 | 0.00 | (e) | 0.51 | ||||||||||||||||
| 1.00 | 0.00 | (e)(j) | 861,277 | 0.29 | (f) | 0.00 | (e) | 0.52 | (j) | |||||||||||||
| 1.00 | 0.84 | 1,126,084 | 0.49 | (f) | 0.84 | 0.52 | ||||||||||||||||
| 1.00 | 4.11 | (h) | 1,370,557 | 0.51 | 4.11 | 0.52 | ||||||||||||||||
| 1.00 | 4.70 | 1,854,344 | 0.51 | 4.60 | 0.53 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 105 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
U.S. Treasury Plus Money Market Fund (continued) | ||||||||||||||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | �� | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | |||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | — | — | (d) | |||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Service | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | — | (d) | — | (d) | — | (d) | — | (d) | ||||||||||||||||
July 1, 2009 (i) through February 28, 2010 | 1.00 | — | — | (d) | — | (d) | — | — | — | |||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | Includes insurance expense of 0.01%. |
| (g) | Includes insurance expense of 0.02%. |
| (h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (i) | Commencement of offering of class of shares. |
| (j) | An affiliate reimbursed the Fund for losses incurred from an operational error. The effect was less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 106 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| 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 | |||||||||||||||||
| $ | 1.00 | 0.01 | % | $ | 875,074 | 0.21 | % | 0.00 | (e)% | 0.61 | % | |||||||||||
| 1.00 | 0.00 | (e)(j) | 981,399 | 0.29 | (f) | 0.00 | (e) | 0.61 | (j) | |||||||||||||
| 1.00 | 0.79 | 1,648,642 | 0.53 | (g) | 0.75 | 0.62 | ||||||||||||||||
| 1.00 | 4.02 | (h) | 1,939,331 | 0.59 | 3.95 | 0.62 | ||||||||||||||||
| 1.00 | 4.62 | 1,909,921 | 0.59 | 4.59 | 0.63 | |||||||||||||||||
| 1.00 | 0.01 | 720,085 | 0.21 | 0.00 | (e) | 0.46 | ||||||||||||||||
| 1.00 | 0.00 | (e)(j) | 860,500 | 0.28 | (f) | 0.00 | (e) | 0.46 | (j) | |||||||||||||
| 1.00 | 0.88 | 1,393,368 | 0.45 | (g) | 0.77 | 0.47 | ||||||||||||||||
| 1.00 | 4.17 | (h) | 1,132,622 | 0.45 | 4.07 | 0.47 | ||||||||||||||||
| 1.00 | 4.76 | 1,424,189 | 0.45 | 4.68 | 0.48 | |||||||||||||||||
| 1.00 | 0.01 | 1,074,397 | 0.21 | 0.00 | (e) | 0.71 | ||||||||||||||||
| 1.00 | 0.00 | (j) | 1,223,618 | 0.29 | (f) | 0.00 | (e) | 0.71 | (j) | |||||||||||||
| 1.00 | 0.72 | 2,020,603 | 0.57 | (g) | 0.54 | 0.73 | ||||||||||||||||
| 1.00 | 3.91 | (h) | 1,231,644 | 0.70 | 3.85 | 0.72 | ||||||||||||||||
| 1.00 | 4.50 | 876,221 | 0.70 | 4.36 | 0.73 | |||||||||||||||||
| 1.00 | 0.01 | 100 | 0.21 | 0.00 | (e) | 1.06 | ||||||||||||||||
| 1.00 | 0.00 | (j) | 100 | 0.21 | 0.00 | (e) | 1.05 | (j) | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 107 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Federal Money Market Fund | ||||||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (b) | 0.05 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | — | — | ||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
| (a) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (b) | Amount rounds to less than $0.01. |
| (c) | Amount rounds to less than 0.01%. |
| (d) | Includes insurance expense of 0.02%. |
| (e) | Includes insurance expense of 0.01%. |
| (f) | An affiliate reimbursed the Fund for losses incurred from an operational error. The effect was less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 108 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| 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 (a) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.02 | % | $ | 1,070,681 | 0.22 | % | 0.00 | %(c) | 0.31 | % | |||||||||||
| 1.00 | 0.11 | (f) | 1,371,397 | 0.26 | 0.11 | 0.31 | (f) | |||||||||||||||
| 1.00 | 1.76 | 1,583,121 | 0.28 | (d) | 1.50 | 0.32 | ||||||||||||||||
| 1.00 | 4.77 | 570,445 | 0.26 | 4.47 | 0.32 | |||||||||||||||||
| 1.00 | 4.96 | 172,324 | 0.26 | 4.82 | 0.33 | |||||||||||||||||
| 1.00 | 0.04 | 5,169,215 | 0.21 | 0.02 | 0.26 | |||||||||||||||||
| 1.00 | 0.16 | (f) | 9,147,745 | 0.21 | (e) | 0.18 | 0.26 | (f) | ||||||||||||||
| 1.00 | 1.82 | 18,216,366 | 0.21 | (e) | 1.70 | 0.27 | ||||||||||||||||
| 1.00 | 4.83 | 13,536,697 | 0.20 | 4.64 | 0.27 | |||||||||||||||||
| 1.00 | 5.02 | 5,692,265 | 0.20 | 4.95 | 0.28 | |||||||||||||||||
| 1.00 | 0.02 | 260,943 | 0.22 | 0.00 | (c) | 0.61 | ||||||||||||||||
| 1.00 | 0.00 | (c)(f) | 171,067 | 0.38 | (e) | 0.00 | (c) | 0.61 | (f) | |||||||||||||
| 1.00 | 1.42 | 271,793 | 0.60 | (e) | 1.42 | 0.62 | ||||||||||||||||
| 1.00 | 4.42 | 295,739 | 0.59 | 4.29 | 0.62 | |||||||||||||||||
| 1.00 | 4.61 | 235,377 | 0.59 | 4.53 | 0.63 | |||||||||||||||||
| 1.00 | 0.02 | 669,328 | 0.22 | 0.00 | (c) | 0.46 | ||||||||||||||||
| 1.00 | 0.02 | (f) | 872,798 | 0.37 | (e) | 0.03 | 0.46 | (f) | ||||||||||||||
| 1.00 | 1.57 | 1,648,481 | 0.46 | (e) | 1.47 | 0.47 | ||||||||||||||||
| 1.00 | 4.57 | 1,128,873 | 0.45 | 4.41 | 0.47 | |||||||||||||||||
| 1.00 | 4.76 | 604,858 | 0.45 | 4.62 | 0.48 | |||||||||||||||||
| 1.00 | 0.02 | 6,455 | 0.23 | 0.00 | (c) | 0.71 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 107,259 | 0.38 | 0.00 | (c) | 0.71 | (f) | ||||||||||||||
| 1.00 | 1.32 | 74,937 | 0.70 | (d) | 1.06 | 0.72 | ||||||||||||||||
| 1.00 | 4.31 | 28,485 | 0.70 | 4.08 | 0.72 | |||||||||||||||||
| 1.00 | 4.50 | 1,251 | 0.70 | 4.45 | 0.73 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 109 | ||||||
Table of Contents
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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
100% U.S. Treasury Securities Money Market Fund |
| |||||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (d) | (0.05 | ) | |||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (d) | (0.05 | ) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.05 | — | (d) | 0.05 | (0.05 | ) | — | (d) | (0.05 | ) | |||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | — | (d) | — | (d) | — | — | — | |||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (d) | (0.04 | ) | |||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | — | (d) | — | (d) | — | — | — | |||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (d) | 0.04 | (0.04 | ) | — | (d) | (0.04 | ) | |||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (b) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (b) | — | (d) | — | — | — | ||||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.04 | — | (b) | 0.04 | (0.04 | ) | — | (d) | (0.04 | ) | |||||||||||||||||
Service | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 1, 2009 (h) through February 28, 2010 | 1.00 | — | — | (d) | — | (d) | — | — | — | |||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Amount rounds to less than 0.01%. |
| (f) | An affiliate reimbursed the Fund for losses incurred from an operational error. The effect was less than 0.01%. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 110 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| 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 | |||||||||||||||||
| $ | 1.00 | 0.01 | % | $ | 1,828,609 | 0.16 | % | 0.00 | (e)% | 0.31 | % | |||||||||||
| 1.00 | 0.00 | (e)(f) | 1,522,013 | 0.19 | 0.00 | (e) | 0.30 | (f) | ||||||||||||||
| 1.00 | 1.03 | 2,172,668 | 0.25 | 0.97 | 0.31 | |||||||||||||||||
| 1.00 | 4.13 | (g) | 1,306,725 | 0.26 | 3.94 | 0.32 | ||||||||||||||||
| 1.00 | 4.74 | 556,544 | 0.26 | 4.63 | 0.33 | |||||||||||||||||
| 1.00 | 0.01 | 5,104,707 | 0.16 | 0.00 | (e) | 0.21 | ||||||||||||||||
| 1.00 | 0.05 | (f) | 6,104,553 | 0.14 | 0.05 | 0.20 | (f) | |||||||||||||||
| 1.00 | 1.13 | 7,615,191 | 0.16 | 1.12 | 0.21 | |||||||||||||||||
| 1.00 | 4.24 | (g) | 7,761,701 | 0.16 | 3.75 | 0.22 | ||||||||||||||||
| 1.00 | 4.84 | 1,382,765 | 0.16 | 4.72 | 0.23 | |||||||||||||||||
| 1.00 | 0.01 | 6,677,266 | 0.16 | 0.00 | (e) | 0.26 | ||||||||||||||||
| 1.00 | 0.02 | (f) | 4,975,391 | 0.17 | 0.03 | 0.25 | (f) | |||||||||||||||
| 1.00 | 1.09 | 12,766,575 | 0.20 | 1.06 | 0.26 | |||||||||||||||||
| 1.00 | 4.20 | (g) | 13,006,895 | 0.20 | 3.75 | 0.27 | ||||||||||||||||
| 1.00 | 4.80 | 2,784,927 | 0.20 | 4.72 | 0.28 | |||||||||||||||||
| 1.00 | 0.01 | 1,391,343 | 0.16 | 0.00 | (e) | 0.61 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 1,313,218 | 0.19 | 0.00 | (e) | 0.60 | (f) | ||||||||||||||
| 1.00 | 0.77 | 2,103,069 | 0.53 | 0.75 | 0.61 | |||||||||||||||||
| 1.00 | 3.79 | (g) | 2,359,306 | 0.59 | 3.67 | 0.62 | ||||||||||||||||
| 1.00 | 4.39 | 1,893,320 | 0.59 | 4.29 | 0.63 | |||||||||||||||||
| 1.00 | 0.01 | 1,760,070 | 0.16 | 0.00 | (e) | 0.46 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 1,974,357 | 0.19 | 0.00 | (e) | 0.45 | (f) | ||||||||||||||
| 1.00 | 0.87 | 3,629,348 | 0.41 | 0.80 | 0.46 | |||||||||||||||||
| 1.00 | 3.94 | (g) | 2,352,252 | 0.45 | 3.74 | 0.47 | ||||||||||||||||
| 1.00 | 4.54 | 1,291,467 | 0.45 | 4.45 | 0.48 | |||||||||||||||||
| 1.00 | 0.01 | 46,241 | 0.15 | 0.00 | (e) | 0.71 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 309,357 | 0.22 | 0.00 | (e) | 0.70 | (f) | ||||||||||||||
| 1.00 | 0.68 | 4,920,380 | 0.59 | 0.63 | 0.71 | |||||||||||||||||
| 1.00 | 3.68 | (g) | 3,763,803 | 0.70 | 3.33 | 0.72 | ||||||||||||||||
| 1.00 | 4.27 | 785,951 | 0.70 | 4.37 | 0.72 | |||||||||||||||||
| 1.00 | 0.01 | 100 | 0.16 | 0.00 | (e) | 1.06 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 100 | 0.16 | 0.00 | (e) | 1.05 | (f) | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 111 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Tax Free Money Market Fund | ||||||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | $ | — | (d) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Direct | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
July 17, 2009 (f) through February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Eagle Class | ||||||||||||||||||||||||||||
May 10, 2010 (f) through February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (d) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (d) | — | (d) | — | (d) | — | (d) | — | — | (d) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (d) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (d) | 0.03 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (d) | Amount rounds to less than $0.01. |
| (e) | Includes insurance expense of 0.02%. |
| (f) | Commencement of offering of class of shares. |
| (g) | Includes insurance expense of 0.03%. |
| (h) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 112 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||
| Net asset value, end of period | Total return (b) | Net assets, (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.08 | % | $ | 791,812 | 0.26 | % | 0.04 | % | 0.31 | % | |||||||||||
| 1.00 | 0.16 | 1,062,442 | 0.28 | (e) | 0.17 | 0.32 | ||||||||||||||||
| 1.00 | 1.64 | 1,412,071 | 0.28 | (e) | 1.57 | 0.33 | ||||||||||||||||
| 1.00 | 3.30 | 535,484 | 0.26 | 3.21 | 0.32 | |||||||||||||||||
| 1.00 | 3.31 | 288,068 | 0.26 | 3.26 | 0.32 | |||||||||||||||||
| 1.00 | 0.05 | 100 | 0.29 | 0.01 | 0.31 | |||||||||||||||||
| 1.00 | 0.02 | 100 | 0.30 | (e) | 0.04 | 0.31 | ||||||||||||||||
| 1.00 | 0.03 | 1,131,461 | 0.36 | 0.01 | 0.87 | |||||||||||||||||
| 1.00 | 0.13 | 10,925,258 | 0.21 | 0.09 | 0.26 | |||||||||||||||||
| 1.00 | 0.22 | 11,805,037 | 0.23 | (e) | 0.23 | 0.28 | ||||||||||||||||
| 1.00 | 1.70 | 13,741,504 | 0.22 | (e) | 1.72 | 0.27 | ||||||||||||||||
| 1.00 | 3.37 | 12,493,562 | 0.20 | 3.27 | 0.27 | |||||||||||||||||
| 1.00 | 3.37 | 8,255,381 | 0.20 | 3.32 | 0.27 | |||||||||||||||||
| 1.00 | 0.03 | 535,623 | 0.30 | 0.00 | (h) | 0.61 | ||||||||||||||||
| 1.00 | 0.02 | 538,168 | 0.45 | (g) | 0.03 | 0.63 | ||||||||||||||||
| 1.00 | 1.30 | 920,327 | 0.61 | (e) | 1.25 | 0.62 | ||||||||||||||||
| 1.00 | 2.96 | 758,385 | 0.59 | 2.93 | 0.62 | |||||||||||||||||
| 1.00 | 2.97 | 570,935 | 0.59 | 3.00 | 0.62 | |||||||||||||||||
| 1.00 | 0.03 | 2,710,731 | 0.30 | 0.00 | (h) | 0.46 | ||||||||||||||||
| 1.00 | 0.05 | 3,386,375 | 0.41 | (g) | 0.06 | 0.48 | ||||||||||||||||
| 1.00 | 1.45 | 5,420,621 | 0.47 | (e) | 1.40 | 0.47 | ||||||||||||||||
| 1.00 | 3.11 | 4,079,130 | 0.45 | 2.96 | 0.47 | |||||||||||||||||
| 1.00 | 3.10 | 2,078,846 | 0.45 | 3.07 | 0.47 | |||||||||||||||||
| 1.00 | 0.03 | 6,317,759 | 0.30 | 0.00 | (h) | 0.71 | ||||||||||||||||
| 1.00 | 0.00 | (i) | 6,223,699 | 0.45 | (e) | 0.01 | 0.73 | |||||||||||||||
| 1.00 | 1.19 | 8,490,457 | 0.72 | (e) | 1.17 | 0.72 | ||||||||||||||||
| 1.00 | 2.85 | 7,246,804 | 0.70 | 2.75 | 0.72 | |||||||||||||||||
| 1.00 | 2.86 | 4,631,440 | 0.70 | 2.92 | 0.72 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 113 | ||||||
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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 | ||||||||||||||||||||||
Municipal Money Market Fund | ||||||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 1.00 | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | $ | — | (b) | ||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
E*Trade | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Morgan | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Premier | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Reserve | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
Service | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Year Ended February 28, 2010 | 1.00 | — | (b) | — | (b) | — | (b) | — | (b) | — | — | (b) | ||||||||||||||||
Year Ended February 28, 2009 | 1.00 | 0.01 | — | (b) | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 1.00 | 0.02 | — | (b) | 0.02 | (0.02 | ) | — | (b) | (0.02 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 1.00 | 0.03 | — | (b) | 0.03 | (0.03 | ) | — | (b) | (0.03 | ) | |||||||||||||||||
| (a) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (b) | Amount rounds to less than $0.01. |
| (c) | Includes insurance expense of 0.01%. |
| (d) | Includes insurance expense of 0.02%. |
| (e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (f) | Amount rounds to less than 0.01%. |
| (g) | Includes insurance expense of 0.03%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 114 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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| 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 (a) | Net investment income (loss) | without waivers, reimbursements and earnings credits | |||||||||||||||||
| $ | 1.00 | 0.13 | % | $ | 31,324 | 0.26 | % | 0.12 | % | 0.32 | % | |||||||||||
| 1.00 | 0.37 | 129,810 | 0.27 | (c) | 0.28 | 0.33 | ||||||||||||||||
| 1.00 | 1.78 | 72,466 | 0.28 | (d) | 1.69 | 0.34 | ||||||||||||||||
| 1.00 | 3.33 | (e) | 19,577 | 0.26 | 3.20 | 0.34 | ||||||||||||||||
| 1.00 | 3.35 | 16,427 | 0.26 | 3.22 | 0.34 | |||||||||||||||||
| 1.00 | 0.02 | 1,696,495 | 0.36 | 0.01 | 1.07 | |||||||||||||||||
| 1.00 | 0.01 | 1,557,507 | 0.63 | (d) | 0.01 | 1.09 | ||||||||||||||||
| 1.00 | 1.06 | 1,370,189 | 0.99 | (d) | 1.08 | 1.09 | ||||||||||||||||
| 1.00 | 2.57 | (e) | 1,603,907 | 1.00 | 2.55 | 1.09 | ||||||||||||||||
| 1.00 | 2.59 | 1,723,433 | 1.00 | 2.60 | 1.08 | |||||||||||||||||
| 1.00 | 0.18 | 942,748 | 0.21 | 0.17 | 0.27 | |||||||||||||||||
| 1.00 | 0.42 | 1,580,078 | 0.22 | (c) | 0.34 | 0.28 | ||||||||||||||||
| 1.00 | 1.84 | 465,898 | 0.22 | (d) | 1.83 | 0.29 | ||||||||||||||||
| 1.00 | 3.39 | (e) | 647,885 | 0.20 | 3.37 | 0.29 | ||||||||||||||||
| 1.00 | 3.41 | 236,421 | 0.20 | 3.36 | 0.28 | |||||||||||||||||
| 1.00 | 0.01 | 320,868 | 0.37 | 0.00 | (f) | 0.62 | ||||||||||||||||
| 1.00 | 0.11 | 351,200 | 0.54 | (d) | 0.12 | 0.64 | ||||||||||||||||
| 1.00 | 1.45 | 430,604 | 0.61 | (d) | 1.41 | 0.64 | ||||||||||||||||
| 1.00 | 2.99 | (e) | 313,132 | 0.59 | 2.94 | 0.64 | ||||||||||||||||
| 1.00 | 3.01 | 315,046 | 0.59 | 2.97 | 0.63 | |||||||||||||||||
| 1.00 | 0.01 | 113,158 | 0.37 | 0.00 | (f) | 0.47 | ||||||||||||||||
| 1.00 | 0.20 | 165,573 | 0.44 | (c) | 0.14 | 0.48 | ||||||||||||||||
| 1.00 | 1.59 | 76,975 | 0.47 | (d) | 1.60 | 0.49 | ||||||||||||||||
| 1.00 | 3.13 | (e) | 126,250 | 0.45 | 3.25 | 0.49 | ||||||||||||||||
| 1.00 | 3.16 | 1,037,219 | 0.45 | 3.11 | 0.48 | |||||||||||||||||
| 1.00 | 0.01 | 59,602 | 0.37 | 0.00 | (f) | 0.72 | ||||||||||||||||
| 1.00 | 0.06 | 125,114 | 0.59 | (d) | 0.06 | 0.74 | ||||||||||||||||
| 1.00 | 1.34 | 137,957 | 0.71 | (c) | 1.36 | 0.74 | ||||||||||||||||
| 1.00 | 2.87 | (e) | 225,916 | 0.70 | 2.85 | 0.74 | ||||||||||||||||
| 1.00 | 2.90 | 113,653 | 0.70 | 2.85 | 0.73 | |||||||||||||||||
| 1.00 | 0.01 | 313,757 | 0.37 | 0.00 | (f) | 1.07 | ||||||||||||||||
| 1.00 | 0.00 | (f) | 414,008 | 0.49 | (c) | 0.00 | (f) | 1.07 | ||||||||||||||
| 1.00 | 1.01 | 89,126 | 1.03 | (g) | 0.78 | 1.10 | ||||||||||||||||
| 1.00 | 2.53 | (e) | 16 | 1.04 | 2.49 | 1.09 | ||||||||||||||||
| 1.00 | 2.59 | 15 | 1.00 | 2.55 | 1.09 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 115 | ||||||
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AS OF FEBRUARY 28, 2011
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 8 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Prime Money Market Fund | Class B, Class C, Agency, Capital, Cash Management, Direct, Eagle Class, Institutional Class, Investor, Morgan, Premier, Reserve and Service | JPM I | Diversified | |||
| Liquid Assets Money Market Fund | Class B, Class C, Agency, Capital, E*Trade, Institutional Class, Investor, Morgan, Premier, Reserve and Service | JPM II | Diversified | |||
| U.S. Government Money Market Fund | Agency, Capital, Direct, Institutional Class, Investor, Morgan, Premier, Reserve and Service | JPM II | Diversified | |||
| U.S. Treasury Plus Money Market Fund | Class B, Class C, Agency, Direct, Institutional Class, Investor, Morgan, Premier, Reserve and Service | JPM II | Diversified | |||
| Federal Money Market Fund | Agency, Institutional Class, Morgan, Premier and Reserve | JPM I | Diversified | |||
| 100% U.S. Treasury Securities Money Market Fund | Agency, Capital, Institutional Class, Morgan, Premier, Reserve and Service | JPM I | Diversified | |||
| Tax Free Money Market Fund | Agency, Direct, Eagle Class, Institutional Class, Morgan, Premier and Reserve | JPM I | Diversified | |||
| Municipal Money Market Fund | Agency, E*Trade, Institutional Class, Morgan, Premier, Reserve and Service | JPM II | Diversified |
Eagle Class Shares commenced operations on May 10, 2010, for Prime Money Market Fund and Tax Free Money Market Fund
Direct Shares commenced operations on July 17, 2009, for Prime Money Market Fund, U.S. Government Money Market Fund, U.S. Treasury Plus Money Market Fund and Tax Free Money Market Fund.
Investor Shares commenced operations on July 1, 2009, for Prime Money Market Fund and U.S. Government Money Market Fund.
Service Shares commenced operations on July 1, 2009, for Prime Money Market Fund, U.S. Treasury Plus Money Market Fund and 100% U.S. Treasury Securities Money Market Fund.
All share classes of the 100% U.S. Treasury Securities Money Market Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements.
Effective November 1, 2009, Class B Shares of the Prime Money Market Fund, Liquid Assets Money Market Fund and U.S. Treasury Plus Money Market Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Morgan Shares.
Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Morgan Shares after eight years. No sales charges are assessed with respect to the Agency, Capital, Cash Management, Direct, E*Trade, 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 distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates
A. Valuation of Investments — Each Fund has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act provided that certain conditions are met, including that the Fund’s Board of Trustees continues to believe that the amortized cost valuation method fairly reflects the market based net asset value per share of the Fund. This involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discounts 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 be expected to vary inversely with changes in prevailing interest rates.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
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A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in 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, 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 is a summary of the inputs used as of February 28, 2011, in valuing the Funds’ assets and liabilities carried at amortized cost which approximates fair value (amounts in thousands):
| Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Prime Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 133,808,785 | $ | — | $ | 133,808,785 | ||||||||
Liquid Assets Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 9,829,203 | $ | — | $ | 9,829,203 | ||||||||
U.S. Government Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 65,830,164 | $ | — | $ | 65,830,164 | ||||||||
U.S. Treasury Plus Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 12,336,976 | $ | — | $ | 12,336,976 | ||||||||
Federal Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 7,443,114 | $ | — | $ | 7,443,114 | ||||||||
100% U.S. Treasury Securities Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 18,105,390 | $ | — | $ | 18,105,390 | ||||||||
Tax Free Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 22,402,370 | $ | — | $ | 22,402,370 | ||||||||
Municipal Money Market Fund | ||||||||||||||||
Total Investments in Securities # | $ | — | $ | 3,473,817 | $ | — | $ | 3,473,817 | ||||||||
| # | All portfolio holdings designated as Level 2 are disclosed individually in the Schedules of Portfolio Investments (“SOIs”). Please refer to the SOIs for specifics of the major categories of portfolio holdings. |
For each of the Funds, there were no transfers between Levels 1 and 2 during the year ended February 28, 2011.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the value and percentage of net assets of illiquid securities as of February 28, 2011 (amounts in thousands):
| Value | Percentage | |||||||
Prime Money Market Fund | $ | 4,123,500 | 3.1 | % | ||||
Liquid Assets Money Market Fund | 310,000 | 3.2 | ||||||
U.S. Government Money Market Fund | 1,475,000 | 2.3 | ||||||
Tax Free Money Market Fund | 29,460 | 0.1 | ||||||
Municipal Money Market Fund | 83,125 | 2.4 | ||||||
C. Repurchase Agreements — The Funds may enter into repurchase agreement transactions with institutions that meet the advisor’s credit guidelines. Each repurchase agreement is valued at amortized cost. 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.
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 adjusted for amortization of premiums and accretion of discounts.
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 117 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
E. Allocation of Income and Expenses — In calculating the net asset value per share of each class, 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. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of a Trust are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
F. 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 of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
G. Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly. Dividends 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 dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. 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/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Prime Money Market Fund | $ | — | $ | (499 | ) | $ | 499 | |||||
Liquid Assets Money Market Fund | — | (301 | ) | 301 | ||||||||
U.S. Government Money Market Fund | — | (8,219 | ) | 8,219 | ||||||||
U.S. Treasury Plus Money Market Fund | (52 | ) | (1,406 | ) | 1,458 | |||||||
Federal Money Market Fund | — | (1,635 | ) | 1,635 | ||||||||
100% U.S. Treasury Securities Money Market Fund | — | (2,318 | ) | 2,318 | ||||||||
Tax Free Money Market Fund | — | 1,892 | (1,892 | ) | ||||||||
Municipal Money Market Fund | — | (7 | ) | 7 | ||||||||
The reclassifications for the Funds relate primarily to distribution reclassifications and prior year true-up (Municipal Money Market Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to Investment Advisory Agreement, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). The Advisor supervises the investments of each Fund and for such services is paid a fee. The Advisor’s fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is 0.08%.
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.10% of the first $100 billion of the average daily net assets of all money market funds in the J.P. Morgan Funds Complex and 0.05% of the average daily net assets in excess of $100 billion of all such funds. For the year ended February 28, 2011, the annual effective rate was 0.07% of each Fund’s average daily net assets.
The Administrator waived Administrative fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class B, Class C, Cash Management, Eagle Class, E*Trade, Morgan, Reserve, and Service Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Agency, Capital, Direct, Institutional
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Class, Investor and Premier Shares do not participate in the Distribution Plan. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class B | Class C | Cash Management | Eagle Class | E*Trade | Morgan | Reserve | Service | |||||||||||||||||||||||||
Prime Money Market Fund | 0.75 | % | 0.75 | % | 0.50 | % | 0.25 | % | n/a | n/a | 0.25 | % | 0.60 | % | ||||||||||||||||||
Liquid Assets Money Market Fund | 0.75 | 0.75 | n/a | n/a | 0.60 | % | 0.10 | % | 0.25 | 0.60 | ||||||||||||||||||||||
U.S. Government Money Market Fund | n/a | n/a | n/a | n/a | n/a | 0.10 | 0.25 | 0.60 | ||||||||||||||||||||||||
U.S. Treasury Plus Money Market Fund | 0.75 | 0.75 | n/a | n/a | n/a | 0.10 | 0.25 | 0.60 | ||||||||||||||||||||||||
Federal Money Market Fund | n/a | n/a | n/a | n/a | n/a | 0.10 | 0.25 | n/a | ||||||||||||||||||||||||
100% U.S. Treasury Securities Money Market Fund | n/a | n/a | n/a | n/a | n/a | 0.10 | 0.25 | 0.60 | ||||||||||||||||||||||||
Tax Free Money Market Fund | n/a | n/a | n/a | 0.25 | n/a | 0.10 | 0.25 | n/a | ||||||||||||||||||||||||
Municipal Money Market Fund | n/a | n/a | n/a | n/a | 0.60 | 0.10 | 0.25 | 0.60 | ||||||||||||||||||||||||
The Distributor waived Distribution fees as outlined in Note 3.F.
In addition, the Distributor is entitled to receive the CDSC from redemptions of Class B and Class C Shares. For the year ended February 28, 2011, the Distributor retained the following amounts (in thousands):
| CDSC | ||||
Prime Money Market Fund | $ | 14 | ||
Liquid Assets Money Market Fund | 50 | |||
U.S. Treasury Plus Money Market Fund | 5 | |||
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class B | Class C | Agency | Capital | Cash Management | Direct | Eagle Class | ||||||||||||||||||||||
Prime Money Market Fund | 0.25 | % | 0.25 | % | 0.15 | % | 0.05 | % | 0.30 | % | 0.15 | % | 0.30 | % | ||||||||||||||
Liquid Assets Money Market Fund | 0.25 | 0.25 | 0.15 | 0.05 | n/a | n/a | n/a | |||||||||||||||||||||
U.S. Government Money Market Fund | n/a | n/a | 0.15 | 0.05 | n/a | 0.15 | n/a | |||||||||||||||||||||
U.S. Treasury Plus Money Market Fund | 0.25 | 0.25 | 0.15 | n/a | n/a | 0.15 | 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 | 0.15 | 0.30 | |||||||||||||||||||||
Municipal Money Market Fund | n/a | n/a | 0.15 | n/a | n/a | n/a | n/a | |||||||||||||||||||||
| E*Trade | Institutional Class | Investor | Morgan | Premier | Reserve | Service | ||||||||||||||||||||||
Prime Money Market Fund | n/a | 0.10 | % | 0.35 | % | 0.35 | % | 0.30 | % | 0.30 | % | 0.30 | % | |||||||||||||||
Liquid Assets Money Market Fund | 0.30 | % | 0.10 | 0.35 | 0.35 | 0.30 | 0.30 | 0.30 | ||||||||||||||||||||
U.S. Government Money Market Fund | n/a | 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 | 0.30 | |||||||||||||||||||||
Federal Money Market Fund | n/a | 0.10 | n/a | 0.35 | 0.30 | 0.30 | n/a | |||||||||||||||||||||
100% U.S. Treasury Securities Money Market Fund | n/a | 0.10 | n/a | 0.35 | 0.30 | 0.30 | 0.30 | |||||||||||||||||||||
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 | 0.30 | 0.30 | |||||||||||||||||||||
The Distributor 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 under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor 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, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class B | Class C | Agency | Capital | Cash Management | Direct | Eagle Class | ||||||||||||||||||||||
Prime Money Market Fund | 0.97 | % | 0.97 | % | 0.26 | % | 0.18 | % | 0.96 | % | 0.30 | % | 0.70 | % | ||||||||||||||
Liquid Assets Money Market Fund | 0.97 | 0.97 | 0.26 | 0.18 | n/a | n/a | n/a | |||||||||||||||||||||
U.S. Government Money Market Fund | n/a | n/a | 0.26 | 0.18 | n/a | 0.30 | n/a | |||||||||||||||||||||
U.S. Treasury Plus Money Market Fund | 0.97 | 0.97 | 0.26 | n/a | n/a | 0.30 | n/a | |||||||||||||||||||||
Federal Money Market Fund | n/a | n/a | 0.26 | n/a | n/a | n/a | n/a | |||||||||||||||||||||
100% U.S. Treasury Securities Money Market Fund | n/a | n/a | 0.26 | 0.18 | n/a | n/a | n/a | |||||||||||||||||||||
Tax Free Money Market Fund | n/a | n/a | 0.26 | n/a | n/a | 0.30 | 0.70 | |||||||||||||||||||||
Municipal Money Market Fund | n/a | n/a | 0.26 | n/a | n/a | n/a | n/a | |||||||||||||||||||||
| E*Trade | Institutional Class | Investor | Morgan | Premier | Reserve | Service | ||||||||||||||||||||||
Prime Money Market Fund | n/a | 0.21 | % | 0.51 | % | 0.52 | % | 0.45 | % | 0.70 | % | 1.05 | % | |||||||||||||||
Liquid Assets Money Market Fund | 1.00 | % | 0.21 | 0.51 | 0.59 | 0.45 | 0.70 | 1.05 | ||||||||||||||||||||
U.S. Government Money Market Fund | n/a | 0.21 | 0.51 | 0.59 | 0.45 | 0.70 | 1.05 | |||||||||||||||||||||
U.S. Treasury Plus Money Market Fund | n/a | 0.21 | 0.51 | 0.59 | 0.45 | 0.70 | 1.05 | |||||||||||||||||||||
Federal Money Market Fund | n/a | 0.21 | n/a | 0.59 | 0.45 | 0.70 | n/a | |||||||||||||||||||||
100% U.S. Treasury Securities Money Market Fund | n/a | 0.21 | n/a | 0.59 | 0.45 | 0.70 | 1.05 | |||||||||||||||||||||
Tax Free Money Market Fund | n/a | 0.21 | n/a | 0.59 | 0.45 | 0.70 | n/a | |||||||||||||||||||||
Municipal Money Market Fund | 1.00 | 0.21 | n/a | 0.59 | 0.45 | 0.70 | 1.05 | |||||||||||||||||||||
The contractual expense limitation agreements were in effect for the year ended February 28, 2011. The expense limitation percentages in the table above are in place until at least June 30, 2011.
For the year ended February 28, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Prime Money Market Fund | $ | 52 | $ | — | $ | 42,905 | $ | 42,957 | ||||||||
Liquid Assets Money Market Fund | 1 | 129 | 4,687 | 4,817 | ||||||||||||
U.S. Government Money Market Fund | 41 | 5,508 | 16,090 | 21,639 | ||||||||||||
U.S. Treasury Plus Money Market Fund | 26 | — | 5,519 | 5,545 | ||||||||||||
Federal Money Market Fund | 1 | 150 | 4,453 | 4,604 | ||||||||||||
100% U.S. Treasury Securities Money Market Fund | 746 | — | 5,717 | 6,463 | ||||||||||||
Tax Free Money Market Fund | 8 | — | 7,212 | 7,220 | ||||||||||||
Municipal Money Market Fund | — | — | 2,139 | 2,139 | ||||||||||||
| Voluntary Waivers | ||||||||||||
| Shareholder Servicing | Distribution | Total | ||||||||||
Prime Money Market Fund | $ | 20,691 | $ | 15,812 | $ | 36,503 | ||||||
Liquid Assets Money Market Fund | 7,015 | 8,840 | 15,855 | |||||||||
U.S. Government Money Market Fund | 27,600 | 5,298 | 32,898 | |||||||||
U.S. Treasury Plus Money Market Fund | 11,910 | 4,825 | 16,735 | |||||||||
Federal Money Market Fund | 2,931 | 269 | 3,200 | |||||||||
100% U.S. Treasury Securities Money Market Fund | 15,763 | 1,674 | 17,437 | |||||||||
Tax Free Money Market Fund | 15,149 | 17,003 | 32,152 | |||||||||
Municipal Money Market Fund | 1,424 | 12,074 | 13,498 | |||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Shareholder Servicing Agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
For the year ended February 28, 2011, the Funds did not invest in any money market funds.
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G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-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 in 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 a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended February 28, 2011, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisor.
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. Class Specific Expenses
The Funds’ class specific expenses for the year ended February 28, 2011 were as follows (amounts in thousands):
| Distribution | Shareholder Servicing | |||||||
Prime Money Market Fund | ||||||||
Class B | $ | 39 | $ | 13 | ||||
Class C | 62 | 21 | ||||||
Agency | — | 17,477 | ||||||
Capital | — | 38,998 | ||||||
Cash Management | 2,447 | 1,468 | ||||||
Direct | — | 1,452 | ||||||
Eagle Class | 2,003 | 2,404 | ||||||
Institutional Class | — | 32,114 | ||||||
Investor | — | 1,888 | ||||||
Morgan | — | 11,830 | ||||||
Premier | — | 15,743 | ||||||
Reserve | 5,049 | 6,059 | ||||||
Service | 6,242 | 3,121 | ||||||
| $ | 15,842 | $ | 132,588 | |||||
Liquid Assets Money Market Fund | ||||||||
Class B | $ | 95 | $ | 32 | ||||
Class C | 2,864 | 955 | ||||||
Agency | — | 459 | ||||||
Capital | — | 1,186 | ||||||
E*Trade | 1,112 | 556 | ||||||
Institutional Class | — | 2,041 | ||||||
Investor | — | 2,021 | ||||||
Morgan | 2,943 | 10,299 | ||||||
Premier | — | 865 | ||||||
Reserve | 800 | 960 | ||||||
Service | 1,511 | 755 | ||||||
| $ | 9,325 | $ | 20,129 | |||||
U.S. Government Money Market Fund | ||||||||
Agency | $ | — | $ | 12,313 | ||||
Capital | — | 18,421 | ||||||
Direct | — | 342 | ||||||
Institutional Class | — | 15,572 | ||||||
Investor | — | 11,767 | ||||||
Morgan | 2,081 | 7,282 | ||||||
Premier | — | 14,986 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
| Distribution | Shareholder Servicing | |||||||
Reserve | 126 | 151 | ||||||
Service | 3,159 | 1,579 | ||||||
| $ | 5,366 | $ | 82,413 | |||||
U.S. Treasury Plus Money Market Fund | ||||||||
Agency | $ | — | $ | 2,909 | ||||
Class B | 6 | 2 | ||||||
Class C | 1,038 | 346 | ||||||
Direct | — | 1,677 | ||||||
Institutional Class | — | 7,928 | ||||||
Investor | — | 2,258 | ||||||
Morgan | 962 | 3,368 | ||||||
Premier | — | 2,403 | ||||||
Reserve | 2,873 | 3,448 | ||||||
Service | 1 | — | (a) | |||||
| $ | 4,880 | $ | 24,339 | |||||
Federal Money Market Fund | ||||||||
Agency | $ | — | $ | 1,529 | ||||
Institutional Class | — | 7,658 | ||||||
Morgan | 177 | 620 | ||||||
Premier | — | 2,135 | ||||||
Reserve | 95 | 114 | ||||||
| $ | 272 | $ | 12,056 | |||||
100% U.S. Treasury Securities Money Market Fund | ||||||||
Agency | $ | — | $ | 2,705 | ||||
Capital | — | 3,344 | ||||||
Institutional Class | — | 5,774 | ||||||
Morgan | 1,356 | 4,747 | ||||||
Premier | — | 5,296 | ||||||
Reserve | 317 | 381 | ||||||
Service | 1 | — | (a) | |||||
| $ | 1,674 | $ | 22,247 | |||||
Tax Free Money Market Fund | ||||||||
Agency | $ | — | $ | 1,472 | ||||
Direct | — | — | (a) | |||||
Eagle Class | 1,750 | 2,101 | ||||||
Institutional | — | 12,755 | ||||||
Morgan | 507 | 1,775 | ||||||
Premier | — | 8,597 | ||||||
Reserve | 14,752 | 17,703 | ||||||
| $ | 17,009 | $ | 44,403 | |||||
Municipal Money Market Fund | ||||||||
Agency | $ | — | $ | 130 | ||||
E*Trade | 9,515 | 4,758 | ||||||
Institutional Class | — | 1,277 | ||||||
Morgan | 322 | 1,126 | ||||||
Premier | — | 350 | ||||||
Reserve | 278 | 333 | ||||||
Service | 2,013 | 1,006 | ||||||
| $ | 12,128 | $ | 8,980 | |||||
| (a) | Amount rounds to less than $1,000. |
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5. Federal Income Tax Matters
The tax character of distributions paid during the fiscal year ended February, 28, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||||||||||
| Ordinary Income | Net Long Term | Tax Exempt Income | Total Distributions Paid | |||||||||||||
Prime Money Market Fund | $ | 160,997 | $ | — | $ | — | $ | 160,997 | ||||||||
Liquid Assets Money Market Fund | 7,957 | — | — | 7,957 | ||||||||||||
U.S. Government Money Market Fund | 41,166 | 1 | — | 41,167 | ||||||||||||
U.S. Treasury Plus Money Market Fund | 2,575 | — | — | 2,575 | ||||||||||||
Federal Money Market Fund | 3,382 | 135 | — | 3,517 | ||||||||||||
100% U.S. Treasury Securities Money Market Fund | 2,435 | — | — | 2,435 | ||||||||||||
Tax Free Money Market Fund | 2,697 | 2,063 | 15,458 | 20,218 | ||||||||||||
Municipal Money Market Fund | 74 | — | 2,801 | 2,875 | ||||||||||||
The tax character of distributions paid during the fiscal year ended February, 28, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From | ||||||||||||||||
| Ordinary Income | Tax Exempt Income | Net Long Term Capital Gains | Total Distributions Paid | |||||||||||||
Prime Money Market Fund | $ | 514,427 | $ | — | $ | — | $ | 514,427 | ||||||||
Liquid Assets Money Market Fund | 32,499 | — | — | 32,499 | ||||||||||||
U.S. Government Money Market Fund | 183,687 | — | — | 183,687 | ||||||||||||
U.S. Treasury Plus Money Market Fund | 13,850 | — | — | 13,850 | ||||||||||||
Federal Money Market Fund | 26,100 | — | — | 26,100 | ||||||||||||
100% U.S. Treasury Securities Money Market Fund | 5,119 | — | — | 5,119 | ||||||||||||
Tax Free Money Market Fund | 3,809 | 32,861 | 471 | 37,141 | ||||||||||||
Municipal Money Market Fund | 217 | 5,207 | — | 5,424 | ||||||||||||
At February 28, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | Current Distributable Tax Exempt Income | ||||||||||
Prime Money Market Fund | $ | 7,413 | $ | — | $ | — | ||||||
Liquid Assets Money Market Fund | 29 | — | — | |||||||||
U.S. Government Money Market Fund | 127 | — | — | |||||||||
U.S. Treasury Plus Money Market Fund | — | — | — | |||||||||
Federal Money Market Fund | 118 | — | — | |||||||||
100% U.S. Treasury Securities Money Market Fund | 340 | — | — | |||||||||
Tax Free Money Market Fund | — | — | 3,066 | |||||||||
Municipal Money Market Fund | — | (502 | ) | 107 | ||||||||
For the Funds, the cumulative timing differences primarily consist of trustee deferred compensation, distributions payable (Prime Money Market Fund, Liquid Assets Money Market Fund, U.S. Government Money Market Fund, Tax Free Money Market Fund and Municipal Money Market Fund) and post-October loss deferrals (U.S. Government Money Market Fund).
As of February 28, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2019 | ||||
Municipal Money Market Fund | $ | 502 | ||
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 28, 2011, the following Fund deferred to March 1, 2010 post-October capital losses of (amounts in thousands):
U.S. Government Money Market Fund | $ | 253 |
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“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 they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, 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 15, 2011.
As of February 28, 2011, the Liquid Assets Money Market Fund had no outstanding loans to another fund. Average loans for the year ended February 28, 2011, were as follows (amounts in thousands):
| Average Loans | Average Number of | Interest Earned | ||||||||||
Liquid Assets Money Market Fund | $ | 12,657 | 1 | $ | 4 | |||||||
Interest earned, if any, as a result of lending money to another fund as of February 28, 2011 is included in Income from interfund lending (net) in the Statements of Operations.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 28, 2011, or at any time during the year then ended.
Interest expense, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
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, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ outstanding shares for Prime Money Market Fund, Federal Money Market Fund, 100% U.S. Treasury Securities Money Market Fund and Tax Free Money Market Fund.
In addition, Liquid Assets Money Market Fund, Municipal Money Market Fund and Tax Free Money Market Fund each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
Significant shareholder transactions, if any, may impact the Funds’ performance.
The Municipal Money Market Fund and Tax Free Money Market Fund invest substantially all of their assets in a diversified 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 their 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. These securities generally have features that preserve their eligibility for investment under Rule 2a-7 under the 1940 Act without relying on the ratings or solvency of such bond insurers. The value of these investments may be impacted by changes to bond insurers’ ratings and the Municipal Money Market Fund’s and Tax Free 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.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations conducted by the SEC and the NYAG into market timing of certain One Group mutual funds advised by BOIA which were series of One Group Mutual Funds, possible late trading of certain of these funds and related matters. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment
| 124 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland for coordinated or consolidated pretrial proceedings by the orders of the Judicial Panel on Multidistrict Litigation, a federal judicial body that assists in the administration of such actions. The plaintiffs filed consolidated amended complaints, naming as defendants, among others, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. The Court approved a settlement resolving all remaining claims in the litigation in Maryland.
JPM II, any series thereof, the JPMorgan Prime Money Market Fund and the JPMorgan 100% U.S. Treasury Securities Money Market Fund will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of 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 and JPMorgan Municipal Money Market Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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 and JPMorgan Municipal Money Market Fund (hereafter referred to as the “Funds”) at February 28, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
April 29, 2011
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 (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 Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 148 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 148 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 148 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 148 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 148 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| 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). | 148 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 148 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| 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). | 148 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 148 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||||
Independent Trustees (continued) |
| |||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 148 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 148 | None. | |||||
Interested Trustees | ||||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 148 | Trustee, The Victory Portfolios (2000-2008). | |||||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 148 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (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 advisor or have an investment advisor that is an affiliated person of the investment advisor 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 (148 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
| Michael J. Tansley (1964), Controller (2008) | Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
| Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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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 redemption fees and (2) ongoing costs, including investment advisory, 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 costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2010, and continued to hold your shares at the end of the reporting period, February 28, 2011.
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 entitled “Expenses Paid During” 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, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Prime Money Market Fund | ||||||||||||||||
Class B | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.54 | 0.31 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.30 | 1.29 | 0.26 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.51 | 1.30 | 0.26 | ||||||||||||
Capital | ||||||||||||||||
Actual | 1,000.00 | 1,000.70 | 0.89 | 0.18 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.90 | 0.90 | 0.18 | ||||||||||||
Cash Management | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Direct | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.49 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Eagle Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
Investor | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
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| Beginning Account Value September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Prime Money Market Fund (continued) | ||||||||||||||||
Morgan | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.54 | 0.31 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.54 | 0.31 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.26 | 1.56 | 0.31 | ||||||||||||
Liquid Assets Money Market Fund | ||||||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 1.29 | 0.26 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.51 | 1.30 | 0.26 | ||||||||||||
Capital | ||||||||||||||||
Actual | 1,000.00 | 1,000.80 | 0.89 | 0.18 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.90 | 0.90 | 0.18 | ||||||||||||
E*Trade | ||||||||||||||||
Actual | 1,000.00 | 1,000.30 | 1.39 | 0.28 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.41 | 1.40 | 0.28 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.70 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
Investor | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.59 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.14 | 0.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
Capital | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 0.89 | 0.18 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.90 | 0.90 | 0.18 | ||||||||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
U.S. Government Money Market Fund (continued) | ||||||||||||||||
Direct | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.14 | 0.23 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.20 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
Investor | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.14 | 0.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.14 | 0.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.14 | 0.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.14 | 0.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.14 | 0.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 | ||||||||||||
U.S. Treasury Plus Money Market Fund | ||||||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Direct | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Investor | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
| 132 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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| Beginning Account Value September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Federal Money Market Fund | ||||||||||||||||
Agency | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 0.99 | 0.20 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.20 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | �� | 1.00 | 0.20 | |||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.99 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
100% U.S. Treasury Securities Money Market Fund | ||||||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Capital | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 0.79 | 0.16 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 | ||||||||||||
Tax Free Money Market Fund | ||||||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 1.29 | 0.26 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.51 | 1.30 | 0.26 | ||||||||||||
Direct | ||||||||||||||||
Actual | 1,000.00 | 1,000.20 | 1.44 | 0.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.36 | 1.45 | 0.29 | ||||||||||||
Eagle Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.20 | 1.49 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 133 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Tax Free Money Market Fund (continued) | ||||||||||||||||
Morgan | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.10 | $ | 1.49 | 0.30 | % | ||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.49 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.49 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Municipal Money Market Fund | ||||||||||||||||
Agency | ||||||||||||||||
Actual | 1,000.00 | 1,000.70 | 1.29 | 0.26 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.51 | 1.30 | 0.26 | ||||||||||||
E*Trade | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.79 | 0.36 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.01 | 1.81 | 0.36 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,000.90 | 1.04 | 0.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.75 | 1.05 | 0.21 | ||||||||||||
Morgan | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.83 | 0.37 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.96 | 1.86 | 0.37 | ||||||||||||
Premier | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.83 | 0.37 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.96 | 1.86 | 0.37 | ||||||||||||
Reserve | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.83 | 0.37 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.96 | 1.86 | 0.37 | ||||||||||||
Service | ||||||||||||||||
Actual | 1,000.00 | 1,000.10 | 1.83 | 0.37 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.96 | 1.86 | 0.37 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 134 | J.P. MORGAN MONEY MARKET FUNDS | FEBRUARY 28, 2011 | ||||
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(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 28, 2011. 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, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 28, 2011:
| Long-Term Capital Gain Distribution | ||||
U.S. Government Money Market Fund | $ | 1 | ||
Federal Money Market Fund | 135 | |||
Tax Free Money Market Fund | 2,063 | |||
Qualified Interest Income (QII)
For the fiscal year ended February 28, 2011 the Funds designate the following amounts of ordinary distributions paid during the Fund’s fiscal year that are from qualified interest income (amounts in thousands):
| Qualified Interest Income | ||||
Prime Money Market Fund | $ | 81,790 | ||
Liquid Assets Money Market Fund | 3,647 | |||
U.S. Government Money Market Fund | 28,094 | |||
U.S. Treasury Plus Money Market Fund | 3,153 | |||
Federal Money Market Fund | 1,296 | |||
100% U.S. Treasury Securities Money Market Fund | 217 | |||
Tax-Exempt Income
The following represents the percentage of distributions paid from net investment income that are exempt from federal income tax for the fiscal year ended February 28, 2011:
| Exempt Distributions Paid | ||||
Tax Free Money Market Fund | 100.00 | % | ||
Municipal Money Market Fund | 100.00 | |||
Treasury Income
The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2011:
| Income from U.S. Treasury Obligations | ||||
Prime Money Market Fund | 5.05 | % | ||
Liquid Assets Money Market Fund | 4.90 | |||
U.S. Government Money Market Fund | 29.90 | |||
U.S. Treasury Money Market Fund | 57.61 | |||
Federal Money Market Fund | 96.50 | |||
100% U.S. Treasury Securities Money Market Fund | 99.21 | |||
| FEBRUARY 28, 2011 | J.P. MORGAN MONEY MARKET FUNDS | 135 | ||||||
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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 are no 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? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| 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. | |
Table of Contents
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. at 1-800-480-4111 (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 at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) or 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 prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 (retail investors) or 1-800-766-7722 (institutional investors) 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 Advisor. A copy of the Funds’ voting record for the most recent 12-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.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
 | © JPMorgan Chase & Co., 2011 All rights reserved. February 2011. | AN-MMKT-211 |
Table of Contents
Annual Report
J.P. Morgan Income Funds
February 28, 2011
JPMorgan Core Bond Fund
JPMorgan Core Plus Bond Fund
JPMorgan Government Bond Fund
JPMorgan High Yield Fund
JPMorgan Limited Duration Bond Fund
JPMorgan Mortgage-Backed Securities Fund
JPMorgan Short Duration Bond Fund
JPMorgan Short Term Bond Fund II
JPMorgan Treasury & Agency Fund
|
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
| 3 | ||||
| 5 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 14 | ||||
| 16 | ||||
| 18 | ||||
| 20 | ||||
| Schedules of Portfolio Investments | 22 | |||
| Financial Statements | 202 | |||
| Financial Highlights | 226 | |||
| Notes to Financial Statements | 244 | |||
| Report of Independent Registered Public Accounting Firm | 269 | |||
| Trustees | 270 | |||
| Officers | 272 | |||
| Schedule of Shareholder Expenses | 273 | |||
| Tax Letter | 277 | |||
Investments in a Fund are not bank 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 current market conditions 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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
Table of Contents
MARCH 21, 2011 (Unaudited)
Dear Shareholder:
For many investors, the old adage “What’s old is new again,” may be the best way to describe the current economic recovery. While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.
In the U.S., economic momentum and growth appear to be accelerating, helped by pent-up consumer demand, improved balance sheets, and an extension of the Bush-era tax cuts. Additionally, this recovery has seen a sharp rebound in corporate profits. Investors responded enthusiastically to these developments, sending stock markets on an impressive rally, and leading to double-digit gains in 2010.
 |
“While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.” |
On the other hand, heightened tensions in the Middle East and renewed concerns about European debt resulted in an increase in market volatility, while the devastating earthquake and tsunami in Japan and the uncertain aftermath is likely to have lingering macroeconomic and market implications.
While positive tailwinds may continue to fuel economic growth, we remain concerned about the scope and potential impact of political unrest and other crises on global markets and economies.
U.S. Treasuries experience broad gains
Investors have continued to focus their investments on fixed income securities, particularly mortgage, investment grade corporate and high yield areas of the market. However, the heightened publicity surrounding the fiscal woes of state and local governments, and the expiration of the Build America Bond Program led many investors away from municipal bonds, which contributed to an increase in market volatility.
The Barclays Capital High Yield Index returned 17.5%, while the Barclays Capital U.S. Aggregate Bond Index returned 4.9%, and the Barclays Capital Emerging Markets Index returned 11.3% for the 12-month period ended February 28, 2011. The Barclays Capital Municipal Index returned 1.7% for the same period.
A late year U.S. stock market rally did little to reverse broad gains experienced by U.S. Treasuries in 2010. Stock market volatility, rising oil prices, and concerns about unrest in the
Middle East generally led to higher prices and lower yields for U.S. Treasuries and other safe haven investments. As of the end of the 12-month period ended February 28, 2011, the yield on the 10-year U.S. Treasury bond declined from 3.6% to 3.4%. Yields on the 30-year U.S. Treasury bond dropped slightly, from 4.6% to 4.5%, while yields on the 2-year U.S. Treasury bond dipped from 0.8% to 0.7% as of the end of the annual reporting period.
Improved economic outlook fuels equity rally
Stocks were supported by improved economic expectations and job growth, as well as the combination of the Federal Reserve’s launch of quantitative easing (QE2) and Congress’ extension of the Bush-era tax cuts. As of the 12-month reporting period ended February 28, 2011, the S&P 500 Index had reached a level of 1,327, an increase of 22.6% from 12 months prior.
Recently, however, risky assets have become more volatile as investors grew concerned about how the disaster in Japan, rising oil prices, and Middle East turmoil will impact the global recovery.
Rely on diversification to prepare for geopolitical risks
While the global economic recovery has demonstrated resiliency, the world is witnessing ongoing turmoil in the Middle East and uncertainty surrounding the fallout from the tragedy in Japan. Additionally, we continue to experience concerns about European sovereign debt.
This environment reminds us of the importance of preparing portfolios for shocks that could not only potentially derail the economic recovery, but also our investment goals. As “uncertainty” is often the only certainty, it makes sense for investors to prepare by maintaining a diversified approach to investing within the context of a balanced portfolio.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO-Investment Management Americas
J.P. Morgan Asset Management
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 1 | ||||||
Table of Contents
J.P. Morgan Income Funds
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
Fears about systemic fallout from the European debt crisis weighed on investors’ confidence early in the reporting period, as the market seemed skeptical about the unity of European leaders and concerned about the impact that austerity measures would have on growth in the region. Investors’ appetite for risk started to recover in August 2010 and was supported for the remainder of the reporting period by strong corporate earnings, better-than-expected economic data and returning merger and acquisition activity. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut.
Overall, U.S. Treasury yields finished the reporting period lower, sending the prices for U.S. Treasuries higher (bond prices generally increase when their yields decrease). However, the reporting period was defined by two separate interest rate environments. Rates steadily declined during the first half of the reporting period and then reversed course in the fourth quarter of 2010, continuing this upward momentum through the end of the reporting period. Meanwhile, the breakeven inflation rate, which measures investors’ expectations for inflation, followed a path similar to interest rates. Breakeven inflation rates decreased until September 2010 when surging commodities prices and the declining U.S. dollar led to concerns that rising input and import costs would be passed through to consumers and potentially stoke inflation.
Spread sectors (non U.S. Treasuries) outperformed U.S. Treasuries during the reporting period. Investment grade corporate debt and agency mortgage-backed securities both performed well during the reporting period, while supply/demand continued to be favorable in the non-agency mortgage-backed security market, outweighing concerns about the fundamentals of the housing market. Supply for non-agency mortgage-backed securities continued to decline, while demand was strong due to the sector’s high yield relative to other areas of the fixed income market. This favorable environment helped support the non-agency mortgage market. The high yield securities (also known as junk bonds) market was supported by strong corporate balance sheets, improving corporate revenue and a robust primary issuance market, which provided companies with access to liquidity and the ability to roll over debt at attractive levels.
| 2 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 5.96% | |||
| Barclays Capital U.S. Aggregate Index | 4.93% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $19,258,477 | |||
| Duration as of 2/28/2011 | 4.5 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Core Bond Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s overweight of mortgage securities drove its relative outperformance versus the Barclays Capital U.S. Aggregate Index (“Benchmark”). The Fund’s non-agency residential mortgage-backed securities, which are not represented in the Benchmark, were particularly strong, supported by a favorable supply and demand environment. The Fund’s underweight in the credit sector (corporate and non-corporate debt) hurt relative performance, as this sector performed well during the reporting period. The Fund’s underweight in the commercial mortgage-backed securities (“CMBS”) sector also hurt relative performance, as this sector was supported by a favorable supply/demand environment.
Meanwhile, the Fund’s underweight of U.S. Treasuries benefited the Fund’s relative performance during the reporting period as these securities underperformed other areas of the fixed income market. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also helped the Fund’s relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector.
PORTFOLIO COMPOSITION*** | ||||
| Collateralized Mortgage Obligations | 38.4 | % | ||
| U.S. Treasury Obligations | 27.7 | |||
| Corporate Bonds | 13.6 | |||
| Mortgage Pass-Through Securities | 11.5 | |||
| Asset-Backed Securities | 3.8 | |||
| Commercial Mortgage-Backed Securities | 1.9 | |||
| U.S. Government Agency Securities | 1.6 | |||
| Others (each less than 1.0%) | 0.4 | |||
| Short-Term Investments | 1.1 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 3 | ||||||
Table of Contents
JPMorgan Core Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/1/92 | |||||||||||||||
Without Sales Charge | 5.75 | % | 6.28 | % | 5.74 | % | ||||||||||
With Sales Charge* | 1.76 | 5.48 | 5.33 | |||||||||||||
CLASS B SHARES | 8/26/96 | |||||||||||||||
Without CDSC | 5.06 | 5.59 | 5.19 | |||||||||||||
With CDSC** | 0.06 | 5.26 | 5.19 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 5.04 | 5.59 | 5.05 | |||||||||||||
With CDSC*** | 4.04 | 5.59 | 5.05 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 5.51 | 6.02 | 5.49 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 6.06 | 6.57 | 6.00 | ||||||||||||
CLASS R6 SHARES**** | 2/22/05 | 6.22 | 6.67 | 6.07 | ||||||||||||
SELECT CLASS SHARES | 6/1/91 | 5.96 | 6.45 | 5.94 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
| **** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior class performance for Class R2 Shares have been adjusted to reflect the differences in expenses and sales charges between classes. Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 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 gains of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital
U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| 4 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 9.35% | |||
| Barclays Capital U.S. Aggregate Index | 4.93% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $2,067,214 | |||
| Duration as of 2/28/2011 | 4.8 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Core Plus Bond Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s overweight of mortgage securities helped its relative outperformance versus the Barclays Capital U.S. Aggregate Index (“Benchmark”). The Fund’s non-agency residential mortgage-backed securities, which are not represented in the Benchmark, were particularly strong, supported by a favorable supply and demand environment. The Fund’s underweight in the credit sector (corporate and non-corporate debt) hurt relative performance, as this sector performed well during the reporting period. The Fund’s underweight in the commercial mortgage-backed securities (“CMBS”) sector also hurt relative performance, as this sector was supported by a favorable supply/demand environment.
Meanwhile, the Fund’s underweight of U.S. Treasuries benefited the Fund’s relative performance during the reporting period as these securities underperformed other areas of the fixed income market. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also helped the Fund’s relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.
The Fund also invested a percentage of its assets in high yield bonds (also known as “junk bonds”) and emerging markets debt securities. Both asset classes posted strong returns during the reporting period and contributed to the Fund’s absolute performance and relative performance.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.
As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector.
Among emerging market debt securities, the Fund’s portfolio managers identified what they believed to be attractive investment opportunities in the emerging market corporate credit sector, particularly among higher yielding securities.
The Fund’s high yield portion of the portfolio took specifically targeted credit risk when the Fund’s portfolio managers’ analysis indicated a favorable risk/reward opportunity.
PORTFOLIO COMPOSITION*** | ||||
| Corporate Bonds | 36.7 | % | ||
| Collateralized Mortgage Obligations | 21.5 | |||
| U.S. Treasury Obligations | 17.2 | |||
| Mortgage Pass-Through Securities | 4.2 | |||
| Commercial Mortgage-Backed Securities | 3.2 | |||
| Loan Participations & Assignments | 3.0 | |||
| Asset-Backed Securities | 2.7 | |||
| Foreign Government Securities | 1.5 | |||
| U.S. Government Agency Securities | 1.2 | |||
| Others (each less than 1.0%) | 1.8 | |||
| Short-Term Investment | 7.0 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 5 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||
Without Sales Charge | 9.23 | % | 6.40 | % | 5.68 | % | ||||||||||
With Sales Charge* | 5.08 | 5.59 | 5.27 | |||||||||||||
CLASS B SHARES | 5/31/95 | |||||||||||||||
Without CDSC | 8.60 | 5.79 | 5.19 | |||||||||||||
With CDSC** | 3.60 | 5.47 | 5.19 | |||||||||||||
CLASS C SHARES | 5/30/00 | |||||||||||||||
Without CDSC | 8.63 | 5.81 | 5.07 | |||||||||||||
With CDSC*** | 7.63 | 5.81 | 5.07 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 8.93 | 6.09 | 5.35 | ||||||||||||
CLASS R6 SHARES**** | 2/22/05 | 9.60 | 6.86 | 6.05 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 6/19/09 | 9.63 | 6.68 | 5.94 | ||||||||||||
SELECT CLASS SHARES | 3/5/93 | 9.35 | 6.62 | 5.91 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
| **** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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. Effective September 15, 2007, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.
Returns shown for Class R2, Class R6 and Institutional Class Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior class performance for Class R2 Shares have been adjusted to reflect the differences in expenses and sales charges between classes. Class R6, Institutional Class, and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Plus Bond Fund, the Barclays Capital
U.S. Aggregate Index and the Lipper Intermediate Investment Grade Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 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 gains of the securities included in the benchmark. The performance of the Lipper Intermediate Investment Grade Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate Investment Grade Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
| 6 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 7 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 4.97% | |||
| Barclays Capital U.S. Government Bond Index | 3.53% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $1,490,255 | |||
| Duration as of 2/28/2011 | 5.6 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Government Bond Fund (the “Fund”) seeks a high level of current income with liquidity and safety of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s assets were invested in securities issued or guaranteed by the U.S. government and its agencies. Among these investments, the Fund’s agency mortgage-backed securities generally had duration of 5 years or less, while the Fund’s U.S. Treasury and agency securities generally had duration of 7 to 9 years. Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase/decrease in price as interest rates go down/up versus bonds with shorter duration. Interest rates declined during the first half of the reporting period and the Fund benefited from the relatively longer duration of its Treasury and agency holdings. When interest rates increased during the second half of the reporting period, the longer duration of the Fund’s U.S. Treasury and agency holdings detracted from the Fund’s performance. However, the Fund’s mortgage-backed securities and investments in Treasury Inflation Protected Securities (TIPS) helped offset the losses from the longer duration of the Fund’s treasury and agency holdings and contributed to the Fund’s outperformance versus the Barclays Capital U.S. Government Bond Index.
Modestly detracting from performance was the Fund’s investment in a money market fund, as the yields available from this short-term instrument were low during the reporting period. This investment was used to manage Fund flows during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. These securities were generally held over time, typically resulting in low turnover. During the reporting period, the Fund’s portfolio managers did not make significant adjustments to the positioning of the Fund.
PORTFOLIO COMPOSITION*** | ||||
| Collateralized Mortgage Obligations | 43.2 | % | ||
| U.S. Treasury Obligations | 23.8 | |||
| U.S. Government Agency Securities | 17.2 | |||
| Mortgage Pass-Through Securities | 7.7 | |||
| Short-Term Investment | 8.1 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 8 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||
Without Sales Charge | 4.69 | % | 5.59 | % | 5.33 | % | ||||||||||
With Sales Charge* | 0.74 | 4.77 | 4.93 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 3.92 | 4.82 | 4.76 | |||||||||||||
With CDSC** | (1.08 | ) | 4.49 | 4.76 | ||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 4.02 | 4.84 | 4.61 | |||||||||||||
With CDSC*** | 3.02 | 4.84 | 4.61 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 4.45 | 5.31 | 5.09 | ||||||||||||
SELECT CLASS SHARES | 2/8/93 | 4.97 | 5.86 | 5.59 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns shown for Class R2 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses and sales charges between classes.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Government Bond Fund, the Barclays Capital U.S. Government Bond Index and the Lipper General U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Government Bond Index does not include expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper General U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees.
These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Government Bond Index is an unmanaged index composed of securities issued by the U.S. Government. The Lipper General U.S. Government Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 9 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 17.44% | |||
| Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index | 17.34% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $9,562,722 | |||
| Duration as of 2/28/2011 | 4.9 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan High Yield Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of debt securities that are rated below investment grade or unrated. Capital appreciation is a secondary objective.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The high yield securities (also known as junk bonds) market was supported by strong corporate balance sheets, improving corporate revenue and a robust primary issuance market, which provided companies with access to liquidity and the ability to roll over debt at attractive levels. The Fund outperformed the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”) for the twelve months ended February 28, 2011.
At the industry level, the Fund’s security selection in the chemicals sector contributed to relative performance, helped by the Fund’s investments in performing and non-performing bonds and loan assignments of firms that were trading at distressed levels or emerging from a reorganization. The Fund’s security selection in the consumer cyclical sector also contributed to relative performance, as many of the Fund’s holdings benefited from the economic recovery.
The Fund’s security selection in the communication sector detracted from relative performance. The communication sector includes media companies and many of the Fund’s holdings underperformed. The Fund’s underweight in the outperforming finance sector also detracted from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund took specifically targeted credit risk when the Fund’s portfolio managers’ analysis indicated a favorable risk/reward opportunity.
As of the end of the reporting period, the Fund was underweight in the Ba and Ca-D rated sectors and overweight in the B, Baa, Caa and Not Rated (“NR”) sectors. The Fund continued
to hold issues in the NR sector that are loans and bonds of companies going through financial restructuring, referred to as total return securities. However, the Fund exited many of its strongly performing total return and equity-like securities, using the proceeds to add to, in their view, more attractive investments among Ba and B rated securities. As a result, the Fund’s exposure to Caa and Not Rated securities was lower than the previous reporting period.
As of the end of the reporting period, the Fund’s allocation to loan assignments was approximately 13.8%. These investments are not held in the Benchmark and underperformed the broader high yield securities market as investors preferred higher yielding securities during the reporting period. However, the Fund’s portfolio managers believed that the greatest risk in the high yield securities market was deteriorating credit fundamentals of issuers and believed that loan assignments offer attractive downside protection from this risk due to their seniority over subordinated debt. In addition, the Fund’s portfolio managers believed that loan assignments offer the potential for upside return in a rising interest rate environment.
PORTFOLIO COMPOSITION*** | ||||
| Corporate Bonds | 80.8 | % | ||
| Loan Participations & Assignments | 13.8 | |||
| Common Stocks | 1.0 | |||
| Others (each less than 1.0%) | 0.6 | |||
| Short-Term Investment | 3.8 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2011. The Fund’s composition is subject to change. |
| 10 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/13/98 | |||||||||||||||
Without Sales Charge | 17.22 | % | 8.73 | % | 8.17 | % | ||||||||||
With Sales Charge* | 12.83 | 7.91 | 7.76 | |||||||||||||
CLASS B SHARES | 11/13/98 | |||||||||||||||
Without CDSC | 16.40 | 8.02 | 7.62 | |||||||||||||
With CDSC** | 11.40 | 7.73 | 7.62 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 16.45 | 8.02 | 7.45 | |||||||||||||
With CDSC*** | 15.45 | 8.02 | 7.45 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 16.82 | 8.43 | 7.85 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 17.45 | 9.05 | 8.45 | ||||||||||||
CLASS R6 SHARES**** | 2/22/05 | 17.59 | 9.09 | 8.48 | ||||||||||||
SELECT CLASS SHARES | 11/13/98 | 17.44 | 9.02 | 8.44 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
| **** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Effective September 14, 2009, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.
Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan High Yield Fund, the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index and the Lipper High Current Yield Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped 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 gains of the securities included in the benchmark. The performance of the Lipper High Current Yield
Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. The Lipper High Current Yield Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 11 | ||||||
Table of Contents
JPMorgan Limited Duration Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 9.05% | |||
| Barclays Capital 1-3 Year U.S. Government/Credit Bond Index | 1.98% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $397,293 | |||
| Duration as of 2/28/2011 | 1.8 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Limited Duration Bond Fund (the “Fund”) seeks a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund invested a large percentage of its assets in mortgage-backed securities, which helped the Fund significantly outperform the Barclays Capital 1-3 Year U.S. Government/Credit Bond Index. The Fund’s non-agency mortgage-backed securities were supported by a favorable supply/demand environment, which outweighed investors’ concerns about the fundamentals of the housing market. The Fund also invested in sub-prime mortgage-backed securities, focusing on securities in upper level tranches with higher credit protection, which the Fund’s portfolio managers believed had attractive risk-adjusted yields. These investments also performed strongly during the reporting period.
The Fund’s portfolio managers used a money market fund during the reporting period to maintain a high degree of liquidity for the Fund. This modestly detracted from performance, as the yields available from this short-term instrument were low during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. These securities were generally held over time, typically resulting in low turnover. During the reporting period, the Fund’s portfolio managers did not make significant adjustments to the positioning of the Fund.
PORTFOLIO COMPOSITION*** | ||||
| Collateralized Mortgage Obligations | 44.4 | % | ||
| Mortgage Pass-Through Securities | 17.7 | |||
| Asset-Backed Securities | 12.5 | |||
| Commercial Mortgage-Backed Securities | 2.7 | |||
| Corporate Bonds | 0.4 | |||
| Short-Term Investment | 22.3 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 12 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/10/93 | |||||||||||||||
Without Sales Charge | 8.78 | % | 3.27 | % | 3.17 | % | ||||||||||
With Sales Charge* | 6.39 | 2.81 | 2.93 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 8.29 | 2.77 | 2.86 | |||||||||||||
With CDSC** | 5.29 | 2.77 | 2.86 | |||||||||||||
CLASS C SHARES | 11/1/01 | 8.20 | 2.76 | 2.63 | ||||||||||||
CLASS R6 SHARES*** | 2/22/05 | 9.25 | 3.74 | 3.55 | ||||||||||||
SELECT CLASS SHARES | 2/2/93 | 9.05 | 3.54 | 3.42 | ||||||||||||
| * | Sales Charge for Class A Shares is 2.25%. |
| ** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
| *** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns shown for Class C and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior performance for Class C Shares has been adjusted to reflect the differences in expenses and sales charges between classes. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Limited Duration Bond Fund, the Barclay’s Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or sales charges associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S.
Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/Credit Bond is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. The Fund’s Lipper Index changed to Lipper Short U.S. Government Funds Index because Lipper recategorized the Fund. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 13 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.71% | |||
| Barclays Capital U.S. MBS Index | 4.12% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $2,223,028 | |||
| Duration as of 2/28/2011 | 3.5 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Mortgage-Backed Securities Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund invested in both agency collateralized mortgage obligations (CMOs) and non-agency CMOs, while the Barclays Capital U.S. MBS Index (the “Benchmark”) consisted almost entirely of agency securities. On a risk-adjusted basis, the Fund’s non-agency securities and agency inverse floaters (a bond or other type of debt whose coupon rate has an inverse relationship to short-term interest rates) performed well and benefited the Fund relative to the Benchmark.
Meanwhile, the Fund invested a small percentage of its assets in U.S. Treasury securities, mostly on the intermediate part of the yield curve (7-10 year portion). The yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time. These investments contributed to performance as yields for U.S. Treasuries declined during the reporting period and their prices increased. Bond prices are inversely related to changes in yield (bond prices generally increase when yields decline and decline when yields increase).
To help manage fund flows, the Fund also held a small portion of its net assets in a money market fund. This was a modest drag on performance as the yields available from this short-term instrument were low during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s primary strategy continued to be security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund’s portfolio managers found attractive investment opportunities, in their view, among collateralized-mortgage obligations.
PORTFOLIO COMPOSITION*** | ||||
| Collateralized Mortgage Obligations | 72.2 | % | ||
| Mortgage Pass-Through Securities | 20.4 | |||
| U.S. Treasury Obligations | 2.6 | |||
| Asset-Backed Securities | 2.0 | |||
| Commercial Mortgage-Backed Securities | 1.0 | |||
| U.S. Government Agency Securities | 0.5 | |||
| Short-Term Investment | 1.3 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 14 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 8/18/00 | |||||||||||||||
Without Sales Charge | 7.39 | % | 7.22 | % | 6.36 | % | ||||||||||
With Sales Charge* | 3.34 | 6.40 | 5.96 | |||||||||||||
CLASS R6 SHARES** | 2/22/05 | 7.97 | 7.65 | 6.71 | ||||||||||||
SELECT CLASS SHARES | 8/18/00 | 7.71 | 7.48 | 6.60 | ||||||||||||
| * | Sales Charge for Class A Shares is 3.75%. |
| ** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns shown for Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mortgage-Backed Securities Fund, the Barclays Capital U.S. MBS Index and the Lipper U.S. Mortgage Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. MBS 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 gains of the securities included in the benchmark. The performance of the
Lipper U.S. Mortgage Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index includes fixed-rate and hybrid adjustable rate mortgage (ARM) pass-through securities. The Lipper U.S. Mortgage Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption 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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 15 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 2.20% | |||
| Barclays Capital 1-3 Year U.S. Government/Credit Bond Index | 1.98% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $10,310,671 | |||
| Duration as of 2/28/2011 | 1.8 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Short Duration Bond Fund (the “Fund”) seeks current income consistent with preservation of capital through investments in high- and medium-grade fixed income securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s outperformance versus the Barclays Capital 1-3 Year U.S. Government/Credit Bond Index (the “Benchmark”) was driven by its underweight of U.S. Treasury securities in favor of outperforming spread sectors (non-U.S. Treasuries). The Fund held corporate, mortgage-backed, commercial mortgage-backed and asset-backed securities and benefited as spreads narrowed in these sectors (bond prices generally increase when spreads narrow) during the reporting period. Investments in longer duration (3 to 5 years) agency securities also benefited the Fund as interest rates declined during the reporting period. Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund’s duration was in line with the Benchmark during the reporting period.
In addition, the Fund’s portfolio managers employed a “barbell strategy,” allocating a portion of the Fund’s assets (roughly 15-20%) between ultra short duration bonds (generally 1 year and under) and bonds that have a duration in the 3 to 5 year range. Generally, the longer-term end of the barbell allows investors to lock into relatively attractive long-term interest rates, while the shorter-term end of the barbell may provide investors with the opportunity to invest elsewhere if the bond market takes a downturn.
PORTFOLIO COMPOSITION*** | ||||
| U.S. Treasury Obligations | 30.2 | % | ||
| U.S. Government Agency Securities | 22.0 | |||
| Corporate Bonds | 15.4 | |||
| Collateralized Mortgage Obligations | 10.6 | |||
| Asset-Backed Securities | 8.7 | |||
| Mortgage Pass-Through Securities | 7.9 | |||
| Commercial Mortgage-Backed Securities | 2.2 | |||
| Foreign Government Securities | 0.2 | |||
| Short-Term Investment | 2.8 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2011. The Fund’s composition is subject to change. |
| 16 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 1.94 | % | 4.11 | % | 3.71 | % | ||||||||||
With Sales Charge* | (0.34 | ) | 3.64 | 3.48 | ||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 1.48 | 3.60 | 3.40 | |||||||||||||
With CDSC** | (1.52 | ) | 3.60 | 3.40 | ||||||||||||
CLASS C SHARES | 11/1/01 | 1.51 | 3.59 | 3.17 | ||||||||||||
CLASS R6 SHARES*** | 2/22/05 | 2.54 | 4.63 | 4.13 | ||||||||||||
SELECT CLASS SHARES | 9/4/90 | 2.20 | 4.36 | 3.96 | ||||||||||||
| * | Sales Charge for Class A Shares is 2.25%. |
| ** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
| *** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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.
Returns shown for Class C and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior performance for Class C Shares has been adjusted to reflect the differences in expenses and sales charges between classes. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short Duration Bond Fund, the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit 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 gains of the
securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/ Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 17 | ||||||
Table of Contents
JPMorgan Short Term Bond Fund II
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.68% | |||
| Barclays Capital 1-3 Year U.S. Government Bond Index | 1.53% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $84,603 | |||
| Duration as of 2/28/2011 | 1.8 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Short Term Bond Fund II (the “Fund”) seeks a high level of income, consistent with preservation of capital.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s outperformance versus the Barclays Capital 1-3 Year U.S. Government Bond Index (the “Benchmark”) was driven by its underweight of U.S. Treasury securities in favor of outperforming spread sectors (non-U.S. Treasuries). The Fund held corporate, mortgage-backed, commercial mortgage-backed and asset-backed securities and benefited as spreads narrowed in these sectors (bond prices generally increase when spreads narrow) during the reporting period. Investments in longer duration (3 to 5 years) agency securities also benefited the Fund as interest rates declined during the reporting period. Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund’s duration was slightly shorter than the Benchmark during the reporting period.
In addition, the Fund’s portfolio managers employed a “barbell strategy,” allocating a portion of the Fund’s assets (roughly 10-15%) between ultra short duration bonds (generally 1 year and under) and bonds that have a duration in the 3 to 5 year range. Generally, the longer-term end of the barbell allows investors to lock into relatively attractive long-term interest rates, while the shorter-term end of the barbell may provide investors with the opportunity to invest elsewhere if the bond market takes a downturn.
PORTFOLIO COMPOSITION*** | ||||
| U.S. Treasury Obligations | 33.2 | % | ||
| Corporate Bonds | 26.4 | |||
| U.S. Government Agency Securities | 25.4 | |||
| Asset-Backed Securities | 6.8 | |||
| Collateralized Mortgage Obligations | 5.3 | |||
| Mortgage Pass-Through Securities | 1.2 | |||
| Others (each less than 1.0%) | 0.5 | |||
| Short-Term Investment | 1.2 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 18 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/6/96 | |||||||||||||||
Without Sales Charge | 1.54 | % | 1.22 | % | 2.01 | % | ||||||||||
With Sales Charge* | (0.71 | ) | 0.76 | 1.78 | ||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||
Without Sales Charge | 1.26 | 0.97 | 1.76 | |||||||||||||
With Sales Charge** | (0.21 | ) | 0.67 | 1.61 | ||||||||||||
SELECT CLASS SHARES | 11/30/90 | 1.68 | 1.48 | 2.27 | ||||||||||||
| * | Sales Charge for Class A Shares is 2.25%. |
| ** | Sales charge for Class M Shares is 1.50%. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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 graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Short Term Bond Fund II, the Barclays Capital 1–3 Year U.S. Government Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestments of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government 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 gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the
expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government Bond Index is an unmanaged index composed of securities in the U.S. Government Bond Index with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
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 redemption 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.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 19 | ||||||
Table of Contents
JPMorgan Treasury & Agency Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.40% | |||
| Barclays Capital 1-5 Year U.S. Treasury Index | 2.37% | |||
| Net Assets as of 2/28/2011 (In Thousands) | $471,869 | |||
| Duration as of 2/28/2011 | 2.0 years | |||
INVESTMENT OBJECTIVE**
The JPMorgan Treasury & Agency Fund (the “Fund”) seeks a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s shorter duration hurt its relative performance versus the Barclays Capital 1-5 Year U.S. Treasury Index (“Benchmark”). Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with shorter duration will experience a smaller increase/decrease in price as interest rates go down/up versus bonds with longer duration. The Fund had a shorter duration than the Benchmark during the reporting period, which hurt its relative performance as interest rates finished the twelve months ended February 28, 2011 lower despite an upward move in the second half of the reporting period.
The Fund held a small position in Treasury Inflation Protected Securities (TIPS), which had a positive impact on relative
performance as the market’s expectations for inflation increased during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund invested in U.S. Treasury securities as well as U.S. agency securities, which are not held in the Benchmark.
PORTFOLIO COMPOSITION*** | ||||
| U.S. Treasury Obligations | 76.2 | % | ||
| U.S. Government Agency Securities | 22.6 | |||
| Short-Term Investment | 1.2 | |||
| * | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
| 20 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 1/20/97 | |||||||||||||||
Without Sales Charge | 1.15 | % | 3.96 | % | 3.84 | % | ||||||||||
With Sales Charge* | (1.13 | ) | 3.50 | 3.60 | ||||||||||||
CLASS B SHARES | 1/20/97 | |||||||||||||||
Without CDSC | 0.63 | 3.43 | 3.53 | |||||||||||||
With CDSC** | (2.37 | ) | 3.43 | 3.53 | ||||||||||||
SELECT CLASS SHARES | 1/20/97 | 1.40 | 4.22 | 4.10 | ||||||||||||
| * | Sales Charge for Class A Shares is 2.25%. |
| ** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. 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 graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Treasury & Agency Fund, the Barclays Capital 1–5 Year U.S. Treasury Index, the Barclays Capital 1–3 Year U.S. Treasury Index and the Lipper Short U.S. Treasury Funds Average from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–5 Year U.S. Treasury Index and the Barclays Capital 1–3 Year U.S. Treasury 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 gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Treasury Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–5 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury issued securities with maturities
of one to five years. The Barclays Capital 1–3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities with maturities of one to three years. The Lipper Short U.S. Treasury Funds Average is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 21 | ||||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 3.8% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
| 15,100 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 15,138 | ||||||
| 23,041 | Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 23,127 | ||||||
Ally Auto Receivables Trust, | ||||||||
| 3,000 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 3,043 | ||||||
| 5,605 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,653 | ||||||
| 10,410 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 10,394 | ||||||
| 5,804 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 5,753 | ||||||
| 5,977 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 5,954 | ||||||
| 9,750 | Series 2011-1, Class A2, 0.810%, 10/15/13 | 9,750 | ||||||
| 4,100 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 4,099 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
| 596 | Series 2006-BG, Class A4, 5.210%, 09/06/13 | 602 | ||||||
| 433 | Series 2008-AF, Class A3, 5.680%, 12/12/12 | 437 | ||||||
| 2,670 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 2,849 | ||||||
| 3,000 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 3,047 | ||||||
| 1,436 | Series 2010-1, Class A2, 0.970%, 01/15/13 | 1,436 | ||||||
| 2,190 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 2,208 | ||||||
| 8,000 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 7,986 | ||||||
| 14,000 | Series 2010-4, Class A2, 0.960%, 05/08/14 | 14,016 | ||||||
| 3,375 | Series 2010-4, Class A3, 1.270%, 04/08/15 | 3,372 | ||||||
| 8,400 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 8,398 | ||||||
| 3,400 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 3,398 | ||||||
| 693 | Ameriquest Mortgage Securities, Inc., | 690 | ||||||
| 12,138 | Arch Bay Asset-Backed Securities, | 12,109 | ||||||
| 13,500 | Asset-Backed Funding Certificates, | 13,578 | ||||||
Bank of America Auto Trust, | ||||||||
| 10,568 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 10,673 | ||||||
| 3,235 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 3,350 | ||||||
| 8,290 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 8,358 | ||||||
| 5,481 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 5,520 | ||||||
| 5,810 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 5,847 | ||||||
| 4,255 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,330 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 6,480 | Series 2010-2, Class A2, 0.910%, 10/15/12 | 6,488 | ||||||
| 5,110 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 5,149 | ||||||
| 7,795 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 7,882 | ||||||
| 1,613 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 1,229 | ||||||
| 4,645 | CarMax Auto Owner Trust, | 4,680 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
| 3,619 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 3,487 | ||||||
| 4,250 | Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34 | 3,775 | ||||||
| 13,652 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 13,087 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
| 2,929 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 2,973 | ||||||
| 2,965 | Series 2009-B, Class A2, 1.150%, 11/08/11 | 2,968 | ||||||
| 16,500 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 16,503 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
| 8,282 | Series 2002-C2, Class C2, 6.950%, 02/18/14 | 8,716 | ||||||
| 950 | Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,114 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
| 7,694 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 7,714 | ||||||
| 5,350 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 5,432 | ||||||
| 2,334 | Citifinancial Mortgage Securities, Inc., | 2,287 | ||||||
| 1,780 | Citigroup Mortgage Loan Trust, Inc., | 1,622 | ||||||
CNH Equipment Trust, | ||||||||
| 2,841 | Series 2008-B, Class A4A, 5.600%, 11/17/14 | 2,924 | ||||||
| 266 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 269 | ||||||
| 1,813 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 1,824 | ||||||
| 8,600 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 8,662 | ||||||
| 16,000 | Series 2010-C, Class A3, 1.170%, 05/15/15 | 15,985 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
| 816 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 | 537 | ||||||
| 11 | Series 2004-1, Class 3A, VAR, 0.542%, 04/25/34 | 9 | ||||||
| 1,290 | Series 2004-1, Class M1, VAR, 0.762%, 03/25/34 | 1,060 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
| 1,060 | Series 2004-1, Class M2, VAR, 0.812%, 03/25/34 | 903 | ||||||
| 1,065 | Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 | 806 | ||||||
| 653 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.572%, 11/25/35 | 621 | ||||||
| 1,088 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 778 | ||||||
| 2,400 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 2,636 | ||||||
| 1,400 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, | 1,297 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
| 5,028 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 5,093 | ||||||
| 5,000 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 5,295 | ||||||
| 5,530 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 5,591 | ||||||
| 16,000 | GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15 | 16,609 | ||||||
| 1,115 | GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 1,021 | ||||||
| 230 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.341%, 03/25/36 | 186 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
| 2,184 | Series 2009-3, Class A2, 0.940%, 04/15/12 | 2,184 | ||||||
| 5,140 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 5,176 | ||||||
| 5,250 | Series 2010-1, Class A2, 0.830%, 11/15/13 | 5,252 | ||||||
| 5,904 | Series 2010-1, Class A3, 1.160%, 02/15/15 | 5,899 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
| 3,904 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 3,943 | ||||||
| 3,500 | Series 2009-2, Class A4, 4.430%, 07/15/15 | 3,671 | ||||||
| 2,576 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 2,602 | ||||||
| 4,200 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 4,351 | ||||||
| 5,200 | Series 2011-1, Class A4, 1.800%, 04/17/17 | 5,198 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
| 3,298 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 3,035 | ||||||
| 2,687 | Series 2005-2, Class M2, VAR, 0.752%, 01/20/35 | 2,357 | ||||||
| 5,720 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 5,300 | ||||||
| 2,550 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 2,419 | ||||||
| 9,000 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 9,211 | ||||||
| 1,080 | Series 2007-1, Class AS, VAR, 0.462%, 03/20/36 | 1,005 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 13,540 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 12,518 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
| 2,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 2,525 | ||||||
| 4,590 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,585 | ||||||
| 6,300 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 6,210 | ||||||
| 5,675 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 5,675 | ||||||
| 4,680 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 4,679 | ||||||
| 1,613 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.461%, 03/25/36 | 1,029 | ||||||
John Deere Owner Trust, | ||||||||
| 1,774 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 1,789 | ||||||
| 5,156 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 5,184 | ||||||
| 15,140 | LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) | 15,105 | ||||||
| 18,464 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.611%, 07/25/34 (e) | 17,879 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
| 5,600 | Series 2004-1, Class M1, VAR, 1.011%, 02/25/34 | 4,809 | ||||||
| 1,500 | Series 2004-3, Class M1, VAR, 0.831%, 07/25/34 | 1,268 | ||||||
| 1,414 | Series 2006-8, Class 2A2, VAR, 0.352%, 09/25/36 | 539 | ||||||
| 2,011 | Series 2006-WL2, Class 2A3, VAR, 0.461%, 01/25/36 | 1,650 | ||||||
| 4,776 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 5,019 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
| 3,000 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 3,028 | ||||||
| 6,000 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 6,051 | ||||||
| 2,383 | Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 1.011%, 01/25/35 | 2,355 | ||||||
| 45,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.261%, 12/26/22 (e) | 45,183 | ||||||
| 13,249 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.614%, 12/07/20 | 13,263 | ||||||
| 4,000 | New Century Home Equity Loan Trust, | 3,917 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
| 7,420 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 7,411 | ||||||
| 4,740 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 4,704 | ||||||
| 273 | Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.101%, 02/25/33 | 231 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 23 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
PennyMac Loan Trust, | ||||||||
| 7,465 | Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) | 7,446 | ||||||
| 14,000 | Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e) | 13,996 | ||||||
| 20,748 | Real Estate Asset Trust, Series 2011-1A, | 20,798 | ||||||
| 100 | Renaissance Home Equity Loan Trust, | 57 | ||||||
Residential Asset Securities Corp., | ||||||||
| 78 | Series 2002-KS4, Class AIIB, VAR, 0.762%, 07/25/32 | 43 | ||||||
| 105 | Series 2003-KS5, Class AIIB, VAR, 0.842%, 07/25/33 | 66 | ||||||
| 125 | Series 2003-KS9, Class A2B, VAR, 0.902%, 11/25/33 | 66 | ||||||
| 2,047 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 1,766 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
| 8,830 | Series 2010-3, Class A2, 0.930%, 06/17/13 | 8,832 | ||||||
| 6,100 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 6,103 | ||||||
| 1,200 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 1,213 | ||||||
| 5,000 | Structured Asset Investment Loan Trust, | 4,675 | ||||||
Structured Asset Securities Corp., | ||||||||
| 3,133 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 3,159 | ||||||
| 1,216 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 1,153 | ||||||
| 4,458 | Series 2004-6XS, Class A5A, SUB, 5.530%, 03/25/34 | 4,349 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
| 12,510 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 12,496 | ||||||
| 11,810 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 11,744 | ||||||
| 4,585 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 4,585 | ||||||
| 337 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 350 | ||||||
USAA Auto Owner Trust, | ||||||||
| 7,684 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 7,736 | ||||||
| 3,080 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 3,166 | ||||||
| 24 | Volkswagen Auto Loan Enhanced Trust, | 24 | ||||||
World Omni Auto Receivables Trust, | ||||||||
| 991 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 1,003 | ||||||
| 7,045 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 7,180 | ||||||
Total Asset-Backed Securities | 722,542 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 38.2% | |||||||
Agency CMO — 25.2% |
| |||||||
Federal Home Loan Bank, | ||||||||
| 1,388 | Series 2000-0606, Class Y, 5.270%, 12/28/12 | 1,462 | ||||||
| 25,144 | Series 2000-1067, Class 1, 5.300%, 06/15/12 | 26,373 | ||||||
| 13,362 | Series TQ-2015, Class A, 5.065%, 10/20/15 | 14,331 | ||||||
Federal Home Loan Mortgage Corp. —Government National Mortgage Association, | ||||||||
| 589 | Series 8, Class ZA, 7.000%, 03/25/23 | 651 | ||||||
| 366 | Series 24, Class ZE, 6.250%, 11/25/23 | 407 | ||||||
| 2,649 | Series 29, Class L, 7.500%, 04/25/24 | 2,775 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 96 | Series 11, Class D, 9.500%, 07/15/19 | 104 | ||||||
| 27 | Series 22, Class C, 9.500%, 04/15/20 | 30 | ||||||
| 42 | Series 23, Class F, 9.600%, 04/15/20 | 47 | ||||||
| 1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 2 | ||||||
| 17 | Series 46, Class B, 7.800%, 09/15/20 | 20 | ||||||
| 9 | Series 47, Class F, 10.000%, 06/15/20 | 10 | ||||||
| — | (h) | Series 85, Class C, 8.600%, 01/15/21 | — | (h) | ||||
| 31 | Series 99, Class Z, 9.500%, 01/15/21 | 35 | ||||||
| 89 | Series 114, Class H, 6.950%, 01/15/21 | 98 | ||||||
| — | (h) | Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 | 15 | |||||
| — | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
| 16 | Series 1065, Class J, 9.000%, 04/15/21 | 18 | ||||||
| 10 | Series 1079, Class S, HB, IF, 32.937%, 05/15/21 | 17 | ||||||
| 27 | Series 1084, Class F, VAR, 1.262%, 05/15/21 | 27 | ||||||
| 19 | Series 1084, Class S, HB, IF, 43.819%, 05/15/21 | 36 | ||||||
| 26 | Series 1116, Class I, 5.500%, 08/15/21 | 28 | ||||||
| 77 | Series 1144, Class KB, 8.500%, 09/15/21 | 87 | ||||||
| — | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 3 | |||||
| 1 | Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 | 25 | ||||||
| 61 | Series 1206, Class IA, 7.000%, 03/15/22 | 68 | ||||||
| 79 | Series 1250, Class J, 7.000%, 05/15/22 | 93 | ||||||
| 198 | Series 1343, Class LA, 8.000%, 08/15/22 | 231 | ||||||
| 79 | Series 1343, Class LB, 7.500%, 08/15/22 | 95 | ||||||
| 126 | Series 1370, Class JA, VAR, 1.463%, 09/15/22 | 126 | ||||||
| 123 | Series 1455, Class WB, IF, 4.519%, 12/15/22 | 117 | ||||||
| 1,183 | Series 1466, Class PZ, 7.500%, 02/15/23 | 1,327 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 18 | Series 1470, Class F, VAR, 2.508%, 02/15/23 | 18 | ||||||
| 212 | Series 1491, Class I, 7.500%, 04/15/23 | 244 | ||||||
| 687 | Series 1498, Class I, VAR, 1.463%, 04/15/23 | 687 | ||||||
| 880 | Series 1502, Class PX, 7.000%, 04/15/23 | 889 | ||||||
| 114 | Series 1505, Class Q, 7.000%, 05/15/23 | 127 | ||||||
| 485 | Series 1518, Class G, IF, 8.748%, 05/15/23 | 598 | ||||||
| 90 | Series 1541, Class M, HB, IF, 21.553%, 07/15/23 | 133 | ||||||
| 431 | Series 1541, Class O, VAR, 2.840%, 07/15/23 | 447 | ||||||
| 24 | Series 1570, Class F, VAR, 3.008%, 08/15/23 | 25 | ||||||
| 921 | Series 1573, Class PZ, 7.000%, 09/15/23 | 1,022 | ||||||
| 536 | Series 1591, Class PV, 6.250%, 10/15/23 | 571 | ||||||
| 36 | Series 1595, Class D, 7.000%, 10/15/13 | 37 | ||||||
| 111 | Series 1596, Class D, 6.500%, 10/15/13 | 111 | ||||||
| 51 | Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 | 80 | ||||||
| 25 | Series 1607, Class SA, IF, 19.312%, 10/15/13 | 29 | ||||||
| 3,043 | Series 1608, Class L, 6.500%, 09/15/23 | 3,439 | ||||||
| 1,217 | Series 1609, Class LG, IF, 16.656%, 11/15/23 | 1,496 | ||||||
| 1,076 | Series 1642, Class PJ, 6.000%, 11/15/23 | 1,130 | ||||||
| 455 | Series 1658, Class GZ, 7.000%, 01/15/24 | 479 | ||||||
| 16 | Series 1671, Class L, 7.000%, 02/15/24 | 19 | ||||||
| 21 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 26 | ||||||
| 24 | Series 1686, Class SH, IF, 18.534%, 02/15/24 | 40 | ||||||
| 379 | Series 1695, Class EB, 7.000%, 03/15/24 | 421 | ||||||
| 71 | Series 1699, Class FC, VAR, 0.912%, 03/15/24 | 72 | ||||||
| 462 | Series 1700, Class GA, PO, 02/15/24 | 401 | ||||||
| 2,029 | Series 1706, Class K, 7.000%, 03/15/24 | 2,335 | ||||||
| 35 | Series 1709, Class FA, VAR, 2.570%, 03/15/24 | 36 | ||||||
| 1,273 | Series 1720, Class PL, 7.500%, 04/15/24 | 1,458 | ||||||
| 1,511 | Series 1737, Class L, 6.000%, 06/15/24 | 1,642 | ||||||
| 167 | Series 1745, Class D, 7.500%, 08/15/24 | 192 | ||||||
| 1,095 | Series 1798, Class F, 5.000%, 05/15/23 | 1,170 | ||||||
| 23 | Series 1807, Class G, 9.000%, 10/15/20 | 25 | ||||||
| 248 | Series 1829, Class ZB, 6.500%, 03/15/26 | 277 | ||||||
| 26 | Series 1844, Class E, 6.500%, 10/15/13 | 28 | ||||||
| 1,621 | Series 1863, Class Z, 6.500%, 07/15/26 | 1,791 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 58 | Series 1865, Class D, PO, 02/15/24 | 40 | ||||||
| 154 | Series 1890, Class H, 7.500%, 09/15/26 | 176 | ||||||
| 440 | Series 1899, Class ZE, 8.000%, 09/15/26 | 500 | ||||||
| 969 | Series 1927, Class PH, 7.500%, 01/15/27 | 1,090 | ||||||
| 972 | Series 1927, Class ZA, 6.500%, 01/15/27 | 984 | ||||||
| 25 | Series 1935, Class FL, VAR, 1.012%, 02/15/27 | 25 | ||||||
| 338 | Series 1963, Class Z, 7.500%, 01/15/27 | 380 | ||||||
| 50 | Series 1970, Class PG, 7.250%, 07/15/27 | 56 | ||||||
| 970 | Series 1981, Class Z, 6.000%, 05/15/27 | 1,071 | ||||||
| 608 | Series 1983, Class Z, 6.500%, 12/15/23 | 671 | ||||||
| 397 | Series 1987, Class PE, 7.500%, 09/15/27 | 457 | ||||||
| 578 | Series 2019, Class Z, 6.500%, 12/15/27 | 669 | ||||||
| 211 | Series 2025, Class PE, 6.300%, 01/15/13 | 211 | ||||||
| 2,162 | Series 2033, Class J, 5.600%, 06/15/23 | 2,329 | ||||||
| 249 | Series 2033, Class SN, HB, IF, 24.659%, 03/15/24 | 122 | ||||||
| 671 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 139 | ||||||
| 1,815 | Series 2040, Class PE, 7.500%, 03/15/28 | 2,086 | ||||||
| 733 | Series 2054, Class PV, 7.500%, 05/15/28 | 765 | ||||||
| 181 | Series 2055, Class OE, 6.500%, 05/15/13 | 181 | ||||||
| 250 | Series 2056, Class TD, 6.500%, 05/15/18 | 274 | ||||||
| 1,099 | Series 2063, Class PG, 6.500%, 06/15/28 | 1,132 | ||||||
| 184 | Series 2064, Class TE, 7.000%, 06/15/28 | 209 | ||||||
| 750 | Series 2070, Class C, 6.000%, 07/15/28 | 828 | ||||||
| 2,255 | Series 2075, Class PH, 6.500%, 08/15/28 | 2,607 | ||||||
| 2,413 | Series 2075, Class PM, 6.250%, 08/15/28 | 2,566 | ||||||
| 586 | Series 2086, Class GB, 6.000%, 09/15/28 | 620 | ||||||
| 806 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 172 | ||||||
| 2,463 | Series 2095, Class PE, 6.000%, 11/15/28 | 2,704 | ||||||
| 582 | Series 2102, Class TC, 6.000%, 12/15/13 | 611 | ||||||
| 315 | Series 2102, Class TU, 6.000%, 12/15/13 | 331 | ||||||
| 3,498 | Series 2106, Class ZD, 6.000%, 12/15/28 | 3,798 | ||||||
| 6,633 | Series 2110, Class PG, 6.000%, 01/15/29 | 7,206 | ||||||
| 1,332 | Series 2115, Class PE, 6.000%, 01/15/14 | 1,384 | ||||||
| 1,323 | Series 2125, Class JZ, 6.000%, 02/15/29 | 1,414 | ||||||
| 2,710 | Series 2126, Class CB, 6.250%, 02/15/29 | 2,929 | ||||||
| 156 | Series 2132, Class SB, HB, IF, 29.423%, 03/15/29 | 234 | ||||||
| 113 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 17 | ||||||
| 37 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 3 | ||||||
| 85 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 18 | ||||||
| 279 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 62 | ||||||
| 4,234 | Series 2169, Class TB, 7.000%, 06/15/29 | 5,001 | ||||||
| 1,668 | Series 2172, Class QC, 7.000%, 07/15/29 | 1,853 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 25 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 1,059 | Series 2176, Class OJ, 7.000%, 08/15/29 | 1,198 | ||||||
| 5 | Series 2196, Class TL, 7.500%, 11/15/29 | 6 | ||||||
| 859 | Series 2201, Class C, 8.000%, 11/15/29 | 1,041 | ||||||
| 2,333 | Series 2208, Class PG, 7.000%, 01/15/30 | 2,635 | ||||||
| 423 | Series 2209, Class TC, 8.000%, 01/15/30 | 481 | ||||||
| 1,293 | Series 2210, Class Z, 8.000%, 01/15/30 | 1,482 | ||||||
| 392 | Series 2224, Class CB, 8.000%, 03/15/30 | 475 | ||||||
| 433 | Series 2230, Class Z, 8.000%, 04/15/30 | 493 | ||||||
| 359 | Series 2234, Class PZ, 7.500%, 05/15/30 | 403 | ||||||
| 307 | Series 2247, Class Z, 7.500%, 08/15/30 | 348 | ||||||
| 796 | Series 2256, Class MC, 7.250%, 09/15/30 | 940 | ||||||
| 1,450 | Series 2259, Class ZM, 7.000%, 10/15/30 | 1,614 | ||||||
| 36 | Series 2261, Class ZY, 7.500%, 10/15/30 | 40 | ||||||
| 106 | Series 2262, Class Z, 7.500%, 10/15/30 | 119 | ||||||
| 1,319 | Series 2271, Class PC, 7.250%, 12/15/30 | 1,558 | ||||||
| 2,571 | Series 2283, Class K, 6.500%, 12/15/23 | 2,768 | ||||||
| 729 | Series 2296, Class PD, 7.000%, 03/15/31 | 823 | ||||||
| 3,850 | Series 2301, Class PA, 6.000%, 10/15/13 | 3,990 | ||||||
| 281 | Series 2306, Class K, PO, 05/15/24 | 248 | ||||||
| 673 | Series 2306, Class SE, IF, IO, 7.180%, 05/15/24 | 126 | ||||||
| 501 | Series 2313, Class LA, 6.500%, 05/15/31 | 543 | ||||||
| 1,107 | Series 2325, Class PM, 7.000%, 06/15/31 | 1,222 | ||||||
| 1,895 | Series 2332, Class ZH, 7.000%, 07/15/31 | 2,048 | ||||||
| 280 | Series 2333, Class HC, 6.000%, 07/15/31 | 280 | ||||||
| 2,229 | Series 2344, Class QG, 6.000%, 08/15/16 | 2,394 | ||||||
| 10,631 | Series 2344, Class ZD, 6.500%, 08/15/31 | 11,619 | ||||||
| 1,151 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 1,258 | ||||||
| 919 | Series 2345, Class NE, 6.500%, 08/15/31 | 980 | ||||||
| 1,122 | Series 2345, Class PQ, 6.500%, 08/15/16 | 1,193 | ||||||
| 398 | Series 2347, Class VP, 6.500%, 03/15/20 | 412 | ||||||
| 1,362 | Series 2351, Class PZ, 6.500%, 08/15/31 | 1,470 | ||||||
| 2,965 | Series 2353, Class TD, 6.000%, 09/15/16 | 3,163 | ||||||
| 935 | Series 2355, Class BP, 6.000%, 09/15/16 | 1,003 | ||||||
| 299 | Series 2359, Class PM, 6.000%, 09/15/16 | 317 | ||||||
| 2,394 | Series 2359, Class ZB, 8.500%, 06/15/31 | 2,733 | ||||||
| 1,534 | Series 2360, Class PG, 6.000%, 09/15/16 | 1,652 | ||||||
| 265 | Series 2363, Class PF, 6.000%, 09/15/16 | 285 | ||||||
| 793 | Series 2366, Class MD, 6.000%, 10/15/16 | 853 | ||||||
| 882 | Series 2367, Class ME, 6.500%, 10/15/31 | 963 | ||||||
| 1,117 | Series 2388, Class FB, VAR, 0.866%, 01/15/29 | 1,124 | ||||||
| 2,383 | Series 2391, Class QR, 5.500%, 12/15/16 | 2,579 | ||||||
| 672 | Series 2394, Class MC, 6.000%, 12/15/16 | 724 | ||||||
| 1,117 | Series 2399, Class OH, 6.500%, 01/15/32 | 1,223 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,847 | Series 2399, Class TH, 6.500%, 01/15/32 | 2,021 | ||||||
| 2,039 | Series 2410, Class NG, 6.500%, 02/15/32 | 2,239 | ||||||
| 1,130 | Series 2410, Class OE, 6.375%, 02/15/32 | 1,233 | ||||||
| 2,549 | Series 2410, Class QS, IF, 18.809%, 02/15/32 | 3,182 | ||||||
| 715 | Series 2410, Class QX, IF, IO, 8.384%, 02/15/32 | 130 | ||||||
| 2,517 | Series 2412, Class SP, IF, 15.568%, 02/15/32 | 3,024 | ||||||
| 2,326 | Series 2420, Class XK, 6.500%, 02/15/32 | 2,543 | ||||||
| 1,269 | Series 2423, Class MC, 7.000%, 03/15/32 | 1,397 | ||||||
| 1,636 | Series 2423, Class MT, 7.000%, 03/15/32 | 1,801 | ||||||
| 1,966 | Series 2423, Class TB, 6.500%, 03/15/32 | 2,147 | ||||||
| 633 | Series 2425, Class OB, 6.000%, 03/15/17 | 669 | ||||||
| 2,828 | Series 2430, Class WF, 6.500%, 03/15/32 | 3,128 | ||||||
| 3,540 | Series 2434, Class TC, 7.000%, 04/15/32 | 3,922 | ||||||
| 7,040 | Series 2434, Class ZA, 6.500%, 04/15/32 | 7,796 | ||||||
| 1,797 | Series 2435, Class CJ, 6.500%, 04/15/32 | 2,007 | ||||||
| 2,678 | Series 2435, Class VH, 6.000%, 07/15/19 | 2,730 | ||||||
| 1,432 | Series 2436, Class MC, 7.000%, 04/15/32 | 1,584 | ||||||
| 740 | Series 2441, Class GF, 6.500%, 04/15/32 | 818 | ||||||
| 1,578 | Series 2444, Class ES, IF, IO, 7.684%, 03/15/32 | 308 | ||||||
| 1,318 | Series 2450, Class GZ, 7.000%, 05/15/32 | 1,466 | ||||||
| 1,029 | Series 2450, Class SW, IF, IO, 7.734%, 03/15/32 | 200 | ||||||
| 2,706 | Series 2455, Class GK, 6.500%, 05/15/32 | 2,995 | ||||||
| 475 | Series 2458, Class QE, 5.500%, 06/15/17 | 514 | ||||||
| 2,054 | Series 2458, Class ZM, 6.500%, 06/15/32 | 2,258 | ||||||
| 2,184 | Series 2463, Class CE, 6.000%, 06/15/17 | 2,350 | ||||||
| 1,783 | Series 2466, Class DH, 6.500%, 06/15/32 | 1,960 | ||||||
| 2,716 | Series 2466, Class PG, 6.500%, 04/15/32 | 2,876 | ||||||
| 1,400 | Series 2466, Class PH, 6.500%, 06/15/32 | 1,563 | ||||||
| 2,145 | Series 2474, Class NR, 6.500%, 07/15/32 | 2,367 | ||||||
| 5,804 | Series 2475, Class S, IF, IO, 7.734%, 02/15/32 | 1,052 | ||||||
| 88 | Series 2480, Class PV, 6.000%, 07/15/11 | 89 | ||||||
| 3,510 | Series 2484, Class LZ, 6.500%, 07/15/32 | 4,057 | ||||||
| 314 | Series 2488, Class WS, IF, 16.135%, 08/15/17 | 384 | ||||||
| 5,753 | Series 2500, Class MC, 6.000%, 09/15/32 | 6,281 | ||||||
| 815 | Series 2508, Class AQ, 5.500%, 10/15/17 | 888 | ||||||
| 4,073 | Series 2512, Class PG, 5.500%, 10/15/22 | 4,474 | ||||||
| 467 | Series 2513, Class YO, PO, 02/15/32 | 466 | ||||||
| 1,927 | Series 2515, Class DE, 4.000%, 03/15/32 | 2,000 | ||||||
| 1,526 | Series 2515, Class MG, 4.000%, 09/15/17 | 1,591 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 975 | Series 2518, Class PX, 5.500%, 09/15/13 | 1,022 | ||||||
| 50 | Series 2519, Class BT, 8.500%, 09/15/31 | 50 | ||||||
| 1,807 | Series 2535, Class BK, 5.500%, 12/15/22 | 1,975 | ||||||
| 3,973 | Series 2537, Class TE, 5.500%, 12/15/17 | 4,317 | ||||||
| 1,858 | Series 2543, Class LX, 5.000%, 12/15/17 | 1,985 | ||||||
| 5,462 | Series 2543, Class YX, 6.000%, 12/15/32 | 5,986 | ||||||
| 3,640 | Series 2544, Class HC, 6.000%, 12/15/32 | 3,971 | ||||||
| 3,565 | Series 2549, Class ZG, 5.000%, 01/15/18 | 3,776 | ||||||
| 3,763 | Series 2552, Class ME, 6.000%, 01/15/33 | 4,129 | ||||||
| 63 | Series 2565, Class MB, 6.000%, 05/15/30 | 63 | ||||||
| 1,904 | Series 2567, Class QD, 6.000%, 02/15/33 | 2,087 | ||||||
| 15,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 16,274 | ||||||
| 2,094 | Series 2571, Class FY, VAR, 1.016%, 12/15/32 | 2,119 | ||||||
| 376 | Series 2571, Class SK, HB, IF, 33.354%, 09/15/23 | 628 | ||||||
| 1,235 | Series 2571, Class SY, IF, 17.962%, 12/15/32 | 1,627 | ||||||
| 2,580 | Series 2574, Class HP, 5.000%, 02/15/18 | 2,758 | ||||||
| 8,791 | Series 2575, Class ME, 6.000%, 02/15/33 | 9,643 | ||||||
| 1,416 | Series 2586, Class HD, 5.500%, 03/15/23 | 1,525 | ||||||
| 1,666 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 347 | ||||||
| 507 | Series 2591, Class WI, IO, 5.500%, 02/15/30 | 3 | ||||||
| 3,118 | Series 2594, Class VQ, 6.000%, 08/15/20 | 3,202 | ||||||
| 1,420 | Series 2595, Class HC, 5.500%, 04/15/23 | 1,563 | ||||||
| 2,051 | Series 2596, Class QG, 6.000%, 03/15/33 | 2,264 | ||||||
| 1,560 | Series 2597, Class AD, 6.500%, 03/15/32 | 1,640 | ||||||
| 603 | Series 2597, Class DS, IF, IO, 7.284%, 02/15/33 | 39 | ||||||
| 1,114 | Series 2599, Class DS, IF, IO, 6.734%, 02/15/33 | 48 | ||||||
| 3,491 | Series 2610, Class DS, IF, IO, 6.834%, 03/15/33 | 173 | ||||||
| 2,673 | Series 2611, Class SH, IF, IO, 7.384%, 10/15/21 | 109 | ||||||
| 1,680 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,739 | ||||||
| 3,835 | Series 2617, Class GR, 4.500%, 05/15/18 | 4,074 | ||||||
| 167 | Series 2619, Class HR, 3.500%, 11/15/31 | 171 | ||||||
| 515 | Series 2619, Class IM, IO, 5.000%, 10/15/21 | 13 | ||||||
| 6,097 | Series 2626, Class NS, IF, IO, 6.284%, 06/15/23 | 573 | ||||||
| 549 | Series 2628, Class WA, 4.000%, 07/15/28 | 556 | ||||||
| 2,170 | Series 2629, Class BY, IO, 4.500%, 03/15/18 | 166 | ||||||
| 2,368 | Series 2630, Class S, IF, IO, 6.884%, 01/15/17 | 74 | ||||||
| 8,558 | Series 2631, Class LC, 4.500%, 06/15/18 | 9,086 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 7,815 | Series 2631, Class SA, IF, 14.363%, 06/15/33 | 9,066 | ||||||
| 14,389 | Series 2636, Class Z, 4.500%, 06/15/18 | 15,252 | ||||||
| 1,760 | Series 2637, Class SA, IF, IO, 5.834%, 06/15/18 | 177 | ||||||
| 920 | Series 2638, Class DS, IF, 8.334%, 07/15/23 | 942 | ||||||
| 586 | Series 2638, Class SA, IF, IO, 6.834%, 11/15/16 | 13 | ||||||
| 1,232 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 141 | ||||||
| 6,456 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 537 | ||||||
| 124 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | 2 | ||||||
| 798 | Series 2640, Class VE, 3.250%, 07/15/22 | 820 | ||||||
| 763 | Series 2642, Class SL, IF, 6.670%, 07/15/33 | 776 | ||||||
| 79 | Series 2643, Class HI, IO, 4.500%, 12/15/16 | — | (h) | |||||
| 500 | Series 2646, Class SH, IF, 13.350%, 07/15/33 | 516 | ||||||
| 3,113 | Series 2649, Class QE, 4.500%, 08/15/17 | 3,175 | ||||||
| 830 | Series 2650, Class PO, PO, 12/15/32 | 773 | ||||||
| 3,887 | Series 2650, Class SO, PO, 12/15/32 | 3,613 | ||||||
| 14,646 | Series 2651, Class VZ, 4.500%, 07/15/18 | 15,518 | ||||||
| 4,595 | Series 2655, Class EO, PO, 02/15/33 | 4,170 | ||||||
| 2,282 | Series 2658, Class PE, 4.500%, 11/15/16 | 2,335 | ||||||
| 962 | Series 2667, Class SW, IF, 6.545%, 01/15/18 | 973 | ||||||
| 715 | Series 2668, Class S, IF, 11.468%, 09/15/33 | 723 | ||||||
| 2,298 | Series 2668, Class SB, IF, 6.964%, 10/15/15 | 2,334 | ||||||
| 2,408 | Series 2671, Class S, IF, 14.271%, 09/15/33 | 2,771 | ||||||
| 3,598 | Series 2672, Class ME, 5.000%, 11/15/22 | 3,858 | ||||||
| 494 | Series 2672, Class SJ, IF, 6.919%, 09/15/16 | 506 | ||||||
| 11,345 | Series 2675, Class CK, 4.000%, 09/15/18 | 11,956 | ||||||
| 789 | Series 2676, Class TS, IF, 15.695%, 01/15/32 | 855 | ||||||
| 8,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 8,557 | ||||||
| 3,067 | Series 2682, Class YS, IF, 8.610%, 10/15/33 | 2,917 | ||||||
| 11 | Series 2683, Class VA, 5.500%, 02/15/21 | 11 | ||||||
| 18,000 | Series 2684, Class PO, PO, 01/15/33 | 15,913 | ||||||
| 93 | Series 2684, Class SN, HB, IF, 26.921%, 10/15/33 | 105 | ||||||
| 1,685 | Series 2684, Class TO, PO, 10/15/33 | 1,543 | ||||||
| 548 | Series 2686, Class GB, 5.000%, 05/15/20 | 556 | ||||||
| 1,161 | Series 2686, Class NS, IF, IO, 7.334%, 10/15/21 | 57 | ||||||
| 13,027 | Series 2690, Class SJ, IF, 8.751%, 10/15/33 | 12,311 | ||||||
| 2,500 | Series 2691, Class ND, 5.000%, 10/15/28 | 2,543 | ||||||
| 1,246 | Series 2691, Class SE, IF, 9.173%, 12/15/28 | 1,289 | ||||||
| 1,120 | Series 2691, Class SM, IF, 8.751%, 10/15/33 | 1,067 | ||||||
| 1,530 | Series 2691, Class WS, IF, 8.601%, 10/15/33 | 1,450 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 27 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 2,543 | Series 2692, Class SC, IF, 12.755%, 07/15/33 | 2,679 | ||||||
| 561 | Series 2694, Class SQ, IF, 8.610%, 10/15/33 | 531 | ||||||
| 1,740 | Series 2695, Class DE, 4.000%, 01/15/17 | 1,783 | ||||||
| 2,352 | Series 2695, Class OB, PO, 10/15/33 | 2,064 | ||||||
| 526 | Series 2696, Class CO, PO, 10/15/18 | 434 | ||||||
| 79 | Series 2696, Class SM, IF, 13.669%, 12/15/26 | 80 | ||||||
| 497 | Series 2697, Class LE, 4.500%, 11/15/20 | 506 | ||||||
| 2,203 | Series 2698, Class SV, IF, 8.601%, 11/15/33 | 2,079 | ||||||
| 4,646 | Series 2700, Class S, IF, 8.601%, 11/15/33 | 4,527 | ||||||
| 1,791 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,915 | ||||||
| 1,351 | Series 2705, Class SC, IF, 8.601%, 11/15/33 | 1,271 | ||||||
| 2,166 | Series 2705, Class SD, IF, 8.658%, 11/15/33 | 2,006 | ||||||
| 7,400 | Series 2707, Class QE, 4.500%, 11/15/18 | 7,910 | ||||||
| 5,000 | Series 2709, Class PG, 5.000%, 11/15/23 | 5,296 | ||||||
| 2,240 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,416 | ||||||
| 4,480 | Series 2716, Class UN, 4.500%, 12/15/23 | 4,715 | ||||||
| 2,202 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,266 | ||||||
| 3,346 | Series 2725, Class OP, PO, 10/15/33 | 2,921 | ||||||
| 17,303 | Series 2727, Class BS, IF, 8.676%, 01/15/34 | 16,547 | ||||||
| 53 | Series 2727, Class PO, PO, 01/15/34 | 52 | ||||||
| 10,505 | Series 2733, Class SB, IF, 7.771%, 10/15/33 | 11,358 | ||||||
| 2,047 | Series 2743, Class HD, 4.500%, 08/15/17 | 2,121 | ||||||
| 5,000 | Series 2743, Class HE, 4.500%, 02/15/19 | 5,325 | ||||||
| 691 | Series 2744, Class FE, VAR, 0.000% 02/15/34 | 672 | ||||||
| 312 | Series 2744, Class PD, 5.500%, 08/15/33 | 319 | ||||||
| 2,535 | Series 2744, Class PE, 5.500%, 02/15/34 | 2,774 | ||||||
| 6,112 | Series 2744, Class TU, 5.500%, 05/15/32 | 6,589 | ||||||
| 3,151 | Series 2748, Class KO, PO, 10/15/23 | 2,924 | ||||||
| 106 | Series 2754, Class JG, 4.500%, 03/15/33 | 107 | ||||||
| 1,546 | Series 2755, Class PA, PO, 02/15/29 | 1,527 | ||||||
| 2,173 | Series 2755, Class SA, IF, 13.669%, 05/15/30 | 2,437 | ||||||
| 3,857 | Series 2758, Class AO, PO, 03/15/19 | 3,576 | ||||||
| 197 | Series 2762, Class LO, PO, 03/15/34 | 195 | ||||||
| 321 | Series 2764, Class UC, 5.000%, 05/15/27 | 324 | ||||||
| 160 | Series 2766, Class SX, IF, 15.720%, 03/15/34 | 161 | ||||||
| 405 | Series 2771, Class FG, VAR, 0.000%, 03/15/34 | 348 | ||||||
| 1,481 | Series 2776, Class SK, IF, 8.676%, 04/15/34 | 1,416 | ||||||
| 5,800 | Series 2777, Class KO, PO, 02/15/33 | 5,276 | ||||||
| 2,584 | Series 2778, Class US, IF, IO, 6.934%, 06/15/33 | 148 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 518 | Series 2780, Class JG, 4.500%, 04/15/19 | 546 | ||||||
| 1,000 | Series 2780, Class SY, IF, 15.915%, 11/15/33 | 1,238 | ||||||
| 5,672 | Series 2802, Class OH, 6.000%, 05/15/34 | 6,266 | ||||||
| 1,063 | Series 2809, Class UB, 4.000%, 09/15/17 | 1,091 | ||||||
| 2,000 | Series 2809, Class UC, 4.000%, 06/15/19 | 2,100 | ||||||
| 996 | Series 2812, Class AB, 4.500%, 10/15/18 | 1,038 | ||||||
| 4,407 | Series 2812, Class NO, PO, 10/15/33 | 3,493 | ||||||
| 6,350 | Series 2827, Class QE, 5.500%, 03/15/33 | 6,803 | ||||||
| 142 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 146 | ||||||
| 3,346 | Series 2835, Class BO, PO, 12/15/28 | 3,222 | ||||||
| 617 | Series 2835, Class QO, PO, 12/15/32 | 536 | ||||||
| 659 | Series 2840, Class JO, PO, 06/15/23 | 632 | ||||||
| 834 | Series 2863, Class JA, 4.500%, 09/15/19 | 862 | ||||||
| 2,000 | Series 2864, Class GB, 4.000%, 09/15/19 | 2,102 | ||||||
| 764 | Series 2865, Class GO, PO, 10/15/33 | 757 | ||||||
| 96 | Series 2890, Class DO, PO, 11/15/34 | 95 | ||||||
| 1,466 | Series 2897, Class EO, PO, 10/15/31 | 1,453 | ||||||
| 1,727 | Series 2903, Class UZ, 5.500%, 07/15/31 | 1,783 | ||||||
| 2,721 | Series 2903, Class Z, 5.000%, 12/15/24 | 2,817 | ||||||
| 7,872 | Series 2921, Class MD, 5.000%, 06/15/33 | 8,353 | ||||||
| 520 | Series 2925, Class MW, VAR, 0.000% 01/15/35 | 517 | ||||||
| 2,079 | Series 2929, Class MS, HB, IF, 26.991%, 02/15/35 | 2,846 | ||||||
| 15,680 | Series 2934, Class EC, PO, 02/15/20 | 14,623 | ||||||
| 995 | Series 2934, Class EN, PO, 02/15/18 | 975 | ||||||
| 4,671 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 558 | ||||||
| 3,284 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 384 | ||||||
| 1,777 | Series 2945, Class SA, IF, 11.816%, 03/15/20 | 2,016 | ||||||
| 2,319 | Series 2965, Class GD, 4.500%, 04/15/20 | 2,472 | ||||||
| 1,518 | Series 2967, Class S, HB, IF, 32.363%, 04/15/25 | 2,225 | ||||||
| 10,244 | Series 2968, Class EH, 6.000%, 04/15/35 | 11,349 | ||||||
| 4,287 | Series 2981, Class FA, VAR, 0.666%, 05/15/35 | 4,251 | ||||||
| 3,784 | Series 2988, Class AF, VAR, 0.566%, 06/15/35 | 3,748 | ||||||
| 1,612 | Series 2988, Class GS, IF, 15.961%, 06/15/35 | 1,797 | ||||||
| 188 | Series 2988, Class SD, IF, 15.836%, 03/15/35 | 203 | ||||||
| 906 | Series 2989, Class PO, PO, 06/15/23 | 869 | ||||||
| 1,772 | Series 2990, Class GO, PO, 02/15/35 | 1,431 | ||||||
| 5,355 | Series 2990, Class LK, VAR, 0.636%, 10/15/34 | 5,359 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 4,334 | Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 | 5,887 | ||||||
| 1,998 | Series 2990, Class WP, IF, 16.342%, 06/15/35 | 2,416 | ||||||
| 4,879 | Series 2991, Class EG, 5.500%, 11/15/34 | 5,120 | ||||||
| 5,000 | Series 2992, Class LB, 5.000%, 06/15/20 | 5,374 | ||||||
| 11,244 | Series 2995, Class FK, VAR, 0.516%, 05/15/34 | 11,228 | ||||||
| 1,202 | Series 2996, Class SL, IF, 15.108%, 06/15/35 | 1,330 | ||||||
| 6,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 6,311 | ||||||
| 4,500 | Series 2999, Class ND, 4.500%, 07/15/20 | 4,738 | ||||||
| 588 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | 56 | ||||||
| 348 | Series 3014, Class OD, PO, 08/15/35 | 304 | ||||||
| 824 | Series 3022, Class SX, IF, 16.211%, 08/15/25 | 1,012 | ||||||
| 1,990 | Series 3029, Class SO, PO, 09/15/35 | 1,684 | ||||||
| 203 | Series 3034, Class FB, VAR, 0.000% 09/15/35 | 190 | ||||||
| 4,871 | Series 3042, Class PF, VAR, 0.516%, 08/15/35 | 4,858 | ||||||
| 191 | Series 3044, Class GU, VAR, 0.000% 10/15/35 | 189 | ||||||
| 221 | Series 3044, Class VO, PO, 10/15/35 | 199 | ||||||
| 2,505 | Series 3047, Class OB, 5.500%, 12/15/33 | 2,651 | ||||||
| 21,221 | Series 3049, Class XF, VAR, 0.616%, 05/15/33 | 21,168 | ||||||
| 1,965 | Series 3051, Class DP, HB, IF, 26.859%, 10/15/25 | 2,646 | ||||||
| 206 | Series 3058, Class YO, PO, 10/15/35 | 188 | ||||||
| 1,788 | Series 3064, Class OB, 5.500%, 07/15/29 | 1,856 | ||||||
| 1,726 | Series 3064, Class SG, IF, 19.114%, 11/15/35 | 2,164 | ||||||
| 6,564 | Series 3065, Class DF, VAR, 0.646%, 04/15/35 | 6,568 | ||||||
| 1,009 | Series 3068, Class AO, PO, 01/15/35 | 966 | ||||||
| 4,435 | Series 3077, Class TO, PO, 04/15/35 | 3,917 | ||||||
| 1,286 | Series 3100, Class MA, VAR, 2.514%, 12/15/35 | 1,161 | ||||||
| 7,456 | Series 3101, Class UZ, 6.000%, 01/15/36 | 8,189 | ||||||
| 7,989 | Series 3102, Class FB, VAR, 0.566%, 01/15/36 | 7,975 | ||||||
| 867 | Series 3102, Class HS, HB, IF, 23.592%, 01/15/36 | 1,177 | ||||||
| 9,346 | Series 3117, Class AO, PO, 02/15/36 | 8,385 | ||||||
| 1,904 | Series 3117, Class EO, PO, 02/15/36 | 1,641 | ||||||
| 1,844 | Series 3117, Class OK, PO, 02/15/36 | 1,595 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 5,711 | Series 3122, Class OH, PO, 03/15/36 | 5,025 | ||||||
| 5,342 | Series 3122, Class OP, PO, 03/15/36 | 4,784 | ||||||
| 123 | Series 3122, Class ZB, 6.000%, 03/15/36 | 115 | ||||||
| 759 | Series 3134, Class PO, PO, 03/15/36 | 661 | ||||||
| 5,304 | Series 3137, Class XP, 6.000%, 04/15/36 | 5,817 | ||||||
| 4,193 | Series 3138, Class PO, PO, 04/15/36 | 3,740 | ||||||
| 10,690 | Series 3147, Class PO, PO, 04/15/36 | 9,395 | ||||||
| 691 | Series 3149, Class SO, PO, 05/15/36 | 529 | ||||||
| 2,470 | Series 3151, Class PO, PO, 05/15/36 | 2,129 | ||||||
| 5,050 | Series 3153, Class EO, PO, 05/15/36 | 4,528 | ||||||
| 3,000 | Series 3162, Class OB, 6.000%, 11/15/30 | 3,098 | ||||||
| 2,400 | Series 3164, Class MG, 6.000%, 06/15/36 | 2,611 | ||||||
| 7,595 | Series 3171, Class MO, PO, 06/15/36 | 6,534 | ||||||
| 1,281 | Series 3174, Class PX, 5.000%, 06/15/17 | 1,375 | ||||||
| 3,550 | Series 3179, Class OA, PO, 07/15/36 | 3,073 | ||||||
| 3,701 | Series 3181, Class AZ, 6.500%, 07/15/36 | 4,110 | ||||||
| 8,432 | Series 3184, Class OA, PO, 02/15/33 | 7,878 | ||||||
| 483 | Series 3186, Class MT, IF, 4.666%, 07/15/36 | 473 | ||||||
| 7,300 | Series 3189, Class PC, 6.000%, 08/15/35 | 7,979 | ||||||
| 3,715 | Series 3194, Class SA, IF, IO, 6.834%, 07/15/36 | 510 | ||||||
| 7,030 | Series 3195, Class PD, 6.500%, 07/15/36 | 7,775 | ||||||
| 13,250 | Series 3200, Class AY, 5.500%, 08/15/36 | 14,162 | ||||||
| 32,671 | Series 3202, Class HI, IF, IO, 6.384%, 08/15/36 | 5,007 | ||||||
| 1,542 | Series 3213, Class OA, PO, 09/15/36 | 1,319 | ||||||
| 1,236 | Series 3218, Class AO, PO, 09/15/36 | 1,122 | ||||||
| 7,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 7,663 | ||||||
| 12,026 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 2,329 | ||||||
| 3,419 | Series 3225, Class EO, PO, 10/15/36 | 2,986 | ||||||
| 5,091 | Series 3232, Class ST, IF, IO, 6.434%, 10/15/36 | 722 | ||||||
| 1,375 | Series 3233, Class OP, PO, 05/15/36 | 1,186 | ||||||
| 10 | Series 3245, Class MO, PO, 11/15/36 | 9 | ||||||
| 682 | Series 3253, Class A, 5.000%, 08/15/20 | 717 | ||||||
| 22,780 | Series 3253, Class PO, PO, 12/15/21 | 21,662 | ||||||
| 1,439 | Series 3256, Class PO, PO, 12/15/36 | 1,262 | ||||||
| 2,862 | Series 3260, Class CS, IF, IO, 5.874%, 01/15/37 | 364 | ||||||
| 1,355 | Series 3261, Class OA, PO, 01/15/37 | 1,193 | ||||||
| 421 | Series 3263, Class TP, VAR, 0.000% 08/15/35 | 419 | ||||||
| 9,000 | Series 3266, Class D, 5.000%, 01/15/22 | 9,712 | ||||||
| 53 | Series 3269, Class WF, VAR, 0.000% 01/15/37 | 51 | ||||||
| 8,200 | Series 3274, Class B, 6.000%, 02/15/37 | 9,050 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 29 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 2,171 | Series 3274, Class JO, PO, 02/15/37 | 1,897 | ||||||
| 5,960 | Series 3275, Class FL, VAR, 0.706%, 02/15/37 | 5,920 | ||||||
| 5,500 | Series 3284, Class CB, 5.000%, 03/15/22 | 5,869 | ||||||
| 3,136 | Series 3286, Class PO, PO, 03/15/37 | 2,737 | ||||||
| 5,210 | Series 3290, Class SB, IF, IO, 6.184%, 03/15/37 | 667 | ||||||
| 3,000 | Series 3302, Class UT, 6.000%, 04/15/37 | 3,264 | ||||||
| 4,490 | Series 3305, Class MG, IF, 2.486%, 07/15/34 | 4,172 | ||||||
| 6,258 | Series 3315, Class HZ, 6.000%, 05/15/37 | 6,741 | ||||||
| 365 | Series 3318, Class AO, PO, 05/15/37 | 323 | ||||||
| 5,000 | Series 3329, Class JD, 6.000%, 06/15/36 | 5,450 | ||||||
| 3,500 | Series 3329, Class WK, 6.000%, 12/15/31 | 3,667 | ||||||
| 2,592 | Series 3331, Class PO, PO, 06/15/37 | 2,262 | ||||||
| 4,000 | Series 3334, Class MC, 5.000%, 04/15/33 | 4,130 | ||||||
| 4,328 | Series 3344, Class SL, IF, IO, 6.334%, 07/15/37 | 588 | ||||||
| 638 | Series 3356, Class PA, 6.000%, 11/15/26 | 640 | ||||||
| 3,347 | Series 3369, Class VA, 6.000%, 07/15/18 | 3,614 | ||||||
| 1,551 | Series 3371, Class FA, VAR, 0.866%, 09/15/37 | 1,554 | ||||||
| 2,425 | Series 3373, Class TO, PO, 04/15/37 | 2,111 | ||||||
| 18,228 | Series 3383, Class SA, IF, IO, 6.184%, 11/15/37 | 2,596 | ||||||
| 23,264 | Series 3387, Class SA, IF, IO, 6.154%, 11/15/37 | 2,992 | ||||||
| 3,045 | Series 3389, Class DQ, 5.750%, 10/15/35 | 3,275 | ||||||
| 6,283 | Series 3398, Class PO, PO, 01/15/36 | 5,676 | ||||||
| 24,078 | Series 3404, Class SC, IF, IO, 5.734%, 01/15/38 | 2,694 | ||||||
| 1,358 | Series 3422, Class SE, IF, 16.786%, 02/15/38 | 1,626 | ||||||
| 11,891 | Series 3424, Class PI, IF, IO, 6.534%, 04/15/38 | 1,740 | ||||||
| 14,320 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 219 | ||||||
| 26,313 | Series 3437, Class AI, IO, 1.335%, 09/15/11 | 133 | ||||||
| 570 | Series 3443, Class SY, IF, 9.000%, 03/15/37 | 582 | ||||||
| 14,500 | Series 3453, Class B, 5.500%, 05/15/38 | 15,619 | ||||||
| 8,438 | Series 3455, Class SE, IF, IO, 5.934%, 06/15/38 | 1,147 | ||||||
| 2,405 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,605 | ||||||
| 7,038 | Series 3461, Class Z, 6.000%, 06/15/38 | 7,693 | ||||||
| 14,794 | Series 3481, Class SJ, IF, IO, 5.584%, 08/15/38 | 1,812 | ||||||
| 7,500 | Series 3493, Class LA, 4.000%, 10/15/23 | 7,761 | ||||||
| 6,500 | Series 3501, Class CB, 5.500%, 01/15/39 | 7,002 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 13,930 | Series 3505, Class SA, IF, IO, 5.734%, 01/15/39 | 1,456 | ||||||
| 3,280 | Series 3510, Class OD, PO, 02/15/37 | 2,904 | ||||||
| 13,488 | Series 3511, Class SA, IF, IO, 5.734%, 02/15/39 | 1,461 | ||||||
| 2,419 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 455 | ||||||
| 3,462 | Series 3523, Class SD, IF, 18.932%, 06/15/36 | 4,225 | ||||||
| 608 | Series 3531, Class MZ, 4.500%, 05/15/39 | 609 | ||||||
| 18,896 | Series 3531, Class SA, IF, IO, 6.034%, 05/15/39 | 2,381 | ||||||
| 12,428 | Series 3531, Class SM, IF, IO, 5.834%, 05/15/39 | 1,648 | ||||||
| 4,846 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 5,161 | ||||||
| 14,799 | Series 3549, Class FA, VAR, 1.466%, 07/15/39 | 14,698 | ||||||
| 6,759 | Series 3564, Class JA, 4.000%, 01/15/18 | 7,120 | ||||||
| 5,750 | Series 3607, Class AO, PO, 04/15/36 | 4,308 | ||||||
| 10,538 | Series 3607, Class BO, PO, 04/15/36 | 7,896 | ||||||
| 6,113 | Series 3607, Class EO, PO, 02/15/33 | 5,548 | ||||||
| 7,886 | Series 3607, Class OP, PO, 07/15/37 | 6,374 | ||||||
| 5,540 | Series 3607, Class TO, PO, 10/15/39 | 4,873 | ||||||
| 18,886 | Series 3608, Class SC, IF, IO, 5.984%, 12/15/39 | 2,274 | ||||||
| 13,236 | Series 3611, Class PO, PO, 07/15/34 | 11,585 | ||||||
| 4,600 | Series 3632, Class BS, IF, 16.614%, 02/15/40 | 5,079 | ||||||
| 2,734 | Series 3645, Class KZ, 5.500%, 08/15/36 | 2,889 | ||||||
| 6,800 | Series 3654, Class DC, 5.000%, 04/15/30 | 6,975 | ||||||
| 4,039 | Series 3654, Class VB, 5.500%, 10/15/27 | 4,330 | ||||||
| 3,946 | Series 3659, Class VE, 5.000%, 03/15/26 | 4,174 | ||||||
| 12,448 | Series 3666, Class VA, 5.500%, 12/15/22 | 13,623 | ||||||
| 25,774 | Series 3680, Class MA, 4.500%, 07/15/39 | 26,805 | ||||||
| 19,454 | Series 3687, Class MA, 4.500%, 02/15/37 | 20,490 | ||||||
| 10,534 | Series 3688, Class CU, VAR, 6.819%, 11/15/21 | 11,487 | ||||||
| 32,945 | Series 3688, Class GT, VAR, 7.155%, 11/15/46 | 36,478 | ||||||
| 91,693 | Series 3704, Class CT, 7.000%, 12/15/36 | 102,042 | ||||||
| 42,307 | Series 3704, Class DT, 7.500%, 11/15/36 | 47,724 | ||||||
| 38,945 | Series 3704, Class ET, 7.500%, 12/15/36 | 44,007 | ||||||
| 22,834 | Series 3740, Class SB, IF, IO, 5.734%, 10/15/40 | 3,604 | ||||||
| 23,732 | Series 3740, Class SC, IF, IO, 5.734%, 10/15/40 | 3,677 | ||||||
| 31,599 | Series 3756, Class IP, IO, 4.000%, 08/15/35 | 4,775 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 41,595 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 6,746 | ||||||
| 34,634 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 5,924 | ||||||
| 24,798 | Series 3760, Class NI, IO, 4.000%, 10/15/37 | 3,956 | ||||||
| 19,829 | Series 3779, Class IH, IO, 4.000%, 11/15/34 | 2,877 | ||||||
| 13,000 | Series 3800, Class AI, IO, 4.000%, 11/15/29 | 2,150 | ||||||
| 86,989 | Series 3802, Class LS, IF, IO, 4.533%, 01/15/40 | 6,905 | ||||||
| 18,603 | Series R007, Class ZA, 6.000%, 05/15/36 | 20,167 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
| 7 | Series 134, Class B, IO, 9.000%, 04/01/22 | 2 | ||||||
| 5,262 | Series 197, Class PO, PO, 04/01/28 | 4,468 | ||||||
| 13,706 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 2,634 | ||||||
| 11,194 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 2,149 | ||||||
| 21,695 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 4,136 | ||||||
| 71,076 | Series 239, Class S30, IF, IO, 7.434%, 08/15/36 | 10,461 | ||||||
| 6,778 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 662 | ||||||
| 4,290 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 431 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
| 1,305 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 | 1,529 | ||||||
| 5,718 | Series T-42, Class A5, 7.500%, 02/25/42 | 6,739 | ||||||
| 3,938 | Series T-48, Class 1A, VAR, 6.511%, 07/25/33 | 4,652 | ||||||
| 863 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 995 | ||||||
| 5,319 | Series T-54, Class 2A, 6.500%, 02/25/43 | 6,149 | ||||||
| 1,846 | Series T-54, Class 3A, 7.000%, 02/25/43 | 2,066 | ||||||
| 13,017 | Series T-56, Class A5, 5.231%, 05/25/43 (f) (i) | 13,778 | ||||||
| 1,525 | Series T-57, Class 1A3, 7.500%, 07/25/43 | 1,792 | ||||||
| 569 | Series T-57, Class 1AP, PO, 07/25/43 | 461 | ||||||
| 7,268 | Series T-58, Class 4A, 7.500%, 09/25/43 | 8,683 | ||||||
| 686 | Series T-58, Class APO, PO, 09/25/43 | 572 | ||||||
| 7,108 | Series T-59, Class 1A2, 7.000%, 10/25/43 | 8,201 | ||||||
| 781 | Series T-59, Class 1AP, PO, 10/25/43 | 616 | ||||||
| 35,577 | Series T-76, Class 2A, VAR, 4.785%, 10/25/37 | 35,730 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
| 2,656 | Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39 | 2,969 | ||||||
| 3,523 | Series 2001-T10, Class A2, 7.500%, 12/25/41 | 4,115 | ||||||
| 2,924 | Series 2001-T3, Class A1, 7.500%, 11/25/40 | 3,430 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 3,317 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 3,804 | ||||||
| 1,543 | Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 1,702 | ||||||
| 7,845 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 8,786 | ||||||
| 4,672 | Series 2004-T2, Class 2A, VAR, 4.142%, 07/25/43 | 4,750 | ||||||
| 11,338 | Series 2004-T3, Class 1A2, 6.500%, 02/25/44 | 13,081 | ||||||
| 4,226 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 4,906 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 22 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 25 | ||||||
| 91 | Series 1989-70, Class G, 8.000%, 10/25/19 | 106 | ||||||
| 43 | Series 1989-78, Class H, 9.400%, 11/25/19 | 49 | ||||||
| 39 | Series 1989-83, Class H, 8.500%, 11/25/19 | 45 | ||||||
| 44 | Series 1989-89, Class H, 9.000%, 11/25/19 | 51 | ||||||
| 23 | Series 1990-1, Class D, 8.800%, 01/25/20 | 26 | ||||||
| 11 | Series 1990-7, Class B, 8.500%, 01/25/20 | 12 | ||||||
| 13 | Series 1990-60, Class K, 5.500%, 06/25/20 | 14 | ||||||
| 20 | Series 1990-63, Class H, 9.500%, 06/25/20 | 22 | ||||||
| 14 | Series 1990-93, Class G, 5.500%, 08/25/20 | 15 | ||||||
| — | (h) | Series 1990-94, Class H, HB, 505.000%, 08/25/20 | 1 | |||||
| — | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 6 | |||||
| 101 | Series 1990-102, Class J, 6.500%, 08/25/20 | 110 | ||||||
| 84 | Series 1990-120, Class H, 9.000%, 10/25/20 | 95 | ||||||
| 10 | Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 | 15 | ||||||
| 1 | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 7 | ||||||
| — | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
| 26 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 27 | ||||||
| 29 | Series 1991-42, Class S, IF, 17.183%, 05/25/21 | 37 | ||||||
| 4 | Series 1992-101, Class J, 7.500%, 06/25/22 | 4 | ||||||
| 708 | Series 1992-117, Class MA, 8.000%, 07/25/22 | 798 | ||||||
| 121 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 131 | ||||||
| 135 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 146 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 31 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 852 | Series 1992-150, Class M, 8.000%, 09/25/22 | 1,039 | ||||||
| 281 | Series 1992-163, Class M, 7.750%, 09/25/22 | 315 | ||||||
| 414 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 463 | ||||||
| 198 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 222 | ||||||
| 506 | Series 1993-25, Class J, 7.500%, 03/25/23 | 567 | ||||||
| 77 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 92 | ||||||
| 1,232 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 1,362 | ||||||
| 431 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 476 | ||||||
| 4,627 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 5,131 | ||||||
| 207 | Series 1993-62, Class SA, IF, 17.015%, 04/25/23 | 280 | ||||||
| 2,650 | Series 1993-99, Class Z, 7.000%, 07/25/23 | 3,150 | ||||||
| 118 | Series 1993-122, Class M, 6.500%, 07/25/23 | 129 | ||||||
| 2,426 | Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 | 2,883 | ||||||
| 3,642 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 4,182 | ||||||
| 106 | Series 1993-165, Class SD, IF, 11.657%, 09/25/23 | 131 | ||||||
| 132 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 150 | ||||||
| 114 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 116 | ||||||
| 191 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 210 | ||||||
| 89 | Series 1993-179, Class SB, HB, IF, 23.152%, 10/25/23 | 115 | ||||||
| 59 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 76 | ||||||
| 3,627 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 4,000 | ||||||
| 1,468 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 1,619 | ||||||
| 270 | Series 1993-199, Class FA, VAR, 0.831%, 10/25/23 | 271 | ||||||
| 171 | Series 1993-205, Class H, PO, 09/25/23 | 147 | ||||||
| 202 | Series 1993-220, Class SG, IF, 15.437%, 11/25/13 | 235 | ||||||
| 128 | Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 | 160 | ||||||
| 255 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 272 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 70 | Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 | 70 | ||||||
| 252 | Series 1993-247, Class FE, VAR, 1.281%, 12/25/23 | 256 | ||||||
| 308 | Series 1993-247, Class SA, HB, IF, 24.332%, 12/25/23 | 408 | ||||||
| 117 | Series 1993-247, Class SU, IF, 11.442%, 12/25/23 | 148 | ||||||
| 993 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 1,055 | ||||||
| 1,517 | Series 1993-257, Class C, PO, 06/25/23 | 1,504 | ||||||
| 19 | Series 1994-9, Class E, PO, 11/25/23 | 16 | ||||||
| 1,018 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,149 | ||||||
| 4,858 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 5,334 | ||||||
| 5,986 | Series 1994-62, Class PK, 7.000%, 04/25/24 | 6,712 | ||||||
| 3,425 | Series 1994-63, Class PK, 7.000%, 04/25/24 | 3,915 | ||||||
| 141 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 160 | ||||||
| 373 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 421 | ||||||
| 1,839 | Series 1996-14, Class SE, IF, IO, 7.330%, 08/25/23 | 340 | ||||||
| 78 | Series 1996-27, Class FC, VAR, 0.781%, 03/25/17 | 78 | ||||||
| 1,478 | Series 1996-48, Class Z, 7.000%, 11/25/26 | 1,640 | ||||||
| 185 | Series 1996-59, Class J, 6.500%, 08/25/22 | 203 | ||||||
| 246 | Series 1996-59, Class K, 6.500%, 07/25/23 | 253 | ||||||
| 386 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 18 | ||||||
| 1,389 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 66 | ||||||
| 272 | Series 1997-27, Class J, 7.500%, 04/18/27 | 299 | ||||||
| 296 | Series 1997-29, Class J, 7.500%, 04/20/27 | 328 | ||||||
| 1,016 | Series 1997-32, Class PG, 6.500%, 04/25/27 | 1,146 | ||||||
| 1,181 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 1,312 | ||||||
| 272 | Series 1997-42, Class EN, 7.250%, 07/18/27 | 283 | ||||||
| 107 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 119 | ||||||
| 1,611 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 1,780 | ||||||
| 456 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 97 | ||||||
| 69 | Series 1998-4, Class C, PO, 04/25/23 | 61 | ||||||
| 1,211 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 1,331 | ||||||
| 354 | Series 1998-43, Class SA, IF, IO, 15.907%, 04/25/23 | 130 | ||||||
| 537 | Series 1998-66, Class SB, IF, IO, 7.889%, 12/25/28 | 115 | ||||||
| 321 | Series 1999-17, Class C, 6.350%, 04/25/29 | 355 | ||||||
| 2,283 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 2,493 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 595 | Series 1999-38, Class SK, IF, IO, 7.788%, 08/25/23 | 98 | ||||||
| 165 | Series 1999-52, Class NS, HB, IF, 22.648%, 10/25/23 | 224 | ||||||
| 429 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 483 | ||||||
| 2,310 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 2,593 | ||||||
| 690 | Series 2000-20, Class SA, IF, IO, 8.839%, 07/25/30 | 171 | ||||||
| 103 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 22 | ||||||
| 928 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 1,005 | ||||||
| 535 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 559 | ||||||
| 356 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 396 | ||||||
| 1,312 | Series 2001-7, Class PR, 6.000%, 03/25/16 | 1,379 | ||||||
| 1,337 | Series 2001-10, Class PR, 6.000%, 04/25/16 | 1,403 | ||||||
| 1,055 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 1,174 | ||||||
| 111 | Series 2001-31, Class VD, 6.000%, 05/25/31 | 111 | ||||||
| 2,661 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 512 | ||||||
| 1,817 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 2,020 | ||||||
| 2,244 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 2,495 | ||||||
| 654 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 728 | ||||||
| 473 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 526 | ||||||
| 5,658 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 6,271 | ||||||
| 660 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 730 | ||||||
| 304 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 336 | ||||||
| 997 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 1,071 | ||||||
| 5,000 | Series 2001-60, Class PX, 6.000%, 11/25/31 | 5,488 | ||||||
| 1,354 | Series 2001-60, Class QS, HB, IF, 23.585%, 09/25/31 | 1,892 | ||||||
| 3,450 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 3,836 | ||||||
| 1,074 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 1,156 | ||||||
| 1,825 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 1,962 | ||||||
| 245 | Series 2001-72, Class SX, IF, 16.857%, 12/25/31 | 303 | ||||||
| 5,791 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 6,232 | ||||||
| 676 | Series 2001-80, Class PE, 6.000%, 07/25/29 | 692 | ||||||
| 189 | Series 2001-81, Class LO, PO, 01/25/32 | 173 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,644 | Series 2002-1, Class G, 7.000%, 07/25/23 | 1,824 | ||||||
| 881 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 931 | ||||||
| 586 | Series 2002-1, Class SA, HB, IF, 24.338%, 02/25/32 | 831 | ||||||
| 252 | Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 | 354 | ||||||
| 1,535 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 1,644 | ||||||
| 4,141 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 4,451 | ||||||
| 2,840 | Series 2002-5, Class PK, 6.000%, 02/25/22 | 3,155 | ||||||
| 730 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 785 | ||||||
| 2,348 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 2,522 | ||||||
| 816 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 881 | ||||||
| 3,163 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 154 | ||||||
| 54 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 65 | ||||||
| 11,394 | Series 2002-15, Class ZA, 6.000%, 04/25/32 | 12,475 | ||||||
| 3,917 | Series 2002-16, Class PG, 6.000%, 04/25/17 | 4,250 | ||||||
| 5,599 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 5,902 | ||||||
| 721 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 775 | ||||||
| 147 | Series 2002-21, Class LO, PO, 04/25/32 | 125 | ||||||
| 1,974 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 2,170 | ||||||
| 2,678 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 2,909 | ||||||
| 3,629 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 4,011 | ||||||
| 1,464 | Series 2002-31, Class S, IF, 18.692%, 05/25/17 | 1,847 | ||||||
| 1,803 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 1,993 | ||||||
| 8,376 | Series 2002-38, Class QE, 6.000%, 06/25/17 | 9,001 | ||||||
| 1,114 | Series 2002-42, Class C, 6.000%, 07/25/17 | 1,204 | ||||||
| 4,475 | Series 2002-48, Class GH, 6.500%, 08/25/32 | 4,922 | ||||||
| 5,000 | Series 2002-54, Class PG, 6.000%, 09/25/22 | 5,499 | ||||||
| 579 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 631 | ||||||
| 7,920 | Series 2002-56, Class UC, 5.500%, 09/25/17 | 8,607 | ||||||
| 3,030 | Series 2002-57, Class AE, 5.500%, 09/25/17 | 3,288 | ||||||
| 768 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 819 | ||||||
| 861 | Series 2002-71, Class AP, 5.000%, 11/25/32 | 915 | ||||||
| 7,025 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 7,494 | ||||||
| 1,044 | Series 2002-77, Class S, IF, 14.004%, 12/25/32 | 1,197 | ||||||
| 15,726 | Series 2002-78, Class Z, 5.500%, 12/25/32 | 17,063 | ||||||
| 8,942 | Series 2002-81, Class JO, PO, 04/25/32 | 8,541 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 33 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 2,024 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 2,239 | ||||||
| 1,743 | Series 2002-84, Class VB, 5.500%, 04/25/15 | 1,878 | ||||||
| 1,397 | Series 2002-90, Class A1, 6.500%, 06/25/42 | 1,612 | ||||||
| 242 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 16 | ||||||
| 6,216 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 6,793 | ||||||
| 1,408 | Series 2003-9, Class NZ, 6.500%, 02/25/33 | 1,554 | ||||||
| 1,660 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 282 | ||||||
| 4,550 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 4,498 | ||||||
| 6,153 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 6,428 | ||||||
| 753 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 775 | ||||||
| 1,400 | Series 2003-32, Class KC, 5.000%, 05/25/18 | 1,505 | ||||||
| 6,382 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 1,335 | ||||||
| 2,614 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 2,861 | ||||||
| 2,256 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 2,481 | ||||||
| 640 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 694 | ||||||
| 1,199 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 1,321 | ||||||
| 1,017 | Series 2003-35, Class EA, PO, 05/25/33 | 885 | ||||||
| 751 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 139 | ||||||
| 1,960 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 2,136 | ||||||
| 2,800 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 3,100 | ||||||
| 1,092 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 1,124 | ||||||
| 1,760 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 75 | ||||||
| 2,715 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,932 | ||||||
| 1,371 | Series 2003-52, Class SX, HB, IF, 22.165%, 10/25/31 | 1,918 | ||||||
| 4,284 | Series 2003-56, Class AZ, 5.500%, 08/25/31 | 4,548 | ||||||
| 137 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 139 | ||||||
| 2,923 | Series 2003-64, Class SX, IF, 13.100%, 07/25/33 | 3,178 | ||||||
| 5,000 | Series 2003-67, Class TJ, 4.750%, 07/25/18 | 5,352 | ||||||
| 146 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 149 | ||||||
| 191 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 195 | ||||||
| 3,917 | Series 2003-71, Class DS, IF, 7.120%, 08/25/33 | 3,683 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 18,256 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 3,622 | ||||||
| 5,000 | Series 2003-73, Class HC, 5.500%, 08/25/33 | 5,322 | ||||||
| 3,838 | Series 2003-73, Class HF, VAR, 0.712%, 01/25/31 | 3,848 | ||||||
| 567 | Series 2003-74, Class SH, IF, 9.699%, 08/25/33 | 559 | ||||||
| 2,523 | Series 2003-76, Class SH, IF, 13.677%, 09/25/31 | 2,870 | ||||||
| 7,685 | Series 2003-80, Class SY, IF, IO, 7.388%, 06/25/23 | 829 | ||||||
| 7,000 | Series 2003-81, Class HC, 4.750%, 09/25/18 | 7,472 | ||||||
| 1,580 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,684 | ||||||
| 1,990 | Series 2003-82, Class VB, 5.500%, 08/25/33 | 2,171 | ||||||
| 8,876 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 9,464 | ||||||
| 1,114 | Series 2003-91, Class BL, 5.000%, 02/25/29 | 1,115 | ||||||
| 1,395 | Series 2003-91, Class SD, IF, 12.064%, 09/25/33 | 1,528 | ||||||
| 894 | Series 2003-91, Class XT, 4.500%, 12/25/17 | 901 | ||||||
| 843 | Series 2003-92, Class GA, 4.500%, 09/25/18 | 884 | ||||||
| 230 | Series 2003-92, Class SH, IF, 9.178%, 09/25/18 | 237 | ||||||
| 18,027 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 20,133 | ||||||
| 2,742 | Series 2003-106, Class US, IF, 8.683%, 11/25/23 | 2,715 | ||||||
| 7,068 | Series 2003-116, Class SB, IF, IO, 7.338%, 11/25/33 | 1,357 | ||||||
| 7,081 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 7,291 | ||||||
| 2,240 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 2,409 | ||||||
| 1,177 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 1,221 | ||||||
| 3,300 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 3,485 | ||||||
| 1,295 | Series 2003-130, Class SX, IF, 11.128%, 01/25/34 | 1,430 | ||||||
| 1,262 | Series 2003-131, Class SK, IF, 15.677%, 01/25/34 | 1,498 | ||||||
| 641 | Series 2003-132, Class OA, PO, 08/25/33 | 558 | ||||||
| 5,895 | Series 2004-3, Class BE, 4.000%, 02/25/19 | 6,185 | ||||||
| 4,472 | Series 2004-4, Class QI, IF, IO, 6.838%, 06/25/33 | 666 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 3,326 | Series 2004-4, Class QM, IF, 13.677%, 06/25/33 | 3,803 | ||||||
| 3,087 | Series 2004-10, Class SC, HB, IF, 27.554%, 02/25/34 | 4,365 | ||||||
| 2,318 | Series 2004-14, Class SD, IF, 8.683%, 03/25/34 | 2,190 | ||||||
| 4,433 | Series 2004-17, Class H, 5.500%, 04/25/34 | 4,573 | ||||||
| 1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,047 | ||||||
| 1,977 | Series 2004-21, Class CO, PO, 04/25/34 | 1,739 | ||||||
| 507 | Series 2004-22, Class A, 4.000%, 04/25/19 | 527 | ||||||
| 3,275 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 3,614 | ||||||
| 4,773 | Series 2004-25, Class SA, IF, 18.806%, 04/25/34 | 5,941 | ||||||
| 8,100 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 8,431 | ||||||
| 7,421 | Series 2004-28, Class PF, VAR, 0.662%, 03/25/34 | 7,460 | ||||||
| 11,404 | Series 2004-36, Class FA, VAR, 0.662%, 05/25/34 | 11,464 | ||||||
| 2,157 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 2,380 | ||||||
| 4,876 | Series 2004-36, Class SA, IF, 18.806%, 05/25/34 | 6,090 | ||||||
| 1,739 | Series 2004-36, Class SN, IF, 13.677%, 07/25/33 | 1,996 | ||||||
| 8,090 | Series 2004-46, Class EP, PO, 03/25/34 | 7,024 | ||||||
| 4,400 | Series 2004-46, Class HS, IF, IO, 5.739%, 05/25/30 | 278 | ||||||
| 1,145 | Series 2004-46, Class QB, HB, IF, 22.954%, 05/25/34 | 1,592 | ||||||
| 1,025 | Series 2004-46, Class SK, IF, 15.781%, 05/25/34 | 1,227 | ||||||
| 1,278 | Series 2004-51, Class SY, IF, 13.717%, 07/25/34 | 1,461 | ||||||
| 1,400 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,476 | ||||||
| 1,271 | Series 2004-59, Class BG, PO, 12/25/32 | 1,110 | ||||||
| 1,737 | Series 2004-61, Class CO, PO, 10/25/31 | 1,726 | ||||||
| 300 | Series 2004-61, Class SH, HB, IF, 22.942%, 11/25/32 | 434 | ||||||
| 903 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 1,005 | ||||||
| 5,000 | Series 2004-65, Class EY, 5.500%, 08/25/24 | 5,475 | ||||||
| 12,000 | Series 2004-72, Class CB, 4.000%, 09/25/19 | 12,541 | ||||||
| 1,184 | Series 2004-74, Class SW, IF, 14.974%, 11/25/31 | 1,428 | ||||||
| 2,251 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 2,371 | ||||||
| 4,380 | Series 2004-79, Class S, IF, 19.081%, 08/25/32 | 5,300 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,454 | Series 2004-79, Class SP, IF, 19.081%, 11/25/34 | 1,787 | ||||||
| 2,000 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 2,102 | ||||||
| 9,600 | Series 2004-81, Class JG, 5.000%, 11/25/24 | 10,188 | ||||||
| 1,137 | Series 2004-89, Class EA, IF, 12.744%, 01/25/34 | 1,270 | ||||||
| 1,739 | Series 2004-92, Class BX, 5.500%, 09/25/34 | 1,890 | ||||||
| 404 | Series 2004-92, Class JO, PO, 12/25/34 | 402 | ||||||
| 2,120 | Series 2004-101, Class HD, 5.000%, 01/25/20 | 2,286 | ||||||
| 1,434 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 1,495 | ||||||
| 5,600 | Series 2005-16, Class LE, 5.500%, 07/25/33 | 6,088 | ||||||
| 4,918 | Series 2005-25, Class PF, VAR, 0.611%, 04/25/35 | 4,886 | ||||||
| 658 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 683 | ||||||
| 1,338 | Series 2005-40, Class ZM, 5.000%, 05/25/35 | 1,381 | ||||||
| 1,180 | Series 2005-42, Class PS, IF, 16.346%, 05/25/35 | 1,437 | ||||||
| 1,291 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 1,297 | ||||||
| 75 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 76 | ||||||
| 448 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 484 | ||||||
| 4,939 | Series 2005-56, Class S, IF, IO, 6.449%, 07/25/35 | 839 | ||||||
| 2,299 | Series 2005-56, Class TP, IF, 17.366%, 08/25/33 | 2,804 | ||||||
| 1,679 | Series 2005-57, Class CD, HB, IF, 24.144%, 01/25/35 | 2,253 | ||||||
| 544 | Series 2005-57, Class DC, HB, IF, 20.925%, 12/25/34 | 680 | ||||||
| 7,587 | Series 2005-57, Class EG, VAR, 0.561%, 03/25/35 | 7,584 | ||||||
| 1,000 | Series 2005-59, Class SU, HB, IF, 24.193%, 06/25/35 | 1,446 | ||||||
| 1,304 | Series 2005-66, Class SG, IF, 16.721%, 07/25/35 | 1,596 | ||||||
| 8,500 | Series 2005-67, Class EY, 5.500%, 08/25/25 | 9,305 | ||||||
| 1,500 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,620 | ||||||
| 6,665 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 7,288 | ||||||
| 2,500 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 2,667 | ||||||
| 7,300 | Series 2005-72, Class SB, IF, 16.221%, 08/25/35 | 8,838 | ||||||
| 2,016 | Series 2005-73, Class PS, IF, 16.046%, 08/25/35 | 2,443 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 35 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 9,280 | Series 2005-73, Class ZB, 5.500%, 08/25/35 | 9,281 | ||||||
| 1,725 | Series 2005-74, Class CP, HB, IF, 23.791%, 05/25/35 | 2,383 | ||||||
| 7,515 | Series 2005-74, Class CS, IF, 19.301%, 05/25/35 | 9,368 | ||||||
| 5,167 | Series 2005-74, Class SK, IF, 19.411%, 05/25/35 | 6,458 | ||||||
| 8,439 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 9,198 | ||||||
| 236 | Series 2005-86, Class GB, 5.000%, 10/25/35 | 239 | ||||||
| 2,595 | Series 2005-88, Class QO, PO, 11/25/33 | 2,539 | ||||||
| 2,726 | Series 2005-90, Class ES, IF, 16.221%, 10/25/35 | 3,317 | ||||||
| 1,609 | Series 2005-90, Class PO, PO, 09/25/35 | 1,475 | ||||||
| 6,170 | Series 2005-93, Class MF, VAR, 0.511%, 08/25/34 | 6,153 | ||||||
| 64 | Series 2005-98, Class GO, PO, 11/25/35 | 63 | ||||||
| 13,920 | Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 | 19,283 | ||||||
| 5,959 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 6,263 | ||||||
| 1,000 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 1,115 | ||||||
| 15,028 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 15,792 | ||||||
| 17,500 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 19,029 | ||||||
| 5,659 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 6,014 | ||||||
| 2,982 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 3,131 | ||||||
| 2,840 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 3,119 | ||||||
| 1,485 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,605 | ||||||
| 35,000 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 35,916 | ||||||
| 22,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 23,928 | ||||||
| 9,876 | Series 2005-123, Class FG, VAR, 0.712%, 07/25/34 | 9,858 | ||||||
| 4,000 | Series 2006-7, Class TC, 6.000%, 09/25/33 | 4,336 | ||||||
| 6,579 | Series 2006-8, Class JZ, 5.500%, 03/25/36 | 6,915 | ||||||
| 1,347 | Series 2006-11, Class PS, HB, IF, 23.608%, 03/25/36 | 1,857 | ||||||
| 6,579 | Series 2006-12, Class BZ, 5.500%, 03/25/36 | 6,920 | ||||||
| 2,582 | Series 2006-15, Class OT, PO, 01/25/36 | 2,462 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 4,699 | Series 2006-16, Class FC, VAR, 0.561%, 03/25/36 | 4,684 | ||||||
| 6,579 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 6,984 | ||||||
| 1,146 | Series 2006-16, Class OA, PO, 03/25/36 | 997 | ||||||
| 2,579 | Series 2006-22, Class AO, PO, 04/25/36 | 2,207 | ||||||
| 3,702 | Series 2006-23, Class FK, VAR, 0.511%, 04/25/36 | 3,693 | ||||||
| 2,061 | Series 2006-23, Class KO, PO, 04/25/36 | 1,793 | ||||||
| 5,469 | Series 2006-27, Class OH, PO, 04/25/36 | 4,923 | ||||||
| 1,189 | Series 2006-33, Class LS, HB, IF, 28.973%, 05/25/36 | 1,739 | ||||||
| 2,000 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,177 | ||||||
| 2,488 | Series 2006-42, Class CF, VAR, 0.712%, 06/25/36 | 2,491 | ||||||
| 4,200 | Series 2006-43, Class DO, PO, 06/25/36 | 3,715 | ||||||
| 651 | Series 2006-43, Class G, 6.500%, 09/25/33 | 666 | ||||||
| 1,549 | Series 2006-43, Class PO, PO, 06/25/36 | 1,341 | ||||||
| 3,658 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,938 | ||||||
| 14,930 | Series 2006-44, Class FP, VAR, 0.662%, 06/25/36 | 14,832 | ||||||
| 2,613 | Series 2006-44, Class GO, PO, 06/25/36 | 2,245 | ||||||
| 8,350 | Series 2006-44, Class P, PO, 12/25/33 | 7,363 | ||||||
| 3,562 | Series 2006-46, Class FW, VAR, 0.662%, 06/25/36 | 3,562 | ||||||
| 570 | Series 2006-46, Class SW, HB, IF, 23.240%, 06/25/36 | 754 | ||||||
| 2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 2,177 | ||||||
| 9,712 | Series 2006-50, Class JO, PO, 06/25/36 | 8,610 | ||||||
| 13,872 | Series 2006-50, Class PS, PO, 06/25/36 | 12,329 | ||||||
| 14,426 | Series 2006-53, Class US, IF, IO, 6.319%, 06/25/36 | 2,013 | ||||||
| 7,599 | Series 2006-56, Class PF, VAR, 0.611%, 07/25/36 | 7,588 | ||||||
| 1,046 | Series 2006-58, Class AP, PO, 07/25/36 | 911 | ||||||
| 2,800 | Series 2006-58, Class FL, VAR, 0.721%, 07/25/36 | 2,805 | ||||||
| 10,296 | Series 2006-58, Class IG, IF, IO, 6.258%, 07/25/36 | 1,305 | ||||||
| 1,631 | Series 2006-58, Class PO, PO, 07/25/36 | 1,412 | ||||||
| 419 | Series 2006-59, Class CO, PO, 08/25/35 | 394 | ||||||
| 4,978 | Series 2006-59, Class QO, PO, 01/25/33 | 4,477 | ||||||
| 1,273 | Series 2006-60, Class AK, HB, IF, 27.754%, 07/25/36 | 1,870 | ||||||
| 7,349 | Series 2006-60, Class DO, PO, 04/25/35 | 6,551 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 1,281 | Series 2006-62, Class PS, HB, IF, 38.331%, 07/25/36 | 2,101 | ||||||
| 9,473 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 11,237 | ||||||
| 3,068 | Series 2006-65, Class QO, PO, 07/25/36 | 2,658 | ||||||
| 3,556 | Series 2006-66, Class NV, 6.500%, 02/25/24 | 3,744 | ||||||
| 15,130 | Series 2006-71, Class ZL, 6.000%, 07/25/36 | 17,107 | ||||||
| 5,540 | Series 2006-72, Class GO, PO, 08/25/36 | 4,902 | ||||||
| 1,541 | Series 2006-72, Class TO, PO, 08/25/36 | 1,353 | ||||||
| 827 | Series 2006-75, Class CM, 6.500%, 12/25/33 | 842 | ||||||
| 10,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 11,719 | ||||||
| 2,692 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 2,979 | ||||||
| 2,878 | Series 2006-79, Class DF, VAR, 0.611%, 08/25/36 | 2,888 | ||||||
| 2,260 | Series 2006-79, Class DO, PO, 08/25/36 | 1,955 | ||||||
| 1,972 | Series 2006-79, Class OP, PO, 08/25/36 | 1,703 | ||||||
| 1,339 | Series 2006-85, Class MZ, 6.500%, 09/25/36 | 1,483 | ||||||
| 2,281 | Series 2006-86, Class OB, PO, 09/25/36 | 1,938 | ||||||
| 2,154 | Series 2006-90, Class AO, PO, 09/25/36 | 1,898 | ||||||
| 1,251 | Series 2006-94, Class GK, HB, IF, 31.942%, 10/25/26 | 1,980 | ||||||
| 2,154 | Series 2006-95, Class SG, HB, IF, 25.154%, 10/25/36 | 3,091 | ||||||
| 610 | Series 2006-109, Class PO, PO, 11/25/36 | 532 | ||||||
| 7,023 | Series 2006-110, Class PO, PO, 11/25/36 | 6,131 | ||||||
| 2,318 | Series 2006-111, Class EO, PO, 11/25/36 | 2,020 | ||||||
| 3,493 | Series 2006-113, Class PO, PO, 07/25/36 | 3,227 | ||||||
| 560 | Series 2006-115, Class ES, HB, IF, 25.514%, 12/25/36 | 819 | ||||||
| 1,919 | Series 2006-115, Class OK, PO, 12/25/36 | 1,656 | ||||||
| 19,723 | Series 2006-117, Class GS, IF, IO, 6.388%, 12/25/36 | 2,969 | ||||||
| 5,521 | Series 2006-118, Class A1, VAR, 0.322%, 12/25/36 | 5,409 | ||||||
| 17,921 | Series 2006-118, Class A2, VAR, 0.322%, 12/25/36 | 17,567 | ||||||
| 2,935 | Series 2006-119, Class PO, PO, 12/25/36 | 2,591 | ||||||
| 1,300 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,408 | ||||||
| 1,478 | Series 2006-128, Class PO, PO, 01/25/37 | 1,264 | ||||||
| 7,306 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 1,121 | ||||||
| 724 | Series 2007-1, Class SD, HB, IF, 37.431%, 02/25/37 | 1,119 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 398 | Series 2007-2, Class FA, VAR, 0.461%, 02/25/37 | 395 | ||||||
| 8,856 | Series 2007-7, Class SG, IF, IO, 6.239%, 08/25/36 | 1,704 | ||||||
| 8,107 | Series 2007-10, Class FD, VAR, 0.511%, 02/25/37 | 8,001 | ||||||
| 29,077 | Series 2007-14, Class ES, IF, IO, 6.179%, 03/25/37 | 4,155 | ||||||
| 2,697 | Series 2007-14, Class OP, PO, 03/25/37 | 2,329 | ||||||
| 5,047 | Series 2007-14, Class QD, 5.500%, 11/25/35 | 5,486 | ||||||
| 2,150 | Series 2007-15, Class NO, PO, 03/25/22 | 1,974 | ||||||
| 16,547 | Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 | 16,477 | ||||||
| 2,133 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 254 | ||||||
| 1,750 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,903 | ||||||
| 4,431 | Series 2007-29, Class SG, HB, IF, 21.795%, 04/25/37 | 5,878 | ||||||
| 15,589 | Series 2007-35, Class SI, IF, IO, 5.839%, 04/25/37 | 1,680 | ||||||
| 2,474 | Series 2007-42, Class AO, PO, 05/25/37 | 2,275 | ||||||
| 11,000 | Series 2007-42, Class B, 6.000%, 05/25/37 | 12,060 | ||||||
| 5,988 | Series 2007-43, Class FL, VAR, 0.561%, 05/25/37 | 5,959 | ||||||
| 1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,572 | ||||||
| 26,620 | Series 2007-53, Class SH, IF, IO, 5.839%, 06/25/37 | 3,469 | ||||||
| 34,632 | Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 | 34,673 | ||||||
| 4,853 | Series 2007-54, Class WI, IF, IO, 5.839%, 06/25/37 | 645 | ||||||
| 42,387 | Series 2007-60, Class AX, IF, IO, 6.888%, 07/25/37 | 7,007 | ||||||
| 3,619 | Series 2007-62, Class SE, IF, 15.846%, 07/25/37 | 4,277 | ||||||
| 5,515 | Series 2007-64, Class FB, VAR, 0.631%, 07/25/37 | 5,541 | ||||||
| 41,105 | Series 2007-65, Class KI, IF, IO, 6.359%, 07/25/37 | 5,262 | ||||||
| 1,073 | Series 2007-65, Class PA, 6.000%, 03/25/31 | 1,095 | ||||||
| 7,123 | Series 2007-67, Class PO, PO, 07/25/37 | 6,242 | ||||||
| 3,669 | Series 2007-70, Class Z, 5.500%, 07/25/37 | 4,154 | ||||||
| 44,132 | Series 2007-72, Class EK, IF, IO, 6.139%, 07/25/37 | 5,544 | ||||||
| 1,830 | Series 2007-75, Class EO, PO, 01/25/36 | 1,666 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 37 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 5,478 | Series 2007-76, Class AZ, 5.500%, 08/25/37 | 5,730 | ||||||
| 3,718 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 3,958 | ||||||
| 8,109 | Series 2007-77, Class FG, VAR, 0.762%, 03/25/37 | 8,130 | ||||||
| 2,000 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 2,171 | ||||||
| 4,601 | Series 2007-78, Class PE, 6.000%, 08/25/37 | 4,987 | ||||||
| 2,000 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 2,113 | ||||||
| 4,576 | Series 2007-79, Class SB, HB, IF, 23.058%, 08/25/37 | 5,737 | ||||||
| 4,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 4,347 | ||||||
| 943 | Series 2007-83, Class PA, 6.000%, 03/25/29 | 946 | ||||||
| 4,464 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 4,866 | ||||||
| 1,808 | Series 2007-85, Class SL, IF, 15.496%, 09/25/37 | 2,100 | ||||||
| 10,360 | Series 2007-88, Class VI, IF, IO, 6.279%, 09/25/37 | 1,520 | ||||||
| 10,879 | Series 2007-91, Class ES, IF, IO, 6.199%, 10/25/37 | 1,534 | ||||||
| 3,198 | Series 2007-92, Class YA, 6.500%, 06/25/37 | 3,505 | ||||||
| 5,330 | Series 2007-92, Class YS, IF, IO, 5.519%, 06/25/37 | 607 | ||||||
| 3,964 | Series 2007-97, Class FC, VAR, 0.762%, 07/25/37 | 3,974 | ||||||
| 8,019 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 1,627 | ||||||
| 2,057 | Series 2007-97, Class MS, IF, 14.187%, 12/25/31 | 2,228 | ||||||
| 2,565 | Series 2007-98, Class FB, VAR, 0.712%, 06/25/37 | 2,386 | ||||||
| 3,646 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 3,929 | ||||||
| 21,235 | Series 2007-100, Class SM, IF, IO, 6.189%, 10/25/37 | 3,090 | ||||||
| 75,673 | Series 2007-101, Class A2, VAR, 0.510%, 06/27/36 | 75,153 | ||||||
| 6,232 | Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 | 6,499 | ||||||
| 10,665 | Series 2007-108, Class AN, VAR, 8.687%, 11/25/37 | 13,361 | ||||||
| 2,741 | Series 2007-108, Class SA, IF, IO, 6.099%, 12/25/37 | 357 | ||||||
| 27,945 | Series 2007-109, Class AI, IF, IO, 6.139%, 12/25/37 | 3,418 | ||||||
| 6,180 | Series 2007-112, Class MJ, 6.500%, 12/25/37 | 6,818 | ||||||
| 13,276 | Series 2007-112, Class SA, IF, IO, 6.189%, 12/25/37 | 1,942 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 47,000 | Series 2007-114, Class A6, VAR, 0.460%, 10/27/37 | 46,923 | ||||||
| 24,304 | Series 2007-116, Class HI, IO, VAR, 6.323%, 01/25/38 | 2,134 | ||||||
| 620 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 62 | ||||||
| 25,767 | Series 2008-1, Class BI, IF, IO, 5.649%, 02/25/38 | 2,933 | ||||||
| 25,638 | Series 2008-4, Class SD, IF, IO, 5.739%, 02/25/38 | 3,194 | ||||||
| 6,285 | Series 2008-10, Class XI, IF, IO, 5.969%, 03/25/38 | 816 | ||||||
| 12,483 | Series 2008-16, Class IS, IF, IO, 5.938%, 03/25/38 | 1,669 | ||||||
| 2,482 | Series 2008-18, Class SP, IF, 13.477%, 03/25/38 | 2,786 | ||||||
| 9,587 | Series 2008-20, Class SA, IF, IO, 6.729%, 03/25/38 | 1,480 | ||||||
| 18,394 | Series 2008-24, Class PF, VAR, 0.912%, 02/25/38 | 18,418 | ||||||
| 8,389 | Series 2008-27, Class SN, IF, IO, 6.639%, 04/25/38 | 1,353 | ||||||
| 2,728 | Series 2008-28, Class QS, IF, 19.915%, 04/25/38 | 3,503 | ||||||
| 14,060 | Series 2008-32, Class SA, IF, IO, 6.589%, 04/25/38 | 2,148 | ||||||
| 21,153 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 132 | ||||||
| 37,992 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 582 | ||||||
| 2,214 | Series 2008-42, Class AO, PO, 09/25/36 | 1,948 | ||||||
| 516 | Series 2008-44, Class PO, PO, 05/25/38 | 458 | ||||||
| 12,407 | Series 2008-46, Class HI, IO, VAR, 6.659%, 06/25/38 | 1,155 | ||||||
| 6,278 | Series 2008-47, Class SI, IF, IO, 6.239%, 06/25/23 | 704 | ||||||
| 2,649 | Series 2008-53, Class CA, 5.000%, 07/25/23 | 2,849 | ||||||
| 6,151 | Series 2008-53, Class CI, IF, IO, 6.938%, 07/25/38 | 912 | ||||||
| 28,866 | Series 2008-55, Class S, IF, IO, 7.338%, 07/25/28 | 4,230 | ||||||
| 5,607 | Series 2008-56, Class AC, 5.000%, 07/25/38 | 5,936 | ||||||
| 801 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 63 | ||||||
| 1,500 | Series 2008-60, Class JC, 5.000%, 07/25/38 | 1,556 | ||||||
| 2,778 | Series 2008-61, Class BH, 4.500%, 07/25/23 | 2,847 | ||||||
| 3,778 | Series 2008-61, Class CB, 5.000%, 07/25/23 | 4,042 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 282 | Series 2008-66, Class GD, 6.000%, 06/25/30 | 294 | ||||||
| 8,654 | Series 2008-76, Class GF, VAR, 0.912%, 09/25/23 | 8,774 | ||||||
| 20,861 | Series 2008-80, Class SA, IF, IO, 5.588%, 09/25/38 | 2,412 | ||||||
| 10,102 | Series 2008-81, Class SB, IF, IO, 5.588%, 09/25/38 | 1,197 | ||||||
| 1,523 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 1,562 | ||||||
| 13,889 | Series 2009-6, Class GS, IF, IO, 6.289%, 02/25/39 | 1,574 | ||||||
| 8,501 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 949 | ||||||
| 10,696 | Series 2009-15, Class MI, IO, 5.000%, 03/25/24 | 1,029 | ||||||
| 16,544 | Series 2009-17, Class QS, IF, IO, 6.388%, 03/25/39 | 2,169 | ||||||
| 4,067 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 469 | ||||||
| 1,136 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,256 | ||||||
| 9,137 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 1,422 | ||||||
| 10,000 | Series 2009-59, Class HB, 5.000%, 08/25/39 | 10,373 | ||||||
| 1,074 | Series 2009-63, Class P, 5.000%, 03/25/37 | 1,116 | ||||||
| 9,279 | Series 2009-69, Class WA, VAR, 6.024%, 09/25/39 | 10,222 | ||||||
| 7,038 | Series 2009-70, Class CO, PO, 01/25/37 | 6,023 | ||||||
| 17,605 | Series 2009-84, Class WS, IF, IO, 5.639%, 10/25/39 | 1,924 | ||||||
| 34,073 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 6,324 | ||||||
| 36,502 | Series 2009-86, Class OT, PO, 10/25/37 | 31,583 | ||||||
| 33,856 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 2,915 | ||||||
| 18,145 | Series 2009-99, Class SC, IF, IO, 5.919%, 12/25/39 | 2,433 | ||||||
| 9,821 | Series 2009-99, Class WA, VAR, 6.296%, 12/25/39 | 11,024 | ||||||
| 19,778 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 20,819 | ||||||
| 23,983 | Series 2009-112, Class ST, IF, IO, 5.988%, 01/25/40 | 2,826 | ||||||
| 3,701 | Series 2009-113, Class AO, PO, 01/25/40 | 3,203 | ||||||
| 3,334 | Series 2010-1, Class WA, VAR, 6.130%, 02/25/40 | 3,677 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 8,457 | Series 2010-16, Class WA, VAR, 6.428%, 03/25/40 | 9,371 | ||||||
| 7,284 | Series 2010-16, Class WB, VAR, 6.237%, 03/25/40 | 8,076 | ||||||
| 23,275 | Series 2010-35, Class SB, IF, IO, 6.158%, 04/25/40 | 3,114 | ||||||
| 3,000 | Series 2010-35, Class SJ, IF, 16.795%, 04/25/40 | 3,280 | ||||||
| 2,019 | Series 2010-39, Class OT, PO, 10/25/35 | 1,772 | ||||||
| 18,644 | Series 2010-42, Class S, IF, IO, 6.139%, 05/25/40 | 2,091 | ||||||
| 2,134 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,152 | ||||||
| 2,825 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 3,013 | ||||||
| 18,104 | Series 2010-49, Class SC, IF, 12.137%, 03/25/40 | 19,723 | ||||||
| 9,760 | Series 2010-58, Class MB, 5.500%, 06/25/40 | 10,528 | ||||||
| 63,994 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 67,127 | ||||||
| 2,000 | Series 2010-102, Class PN, 5.000%, 09/25/40 | 2,064 | ||||||
| 13,443 | Series 2010-103, Class SB, IF, IO, 5.839%, 11/25/49 | 1,894 | ||||||
| 71,382 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 76,264 | ||||||
| 19,500 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 20,635 | ||||||
| 39,216 | Series 2010-125, Class SA, IF, IO, 4.178%, 11/25/40 | 3,741 | ||||||
| 47,981 | Series 2010-133, Class A, 5.500%, 05/25/38 | 51,459 | ||||||
| 22,151 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 22,859 | ||||||
| 19,539 | Series 2011-2, Class WA, VAR, 5.716%, 02/25/51 | 20,955 | ||||||
| 2,985 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 3,373 | ||||||
| 18 | Series G-14, Class L, 8.500%, 06/25/21 | 22 | ||||||
| 1 | Series G-17, Class S, HB, VAR, 1,051.957%, 06/25/21 | 24 | ||||||
| 90 | Series G-18, Class Z, 8.750%, 06/25/21 | 109 | ||||||
| 24 | Series G-22, Class G, 6.000%, 12/25/16 | 26 | ||||||
| 82 | Series G-28, Class S, IF, 14.819%, 09/25/21 | 112 | ||||||
| 140 | Series G-35, Class M, 8.750%, 10/25/21 | 158 | ||||||
| 27 | Series G-51, Class SA, HB, IF, 22.348%, 12/25/21 | 38 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 39 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 25 | Series G92-15, Class Z, 7.000%, 01/25/22 | 25 | ||||||
| — | (h) | Series G92-27, Class SQ, HB, IF, 1,698.030%, 05/25/22 | 48 | |||||
| 632 | Series G92-35, Class E, 7.500%, 07/25/22 | 699 | ||||||
| — | (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 7 | |||||
| 57 | Series G92-42, Class Z, 7.000%, 07/25/22 | 63 | ||||||
| 1,937 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 2,362 | ||||||
| 883 | Series G92-45, Class Z, 6.000%, 08/25/22 | 949 | ||||||
| 57 | Series G92-52, Class FD, VAR, 0.302%, 09/25/22 | 56 | ||||||
| 774 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 861 | ||||||
| 58 | Series G92-59, Class F, VAR, 2.208%, 10/25/22 | 59 | ||||||
| 116 | Series G92-61, Class Z, 7.000%, 10/25/22 | 127 | ||||||
| 88 | Series G92-62, Class B, PO, 10/25/22 | 80 | ||||||
| 396 | Series G93-1, Class KA, 7.900%, 01/25/23 | 446 | ||||||
| 149 | Series G93-5, Class Z, 6.500%, 02/25/23 | 164 | ||||||
| 117 | Series G93-14, Class J, 6.500%, 03/25/23 | 127 | ||||||
| 269 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 268 | ||||||
| 257 | Series G93-27, Class FD, VAR, 1.161%, 08/25/23 | 260 | ||||||
| 63 | Series G93-37, Class H, PO, 09/25/23 | 54 | ||||||
| 169 | Series G95-1, Class C, 8.800%, 01/25/25 | 192 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
| 8 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 2 | ||||||
| 5 | Series 50, Class 2, IO, 10.500%, 03/01/19 | 1 | ||||||
| 61 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 13 | ||||||
| 35 | Series 265, Class 2, 9.000%, 03/01/24 | 41 | ||||||
| 1,052 | Series 329, Class 1, PO, 01/01/33 | 910 | ||||||
| 3,419 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 313 | ||||||
| 4,807 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 445 | ||||||
| 2,432 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 266 | ||||||
| 1,606 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 287 | ||||||
| 5,526 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 1,080 | ||||||
| 688 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 68 | ||||||
| 3,880 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 755 | ||||||
| 5,121 | Series 383, Class 33, IO, 6.000%, 01/01/38 | 999 | ||||||
| 1,495 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 256 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| 2,885 | Series 2003-W1, Class 1A1, VAR, 6.500%, 12/25/42 | 3,329 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 682 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 778 | ||||||
| 2,814 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 3,246 | ||||||
| 1,720 | Series 2003-W2, Class 2A9, 5.900%, 07/25/42 | 1,895 | ||||||
| 601 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 693 | ||||||
| 6,498 | Series 2003-W6, Class 3A, 6.500%, 09/25/42 | 7,163 | ||||||
| 7,648 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 9,089 | ||||||
| 1,447 | Series 2003-W8, Class 3F1, VAR, 0.662%, 05/25/42 | 1,439 | ||||||
| 8,461 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 9,784 | ||||||
| 2,684 | Series 2004-W2, Class 2A2 7.000%, 02/25/44 | 3,190 | ||||||
| 2,468 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 2,804 | ||||||
| 6,800 | Series 2004-W10, Class A6, 5.750%, 08/25/34 | 7,335 | ||||||
| 8,014 | Series 2004-W15, Class 2AF, VAR, 0.511%, 08/25/44 | 7,878 | ||||||
| 4,681 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 5,401 | ||||||
| 44,258 | Series 2005-W3, Class 2AF, VAR, 0.482%, 03/25/45 | 43,945 | ||||||
| 3,597 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 4,025 | ||||||
| 29,308 | Series 2006-W2, Class 1AF1, VAR, 0.482%, 02/25/36 | 29,105 | ||||||
| 6,466 | Series 2006-W2, Class 2A, VAR, 3.282%, 11/25/35 | 6,632 | ||||||
| 6,779 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 7,375 | ||||||
| 62,935 | Series 2007-W1, Class 1AF1, VAR, 0.521%, 11/25/46 | 62,131 | ||||||
| 4,814 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 5,554 | ||||||
| 3,185 | Series 2007-W5, Class PO, PO, 06/25/37 | 2,711 | ||||||
| 3,366 | Series 2007-W7, Class 1A4, HB, IF, 37.611%, 07/25/37 | 5,053 | ||||||
| 986 | Series 2007-W10, Class 2A, VAR, 6.192%, 08/25/47 | 1,081 | ||||||
| 35,825 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 39,463 | ||||||
| 1,622 | Government National Mortgage Association, Series 1994-3, Class PQ, 7.488%, 07/16/24 | 1,711 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 1,581 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 1,787 | ||||||
| 5,791 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 6,703 | ||||||
| 344 | Series 1995-3, Class DQ, 8.050%, 06/16/25 | 389 | ||||||
| 86 | Series 1995-7, Class CQ, 7.500%, 09/16/25 | 96 | ||||||
| 1,348 | Series 1996-16, Class E, 7.500%, 08/16/26 | 1,514 | ||||||
| 1,000 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 1,117 | ||||||
| 217 | Series 1997-11, Class D, 7.500%, 07/20/27 | 245 | ||||||
| 654 | Series 1998-26, Class K, 7.500%, 09/17/25 | 741 | ||||||
| 4,968 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 5,449 | ||||||
| 4,583 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 5,099 | ||||||
| 645 | Series 1999-30, Class S, IF, IO, 8.335%, 08/16/29 | 101 | ||||||
| 32 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 | 38 | ||||||
| 539 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 588 | ||||||
| 967 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 1,100 | ||||||
| 426 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 479 | ||||||
| 5,091 | Series 1999-44, Class ZC, 8.500%, 12/16/29 | 6,099 | ||||||
| 790 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 898 | ||||||
| 1,030 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 1,139 | ||||||
| 396 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 450 | ||||||
| 5,091 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 5,771 | ||||||
| 577 | Series 2000-12, Class ST, HB, IF, 38.200%, 02/16/30 | 1,065 | ||||||
| 1,391 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 1,514 | ||||||
| 387 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 414 | ||||||
| 4,561 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 5,212 | ||||||
| 791 | Series 2000-26, Class TZ, 8.500%, 09/20/30 | 898 | ||||||
| 213 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 241 | ||||||
| 41 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 52 | ||||||
| 646 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 740 | ||||||
| 184 | Series 2000-34, Class SG, IF, IO, 8.267%, 10/20/30 | 37 | ||||||
| 365 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 401 | ||||||
| 54 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 12 | ||||||
| 1,282 | Series 2000-37, Class B, 8.000%, 12/20/30 | 1,462 | ||||||
| 225 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 257 | ||||||
| 351 | Series 2001-4, Class SJ, IF, IO, 7.887%, 01/19/30 | 74 | ||||||
| 300 | Series 2001-6, Class SD, IF, IO, 8.285%, 03/16/31 | 58 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,192 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 1,291 | ||||||
| 1,785 | Series 2001-8, Class Z, 6.500%, 03/20/31 | 1,986 | ||||||
| 2,542 | Series 2001-22, Class PS, HB, IF, 20.322%, 03/17/31 | 3,527 | ||||||
| 63 | Series 2001-32, Class WA, IF, 19.468%, 07/20/31 | 93 | ||||||
| 490 | Series 2001-35, Class SA, IF, IO, 7.985%, 08/16/31 | 104 | ||||||
| 386 | Series 2001-36, Class S, IF, IO, 7.785%, 08/16/31 | 86 | ||||||
| 4,500 | Series 2001-53, Class PB, 6.500%, 11/20/31 | 5,082 | ||||||
| 3,282 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 3,483 | ||||||
| 462 | Series 2002-3, Class SP, IF, IO, 7.125%, 01/16/32 | 90 | ||||||
| 942 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 1,083 | ||||||
| 2,063 | Series 2002-24, Class AG, IF, IO, 7.685%, 04/16/32 | 408 | ||||||
| 189 | Series 2002-24, Class SB, IF, 11.528%, 04/16/32 | 226 | ||||||
| 267 | Series 2002-31, Class S, IF, IO, 8.435%, 01/16/31 | 64 | ||||||
| 4,919 | Series 2002-31, Class SE, IF, IO, 7.235%, 04/16/30 | 824 | ||||||
| 2,282 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 2,536 | ||||||
| 79 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 93 | ||||||
| 9,070 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 10,339 | ||||||
| 2,741 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 3,173 | ||||||
| 1,012 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 1,111 | ||||||
| 4,548 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 5,042 | ||||||
| 183 | Series 2002-51, Class SG, HB, IF, 31.360%, 04/20/31 | 296 | ||||||
| 3,061 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 3,396 | ||||||
| 1,339 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 1,486 | ||||||
| 2,548 | Series 2002-69, Class PO, PO, 02/20/32 | 2,474 | ||||||
| 624 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 636 | ||||||
| 2,536 | Series 2002-70, Class PS, IF, IO, 7.437%, 08/20/32 | 312 | ||||||
| 1,411 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,565 | ||||||
| 154 | Series 2002-88, Class VA, 6.000%, 12/20/17 | 154 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 41 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 1,189 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 79 | ||||||
| 1,209 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 1,279 | ||||||
| 875 | Series 2003-8, Class PO, PO, 01/16/32 | 850 | ||||||
| 2,412 | Series 2003-11, Class SK, IF, IO, 7.435%, 02/16/33 | 419 | ||||||
| 1,014 | Series 2003-12, Class SP, IF, IO, 7.437%, 02/20/33 | 185 | ||||||
| 409 | Series 2003-24, Class PO, PO, 03/16/33 | 356 | ||||||
| 5,380 | Series 2003-25, Class PZ, 5.500%, 04/20/33 | 5,688 | ||||||
| 841 | Series 2003-34, Class TO, PO, 02/16/32 | 823 | ||||||
| 1,960 | Series 2003-40, Class TC, 7.500%, 03/20/33 | 2,099 | ||||||
| 3,156 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 3,568 | ||||||
| 1,120 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 1,258 | ||||||
| 2,072 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 2,304 | ||||||
| 1,627 | Series 2003-52, Class AP, PO, 06/16/33 | 1,448 | ||||||
| 3,196 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 3,699 | ||||||
| 591 | Series 2003-60, Class NS, IF, 15.918%, 07/16/33 | 664 | ||||||
| 5,456 | Series 2003-75, Class ZX, 6.000%, 09/16/33 | 6,034 | ||||||
| 1,757 | Series 2003-76, Class LS, IF, IO, 6.937%, 09/20/31 | 162 | ||||||
| 275 | Series 2003-90, Class PO, PO, 10/20/33 | 235 | ||||||
| 3,802 | Series 2003-97, Class SA, IF, IO, 6.285%, 11/16/33 | 654 | ||||||
| 19 | Series 2003-98, Class PC, 5.000%, 02/20/29 | 19 | ||||||
| 3,485 | Series 2003-112, Class SA, IF, IO, 6.285%, 12/16/33 | 565 | ||||||
| 20,000 | Series 2003-112, Class TS, IF, IO, 6.687%, 10/20/32 | 3,118 | ||||||
| 999 | Series 2003-114, Class SH, IF, 14.219%, 11/17/32 | 1,170 | ||||||
| 10,704 | Series 2004-11, Class SW, IF, IO, 5.237%, 02/20/34 | 1,201 | ||||||
| 5,568 | Series 2004-15, Class SA, IF, 18.939%, 12/20/32 | 6,633 | ||||||
| 799 | Series 2004-27, Class VJ, 6.000%, 02/20/15 | 812 | ||||||
| 1,217 | Series 2004-28, Class S, IF, 18.934%, 04/16/34 | 1,558 | ||||||
| 3,430 | Series 2004-34, Class JO, PO, 02/20/34 | 3,347 | ||||||
| 3,846 | Series 2004-46, Class PO, PO, 06/20/34 | 3,393 | ||||||
| 5,364 | Series 2004-49, Class Z, 6.000%, 06/20/34 | 6,032 | ||||||
| 2,087 | Series 2004-68, Class PO, PO, 05/20/31 | 2,043 | ||||||
| 2,109 | Series 2004-71, Class SB, HB, IF, 28.173%, 09/20/34 | 3,102 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 2,109 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 2,249 | ||||||
| 1,831 | Series 2004-73, Class AE, IF, 14.311%, 08/17/34 | 2,154 | ||||||
| 10,269 | Series 2004-73, Class JL, IF, IO, 6.285%, 09/16/34 | 1,821 | ||||||
| 1,440 | Series 2004-83, Class AP, IF, 13.684%, 10/16/34 | 1,685 | ||||||
| 901 | Series 2004-85, Class PO, PO, 01/17/33 | 870 | ||||||
| 1,255 | Series 2004-87, Class SB, IF, 7.368%, 03/17/33 | 1,267 | ||||||
| 1,126 | Series 2004-89, Class LS, HB, IF, 23.413%, 10/16/34 | 1,531 | ||||||
| 23,457 | Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 | 3,041 | ||||||
| 10,570 | Series 2004-96, Class SC, IF, IO, 5.817%, 11/20/34 | 1,363 | ||||||
| 11,523 | Series 2005-3, Class SB, IF, IO, 5.837%, 01/20/35 | 1,480 | ||||||
| 16,907 | Series 2005-3, Class SK, IF, IO, 6.487%, 01/20/35 | 2,561 | ||||||
| 1,379 | Series 2005-6, Class GS, IF, 12.974%, 12/20/32 | 1,611 | ||||||
| 4,997 | Series 2005-7, Class JM, IF, 16.141%, 05/18/34 | 6,091 | ||||||
| 17,563 | Series 2005-17, Class SL, IF, IO, 6.437%, 07/20/34 | 2,708 | ||||||
| 2,458 | Series 2005-35, Class FL, VAR, 0.613%, 03/20/32 | 2,428 | ||||||
| 2,069 | Series 2005-44, Class SP, IF, 11.674%, 10/20/34 | 2,308 | ||||||
| 1,949 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 331 | ||||||
| 293 | Series 2005-65, Class SA, HB, IF, 21.736%, 08/20/35 | 327 | ||||||
| 626 | Series 2005-66, Class SP, IF, 19.951%, 08/16/35 | 789 | ||||||
| 8,086 | Series 2005-68, Class DP, IF, 15.798%, 06/17/35 | 9,869 | ||||||
| 36,895 | Series 2005-68, Class KI, IF, IO, 6.037%, 09/20/35 | 4,755 | ||||||
| 6,695 | Series 2005-69, Class SY, IF, IO, 6.487%, 11/20/33 | 1,092 | ||||||
| 2,692 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 2,865 | ||||||
| 1,703 | Series 2005-82, Class PO, PO, 10/20/35 | 1,493 | ||||||
| 3,538 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 550 | ||||||
| 1,412 | Series 2005-93, Class JO, PO, 03/20/31 | 1,397 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 3,349 | Series 2006-16, Class OP, PO, 03/20/36 | 2,973 | ||||||
| 3,987 | Series 2006-20, Class QA, 5.750%, 02/20/36 | 4,326 | ||||||
| 5,384 | Series 2006-33, Class Z, 6.500%, 07/20/36 | 6,201 | ||||||
| 854 | Series 2006-34, Class PO, PO, 07/20/36 | 751 | ||||||
| 1,049 | Series 2006-38, Class SW, IF, IO, 6.237%, 06/20/36 | 137 | ||||||
| 5,623 | Series 2006-38, Class ZK, 6.500%, 08/20/36 | 6,264 | ||||||
| 13,000 | Series 2006-40, Class VB, 6.000%, 11/20/26 | 13,697 | ||||||
| 1,908 | Series 2006-57, Class PZ, 5.565%, 10/20/36 | 2,019 | ||||||
| 5,916 | Series 2006-59, Class SD, IF, IO, 6.437%, 10/20/36 | 812 | ||||||
| 12,590 | Series 2006-65, Class SA, IF, IO, 6.537%, 11/20/36 | 1,642 | ||||||
| 9,302 | Series 2007-9, Class CI, IF, IO, 5.937%, 03/20/37 | 1,071 | ||||||
| 15,468 | Series 2007-9, Class DI, IF, IO, 6.247%, 03/20/37 | 2,003 | ||||||
| 18,849 | Series 2007-17, Class AF, VAR, 0.465%, 04/16/37 | 18,700 | ||||||
| 13,440 | Series 2007-17, Class JI, IF, IO, 6.545%, 04/16/37 | 1,949 | ||||||
| 5,214 | Series 2007-17, Class JO, PO, 04/16/37 | 4,631 | ||||||
| 6,879 | Series 2007-19, Class SD, IF, IO, 5.937%, 04/20/37 | 810 | ||||||
| 4,109 | Series 2007-25, Class FN, VAR, 0.565%, 05/16/37 | 4,071 | ||||||
| 16,524 | Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 | 1,929 | ||||||
| 36,020 | Series 2007-26, Class SW, IF, IO, 5.937%, 05/20/37 | 4,221 | ||||||
| 11,040 | Series 2007-27, Class SD, IF, IO, 5.937%, 05/20/37 | 1,302 | ||||||
| 1,251 | Series 2007-28, Class BO, PO, 05/20/37 | 1,099 | ||||||
| 13,526 | Series 2007-35, Class PO, PO, 06/16/37 | 11,945 | ||||||
| 1,200 | Series 2007-35, Class TO, PO, 04/20/35 | 1,179 | ||||||
| 2,100 | Series 2007-36, Class HO, PO, 06/16/37 | 1,880 | ||||||
| 9,002 | Series 2007-36, Class SE, IF, IO, 6.205%, 06/16/37 | 1,141 | ||||||
| 12,343 | Series 2007-36, Class SJ, IF, IO, 5.987%, 06/20/37 | 1,453 | ||||||
| 9,315 | Series 2007-40, Class SD, IF, IO, 6.487%, 07/20/37 | 1,324 | ||||||
| 16,666 | Series 2007-40, Class SN, IF, IO, 6.417%, 07/20/37 | 1,991 | ||||||
| 22,392 | Series 2007-42, Class SC, IF, IO, 6.487%, 07/20/37 | 3,166 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 14,332 | Series 2007-45, Class QA, IF, IO, 6.377%, 07/20/37 | 2,022 | ||||||
| 3,391 | Series 2007-49, Class NO, PO, 12/20/35 | 3,275 | ||||||
| 4,969 | Series 2007-50, Class AI, IF, IO, 6.512%, 08/20/37 | 667 | ||||||
| 8,598 | Series 2007-53, Class ES, IF, IO, 6.287%, 09/20/37 | 1,260 | ||||||
| 3,495 | Series 2007-53, Class SW, IF, 19.416%, 09/20/37 | 4,329 | ||||||
| 12,965 | Series 2007-57, Class PO, PO, 03/20/37 | 11,427 | ||||||
| 12,941 | Series 2007-57, Class QA, IF, IO, 6.237%, 10/20/37 | 1,664 | ||||||
| 13,205 | Series 2007-67, Class SI, IF, IO, 6.247%, 11/20/37 | 1,695 | ||||||
| 6,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 6,431 | ||||||
| 10,470 | Series 2007-71, Class SB, IF, IO, 6.437%, 07/20/36 | 1,307 | ||||||
| 11,312 | Series 2007-72, Class US, IF, IO, 6.287%, 11/20/37 | 1,555 | ||||||
| 12,490 | Series 2007-73, Class MI, IF, IO, 5.737%, 11/20/37 | 1,463 | ||||||
| 7,409 | Series 2007-74, Class SL, IF, IO, 6.275%, 11/16/37 | 1,148 | ||||||
| 24,389 | Series 2007-76, Class SB, IF, IO, 6.237%, 11/20/37 | 3,142 | ||||||
| 18,124 | Series 2007-79, Class SY, IF, IO, 6.287%, 12/20/37 | 2,505 | ||||||
| 13,921 | Series 2007-82, Class SA, IF, IO, 6.267%, 12/20/37 | 1,854 | ||||||
| 1,327 | Series 2008-7, Class SK, IF, 19.161%, 11/20/37 | 1,628 | ||||||
| 1,842 | Series 2008-7, Class SP, IF, 12.874%, 10/20/37 | 2,033 | ||||||
| 3,796 | Series 2008-17, Class IO, IO, 5.500%, 02/20/38 | 595 | ||||||
| 3,644 | Series 2008-20, Class PO, PO, 09/20/37 | 3,268 | ||||||
| 1,866 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 225 | ||||||
| 8,165 | Series 2008-25, Class SB, IF, IO, 6.637%, 03/20/38 | 1,084 | ||||||
| 4,036 | Series 2008-29, Class PO, PO, 02/17/33 | 3,693 | ||||||
| 18,281 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 2,437 | ||||||
| 5,612 | Series 2008-33, Class XS, IF, IO, 7.435%, 04/16/38 | 770 | ||||||
| 6,000 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 6,435 | ||||||
| 15,281 | Series 2008-36, Class SH, IF, IO, 6.037%, 04/20/38 | 1,774 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 43 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 31,045 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 5,110 | ||||||
| 13,297 | Series 2008-41, Class SA, IF, IO, 6.077%, 05/20/38 | 1,634 | ||||||
| 1,633 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 1,744 | ||||||
| 3,500 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 3,867 | ||||||
| 4,816 | Series 2008-55, Class SA, IF, IO, 5.937%, 06/20/38 | 566 | ||||||
| 19,684 | Series 2008-60, Class CS, IF, IO, 5.887%, 07/20/38 | 2,357 | ||||||
| 3,519 | Series 2008-60, Class PO, PO, 01/20/38 | 3,267 | ||||||
| 1,804 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 1,974 | ||||||
| 10,798 | Series 2008-69, Class QD, 5.750%, 07/20/38 | 11,754 | ||||||
| 7,677 | Series 2008-71, Class SC, IF, IO, 5.737%, 08/20/38 | 903 | ||||||
| 19,692 | Series 2008-76, Class US, IF, IO, 5.637%, 09/20/38 | 2,077 | ||||||
| 8,808 | Series 2008-79, Class CS, IF, 6.537%, 06/20/35 | 8,528 | ||||||
| 36,769 | Series 2008-81, Class S, IF, IO, 5.937%, 09/20/38 | 4,200 | ||||||
| 17,071 | Series 2008-93, Class AS, IF, IO, 5.437%, 12/20/38 | 1,860 | ||||||
| 36,816 | Series 2008-95, Class DS, IF, IO, 7.037%, 12/20/38 | 5,318 | ||||||
| 10,776 | Series 2008-96, Class SL, IF, IO, 5.737%, 12/20/38 | 1,243 | ||||||
| 11,787 | Series 2009-6, Class SA, IF, IO, 5.835%, 02/16/39 | 1,344 | ||||||
| 11,457 | Series 2009-6, Class SH, IF, IO, 5.777%, 02/20/39 | 1,352 | ||||||
| 18,054 | Series 2009-10, Class SA, IF, IO, 5.687%, 02/20/39 | 1,987 | ||||||
| 6,514 | Series 2009-10, Class SL, IF, IO, 6.235%, 03/16/34 | 778 | ||||||
| 13,275 | Series 2009-11, Class SC, IF, IO, 5.885%, 02/16/39 | 1,612 | ||||||
| 4,986 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 742 | ||||||
| 10,058 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 1,528 | ||||||
| 32,170 | Series 2009-22, Class SA, IF, IO, 6.007%, 04/20/39 | 3,593 | ||||||
| 17,611 | Series 2009-24, Class DS, IF, IO, 6.037%, 03/20/39 | 1,837 | ||||||
| 8,656 | Series 2009-25, Class SE, IF, IO, 7.337%, 09/20/38 | 1,251 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 17,831 | Series 2009-31, Class ST, IF, IO, 6.087%, 03/20/39 | 2,042 | ||||||
| 21,463 | Series 2009-31, Class TS, IF, IO, 6.037%, 03/20/39 | 2,389 | ||||||
| 5,243 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 1,051 | ||||||
| 5,328 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 852 | ||||||
| 14,323 | Series 2009-35, Class SN, IF, IO, 6.135%, 12/16/38 | 1,734 | ||||||
| 27,369 | Series 2009-42, Class SC, IF, IO, 5.817%, 06/20/39 | 3,232 | ||||||
| 19,033 | Series 2009-43, Class SA, IF, IO, 5.687%, 06/20/39 | 2,128 | ||||||
| 11,233 | Series 2009-44, Class MV, 6.000%, 04/20/20 | 12,379 | ||||||
| 4,038 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 4,416 | ||||||
| 39,148 | Series 2009-64, Class SN, IF, IO, 5.835%, 07/16/39 | 4,534 | ||||||
| 6,840 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 999 | ||||||
| 24,661 | Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 | 2,975 | ||||||
| 3,070 | Series 2009-75, Class MN, 5.500%, 09/20/39 | 3,279 | ||||||
| 17,357 | Series 2009-79, Class OK, PO, 11/16/37 | 15,207 | ||||||
| 36,487 | Series 2009-81, Class SB, IF, IO, 5.827%, 09/20/39 | 3,991 | ||||||
| 16,791 | Series 2009-83, Class TS, IF, IO, 5.837%, 08/20/39 | 1,793 | ||||||
| 4,754 | Series 2009-89, Class VA, 5.000%, 07/20/20 | 5,078 | ||||||
| 62,291 | Series 2009-102, Class SM, IF, IO, 6.135%, 06/16/39 | 7,567 | ||||||
| 3,924 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 4,437 | ||||||
| 24,094 | Series 2009-106, Class AS, IF, IO, 6.135%, 11/16/39 | 3,152 | ||||||
| 89,500 | Series 2009-106, Class ST, IF, IO, 5.737%, 02/20/38 | 9,498 | ||||||
| 6,433 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 7,061 | ||||||
| 8,160 | Series 2010-14, Class AO, PO, 12/20/32 | 7,225 | ||||||
| 3,086 | Series 2010-14, Class AO, PO, 11/20/35 | 2,721 | ||||||
| 4,500 | Series 2010-14, Class CO, PO, 08/20/35 | 3,261 | ||||||
| 1,365 | Series 2010-14, Class EO, PO, 06/16/33 | 1,320 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 41,891 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 45,324 | ||||||
| 5,695 | Series 2010-41, Class WA, VAR, 5.863%, 10/20/33 | 6,246 | ||||||
| 3,629 | Series 2010-103, Class WA, VAR, 5.768%, 08/20/34 | 3,965 | ||||||
| 4,641 | Series 2010-129, Class AW, VAR, 6.153%, 04/20/37 | 5,333 | ||||||
| 33,233 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 37,103 | ||||||
| 22,380 | Series 2010-157, Class OP, PO, 12/20/40 | 17,004 | ||||||
NCUA Guaranteed Notes, | ||||||||
| 73,262 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 71,245 | ||||||
| 33,199 | Series 2010-R3, Class 1A, VAR, 0.823%, 12/08/20 | 33,355 | ||||||
| 11,107 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 10,861 | ||||||
Vendee Mortgage Trust, | ||||||||
| 12,961 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 14,753 | ||||||
| 2,531 | Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 | 2,710 | ||||||
| 9,063 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 10,041 | ||||||
| 3,593 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 4,047 | ||||||
| 1,681 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,893 | ||||||
| 4,978 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 5,722 | ||||||
| 3,427 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,937 | ||||||
| 4,847,486 | ||||||||
Non-Agency CMO — 13.0% | ||||||||
| 7,000 | AAM ACE Resecuritization Trust, | 6,589 | ||||||
| 266 | ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 | 268 | ||||||
American General Mortgage Loan Trust, | ||||||||
| 961 | Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e) | 960 | ||||||
| 4,097 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 4,398 | ||||||
| 24,489 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 25,656 | ||||||
| 16,389 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 17,344 | ||||||
| 33,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 34,102 | ||||||
| 13,350 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 13,870 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 8,500 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 | 3,988 | ||||||
ASG Resecuritization Trust, | ||||||||
| 8,362 | Series 2009-1, Class A60, VAR, 5.348%, 06/26/37 (e) | 8,466 | ||||||
| 23,982 | Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) | 24,568 | ||||||
| 45,047 | Series 2009-3, Class A65, VAR, 5.374%, 03/26/37 (e) | 45,748 | ||||||
| 25,901 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 26,290 | ||||||
| 6,279 | Series 2009-5, Class A50, VAR, 5.588%, 02/28/37 (e) | 6,357 | ||||||
| 11,905 | Series 2010-1, Class A85, VAR, 0.661%, 02/27/36 (e) | 11,369 | ||||||
| 19,741 | Series 2010-2, Class A60, VAR, 5.134%, 01/28/37 (e) | 19,741 | ||||||
| 22,238 | Series 2010-3, Class 2A22, VAR, 0.440%, 10/28/36 (e) | 21,904 | ||||||
| 13,215 | Series 2010-4, Class 1A22, VAR, 0.410%, 07/28/36 (e) (f) (i) | 12,753 | ||||||
| 6,045 | Series 2010-4, Class 2A20, VAR, 0.392%, 11/28/36 (e) | 5,924 | ||||||
| 14,839 | Series 2011-1, Class 1A85, 4.000%, 09/28/35 (e) | 14,839 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
| 434 | Series 2003-1, Class APO, PO, 02/25/33 | 290 | ||||||
| 4,898 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 | 5,058 | ||||||
| 7,932 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 8,039 | ||||||
| 9,194 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 9,345 | ||||||
| 9,526 | Series 2003-11, Class 1A1, 6.000%, 01/25/34 | 9,545 | ||||||
| 7,581 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 7,585 | ||||||
| 1,025 | Series 2003-11, Class PO, PO, 01/25/34 | 723 | ||||||
| 2,679 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 2,827 | ||||||
| 2,897 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 2,938 | ||||||
| 559 | Series 2004-6, Class 15PO, PO, 07/25/19 | 402 | ||||||
| 1,626 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,678 | ||||||
| 4,347 | Series 2004-8, Class 3A1, 5.500%, 09/25/19 | 4,453 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 45 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 1,402 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,288 | ||||||
| 4,562 | Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 | 921 | ||||||
Banc of America Funding Corp., | ||||||||
| 1,457 | Series 2004-1, Class PO, PO, 03/25/34 | 1,166 | ||||||
| 1,920 | Series 2004-2, Class 1CB1, 5.750%, 09/20/34 | 1,906 | ||||||
| 4,241 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 4,302 | ||||||
| 4,544 | Series 2004-C, Class 1A1, VAR, 5.012%, 12/20/34 | 4,651 | ||||||
| 2,186 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 2,135 | ||||||
| 1,992 | Series 2005-7, Class 30PO, PO, 11/25/35 | 1,153 | ||||||
| 924 | Series 2005-8, Class 30PO, PO, 01/25/36 | 515 | ||||||
| 3,704 | Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 | 3,659 | ||||||
| 2,352 | Series 2006-1, Class XPO, PO, 01/25/36 | 1,435 | ||||||
| 5,194 | Series 2010-R4, Class 5A1, VAR, 0.411%, 07/26/36 (e) | 5,036 | ||||||
| 17,496 | Series 2010-R5, Class 5A6, VAR, 0.561%, 05/26/37 (e) | 16,884 | ||||||
| 2,819 | Series 2010-R7, Class A1, VAR, 0.441%, 06/25/46 (e) (f) (i) | 2,766 | ||||||
| 19,358 | Series 2010-R11A, Class 1A6, VAR, 5.460%, 08/26/35 (e) | 19,978 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
| 10,000 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 10,252 | ||||||
| 4,564 | Series 2003-3, Class 2A1, VAR, 0.812%, 05/25/18 | 4,398 | ||||||
| 1,186 | Series 2003-5, Class 3A1, 7.500%, 02/25/31 | 1,244 | ||||||
| 2,159 | Series 2003-6, Class 2A1, VAR, 0.712%, 08/25/18 | 2,083 | ||||||
| 294 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 304 | ||||||
| 795 | Series 2003-8, Class APO, PO, 11/25/33 | 580 | ||||||
| 1,628 | Series 2003-C, Class 3A1, VAR, 2.966%, 04/25/33 | 1,665 | ||||||
| 5,007 | Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33 | 4,816 | ||||||
| 488 | Series 2004-1, Class APO, PO, 02/25/34 | 357 | ||||||
| 5,977 | Series 2004-3, Class 15IO, IO, VAR, 0.235%, 04/25/19 | 30 | ||||||
| 446 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 | 446 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 16,500 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 16,948 | ||||||
| 303 | Series 2004-4, Class APO, PO, 05/25/34 | 229 | ||||||
| 3,766 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 3,717 | ||||||
| 2,366 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 2,415 | ||||||
| 970 | Series 2004-6, Class 2A7, 5.500%, 07/25/34 | 1,005 | ||||||
| 1,751 | Series 2004-6, Class APO, PO, 07/25/34 | 1,259 | ||||||
| 114 | Series 2004-8, Class 5PO, PO, 05/25/32 | 87 | ||||||
| 651 | Series 2004-8, Class XPO, PO, 10/25/34 | 490 | ||||||
| 2,524 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 2,643 | ||||||
| 231 | Series 2004-9, Class 3PO, PO, 09/25/32 | 174 | ||||||
| 3,017 | Series 2004-J, Class 3A1, VAR, 5.095%, 11/25/34 | 2,854 | ||||||
| 6,916 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 7,043 | ||||||
BCAP LLC Trust, | ||||||||
| 12,814 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 13,006 | ||||||
| 18,004 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 18,094 | ||||||
| 4,880 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 4,856 | ||||||
| 21,766 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 22,719 | ||||||
| 6,912 | Series 2009-RR14, Class 3A2, VAR, 2.894%, 08/26/35 (e) | 6,566 | ||||||
| 3,280 | Series 2009-RR14, Class 4A1, VAR, 4.724%, 03/26/36 (e) | 3,270 | ||||||
| 3,230 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 3,242 | ||||||
| 6,020 | Series 2010-RR4, Class 2A1, VAR, 1.011%, 06/26/37 (e) | 5,779 | ||||||
| 6,810 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 6,818 | ||||||
| 13,476 | Series 2010-RR5, Class 2A5, VAR, 5.183%, 04/26/37 (e) | 13,375 | ||||||
| 9,301 | Series 2010-RR6, Class 22A3, VAR, 5.640%, 06/26/36 (e) | 9,301 | ||||||
| 6,094 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 6,056 | ||||||
| 11,851 | Series 2010-RR7, Class 15A1, VAR, 1.061%, 01/26/36 (e) | 11,081 | ||||||
| 13,589 | Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) | 12,841 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 22,020 | Series 2010-RR7, Class 1A5, VAR, 3.051%, 04/26/35 (e) | 22,244 | ||||||
| 48,484 | Series 2010-RR7, Class 2A1, VAR, 5.452%, 07/26/45 (e) | 48,362 | ||||||
| 9,311 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 9,519 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
| 4,703 | Series 2003-2, Class A5, VAR, 2.601%, 01/25/33 (e) | 4,738 | ||||||
| 520 | Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 513 | ||||||
| 7,860 | Series 2004-2, Class 14A, VAR, 5.138%, 05/25/34 | 8,171 | ||||||
| 17,293 | Series 2005-5, Class A1, VAR, 2.290%, 08/25/35 | 16,647 | ||||||
| 12,243 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 11,327 | ||||||
| 7,526 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.762%, 03/25/35 | 6,598 | ||||||
Cendant Mortgage Corp., | ||||||||
| 1,366 | Series 2003-8, Class 1P, PO, 10/25/33 | 827 | ||||||
| 409 | Series 2004-1, Class P, PO, 02/25/34 | 248 | ||||||
Chase Mortgage Finance Corp., | ||||||||
| 4,740 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 4,871 | ||||||
| 1,438 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 1,479 | ||||||
| 861 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 885 | ||||||
| 2,888 | Series 2003-S9, Class AP, PO, 10/25/18 | 2,427 | ||||||
| 6,780 | Series 2007-A1, Class 2A1, VAR, 2.887%, 02/25/37 | 6,854 | ||||||
| 1,271 | Series 2007-A1, Class 7A1, VAR, 2.930%, 02/25/37 | 1,272 | ||||||
| 3,776 | Series 2007-A1, Class 9A1, VAR, 3.597%, 02/25/37 | 3,840 | ||||||
| 2,664 | Series 2007-A2, Class 1A1, VAR, 2.884%, 07/25/37 | 2,621 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
| 225 | Series 1993-14, Class A3, VAR, 1.461%, 11/25/23 | 220 | ||||||
| 1,728 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 1,764 | ||||||
| 3,890 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 3,975 | ||||||
| 8,979 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 9,402 | ||||||
| 1,178 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 1,191 | ||||||
| 2,114 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 2,126 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 5,000 | Series 2006-4, Class 1A2, 6.000%, 08/25/36 | 4,796 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
| 5,102 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 5,326 | ||||||
| 600 | Series 2003-1, Class 2A6, PO, 10/25/33 | 388 | ||||||
| 656 | Series 2003-1, Class PO2, PO, 10/25/33 | 461 | ||||||
| 532 | Series 2003-1, Class PO3, PO, 09/25/33 | 379 | ||||||
| 64 | Series 2003-1, Class WPO1, PO, 06/25/16 | 62 | ||||||
| 680 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 687 | ||||||
| 2,661 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 2,751 | ||||||
| 591 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 487 | ||||||
| 409 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 346 | ||||||
| 3,488 | Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 | 3,597 | ||||||
| 663 | Series 2005-1, Class 2A1A, VAR, 2.751%, 04/25/35 | 451 | ||||||
| 5,215 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 5,215 | ||||||
| 1,910 | Series 2005-5, Class 1A2, VAR, 2.714%, 08/25/35 | 1,264 | ||||||
| 28,551 | Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 | 27,980 | ||||||
| 4,903 | Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) | 4,535 | ||||||
| 16,680 | Series 2009-10, Class 1A1, VAR, 2.712%, 09/25/33 (e) | 16,931 | ||||||
| 13,346 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 13,379 | ||||||
| 13,000 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 13,650 | ||||||
| 7,190 | Series 2010-7, Class 10A1, VAR, 2.739%, 02/25/35 (e) | 7,155 | ||||||
| 7,260 | Series 2010-7, Class 4A1, VAR, 1.260%, 09/25/37 (e) | 7,164 | ||||||
| 6,752 | Series 2010-10, Class 2A1, VAR, 2.720%, 02/25/36 (e) | 6,668 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
| 2,434 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 2,408 | ||||||
| 487 | Series 2002-12, Class PO, PO, 11/25/32 | 338 | ||||||
| 3,825 | Series 2002-18, Class M, 6.000%, 02/25/33 | 3,349 | ||||||
| 638 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 500 | ||||||
| 10,659 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 10,703 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 47 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 2,630 | Series 2004-14T2, Class A5, 5.500%, 08/25/34 | 2,561 | ||||||
| 8,790 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 8,857 | ||||||
| 1,279 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 1,301 | ||||||
| 10,302 | Series 2005-1CB, Class 1A6, IF, IO, 6.838%, 03/25/35 | 1,312 | ||||||
| 19,729 | Series 2005-20CB, Class 3A8, IF, IO, 4.489%, 07/25/35 | 2,180 | ||||||
| 22,729 | Series 2005-22T1, Class A2, IF, IO, 4.808%, 06/25/35 | 2,379 | ||||||
| 399 | Series 2005-26CB, Class A10, IF, 12.576%, 07/25/35 | 399 | ||||||
| 7,841 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 6,349 | ||||||
| 201 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 201 | ||||||
| 327 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 298 | ||||||
| 72,898 | Series 2005-37T1, Class A2, IF, IO, 4.789%, 09/25/35 | 8,869 | ||||||
| 9,300 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 7,965 | ||||||
| 39,311 | Series 2005-54CB, Class 1A2, IF, IO, 4.588%, 11/25/35 | 3,459 | ||||||
| 278 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 274 | ||||||
| 3,417 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 2,833 | ||||||
| 16,850 | Series 2005-J1, Class 1A4, IF, IO, 4.839%, 02/25/35 | 1,730 | ||||||
| 8,000 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) | 3,360 | ||||||
| 1,500 | Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i) | 188 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
| 499 | Series 2002-18, Class PO, PO, 11/25/32 | 388 | ||||||
| 2,443 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 2,544 | ||||||
| 4,958 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 4,737 | ||||||
| 1,904 | Series 2003-29, Class A1, 5.500%, 08/25/33 | 1,966 | ||||||
| 567 | Series 2003-34, Class A11, 5.250%, 09/25/33 | 567 | ||||||
| 4,213 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 4,285 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 8,723 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 8,566 | ||||||
| 1,120 | Series 2003-44, Class A9, PO, 10/25/33 | 883 | ||||||
| 8,772 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 8,905 | ||||||
| 285 | Series 2003-J13, Class PO, PO, 01/25/34 | 174 | ||||||
| 2,299 | Series 2003-J7, Class 4A3, IF, 9.435%, 08/25/18 | 2,175 | ||||||
| 8,580 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 8,960 | ||||||
| 402 | Series 2004-7, Class 2A1, VAR, 2.392%, 06/25/34 | 377 | ||||||
| 9,205 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 9,391 | ||||||
| 737 | Series 2004-HYB1, Class 2A, VAR, 2.889%, 05/20/34 | 668 | ||||||
| 2,896 | Series 2004-HYB3, Class 2A, VAR, 2.649%, 06/20/34 | 2,468 | ||||||
| 1,919 | Series 2004-HYB6, Class A3, VAR, 3.089%, 11/20/34 | 1,679 | ||||||
| 1,146 | Series 2004-J6, Class 2A1, 4.750%, 07/25/14 | 1,171 | ||||||
| 789 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 814 | ||||||
| 1,152 | Series 2005-14, Class A2, 5.500%, 07/25/35 | 1,186 | ||||||
| 1,000 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 980 | ||||||
| 7,053 | Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 | 5,670 | ||||||
| 330 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 237 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
| 12,795 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 12,923 | ||||||
| 9,794 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 9,855 | ||||||
| 7,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 6,900 | ||||||
| 11,297 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 11,466 | ||||||
| 7,840 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 8,153 | ||||||
| 31,293 | Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) | 31,098 | ||||||
| 9,945 | Series 2010-12R, Class 14A1, VAR, 4.500%, 09/26/46 (e) | 10,007 | ||||||
| 7,703 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 7,798 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 1,699 | Series 2010-14R, Class 1A1, VAR, 1.012%, 11/26/37 (e) | 1,698 | ||||||
| 8,698 | Series 2010-15R, Class 7A1, VAR, 5.340%, 10/26/37 (e) | 8,807 | ||||||
| 3,010 | Series 2010-15R, Class 7A2, VAR, 5.340%, 10/26/37 (e) | 2,761 | ||||||
| 12,611 | Series 2010-17R, Class 5A1, VAR, 3.500%, 07/26/36 (e) | 12,484 | ||||||
| 49,600 | Series 2011-1R, Class A1, VAR, 1.260%, 02/27/47 (e) | 49,600 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 81 | Series 1997-2, Class A, 7.500%, 06/25/20 (e) | 83 | ||||||
| 2,190 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,904 | ||||||
| 3,538 | Series 2003-23, Class 1P, PO, 10/25/33 | 2,122 | ||||||
| 3,289 | Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 3,384 | ||||||
| 685 | Series 2003-25, Class 2A1, 4.500%, 10/25/18 | 697 | ||||||
| 6,579 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 6,442 | ||||||
| 3,184 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 3,229 | ||||||
| 1,517 | Series 2003-AR15, Class 3A1, VAR, 2.811%, 06/25/33 | 1,503 | ||||||
| 4,242 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 4,496 | ||||||
| 4,853 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 5,029 | ||||||
| 195 | Series 2004-5, Class 5P, PO, 08/25/19 | 164 | ||||||
| 6,178 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 6,483 | ||||||
| 3,500 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 3,558 | ||||||
| 1,677 | Series 2005-4, Class 3A24, IF, 18.122%, 06/25/35 | 1,665 | ||||||
| 1,060 | Series 2005-9, Class AP, PO, 10/25/35 | 665 | ||||||
| 7,992 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 1,022 | ||||||
| 558 | Series 2005-10, Class AP, PO, 11/25/35 | 299 | ||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, | ||||||||
| 2,839 | Series 2005-1, Class 2A1, VAR, 5.602%, 02/25/20 | 2,882 | ||||||
| 3,979 | Series 2005-3, Class 1A1, VAR, 5.295%, 06/25/20 | 3,771 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
Deutsche Mortgage Securities, Inc., | ||||||||
| 282 | Series 2004-1, Class 2APO, PO, 10/25/18 | 235 | ||||||
| 7,660 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 7,682 | ||||||
| 16,191 | Series 2010-RS2, Class A1, VAR, 1.510%, 06/28/47 (e) | 16,196 | ||||||
First Boston Mortgage Securities Corp. 1987 STRIPS, | ||||||||
| 30 | Series C, Class PO, PO, 04/25/17 | 29 | ||||||
| 53 | Series C, Class IO, IO, 10.965%, 04/25/17 | 8 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
| 3,365 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 2,596 | ||||||
| 26,211 | Series 2007-FA4, Class 1A2, IF, IO, 5.389%, 08/25/37 | 3,843 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
| 330 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 340 | ||||||
| 3,716 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 3,822 | ||||||
| 3,155 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 2,929 | ||||||
| 2,590 | Series 2004-AR2, Class 2A1, VAR, 2.880%, 05/25/34 | 2,506 | ||||||
| 2,239 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 | 2,216 | ||||||
| 798 | Series 2004-AR7, Class 2A2, VAR, 2.742%, 02/25/35 | 736 | ||||||
| 7,062 | Series 2005-AR1, Class 2A2, VAR, 2.801%, 04/25/35 | 6,940 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
| 14,940 | Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 | 15,046 | ||||||
| 9,540 | Series 2003-AR2, Class 2A4, VAR, 3.318%, 12/19/33 | 9,615 | ||||||
| 1,382 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 1,449 | ||||||
| 12,976 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 12,824 | ||||||
| 814 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 823 | ||||||
| 829 | Series 2004-J5, Class A2, VAR, 0.662%, 01/25/35 | 826 | ||||||
| 7,796 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 8,088 | ||||||
| 4,831 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 4,901 | ||||||
| 1,731 | Series 2005-AR3, Class 3A3, VAR, 3.225%, 06/19/35 | 1,689 | ||||||
| 5,000 | Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 | 4,051 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 49 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 11,017 | Series 2010-1, Class A, 4.250%, 07/25/40 (e) | 11,164 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
| 1,405 | Series 2004-4, Class 1AF, VAR, 0.662%, 06/25/34 (e) | 1,202 | ||||||
| 2,590 | Series 2005-RP2, Class 1AF, VAR, 0.611%, 03/25/35 (e) | 2,225 | ||||||
GSR Mortgage Loan Trust, | ||||||||
| 1,591 | Series 2003-3F, Class 4A3, 5.750%, 04/25/33 | 1,510 | ||||||
| 1,081 | Series 2003-6F, Class A2, VAR, 0.662%, 09/25/32 | 1,014 | ||||||
| 5,775 | Series 2004-9, Class 5A5, VAR, 3.827%, 08/25/34 | 5,743 | ||||||
| 3,476 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 3,681 | ||||||
| 475 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 488 | ||||||
| 974 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 957 | ||||||
| 172 | Series 2004-15F, Class AP, PO, 12/25/34 | 114 | ||||||
| 4,119 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 4,150 | ||||||
| 9,632 | Series 2005-5F, Class 8A3, VAR, 0.762%, 06/25/35 | 8,821 | ||||||
| 9,181 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 8,423 | ||||||
| 542 | Series 2005-AR6, Class 3A1, VAR, 2.763%, 09/25/35 | 496 | ||||||
| 4,000 | Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 3,634 | ||||||
| 11,334 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 10,248 | ||||||
| 322 | Series 2006-2F, Class 2A15, 5.750%, 02/25/36 | 321 | ||||||
| 13,000 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 12,350 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
| 2,494 | Series 2003-2, Class A1, 5.500%, 08/25/33 | 2,557 | ||||||
| 117 | Series 2004-3, Class 1A4, VAR, 1.061%, 11/25/34 | 113 | ||||||
| 20,172 | Series 2006-2, Class 2A1, VAR, 0.611%, 08/25/36 | 18,715 | ||||||
| 33,139 | Indymac Index Mortgage Loan Trust, | 290 | ||||||
JP Morgan Mortgage Trust, | ||||||||
| 2,020 | Series 2004-A3, Class 4A1, VAR, 4.290%, 07/25/34 | 2,038 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 4,259 | Series 2004-A4, Class 1A1, VAR, 4.533%, 09/25/34 | 4,372 | ||||||
| 3,546 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 3,668 | ||||||
| 7,550 | Series 2005-A1, Class 3A4, VAR, 5.012%, 02/25/35 | 7,410 | ||||||
| 4,414 | Series 2005-A1, Class 5A1, VAR, 4.478%, 02/25/35 | 4,515 | ||||||
| 48,800 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 48,604 | ||||||
| 3,104 | Series 2006-A2, Class 5A3, VAR, 2.974%, 11/25/33 | 3,130 | ||||||
| 6,952 | Series 2006-A3, Class 6A1, VAR, 2.994%, 08/25/34 | 6,587 | ||||||
| 4,320 | Series 2007-A1, Class 5A1, VAR, 2.968%, 07/25/35 | 4,084 | ||||||
| 1,728 | Series 2007-A1, Class 5A2, VAR, 2.968%, 07/25/35 | 1,670 | ||||||
JP Morgan Reremic, | ||||||||
| 8,594 | Series 2009-6, Class 4A1, VAR, 6.000%, 09/26/36 (e) | 8,970 | ||||||
| 9,612 | Series 2010-4, Class 7A1, VAR, 4.305%, 08/26/35 (e) | 9,682 | ||||||
Lehman Mortgage Trust, | ||||||||
| 2,931 | Series 2006-2, Class 1A1, VAR, 6.448%, 04/25/36 | 2,916 | ||||||
| 2,129 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 1,759 | ||||||
| 10,000 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 7,600 | ||||||
LVII Resecuritization Trust, | ||||||||
| 14,096 | Series 2009-2, Class A3, VAR, 2.898%, 09/27/37 (e) | 13,779 | ||||||
| 20,000 | Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e) | 19,600 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
| 1,839 | Series 2004-3, Class 4A2, VAR, 2.287%, 04/25/34 | 1,679 | ||||||
| 3,989 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 3,899 | ||||||
| 15,791 | Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 15,889 | ||||||
| 778 | Series 2004-15, Class 3A1, VAR, 3.278%, 12/25/34 | 660 | ||||||
MASTR Alternative Loans Trust, | ||||||||
| 5,665 | Series 2003-9, Class 2A1, 6.000%, 12/25/33 | 5,693 | ||||||
| 872 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 864 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 2,110 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 2,202 | ||||||
| 6,306 | Series 2004-3, Class 3A1, 6.000%, 04/25/34 | 6,522 | ||||||
| 1,266 | Series 2004-6, Class 30PO, PO, 07/25/34 | 868 | ||||||
| 691 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 706 | ||||||
| 1,085 | Series 2004-7, Class 30PO, PO, 08/25/34 | 778 | ||||||
| 3,334 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 3,398 | ||||||
| 1,256 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,279 | ||||||
| 4,187 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 4,064 | ||||||
MASTR Asset Securitization Trust, | ||||||||
| 938 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 957 | ||||||
| 594 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 601 | ||||||
| 1,888 | Series 2003-2, Class 2A10, 4.500%, 03/25/18 | 1,911 | ||||||
| 524 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 542 | ||||||
| 1,113 | Series 2003-9, Class 15PO, PO, 10/25/18 | 936 | ||||||
| 894 | Series 2003-9, Class 2A7, 5.500%, 10/25/33 | 920 | ||||||
| 621 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 631 | ||||||
| 640 | Series 2003-12, Class 30PO, PO, 12/25/33 | 383 | ||||||
| 1,744 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 1,772 | ||||||
| 399 | Series 2004-1, Class 30PO, PO, 02/25/34 | 272 | ||||||
| 5,028 | Series 2004-4, Class 1A6, 5.250%, 12/26/33 | 5,245 | ||||||
| 243 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 251 | ||||||
| 640 | Series 2004-6, Class 15PO, PO, 05/25/19 | 519 | ||||||
| 2,524 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 2,585 | ||||||
| 475 | Series 2004-8, Class PO, PO, 08/25/19 | 393 | ||||||
| 1,408 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 1,391 | ||||||
| 273 | Series 2004-10, Class 5A1, VAR, 0.662%, 11/25/34 | 273 | ||||||
| 4,755 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 5,048 | ||||||
| 2,300 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 2,105 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
MASTR Reperforming Loan Trust, | ||||||||
| 22,051 | Series 2005-2, Class 1A1F, VAR, 0.611%, 05/25/35 (e) | 18,269 | ||||||
| 2,491 | Series 2006-2, Class 1A1, VAR, 5.476%, 05/25/36 (e) | 2,216 | ||||||
| 7,432 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 5,053 | ||||||
| 433 | Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.442%, 05/25/35 | 412 | ||||||
Mellon Residential Funding Corp., | ||||||||
| 10,071 | Series 2000-TBC2, Class A1, VAR, 0.746%, 06/15/30 | 9,923 | ||||||
| 2,390 | Series 2000-TBC3, Class A1, VAR, 0.706%, 12/15/30 | 2,277 | ||||||
| 5,771 | Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.484%, 06/25/37 | 5,280 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
| 2,681 | Series 2003-A5, Class 2A6, VAR, 2.528%, 08/25/33 | 2,581 | ||||||
| 4,499 | Series 2004-A4, Class A2, VAR, 2.786%, 08/25/34 | 4,532 | ||||||
| 8,111 | Series 2005-A2, Class A1, VAR, 2.624%, 02/25/35 | 7,478 | ||||||
| 132 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 147 | ||||||
| 7,136 | Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 6,957 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
| 3,182 | Series 2003-E, Class A1, VAR, 0.571%, 10/25/28 | 2,997 | ||||||
| 4,988 | Series 2004-C, Class A2, VAR, 0.765%, 07/25/29 | 4,783 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
| 10,615 | Series 2004-3, Class 4A, VAR, 5.653%, 04/25/34 | 11,280 | ||||||
| 3,205 | Series 2004-9, Class 4A, VAR, 5.423%, 11/25/19 | 3,271 | ||||||
| — | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,180.500%, 04/20/21 | 28 | |||||
| 2,526 | MortgageIT Trust, Series 2005-1, | 1,961 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
| 1,503 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 1,548 | ||||||
| 487 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 513 | ||||||
| 150 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 158 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 51 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 66 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 68 | ||||||
| 1,519 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 1,538 | ||||||
Paine Webber CMO Trust, | ||||||||
| 7 | Series H, Class 4, 8.750%, 04/01/18 | 8 | ||||||
| 27 | Series P, Class 4, 8.500%, 08/01/19 | 31 | ||||||
| 4,917 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 5,184 | ||||||
RBSSP Resecuritization Trust, | ||||||||
| 8,105 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 8,543 | ||||||
| 6,565 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 6,630 | ||||||
| 7,820 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 8,094 | ||||||
| 7,494 | Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) | 7,592 | ||||||
| 8,365 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 8,619 | ||||||
| 22,602 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 23,821 | ||||||
| 8,604 | Series 2009-12, Class 3A1, VAR, 0.501%, 12/25/35 (e) | 8,331 | ||||||
| 4,441 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 4,496 | ||||||
| 2,942 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 2,991 | ||||||
| 7,865 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 7,905 | ||||||
| 4,807 | Series 2010-4, Class 2A1, SUB, 5.749%, 11/26/35 (e) | 4,964 | ||||||
| 10,900 | Series 2010-9, Class 1A1, VAR, 0.446%, 07/26/37 (e) (f) (i) | 9,817 | ||||||
| 11,016 | Series 2010-9, Class 3A1, VAR, 5.000%, 10/26/34 (e) | 11,236 | ||||||
| 26,500 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 26,301 | ||||||
| 4,733 | Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) | 4,792 | ||||||
Residential Accredit Loans, Inc., | ||||||||
| 2,061 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 2,107 | ||||||
| 913 | Series 2002-QS16, Class A3, IF, 16.076%, 10/25/17 | 994 | ||||||
| 3,708 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 3,769 | ||||||
| 3,031 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 2,986 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 1,798 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 1,729 | ||||||
| 884 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 875 | ||||||
| 2,461 | Series 2003-QS12, Class A2A, IF, IO, 7.338%, 06/25/18 | 338 | ||||||
| 749 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 80 | ||||||
| 5,969 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 6,071 | ||||||
| 7,546 | Series 2003-QS15, Class A7, 5.500%, 08/25/33 | 7,416 | ||||||
| 1,789 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,846 | ||||||
| 13,365 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 13,966 | ||||||
| 1,640 | Series 2003-QS3, Class A2, IF, 15.925%, 02/25/18 | 1,768 | ||||||
| 1,682 | Series 2003-QS3, Class A8, IF, IO, 7.338%, 02/25/18 | 197 | ||||||
| 4,564 | Series 2003-QS9, Class A3, IF, IO, 7.288%, 05/25/18 | 652 | ||||||
| 11,045 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 9,647 | ||||||
| 873 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 874 | ||||||
| 3,000 | Series 2005-QA6, Class A32, VAR, 5.501%, 05/25/35 | 2,161 | ||||||
| 562 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 394 | ||||||
Residential Asset Securitization Trust, | ||||||||
| 1,874 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 1,604 | ||||||
| 196 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 203 | ||||||
| 3,811 | Series 2003-A8, Class A5, 4.250%, 10/25/18 | 3,613 | ||||||
| 22,209 | Series 2005-A2, Class A4, IF, IO, 4.789%, 03/25/35 | 2,673 | ||||||
| 2,932 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,900 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
| 1,680 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,715 | ||||||
| 759 | Series 2003-S14, Class A4, PO, 07/25/18 | 726 | ||||||
| 2,059 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 2,113 | ||||||
| 2,930 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 2,998 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 352 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 292 | ||||||
| 2,439 | Series 2005-S1, Class 2A1, 4.750%, 02/25/20 | 2,509 | ||||||
| 2,177 | Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 | 1,676 | ||||||
| 126 | Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 90 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
| 9,493 | Series 2003-HYB1, Class A, VAR, 3.199%, 09/25/33 | 9,672 | ||||||
| 349 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 257 | ||||||
Sequoia Mortgage Trust, | ||||||||
| 3,153 | Series 2004-8, Class A1, VAR, 0.612%, 09/20/34 | 2,925 | ||||||
| 4,920 | Series 2004-8, Class A2, VAR, 0.830%, 09/20/34 | 4,515 | ||||||
| 1,482 | Series 2004-10, Class A1A, VAR, 0.572%, 11/20/34 | 1,398 | ||||||
| 5,945 | Series 2004-12, Class A3, VAR, 0.780%, 01/20/35 | 5,160 | ||||||
Station Place Securitization Trust, | ||||||||
| 50,000 | Series 2010-1, Class A, VAR, 1.263%, 12/20/42 | 50,000 | ||||||
| 5,250 | Series 2010-1, Class M1, VAR, 2.013%, 12/20/42 | 5,250 | ||||||
| 4,200 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 | 4,095 | ||||||
Structured Asset Securities Corp., | ||||||||
| 1,248 | Series 2002-17, Class B1, VAR, 6.095%, 09/25/32 | 1,235 | ||||||
| 130 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 96 | ||||||
| 1,162 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 1,198 | ||||||
| 7,422 | Series 2003-16, Class A3, VAR, 0.762%, 06/25/33 | 7,156 | ||||||
| 610 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 625 | ||||||
| 6,156 | Series 2003-29, Class 1A1, 4.750%, 09/25/18 | 6,295 | ||||||
| 1,375 | Series 2003-30, Class 1A1, 5.500%, 10/25/33 | 1,437 | ||||||
| 2,299 | Series 2003-30, Class 3A2, VAR, 0.762%, 10/25/33 | 2,237 | ||||||
| 1,236 | Series 2003-32, Class 1A1, VAR, 5.190%, 11/25/33 | 1,266 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 1,412 | Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 | 586 | ||||||
| 8,808 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 8,965 | ||||||
| 9,921 | Series 2003-37A, Class 2A, VAR, 5.012%, 12/25/33 | 10,270 | ||||||
| 3,962 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 | 4,002 | ||||||
| 17,500 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 17,432 | ||||||
| 5,792 | Series 2004-4XS, Class 1A5, SUB, 5.490%, 02/25/34 | 5,850 | ||||||
| 3,361 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 3,307 | ||||||
| 2,082 | Series 2005-RF3, Class 1A, VAR, 0.611%, 06/25/35 (e) | 1,694 | ||||||
| 2,904 | Thornburg Mortgage Securities Trust, | 2,702 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
| 4,667 | Series 2003-AR7, Class A7, VAR, 2.674%, 08/25/33 | 4,670 | ||||||
| 24,144 | Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 | 23,952 | ||||||
| 4,357 | Series 2003-AR9, Class 2A, VAR, 2.780%, 09/25/33 | 4,413 | ||||||
| 6,000 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 6,191 | ||||||
| 1,121 | Series 2003-S10, Class A2, 5.000%, 10/25/18 | 1,169 | ||||||
| 545 | Series 2003-S10, Class A6, PO, 10/25/18 | 540 | ||||||
| 6,920 | Series 2003-S11, Class 2A5, IF, 16.331%, 11/25/33 | 7,269 | ||||||
| 2,714 | Series 2003-S13, Class 23A1, VAR, 0.812%, 12/25/18 | 2,617 | ||||||
| 1,843 | Series 2003-S4, Class 2A10, VAR, 16.743%, 06/25/33 | 2,072 | ||||||
| 4,261 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 4,303 | ||||||
| 1,946 | Series 2003-S8, Class A5, 4.500%, 09/25/18 | 1,983 | ||||||
| 1,621 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,670 | ||||||
| 20,646 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 20,667 | ||||||
| 692 | Series 2003-S9, Class P, PO, 10/25/33 | 494 | ||||||
| 5,990 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 5,896 | ||||||
| 7,697 | Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 | 7,577 | ||||||
| 3,179 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 3,345 | ||||||
| 3,421 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 3,585 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 53 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 1,406 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 1,461 | ||||||
| 1,403 | Series 2004-S1, Class 1A3, VAR, 0.662%, 03/25/34 | 1,408 | ||||||
| 9,848 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 9,842 | ||||||
| 5,595 | Series 2004-S3, Class 1A5, 5.000%, 07/25/34 | 5,792 | ||||||
| 664 | Series 2006-AR10, Class 2P, VAR, 0.000% 09/25/36 | 385 | ||||||
| 2,000 | Series 2006-AR8, Class 1A2, VAR, 5.659%, 08/25/46 | 1,370 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
| 6,519 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 6,160 | ||||||
| 452 | Series 2005-1, Class CP, PO, 03/25/35 | 290 | ||||||
| 25,173 | Series 2005-2, Class 1A4, IF, IO, 4.789%, 04/25/35 | 2,062 | ||||||
| 6,948 | Series 2005-2, Class 2A3, IF, IO, 4.739%, 04/25/35 | 927 | ||||||
| 7,673 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 6,723 | ||||||
| 8,390 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 1,364 | ||||||
| 2,139 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,891 | ||||||
| 905 | Series 2006-1, Class 3A2, 5.750%, 02/25/36 | 784 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
| 93 | Series 2002-MS12, Class A, 6.500%, 05/25/32 | 97 | ||||||
| 1,148 | Series 2003-MS5, Class 1A4, VAR, 0.762%, 03/25/18 | 1,133 | ||||||
| 133 | Series 2003-MS7, Class P, PO, 03/25/33 | 104 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
| 450 | Series 2003-1, Class APO, PO, 09/25/33 | 345 | ||||||
| 1,280 | Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 | 1,038 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
| 961 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 993 | ||||||
| 2,565 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 2,565 | ||||||
| 821 | Series 2003-11, Class 1APO, PO, 10/25/18 | 689 | ||||||
| 2,746 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 2,789 | ||||||
| 14,675 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 15,108 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
| 343 | Series 2003-15, Class APO, PO, 12/25/18 | 282 | ||||||
| 946 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 968 | ||||||
| 1,366 | Series 2003-J, Class 2A5, VAR, 4.426%, 10/25/33 | 1,394 | ||||||
| 16,719 | Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 | 16,847 | ||||||
| 641 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 659 | ||||||
| 2,240 | Series 2003-L, Class 2A1, VAR, 4.517%, 11/25/33 | 2,276 | ||||||
| 2,435 | Series 2004-4, Class A9, 5.500%, 05/25/34 | 2,561 | ||||||
| 1,212 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 1,230 | ||||||
| 1,423 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,489 | ||||||
| 1,704 | Series 2004-8, Class APO, PO, 08/25/19 | 1,396 | ||||||
| 5,110 | Series 2004-B, Class A1, VAR, 4.930%, 02/25/34 | 5,311 | ||||||
| 3,595 | Series 2004-BB, Class A4, VAR, 2.746%, 01/25/35 | 3,611 | ||||||
| 4,089 | Series 2004-E, Class A8, VAR, 4.866%, 05/25/34 | 4,132 | ||||||
| 8,950 | Series 2004-EE, Class 2A1, VAR, 2.853%, 12/25/34 | 8,758 | ||||||
| 6,088 | Series 2004-EE, Class 2A2, VAR, 2.853%, 12/25/34 | 6,196 | ||||||
| 8,583 | Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 | 8,573 | ||||||
| 2,802 | Series 2004-EE, Class 3A2, VAR, 2.952%, 12/25/34 | 2,852 | ||||||
| 10,510 | Series 2004-I, Class 1A1, VAR, 2.892%, 07/25/34 | 10,972 | ||||||
| 10,127 | Series 2004-P, Class 2A1, VAR, 2.910%, 09/25/34 | 10,260 | ||||||
| 6,098 | Series 2004-V, Class 1A1, VAR, 2.862%, 10/25/34 | 6,075 | ||||||
| 7,822 | Series 2004-V, Class 1A2, VAR, 2.862%, 10/25/34 | 7,882 | ||||||
| 6,905 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 7,114 | ||||||
| 6,183 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 6,459 | ||||||
| 3,235 | Series 2005-14, Class 1A1, 5.500%, 12/25/35 | 3,404 | ||||||
| 1,206 | Series 2005-14, Class 2APO, PO, 12/25/35 | 660 | ||||||
| 5,403 | Series 2005-AR8, Class 2A1, VAR, 2.849%, 06/25/35 | 5,376 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
| 1,550 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,475 | ||||||
| 11,000 | Series 2007-9, Class 1A8, 5.500%, 07/25/37 | 11,079 | ||||||
| 9,374 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 8,940 | ||||||
| 2,518,622 | ||||||||
Total Collateralized Mortgage Obligations | 7,366,108 | |||||||
| Commercial Mortgage-Backed Securities — 1.9% | |||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
| 5,000 | Series 2005-1, Class AJ, VAR, 5.157%, 11/10/42 | 5,290 | ||||||
| 5,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 5,247 | ||||||
| 10,625 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 10,980 | ||||||
| 2,500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 2,686 | ||||||
| 9,426 | Series 2005-6, Class ASB, VAR, 5.195%, 09/10/47 | 9,977 | ||||||
| 2,855 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 3,065 | ||||||
| 7,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 7,650 | ||||||
| 11,500 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 12,486 | ||||||
| 2,500 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 2,669 | ||||||
| 9,500 | Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.620%, 06/24/50 (e) | 10,255 | ||||||
| 33,000 | BCRR Trust, Series 2010-LEAF, Class 35A, 4.230%, 11/22/33 (e) | 33,444 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
| 3,696 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 3,848 | ||||||
| 8,560 | Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 9,337 | ||||||
| 1,072 | Series 2006-PW14, Class A1, 5.044%, 12/11/38 | 1,084 | ||||||
| 283,940 | Series 2006-PW14, Class X1, IO, VAR, 0.219%, 12/11/38 (e) | 4,786 | ||||||
| 2,700 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 2,923 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
| 7,200 | Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 7,546 | ||||||
| 789 | Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 | 790 | ||||||
| 4,700 | Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 5,062 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 6,300 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 6,728 | ||||||
| 2,150 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.659%, 03/15/39 | 2,330 | ||||||
| 1,700 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 1,767 | ||||||
| 16,232 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 16,527 | ||||||
| 38,412 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 38,402 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
| 395 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 400 | ||||||
| 14,000 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 14,900 | ||||||
| 3,500 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 3,659 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
| 7,300 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 7,879 | ||||||
| 194,958 | Series 2006-GG8, Class X, IO, VAR, 0.652%, 11/10/39 (e) | 4,386 | ||||||
| 5,500 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 5,654 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
| 473,564 | Series 2006-CB15, Class X1, IO, VAR, 0.086%, 06/12/43 | 3,389 | ||||||
| 1,600 | Series 2006-LDP8, Class A4, 5.399%, 05/15/45 | 1,721 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
| 5,000 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 5,371 | ||||||
| 1,470 | Series 2006-C4, Class A4, VAR, 5.883%, 06/15/38 | 1,620 | ||||||
| 218,334 | Series 2007-C2, Class XW, IO, VAR, 0.558%, 02/15/40 | 4,936 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
| 2,500 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 2,698 | ||||||
| 3,325 | Series 2005-LC1, Class AJ, VAR, 5.331%, 01/12/44 | 3,367 | ||||||
| 5,988 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 6,257 | ||||||
| 2,200 | Series 2006-C1, Class A4, VAR, 5.659%, 05/12/39 | 2,412 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 55 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued | |||||||
| 4,950 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, | 5,358 | ||||||
| 12,855 | Morgan Stanley, 3.000%, 07/17/56 | 12,891 | ||||||
Morgan Stanley Capital I, | ||||||||
| 2,899 | Series 2004-RR, Class F4, VAR, 6.000%, 04/28/39 (e) | 2,906 | ||||||
| 179 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 180 | ||||||
| 128,911 | Series 2007-HQ13, Class X1, IO, VAR, 0.466%, 12/15/44 (e) | 2,640 | ||||||
| 24 | Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39 | 25 | ||||||
| 26,000 | Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 27,631 | ||||||
| 2,000 | Multi Security Asset Trust, Series 2005-RR4A, Class A3, 5.000%, 11/28/35 (e) | 2,023 | ||||||
| 27,950 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 | 30,398 | ||||||
| 8,143 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 | 8,165 | ||||||
Total Commercial Mortgage-Backed Securities | 365,745 | |||||||
| Corporate Bonds — 13.5% |
| ||||||
Consumer Discretionary — 0.9% |
| |||||||
Auto Components — 0.0% (g) |
| |||||||
| 3,335 | Johnson Controls, Inc., 4.250%, 03/01/21 | 3,321 | ||||||
Automobiles — 0.0% (g) |
| |||||||
| 3,600 | Daimler Finance North America LLC, 7.300%, 01/15/12 | 3,801 | ||||||
Broadcasting & Cable TV — 0.1% |
| |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., | ||||||||
| 5,600 | 4.600%, 02/15/21 | 5,480 | ||||||
| 12,465 | 6.000%, 08/15/40 | 12,195 | ||||||
| 17,675 | ||||||||
Hotels, Restaurants & Leisure — 0.0% (g) |
| |||||||
| 2,025 | McDonald’s Corp., 4.300%, 03/01/13 | 2,147 | ||||||
Household Durables — 0.0% (g) |
| |||||||
| 3,000 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 2,975 | ||||||
Media — 0.7% |
| |||||||
CBS Corp., | ||||||||
| 750 | 5.500%, 05/15/33 | 683 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
| 1,426 | 5.750%, 04/15/20 | 1,516 | ||||||
| 5,025 | 7.875%, 07/30/30 | 5,860 | ||||||
| 1,500 | 8.875%, 05/15/19 | 1,892 | ||||||
Comcast Cable Communications Holdings, Inc., | ||||||||
| 6,417 | 8.375%, 03/15/13 | 7,278 | ||||||
| 5,250 | 9.455%, 11/15/22 | 7,159 | ||||||
Comcast Cable Communications LLC, | ||||||||
| 2,200 | 7.125%, 06/15/13 | 2,464 | ||||||
| 1,000 | 8.875%, 05/01/17 | 1,246 | ||||||
Comcast Cable Holdings LLC, | ||||||||
| 7,039 | 9.800%, 02/01/12 | 7,600 | ||||||
| 1,800 | 10.125%, 04/15/22 | 2,478 | ||||||
Comcast Corp., | ||||||||
| 2,574 | 5.500%, 03/15/11 | 2,579 | ||||||
| 1,300 | 5.900%, 03/15/16 | 1,445 | ||||||
| 1,000 | 6.500%, 01/15/17 | 1,142 | ||||||
| 4,600 | 6.500%, 11/15/35 | 4,851 | ||||||
Cox Communications, Inc., | ||||||||
| 2,600 | 5.450%, 12/15/14 | 2,871 | ||||||
| 1,300 | 8.375%, 03/01/39 (e) | 1,663 | ||||||
| 2,650 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 2,955 | ||||||
| 3,365 | Historic TW, Inc., 9.150%, 02/01/23 | 4,381 | ||||||
| 5,102 | NBC Universal, Inc., 5.950%, 04/01/41 (e) | 5,024 | ||||||
News America Holdings, Inc., | ||||||||
| 1,100 | 8.000%, 10/17/16 | 1,343 | ||||||
| 1,050 | 8.875%, 04/26/23 | 1,352 | ||||||
News America, Inc., | ||||||||
| 2,500 | 6.200%, 12/15/34 | 2,578 | ||||||
| 1,500 | 6.900%, 08/15/39 | 1,678 | ||||||
| 1,965 | 7.250%, 05/18/18 | 2,350 | ||||||
| 4,400 | 7.300%, 04/30/28 | 4,891 | ||||||
| 3,000 | 7.625%, 11/30/28 | 3,455 | ||||||
TCI Communications, Inc., | ||||||||
| 1,337 | 7.125%, 02/15/28 | 1,500 | ||||||
| 426 | 8.750%, 08/01/15 | 520 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
| 2,150 | 4.700%, 10/15/19 | 2,260 | ||||||
| 1,125 | 5.950%, 07/15/13 | 1,244 | ||||||
Time Warner Cable, Inc., | ||||||||
| 1,700 | 5.850%, 05/01/17 | 1,872 | ||||||
| 4,600 | 5.875%, 11/15/40 | 4,368 | ||||||
| 4,550 | 6.750%, 07/01/18 | 5,224 | ||||||
| 2,000 | 6.750%, 06/15/39 | 2,129 | ||||||
| 2,450 | 7.300%, 07/01/38 | 2,760 | ||||||
| 1,590 | 8.250%, 02/14/14 | 1,860 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
| 2,150 | 8.250%, 04/01/19 | 2,647 | ||||||
| 1,785 | 8.750%, 02/14/19 | 2,253 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
| 2,020 | 8.375%, 03/15/23 | 2,539 | ||||||
| 6,500 | 8.375%, 07/15/33 | 8,069 | ||||||
| 2,165 | 10.150%, 05/01/12 | 2,380 | ||||||
Time Warner, Inc., | ||||||||
| 3,125 | 6.200%, 03/15/40 | 3,184 | ||||||
| 3,825 | 7.625%, 04/15/31 | 4,520 | ||||||
| 1,255 | 7.700%, 05/01/32 | 1,497 | ||||||
| 3,190 | Viacom, Inc., 6.250%, 04/30/16 | 3,660 | ||||||
| 137,220 | ||||||||
Multiline Retail — 0.0% (g) |
| |||||||
| 1,000 | Kohl’s Corp., 6.250%, 12/15/17 | 1,149 | ||||||
Target Corp., | ||||||||
| 2,100 | 6.000%, 01/15/18 | 2,414 | ||||||
| 1,900 | 7.000%, 01/15/38 | 2,304 | ||||||
| 5,867 | ||||||||
Specialty Retail — 0.1% |
| |||||||
| 4,600 | Home Depot, Inc., 5.400%, 03/01/16 | 5,120 | ||||||
| 3,500 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 4,156 | ||||||
| 1,775 | Staples, Inc., 9.750%, 01/15/14 | 2,144 | ||||||
| 11,420 | ||||||||
Total Consumer Discretionary | 184,426 | |||||||
Consumer Staples — 0.5% |
| |||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch Cos., Inc., | ||||||||
| 1,000 | 5.500%, 01/15/18 | 1,101 | ||||||
| 1,100 | 5.750%, 04/01/36 | 1,131 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
| 800 | 7.200%, 01/15/14 (e) | 916 | ||||||
| 7,050 | 7.750%, 01/15/19 (e) | 8,740 | ||||||
Coca-Cola Co. (The), | ||||||||
| 1,550 | 3.625%, 03/15/14 | 1,645 | ||||||
| 1,550 | 4.875%, 03/15/19 | 1,680 | ||||||
| 1,650 | Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 | 1,769 | ||||||
| 2,780 | Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 | 2,904 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
| 2,150 | 5.300%, 10/28/15 | 2,389 | ||||||
| 3,600 | 5.500%, 04/01/13 | 3,907 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Beverages — Continued |
| |||||||
| 3,975 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 4,224 | ||||||
| 231 | PepsiCo, Inc., 7.900%, 11/01/18 | 293 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
| 1,900 | 5.500%, 08/15/13 (e) | 2,078 | ||||||
| 850 | 6.500%, 07/01/16 (e) | 977 | ||||||
| 33,754 | ||||||||
Food & Staples Retailing — 0.0% (g) |
| |||||||
| 2,000 | CVS Caremark Corp., 6.125%, 09/15/39 | 2,076 | ||||||
Kroger Co. (The), | ||||||||
| 924 | 5.400%, 07/15/40 | 875 | ||||||
| 2,225 | 7.500%, 01/15/14 | 2,549 | ||||||
Wal-Mart Stores, Inc., | ||||||||
| 1,820 | 4.550%, 05/01/13 | 1,955 | ||||||
| 1,200 | 5.250%, 09/01/35 | 1,192 | ||||||
| 1,050 | 6.200%, 04/15/38 | 1,169 | ||||||
| 700 | 7.550%, 02/15/30 | 894 | ||||||
| 10,710 | ||||||||
Food Products — 0.3% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
| 2,125 | 5.875%, 05/15/13 | 2,264 | ||||||
| 4,760 | 8.500%, 06/15/19 | 5,654 | ||||||
| 605 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 624 | ||||||
Cargill, Inc., | ||||||||
| 1,650 | 5.200%, 01/22/13 (e) | 1,769 | ||||||
| 1,550 | 6.000%, 11/27/17 (e) | 1,742 | ||||||
| 900 | 6.375%, 06/01/12 (e) | 956 | ||||||
| 2,850 | 7.350%, 03/06/19 (e) | 3,442 | ||||||
| 1,270 | General Mills, Inc., 6.000%, 02/15/12 | 1,335 | ||||||
Kellogg Co., | ||||||||
| 1,500 | 4.250%, 03/06/13 | 1,588 | ||||||
| 2,600 | 5.125%, 12/03/12 | 2,778 | ||||||
Kraft Foods, Inc., | ||||||||
| 5,888 | 5.375%, 02/10/20 | 6,263 | ||||||
| 4,250 | 6.125%, 02/01/18 | 4,776 | ||||||
| 2,000 | 6.125%, 08/23/18 | 2,248 | ||||||
| 8,705 | 6.500%, 08/11/17 | 10,000 | ||||||
| 1,000 | 6.750%, 02/19/14 | 1,135 | ||||||
| 1,600 | 6.875%, 02/01/38 | 1,795 | ||||||
| 2,700 | 6.875%, 01/26/39 | 3,030 | ||||||
| 1,200 | 7.000%, 08/11/37 | 1,363 | ||||||
| 52,762 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 57 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Household Products — 0.0% (g) |
| |||||||
| 500 | Kimberly-Clark Corp., 7.500%, 11/01/18 | 625 | ||||||
| 2,262 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 2,882 | ||||||
| 1,000 | Procter & Gamble Co., 5.500%, 02/01/34 | 1,066 | ||||||
| 4,573 | ||||||||
Total Consumer Staples | 101,799 | |||||||
Energy — 0.8% |
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Halliburton Co., | ||||||||
| 750 | 6.150%, 09/15/19 | 860 | ||||||
| 5,050 | 7.450%, 09/15/39 | 6,399 | ||||||
| 6,750 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 7,431 | ||||||
| 14,690 | ||||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
| 2,655 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 3,162 | ||||||
Anadarko Petroleum Corp., | ||||||||
| 405 | 5.750%, 06/15/14 | 445 | ||||||
| 8,500 | 7.625%, 03/15/14 | 9,732 | ||||||
| 1,100 | 8.700%, 03/15/19 | 1,359 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
| 1,380 | 3.125%, 03/10/12 | 1,411 | ||||||
| 5,500 | 3.875%, 03/10/15 | 5,762 | ||||||
| 9,100 | 5.250%, 11/07/13 | 9,880 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
| 400 | 5.900%, 02/01/18 | 453 | ||||||
| 2,000 | 6.750%, 02/01/39 | 2,291 | ||||||
| 5,100 | Chevron Corp., 4.950%, 03/03/19 | 5,691 | ||||||
| 1,040 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 1,280 | ||||||
ConocoPhillips, | ||||||||
| 1,500 | 5.200%, 05/15/18 | 1,652 | ||||||
| 2,000 | 5.750%, 02/01/19 | 2,267 | ||||||
| 1,450 | 6.000%, 01/15/20 | 1,664 | ||||||
| 1,450 | 6.500%, 02/01/39 | 1,683 | ||||||
| 900 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 932 | ||||||
| 2,750 | EnCana Corp., (Canada), 6.500%, 05/15/19 | 3,230 | ||||||
| 5,400 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 5,036 | ||||||
EOG Resources, Inc., | ||||||||
| 5,300 | 4.100%, 02/01/21 | 5,126 | ||||||
| 1,800 | 6.875%, 10/01/18 | 2,127 | ||||||
| 1,155 | Husky Energy, Inc., (Canada), 6.150%, 06/15/19 | 1,272 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 1,230 | Kerr-McGee Corp., 6.950%, 07/01/24 | 1,380 | ||||||
Marathon Oil Corp., | ||||||||
| 2,819 | 5.900%, 03/15/18 | 3,195 | ||||||
| 2,800 | 6.000%, 10/01/17 | 3,196 | ||||||
| 1,150 | PC Financial Partnership, 5.000%, 11/15/14 | 1,250 | ||||||
Petro-Canada, (Canada), | ||||||||
| 2,549 | 6.050%, 05/15/18 | 2,893 | ||||||
| 3,200 | 6.800%, 05/15/38 | 3,592 | ||||||
| 2,045 | Pioneer Natural Resources Co., 5.875%, 07/15/16 | 2,135 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
| 2,330 | 1.875%, 03/25/13 | 2,377 | ||||||
| 994 | 3.100%, 06/28/15 | 1,021 | ||||||
| 2,330 | 4.000%, 03/21/14 | 2,493 | ||||||
| 3,000 | 4.300%, 09/22/19 | 3,101 | ||||||
| 8,580 | 4.375%, 03/25/20 | 8,899 | ||||||
| 6,000 | 6.375%, 12/15/38 | 6,846 | ||||||
| 2,950 | Statoil ASA, (Norway), 3.125%, 08/17/17 | 2,933 | ||||||
Suncor Energy, Inc., (Canada), | ||||||||
| 1,900 | 6.100%, 06/01/18 | 2,162 | ||||||
| 900 | 6.850%, 06/01/39 | 1,022 | ||||||
| 475 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 582 | ||||||
Tosco Corp., | ||||||||
| 300 | 7.800%, 01/01/27 | 373 | ||||||
| 3,500 | 8.125%, 02/15/30 | 4,499 | ||||||
Total Capital S.A., (France), | ||||||||
| 10,000 | 2.300%, 03/15/16 | 9,727 | ||||||
| 2,218 | 4.125%, 01/28/21 | 2,201 | ||||||
| 2,800 | XTO Energy, Inc., 5.750%, 12/15/13 | 3,150 | ||||||
| 135,482 | ||||||||
Total Energy | 150,172 | |||||||
Financials — 8.0% |
| |||||||
Capital Markets — 1.8% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
| 8,000 | 2.950%, 06/18/15 | 8,161 | ||||||
| 2,500 | 3.100%, 01/15/15 | 2,572 | ||||||
| 3,750 | 4.600%, 01/15/20 | 3,910 | ||||||
| 1,000 | 5.125%, 08/27/13 | 1,093 | ||||||
BlackRock, Inc., | ||||||||
| 3,245 | 3.500%, 12/10/14 | 3,406 | ||||||
| 9,294 | 5.000%, 12/10/19 | 9,777 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued |
| |||||||
| 10,200 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 10,022 | ||||||
| 1,600 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 1,745 | ||||||
Credit Suisse USA, Inc., | ||||||||
| 1,200 | 4.875%, 01/15/15 | 1,299 | ||||||
| 1,803 | 5.125%, 01/15/14 | 1,958 | ||||||
| 15,099 | 6.125%, 11/15/11 | 15,687 | ||||||
| 2,500 | FMR LLC, 6.450%, 11/15/39 (e) | 2,468 | ||||||
| 2,095 | Goldman Sachs Capital I, 6.345%, 02/15/34 | 2,052 | ||||||
| 1,000 | Goldman Sachs Group LP, 8.000%, 03/01/13 (e) | 1,108 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
| 7,300 | 3.700%, 08/01/15 | 7,401 | ||||||
| 2,694 | 4.750%, 07/15/13 | 2,868 | ||||||
| 3,185 | 5.150%, 01/15/14 | 3,440 | ||||||
| 3,810 | 5.250%, 10/15/13 | 4,128 | ||||||
| 4,201 | 5.375%, 03/15/20 | 4,316 | ||||||
| 10 | 5.700%, 09/01/12 | 11 | ||||||
| 12,900 | 5.950%, 01/18/18 | 14,005 | ||||||
| 1,875 | 6.000%, 06/15/20 | 2,010 | ||||||
| 650 | 6.150%, 04/01/18 | 712 | ||||||
| 7,470 | 6.250%, 09/01/17 | 8,295 | ||||||
| 9,056 | 6.600%, 01/15/12 | 9,518 | ||||||
| 1,600 | 6.750%, 10/01/37 | 1,640 | ||||||
| 24,430 | 7.500%, 02/15/19 | 28,796 | ||||||
Jefferies Group, Inc., | ||||||||
| 3,075 | 3.875%, 11/09/15 | 3,060 | ||||||
| 2,750 | 5.500%, 03/15/16 | 2,882 | ||||||
| 5,600 | 6.450%, 06/08/27 | 5,605 | ||||||
| 6,925 | 8.500%, 07/15/19 | 8,195 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
| 151 | 3.950%, 11/10/09 (d) | 38 | ||||||
| 3,480 | 4.800%, 03/13/14 (d) | 883 | ||||||
| 800 | 5.750%, 05/17/13 (d) | 203 | ||||||
| 3,000 | 6.000%, 07/19/12 (d) | 761 | ||||||
| 3,962 | 6.625%, 01/18/12 (d) | 1,006 | ||||||
| 450 | 6.750%, 12/28/17 (d) | — | (h) | |||||
| 219 | 7.875%, 11/01/09 (d) | 56 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
| 10,015 | 6.250%, 01/14/21 (e) | 10,240 | ||||||
| 6,992 | 7.300%, 08/01/14 (e) | 7,800 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
| 700 | 5.000%, 01/15/15 | 745 | ||||||
| 3,723 | 5.450%, 07/15/14 | 4,010 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
| 1,000 | 5.700%, 05/02/17 | 1,040 | ||||||
| 6,929 | 6.150%, 04/25/13 | 7,486 | ||||||
| 17,586 | 6.400%, 08/28/17 | 19,324 | ||||||
| 6,348 | 6.875%, 04/25/18 | 7,141 | ||||||
Morgan Stanley, | ||||||||
| 6,626 | 4.000%, 07/24/15 | 6,784 | ||||||
| 4,263 | 4.200%, 11/20/14 | 4,426 | ||||||
| 2,711 | 4.750%, 04/01/14 | 2,834 | ||||||
| 9,078 | 5.300%, 03/01/13 | 9,679 | ||||||
| 5,200 | 5.450%, 01/09/17 | 5,483 | ||||||
| 7,503 | 5.500%, 07/24/20 | 7,581 | ||||||
| 8,050 | 5.625%, 09/23/19 | 8,269 | ||||||
| 1,300 | 5.750%, 08/31/12 | 1,384 | ||||||
| 5,800 | 6.000%, 05/13/14 | 6,346 | ||||||
| 3,294 | 6.000%, 04/28/15 | 3,607 | ||||||
| 1,070 | 6.250%, 08/28/17 | 1,169 | ||||||
| 4,425 | 6.625%, 04/01/18 | 4,892 | ||||||
| 10,300 | 6.750%, 04/15/11 | 10,377 | ||||||
| 2,000 | 7.300%, 05/13/19 | 2,279 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
| 10,600 | 4.125%, 01/19/16 | 10,553 | ||||||
| 2,828 | 5.000%, 03/04/15 | 2,954 | ||||||
| 6,114 | 6.700%, 03/04/20 | 6,587 | ||||||
| 887 | Northern Trust Corp., 5.500%, 08/15/13 | 977 | ||||||
| 1,250 | State Street Corp., 4.300%, 05/30/14 | 1,349 | ||||||
UBS AG, (Switzerland), | ||||||||
| 2,927 | 2.250%, 08/12/13 | 2,959 | ||||||
| 13,050 | 3.875%, 01/15/15 | 13,399 | ||||||
| 2,000 | 4.875%, 08/04/20 | 2,019 | ||||||
| 2,400 | 5.750%, 04/25/18 | 2,608 | ||||||
| 1,025 | 5.875%, 12/20/17 | 1,122 | ||||||
| 352,510 | ||||||||
Commercial Banks — 2.4% |
| |||||||
| 2,930 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 2,974 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
| 6,200 | 3.250%, 03/01/16 (e) | 6,175 | ||||||
| 2,867 | 4.875%, 01/12/21 (e) | 2,916 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
| 8,206 | 1.650%, 10/29/15 (e) | 7,843 | ||||||
| 3,630 | 2.375%, 12/17/13 | 3,707 | ||||||
| 3,441 | 3.400%, 01/22/15 | 3,561 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 59 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
| 4,367 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 4,545 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
| 3,800 | 2.375%, 01/13/14 | 3,819 | ||||||
| 9,400 | 2.500%, 01/23/13 | 9,558 | ||||||
| 8,375 | 2.500%, 09/21/15 (e) | 8,214 | ||||||
| 3,858 | 3.900%, 04/07/15 | 3,982 | ||||||
| 1,100 | 5.000%, 09/22/16 | 1,167 | ||||||
| 4,500 | 5.125%, 01/08/20 | 4,597 | ||||||
| 5,500 | 5.200%, 07/10/14 | 5,945 | ||||||
| 3,700 | 6.050%, 12/04/17 (e) | 3,830 | ||||||
| 500 | 6.750%, 05/22/19 | 562 | ||||||
BB&T Corp., | ||||||||
| 2,350 | 3.375%, 09/25/13 | 2,456 | ||||||
| 10,800 | 3.850%, 07/27/12 | 11,211 | ||||||
| 6,250 | 3.950%, 04/29/16 | 6,474 | ||||||
| 2,750 | 4.900%, 06/30/17 | 2,859 | ||||||
| 1,650 | 6.850%, 04/30/19 | 1,912 | ||||||
Branch Banking & Trust Co., | ||||||||
| 598 | 4.875%, 01/15/13 | 632 | ||||||
| 4,650 | 5.625%, 09/15/16 | 5,126 | ||||||
| 1,500 | Cadets Trust, 4.800%, 07/15/13 (e) (f) (i) | 1,572 | ||||||
| 37,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 37,407 | ||||||
| 1,250 | Comerica Bank, 5.200%, 08/22/17 | 1,330 | ||||||
| 1,960 | Comerica, Inc., 3.000%, 09/16/15 | 1,952 | ||||||
Credit Suisse, (Switzerland), | ||||||||
| 2,700 | 3.450%, 07/02/12 | 2,786 | ||||||
| 3,290 | 4.375%, 08/05/20 | 3,207 | ||||||
| 2,995 | 5.000%, 05/15/13 | 3,210 | ||||||
| 6,300 | 5.300%, 08/13/19 | 6,641 | ||||||
| 2,000 | 5.500%, 05/01/14 | 2,199 | ||||||
| 4,000 | Credit Suisse AG, (Switzerland), 5.400%, 01/14/20 | 4,053 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
| 7,800 | 3.250%, 01/11/16 | 7,822 | ||||||
| 3,520 | 3.875%, 08/18/14 | 3,685 | ||||||
| 10,218 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 9,810 | ||||||
| 1,450 | Fifth Third Bancorp, 5.450%, 01/15/17 | 1,518 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
| 4,624 | 3.500%, 06/28/15 (e) | 4,708 | ||||||
| 5,961 | 4.125%, 08/12/20 (e) | 5,731 | ||||||
| 10,000 | 4.750%, 01/19/21 (e) | 10,012 | ||||||
| 6,805 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 7,226 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
| 3,150 | KeyBank N.A., 5.500%, 09/17/12 | 3,344 | ||||||
| 1,650 | KeyCorp, 6.500%, 05/14/13 | 1,807 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
| 4,500 | 6.625%, 12/04/17 | 5,089 | ||||||
| 6,250 | VAR, 1.803%, 04/01/13 | 6,239 | ||||||
| 2,750 | Marshall & Ilsley Corp., 5.350%, 04/01/11 | 2,758 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
| 18,650 | 2.500%, 01/08/13 (e) | 19,023 | ||||||
| 7,800 | 2.750%, 09/28/15 (e) | 7,729 | ||||||
| 3,455 | 3.750%, 03/02/15 (e) | 3,579 | ||||||
| 8,677 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 8,686 | ||||||
| 4,000 | National City Bank, 5.800%, 06/07/17 | 4,406 | ||||||
| 5,000 | Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) | 4,971 | ||||||
| 2,000 | PNC Bank N.A., 6.875%, 04/01/18 | 2,281 | ||||||
PNC Funding Corp., | ||||||||
| 1,015 | 3.000%, 05/19/14 | 1,041 | ||||||
| 4,534 | 4.375%, 08/11/20 | 4,538 | ||||||
| 5,700 | 5.125%, 02/08/20 | 6,041 | ||||||
| 1,200 | 5.250%, 11/15/15 | 1,293 | ||||||
| 1,230 | 5.625%, 02/01/17 | 1,325 | ||||||
| 4,100 | 6.700%, 06/10/19 | 4,775 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
| 2,340 | 2.125%, 10/13/15 | 2,260 | ||||||
| 12,700 | 3.200%, 03/11/15 (e) | 12,913 | ||||||
| 6,900 | 4.500%, 01/11/21 | 6,913 | ||||||
| 2,450 | SouthTrust Bank, 7.690%, 05/15/25 | 2,717 | ||||||
SunTrust Banks, Inc., | ||||||||
| 4,015 | 5.250%, 11/05/12 | 4,233 | ||||||
| 1,000 | 6.000%, 09/11/17 | 1,076 | ||||||
| 2,021 | 6.375%, 04/01/11 | 2,030 | ||||||
| 505 | 7.250%, 03/15/18 | 566 | ||||||
| 9,045 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 8,919 | ||||||
U.S. Bancorp, | ||||||||
| 4,680 | 2.000%, 06/14/13 | 4,761 | ||||||
| 4,299 | 2.875%, 11/20/14 | 4,408 | ||||||
| 1,400 | 7.500%, 06/01/26 | 1,550 | ||||||
| 690 | U.S. Bank N.A., 6.300%, 02/04/14 | 772 | ||||||
Wachovia Bank N.A., | ||||||||
| 4,700 | 5.000%, 08/15/15 | 5,046 | ||||||
| 15,190 | 6.000%, 11/15/17 | 17,022 | ||||||
| 2,700 | 6.600%, 01/15/38 | 3,049 | ||||||
| 4,430 | VAR, 0.632%, 03/15/16 | 4,216 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
Wachovia Corp., | ||||||||
| 2,130 | 4.875%, 02/15/14 | 2,258 | ||||||
| 8,400 | 5.500%, 05/01/13 | 9,111 | ||||||
| 3,050 | 5.750%, 06/15/17 | 3,401 | ||||||
| 11,100 | 5.750%, 02/01/18 | 12,342 | ||||||
Wells Fargo & Co., | ||||||||
| 16,700 | 3.750%, 10/01/14 | 17,586 | ||||||
| 8,185 | 5.625%, 12/11/17 | 9,072 | ||||||
Wells Fargo Bank N.A., | ||||||||
| 970 | 4.750%, 02/09/15 | 1,026 | ||||||
| 2,000 | 5.750%, 05/16/16 | 2,210 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
| 4,800 | 4.200%, 02/27/15 | 5,052 | ||||||
| 10,711 | 4.875%, 11/19/19 | 11,167 | ||||||
| 463,535 | ||||||||
Consumer Finance — 0.5% |
| |||||||
| 4,900 | American Express Centurion Bank, 6.000%, 09/13/17 | 5,456 | ||||||
American Express Credit Corp., | ||||||||
| 9,100 | 5.875%, 05/02/13 | 9,867 | ||||||
| 5,650 | 7.300%, 08/20/13 | 6,363 | ||||||
| 1,479 | American General Finance Corp., 5.375%, 10/01/12 | 1,455 | ||||||
| 2,060 | American Honda Finance Corp., 2.375%, 03/18/13 (e) | 2,088 | ||||||
| 11,599 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 14,650 | ||||||
Capital One Financial Corp., | ||||||||
| 1,175 | 5.700%, 09/15/11 | 1,206 | ||||||
| 3,105 | 6.250%, 11/15/13 | 3,443 | ||||||
| 5,300 | 6.750%, 09/15/17 | 6,117 | ||||||
| 2,970 | 7.375%, 05/23/14 | 3,423 | ||||||
HSBC Finance Corp., | ||||||||
| 311 | 4.750%, 07/15/13 | 331 | ||||||
| 2,000 | 5.000%, 06/30/15 | 2,142 | ||||||
| 1,600 | 5.250%, 01/15/14 | 1,710 | ||||||
| 200 | 5.500%, 01/19/16 | 218 | ||||||
| 2,251 | 6.375%, 10/15/11 | 2,329 | ||||||
| 1,078 | 6.375%, 11/27/12 | 1,165 | ||||||
| 4,500 | 7.000%, 05/15/12 | 4,791 | ||||||
| 308 | 7.350%, 11/27/32 | 315 | ||||||
| 1,700 | VAR, 0.553%, 01/15/14 | 1,659 | ||||||
John Deere Capital Corp., | ||||||||
| 450 | 4.500%, 04/03/13 | 480 | ||||||
| 4,750 | 5.250%, 10/01/12 | 5,077 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — Continued |
| |||||||
| 2,437 | SLM Corp., 5.375%, 01/15/13 | 2,530 | ||||||
| 5,538 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 5,706 | ||||||
| 2,002 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 2,014 | ||||||
| 1,750 | Washington Mutual Finance Corp., 6.875%, 05/15/11 | 1,771 | ||||||
| 86,306 | ||||||||
Diversified Financial Services — 1.9% |
| |||||||
| 9,250 | Associates Corp. of North America, 6.950%, 11/01/18 | 10,421 | ||||||
| 18,700 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 19,591 | ||||||
Bank of America Corp., | ||||||||
| 5,500 | 4.900%, 05/01/13 | 5,826 | ||||||
| 6,500 | 5.625%, 10/14/16 | 7,002 | ||||||
| 6,730 | 5.625%, 07/01/20 | 7,000 | ||||||
| 5,340 | 5.650%, 05/01/18 | 5,644 | ||||||
| 4,635 | 5.750%, 12/01/17 | 4,955 | ||||||
| 5,000 | 6.500%, 08/01/16 | 5,610 | ||||||
| 3,000 | 7.375%, 05/15/14 | 3,416 | ||||||
| 7,420 | Bank of America N.A., 5.300%, 03/15/17 | 7,733 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
| 1,600 | 5.400%, 03/29/17 | 1,794 | ||||||
| 1,150 | 5.500%, 04/01/14 | 1,278 | ||||||
| 2,750 | 6.500%, 04/01/19 | 3,261 | ||||||
Caterpillar Financial Services Corp., | ||||||||
| 1,900 | 4.900%, 08/15/13 | 2,061 | ||||||
| 1,000 | 5.450%, 04/15/18 | 1,119 | ||||||
| 900 | 5.500%, 03/15/16 | 1,008 | ||||||
| 4,800 | 6.200%, 09/30/13 | 5,382 | ||||||
| 3,500 | 7.050%, 10/01/18 | 4,263 | ||||||
| 600 | 7.150%, 02/15/19 | 735 | ||||||
Citigroup, Inc., | ||||||||
| 3,800 | 4.587%, 12/15/15 | 3,964 | ||||||
| 1,500 | 4.700%, 05/29/15 | 1,576 | ||||||
| 3,400 | 4.750%, 05/19/15 | 3,589 | ||||||
| 3,929 | 5.375%, 08/09/20 | 4,073 | ||||||
| 2,400 | 5.500%, 04/11/13 | 2,573 | ||||||
| 1,000 | 5.500%, 02/15/17 | 1,053 | ||||||
| 5,286 | 5.625%, 08/27/12 | 5,561 | ||||||
| 1,575 | 6.000%, 12/13/13 | 1,723 | ||||||
| 13,500 | 6.000%, 08/15/17 | 14,793 | ||||||
| 7,525 | 6.010%, 01/15/15 | 8,258 | ||||||
| 5,350 | 6.125%, 11/21/17 | 5,902 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 61 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
| 3,675 | 6.375%, 08/12/14 | 4,100 | ||||||
| 2,850 | 8.125%, 07/15/39 | 3,614 | ||||||
| 9,075 | 8.500%, 05/22/19 | 11,260 | ||||||
CME Group, Inc., | ||||||||
| 7,200 | 5.400%, 08/01/13 | 7,900 | ||||||
| 700 | 5.750%, 02/15/14 | 779 | ||||||
| 1,225 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,382 | ||||||
| 400 | Diageo Investment Corp., 9.000%, 08/15/11 | 415 | ||||||
| 2,728 | ERAC USA Finance LLC, 2.250%, 01/10/14 (e) | 2,724 | ||||||
General Electric Capital Corp., | ||||||||
| 4,131 | 2.250%, 11/09/15 | 4,002 | ||||||
| 11,000 | 4.375%, 09/16/20 | 10,685 | ||||||
| 16,000 | 5.250%, 10/19/12 | 17,023 | ||||||
| 1,787 | 5.300%, 02/11/21 | 1,836 | ||||||
| 1,500 | 5.400%, 02/15/17 | 1,633 | ||||||
| 2,000 | 5.500%, 06/04/14 | 2,190 | ||||||
| 10,250 | 5.500%, 01/08/20 | 10,941 | ||||||
| 7,400 | 5.625%, 09/15/17 | 8,104 | ||||||
| 25,675 | 5.625%, 05/01/18 | 27,924 | ||||||
| 26,603 | 5.875%, 02/15/12 | 27,929 | ||||||
| 1,900 | 5.875%, 01/14/38 | 1,906 | ||||||
| 4,700 | 5.900%, 05/13/14 | 5,224 | ||||||
| 24,792 | 6.000%, 06/15/12 | 26,367 | ||||||
| 5,300 | 6.000%, 08/07/19 | 5,860 | ||||||
| 5,941 | 6.750%, 03/15/32 | 6,622 | ||||||
| 900 | 6.875%, 01/10/39 | 1,019 | ||||||
| 2,625 | VAR, 0.423%, 04/10/12 | 2,627 | ||||||
| 3,500 | VAR, 0.483%, 02/15/17 | 3,300 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
| 530 | 2.625%, 09/16/12 | 543 | ||||||
| 3,550 | 4.750%, 03/01/14 | 3,836 | ||||||
| 2,155 | 10.375%, 11/01/18 | 2,957 | ||||||
| 2,400 | Textron Financial Corp., 5.400%, 04/28/13 | 2,532 | ||||||
| 358,398 | ||||||||
Insurance — 1.0% |
| |||||||
ACE INA Holdings, Inc., | ||||||||
| 3,636 | 2.600%, 11/23/15 | 3,581 | ||||||
| 2,000 | 5.600%, 05/15/15 | 2,213 | ||||||
| 2,118 | Aflac, Inc., 6.450%, 08/15/40 | 2,182 | ||||||
| 5,000 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 5,413 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
American International Group, Inc., | ||||||||
| 3,284 | 4.250%, 05/15/13 | 3,403 | ||||||
| 2,800 | 5.450%, 05/18/17 | 2,915 | ||||||
| 1,425 | 5.600%, 10/18/16 | 1,505 | ||||||
AON Financial Services, | ||||||||
| 2,012 | 3.500%, 09/30/15 | 2,019 | ||||||
| 1,668 | 6.250%, 09/30/40 | 1,727 | ||||||
| 5,641 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 5,923 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
| 3,000 | 2.450%, 12/15/15 | 2,987 | ||||||
| 3,500 | 4.000%, 04/15/12 | 3,627 | ||||||
| 3,800 | 4.600%, 05/15/13 | 4,064 | ||||||
| 750 | 5.000%, 08/15/13 | 817 | ||||||
| 11,700 | 5.400%, 05/15/18 | 12,955 | ||||||
| 1,300 | 5.750%, 01/15/40 | 1,373 | ||||||
| 1,130 | Chubb Corp. (The), 5.750%, 05/15/18 | 1,267 | ||||||
CNA Financial Corp., | ||||||||
| 6,800 | 5.850%, 12/15/14 | 7,347 | ||||||
| 5,063 | 5.875%, 08/15/20 | 5,269 | ||||||
Jackson National Life Global Funding, | ||||||||
| 3,400 | 5.375%, 05/08/13 (e) | 3,676 | ||||||
| 4,115 | 6.125%, 05/30/12 (e) | 4,348 | ||||||
| 2,980 | Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e) | 3,167 | ||||||
MassMutual Global Funding II, | ||||||||
| 2,714 | 2.300%, 09/28/15 (e) | 2,630 | ||||||
| 1,628 | 2.875%, 04/21/14 (e) | 1,687 | ||||||
| 5,150 | 3.625%, 07/16/12 (e) | 5,326 | ||||||
| 815 | MetLife, Inc., 6.817%, 08/15/18 | 957 | ||||||
Metropolitan Life Global Funding I, | ||||||||
| 9,335 | 2.500%, 01/11/13 (e) | 9,512 | ||||||
| 8,000 | 2.875%, 09/17/12 (e) | 8,181 | ||||||
| 3,235 | 3.125%, 01/11/16 (e) | 3,213 | ||||||
| 3,000 | 5.125%, 04/10/13 (e) | 3,212 | ||||||
| 2,497 | 5.200%, 09/18/13 (e) | 2,705 | ||||||
| 1,450 | 5.750%, 07/25/11 (e) | 1,477 | ||||||
| 1,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 1,064 | ||||||
Nationwide Financial Services, | ||||||||
| 1,130 | 5.900%, 07/01/12 | 1,177 | ||||||
| 1,661 | 6.250%, 11/15/11 | 1,720 | ||||||
| 4,990 | Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) | 5,949 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued |
| |||||||
New York Life Global Funding, | ||||||||
| 3,000 | 3.000%, 05/04/15 (e) | 3,045 | ||||||
| 5,910 | 4.650%, 05/09/13 (e) | 6,321 | ||||||
| 5,914 | 5.375%, 09/15/13 (e) | 6,490 | ||||||
Pacific Life Global Funding, | ||||||||
| 4,000 | 5.000%, 05/15/17 (e) | 4,081 | ||||||
| 2,500 | 5.150%, 04/15/13 (e) | 2,660 | ||||||
| 1,600 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 2,108 | ||||||
| 6,400 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 6,973 | ||||||
Principal Life Global Funding I, | ||||||||
| 1,600 | 5.050%, 03/15/15 (e) | 1,683 | ||||||
| 11,236 | 6.250%, 02/15/12 (e) | 11,648 | ||||||
Principal Life Income Funding Trusts, | ||||||||
| 5,900 | 5.100%, 04/15/14 | 6,339 | ||||||
| 1,010 | 5.150%, 06/17/11 | 1,024 | ||||||
| 2,215 | 5.300%, 12/14/12 | 2,374 | ||||||
| 2,900 | 5.300%, 04/24/13 | 3,118 | ||||||
| 4,955 | Protective Life Secured Trusts, 4.000%, 04/01/11 | 4,970 | ||||||
| 1,070 | �� | Travelers Cos, Inc. (The), 5.800%, 05/15/18 | 1,186 | |||||
| 3,200 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 3,521 | ||||||
| 890 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 955 | ||||||
| 199,084 | ||||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
CommonWealth REIT, | ||||||||
| 7,010 | 5.875%, 09/15/20 | 7,145 | ||||||
| 3,890 | 6.650%, 01/15/18 | 4,148 | ||||||
| 6,185 | HCP, Inc., 5.375%, 02/01/21 | 6,322 | ||||||
Simon Property Group LP, | ||||||||
| 450 | 4.200%, 02/01/15 | 474 | ||||||
| 1,300 | 4.375%, 03/01/21 | 1,287 | ||||||
| 1,775 | 5.625%, 08/15/14 | 1,953 | ||||||
| 1,100 | 5.650%, 02/01/20 | 1,199 | ||||||
| 2,120 | 6.100%, 05/01/16 | 2,408 | ||||||
| 3,675 | 6.125%, 05/30/18 | 4,136 | ||||||
| 1,645 | 6.750%, 05/15/14 | 1,850 | ||||||
| 6,277 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 7,178 | ||||||
| 38,100 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
| 8,600 | Countrywide Financial Corp., 6.250%, 05/15/16 | 9,213 | ||||||
| 6,270 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 | 6,282 | ||||||
| 24,170 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 24,312 | ||||||
| 39,807 | ||||||||
Total Financials | 1,537,740 | |||||||
Health Care — 0.2% |
| |||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc., | ||||||||
| 1,188 | 4.500%, 03/15/20 | 1,217 | ||||||
| 4,500 | 4.950%, 10/01/41 | 4,154 | ||||||
| 1,975 | 5.700%, 02/01/19 | 2,216 | ||||||
| 3,541 | 5.750%, 03/15/40 | 3,679 | ||||||
| 11,266 | ||||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
Baxter International, Inc., | ||||||||
| 1,150 | 4.000%, 03/01/14 | 1,223 | ||||||
| 500 | 4.625%, 03/15/15 | 545 | ||||||
| 700 | Becton Dickinson and Co., 5.000%, 05/15/19 | 752 | ||||||
| 2,520 | ||||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
| 2,158 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 2,140 | ||||||
WellPoint, Inc., | ||||||||
| 492 | 5.875%, 06/15/17 | 555 | ||||||
| 340 | 7.000%, 02/15/19 | 404 | ||||||
| 3,099 | ||||||||
Pharmaceuticals — 0.1% |
| |||||||
| 350 | Abbott Laboratories, 6.150%, 11/30/37 | 390 | ||||||
| 3,200 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 3,581 | ||||||
| 1,095 | Eli Lilly & Co., 3.550%, 03/06/12 | 1,125 | ||||||
GlaxoSmithKline Capital, Inc., | ||||||||
| 1,000 | 4.375%, 04/15/14 | 1,075 | ||||||
| 3,100 | 4.850%, 05/15/13 | 3,354 | ||||||
| 2,100 | 6.375%, 05/15/38 | 2,393 | ||||||
| 1,040 | Merck & Co., Inc., 6.000%, 09/15/17 | 1,203 | ||||||
| 790 | Wyeth, 6.450%, 02/01/24 | 935 | ||||||
| 14,056 | ||||||||
Total Health Care | 30,941 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 63 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Industrials — 0.4% |
| |||||||
Aerospace & Defense — 0.0% (g) |
| |||||||
Boeing Co. (The), | ||||||||
| 250 | 3.500%, 02/15/15 | 261 | ||||||
| 500 | 4.875%, 02/15/20 | 536 | ||||||
| 1,500 | Honeywell International, Inc., 5.300%, 03/01/18 | 1,666 | ||||||
Lockheed Martin Corp., | ||||||||
| 1,000 | 4.250%, 11/15/19 | 1,010 | ||||||
| 3,993 | 5.720%, 06/01/40 (e) | 4,078 | ||||||
| 407 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) | 416 | ||||||
| 5 | United Technologies Corp., 6.100%, 05/15/12 | 5 | ||||||
| 7,972 | ||||||||
Airlines — 0.1% |
| |||||||
| 1,681 | American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 | 1,673 | ||||||
| 573 | Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 | 624 | ||||||
| 4,196 | Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 | 4,374 | ||||||
| 4,550 | Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 4,630 | ||||||
| 11,301 | ||||||||
Building Products — 0.0% (g) |
| |||||||
| 800 | Masco Corp., 5.850%, 03/15/17 | 810 | ||||||
Commercial Services & Supplies — 0.1% |
| |||||||
| 2,850 | Allied Waste North America, Inc., 6.875%, 06/01/17 | 3,099 | ||||||
Pitney Bowes, Inc., | ||||||||
| 4,300 | 4.875%, 08/15/14 | 4,523 | ||||||
| 7,170 | 5.000%, 03/15/15 | 7,560 | ||||||
| 1,700 | 5.600%, 03/15/18 | 1,770 | ||||||
Waste Management, Inc., | ||||||||
| 1,885 | 4.750%, 06/30/20 | 1,934 | ||||||
| 1,365 | 7.375%, 03/11/19 | 1,647 | ||||||
| 800 | 7.750%, 05/15/32 | 992 | ||||||
| 21,525 | ||||||||
Industrial Conglomerates — 0.0% (g) |
| |||||||
| 550 | Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 | 643 | ||||||
| 1,350 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 1,523 | ||||||
| 2,650 | Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 | 3,428 | ||||||
| 5,594 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 0.0% (g) |
| |||||||
| 2,650 | Eaton Corp., 5.600%, 05/15/18 | 2,941 | ||||||
| 775 | Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 | 831 | ||||||
| 350 | PACCAR, Inc., 6.375%, 02/15/12 | 368 | ||||||
| 775 | Parker Hannifin Corp., 5.500%, 05/15/18 | 866 | ||||||
| 5,006 | ||||||||
Road & Rail — 0.2% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
| 1,418 | 3.600%, 09/01/20 | 1,351 | ||||||
| 3,660 | 5.650%, 05/01/17 | 4,097 | ||||||
| 1,675 | 5.750%, 03/15/18 | 1,880 | ||||||
| 600 | 6.700%, 08/01/28 | 664 | ||||||
| 700 | 6.750%, 07/15/11 | 717 | ||||||
| 1,300 | 7.000%, 02/01/14 | 1,484 | ||||||
| 1,300 | 7.290%, 06/01/36 | 1,532 | ||||||
CSX Corp., | ||||||||
| 1,700 | 6.250%, 04/01/15 | 1,932 | ||||||
| 850 | 6.300%, 03/15/12 | 894 | ||||||
| 700 | 7.375%, 02/01/19 | 849 | ||||||
| 400 | Erac USA Finance Co., 6.375%, 10/15/17 (e) | 449 | ||||||
| 2,579 | Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 | 2,819 | ||||||
Norfolk Southern Corp., | ||||||||
| 299 | 5.590%, 05/17/25 | 320 | ||||||
| 871 | 5.640%, 05/17/29 | 922 | ||||||
| 326 | 7.250%, 02/15/31 | 401 | ||||||
| 135 | 7.700%, 05/15/17 | 165 | ||||||
| 34 | 7.800%, 05/15/27 | 43 | ||||||
| 2,690 | Ryder System, Inc., 3.600%, 03/01/16 | 2,669 | ||||||
Union Pacific Corp., | ||||||||
| 175 | 4.875%, 01/15/15 | 190 | ||||||
| 1,800 | 5.650%, 05/01/17 | 2,020 | ||||||
| 1,700 | 5.700%, 08/15/18 | 1,912 | ||||||
| 1,000 | 5.780%, 07/15/40 | 1,051 | ||||||
| 3,000 | 7.000%, 02/01/16 | 3,524 | ||||||
United Parcel Service of America, Inc., | ||||||||
| 2,350 | 8.375%, 04/01/20 | 3,083 | ||||||
| 600 | SUB, 8.375%, 04/01/30 | 756 | ||||||
| 35,724 | ||||||||
Total Industrials | 87,932 | |||||||
Information Technology — 0.5% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
Cisco Systems, Inc., | ||||||||
| 1,500 | 5.500%, 02/22/16 | 1,693 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Communications Equipment — Continued |
| |||||||
| 4,660 | 5.500%, 01/15/40 | 4,640 | ||||||
| 4,990 | 5.900%, 02/15/39 | 5,251 | ||||||
| 11,584 | ||||||||
Computers & Peripherals — 0.2% |
| |||||||
Dell, Inc., | ||||||||
| 6,526 | 2.300%, 09/10/15 | 6,407 | ||||||
| 570 | 5.650%, 04/15/18 | 625 | ||||||
| 1,900 | 7.100%, 04/15/28 | 2,155 | ||||||
Hewlett-Packard Co., | ||||||||
| 650 | 2.950%, 08/15/12 | 669 | ||||||
| 1,000 | 4.500%, 03/01/13 | 1,065 | ||||||
| 1,900 | 4.750%, 06/02/14 | 2,067 | ||||||
| 2,525 | 5.400%, 03/01/17 | 2,824 | ||||||
| 4,400 | 6.125%, 03/01/14 | 4,935 | ||||||
International Business Machines Corp., | ||||||||
| 3,950 | 5.700%, 09/14/17 | 4,510 | ||||||
| 660 | 6.220%, 08/01/27 | 770 | ||||||
| 4,500 | 7.625%, 10/15/18 | 5,689 | ||||||
| 450 | 8.000%, 10/15/38 | 617 | ||||||
| 32,333 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
| 855 | 3.375%, 11/01/15 | 844 | ||||||
| 4,635 | 6.000%, 04/01/20 | 4,769 | ||||||
| 5,270 | 6.875%, 07/01/13 | 5,753 | ||||||
| 2,000 | 7.500%, 01/15/27 | 2,112 | ||||||
| 13,478 | ||||||||
IT Services — 0.0% (g) |
| |||||||
HP Enterprise Services LLC, | ||||||||
| 2,950 | 6.000%, 08/01/13 | 3,262 | ||||||
| 2,420 | 7.450%, 10/15/29 | 3,048 | ||||||
| 6,310 | ||||||||
Office Electronics — 0.0% (g) |
| |||||||
Xerox Corp., | ||||||||
| 3,200 | 6.750%, 02/01/17 | 3,689 | ||||||
| 310 | 8.250%, 05/15/14 | 362 | ||||||
| 4,051 | ||||||||
Software — 0.1% |
| |||||||
| 850 | Intuit, Inc., 5.750%, 03/15/17 | 935 | ||||||
Microsoft Corp., | ||||||||
| 7,590 | 1.625%, 09/25/15 | 7,366 | ||||||
| 1,214 | 4.500%, 10/01/40 | 1,090 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
Oracle Corp., | ||||||||
| 5,300 | 5.000%, 07/08/19 | 5,708 | ||||||
| 2,320 | 5.250%, 01/15/16 | 2,589 | ||||||
| 3,400 | 5.750%, 04/15/18 | 3,824 | ||||||
| 1,950 | 6.500%, 04/15/38 | 2,202 | ||||||
| 23,714 | ||||||||
Total Information Technology | 91,470 | |||||||
Materials — 0.3% |
| |||||||
Chemicals — 0.3% |
| |||||||
| 850 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 888 | ||||||
Dow Chemical Co. (The), | ||||||||
| 4,831 | 4.250%, 11/15/20 | 4,656 | ||||||
| 1,670 | 4.850%, 08/15/12 | 1,758 | ||||||
| 650 | 6.000%, 10/01/12 | 699 | ||||||
| 1,345 | 7.375%, 11/01/29 | 1,628 | ||||||
| 2,600 | 8.550%, 05/15/19 | 3,297 | ||||||
| 3,706 | E.l. du Pont de Nemours & Co., 1.950%, 01/15/16 | 3,578 | ||||||
EI Du Pont de Nemours & Co., | ||||||||
| 125 | 4.125%, 03/06/13 | 132 | ||||||
| 500 | 4.875%, 04/30/14 | 546 | ||||||
| 2,150 | 4.900%, 01/15/41 | 2,022 | ||||||
| 3,800 | 6.000%, 07/15/18 | 4,346 | ||||||
| 3,750 | Monsanto Co., 7.375%, 08/15/12 | 4,093 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
| 1,450 | 4.875%, 03/01/13 | 1,551 | ||||||
| 3,800 | 6.500%, 05/15/19 | 4,411 | ||||||
PPG Industries, Inc., | ||||||||
| 1,144 | 5.500%, 11/15/40 | 1,127 | ||||||
| 2,150 | 5.750%, 03/15/13 | 2,328 | ||||||
| 1,800 | 6.650%, 03/15/18 | 2,100 | ||||||
| 2,100 | 9.000%, 05/01/21 | 2,724 | ||||||
Praxair, Inc., | ||||||||
| 850 | 4.375%, 03/31/14 | 909 | ||||||
| 1,900 | 4.625%, 03/30/15 | 2,050 | ||||||
| 480 | 5.200%, 03/15/17 | 529 | ||||||
| 1,295 | 5.250%, 11/15/14 | 1,450 | ||||||
| 1,800 | Union Carbide Corp., 7.750%, 10/01/96 | 1,872 | ||||||
| 48,694 | ||||||||
Metals & Mining — 0.0% (g) |
| |||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
| 1,280 | 3.500%, 11/02/20 | 1,203 | ||||||
| 1,585 | 8.950%, 05/01/14 | 1,919 | ||||||
| 3,122 | ||||||||
Total Materials | 51,816 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 65 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Telecommunication Services — 0.8% |
| |||||||
Diversified Telecommunication Services — 0.8% |
| |||||||
| 270 | AT&T Corp., 8.000%, 11/15/31 | 343 | ||||||
AT&T, Inc., | ||||||||
| 8,300 | 4.950%, 01/15/13 | 8,883 | ||||||
| 1,120 | 5.100%, 09/15/14 | 1,232 | ||||||
| 10,603 | 5.350%, 09/01/40 (e) | 9,723 | ||||||
| 2,925 | 5.500%, 02/01/18 | 3,213 | ||||||
| 1,300 | 5.600%, 05/15/18 | 1,436 | ||||||
| 2,295 | 5.625%, 06/15/16 | 2,571 | ||||||
| 7,200 | 6.300%, 01/15/38 | 7,476 | ||||||
| 500 | 6.800%, 05/15/36 | 550 | ||||||
BellSouth Corp., | ||||||||
| 1,330 | 5.200%, 09/15/14 | 1,464 | ||||||
| 1,000 | 6.550%, 06/15/34 | 1,049 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
| 1,687 | 6.300%, 12/15/15 | 1,817 | ||||||
| 1,200 | 7.000%, 10/01/25 | 1,334 | ||||||
| 2,300 | 7.000%, 12/01/95 | 2,385 | ||||||
British Telecommunications plc, (United Kingdom), | ||||||||
| 5,000 | 5.150%, 01/15/13 | 5,336 | ||||||
| 2,800 | 5.950%, 01/15/18 | 3,108 | ||||||
| 300 | 9.875%, 12/15/30 | 416 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
| 4,200 | 4.875%, 07/08/14 | 4,530 | ||||||
| 785 | 5.250%, 07/22/13 | 851 | ||||||
| 2,025 | 6.000%, 07/08/19 | 2,290 | ||||||
| 200 | 8.750%, 06/15/30 | 262 | ||||||
| 1,000 | France Telecom S.A., (France), 8.500%, 03/01/31 | 1,357 | ||||||
GTE Corp., | ||||||||
| 17,200 | 6.840%, 04/15/18 | 20,089 | ||||||
| 1,000 | 8.750%, 11/01/21 | 1,296 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
| 4,360 | 4.950%, 09/30/14 | 4,480 | ||||||
| 2,300 | 5.250%, 11/15/13 | 2,403 | ||||||
| 2,650 | 6.175%, 06/18/14 | 2,821 | ||||||
| 2,125 | 6.999%, 06/04/18 | 2,281 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
| 2,258 | 5.462%, 02/16/21 | 2,292 | ||||||
| 4,000 | 5.855%, 02/04/13 | 4,270 | ||||||
| 1,500 | 5.877%, 07/15/19 | 1,577 | ||||||
| 3,250 | 6.221%, 07/03/17 | 3,539 | ||||||
| 1,011 | TELUS Corp., (Canada), 8.000%, 06/01/11 | 1,030 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
Verizon Communications, Inc., | ||||||||
| 2,175 | 5.500%, 02/15/18 | 2,372 | ||||||
| 250 | 5.550%, 02/15/16 | 279 | ||||||
| 1,443 | 5.850%, 09/15/35 | 1,452 | ||||||
| 4,400 | 7.350%, 04/01/39 | 5,222 | ||||||
| 1,500 | 8.750%, 11/01/18 | 1,936 | ||||||
| 6,498 | Verizon Florida LLC, 6.125%, 01/15/13 | 6,976 | ||||||
| 8,025 | Verizon Global Funding Corp., 7.750%, 12/01/30 | 9,849 | ||||||
Verizon Maryland, Inc., | ||||||||
| 2,363 | 6.125%, 03/01/12 | 2,484 | ||||||
| 3,100 | 7.150%, 05/01/23 | 3,327 | ||||||
| 900 | Verizon New England, Inc., 4.750%, 10/01/13 | 957 | ||||||
| 880 | Verizon New York, Inc., 7.375%, 04/01/32 | 993 | ||||||
| 5,232 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 6,074 | ||||||
| 2,788 | Verizon Virginia, Inc., 4.625%, 03/15/13 | 2,951 | ||||||
| 152,576 | ||||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| 1,500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 1,658 | ||||||
| 3,220 | New Cingular Wireless Services, Inc., 8.125%, 05/01/12 | 3,491 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
| 5,125 | 5.000%, 09/15/15 | 5,568 | ||||||
| 753 | 5.450%, 06/10/19 | 826 | ||||||
| 11,543 | ||||||||
Total Telecommunication Services | 164,119 | |||||||
Utilities — 1.1% |
| |||||||
Electric Utilities — 0.8% |
| |||||||
| 700 | Alabama Power Co., 6.125%, 05/15/38 | 769 | ||||||
| 1,110 | Arizona Public Service Co., 4.650%, 05/15/15 | 1,173 | ||||||
Carolina Power & Light Co., | ||||||||
| 2,177 | 5.125%, 09/15/13 | 2,376 | ||||||
| 2,000 | 5.300%, 01/15/19 | 2,210 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
| 3,100 | 5.750%, 01/15/14 | 3,407 | ||||||
| 3,725 | 7.000%, 03/01/14 | 4,245 | ||||||
| 3,450 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 4,139 | ||||||
| 1,550 | Columbus Southern Power Co., 6.050%, 05/01/18 | 1,756 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
| 925 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 1,031 | ||||||
| 3,078 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 3,236 | ||||||
Duke Energy Carolinas LLC, | ||||||||
| 1,991 | 4.300%, 06/15/20 | 2,027 | ||||||
| 1,400 | 5.100%, 04/15/18 | 1,529 | ||||||
| 1,795 | 5.625%, 11/30/12 | 1,934 | ||||||
| 1,816 | 6.250%, 01/15/12 | 1,906 | ||||||
| 1,875 | Duke Energy Corp., 3.950%, 09/15/14 | 1,975 | ||||||
Duke Energy Indiana, Inc., | ||||||||
| 2,260 | 3.750%, 07/15/20 | 2,183 | ||||||
| 3,100 | 6.350%, 08/15/38 | 3,471 | ||||||
| 6,030 | Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) | 6,055 | ||||||
Exelon Generation Co. LLC, | ||||||||
| 6,000 | 4.000%, 10/01/20 | 5,585 | ||||||
| 1,857 | 5.750%, 10/01/41 | 1,743 | ||||||
Florida Power & Light Co., | ||||||||
| 500 | 5.950%, 10/01/33 | 546 | ||||||
| 1,000 | 5.950%, 02/01/38 | 1,094 | ||||||
Florida Power Corp., | ||||||||
| 500 | 4.800%, 03/01/13 | 533 | ||||||
| 1,125 | 5.650%, 06/15/18 | 1,274 | ||||||
| 700 | 6.400%, 06/15/38 | 796 | ||||||
FPL Group Capital, Inc., | ||||||||
| 900 | 5.350%, 06/15/13 | 970 | ||||||
| 1,200 | 6.000%, 03/01/19 | 1,331 | ||||||
| 1,600 | 7.875%, 12/15/15 | 1,911 | ||||||
Georgia Power Co., | ||||||||
| 1,423 | 4.750%, 09/01/40 | 1,295 | ||||||
| 400 | 5.950%, 02/01/39 | 429 | ||||||
| 1,100 | 6.000%, 11/01/13 | 1,230 | ||||||
| 1,085 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 1,283 | ||||||
| 300 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 361 | ||||||
| 230 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 235 | ||||||
| 700 | MidAmerican Energy Co., 5.300%, 03/15/18 | 774 | ||||||
Nevada Power Co., | ||||||||
| 367 | 5.375%, 09/15/40 | 355 | ||||||
| 950 | 6.500%, 08/01/18 | 1,094 | ||||||
| 1,825 | 7.125%, 03/15/19 | 2,170 | ||||||
| 1,625 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 1,711 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
| 2,560 | Nisource Finance Corp., 6.150%, 03/01/13 | 2,776 | ||||||
| 2,500 | Northern States Power Co., 6.250%, 06/01/36 | 2,847 | ||||||
| 2,400 | Ohio Power Co., 5.750%, 09/01/13 | 2,622 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
| 820 | 5.950%, 09/01/13 | 901 | ||||||
| 3,000 | 6.800%, 09/01/18 | 3,483 | ||||||
Pacific Gas & Electric Co., | ||||||||
| 1,980 | 5.625%, 11/30/17 | 2,215 | ||||||
| 750 | 8.250%, 10/15/18 | 971 | ||||||
PacifiCorp, | ||||||||
| 250 | 5.500%, 01/15/19 | 279 | ||||||
| 2,850 | 5.650%, 07/15/18 | 3,203 | ||||||
| 125 | 6.900%, 11/15/11 | 131 | ||||||
| 900 | Peco Energy Co., 5.350%, 03/01/18 | 996 | ||||||
| 1,320 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,524 | ||||||
Progress Energy, Inc., | ||||||||
| 3,778 | 4.400%, 01/15/21 | 3,759 | ||||||
| 730 | 6.050%, 03/15/14 | 813 | ||||||
| 1,480 | 7.750%, 03/01/31 | 1,849 | ||||||
PSEG Power LLC, | ||||||||
| 2,411 | 5.125%, 04/15/20 | 2,484 | ||||||
| 2,190 | 5.500%, 12/01/15 | 2,396 | ||||||
| 1,255 | 8.625%, 04/15/31 | 1,593 | ||||||
Public Service Co. of Colorado, | ||||||||
| 1,160 | 3.200%, 11/15/20 | 1,085 | ||||||
| 275 | 5.800%, 08/01/18 | 313 | ||||||
Public Service Co. of Oklahoma, | ||||||||
| 1,964 | 4.400%, 02/01/21 | 1,951 | ||||||
| 3,350 | 6.625%, 11/15/37 | 3,722 | ||||||
Public Service Electric & Gas Co., | ||||||||
| 825 | 5.300%, 05/01/18 | 915 | ||||||
| 1,138 | 5.375%, 11/01/39 | 1,142 | ||||||
| 5,300 | 6.330%, 11/01/13 | 5,959 | ||||||
Southern California Edison Co., | ||||||||
| 1,200 | 4.150%, 09/15/14 | 1,291 | ||||||
| 1,400 | 5.500%, 08/15/18 | 1,576 | ||||||
| 1,650 | 5.750%, 03/15/14 | 1,846 | ||||||
| 645 | 5.950%, 02/01/38 | 705 | ||||||
| 2,450 | 6.050%, 03/15/39 | 2,717 | ||||||
| 580 | Southern Co., 4.150%, 05/15/14 | 614 | ||||||
| 1,000 | Southwestern Public Service Co., 8.750%, 12/01/18 | 1,256 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 67 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
Spectra Energy Capital LLC, | ||||||||
| 2,900 | 5.500%, 03/01/14 | 3,154 | ||||||
| 350 | 5.668%, 08/15/14 | 385 | ||||||
| 3,645 | 6.250%, 02/15/13 | 3,961 | ||||||
| 3,850 | 8.000%, 10/01/19 | 4,656 | ||||||
Virginia Electric and Power Co., | ||||||||
| 2,550 | 5.100%, 11/30/12 | 2,726 | ||||||
| 4,600 | 5.400%, 04/30/18 | 5,098 | ||||||
| 800 | 5.950%, 09/15/17 | 918 | ||||||
| 152,974 | ||||||||
Gas Utilities — 0.1% |
| |||||||
| 1,700 | AGL Capital Corp., 4.450%, 04/15/13 | 1,784 | ||||||
| 1,530 | ANR Pipeline Co., 9.625%, 11/01/21 | 2,115 | ||||||
Atmos Energy Corp., | ||||||||
| 320 | 5.125%, 01/15/13 | 337 | ||||||
| 690 | 8.500%, 03/15/19 | 866 | ||||||
| 530 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 596 | ||||||
| 1,037 | Southern California Gas Co., 4.800%, 10/01/12 | 1,099 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
| 1,515 | 4.000%, 06/15/13 | 1,605 | ||||||
| 1,500 | 6.200%, 10/15/37 | 1,602 | ||||||
| 1,900 | 6.500%, 08/15/18 | 2,219 | ||||||
| 2,650 | 7.125%, 01/15/19 | 3,211 | ||||||
| 2,100 | 7.250%, 08/15/38 | 2,499 | ||||||
| 17,933 | ||||||||
Multi-Utilities — 0.2% |
| |||||||
Dominion Resources, Inc., | ||||||||
| 590 | 6.000%, 11/30/17 | 665 | ||||||
| 1,879 | 6.250%, 06/30/12 | 1,997 | ||||||
| 1,200 | 7.000%, 06/15/38 | 1,414 | ||||||
| 1,600 | 8.875%, 01/15/19 | 2,058 | ||||||
| 4,650 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 | 5,213 | ||||||
| 1,625 | MidAmerican Funding LLC, 5.750%, 04/01/18 | 1,829 | ||||||
| 1,550 | PG&E Corp., 5.750%, 04/01/14 | 1,702 | ||||||
Sempra Energy, | ||||||||
| 1,500 | 6.000%, 10/15/39 | 1,554 | ||||||
| 2,300 | 6.150%, 06/15/18 | 2,608 | ||||||
| 900 | 6.500%, 06/01/16 | 1,031 | ||||||
| 2,760 | 8.900%, 11/15/13 | 3,223 | ||||||
| 1,550 | 9.800%, 02/15/19 | 2,062 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — Continued |
| |||||||
Wisconsin Electric Power Co., | ||||||||
| 1,400 | 6.000%, 04/01/14 | 1,573 | ||||||
| 1,295 | 6.250%, 12/01/15 | 1,496 | ||||||
| 601 | Xcel Energy, Inc., 4.700%, 05/15/20 | 622 | ||||||
| 29,047 | ||||||||
Water Utilities — 0.0% (g) |
| |||||||
American Water Capital Corp., | ||||||||
| 2,025 | 6.085%, 10/15/17 | 2,281 | ||||||
| 3,740 | 6.593%, 10/15/37 | 3,920 | ||||||
| 6,201 | ||||||||
Total Utilities | 206,155 | |||||||
Total Corporate Bonds | 2,606,570 | |||||||
| Foreign Government Securities — 0.2% | |||||||
| 3,040 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 3,104 | ||||||
Province of Ontario, (Canada), | ||||||||
| 5,500 | 2.700%, 06/16/15 | 5,620 | ||||||
| 12,250 | 2.950%, 02/05/15 | 12,671 | ||||||
| 560 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 | 722 | ||||||
United Mexican States, (Mexico), | ||||||||
| 2,035 | 5.875%, 01/15/14 | 2,239 | ||||||
| 3,398 | 6.375%, 01/16/13 | 3,721 | ||||||
| 850 | 6.625%, 03/03/15 | 971 | ||||||
| 4,881 | 7.500%, 04/08/33 | 5,979 | ||||||
| 2,925 | 8.300%, 08/15/31 | 3,890 | ||||||
Total Foreign Government Securities | 38,917 | |||||||
| Mortgage Pass-Through Securities — 11.4% | |||||||
Federal Home Loan Mortgage Corp., |
| |||||||
| 105 | ARM, 2.256%, 07/01/19 | 109 | ||||||
| 231 | ARM, 2.360%, 01/01/27 | 241 | ||||||
| 1,026 | ARM, 2.480%, 12/01/33 | 1,074 | ||||||
| 1,967 | ARM, 2.500%, 01/01/35 | 2,050 | ||||||
| 93 | ARM, 2.528%, 04/01/30 | 98 | ||||||
| 5,132 | ARM, 2.594%, 05/01/33 | 5,372 | ||||||
| 64 | ARM, 2.625%, 07/01/26 | 68 | ||||||
| 234 | ARM, 2.627%, 09/01/32 | 246 | ||||||
| 1,921 | ARM, 2.629%, 04/01/34 | 1,998 | ||||||
| 991 | ARM, 2.632%, 08/01/35 | 1,041 | ||||||
| 1,291 | ARM, 2.667%, 02/01/36 | 1,355 | ||||||
| 3,604 | ARM, 2.713%, 09/01/34 | 3,781 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
| 2,551 | ARM, 2.724%, 12/01/35 | 2,672 | ||||||
| 1,545 | ARM, 3.497%, 07/01/37 | 1,623 | ||||||
| 875 | ARM, 3.621%, 01/01/37 | 917 | ||||||
| 6,286 | ARM, 3.642%, 03/01/36 | 6,630 | ||||||
| 1,046 | ARM, 3.779%, 11/01/36 | 1,101 | ||||||
| 6,289 | ARM, 5.078%, 09/01/36 | 6,616 | ||||||
| 3,844 | ARM, 5.287%, 05/01/38 | 4,066 | ||||||
| 6,665 | ARM, 5.516%, 05/01/36 | 7,004 | ||||||
| 6,829 | ARM, 5.523%, 05/01/36 | 7,259 | ||||||
| 6,219 | ARM, 5.539%, 03/01/36 | 6,415 | ||||||
| 4,563 | ARM, 5.621%, 04/01/38 | 4,833 | ||||||
| 2,341 | ARM, 5.672%, 04/01/37 | 2,492 | ||||||
| 7,771 | ARM, 5.707%, 05/01/37 | 8,220 | ||||||
| 5,107 | ARM, 5.715%, 02/01/37 | 5,403 | ||||||
| 6,596 | ARM, 5.718%, 06/01/37 | 7,050 | ||||||
| 4,103 | ARM, 5.727%, 05/01/37 | 4,353 | ||||||
| 3,276 | ARM, 5.750%, 06/01/36 | 3,501 | ||||||
| 4,710 | ARM, 5.759%, 01/01/37 | 4,959 | ||||||
| 2,782 | ARM, 5.771%, 05/01/37 | 2,964 | ||||||
| 2,240 | ARM, 5.776%, 07/01/36 | 2,359 | ||||||
| 3,411 | ARM, 5.804%, 10/01/36 | 3,591 | ||||||
| 4,709 | ARM, 5.836%, 11/01/36 | 4,989 | ||||||
| 1,755 | ARM, 5.837%, 05/01/36 | 1,825 | ||||||
| 1,072 | ARM, 5.858%, 05/01/37 | 1,134 | ||||||
| 280 | ARM, 5.865%, 02/01/37 | 297 | ||||||
| 4,085 | ARM, 5.899%, 04/01/37 | 4,324 | ||||||
| 1,806 | ARM, 5.942%, 04/01/37 | 1,927 | ||||||
| 17,786 | ARM, 6.005%, 11/01/36 | 18,981 | ||||||
| 2,399 | ARM, 6.017%, 03/01/37 | 2,535 | ||||||
| 13,446 | ARM, 6.018%, 06/01/36 | 14,395 | ||||||
| 1,084 | ARM, 6.024%, 02/01/37 | 1,145 | ||||||
| 11,403 | ARM, 6.026%, 12/01/36 | 12,065 | ||||||
| 3,602 | ARM, 6.037%, 10/01/36 | 3,789 | ||||||
| 624 | ARM, 6.100%, 12/01/36 | 658 | ||||||
| 1,857 | ARM, 6.135%, 05/01/37 | 1,977 | ||||||
| 10,557 | ARM, 6.152%, 12/01/36 | 11,141 | ||||||
| 1,594 | ARM, 6.187%, 03/01/37 | 1,682 | ||||||
| 839 | ARM, 6.227%, 10/01/36 | 881 | ||||||
| 15,491 | ARM, 6.230%, 09/01/36 - 03/01/37 | 16,262 | ||||||
| 7,050 | ARM, 6.270%, 02/01/37 | 7,496 | ||||||
| 8,244 | ARM, 6.294%, 10/01/36 | 8,640 | ||||||
| 4,201 | ARM, 6.306%, 05/01/37 | 4,481 | ||||||
| 11,515 | ARM, 6.345%, 12/01/36 | 12,165 | ||||||
| 3,983 | ARM, 6.373%, 10/01/36 | 4,185 | ||||||
| 1,324 | ARM, 6.405%, 02/01/37 | 1,421 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 1,478 | ARM, 6.422%, 12/01/36 | 1,585 | ||||||
| 1,280 | ARM, 6.481%, 11/01/37 | 1,372 | ||||||
| 2,939 | ARM, 6.510%, 10/01/36 | 3,103 | ||||||
| 972 | ARM, 6.564%, 08/01/36 | 1,024 | ||||||
| 1,973 | ARM, 6.634%, 07/01/36 | 2,071 | ||||||
| 4,301 | ARM, 6.674%, 10/01/36 | 4,507 | ||||||
| 5,085 | ARM, 6.680%, 11/01/36 | 5,457 | ||||||
| 13,621 | ARM, 6.721%, 08/01/36 | 14,297 | ||||||
| 2,560 | ARM, 6.743%, 08/01/36 | 2,688 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
| 5,626 | 4.000%, 04/01/14 - 05/01/19 | 5,834 | ||||||
| 3,610 | 4.500%, 08/01/18 - 10/01/18 | 3,819 | ||||||
| 17,861 | 5.000%, 10/01/17 - 12/01/18 | 19,125 | ||||||
| 15,685 | 5.500%, 06/01/17 - 02/01/24 | 16,947 | ||||||
| 19,326 | 6.000%, 10/01/17 - 03/01/22 | 21,065 | ||||||
| 6,543 | 6.500%, 07/01/16 - 03/01/22 | 7,137 | ||||||
| 77 | 7.000%, 09/01/12 - 04/01/17 | 83 | ||||||
| 49 | 7.500%, 07/01/11 - 11/01/15 | 52 | ||||||
| 40 | 8.500%, 11/01/15 | 45 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
| 6,525 | 5.500%, 01/01/23 - 11/01/23 | 7,031 | ||||||
| 485 | 6.000%, 12/01/22 | 535 | ||||||
| 3,178 | 6.500%, 12/01/13 - 01/01/28 | 3,538 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
| 5,333 | 4.000%, 10/01/33 | 5,317 | ||||||
| 113,838 | 5.000%, 01/01/34 - 08/01/40 | 119,478 | ||||||
| 12,535 | 5.500%, 10/01/33 - 12/01/36 | 13,474 | ||||||
| 4,383 | 6.000%, 10/01/29 - 12/01/36 | 4,811 | ||||||
| 22,578 | 6.500%, 08/01/29 - 03/01/38 | 25,547 | ||||||
| 5,607 | 7.000%, 04/01/22 - 02/01/37 | 6,399 | ||||||
| 13,677 | 7.500%, 08/01/25 - 09/01/38 | 15,570 | ||||||
| 53 | 8.000%, 07/01/20 - 11/01/24 | 62 | ||||||
| 148 | 8.500%, 07/01/28 | 176 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
| 19,025 | 7.500%, 01/01/32 - 12/01/36 | 21,996 | ||||||
| 11,054 | 10.000%, 10/01/30 | 13,052 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
| 16,405 | 5.500%, 04/01/18 | 17,371 | ||||||
| 2,693 | 6.000%, 11/01/36 | 2,912 | ||||||
| 44,233 | 6.500%, 12/01/35 - 06/01/37 | 48,104 | ||||||
| 1,319 | 7.000%, 07/01/29 - 08/01/47 | 1,486 | ||||||
| 2,256 | 10.000%, 03/17/26 | 2,608 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 69 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
| 31 | 12.000%, 08/01/15 - 07/01/19 | 35 | ||||||
Federal National Mortgage Association, |
| |||||||
| 815 | ARM, 1.695%, 08/01/34 | 833 | ||||||
| 1,612 | ARM, 1.936%, 09/01/33 | 1,658 | ||||||
| 10,237 | ARM, 2.034%, 01/01/35 | 10,650 | ||||||
| 683 | ARM, 2.041%, 02/01/35 | 712 | ||||||
| 71 | ARM, 2.079%, 03/01/19 | 73 | ||||||
| 1,711 | ARM, 2.244%, 05/01/35 | 1,772 | ||||||
| 6,488 | ARM, 2.270%, 01/01/36 | 6,698 | ||||||
| 1,672 | ARM, 2.374%, 03/01/35 | 1,754 | ||||||
| 236 | ARM, 2.390%, 07/01/34 | 247 | ||||||
| 2,450 | ARM, 2.430%, 07/01/35 | 2,573 | ||||||
| 378 | ARM, 2.438%, 01/01/34 | 395 | ||||||
| 461 | ARM, 2.445%, 08/01/35 | 480 | ||||||
| 879 | ARM, 2.457%, 04/01/34 | 915 | ||||||
| 1,376 | ARM, 2.460%, 11/01/33 | 1,443 | ||||||
| 238 | ARM, 2.477%, 05/01/35 | 250 | ||||||
| 2,383 | ARM, 2.529%, 01/01/36 | 2,505 | ||||||
| 973 | ARM, 2.622%, 10/01/34 | 1,018 | ||||||
| 1,571 | ARM, 2.628%, 06/01/36 | 1,649 | ||||||
| 1,062 | ARM, 2.637%, 09/01/35 | 1,118 | ||||||
| 1,164 | ARM, 2.645%, 08/01/33 | 1,221 | ||||||
| 2,368 | ARM, 2.678%, 06/01/34 | 2,477 | ||||||
| 769 | ARM, 2.746%, 08/01/34 | 809 | ||||||
| 195 | ARM, 2.787%, 09/01/34 | 205 | ||||||
| 653 | ARM, 2.926%, 08/01/34 | 684 | ||||||
| 14 | ARM, 2.951%, 01/01/19 | 15 | ||||||
| 718 | ARM, 3.043%, 02/01/36 | 751 | ||||||
| 20,527 | ARM, 3.054%, 03/01/36 | 21,468 | ||||||
| 748 | ARM, 3.060%, 09/01/33 | 785 | ||||||
| 15 | ARM, 3.098%, 06/01/26 | 15 | ||||||
| 2,632 | ARM, 3.158%, 04/01/35 | 2,755 | ||||||
| 151 | ARM, 3.194%, 01/01/36 | 157 | ||||||
| 302 | ARM, 3.328%, 09/01/27 | 305 | ||||||
| 10 | ARM, 3.538%, 08/01/19 | 11 | ||||||
| 286 | ARM, 3.983%, 03/01/29 | 294 | ||||||
| 705 | ARM, 4.475%, 11/01/34 | 742 | ||||||
| 1,031 | ARM, 4.647%, 11/01/34 | 1,077 | ||||||
| 939 | ARM, 5.050%, 01/01/34 | 990 | ||||||
| 881 | ARM, 5.075%, 01/01/35 | 928 | ||||||
| 1,871 | ARM, 5.149%, 10/01/34 | 1,966 | ||||||
| 1,466 | ARM, 5.200%, 09/01/36 | 1,543 | ||||||
| 5,431 | ARM, 5.282%, 01/01/38 | 5,768 | ||||||
| 3,840 | ARM, 5.362%, 10/01/35 | 4,077 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 2,519 | ARM, 5.409%, 11/01/37 | 2,672 | ||||||
| 1,609 | ARM, 5.510%, 01/01/37 | 1,702 | ||||||
| 3,377 | ARM, 5.540%, 07/01/37 | 3,594 | ||||||
| 1,975 | ARM, 5.541%, 08/01/36 | 2,080 | ||||||
| 1,810 | ARM, 5.579%, 08/01/36 | 1,938 | ||||||
| 2,499 | ARM, 5.586%, 12/01/36 | 2,638 | ||||||
| 2,838 | ARM, 5.590%, 06/01/36 | 2,994 | ||||||
| 3,548 | ARM, 5.684%, 11/01/36 | 3,744 | ||||||
| 34,004 | ARM, 5.696%, 01/01/23 - 04/01/37 | 36,427 | ||||||
| 2,999 | ARM, 5.739%, 02/01/37 | 3,168 | ||||||
| 9,004 | ARM, 5.741%, 08/01/37 | 9,582 | ||||||
| 2,823 | ARM, 5.751%, 09/01/36 | 2,978 | ||||||
| 15,212 | ARM, 5.783%, 12/01/37 | 16,152 | ||||||
| 9,863 | ARM, 5.850%, 12/01/36 | 10,437 | ||||||
| 531 | ARM, 5.851%, 07/01/37 | 562 | ||||||
| 9,952 | ARM, 5.855%, 10/01/36 - 11/01/36 | 10,491 | ||||||
| 2,984 | ARM, 5.876%, 07/01/36 | 3,155 | ||||||
| 1,686 | ARM, 5.916%, 05/01/36 | 1,749 | ||||||
| 2,885 | ARM, 5.933%, 09/01/37 | 3,102 | ||||||
| 11,912 | ARM, 5.937%, 07/01/37 | 12,585 | ||||||
| 4,062 | ARM, 5.938%, 10/01/36 | 4,295 | ||||||
| 3,249 | ARM, 5.957%, 09/01/37 | 3,480 | ||||||
| 1,284 | ARM, 5.965%, 09/01/37 | 1,358 | ||||||
| 3,271 | ARM, 5.989%, 09/01/37 | 3,467 | ||||||
| 5,714 | ARM, 6.032%, 08/01/36 | 6,039 | ||||||
| 2,740 | ARM, 6.070%, 07/01/37 | 2,910 | ||||||
| 10,070 | ARM, 6.109%, 09/01/36 | 10,791 | ||||||
| 8,978 | ARM, 6.167%, 11/01/37 | 9,497 | ||||||
| 1,915 | ARM, 6.177%, 09/01/37 | 2,058 | ||||||
| 5,494 | ARM, 6.193%, 08/01/36 | 5,924 | ||||||
| 8,252 | ARM, 6.224%, 06/01/36 | 8,636 | ||||||
| 3,116 | ARM, 6.225%, 10/01/36 | 3,284 | ||||||
| 3,726 | ARM, 6.279%, 02/01/37 | 3,960 | ||||||
| 1,735 | ARM, 6.293%, 09/01/36 | 1,818 | ||||||
| 2,417 | ARM, 6.550%, 01/01/37 | 2,603 | ||||||
| 6,759 | ARM, 6.632%, 09/01/36 | 7,103 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
| 719 | 3.500%, 04/01/19 | 741 | ||||||
| 11,391 | 4.000%, 07/01/18 - 12/01/20 | 11,925 | ||||||
| 41,943 | 4.500%, 05/01/18 - 12/01/19 | 44,385 | ||||||
| 36,711 | 5.000%, 12/01/16 - 10/01/19 | 39,403 | ||||||
| 41,913 | 5.500%, 02/01/18 - 07/01/20 | 45,429 | ||||||
| 71,442 | 6.000%, 06/01/16 - 07/01/24 | 78,212 | ||||||
| 11,309 | 6.500%, 04/01/11 - 02/01/24 | 12,424 | ||||||
| 1,367 | 7.000%, 03/01/17 - 11/01/17 | 1,498 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
| 134 | 7.500%, 10/01/12 - 03/01/17 | 144 | ||||||
| 75 | 8.000%, 11/01/12 - 11/01/15 | 79 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
| 52,012 | 6.000%, 02/01/14 - 09/01/29 | 56,643 | ||||||
| 10,401 | 6.500%, 05/01/22 - 08/01/26 | 11,533 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
| 292 | 6.000%, 09/01/33 | 322 | ||||||
| 552 | 6.500%, 03/01/29 | 627 | ||||||
| 82 | 7.000%, 02/01/33 | 94 | ||||||
| 120 | 8.000%, 06/01/28 | 139 | ||||||
| 112 | 8.500%, 08/01/27 - 02/01/30 | 131 | ||||||
| 172 | 9.000%, 05/01/18 - 12/01/30 | 197 | ||||||
| 42 | 9.500%, 12/01/18 | 49 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
| 1,939 | 4.000%, 12/01/33 | 1,936 | ||||||
| 3,878 | 4.500%, 11/01/33 - 09/01/34 | 3,989 | ||||||
| 81,133 | 5.000%, 06/01/33 - 08/01/40 | 85,403 | ||||||
| 97,410 | 5.500%, 11/01/32 - 12/01/39 | 104,807 | ||||||
| 48,146 | 6.000%, 12/01/28 - 04/01/38 | 52,854 | ||||||
| 153,601 | 6.500%, 11/01/29 - 10/01/38 | 172,601 | ||||||
| 71,892 | 7.000%, 04/01/17 - 01/01/39 | 82,392 | ||||||
| 42,937 | 7.500%, 11/01/22 - 04/01/39 | 49,512 | ||||||
| 2,015 | 8.000%, 03/01/21 - 01/01/38 | 2,342 | ||||||
| 55 | 8.500%, 07/01/24 - 06/01/25 | 64 | ||||||
| 7 | 9.000%, 04/01/26 | 7 | ||||||
| 45 | 9.500%, 07/01/28 | 53 | ||||||
| 21 | 10.000%, 02/01/24 | 24 | ||||||
| 37 | 12.500%, 01/01/16 | 38 | ||||||
Federal National Mortgage Association, Other, | ||||||||
| 6,500 | 3.350%, 11/01/20 | 6,178 | ||||||
| 1,992 | 3.600%, 09/01/20 | 1,930 | ||||||
| 29,815 | 3.621%, 09/01/20 | 28,730 | ||||||
| 4,977 | 3.658%, 10/01/20 | 4,800 | ||||||
| 3,643 | 3.680%, 09/01/20 | 3,554 | ||||||
| 3,990 | 3.823%, 12/01/20 | 3,887 | ||||||
| 10,000 | 3.980%, 11/01/16 | 10,322 | ||||||
| 3,108 | 4.000%, 09/01/13 - 04/01/20 | 3,186 | ||||||
| 4,000 | 4.061%, 01/01/21 | 3,950 | ||||||
| 8,500 | 4.130%, 11/01/19 | 8,560 | ||||||
| 32,000 | 4.201%, 07/01/20 | 32,450 | ||||||
| 4,968 | 4.443%, 08/01/20 | 5,108 | ||||||
| 806 | 4.500%, 11/01/14 | 855 | ||||||
| 23,619 | 4.514%, 04/01/20 | 24,243 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 11,895 | 4.515%, 02/01/20 | 12,236 | ||||||
| 61,500 | 4.546%, 02/01/20 | 63,368 | ||||||
| 13,000 | 4.640%, 01/01/21 | 13,439 | ||||||
| 23,801 | 4.681%, 12/01/19 | 24,701 | ||||||
| 802 | 5.000%, 12/01/32 | 841 | ||||||
| 17,796 | 5.500%, 03/01/17 - 06/01/39 | 18,830 | ||||||
| 24,537 | 6.000%, 02/01/36 - 11/01/48 | 26,437 | ||||||
| 8,344 | 6.500%, 04/01/36 - 05/01/37 | 9,132 | ||||||
| 6,619 | 7.000%, 02/01/36 - 01/01/38 | 7,490 | ||||||
| 473 | 7.500%, 10/01/37 | 539 | ||||||
| 2,573 | 8.000%, 11/01/37 | 2,933 | ||||||
| 226 | 10.890%, 04/15/19 | 255 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
| 322 | 6.000%, 03/20/28 | 355 | ||||||
| 2,258 | 7.000%, 08/20/38 | 2,571 | ||||||
| 215 | 7.500%, 02/20/28 - 09/20/28 | 249 | ||||||
| 412 | 8.000%, 12/20/25 - 10/20/28 | 482 | ||||||
| 197 | 8.500%, 03/20/25 - 05/20/25 | 234 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
| 190 | 6.000%, 10/15/17 | 208 | ||||||
| 240 | 6.500%, 06/15/17 - 12/15/17 | 263 | ||||||
| 7 | 7.500%, 02/15/12 - 03/15/12 | 7 | ||||||
| 455 | 8.000%, 01/15/16 | 496 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
| 12,872 | 5.500%, 04/15/33 - 09/15/34 | 14,052 | ||||||
| 463 | 6.000%, 11/15/28 | 512 | ||||||
| 9,192 | 6.500%, 01/15/24 - 12/15/35 | 10,383 | ||||||
| 14,444 | 7.000%, 08/15/23 - 04/15/37 | 16,396 | ||||||
| 4,048 | 7.500%, 11/15/22 - 10/15/37 | 4,654 | ||||||
| 96 | 8.000%, 05/15/22 - 08/15/28 | 112 | ||||||
| 39 | 8.500%, 03/15/17 - 11/15/17 | 44 | ||||||
| 73 | 9.000%, 08/15/16 - 11/15/24 | 85 | ||||||
| 4,512 | 9.500%, 01/15/17 - 12/15/25 | 5,314 | ||||||
| 38 | 12.000%, 11/15/19 | 42 | ||||||
Total Mortgage Pass-Through Securities | 2,198,738 | |||||||
| Municipal Bonds — 0.1% | |||||||
Illinois — 0.0% (g) | ||||||||
| 5,450 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 4,373 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 71 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued | |||||||
New York — 0.1% |
| |||||||
| 2,500 | New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 | 2,360 | ||||||
| 10,400 | Port Authority of New York & New Jersey, Construction 164, Rev., 5.647%, 11/01/40 | 9,990 | ||||||
| 12,350 | ||||||||
Ohio — 0.0% (g) |
| |||||||
| 11,600 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 12,082 | ||||||
Total Municipal Bonds | 28,805 | |||||||
| Supranational — 0.0% (g) | |||||||
| 720 | Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $719) | 777 | ||||||
| U.S. Government Agency Securities — 1.6% | |||||||
Federal Farm Credit Bank, | ||||||||
| 5,000 | 1.875%, 12/07/12 | 5,105 | ||||||
| 10,000 | 5.125%, 11/15/18 | 11,156 | ||||||
| 11,916 | Federal Home Loan Bank, 4.720%, 09/20/12 | 12,465 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 38,500 | 4.125%, 12/21/12 | 40,847 | ||||||
| 4,000 | 5.125%, 11/17/17 | 4,512 | ||||||
| 25,500 | 5.500%, 08/23/17 | 29,327 | ||||||
| 1,260 | 5.750%, 01/15/12 | 1,318 | ||||||
Federal National Mortgage Association, | ||||||||
| 45,000 | Zero Coupon, 07/05/14 | 42,089 | ||||||
| 26,500 | Zero Coupon, 06/01/17 | 21,544 | ||||||
| 26,700 | 5.000%, 05/11/17 | 29,964 | ||||||
| 33,400 | 5.375%, 06/12/17 | 38,143 | ||||||
| 1,190 | 5.500%, 03/15/11 | 1,193 | ||||||
| 2,735 | 6.125%, 03/15/12 | 2,895 | ||||||
| 11,500 | Federal National Mortgage Association Interest Strip, 11/15/21 | 7,208 | ||||||
Financing Corp. Fico, | ||||||||
| 16,800 | Zero Coupon, 04/05/19 | 12,596 | ||||||
| 13,200 | Zero Coupon, 09/26/19 | 9,629 | ||||||
Tennessee Valley Authority, | ||||||||
| 2,935 | 4.625%, 09/15/60 | 2,724 | ||||||
| 1,195 | 5.250%, 09/15/39 | 1,252 | ||||||
| 9,500 | 5.500%, 07/18/17 | 10,877 | ||||||
Tennessee Valley Authority STRIP, | ||||||||
| 7,506 | 01/15/19 | 5,540 | ||||||
| 12,000 | 05/01/19 | 8,698 | ||||||
Total U.S. Government Agency Securities | 299,082 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 27.6% | |||||||
U.S. Treasury Bonds, | ||||||||
| 3,100 | 4.500%, 02/15/36 | 3,141 | ||||||
| 650 | 5.250%, 11/15/28 | 736 | ||||||
| 3,500 | 5.375%, 02/15/31 | 4,023 | ||||||
| 12,350 | 5.500%, 08/15/28 | 14,380 | ||||||
| 4,300 | 6.000%, 02/15/26 | 5,267 | ||||||
| 2,050 | 6.125%, 11/15/27 | 2,548 | ||||||
| 1,000 | 6.250%, 08/15/23 | 1,248 | ||||||
| 4,750 | 6.375%, 08/15/27 | 6,050 | ||||||
| 7,550 | 6.500%, 11/15/26 | 9,708 | ||||||
| 5,100 | 6.625%, 02/15/27 | 6,643 | ||||||
| 6,800 | 6.750%, 08/15/26 | 8,944 | ||||||
| 14,620 | 7.125%, 02/15/23 | 19,490 | ||||||
| 24,490 | 7.250%, 08/15/22 (m) | 32,885 | ||||||
| 155,592 | 7.500%, 11/15/16 (m) | 198,283 | ||||||
| 8,717 | 7.875%, 02/15/21 (m) | 12,069 | ||||||
| 8,000 | 8.000%, 11/15/21 | 11,229 | ||||||
| 137,482 | 8.125%, 08/15/19 | 189,693 | ||||||
| 16,650 | 8.125%, 05/15/21 | 23,450 | ||||||
| 48,180 | 8.500%, 02/15/20 | 68,359 | ||||||
| 48,690 | 8.750%, 05/15/17 (m) | 66,207 | ||||||
| 17,400 | 8.750%, 05/15/20 | 25,109 | ||||||
| 64,589 | 8.750%, 08/15/20 | 93,558 | ||||||
| 287,175 | 8.875%, 08/15/17 (m) | 395,135 | ||||||
| 69,368 | 8.875%, 02/15/19 | 98,779 | ||||||
| 21,500 | 9.000%, 11/15/18 | 30,684 | ||||||
| 9,594 | 9.875%, 11/15/15 (m) | 13,031 | ||||||
| 11,250 | 10.625%, 08/15/15 | 15,501 | ||||||
| 3,650 | 11.250%, 02/15/15 (m) | 5,005 | ||||||
| 10,109 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 (m) | 17,528 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
| 1,000 | 2.000%, 04/15/12 | 1,128 | ||||||
| 12,000 | 2.000%, 01/15/14 | 15,472 | ||||||
| 2,000 | 2.000%, 07/15/14 | 2,548 | ||||||
| 141,755 | 2.375%, 04/15/11 | 157,520 | ||||||
U.S. Treasury Notes, | ||||||||
| 10,000 | 1.250%, 02/15/14 | 10,025 | ||||||
| 8,050 | 1.375%, 09/15/12 | 8,160 | ||||||
| 20,060 | 1.375%, 10/15/12 | 20,335 | ||||||
| 15,990 | 1.375%, 11/15/12 | 16,209 | ||||||
| 2,700 | 1.375%, 02/15/13 | 2,737 | ||||||
| 15,000 | 1.750%, 04/15/13 | 15,318 | ||||||
| 20,500 | 1.750%, 03/31/14 | 20,839 | ||||||
| 12,000 | 1.875%, 02/28/14 | 12,252 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued | |||||||
| 35,980 | 2.125%, 12/31/15 | 36,078 | ||||||
| 5,475 | 2.250%, 11/30/17 | 5,305 | ||||||
| 26,600 | 2.375%, 10/31/14 | 27,423 | ||||||
| 6,000 | 2.375%, 02/28/15 | 6,165 | ||||||
| 25,000 | 2.375%, 03/31/16 | 25,242 | ||||||
| 10,000 | 2.500%, 06/30/17 | 9,931 | ||||||
| 5,000 | 2.625%, 06/30/14 | 5,211 | ||||||
| 121,450 | 2.625%, 07/31/14 | 126,545 | ||||||
| 239,500 | 2.625%, 12/31/14 | 248,799 | ||||||
| 19,000 | 2.625%, 02/29/16 | 19,444 | ||||||
| 36,325 | 2.625%, 04/30/16 | 37,071 | ||||||
| 26,000 | 2.625%, 01/31/18 | 25,710 | ||||||
| 170,925 | 2.750%, 05/31/17 | 172,474 | ||||||
| 42,090 | 2.750%, 12/31/17 | 42,028 | ||||||
| 169,500 | 3.125%, 10/31/16 | 176,068 | ||||||
| 20,000 | 3.125%, 01/31/17 | 20,708 | ||||||
| 144,765 | 3.125%, 04/30/17 | 149,425 | ||||||
| 252,792 | 3.125%, 05/15/19 | 253,601 | ||||||
| 241,700 | 3.250%, 12/31/16 | 252,104 | ||||||
| 76,500 | 3.250%, 03/31/17 | 79,608 | ||||||
| 5,000 | 3.500%, 02/15/18 | 5,225 | ||||||
| 77,000 | 4.250%, 11/15/17 | 84,291 | ||||||
| 62,060 | 4.500%, 05/15/17 | 69,008 | ||||||
| 9,500 | 4.625%, 02/15/17 | 10,640 | ||||||
| 136,865 | 4.750%, 08/15/17 | 154,187 | ||||||
U.S. Treasury STRIPS, | ||||||||
| 4,575 | 08/15/11 | 4,571 | ||||||
| 239 | 02/15/12 | 238 | ||||||
| 399 | 08/15/12 | 396 | ||||||
| 26,132 | 11/15/12 | 25,859 | ||||||
| 17,062 | 02/15/13 | 16,814 | ||||||
| 31,374 | 08/15/13 | 30,630 | ||||||
| 10,750 | 11/15/13 | 10,446 | ||||||
| 89,776 | 02/15/14 (m) | 86,639 | ||||||
| 73,063 | 05/15/14 (m) | 69,981 | ||||||
| 57,062 | 08/15/14 (m) | 54,268 | ||||||
| 33,961 | 11/15/14 | 32,017 | ||||||
| 40,209 | 02/15/15 (m) | 37,593 | ||||||
| 9,895 | 05/15/15 | 9,165 | ||||||
| 15,750 | 08/15/15 | 14,467 | ||||||
| 4,941 | 08/15/15 | 4,532 | ||||||
| 7,010 | 11/15/15 | 6,374 | ||||||
| 38,361 | 11/15/15 | 34,826 | ||||||
| 94,812 | 02/15/16 (m) | 85,086 | ||||||
| 32,950 | 05/15/16 | 29,229 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 44,427 | 08/15/16 | 38,894 | ||||||
| 14,200 | 11/15/16 | 12,324 | ||||||
| 46,981 | 11/15/16 | 40,680 | ||||||
| 105,058 | 02/15/17 | 89,802 | ||||||
| 24,158 | 05/15/17 | 20,479 | ||||||
| 42,303 | 08/15/17 | 35,363 | ||||||
| 90,980 | 11/15/17 | 75,111 | ||||||
| 33,450 | 02/15/18 | 27,276 | ||||||
| 15,500 | 05/15/18 | 12,495 | ||||||
| 41,786 | 08/15/18 | 33,293 | ||||||
| 11,475 | 02/15/19 | 8,945 | ||||||
| 11,897 | 02/15/19 | 9,240 | ||||||
| 105,365 | 05/15/19 | 80,744 | ||||||
| 182,720 | 08/15/19 | 138,120 | ||||||
| 11,000 | 02/15/20 | 8,082 | ||||||
| 4,550 | 05/15/20 | 3,308 | ||||||
| 92,400 | 05/15/20 | 66,839 | ||||||
| 103,900 | 08/15/20 | 74,086 | ||||||
| 8,550 | 11/15/20 | 6,018 | ||||||
| 1,000 | 02/15/21 | 694 | ||||||
| 31,800 | 08/15/21 | 21,409 | ||||||
| 55,600 | 11/15/21 | 36,836 | ||||||
| 17,208 | 02/15/22 | 11,237 | ||||||
| 7,869 | 02/15/23 | 4,842 | ||||||
| 1,200 | 02/15/24 | 697 | ||||||
| 7,000 | 05/15/24 | 4,008 | ||||||
| 5,925 | 08/15/24 | 3,341 | ||||||
| 20,400 | 11/15/24 | 11,321 | ||||||
| 5,800 | 02/15/25 | 3,172 | ||||||
| 2,700 | 05/15/25 | 1,454 | ||||||
| 16,000 | 08/15/25 | 8,488 | ||||||
| 7,300 | 02/15/26 | 3,757 | ||||||
| 22,300 | 05/15/26 | 11,307 | ||||||
| 25,050 | 11/15/26 | 12,318 | ||||||
| 10,800 | 02/15/27 | 5,239 | ||||||
| 28,300 | 05/15/27 | 13,534 | ||||||
| 31,300 | 08/15/27 | 14,759 | ||||||
| 24,650 | 11/15/27 | 11,454 | ||||||
| 37,050 | 02/15/28 | 16,972 | ||||||
| 9,300 | 05/15/28 | 4,199 | ||||||
| 5,900 | 08/15/28 | 2,630 | ||||||
| 800 | 11/15/28 | 352 | ||||||
| 20,115 | 02/15/29 | 8,747 | ||||||
| 3,200 | 05/15/29 | 1,372 | ||||||
| 2,800 | 08/15/29 | 1,184 | ||||||
| 9,120 | 11/15/29 | 3,805 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 73 | ||||||
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued | |||||||
| 40,600 | 02/15/30 | 16,700 | ||||||
| 18,000 | 05/15/30 | 7,301 | ||||||
| 6,500 | 08/15/30 | 2,601 | ||||||
| 12,100 | 02/15/31 | 4,721 | ||||||
| 5,300 | 05/15/31 | 2,041 | ||||||
| 14,125 | 08/15/31 | 5,369 | ||||||
| 7,700 | 11/15/31 | 2,891 | ||||||
| 9,425 | 02/15/32 | 3,493 | ||||||
| 1,700 | 08/15/32 | 614 | ||||||
| 5,000 | 11/15/32 | 1,776 | ||||||
| 2,875 | 08/15/33 | 983 | ||||||
| 1,050 | 05/15/34 | 345 | ||||||
| 2,100 | 11/15/34 | 673 | ||||||
| 10,500 | 02/15/35 | 3,324 | ||||||
| 1,700 | 08/15/35 | 524 | ||||||
| 1,175 | 05/15/36 | 348 | ||||||
Total U.S. Treasury Obligations | 5,310,579 | |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stock — 0.0% (g) |
| ||||||
Utilities — 0.0% (g) |
| |||||||
Independent Power Producers & |
| |||||||
| — | (h) | Dynegy, Inc. | 1 | |||||
| Short-Term Investments— 1.1% |
| ||||||
Investment Companies — 1.1% |
| |||||||
| 220,223 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 220,223 | ||||||
| 1 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1 | ||||||
Total Investment Companies | 220,224 | |||||||
Total Short-Term Investments | 220,224 | |||||||
Total Investments —99.4% | 19,158,088 | |||||||
Other Assets in Excess of | 100,389 | |||||||
NET ASSETS — 100.0% | $ | 19,258,477 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — 2.7% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
| 1,280 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,283 | ||||||
| 2,773 | Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 2,784 | ||||||
Ally Auto Receivables Trust, | ||||||||
| 1,465 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 1,478 | ||||||
| 565 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 560 | ||||||
| 355 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 355 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
| 1,510 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 1,611 | ||||||
| 270 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 272 | ||||||
Ameriquest Mortgage Securities, Inc., | ||||||||
| 1,429 | Series 2003-5, Class A6, SUB, 4.541%, 04/25/33 | 1,289 | ||||||
| 677 | Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 674 | ||||||
| 37 | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13 | 32 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
| 903 | Series 2003-SD2, Class 2A, VAR, 3.163%, 06/25/43 | 885 | ||||||
| 1,411 | Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 1,075 | ||||||
Centex Home Equity, | ||||||||
| 549 | Series 2001-B, Class A6, 6.360%, 07/25/32 | 552 | ||||||
| 435 | Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 409 | ||||||
| 135 | Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32 | 128 | ||||||
| 1,040 | Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 1,030 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
| 609 | Series 2003-5, Class 1A4, 4.396%, 02/25/30 | 606 | ||||||
| 713 | Series 2003-6, Class 1A4, 4.499%, 11/25/34 | 710 | ||||||
| 1,372 | Citibank Credit Card Issuance Trust, | 1,609 | ||||||
| 966 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33 | 947 | ||||||
| 2,067 | CNH Equipment Trust, Series 2010-A, | 2,082 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| 8 | Series 2004-1, Class 3A, VAR, 0.542%, 04/25/34 | 6 | ||||||
| 590 | Series 2004-1, Class M1, VAR, 0.762%, 03/25/34 | 485 | ||||||
| 480 | Series 2004-1, Class M2, VAR, 0.812%, 03/25/34 | 409 | ||||||
| 1,539 | Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 | 1,165 | ||||||
| 230 | Series 2004-13, Class MV8, VAR, 1.961%, 01/25/35 (f) (i) | 14 | ||||||
| 354 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 253 | ||||||
| 99 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 94 | ||||||
| 635 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 697 | ||||||
| 3,000 | Distressed Asset Portfolio I, LLC, 3.500%, 12/31/15 (f) (i) | 3,000 | ||||||
| 1,817 | Equity One ABS, Inc., Series 2003-2, Class M1, VAR, 5.050%, 09/25/33 | 1,671 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| 76 | Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25 | 80 | ||||||
| 138 | Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25 | 138 | ||||||
| 1,916 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF9, Class A3, VAR, 0.542%, 10/25/35 | 1,869 | ||||||
| 1,421 | GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29 | 1,494 | ||||||
| 6 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 0.521%, 11/25/35 | 6 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
| 244 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 225 | ||||||
| 977 | Series 2005-2, Class M1, VAR, 0.722%, 01/20/35 | 909 | ||||||
| 977 | Series 2005-2, Class M2, VAR, 0.752%, 01/20/35 | 857 | ||||||
| 361 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 334 | ||||||
| 874 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 829 | ||||||
| 437 | Series 2006-3, Class A2F, SUB, 5.660%, 03/20/36 | 439 | ||||||
| 1,075 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 1,122 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 75 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — Continued |
| ||||||
| 250 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 256 | ||||||
| 1,455 | Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36 | 1,480 | ||||||
| 1,105 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 1,022 | ||||||
| 1,539 | Lake Country Mortgage Loan Trust, | 1,490 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
| 375 | Series 2004-1, Class M3, VAR, 1.312%, 02/25/34 | 327 | ||||||
| 20 | Series 2004-2, Class B, VAR, 3.761%, 06/25/34 (e) (f) (i) | 4 | ||||||
| 56 | Series 2004-5, Class M6, VAR, 2.761%, 09/25/34 (f) (i) | 7 | ||||||
| 1,144 | Morgan Stanley ABS Capital I, | 749 | ||||||
New Century Home Equity Loan Trust, | ||||||||
| 1,000 | Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 979 | ||||||
| 610 | Series 2005-1, Class M1, VAR, 0.712%, 03/25/35 | 479 | ||||||
| 2,400 | Park Place Securities, Inc., | 2,236 | ||||||
| 2,100 | Residential Asset Securities Corp., | 1,967 | ||||||
| 680 | Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28 | 674 | ||||||
| 1,435 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 1,238 | ||||||
| 99 | Soundview Home Equity Loan Trust, | 87 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
| 2,500 | Series 2003-BC10, Class A4, VAR, 1.262%, 10/25/33 | 2,149 | ||||||
| 1,500 | Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 | 1,402 | ||||||
| 42 | Structured Asset Securities Corp., | 38 | ||||||
| 211 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 219 | ||||||
| 1,500 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 1,477 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| 295 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 303 | ||||||
Total Asset-Backed Securities | 55,050 | |||||||
| Collateralized Mortgage Obligations — 21.6% |
| ||||||
Agency CMO — 13.3% |
| |||||||
| 694 | Federal Home Loan Bank, Series 2000-0606, Class Y, 5.270%, 12/28/12 | 731 | ||||||
Federal Home Loan Mortgage Corp. — Government National Mortgage Association, | ||||||||
| 214 | Series 23, Class KZ, 6.500%, 11/25/23 | 240 | ||||||
| 1,539 | Series 24, Class J, 6.250%, 11/25/23 | 1,655 | ||||||
| 276 | Series 31, Class Z, 8.000%, 04/25/24 | 311 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 34 | Series 11, Class D, 9.500%, 07/15/19 | 36 | ||||||
| 20 | Series 38, Class D, 9.500%, 05/15/20 | 23 | ||||||
| 9 | Series 81, Class A, 8.125%, 11/15/20 | 11 | ||||||
| 24 | Series 84, Class F, 9.200%, 10/15/20 | 27 | ||||||
| 12 | Series 109, Class I, 9.100%, 01/15/21 | 14 | ||||||
| 4 | Series 198, Class Z, 8.500%, 09/15/22 | 4 | ||||||
| — | (h) | Series 1254, Class N, 8.000%, 04/15/22 | — | (h) | ||||
| 160 | Series 1316, Class Z, 8.000%, 06/15/22 | 180 | ||||||
| 57 | Series 1343, Class LB, 7.500%, 08/15/22 | 68 | ||||||
| 2 | Series 1351, Class TF, HB, 1,010.000%, 08/15/22 | 41 | ||||||
| 110 | Series 1456, Class Z, 7.500%, 01/15/23 | 124 | ||||||
| 805 | Series 1543, Class VN, 7.000%, 07/15/23 | 912 | ||||||
| 16 | Series 1556, Class H, 6.500%, 08/15/13 | 17 | ||||||
| 420 | Series 1577, Class PV, 6.500%, 09/15/23 | 453 | ||||||
| 55 | Series 1595, Class D, 7.000%, 10/15/13 | 57 | ||||||
| 1,266 | Series 1611, Class Z, 6.500%, 11/15/23 | 1,394 | ||||||
| 1,366 | Series 1628, Class LZ, 6.500%, 12/15/23 | 1,500 | ||||||
| 625 | Series 1630, Class PK, 6.000%, 11/15/23 | 686 | ||||||
| 1,000 | Series 1671, Class I, 7.000%, 02/15/24 | 1,130 | ||||||
| 16 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 20 | ||||||
| 111 | Series 1695, Class G, HB, IF, 24.659%, 03/15/24 | 169 | ||||||
| 68 | Series 1710, Class GB, HB, IF, 37.152%, 04/15/24 | 117 | ||||||
| 286 | Series 1911, Class SD, IF, IO, 10.169%, 07/15/23 | 87 | ||||||
| 151 | Series 2022, Class PE, 6.500%, 01/15/28 | 167 | ||||||
| 1,079 | Series 2033, Class K, 6.050%, 08/15/23 | 1,115 | ||||||
| 893 | Series 2036, Class PG, 6.500%, 01/15/28 | 920 | ||||||
| 310 | Series 2055, Class OE, 6.500%, 05/15/13 | 310 | ||||||
| 135 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 29 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 3,103 | Series 2091, Class PG, 6.000%, 11/15/28 | 3,353 | ||||||
| 215 | Series 2148, Class ZA, 6.000%, 04/15/29 | 231 | ||||||
| 391 | Series 2201, Class C, 8.000%, 11/15/29 | 474 | ||||||
| 115 | Series 2261, Class ZY, 7.500%, 10/15/30 | 129 | ||||||
| 1,103 | Series 2293, Class ZA, 6.000%, 03/15/31 | 1,211 | ||||||
| 124 | Series 2297, Class NB, 6.000%, 03/15/16 | 131 | ||||||
| 176 | Series 2310, Class Z, 6.000%, 04/15/31 | 189 | ||||||
| 67 | Series 2313, Class LA, 6.500%, 05/15/31 | 73 | ||||||
| 563 | Series 2325, Class JO, PO, 06/15/31 | 508 | ||||||
| 1,548 | Series 2330, Class PE, 6.500%, 06/15/31 | 1,656 | ||||||
| 462 | Series 2344, Class QG, 6.000%, 08/15/16 | 496 | ||||||
| 558 | Series 2345, Class PQ, 6.500%, 08/15/16 | 594 | ||||||
| 414 | Series 2368, Class TG, 6.000%, 10/15/16 | 443 | ||||||
| 880 | Series 2394, Class MC, 6.000%, 12/15/16 | 948 | ||||||
| 329 | Series 2399, Class PG, 6.000%, 01/15/17 | 354 | ||||||
| 300 | Series 2410, Class QB, 6.250%, 02/15/32 | 338 | ||||||
| 842 | Series 2430, Class WF, 6.500%, 03/15/32 | 931 | ||||||
| 894 | Series 2466, Class DH, 6.500%, 06/15/32 | 983 | ||||||
| 2,528 | Series 2530, Class SK, IF, IO, 7.834%, 06/15/29 | 448 | ||||||
| 303 | Series 2534, Class SI, HB, IF, 20.369%, 02/15/32 | 441 | ||||||
| 2,000 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,192 | ||||||
| 2,890 | Series 2545, Class SQ, IF, IO, 7.334%, 05/15/17 | 170 | ||||||
| 817 | Series 2557, Class HL, 5.300%, 01/15/33 | 884 | ||||||
| 1,864 | Series 2586, Class IO, IO, 6.500%, 03/15/33 | 377 | ||||||
| 1,816 | Series 2587, Class XS, IF, IO, 7.384%, 09/15/17 | 127 | ||||||
| 533 | Series 2594, Class IV, IO, 7.000%, 03/15/32 | 111 | ||||||
| 141 | Series 2602, Class BX, 3.500%, 12/15/22 | 145 | ||||||
| 1,716 | Series 2610, Class UI, IO, 6.500%, 05/15/33 | 368 | ||||||
| 1,515 | Series 2613, Class H, 4.500%, 05/15/18 | 1,613 | ||||||
| 2,000 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,124 | ||||||
| 77 | Series 2630, Class KX, 4.050%, 06/15/18 | 77 | ||||||
| 1,506 | Series 2630, Class S, IF, IO, 6.884%, 01/15/17 | 47 | ||||||
| 4,342 | Series 2636, Class Z, 4.500%, 06/15/18 | 4,603 | ||||||
| 3,488 | Series 2641, Class SK, IF, IO, 6.884%, 01/15/18 | 322 | ||||||
| 152 | Series 2643, Class SA, HB, IF, 43.773%, 03/15/32 | 276 | ||||||
| 194 | Series 2650, Class PO, PO, 12/15/32 | 180 | ||||||
| 194 | Series 2650, Class SO, PO, 12/15/32 | 181 | ||||||
| 586 | Series 2656, Class AC, 6.000%, 08/15/33 | 641 | ||||||
| 1,375 | Series 2656, Class PE, 4.500%, 07/15/18 | 1,453 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
| 1,134 | Series 2658, Class A, 4.500%, 08/15/18 | 1,172 | ||||||
| 479 | Series 2668, Class SB, IF, 6.964%, 10/15/15 | 487 | ||||||
| 631 | Series 2686, Class GB, 5.000%, 05/15/20 | 641 | ||||||
| 757 | Series 2695, Class OB, PO, 10/15/33 | 664 | ||||||
| 1,268 | Series 2701, Class ST, IF, IO, 6.734%, 08/15/21 | 62 | ||||||
| 1,428 | Series 2707, Class KA, 4.500%, 11/15/18 | 1,521 | ||||||
| 695 | Series 2707, Class KJ, 5.000%, 11/15/18 | 741 | ||||||
| 5,000 | Series 2708, Class N, 4.000%, 11/15/18 | 5,264 | ||||||
| 173 | Series 2717, Class BA, 6.000%, 11/15/30 | 176 | ||||||
| 705 | Series 2733, Class SB, IF, 7.771%, 10/15/33 | 762 | ||||||
| 1,050 | Series 2736, Class PD, 5.000%, 03/15/32 | 1,112 | ||||||
| 263 | Series 2755, Class SA, IF, 13.669%, 05/15/30 | 294 | ||||||
| 1,264 | Series 2756, Class NA, 5.000%, 02/15/24 | 1,357 | ||||||
| 2,000 | Series 2764, Class OE, 4.500%, 03/15/19 | 2,136 | ||||||
| 360 | Series 2764, Class S, IF, 13.086%, 07/15/33 | 392 | ||||||
| 240 | Series 2776, Class SK, IF, 8.676%, 04/15/34 | 230 | ||||||
| 985 | Series 2779, Class SM, IF, IO, 6.884%, 10/15/18 | 80 | ||||||
| 174 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 178 | ||||||
| 1,000 | Series 2845, Class QH, 5.000%, 08/15/34 | 959 | ||||||
| 1,540 | Series 2864, Class NB, 5.500%, 07/15/33 | 1,689 | ||||||
| 4,033 | Series 2864, Class NS, IF, IO, 6.834%, 09/15/34 | 565 | ||||||
| 1,610 | Series 2888, Class IN, IO, 5.000%, 10/15/18 | 77 | ||||||
| 1,502 | Series 2912, Class EH, 5.500%, 01/15/35 | 1,611 | ||||||
| 178 | Series 2915, Class SY, IF, 15.585%, 01/15/35 | 182 | ||||||
| 511 | Series 2931, Class GA, 5.000%, 11/15/28 | 521 | ||||||
| 134 | Series 2980, Class QB, 6.500%, 05/15/35 | 148 | ||||||
| 325 | Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 | 442 | ||||||
| 4,212 | Series 2994, Class SC, IF, IO, 5.334%, 02/15/33 | 388 | ||||||
| 753 | Series 2995, Class FT, VAR, 0.516%, 05/15/29 | 751 | ||||||
| 457 | Series 3005, Class PV, IF, 12.311%, 10/15/33 | 521 | ||||||
| 485 | Series 3006, Class XD, IF, IO, 6.334%, 07/15/35 | 8 | ||||||
| 1,287 | Series 3028, Class ME, 5.000%, 02/15/34 | 1,356 | ||||||
| 504 | Series 3031, Class BN, HB, IF, 20.833%, 08/15/35 | 568 | ||||||
| 982 | Series 3059, Class B, 5.000%, 02/15/35 | 1,033 | ||||||
| 1,000 | Series 3064, Class OG, 5.500%, 06/15/34 | 1,088 | ||||||
| 168 | Series 3068, Class AO, PO, 01/15/35 | 161 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 77 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 2,409 | Series 3080, Class TZ, 5.500%, 02/15/33 | 2,536 | ||||||
| 952 | Series 3117, Class EO, PO, 02/15/36 | 821 | ||||||
| 467 | Series 3134, Class PO, PO, 03/15/36 | 407 | ||||||
| 552 | Series 3138, Class PO, PO, 04/15/36 | 492 | ||||||
| 1,505 | Series 3151, Class PD, 6.000%, 11/15/34 | 1,629 | ||||||
| 1,241 | Series 3152, Class MO, PO, 03/15/36 | 1,095 | ||||||
| 1,800 | Series 3189, Class PC, 6.000%, 08/15/35 | 1,967 | ||||||
| 4,943 | Series 3201, Class IN, IF, IO, 5.984%, 08/15/36 | 779 | ||||||
| 6,126 | Series 3202, Class HI, IF, IO, 6.384%, 08/15/36 | 939 | ||||||
| 785 | Series 3219, Class OD, 6.000%, 06/15/33 | 845 | ||||||
| 53 | Series 3269, Class WF, VAR, 0.000%, 01/15/37 | 51 | ||||||
| 2,000 | Series 3274, Class B, 6.000%, 02/15/37 | 2,207 | ||||||
| 1,087 | Series 3292, Class DO, PO, 03/15/37 | 946 | ||||||
| 5,854 | Series 3305, Class IW, IF, IO, 6.184%, 04/15/37 | 814 | ||||||
| 364 | Series 3306, Class TB, IF, 3.016%, 04/15/37 | 343 | ||||||
| 321 | Series 3306, Class TC, IF, 2.476%, 04/15/37 | 298 | ||||||
| 648 | Series 3331, Class PO, PO, 06/15/37 | 565 | ||||||
| 1,550 | Series 3336, Class GD, 5.000%, 04/15/36 | 1,639 | ||||||
| 5,225 | Series 3369, Class SB, IF, IO, 6.154%, 09/15/37 | 647 | ||||||
| 2,585 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 46 | ||||||
| 2,486 | Series 3531, Class SM, IF, IO, 5.834%, 05/15/39 | 330 | ||||||
| 495 | Series 3542, Class TN, IF, 6.000%, 07/15/36 | 476 | ||||||
| 661 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 704 | ||||||
| 1,395 | Series 3572, Class JS, IF, IO, 6.534%, 09/15/39 | 201 | ||||||
| 1,086 | Series 3605, Class NC, 5.500%, 06/15/37 | 1,153 | ||||||
| 3,223 | Series 3609, Class SA, IF, IO, 6.074%, 12/15/39 | 624 | ||||||
| 885 | Series 3611, Class PO, PO, 07/15/34 | 774 | ||||||
| 1,850 | Series 3620, Class TV, 5.500%, 12/15/20 | 1,995 | ||||||
| 1,026 | Series 3688, Class GT, VAR, 7.155%, 11/15/46 | 1,136 | ||||||
| 721 | Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27 | 622 | ||||||
| 943 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | 947 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
| 60,228 | Series 2001-T12, Class IO, IO, VAR, 0.539%, 08/25/41 | 1,308 | ||||||
| 1,313 | Series 2002-T19, Class A1, 6.500%, 07/25/42 | 1,447 | ||||||
| 107,406 | Series 2002-T4, Class IO, IO, VAR, 0.443%, 12/25/41 | 885 | ||||||
| 746 | Series 2004-T2, Class 1A3, 7.000%, 11/25/43 | 826 | ||||||
| 891 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 998 | ||||||
| 12,227 | Series 2004-T3, Class 1IO4, IO, VAR, 0.599%, 02/25/44 | 223 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
| 4,668 | Series 203, Class 2, IO, 8.000%, 02/01/23 | 1,011 | ||||||
| 788 | Series 266, Class 2, IO, 7.500%, 08/01/24 | 156 | ||||||
| 1,406 | Series 348, Class 30, IO, 5.500%, 12/01/18 | 163 | ||||||
| 1,359 | Series 348, Class 31, IO, VAR, 5.500%, 12/01/18 | 159 | ||||||
| 1,114 | Series 356, Class 42, IO, 5.500%, 12/01/19 | 138 | ||||||
| 2,684 | Series 380, Class S36, IF, IO, 7.639%, 07/25/37 | 390 | ||||||
| 1,454 | Series 383, Class 68, IO, 6.500%, 09/01/37 | 255 | ||||||
| 2,258 | Series 383, Class 69, IO, VAR, 6.500%, 10/01/37 | 417 | ||||||
| 659 | Series 383, Class 86, IO, VAR, 7.000%, 09/01/37 | 102 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 16 | Series 1988-13, Class C, 9.300%, 05/25/18 | 19 | ||||||
| 153 | Series 1989-72, Class E, 9.350%, 10/25/19 | 175 | ||||||
| 6 | Series 1989-98, Class H, 11.500%, 12/25/19 | 7 | ||||||
| 8 | Series 1990-1, Class D, 8.800%, 01/25/20 | 9 | ||||||
| 11 | Series 1990-110, Class H, 8.750%, 09/25/20 | 12 | ||||||
| 8 | Series 1990-117, Class E, 8.950%, 10/25/20 | 9 | ||||||
| 88 | Series 1991-141, Class PZ, 8.000%, 10/25/21 | 100 | ||||||
| 43 | Series 1992-31, Class M, 7.750%, 03/25/22 | 52 | ||||||
| 49 | Series 1992-79, Class Z, 9.000%, 06/25/22 | 55 | ||||||
| 35 | Series 1992-101, Class J, 7.500%, 06/25/22 | 37 | ||||||
| 448 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 501 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 522 | Series 1992-200, Class SK, HB, IF, 21.576%, 11/25/22 | 764 | ||||||
| 37 | Series 1993-23, Class PZ, 7.500%, 03/25/23 | 42 | ||||||
| 292 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 324 | ||||||
| 159 | Series 1993-60, Class Z, 7.000%, 05/25/23 | 176 | ||||||
| 349 | Series 1993-79, Class PL, 7.000%, 06/25/23 | 387 | ||||||
| 546 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 627 | ||||||
| 276 | Series 1993-149, Class M, 7.000%, 08/25/23 | 306 | ||||||
| 1,048 | Series 1993-160, Class ZA, 6.500%, 09/25/23 | 1,160 | ||||||
| 96 | Series 1993-165, Class SA, IF, 19.159%, 09/25/23 | 131 | ||||||
| 10 | Series 1993-205, Class H, PO, 09/25/23 | 9 | ||||||
| 90 | Series 1993-247, Class SM, HB, IF, 24.179%, 12/25/23 | 136 | ||||||
| 99 | Series 1993-255, Class E, 7.100%, 12/25/23 | 110 | ||||||
| 120 | Series 1993-257, Class C, PO, 06/25/23 | 119 | ||||||
| 203 | Series 1994-1, Class L, 6.500%, 01/25/14 | 214 | ||||||
| 2,757 | Series 1994-23, Class PX, 6.000%, 08/25/23 | 3,037 | ||||||
| 137 | Series 1994-65, Class PK, PO, 04/25/24 | 121 | ||||||
| 421 | Series 1995-4, Class Z, 7.500%, 10/25/22 | 481 | ||||||
| 649 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 732 | ||||||
| 62 | Series 1996-59, Class K, 6.500%, 07/25/23 | 64 | ||||||
| 145 | Series 1997-11, Class E, 7.000%, 03/18/27 | 161 | ||||||
| 531 | Series 1997-20, Class D, 7.000%, 03/17/27 | 593 | ||||||
| 63 | Series 1997-27, Class J, 7.500%, 04/18/27 | 69 | ||||||
| 1,541 | Series 1997-37, Class SM, IF, IO, 7.719%, 12/25/22 | 327 | ||||||
| 500 | Series 1997-42, Class EG, 8.000%, 07/18/27 | 610 | ||||||
| 901 | Series 1997-63, Class ZA, 6.500%, 09/18/27 | 995 | ||||||
| 767 | Series 1998-66, Class FB, VAR, 0.611%, 12/25/28 | 768 | ||||||
| 1,429 | Series 1999-47, Class JZ, 8.000%, 09/18/29 | 1,742 | ||||||
| 435 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 489 | ||||||
| 693 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 750 | ||||||
| 213 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 222 | ||||||
| 1,037 | Series 2001-14, Class Z, 6.000%, 05/25/31 | 1,136 | ||||||
| 1,242 | Series 2001-16, Class Z, 6.000%, 05/25/31 | 1,361 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
| 828 | Series 2001-36, Class ST, IF, IO, 8.238%, 11/25/30 | 146 | ||||||
| 3,156 | Series 2001-72, Class SB, IF, IO, 7.238%, 12/25/31 | 563 | ||||||
| 634 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 684 | ||||||
| 219 | Series 2002-19, Class SC, IF, 13.713%, 03/17/32 | 266 | ||||||
| 575 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 626 | ||||||
| 640 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 683 | ||||||
| 273 | Series 2002-73, Class AN, 5.000%, 11/25/17 | 291 | ||||||
| 488 | Series 2003-8, Class QD, 5.000%, 09/25/16 | 495 | ||||||
| 2,082 | Series 2003-14, Class EH, IF, IO, 7.338%, 03/25/18 | 252 | ||||||
| 1,100 | Series 2003-17, Class EQ, 5.500%, 03/25/23 | 1,196 | ||||||
| 1,000 | Series 2003-18, Class GT, 5.000%, 03/25/18 | 1,078 | ||||||
| 2,574 | Series 2003-30, Class IP, IO, 5.750%, 08/25/32 | 240 | ||||||
| 2,000 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,160 | ||||||
| 67 | Series 2003-60, Class DA, 4.250%, 06/25/21 | 68 | ||||||
| 1,369 | Series 2003-64, Class KS, IF, 9.309%, 07/25/18 | 1,496 | ||||||
| 391 | Series 2003-64, Class SX, IF, 13.100%, 07/25/33 | 425 | ||||||
| 1,110 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 1,150 | ||||||
| 2,000 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 2,132 | ||||||
| 67 | Series 2003-91, Class SD, IF, 12.064%, 09/25/33 | 73 | ||||||
| 1,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 1,065 | ||||||
| 2,000 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 2,117 | ||||||
| 3,182 | Series 2003-109, Class TS, IF, IO, 6.838%, 08/25/22 | 329 | ||||||
| 475 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 493 | ||||||
| 9,247 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 9,766 | ||||||
| 1,000 | Series 2004-8, Class GD, 4.500%, 10/25/32 | 1,051 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 79 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,047 | ||||||
| 113 | Series 2004-22, Class A, 4.000%, 04/25/19 | 118 | ||||||
| 1,000 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,054 | ||||||
| 652 | Series 2004-72, Class F, VAR, 0.762%, 09/25/34 | 654 | ||||||
| 474 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 | 18 | ||||||
| 1,000 | Series 2004-101, Class PD, 5.000%, 06/25/30 | 1,053 | ||||||
| 200 | Series 2005-42, Class PS, IF, 16.346%, 05/25/35 | 243 | ||||||
| 995 | Series 2005-51, Class MO, PO, 06/25/35 | 884 | ||||||
| 3,594 | Series 2005-53, Class CS, IF, IO, 6.438%, 06/25/35 | 605 | ||||||
| 2,275 | Series 2005-59, Class PC, 5.500%, 03/25/31 | 2,400 | ||||||
| 583 | Series 2005-65, Class KO, PO, 08/25/35 | 540 | ||||||
| 6,800 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 7,345 | ||||||
| 6,386 | Series 2005-72, Class WS, IF, IO, 6.488%, 08/25/35 | 809 | ||||||
| 1,407 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,533 | ||||||
| 443 | Series 2005-90, Class ES, IF, 16.221%, 10/25/35 | 539 | ||||||
| 1,094 | Series 2005-97, Class B, 5.500%, 11/25/35 | 1,176 | ||||||
| 466 | Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 | 645 | ||||||
| 594 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 642 | ||||||
| 438 | Series 2006-2, Class IG, IO, 6.000%, 06/25/32 | 6 | ||||||
| 2,812 | Series 2006-20, Class IB, IF, IO, 6.329%, 04/25/36 | 486 | ||||||
| 716 | Series 2006-22, Class AO, PO, 04/25/36 | 613 | ||||||
| 775 | Series 2006-27, Class OH, PO, 04/25/36 | 697 | ||||||
| 1,208 | Series 2006-46, Class LI, IO, 6.000%, 02/25/34 | 67 | ||||||
| 1,375 | Series 2006-59, Class QO, PO, 01/25/33 | 1,237 | ||||||
| 1,162 | Series 2006-61, Class AP, 6.000%, 08/25/35 | 1,249 | ||||||
| 59 | Series 2006-74, Class UT, IF, 10.500%, 08/25/36 | 60 | ||||||
| 2,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 2,790 | ||||||
| 1,902 | Series 2006-110, Class PO, PO, 11/25/36 | 1,660 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
| 429 | Series 2006-114, Class DS, VAR, 0.000%, 12/25/36 | 360 | ||||||
| 185 | Series 2006-115, Class OM, PO, 12/25/36 | 174 | ||||||
| 672 | Series 2006-128, Class PO, PO, 01/25/37 | 575 | ||||||
| 855 | Series 2007-10, Class Z, 6.000%, 02/25/37 | 925 | ||||||
| 2,559 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 305 | ||||||
| 1,990 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 2,085 | ||||||
| 937 | Series 2007-68, Class IA, IO, 6.500%, 06/25/37 | 191 | ||||||
| 1,600 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 1,691 | ||||||
| 559 | Series 2007-100, Class SM, IF, IO, 6.189%, 10/25/37 | 81 | ||||||
| 6,817 | Series 2008-62, Class SM, IF, IO, 5.938%, 07/25/38 | 983 | ||||||
| 852 | Series 2008-68, Class VK, 5.500%, 03/25/27 | 926 | ||||||
| 1,075 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 1,169 | ||||||
| 20,084 | Series 2008-91, Class SI, IF, IO, 5.739%, 03/25/38 | 2,393 | ||||||
| 1,497 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 139 | ||||||
| 1,432 | Series 2009-17, Class AI, IO, 5.000%, 03/25/24 | 157 | ||||||
| 3,496 | Series 2009-23, Class MI, IO, 4.500%, 04/25/24 | 338 | ||||||
| 1,616 | Series 2009-29, Class LA, VAR, 4.951%, 05/25/39 | 1,603 | ||||||
| 3,583 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 557 | ||||||
| 1,605 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 1,713 | ||||||
| 9,246 | Series 2009-112, Class ST, IF, IO, 5.988%, 01/25/40 | 1,090 | ||||||
| 6,078 | Series 2009-112, Class SW, IF, IO, 5.988%, 01/25/40 | 716 | ||||||
| 1,381 | Series 2010-10, Class NT, 5.000%, 02/25/40 | 1,438 | ||||||
| 1,859 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 1,984 | ||||||
| 13,413 | Series 2010-35, Class SB, IF, IO, 6.158%, 04/25/40 | 1,795 | ||||||
| 3,277 | Series 2010-43, Class CI, IO, 4.500%, 02/25/25 | 318 | ||||||
| 280 | Series 2010-45, Class PO, PO, 05/25/40 | 261 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 1,590 | Series 2010-49, Class SC, IF, 12.137%, 03/25/40 | 1,733 | ||||||
| 1,083 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 1,136 | ||||||
| 1,668 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 1,782 | ||||||
| 1,970 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 2,226 | ||||||
| 35 | Series G-29, Class O, 8.500%, 09/25/21 | 38 | ||||||
| 47 | Series G92-15, Class Z, 7.000%, 01/25/22 | 47 | ||||||
| 22 | Series G92-30, Class Z, 7.000%, 06/25/22 | 24 | ||||||
| 47 | Series G92-62, Class B, PO, 10/25/22 | 43 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| 1,003 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 1,160 | ||||||
| 14,230 | Series 2002-W10, Class IO, IO, VAR, 0.980%, 08/25/42 | 448 | ||||||
| 23,665 | Series 2002-W7, Class IO1, IO, VAR, 0.927%, 06/25/29 | 772 | ||||||
| 47 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 | 50 | ||||||
| 426 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 491 | ||||||
| 653 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 | 698 | ||||||
| 48,271 | Series 2004-W11, Class 1IO1, IO, VAR, 0.352%, 05/25/44 | 562 | ||||||
| 283 | Series 2004-W2, Class 1A3F, VAR, 0.611%, 02/25/44 | 280 | ||||||
| 361 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 429 | ||||||
| 1,053 | Series 2004-W6, Class 3A4, 6.500%, 07/25/34 | 1,176 | ||||||
| 830 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 943 | ||||||
| 1,250 | Series 2004-W9, Class 1A3, 6.050%, 02/25/44 | 1,431 | ||||||
| 1,548 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,733 | ||||||
Government National Mortgage Association, | ||||||||
| 192 | Series 1997-7, Class ZA, 9.000%, 05/16/27 | 220 | ||||||
| 218 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 244 | ||||||
| 2,870 | Series 1999-15, Class S, IF, IO, 7.935%, 05/16/29 | 524 | ||||||
| 49 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 57 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
| 530 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 603 | ||||||
| 330 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 375 | ||||||
| 251 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 283 | ||||||
| 194 | Series 2001-63, Class SI, HB, IF, 21.275%, 05/20/26 | 5 | ||||||
| 2,762 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 3,290 | ||||||
| 2,077 | Series 2002-13, Class QA, IF, IO, 7.785%, 02/16/32 | 389 | ||||||
| 1,195 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 1,362 | ||||||
| 67 | Series 2002-47, Class HM, 6.000%, 07/16/32 | 73 | ||||||
| 7,385 | Series 2002-68, Class SC, IF, IO, 5.435%, 10/16/32 | 1,012 | ||||||
| 1,880 | Series 2002-84, Class PH, 6.000%, 11/16/32 | 2,060 | ||||||
| 996 | Series 2003-4, Class TI, IO, 5.500%, 05/16/31 | 44 | ||||||
| 316 | Series 2003-52, Class SB, IF, 11.087%, 06/16/33 | 341 | ||||||
| 916 | Series 2003-79, Class PV, 5.500%, 10/20/23 | 1,003 | ||||||
| 6,000 | Series 2003-101, Class SK, IF, IO, 6.296%, 10/17/33 | 988 | ||||||
| 240 | Series 2004-2, Class SA, IF, 19.580%, 01/16/34 | 285 | ||||||
| 8,482 | Series 2004-59, Class SG, IF, IO, 6.237%, 07/20/34 | 1,192 | ||||||
| 62 | Series 2004-73, Class AE, IF, 14.311%, 08/17/34 | 73 | ||||||
| 4,077 | Series 2004-86, Class SP, IF, IO, 5.837%, 09/20/34 | 505 | ||||||
| 2,815 | Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 | 365 | ||||||
| 5,039 | Series 2004-105, Class SN, IF, IO, 5.837%, 12/20/34 | 655 | ||||||
| 8,382 | Series 2005-3, Class SD, IF, IO, 5.837%, 01/20/31 | 587 | ||||||
| 6,540 | Series 2005-48, Class CS, IF, IO, 6.037%, 04/20/33 | 581 | ||||||
| 523 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 89 | ||||||
| 9,753 | Series 2006-23, Class S, IF, IO, 6.237%, 01/20/36 | 1,215 | ||||||
| 7,207 | Series 2006-26, Class S, IF, IO, 6.237%, 06/20/36 | 795 | ||||||
| 723 | Series 2006-59, Class PC, 5.500%, 04/20/35 | 786 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 81 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 8,840 | Series 2007-7, Class EI, IF, IO, 5.937%, 02/20/37 | 1,036 | ||||||
| 3,984 | Series 2007-9, Class CI, IF, IO, 5.937%, 03/20/37 | 459 | ||||||
| 6,951 | Series 2007-16, Class KU, IF, IO, 6.387%, 04/20/37 | 988 | ||||||
| 486 | Series 2007-17, Class JO, PO, 04/16/37 | 432 | ||||||
| 1,000 | Series 2007-22, Class PK, 5.500%, 04/20/37 | 1,068 | ||||||
| 8,150 | Series 2007-24, Class SA, IF, IO, 6.247%, 05/20/37 | 1,103 | ||||||
| 2,589 | Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 | 302 | ||||||
| 1,849 | Series 2007-67, Class SI, IF, IO, 6.247%, 11/20/37 | 237 | ||||||
| 561 | Series 2008-29, Class PO, PO, 02/17/33 | 513 | ||||||
| 226 | Series 2008-34, Class OC, PO, 06/20/37 | 142 | ||||||
| 2,174 | Series 2008-40, Class PS, IF, IO, 6.235%, 05/16/38 | 329 | ||||||
| 4,107 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 676 | ||||||
| 587 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 627 | ||||||
| 11,912 | Series 2008-50, Class SA, IF, IO, 5.967%, 06/20/38 | 1,381 | ||||||
| 1,980 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 596 | ||||||
| 7,618 | Series 2009-16, Class SJ, IF, IO, 6.537%, 05/20/37 | 1,012 | ||||||
| 4,309 | Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 | 520 | ||||||
| 293 | Series 2009-75, Class IY, IO, 5.500%, 06/20/39 | 102 | ||||||
| 6,317 | Series 2009-77, Class CS, IF, IO, 6.735%, 06/16/38 | 893 | ||||||
| 1,265 | Series 2009-79, Class OK, PO, 11/16/37 | 1,108 | ||||||
| 2,699 | Series 2009-83, Class TS, IF, IO, 5.837%, 08/20/39 | 288 | ||||||
| 4,430 | Series 2009-106, Class XL, IF, IO, 6.487%, 06/20/37 | 606 | ||||||
| 6,290 | Series 2010-4, Class SB, IF, IO, 6.235%, 08/16/39 | 802 | ||||||
| 940 | Series 2010-14, Class DO, PO, 03/20/36 | 888 | ||||||
| 1,135 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 1,228 | ||||||
| 1,635 | Series 2010-31, Class SK, IF, IO, 5.837%, 11/20/34 | 213 | ||||||
| 1,636 | Series 2010-157, Class OP, PO, 12/20/40 | 1,243 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
NCUA Guaranteed Notes, | ||||||||
| 3,912 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 3,804 | ||||||
| 518 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 507 | ||||||
Vendee Mortgage Trust, | ||||||||
| 1,212 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,365 | ||||||
| 3,181 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,655 | ||||||
| 435 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 504 | ||||||
| 276,164 | ||||||||
Non-Agency CMO — 8.3% | ||||||||
ABN Amro Mortgage Corp., | ||||||||
| 812 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 827 | ||||||
| 378 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 388 | ||||||
Adjustable Rate Mortgage Trust, | ||||||||
| 1,646 | Series 2005-4, Class 7A2, VAR, 0.492%, 08/25/35 | 1,549 | ||||||
| 314 | Series 2005-5, Class 6A21, VAR, 0.492%, 09/25/35 | 265 | ||||||
American General Mortgage Loan Trust, | ||||||||
| 1,639 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,759 | ||||||
| 2,540 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 2,661 | ||||||
| 3,000 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 3,073 | ||||||
| 4,943 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 | 2,319 | ||||||
| 302 | ASG Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) | 309 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
| 685 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 686 | ||||||
| 726 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 738 | ||||||
Banc of America Funding Corp., | ||||||||
| 1,500 | Series 2005-5, Class 3A5, 5.500%, 08/25/35 | 1,261 | ||||||
| 515 | Series 2005-7, Class 30PO, PO, 11/25/35 | 298 | ||||||
| 2,095 | Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 | 2,070 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
| 2,030 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 2,081 | ||||||
| 945 | Series 2003-4, Class 1B1, 5.500%, 06/25/33 | 878 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
| 525 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 542 | ||||||
| 432 | Series 2004-2, Class 2A4, 5.500%, 03/25/34 | 406 | ||||||
| 3,593 | Series 2004-3, Class 2A1, 5.500%, 04/25/34 | 3,676 | ||||||
| 1,458 | Series 2004-5, Class 3A3, 5.000%, 06/25/19 | 1,526 | ||||||
| 608 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 621 | ||||||
| 742 | Series 2004-7, Class 2A2, 5.750%, 08/25/34 | 762 | ||||||
| 284 | Series 2004-8, Class XPO, PO, 10/25/34 | 214 | ||||||
| 18 | Series 2004-11, Class 15PO, PO, 01/25/20 | 15 | ||||||
| 995 | Series 2004-F, Class 1A1, VAR, 2.767%, 07/25/34 | 932 | ||||||
| 257 | Series 2005-1, Class 15PO, PO, 02/25/20 | 203 | ||||||
| 504 | Series 2005-1, Class 1A17, 5.500%, 02/25/35 | 493 | ||||||
| 1,695 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 1,726 | ||||||
| 229 | Series 2005-10, Class 15PO, PO, 11/25/20 | 181 | ||||||
| 360 | Series 2005-11, Class 15PO, PO, 12/25/20 | 286 | ||||||
| 323 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 325 | ||||||
BCAP LLC Trust, | ||||||||
| 517 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 525 | ||||||
| 1,699 | Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) | 1,605 | ||||||
| 1,639 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 1,675 | ||||||
| 1,731 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 1,738 | ||||||
| 347 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 342 | ||||||
| 9 | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 7.131%, 03/25/31 | 10 | ||||||
| 514 | Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.250%, 10/25/33 | 526 | ||||||
Chase Mortgage Finance Corp., | ||||||||
| 587 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 603 | ||||||
| 742 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 762 | ||||||
| 1,294 | Series 2004-S1, Class M, VAR, 5.091%, 02/25/19 | 1,263 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
Citicorp Mortgage Securities, Inc., | ||||||||
| 846 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 864 | ||||||
| 1,100 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,151 | ||||||
| 940 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 945 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
| 114 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 97 | ||||||
| 227 | Series 2004-HYB4, Class AA, VAR, 0.592%, 12/25/34 | 209 | ||||||
| 308 | Community Program Loan Trust, | 311 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
| 451 | Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 463 | ||||||
| 1,838 | Series 2004-16CB, Class 2A2, 5.000%, 08/25/19 | 1,838 | ||||||
| 439 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 443 | ||||||
| 1,558 | Series 2004-22CB, Class 1A1, 6.000%, 10/25/34 | 1,608 | ||||||
| 1,605 | Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35 | 1,627 | ||||||
| 573 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 583 | ||||||
| 800 | Series 2005-23CB, Class A2, 5.500%, 07/25/35 | 682 | ||||||
| 5,500 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 4,710 | ||||||
| 2,000 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 1,563 | ||||||
| 315 | Series 2005-J6, Class 2A1, 5.500%, 07/25/25 | 310 | ||||||
| 96 | Series 2005-J7, Class 1A9, 5.500%, 07/25/35 | 60 | ||||||
| 513 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 382 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
| 317 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 329 | ||||||
| 1,164 | Series 2003-40, Class A3, 4.500%, 10/25/18 | 1,179 | ||||||
| 1,293 | Series 2003-50, Class A1, 5.000%, 11/25/18 | 1,334 | ||||||
| 212 | Series 2003-J7, Class 2A13, 5.000%, 08/25/33 | 206 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 83 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
| 1,203 | Series 2004-3, Class A25, 5.750%, 04/25/34 | 1,159 | ||||||
| 2,728 | Series 2004-4, Class A13, 5.250%, 05/25/34 | 2,835 | ||||||
| 1,395 | Series 2004-5, Class 2A9, 5.250%, 05/25/34 | 1,460 | ||||||
| 9 | Series 2005-13, Class A1, 5.500%, 06/25/35 | 9 | ||||||
| 500 | Series 2005-13, Class A2, 5.500%, 06/25/35 | 501 | ||||||
| 1,380 | Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 | 1,110 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
| 889 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 897 | ||||||
| 1,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,380 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 398 | Series 2003-29, Class 8A1, 6.000%, 11/25/18 | 406 | ||||||
| 3,548 | Series 2004-4, Class 5A4, IF, IO, 7.288%, 08/25/34 | 460 | ||||||
| 1,000 | Series 2005-1, Class 1A16, 5.500%, 02/25/35 | 749 | ||||||
| 694 | Series 2005-7, Class 5A1, 4.750%, 08/25/20 | 705 | ||||||
| 480 | Series 2005-10, Class 10A4, 6.000%, 11/25/35 | 302 | ||||||
| 881 | Series 2005-10, Class 6A13, 5.500%, 11/25/35 | 754 | ||||||
| 223 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35 | 129 | ||||||
| 736 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.338%, 09/25/34 | 695 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
| 276 | Series 2003-8, Class 1A43, PO, 10/25/33 | 208 | ||||||
| 289 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 | 286 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
| 2,673 | Series 2003-J10, Class A1, 4.750%, 01/25/19 | 2,761 | ||||||
| 654 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 679 | ||||||
| 325 | Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 | 263 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
GSR Mortgage Loan Trust, | ||||||||
| 559 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 549 | ||||||
| 970 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 1,027 | ||||||
| 740 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 753 | ||||||
| 3,485 | Series 2005-2F, Class 1A5, 5.500%, 03/25/35 | 3,479 | ||||||
| 1,000 | Series 2007-2F, Class 2A7, 5.750%, 02/25/37 | 948 | ||||||
Impac CMB Trust, | ||||||||
| 1,661 | Series 2004-10, Class 3A1, VAR, 0.961%, 03/25/35 | 1,355 | ||||||
| 1,007 | Series 2004-10, Class 3A2, VAR, 1.061%, 03/25/35 | 489 | ||||||
| 30 | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33 | 31 | ||||||
JP Morgan Mortgage Trust, | ||||||||
| 2,456 | Series 2004-S1, Class 3A1, 5.500%, 09/25/34 | 2,551 | ||||||
| 1,416 | Series 2004-S2, Class 4A5, 6.000%, 11/25/34 | 1,392 | ||||||
| 1,518 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 1,483 | ||||||
| 1,430 | Series 2005-A2, Class 5A2, VAR, 4.295%, 04/25/35 | 1,435 | ||||||
| 2,017 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 2,009 | ||||||
| 385 | Series 2006-A2, Class 5A3, VAR, 2.974%, 11/25/33 | 389 | ||||||
| 432 | Series 2007-A1, Class 5A2, VAR, 2.968%, 07/25/35 | 417 | ||||||
| 1,159 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.305%, 08/26/35 (e) | 1,168 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
| 491 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 479 | ||||||
| 414 | Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 417 | ||||||
MASTR Alternative Loans Trust, | ||||||||
| 759 | Series 2003-7, Class 4A3, 8.000%, 11/25/18 | 777 | ||||||
| 353 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 357 | ||||||
| 992 | Series 2003-9, Class 5A1, 4.500%, 12/25/18 | 1,016 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
| 1,331 | Series 2004-6, Class 6A1, 6.500%, 07/25/34 | 1,397 | ||||||
| 208 | Series 2004-7, Class 30PO, PO, 08/25/34 | 149 | ||||||
| 101 | Series 2004-7, Class 3A1, 6.500%, 08/25/34 | 104 | ||||||
| 1,000 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 1,020 | ||||||
| 1,760 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,792 | ||||||
| 458 | Series 2004-11, Class 8A3, 5.500%, 11/25/19 | 437 | ||||||
| 80 | Series 2005-1, Class 5A1, 5.500%, 01/25/20 | 82 | ||||||
MASTR Asset Securitization Trust, | ||||||||
| 110 | Series 2003-6, Class 8A1, 5.500%, 07/25/33 | 112 | ||||||
| 648 | Series 2003-10, Class 3A1, 5.500%, 11/25/33 | 682 | ||||||
| 256 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 264 | ||||||
| 414 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 421 | ||||||
| 151 | Series 2004-6, Class 15PO, PO, 05/25/19 | 122 | ||||||
| 1,095 | Series 2004-6, Class 3A1, 5.250%, 07/25/19 | 1,120 | ||||||
| 542 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 563 | ||||||
| 241 | Series 2004-8, Class PO, PO, 08/25/19 | 199 | ||||||
| 434 | Series 2004-10, Class 1A1, 4.500%, 10/25/19 | 447 | ||||||
| 1,981 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 2,104 | ||||||
| 363 | MASTR Resecuritization Trust, | 247 | ||||||
| 1,683 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.542%, 08/25/35 | 1,535 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
| 1,139 | Series 2004-C, Class A2, VAR, 0.765%, 07/25/29 | 1,092 | ||||||
| 858 | Series 2004-D, Class A3, VAR, 2.231%, 08/25/29 | 830 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
| 1,698 | Series 2004-3, Class 4A, VAR, 5.653%, 04/25/34 | 1,805 | ||||||
| 583 | Series 2004-7AR, Class 2A6, VAR, 2.598%, 09/25/34 | 548 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
| 447 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.581%, 02/25/35 | 347 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
| 375 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 380 | ||||||
| 1,293 | Series 2005-AR1, Class 1A1, VAR, 2.786%, 02/25/35 | 1,030 | ||||||
Paine Webber CMO Trust, | ||||||||
| 11 | Series H, Class 4, 8.750%, 04/01/18 | 12 | ||||||
| 11 | Series L, Class 4, 8.950%, 07/01/18 | 12 | ||||||
| 894 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 943 | ||||||
Residential Accredit Loans, Inc., | ||||||||
| 1,047 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,065 | ||||||
| 546 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 547 | ||||||
| 4,000 | Series 2005-QS5, Class A4, 5.750%, 04/25/35 | 3,247 | ||||||
| 471 | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 359 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
| 960 | Series 2004-S4, Class 2A7, 4.500%, 04/25/19 | 970 | ||||||
| 544 | Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 | 419 | ||||||
| 4,063 | Series 2006-S1, Class 1A8, 5.750%, 01/25/36 | 3,620 | ||||||
| 358 | Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18 | 373 | ||||||
| 110 | SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) | 114 | ||||||
| 1,673 | Sequoia Mortgage Trust, Series 2004-8, Class A2, VAR, 0.830%, 09/20/34 | 1,535 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
| 685 | Series 2004-14, Class 1A, VAR, 2.830%, 10/25/34 | 589 | ||||||
| 617 | Series 2005-5, Class A1, VAR, 0.492%, 05/25/35 | 579 | ||||||
| 287 | Series 2005-5, Class A2, VAR, 0.492%, 05/25/35 | 268 | ||||||
Structured Asset Securities Corp., | ||||||||
| 146 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 149 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 85 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
| 4,678 | Series 2003-26A, Class 3A5, VAR, 2.604%, 09/25/33 | 4,361 | ||||||
| 939 | Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 | 390 | ||||||
| 789 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 803 | ||||||
| 807 | Series 2003-37A, Class 2A, VAR, 5.012%, 12/25/33 | 836 | ||||||
| 630 | Series 2004-7, Class 2A1, VAR, 5.363%, 05/25/24 | 654 | ||||||
| 1,764 | Series 2005-5, Class 2A1, 5.500%, 04/25/35 | 1,806 | ||||||
| 573 | Thornburg Mortgage Securities Trust, Series 2006-5, Class A1, VAR, 0.381%, 10/25/46 | 567 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
| 657 | Series 2002-S4, Class A4, 6.500%, 10/19/29 | 683 | ||||||
| 462 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 474 | ||||||
| 985 | Series 2003-AR8, Class A, VAR, 2.717%, 08/25/33 | 1,000 | ||||||
| 717 | Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 | 711 | ||||||
| 208 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 | 221 | ||||||
| 300 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 295 | ||||||
| 842 | Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 | 828 | ||||||
| 718 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 753 | ||||||
| 714 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 741 | ||||||
| 1,774 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 1,773 | ||||||
| 205 | Series 2005-AR2, Class 2A21, VAR, 0.592%, 01/25/45 | 174 | ||||||
| 1,822 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,597 | ||||||
| 2,131 | Washington Mutual MSC Mortgage Pass-Through Certificates, | 2,233 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
| 486 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 502 | ||||||
| 172 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 178 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
| 382 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 382 | ||||||
| 701 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 720 | ||||||
| 393 | Series 2003-17, Class 2A9, PO, 01/25/34 | 265 | ||||||
| 423 | Series 2003-18, Class A1, 5.500%, 12/25/33 | 433 | ||||||
| 881 | Series 2003-F, Class A1, VAR, 4.831%, 06/25/33 | 909 | ||||||
| 310 | Series 2003-J, Class 2A5, VAR, 4.426%, 10/25/33 | 317 | ||||||
| 910 | Series 2003-M, Class A1, VAR, 4.690%, 12/25/33 | 942 | ||||||
| 611 | Series 2004-B, Class A1, VAR, 4.930%, 02/25/34 | 636 | ||||||
| 320 | Series 2004-DD, Class 2A8, VAR, 2.745%, 01/25/35 | 229 | ||||||
| 467 | Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 | 467 | ||||||
| 644 | Series 2004-EE, Class 3A2, VAR, 2.952%, 12/25/34 | 655 | ||||||
| 1,529 | Series 2004-K, Class 1A2, VAR, 4.463%, 07/25/34 | 1,583 | ||||||
| 149 | Series 2004-Q, Class 1A3, VAR, 4.879%, 09/25/34 | 140 | ||||||
| 555 | Series 2004-Q, Class 2A2, VAR, 4.695%, 09/25/34 | 479 | ||||||
| 552 | Series 2004-U, Class A1, VAR, 2.920%, 10/25/34 | 552 | ||||||
| 635 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 651 | ||||||
| 2,175 | Series 2005-9, Class 2A10, 5.250%, 10/25/35 | 1,941 | ||||||
| 954 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 996 | ||||||
| 182 | Series 2005-AR13, Class A1, VAR, 5.270%, 05/25/35 | 182 | ||||||
| 170,971 | ||||||||
Total Collateralized Mortgage Obligations (Cost $425,838) | 447,135 | |||||||
| Commercial Mortgage-Backed Securities — 3.3% | |||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
| 1,730 | Series 2005-1, Class AJ, VAR, 5.157%, 11/10/42 | 1,830 | ||||||
| 1,050 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 1,102 | ||||||
| 2,435 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 2,516 | ||||||
| 1,050 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 1,128 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
| 1,944 | Series 2005-6, Class ASB, VAR, 5.195%, 09/10/47 | 2,057 | ||||||
| 485 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 521 | ||||||
| 3,010 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 3,290 | ||||||
| 1,005 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 1,091 | ||||||
| 2,056 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 2,195 | ||||||
Banc of America Large Loan, Inc., | ||||||||
| 500 | Series 2009-UB1, Class A4A, VAR, 5.620%, 06/24/50 (e) | 540 | ||||||
| 1,234 | Series 2010-HLTN, Class HLTN, VAR, 2.016%, 11/15/15 (e) | 1,187 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
| 482 | Series 2004-T14, Class A3, 4.800%, 01/12/41 | 496 | ||||||
| 640 | Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41 | 686 | ||||||
| 2,570 | Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 2,803 | ||||||
| 75 | Series 2006-PW12, Class A4, VAR, 5.722%, 09/11/38 | 82 | ||||||
| 250 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 271 | ||||||
| 1,973 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 2,068 | ||||||
| 1,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class AM, VAR, 5.222%, 07/15/44 | 1,582 | ||||||
| 1,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.659%, 03/15/39 | 1,084 | ||||||
| 2,321 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 2,412 | ||||||
| 2,180 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 2,284 | ||||||
| 1,025 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 1,030 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
| 132 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 133 | ||||||
| 645 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 687 | ||||||
| 2,330 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 2,436 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
GS Mortgage Securities Corp. II, | ||||||||
| 465 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 502 | ||||||
| 793 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 815 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
| 2,000 | Series 2005-CB13, Class A4, VAR, 5.280%, 01/12/43 | 2,140 | ||||||
| 200 | Series 2005-LDP2, Class AM, 4.780%, 07/15/42 | 209 | ||||||
| 1,000 | Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44 | 1,071 | ||||||
| 94,713 | Series 2006-CB15, Class X1, IO, VAR, 0.086%, 06/12/43 | 678 | ||||||
| 285 | Series 2006-CB17, Class A4, 5.429%, 12/12/43 | 305 | ||||||
| 620 | Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43 | 666 | ||||||
| 160 | Series 2006-LDP7, Class A4, VAR, 5.875%, 04/15/45 | 175 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
| 405 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 435 | ||||||
| 1,060 | Series 2006-C4, Class A4, VAR, 5.883%, 06/15/38 | 1,168 | ||||||
| 560 | Series 2006-C6, Class A4, 5.372%, 09/15/39 | 602 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
| 1,425 | Series 2005-CKI1, Class AM, VAR, 5.241%, 11/12/37 | 1,509 | ||||||
| 1,750 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 1,888 | ||||||
| 1,750 | Series 2005-LC1, Class AJ, VAR, 5.331%, 01/12/44 | 1,772 | ||||||
| 2,000 | Series 2005-LC1, Class AM, VAR, 5.272%, 01/12/44 | 2,111 | ||||||
| 1,755 | Series 2006-C1, Class A4, VAR, 5.659%, 05/12/39 | 1,925 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
| 1,725 | Series 2006-1, Class A4, VAR, 5.431%, 02/12/39 | 1,867 | ||||||
| 250 | Series 2006-4, Class A3, VAR, 5.172%, 12/12/49 | 266 | ||||||
Morgan Stanley Capital I, | ||||||||
| 645 | Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52 | 693 | ||||||
| 204 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 204 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 87 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
| 1,575 | Series 2006-T23, Class AM, VAR, 5.806%, 08/12/41 | 1,710 | ||||||
| 785 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35 | 825 | ||||||
| 3,000 | Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 3,188 | ||||||
| 1,290 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 | 1,403 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
| 1,587 | Series 2004-C15, Class A2, 4.039%, 10/15/41 | 1,591 | ||||||
| 193 | Series 2005-C16, Class AJ, VAR, 4.896%, 10/15/41 | 200 | ||||||
| 170 | Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 | 182 | ||||||
| 1,500 | Series 2005-C21, Class AM, VAR, 5.203%, 10/15/44 | 1,603 | ||||||
| 250 | Series 2006-C25, Class A4, VAR, 5.738%, 05/15/43 | 273 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $62,457) | 67,487 | |||||||
| Convertible Bond — 0.1% | |||||||
Materials — 0.1% | ||||||||
Construction Materials — 0.1% | ||||||||
| 665 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 844 | ||||||
| Corporate Bonds — 36.9% | |||||||
Consumer Discretionary — 5.7% | ||||||||
Auto Components — 0.1% | ||||||||
| 531 | Goodyear Tire & Rubber Co. (The), 10.500%, 05/15/16 | 605 | ||||||
| 890 | Johnson Controls, Inc., 5.700%, 03/01/41 | 908 | ||||||
| 1,513 | ||||||||
Automobiles — 0.4% | ||||||||
| 2,000 | Daimler Finance North America LLC, 7.300%, 01/15/12 | 2,111 | ||||||
| 400 | Ford Motor Co., 9.215%, 09/15/21 | 462 | ||||||
Motors Liquidation Co., | ||||||||
| 120 | 5.250%, 03/06/32 | 926 | ||||||
| 385 | 6.250%, 07/15/33 | 3,023 | ||||||
| 21 | 7.250%, 04/15/41 | 159 | ||||||
| 1 | 7.250%, 07/15/41 | 4 | ||||||
| 42 | 7.250%, 02/15/52 | 311 | ||||||
| 55 | 7.375%, 05/15/48 | 412 | ||||||
| 1 | 7.375%, 10/01/51 | 10 | ||||||
| 2,500 | 7.700%, 04/15/16 (d) | 794 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Automobiles — Continued | ||||||||
| 250 | Navistar International Corp., 8.250%, 11/01/21 | 277 | ||||||
| 8,489 | ||||||||
Broadcasting & Cable TV — 0.7% | ||||||||
| 2,004 | Adelphia Communications Corp., 9.375%, 11/15/09 (d) | 30 | ||||||
| 80 | Cablevision Systems Corp., 8.000%, 04/15/20 | 87 | ||||||
| 350 | CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16 | 424 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
| 1,075 | 7.000%, 01/15/19 | 1,094 | ||||||
| 425 | 7.000%, 01/15/19 (e) | 431 | ||||||
| 1,000 | 7.250%, 10/30/17 | 1,050 | ||||||
| 125 | 7.875%, 04/30/18 | 134 | ||||||
| 330 | 8.125%, 04/30/20 | 356 | ||||||
| 1,280 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 1,354 | ||||||
DISH DBS Corp., | ||||||||
| 400 | 7.000%, 10/01/13 | 430 | ||||||
| 730 | 7.125%, 02/01/16 | 779 | ||||||
| 475 | 7.875%, 09/01/19 | 515 | ||||||
| 847 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 900 | ||||||
| 1,675 | Sirius XM Radio, Inc., 9.750%, 09/01/15 (e) | 1,895 | ||||||
| 1,750 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 1,877 | ||||||
| 2,020 | Videotron Ltee, (Canada), 9.125%, 04/15/18 | 2,267 | ||||||
| 1,000 | Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19 | 1,134 | ||||||
| 14,757 | ||||||||
Distributors — 0.2% | ||||||||
| 2,360 | AmeriGas Partners LP/AmeriGas Finance Corp., 6.500%, 05/20/21 | 2,431 | ||||||
| 450 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) | 445 | ||||||
| 2,876 | ||||||||
Diversified Consumer Services — 0.3% | ||||||||
| 750 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) | 752 | ||||||
| 500 | Mac-Gray Corp., 7.625%, 08/15/15 | 506 | ||||||
Service Corp. International, | ||||||||
| 495 | 7.000%, 06/15/17 | 527 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued | |||||||
Diversified Consumer Services — Continued | ||||||||
| 700 | 7.000%, 05/15/19 | 723 | ||||||
| 2,073 | 7.625%, 10/01/18 | 2,255 | ||||||
Stewart Enterprises, Inc., | ||||||||
| 165 | 3.125%, 07/15/14 | 167 | ||||||
| 1,863 | 6.250%, 02/15/13 | 1,863 | ||||||
| 6,793 | ||||||||
Gaming — 0.8% | ||||||||
| 2,502 | Chukchansi Economic Development Authority, 8.000%, 11/15/13 (e) | 1,877 | ||||||
Mashantucket Western Pequot Tribe, | ||||||||
| 250 | 5.912%, 09/01/21 (d) (e) | 113 | ||||||
| 1,010 | 8.500%, 11/15/15 (d) (e) | 101 | ||||||
| 500 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 575 | ||||||
MGM Resorts International, | ||||||||
| 1,000 | 6.875%, 04/01/16 | 935 | ||||||
| 3,675 | 10.000%, 11/01/16 (e) | 3,905 | ||||||
| 825 | 11.375%, 03/01/18 | 936 | ||||||
| 1,750 | Peninsula Gaming LLC, 8.375%, 08/15/15 | 1,877 | ||||||
| 1,210 | Pinnacle Entertainment, Inc., 8.625%, 08/01/17 | 1,328 | ||||||
| 1,750 | Seminole Hard Rock Entertainment, Inc., VAR, 2.802%, 03/15/14 (e) | 1,706 | ||||||
| 150 | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e) | 159 | ||||||
| 350 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 362 | ||||||
| 2,000 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) | 1,360 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
| 625 | 7.750%, 08/15/20 | 661 | ||||||
| 165 | 7.875%, 11/01/17 | 176 | ||||||
| 350 | 7.875%, 05/01/20 | 371 | ||||||
| 16,442 | ||||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
| 700 | AMC Entertainment, Inc., 8.750%, 06/01/19 | 752 | ||||||
| 500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 545 | ||||||
| 1,500 | CityCenter Holdings LLC/CityCenter Finance Corp., PIK, 11.500%, 01/15/17 (e) | 1,567 | ||||||
Host Hotels & Resorts LP, | ||||||||
| 750 | 6.875%, 11/01/14 | 776 | ||||||
| 436 | 7.125%, 11/01/13 | 442 | ||||||
| 225 | Landry’s Restaurants, Inc., 11.625%, 12/01/15 | 244 | ||||||
| 500 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 520 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Hotels, Restaurants & Leisure — Continued |
| |||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
| 7 | 6.875%, 12/01/13 | 8 | ||||||
| 400 | 7.000%, 06/15/13 | 429 | ||||||
| 338 | 7.250%, 06/15/16 | 363 | ||||||
| 1,608 | 11.875%, 07/15/15 | 1,994 | ||||||
| 1,750 | Speedway Motorsports, Inc., 6.750%, 02/01/19 (e) | 1,776 | ||||||
| 255 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 | 291 | ||||||
| 455 | Vail Resorts, Inc., 6.750%, 02/15/14 | 461 | ||||||
| 10,168 | ||||||||
Household Durables — 0.3% |
| |||||||
| 175 | American Standard Americas, 10.750%, 01/15/16 (e) | 186 | ||||||
| 1,225 | D.R. Horton, Inc., 5.625%, 01/15/16 | 1,243 | ||||||
KB Home, | ||||||||
| 1,000 | 5.750%, 02/01/14 | 1,016 | ||||||
| 615 | 5.875%, 01/15/15 | 614 | ||||||
| 1,875 | Lennar Corp., 6.950%, 06/01/18 | 1,870 | ||||||
| 420 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 417 | ||||||
| 750 | Standard Pacific Corp., 8.375%, 05/15/18 (e) | 795 | ||||||
| 6,141 | ||||||||
Internet & Catalog Retail — 0.0% (g) |
| |||||||
| 400 | NetFlix, Inc., 8.500%, 11/15/17 | 453 | ||||||
Leisure Equipment & Products — 0.1% |
| |||||||
| 250 | Da-Lite Screen Co., Inc., 12.500%, 04/01/15 | 280 | ||||||
| 1,440 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 1,469 | ||||||
| 118 | FGI Holding Co., Inc., PIK, 11.250%, 10/01/15 (e) | 116 | ||||||
| 750 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 761 | ||||||
| 2,626 | ||||||||
Media — 1.4% |
| |||||||
| 600 | Belo Corp., 8.000%, 11/15/16 | 652 | ||||||
| 500 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 509 | ||||||
| 125 | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e) | 131 | ||||||
CBS Corp., | ||||||||
| 200 | 7.875%, 07/30/30 | 233 | ||||||
| 160 | 8.875%, 05/15/19 | 202 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
| 360 | 9.250%, 12/15/17 | 400 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 89 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued | |||||||
Media — Continued |
| |||||||
| 650 | 9.250%, 12/15/17 | 723 | ||||||
| 240 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 327 | ||||||
| 1,500 | Comcast Cable Holdings LLC, 9.800%, 02/01/12 | 1,619 | ||||||
Comcast Corp., | ||||||||
| 850 | 5.900%, 03/15/16 | 945 | ||||||
| 240 | 6.300%, 11/15/17 | 272 | ||||||
CSC Holdings LLC, | ||||||||
| 900 | 7.625%, 07/15/18 | 990 | ||||||
| 139 | 7.875%, 02/15/18 | 155 | ||||||
| 2,669 | DigitalGlobe, Inc., 10.500%, 05/01/14 | 3,033 | ||||||
Gannett Co., Inc., | ||||||||
| 500 | 6.375%, 09/01/15 (e) | 520 | ||||||
| 750 | 7.125%, 09/01/18 (e) | 763 | ||||||
| 500 | 8.750%, 11/15/14 | 574 | ||||||
| 245 | 9.375%, 11/15/17 | 279 | ||||||
| 1,000 | Historic TW, Inc., 9.150%, 02/01/23 | 1,302 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
| 700 | 7.250%, 10/15/20 (e) | 719 | ||||||
| 1,225 | 8.500%, 11/01/19 (e) | 1,345 | ||||||
| 1,000 | Intelsat Subsidiary Holding Co. S.A., (Bermuda), 8.500%, 01/15/13 | 1,006 | ||||||
| 350 | Interpublic Group of Cos., Inc. (The), 10.000%, 07/15/17 | 414 | ||||||
| 750 | Lamar Media Corp., 6.625%, 08/15/15 | 767 | ||||||
| 500 | Media General, Inc., 11.750%, 02/15/17 | 552 | ||||||
| 475 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 511 | ||||||
| 810 | NBC Universal, Inc., 5.950%, 04/01/41 (e) | 798 | ||||||
News America Holdings, Inc., | ||||||||
| 800 | 7.750%, 01/20/24 | 933 | ||||||
| 147 | 8.875%, 04/26/23 | 189 | ||||||
News America, Inc., | ||||||||
| 600 | 6.750%, 01/09/38 | 646 | ||||||
| 200 | 7.850%, 03/01/39 | 242 | ||||||
| 135 | Salem Communications Corp., 9.625%, 12/15/16 | 148 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
| 280 | 4.700%, 10/15/19 | 294 | ||||||
| 410 | 5.950%, 07/15/13 | 453 | ||||||
| 200 | 6.500%, 07/15/18 | 233 | ||||||
| 335 | Time Warner Cable, Inc., 7.300%, 07/01/38 | 377 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
| 415 | 8.375%, 03/15/23 | 522 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Media — Continued | ||||||||
| 1,445 | 8.375%, 07/15/33 | 1,794 | ||||||
| 750 | 10.150%, 05/01/12 | 824 | ||||||
| 850 | Valassis Communications, Inc., 6.625%, 02/01/21 (e) | 839 | ||||||
| 50 | Viacom, Inc., 6.875%, 04/30/36 | 56 | ||||||
| 500 | Walt Disney Co. (The), 5.875%, 12/15/17 | 574 | ||||||
| 1,303 | WMG Acquisition Corp., 9.500%, 06/15/16 | 1,388 | ||||||
| 29,253 | ||||||||
Multiline Retail — 0.3% | ||||||||
| 2,050 | HSN, Inc., 11.250%, 08/01/16 | 2,339 | ||||||
QVC, Inc., | ||||||||
| 75 | 7.125%, 04/15/17 (e) | 80 | ||||||
| 75 | 7.375%, 10/15/20 (e) | 80 | ||||||
| 2,050 | 7.500%, 10/01/19 (e) | 2,188 | ||||||
| 1,770 | Sears Holdings Corp., 6.625%, 10/15/18 (e) | 1,726 | ||||||
| 310 | Target Corp., 7.000%, 01/15/38 | 376 | ||||||
| 6,789 | ||||||||
Specialty Retail — 0.6% | ||||||||
| 1,000 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 1,075 | ||||||
| 500 | Brown Shoe Co., Inc., 8.750%, 05/01/12 | 505 | ||||||
| 951 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 1,129 | ||||||
Ltd. Brands, Inc., | ||||||||
| 375 | 7.000%, 05/01/20 | 397 | ||||||
| 1,600 | 8.500%, 06/15/19 | 1,832 | ||||||
| 1,950 | NBC Acquisition Corp., SUB, 11.000%, 03/15/13 | 878 | ||||||
Nebraska Book Co., Inc., | ||||||||
| 1,014 | 8.625%, 03/15/12 | 913 | ||||||
| 102 | 10.000%, 12/01/11 | 103 | ||||||
| 600 | Rent-A-Center, Inc., 6.625%, 11/15/20 (e) | 593 | ||||||
| 750 | Sally Holdings LLC/Sally Capital, Inc., 9.250%, 11/15/14 | 787 | ||||||
| 200 | Staples, Inc., 9.750%, 01/15/14 | 242 | ||||||
| 1,000 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 1,054 | ||||||
| 2,000 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 2,175 | ||||||
| 11,683 | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) |
| |||||||
| 120 | Phillips-Van Heusen Corp., 7.375%, 05/15/20 | 128 | ||||||
Total Consumer Discretionary | 118,111 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 90 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Staples — 1.7% |
| |||||||
Beverages — 0.4% |
| |||||||
Anheuser-Busch Cos., Inc., | ||||||||
| 325 | 5.500%, 01/15/18 | 358 | ||||||
| 550 | 5.750%, 04/01/36 | 565 | ||||||
| 280 | 7.550%, 10/01/30 | 337 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
| 160 | 6.875%, 11/15/19 (e) | 190 | ||||||
| 280 | 7.200%, 01/15/14 (e) | 321 | ||||||
| 275 | 7.750%, 01/15/19 (e) | 341 | ||||||
| 528 | Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 | 566 | ||||||
Constellation Brands, Inc., | ||||||||
| 330 | 7.250%, 09/01/16 | 355 | ||||||
| 1,000 | 7.250%, 05/15/17 | 1,075 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
| 575 | 5.300%, 10/28/15 | 639 | ||||||
| 325 | 5.500%, 04/01/13 | 352 | ||||||
| 1,000 | Diageo Investment Corp., 7.450%, 04/15/35 | 1,259 | ||||||
PepsiCo, Inc., | ||||||||
| 800 | 3.750%, 03/01/14 | 850 | ||||||
| 70 | 7.900%, 11/01/18 | 89 | ||||||
| 1,235 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 1,351 | ||||||
| 8,648 | ||||||||
Food & Staples Retailing — 0.7% |
| |||||||
CVS Caremark Corp., | ||||||||
| 225 | 5.750%, 06/01/17 | 250 | ||||||
| 555 | 6.125%, 09/15/39 | 576 | ||||||
| 1,710 | Ingles Markets, Inc., 8.875%, 05/15/17 | 1,838 | ||||||
Kroger Co. (The), | ||||||||
| 215 | 6.400%, 08/15/17 | 247 | ||||||
| 712 | 7.500%, 04/01/31 | 848 | ||||||
| 300 | 7.700%, 06/01/29 | 362 | ||||||
Rite Aid Corp., | ||||||||
| 64 | 7.500%, 03/01/17 | 65 | ||||||
| 6,000 | 9.500%, 06/15/17 | 5,520 | ||||||
| 2,000 | SUPERVALU, Inc., 8.000%, 05/01/16 | 1,990 | ||||||
Wal-Mart Stores, Inc., | ||||||||
| 1,500 | 3.625%, 07/08/20 | 1,458 | ||||||
| 160 | 5.250%, 09/01/35 | 159 | ||||||
| 1,000 | 6.200%, 04/15/38 | 1,113 | ||||||
| 260 | 7.550%, 02/15/30 | 332 | ||||||
| 14,758 | ||||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Food Products — 0.4% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
| 370 | 5.875%, 05/15/13 | 394 | ||||||
| 655 | 8.500%, 06/15/19 | 778 | ||||||
| 148 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 153 | ||||||
Cargill, Inc., | ||||||||
| 200 | 6.000%, 11/27/17 (e) | 224 | ||||||
| 1,000 | 7.350%, 03/06/19 (e) | 1,208 | ||||||
| 135 | ConAgra Foods, Inc., 7.000%, 04/15/19 | 154 | ||||||
| 185 | Del Monte Corp., 6.750%, 02/15/15 | 188 | ||||||
| 220 | Dole Food Co., Inc., 8.000%, 10/01/16 (e) | 235 | ||||||
| 153 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 153 | ||||||
| 641 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 750 | ||||||
Kraft Foods, Inc., | ||||||||
| 810 | 6.125%, 02/01/18 | 910 | ||||||
| 335 | 6.500%, 08/11/17 | 385 | ||||||
| 575 | 6.875%, 02/01/38 | 645 | ||||||
Smithfield Foods, Inc., | ||||||||
| 409 | 7.750%, 05/15/13 | 445 | ||||||
| 134 | 10.000%, 07/15/14 | 158 | ||||||
| 6,780 | ||||||||
Household Products — 0.2% | ||||||||
Jarden Corp., | ||||||||
| 895 | 7.500%, 05/01/17 | 952 | ||||||
| 100 | 7.500%, 01/15/20 | 106 | ||||||
| 1,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 | 1,164 | ||||||
| 808 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 1,029 | ||||||
| 1,350 | Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e) | 1,387 | ||||||
| 567 | Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19 | 637 | ||||||
| 5,275 | ||||||||
Tobacco — 0.0% (g) | ||||||||
| 250 | Alliance One International, Inc., 10.000%, 07/15/16 | 258 | ||||||
Total Consumer Staples | 35,719 | |||||||
Energy — 3.1% | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
| 405 | American Petroleum Tankers LLC/AP Tankers Co., 10.250%, 05/01/15 (e) | 424 | ||||||
| 720 | Baker Hughes, Inc., 5.125%, 09/15/40 | 687 | ||||||
| 120 | Basic Energy Services, Inc., 7.750%, 02/15/19 (e) | 124 | ||||||
| 200 | Calfrac Holdings LP, 7.500%, 12/01/20 (e) | 205 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 91 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Energy Equipment & Services — Continued | ||||||||
| 70 | Diamond Offshore Drilling, Inc., 5.875%, 05/01/19 | 77 | ||||||
| 470 | Exterran Holdings, Inc., 7.250%, 12/01/18 (e) | 482 | ||||||
| 1,200 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 | 1,234 | ||||||
Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), | ||||||||
| 300 | 10.000%, 01/15/18 | 314 | ||||||
| 250 | 11.750%, 05/27/14 | 279 | ||||||
Halliburton Co., | ||||||||
| 500 | 7.450%, 09/15/39 | 633 | ||||||
| 700 | 8.750%, 02/15/21 | 911 | ||||||
| 161 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) | 167 | ||||||
| 1,000 | Key Energy Services, Inc., 8.375%, 12/01/14 | 1,087 | ||||||
| 80 | Parker Drilling Co., 9.125%, 04/01/18 | 86 | ||||||
| 550 | PHI, Inc., 8.625%, 10/15/18 | 576 | ||||||
| 360 | Precision Drilling Corp., (Canada), 6.625%, 11/15/20 (e) | 372 | ||||||
| 155 | Pride International, Inc., 6.875%, 08/15/20 | 173 | ||||||
| 700 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 690 | ||||||
| 100 | Sevan Marine ASA, (Norway), 12.000%, 08/10/15 (e) | 107 | ||||||
| 2,110 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 2,323 | ||||||
| 280 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 293 | ||||||
| 11,244 | ||||||||
Oil, Gas & Consumable Fuels — 2.6% | ||||||||
| 175 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 208 | ||||||
| 462 | Alon Refining Krotz Springs, Inc., 13.500%, 10/15/14 | 479 | ||||||
| 750 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 | 780 | ||||||
Anadarko Petroleum Corp., | ||||||||
| 300 | 6.375%, 09/15/17 | 334 | ||||||
| 350 | 6.950%, 06/15/19 | 398 | ||||||
| 125 | 7.625%, 03/15/14 | 143 | ||||||
| 100 | 7.950%, 06/15/39 | 118 | ||||||
| 225 | 8.700%, 03/15/19 | 278 | ||||||
| 175 | Apache Corp., 6.900%, 09/15/18 | 210 | ||||||
| 190 | Arch Coal, Inc., 7.250%, 10/01/20 | 202 | ||||||
| 1,500 | Bill Barrett Corp., 9.875%, 07/15/16 | 1,680 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
| 1,835 | 3.875%, 03/10/15 | 1,923 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
| 515 | 4.750%, 03/10/19 | 536 | ||||||
| 325 | 5.250%, 11/07/13 | 353 | ||||||
| 330 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 | 357 | ||||||
Chesapeake Energy Corp., | ||||||||
| 950 | 6.125%, 02/15/21 | 969 | ||||||
| 520 | 6.500%, 08/15/17 | 558 | ||||||
| 285 | 6.875%, 08/15/18 | 303 | ||||||
| 250 | 9.500%, 02/15/15 | 310 | ||||||
| 450 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 518 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
| 450 | 8.250%, 12/15/17 | 490 | ||||||
| 500 | 8.500%, 12/15/19 | 551 | ||||||
Comstock Resources, Inc., | ||||||||
| 400 | 7.750%, 04/01/19 | 400 | ||||||
| 1,000 | 8.375%, 10/15/17 | 1,041 | ||||||
| 425 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 523 | ||||||
ConocoPhillips, | ||||||||
| 275 | 5.750%, 02/01/19 | 312 | ||||||
| 750 | 6.500%, 02/01/39 | 871 | ||||||
| 410 | 7.000%, 03/30/29 | 489 | ||||||
| 300 | ConocoPhillips Holding Co., 6.950%, 04/15/29 | 362 | ||||||
Consol Energy, Inc., | ||||||||
| 300 | 8.000%, 04/01/17 | 325 | ||||||
| 250 | 8.250%, 04/01/20 | 276 | ||||||
| 160 | Continental Resources, Inc., 7.125%, 04/01/21 | 170 | ||||||
| 180 | Copano Energy LLC/Copano Energy Finance Corp., 8.125%, 03/01/16 | 187 | ||||||
Denbury Resources, Inc., | ||||||||
| 525 | 6.375%, 08/15/21 | 530 | ||||||
| 924 | 8.250%, 02/15/20 | 1,028 | ||||||
| 270 | Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31 | 348 | ||||||
| 100 | Ecopetrol S.A., (Colombia), 7.625%, 07/23/19 | 116 | ||||||
El Paso Corp., | ||||||||
| 1,900 | 6.875%, 06/15/14 | 2,076 | ||||||
| 150 | 7.000%, 06/15/17 | 168 | ||||||
| 150 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 166 | ||||||
Encana Corp., (Canada), | ||||||||
| 150 | 6.500%, 05/15/19 | 176 | ||||||
| 215 | 6.625%, 08/15/37 | 237 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
| 1,210 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 1,128 | ||||||
EOG Resources, Inc., | ||||||||
| 1,700 | 4.100%, 02/01/21 | 1,644 | ||||||
| 200 | 6.875%, 10/01/18 | 237 | ||||||
| 200 | Eskom Holdings Ltd., (South Africa), 5.750%, 01/26/21 (e) | 200 | ||||||
| 825 | Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.625%, 06/15/20 | 897 | ||||||
| 500 | Forest Oil Corp., 7.250%, 06/15/19 | 518 | ||||||
Frontier Oil Corp., | ||||||||
| 175 | 6.875%, 11/15/18 | 183 | ||||||
| 1,000 | 8.500%, 09/15/16 | 1,085 | ||||||
| 220 | Hilcorp Energy I LP/Hilcorp Finance Co., 7.625%, 04/15/21 (e) | 232 | ||||||
| 650 | Holly Corp., 9.875%, 06/15/17 | 723 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
| 675 | 6.250%, 03/01/15 | 666 | ||||||
| 150 | 8.250%, 03/15/18 (e) | 162 | ||||||
Inergy LP/Inergy Finance Corp., | ||||||||
| 240 | 6.875%, 08/01/21 (e) | 245 | ||||||
| 550 | 7.000%, 10/01/18 (e) | 570 | ||||||
KazMunayGas National Co., (Kazakhstan), | ||||||||
| 745 | 6.375%, 04/09/21 (e) | 763 | ||||||
| 220 | Reg. S., 8.375%, 07/02/13 | 243 | ||||||
| 135 | Reg. S., 9.125%, 07/02/18 | 163 | ||||||
| 170 | Reg. S., 11.750%, 01/23/15 | 212 | ||||||
| 410 | Marathon Oil Corp., 6.000%, 10/01/17 | 468 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., | ||||||||
| 415 | 6.750%, 11/01/20 | 425 | ||||||
| 500 | 8.750%, 04/15/18 | 548 | ||||||
Newfield Exploration Co., | ||||||||
| 750 | 6.875%, 02/01/20 | 797 | ||||||
| 890 | 7.125%, 05/15/18 | 950 | ||||||
| 225 | Patriot Coal Corp., 8.250%, 04/30/18 | 241 | ||||||
Pemex Project Funding Master Trust, (Mexico), | ||||||||
| 258 | 5.750%, 03/01/18 | 270 | ||||||
| 40 | 6.625%, 06/15/35 | 40 | ||||||
| 57 | 6.625%, 06/15/35 | 57 | ||||||
| 638 | Penn Virginia Corp., 10.375%, 06/15/16 | 716 | ||||||
| 325 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 346 | ||||||
Petro-Canada, (Canada), | ||||||||
| 400 | 6.800%, 05/15/38 | 449 | ||||||
| 335 | 7.875%, 06/15/26 | 408 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
| 279 | Petroleos de Venezuela S.A., (Venezuela), 8.500%, 11/02/17 (e) | 190 | ||||||
| 125 | Petronas Capital Ltd., (Malaysia), 5.250%, 08/12/19 | 134 | ||||||
| 130 | Pioneer Drilling Co., 9.875%, 03/15/18 | 142 | ||||||
Pioneer Natural Resources Co., | ||||||||
| 150 | 6.650%, 03/15/17 | 162 | ||||||
| 1,075 | 7.500%, 01/15/20 | 1,207 | ||||||
| 115 | Plains All American Pipelines LP, 6.500%, 05/01/18 | 129 | ||||||
| 150 | Plains Exploration & Production Co., 7.625%, 04/01/20 | 163 | ||||||
| 1,315 | QEP Resources, Inc., 6.875%, 03/01/21 | 1,377 | ||||||
Range Resources Corp., | ||||||||
| 45 | 6.750%, 08/01/20 | 47 | ||||||
| 25 | 7.250%, 05/01/18 | 27 | ||||||
| 1,000 | 7.500%, 05/15/16 | 1,045 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
| 1,030 | 1.875%, 03/25/13 | 1,051 | ||||||
| 679 | 3.100%, 06/28/15 | 697 | ||||||
| 500 | 4.300%, 09/22/19 | 517 | ||||||
| 390 | SM Energy Co., 6.625%, 02/15/19 (e) | 394 | ||||||
| 375 | Southern Star Central Corp., 6.750%, 03/01/16 | 383 | ||||||
| 435 | StatoilHydro ASA, (Norway), 7.150%, 11/15/25 | 533 | ||||||
| 815 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 | 926 | ||||||
| 1,000 | Swift Energy Co., 7.125%, 06/01/17 | 1,020 | ||||||
| 120 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 147 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
| 400 | 6.875%, 02/01/21 (e) | 396 | ||||||
| 295 | 7.875%, 10/15/18 (e) | 311 | ||||||
| 640 | Tosco Corp., 8.125%, 02/15/30 | 823 | ||||||
| 1,900 | Total Capital S.A., (France), 2.300%, 03/15/16 | 1,848 | ||||||
| 278 | Union Pacific Resources Group, Inc., 7.150%, 05/15/28 | 292 | ||||||
Western Refining, Inc., | ||||||||
| 1,282 | 11.250%, 06/15/17 (e) | 1,449 | ||||||
| 250 | VAR, 10.750%, 06/15/14 (e) | 270 | ||||||
| 750 | Whiting Petroleum Corp., 6.500%, 10/01/18 | 778 | ||||||
| 53,543 | ||||||||
Total Energy | 64,787 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 93 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Financials — 11.9% |
| |||||||
Capital Markets — 1.8% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
| 525 | 2.950%, 06/18/15 | 536 | ||||||
| 440 | 4.300%, 05/15/14 | 474 | ||||||
| 530 | 4.600%, 01/15/20 | 553 | ||||||
| 978 | BlackRock, Inc., 5.000%, 12/10/19 | 1,029 | ||||||
| 1,000 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 983 | ||||||
| 750 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 818 | ||||||
| 220 | Citigroup Funding, Inc., 13.300%, 10/02/13 (e) | 216 | ||||||
| 1,690 | Credit Suisse USA, Inc., 6.125%, 11/15/11 | 1,756 | ||||||
| 1,000 | FMR LLC, 4.750%, 03/01/13 (e) | 1,045 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
| 596 | 3.700%, 08/01/15 | 604 | ||||||
| 650 | 5.150%, 01/15/14 | 702 | ||||||
| 780 | 5.250%, 10/15/13 | 845 | ||||||
| 819 | 5.375%, 03/15/20 | 841 | ||||||
| 450 | 5.750%, 10/01/16 | 492 | ||||||
| 2,100 | 5.950%, 01/18/18 | 2,280 | ||||||
| 127 | 6.000%, 06/15/20 | 136 | ||||||
| 115 | 6.250%, 09/01/17 | 128 | ||||||
| 2,000 | 6.600%, 01/15/12 | 2,102 | ||||||
| 965 | 6.750%, 10/01/37 | 989 | ||||||
| 180 | 7.500%, 02/15/19 | 212 | ||||||
Jefferies Group, Inc., | ||||||||
| 950 | 6.250%, 01/15/36 | 877 | ||||||
| 140 | 6.450%, 06/08/27 | 140 | ||||||
| 880 | 8.500%, 07/15/19 | 1,041 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
| 235 | 3.600%, 03/13/09 (d) | 59 | ||||||
| 1,000 | 5.750%, 05/17/13 (d) | 254 | ||||||
| 950 | 6.500%, 07/19/17 (d) | — | (h) | |||||
| 750 | 6.875%, 07/17/37 (d) | — | (h) | |||||
| 295 | 8.500%, 08/01/15 (d) | 75 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
| 639 | 6.250%, 01/14/21 (e) | 653 | ||||||
| 2,125 | 7.300%, 08/01/14 (e) | 2,371 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
| 900 | 5.700%, 05/02/17 | 936 | ||||||
| 1,710 | 6.875%, 04/25/18 | 1,924 | ||||||
Morgan Stanley, | ||||||||
| 198 | 4.000%, 07/24/15 | 203 | ||||||
| 505 | 4.200%, 11/20/14 | 524 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Capital Markets — Continued |
| |||||||
| 1,690 | 5.300%, 03/01/13 | 1,802 | ||||||
| 243 | 5.500%, 07/24/20 | 246 | ||||||
| 810 | 5.625%, 01/09/12 | 844 | ||||||
| 310 | 5.625%, 09/23/19 | 318 | ||||||
| 150 | 6.000%, 05/13/14 | 164 | ||||||
| 1,315 | 6.000%, 04/28/15 | 1,440 | ||||||
| 320 | 6.250%, 08/28/17 | 349 | ||||||
| 1,250 | 6.625%, 04/01/18 | 1,382 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
| 500 | 5.000%, 03/04/15 | 522 | ||||||
| 757 | 6.700%, 03/04/20 | 816 | ||||||
| 740 | Northern Trust Co. (The), 5.850%, 11/09/17 | 823 | ||||||
| 113 | Northern Trust Corp., 5.500%, 08/15/13 | 124 | ||||||
| 200 | State Street Corp., 4.300%, 05/30/14 | 216 | ||||||
UBS AG, (Switzerland), | ||||||||
| 305 | 2.250%, 08/12/13 | 308 | ||||||
| 650 | 3.875%, 01/15/15 | 668 | ||||||
| 900 | 5.750%, 04/25/18 | 978 | ||||||
| 450 | 5.875%, 12/20/17 | 493 | ||||||
| 37,291 | ||||||||
Commercial Banks — 3.6% |
| |||||||
| 705 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 716 | ||||||
Bank of America Corp., | ||||||||
| 735 | 3.125%, 06/15/12 | 760 | ||||||
| 500 | 5.625%, 07/01/20 | 520 | ||||||
| 695 | 5.650%, 05/01/18 | 735 | ||||||
| 1,500 | 6.975%, 03/07/37 | 1,607 | ||||||
| 1,005 | 7.375%, 05/15/14 | 1,144 | ||||||
| 500 | 7.800%, 09/15/16 | 570 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
| 1,082 | 1.650%, 10/29/15 (e) | 1,034 | ||||||
| 614 | 3.400%, 01/22/15 | 636 | ||||||
| 679 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 707 | ||||||
| 250 | Bankers Trust Corp., 7.250%, 10/15/11 | 260 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
| 1,615 | 2.500%, 01/23/13 | 1,642 | ||||||
| 1,280 | 5.125%, 01/08/20 | 1,307 | ||||||
| 980 | 6.050%, 12/04/17 (e) | 1,015 | ||||||
| 305 | 6.750%, 05/22/19 | 343 | ||||||
| 125 | VAR, 5.926%, 12/15/16 (e) (x) | 115 | ||||||
| 575 | VAR, 7.434%, 12/15/17 (e) (x) | 562 | ||||||
BB&T Corp., | ||||||||
| 500 | 3.850%, 07/27/12 | 519 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
| 1,250 | 3.950%, 04/29/16 | 1,295 | ||||||
| 500 | 4.900%, 06/30/17 | 520 | ||||||
| 1,000 | 6.500%, 08/01/11 | 1,023 | ||||||
| 150 | 6.850%, 04/30/19 | 174 | ||||||
| 1,750 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 1,849 | ||||||
| 2,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 2,260 | ||||||
| 1,225 | Capital One Capital V, 10.250%, 08/15/39 | 1,331 | ||||||
| 500 | Capital One Capital VI, 8.875%, 05/15/40 | 531 | ||||||
Capital One Financial Corp., | ||||||||
| 500 | 6.250%, 11/15/13 | 554 | ||||||
| 485 | 6.750%, 09/15/17 | 560 | ||||||
| 690 | 7.375%, 05/23/14 | 795 | ||||||
| 1,045 | Comerica Bank, 5.200%, 08/22/17 | 1,112 | ||||||
| 185 | Comerica, Inc., 3.000%, 09/16/15 | 184 | ||||||
| 1,000 | Countrywide Capital III, 8.050%, 06/15/27 | 1,044 | ||||||
| 700 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 | 701 | ||||||
Credit Suisse, (Switzerland), | ||||||||
| 2,375 | 5.000%, 05/15/13 | 2,546 | ||||||
| 285 | 5.500%, 05/01/14 | 313 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
| 1,475 | 2.375%, 01/11/13 | 1,500 | ||||||
| 375 | 3.875%, 08/18/14 | 392 | ||||||
| 674 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 647 | ||||||
| 500 | Fifth Third Bancorp, 5.450%, 01/15/17 | 524 | ||||||
| 395 | HSBC Bank, 6.000%, 08/09/17 | 433 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
| 927 | 4.125%, 08/12/20 (e) | 891 | ||||||
| 650 | 4.750%, 01/19/21 (e) | 651 | ||||||
| 700 | KeyBank N.A., 5.700%, 08/15/12 | 739 | ||||||
| 725 | KeyCorp, 6.500%, 05/14/13 | 794 | ||||||
| 1,250 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 1,414 | ||||||
| 370 | Marshall & Ilsley Corp., 5.350%, 04/01/11 | 371 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
| 3,010 | 2.500%, 01/08/13 (e) | 3,070 | ||||||
| 255 | 3.750%, 03/02/15 (e) | 264 | ||||||
| 1,420 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 1,421 | ||||||
| 1,500 | National City Bank, 4.625%, 05/01/13 | 1,589 | ||||||
| 500 | NB Capital Trust II, 7.830%, 12/15/26 | 505 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Banks — Continued |
| |||||||
PNC Funding Corp., | ||||||||
| 1,115 | 3.000%, 05/19/14 | 1,144 | ||||||
| 1,057 | 4.375%, 08/11/20 | 1,058 | ||||||
| 625 | 5.250%, 11/15/15 | 674 | ||||||
| 625 | 5.625%, 02/01/17 | 673 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
| 2,150 | 3.200%, 03/11/15 (e) | 2,186 | ||||||
| 1,045 | 4.500%, 01/11/21 | 1,047 | ||||||
| 200 | Regions Financial Corp., 6.375%, 05/15/12 | 205 | ||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, (Russia), | ||||||||
| 195 | 7.175%, 05/16/13 | 210 | ||||||
| 300 | 9.000%, 06/11/14 | 341 | ||||||
| 225 | Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e) | 246 | ||||||
| 2,500 | SunTrust Banks, Inc., 6.000%, 02/15/26 | 2,421 | ||||||
| 2,500 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 2,465 | ||||||
| 2,000 | U.S. Bancorp, 7.500%, 06/01/26 | 2,214 | ||||||
| 500 | UnionBanCal Corp., 5.250%, 12/16/13 | 539 | ||||||
Wachovia Bank N.A., | ||||||||
| 2,110 | 5.600%, 03/15/16 | 2,306 | ||||||
| 750 | 6.000%, 11/15/17 | 840 | ||||||
| 750 | 6.600%, 01/15/38 | 847 | ||||||
| 500 | Wachovia Capital Trust III, VAR, 5.800%, 04/04/11 (x) | 455 | ||||||
Wachovia Corp., | ||||||||
| 760 | 5.500%, 05/01/13 | 824 | ||||||
| 1,555 | 5.750%, 02/01/18 | 1,729 | ||||||
| 515 | SUB, 7.574%, 08/01/26 | 605 | ||||||
Wells Fargo & Co., | ||||||||
| 1,025 | 3.750%, 10/01/14 | 1,080 | ||||||
| 1,665 | 5.625%, 12/11/17 | 1,845 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
| 670 | 4.200%, 02/27/15 | 705 | ||||||
| 942 | 4.875%, 11/19/19 | 982 | ||||||
| 73,830 | ||||||||
Consumer Finance — 0.8% |
| |||||||
| 1,500 | Ally Financial, Inc., 6.250%, 12/01/17 (e) | 1,566 | ||||||
| 475 | American Express Co., 7.250%, 05/20/14 | 543 | ||||||
American Express Credit Corp., | ||||||||
| 2,225 | 5.875%, 05/02/13 | 2,412 | ||||||
| 1,100 | 7.300%, 08/20/13 | 1,239 | ||||||
| 1,750 | American General Finance Corp., 6.900%, 12/15/17 | 1,571 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 95 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued |
| |||||||
American Honda Finance Corp., | ||||||||
| 375 | 2.375%, 03/18/13 (e) | 380 | ||||||
| 810 | 4.625%, 04/02/13 (e) | 858 | ||||||
| 835 | 7.625%, 10/01/18 (e) | 1,026 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
| 325 | 5.750%, 02/01/21 | 321 | ||||||
| 125 | 6.625%, 08/15/17 | 133 | ||||||
| 3,000 | 8.125%, 01/15/20 | 3,424 | ||||||
HSBC Finance Corp., | ||||||||
| 1,000 | 5.000%, 06/30/15 | 1,071 | ||||||
| 500 | 6.375%, 11/27/12 | 540 | ||||||
| 400 | 7.350%, 11/27/32 | 409 | ||||||
John Deere Capital Corp., | ||||||||
| 230 | 5.250%, 10/01/12 | 246 | ||||||
| 515 | 5.350%, 04/03/18 | 566 | ||||||
| 670 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 690 | ||||||
| 662 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 666 | ||||||
| 17,661 | ||||||||
Diversified Financial Services — 2.4% |
| |||||||
| 2,465 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 2,536 | ||||||
| 1,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 1,048 | ||||||
Block Financial LLC, | ||||||||
| 500 | 5.125%, 10/30/14 | 512 | ||||||
| 500 | 7.875%, 01/15/13 | 537 | ||||||
| 3,000 | Capmark Financial Group, Inc., 3.158%, 05/10/10 (d) | 1,395 | ||||||
| 1,500 | Cardtronics, Inc., 8.250%, 09/01/18 | 1,628 | ||||||
Caterpillar Financial Services Corp., | ||||||||
| 800 | 4.850%, 12/07/12 | 854 | ||||||
| 850 | 5.450%, 04/15/18 | 952 | ||||||
| 500 | CIT Group, Inc., 7.000%, 05/01/15 | 507 | ||||||
| 500 | Citigroup Capital XXI, VAR, 8.300%, 12/21/57 | 515 | ||||||
Citigroup, Inc., | ||||||||
| 1,117 | 4.587%, 12/15/15 | 1,165 | ||||||
| 291 | 5.375%, 08/09/20 | 302 | ||||||
| 1,550 | 5.500%, 02/15/17 | 1,633 | ||||||
| 510 | 6.000%, 12/13/13 | 558 | ||||||
| 1,350 | 6.000%, 08/15/17 | 1,479 | ||||||
| 865 | 6.010%, 01/15/15 | 949 | ||||||
| 260 | 6.375%, 08/12/14 | 290 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Financial Services — Continued |
| |||||||
| 645 | 6.875%, 06/01/25 | 706 | ||||||
| 1,115 | 7.000%, 12/01/25 | 1,230 | ||||||
| 1,260 | 8.500%, 05/22/19 | 1,564 | ||||||
CME Group, Inc., | ||||||||
| 1,500 | 5.400%, 08/01/13 | 1,646 | ||||||
| 200 | 5.750%, 02/15/14 | 222 | ||||||
CNG Holdings, Inc., | ||||||||
| 175 | 12.250%, 02/15/15 (e) | 196 | ||||||
| 1,000 | 13.750%, 08/15/15 (e) | 1,125 | ||||||
Deluxe Corp., | ||||||||
| 58 | 5.125%, 10/01/14 | 58 | ||||||
| 1,075 | 7.375%, 06/01/15 | 1,121 | ||||||
General Electric Capital Corp., | ||||||||
| 294 | 5.300%, 02/11/21 | 302 | ||||||
| 1,115 | 5.625%, 05/01/18 | 1,213 | ||||||
| 5,760 | 5.875%, 02/15/12 | 6,047 | ||||||
| 3,370 | 5.875%, 01/14/38 | 3,381 | ||||||
| 130 | 5.900%, 05/13/14 | 144 | ||||||
| 1,000 | 6.000%, 06/15/12 | 1,064 | ||||||
| 1,100 | 6.750%, 03/15/32 | 1,226 | ||||||
| 145 | 6.875%, 01/10/39 | 164 | ||||||
| 445 | VAR, 0.383%, 08/15/11 | 445 | ||||||
| 1,400 | ILFC E-Capital Trust I, VAR, 5.960%, 12/21/65 (e) | 1,181 | ||||||
| 600 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 522 | ||||||
International Lease Finance Corp., | ||||||||
| 320 | 8.625%, 09/15/15 (e) | 361 | ||||||
| 1,820 | 8.750%, 03/15/17 (e) | 2,079 | ||||||
| 600 | 8.875%, 09/01/17 | 684 | ||||||
| 900 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 893 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
| 385 | 4.750%, 03/01/14 | 416 | ||||||
| 400 | 7.250%, 03/01/12 | 426 | ||||||
| 170 | 10.375%, 11/01/18 | 233 | ||||||
| 100 | Nile Finance Ltd., (Cayman Islands), Reg. S., 5.250%, 08/05/15 | 95 | ||||||
| 160 | Northern Tier Energy LLC/Northern Tier Finance Corp., 10.500%, 12/01/17 (e) | 179 | ||||||
| 2,500 | SquareTwo Financial Corp., 11.625%, 04/01/17 (e) | 2,506 | ||||||
| 505 | Textron Financial Corp., 5.400%, 04/28/13 | 533 | ||||||
| 180 | Ukreximbank Via Biz Finance PL, (Ukraine), Reg. S., 8.375%, 04/27/15 | 186 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 96 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
| 1,510 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 1,504 | ||||||
| 100 | Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e) | 111 | ||||||
| 50,623 | ||||||||
FDIC Guaranteed Securities (~) — 0.1% |
| |||||||
| 735 | Citigroup, Inc., 2.875%, 12/09/11 | 750 | ||||||
| 750 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 776 | ||||||
| 1,526 | ||||||||
Insurance — 2.0% |
| |||||||
| 1,310 | �� | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 1,449 | |||||
| 558 | Aflac, Inc., 6.450%, 08/15/40 | 575 | ||||||
| 190 | Allstate Corp. (The), 7.450%, 05/16/19 | 228 | ||||||
| 1,132 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 1,225 | ||||||
American International Group, Inc., | ||||||||
| 435 | 5.600%, 10/18/16 | 459 | ||||||
| 1,000 | VAR, 8.175%, 05/15/58 | 1,098 | ||||||
AON Corp., | ||||||||
| 191 | 3.500%, 09/30/15 | 192 | ||||||
| 240 | 6.250%, 09/30/40 | 248 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
| 1,000 | 5.400%, 05/15/18 | 1,107 | ||||||
| 500 | 5.750%, 01/15/40 | 528 | ||||||
| 315 | Chubb Corp. (The), 5.750%, 05/15/18 | 353 | ||||||
| 642 | CNA Financial Corp., 5.875%, 08/15/20 | 668 | ||||||
| 1,950 | Crum & Forster Holdings Corp., 7.750%, 05/01/17 | 2,045 | ||||||
Genworth Financial, Inc., | ||||||||
| 100 | 7.200%, 02/15/21 | 101 | ||||||
| 1,800 | VAR, 6.150%, 11/15/66 | 1,415 | ||||||
| 2,000 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) | 2,080 | ||||||
| 1,950 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 2,108 | ||||||
Liberty Mutual Group, Inc., | ||||||||
| 1,525 | 7.800%, 03/15/37 (e) | 1,525 | ||||||
| 2,250 | VAR, 10.750%, 06/15/58 (e) | 2,931 | ||||||
MassMutual Global Funding II, | ||||||||
| 382 | 2.300%, 09/28/15 (e) | 370 | ||||||
| 600 | 3.625%, 07/16/12 (e) | 621 | ||||||
| 160 | MetLife, Inc., 6.750%, 06/01/16 | 186 | ||||||
Metropolitan Life Global Funding I, | ||||||||
| 190 | 5.125%, 04/10/13 (e) | 204 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Insurance — Continued |
| |||||||
| 875 | 5.200%, 09/18/13 (e) | 948 | ||||||
| 600 | 5.750%, 07/25/11 (e) | 611 | ||||||
| 315 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 335 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
| 1,465 | 7.875%, 04/01/33 (e) | 1,524 | ||||||
| 1,400 | 9.375%, 08/15/39 (e) | 1,669 | ||||||
New York Life Global Funding, | ||||||||
| 250 | 3.000%, 05/04/15 (e) | 254 | ||||||
| 1,680 | 4.650%, 05/09/13 (e) | 1,797 | ||||||
Pacific Life Global Funding, | ||||||||
| 400 | 5.000%, 05/15/17 (e) | 408 | ||||||
| 770 | 5.150%, 04/15/13 (e) | 819 | ||||||
| 1,000 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 1,318 | ||||||
| 800 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 872 | ||||||
| 175 | Principal Financial Group, Inc., 8.875%, 05/15/19 | 223 | ||||||
| 300 | Principal Life Global Funding I, 5.250%, 01/15/13 (e) | 317 | ||||||
Principal Life Income Funding Trusts, | ||||||||
| 185 | 5.150%, 06/17/11 | 187 | ||||||
| 1,165 | 5.300%, 12/14/12 | 1,249 | ||||||
| 1,025 | 5.300%, 04/24/13 | 1,102 | ||||||
| 1,100 | Protective Life Secured Trusts, 4.000%, 04/01/11 | 1,103 | ||||||
| 205 | Prudential Financial, Inc., 7.375%, 06/15/19 | 244 | ||||||
| 405 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 | 449 | ||||||
| 2,550 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 2,806 | ||||||
| 700 | Travelers Property Casualty Corp., 7.750%, 04/15/26 | 863 | ||||||
| 40,814 | ||||||||
Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
| 390 | Aviv Healthcare Properties LP, 7.750%, 02/15/19 (e) | 407 | ||||||
| 655 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 675 | ||||||
| 1,250 | Colonial Realty LP, 6.250%, 06/15/14 | 1,321 | ||||||
CommonWealth REIT, | ||||||||
| 1,865 | 5.875%, 09/15/20 | 1,901 | ||||||
| 375 | 6.250%, 08/15/16 | 404 | ||||||
| 300 | 6.650%, 01/15/18 | 320 | ||||||
| 3,000 | Developers Diversified Realty Corp., 7.875%, 09/01/20 | 3,513 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 97 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
| 500 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 551 | ||||||
| 2,300 | First Industrial LP, 6.420%, 06/01/14 | 2,296 | ||||||
| 750 | Forest City Enterprises, Inc., 7.625%, 06/01/15 | 727 | ||||||
| 500 | HCP, Inc., 5.375%, 02/01/21 | 511 | ||||||
| 525 | Host Hotels & Resorts, Inc., 6.000%, 11/01/20 | 526 | ||||||
| 3,000 | Rouse Co. LP (The), 5.375%, 11/26/13 | 3,015 | ||||||
| 1,500 | Senior Housing Properties Trust, 6.750%, 04/15/20 | 1,602 | ||||||
Simon Property Group LP, | ||||||||
| 340 | 5.625%, 08/15/14 | 374 | ||||||
| 492 | 5.650%, 02/01/20 | 536 | ||||||
| 915 | 6.100%, 05/01/16 | 1,039 | ||||||
| 675 | 6.125%, 05/30/18 | 760 | ||||||
| 310 | 6.750%, 05/15/14 | 349 | ||||||
| 788 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 901 | ||||||
| 21,728 | ||||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
| 525 | Countrywide Financial Corp., 6.250%, 05/15/16 | 563 | ||||||
| 3,065 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 3,083 | ||||||
| 3,646 | ||||||||
Total Financials | 247,119 | |||||||
Health Care — 1.7% |
| |||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc., | ||||||||
| 150 | 5.700%, 02/01/19 | 168 | ||||||
| 618 | 5.750%, 03/15/40 | 642 | ||||||
| 400 | 6.900%, 06/01/38 | 481 | ||||||
| 1,250 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 1,375 | ||||||
| 2,666 | ||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
| 500 | Accellent, Inc., 8.375%, 02/01/17 | 530 | ||||||
Baxter International, Inc., | ||||||||
| 250 | 4.000%, 03/01/14 | 266 | ||||||
| 550 | 4.625%, 03/15/15 | 599 | ||||||
Becton Dickinson and Co., | ||||||||
| 100 | 5.000%, 05/15/19 | 107 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
| 400 | 6.000%, 05/15/39 | 445 | ||||||
| 1,947 | ||||||||
Health Care Providers & Services — 0.9% |
| |||||||
| 115 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 124 | ||||||
| 400 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 424 | ||||||
DaVita, Inc., | ||||||||
| 600 | 6.375%, 11/01/18 | 608 | ||||||
| 600 | 6.625%, 11/01/20 | 608 | ||||||
| 1,000 | FMC Finance III S.A., (Luxembourg), 6.875%, 07/15/17 | 1,054 | ||||||
| 350 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 | 353 | ||||||
| 500 | Fresenius Medical Care U.S. Finance, Inc., 5.750%, 02/15/21 (e) | 484 | ||||||
HCA, Inc., | ||||||||
| 750 | 7.250%, 09/15/20 | 809 | ||||||
| 200 | 8.500%, 04/15/19 | 224 | ||||||
| 160 | 9.125%, 11/15/14 | 168 | ||||||
| 440 | 9.250%, 11/15/16 | 475 | ||||||
| 2,028 | Health Management Associates, Inc., 6.125%, 04/15/16 | 2,058 | ||||||
| 800 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 (e) | 819 | ||||||
| 305 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 302 | ||||||
| 1,755 | Omega Healthcare Investors, Inc., 6.750%, 10/15/22 (e) | 1,773 | ||||||
Omnicare, Inc., | ||||||||
| 30 | 6.875%, 12/15/15 | 31 | ||||||
| 2,350 | 7.750%, 06/01/20 | 2,509 | ||||||
Roche Holdings, Inc., | ||||||||
| 1,000 | 5.000%, 03/01/14 (e) | 1,094 | ||||||
| 1,220 | 6.000%, 03/01/19 (e) | 1,394 | ||||||
| 1,395 | Tenet Healthcare Corp., 8.875%, 07/01/19 | 1,587 | ||||||
| 250 | Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16 | 262 | ||||||
| 1,550 | WellPoint, Inc., 6.800%, 08/01/12 | 1,672 | ||||||
| 18,832 | ||||||||
Pharmaceuticals — 0.6% | ||||||||
| 400 | Abbott Laboratories, 6.150%, 11/30/37 | 446 | ||||||
| 504 | AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12 | 540 | ||||||
| 225 | Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16 | 237 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 98 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Pharmaceuticals — Continued |
| |||||||
| 200 | Giant Funding Corp., 8.250%, 02/01/18 (e) | 206 | ||||||
| 920 | GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38 | 1,049 | ||||||
| 1,000 | Merck & Co., Inc., 6.550%, 09/15/37 | 1,183 | ||||||
Mylan, Inc., | ||||||||
| 300 | 7.625%, 07/15/17 (e) | 329 | ||||||
| 899 | 7.875%, 07/15/20 (e) | 1,005 | ||||||
Novartis Capital Corp., | ||||||||
| 435 | 4.125%, 02/10/14 | 466 | ||||||
| 335 | 4.400%, 04/24/20 | 348 | ||||||
| 250 | Pfizer, Inc., 6.200%, 03/15/19 | 290 | ||||||
| 215 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 | 235 | ||||||
Valeant Pharmaceuticals International, | ||||||||
| 250 | 6.750%, 10/01/17 (e) | 259 | ||||||
| 900 | 6.875%, 12/01/18 (e) | 936 | ||||||
| 375 | 7.000%, 10/01/20 (e) | 387 | ||||||
Wyeth, | ||||||||
| 2,350 | 5.500%, 02/01/14 | 2,607 | ||||||
| 555 | 5.500%, 02/15/16 | 623 | ||||||
| 11,146 | ||||||||
Total Health Care | 34,591 | |||||||
Industrials — 3.6% | ||||||||
Aerospace & Defense — 0.7% | ||||||||
Alliant Techsystems, Inc., | ||||||||
| 100 | 6.750%, 04/01/16 | 103 | ||||||
| 600 | 6.875%, 09/15/20 | 621 | ||||||
BAE Systems Holdings, Inc., | ||||||||
| 850 | 5.200%, 08/15/15 (e) | 909 | ||||||
| 145 | 6.375%, 06/01/19 (e) | 162 | ||||||
| 725 | BE Aerospace, Inc., 6.875%, 10/01/20 | 756 | ||||||
Bombardier, Inc., (Canada), | ||||||||
| 1,075 | 7.500%, 03/15/18 (e) | 1,156 | ||||||
| 450 | 7.750%, 03/15/20 (e) | 488 | ||||||
| 1,940 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) | 1,542 | ||||||
Esterline Technologies Corp., | ||||||||
| 1,000 | 6.625%, 03/01/17 | 1,035 | ||||||
| 250 | 7.000%, 08/01/20 | 262 | ||||||
| 167 | Hexcel Corp., 6.750%, 02/01/15 | 171 | ||||||
| 250 | ITT Corp., 6.125%, 05/01/19 | 282 | ||||||
| 210 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 237 | ||||||
| 952 | Lockheed Martin Corp., 5.720%, 06/01/40 (e) | 972 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Aerospace & Defense — Continued | ||||||||
| 1,900 | McDonnell Douglas Corp., 9.750%, 04/01/12 | 2,081 | ||||||
| 750 | Moog, Inc., 6.250%, 01/15/15 | 757 | ||||||
| 643 | Spirit Aerosystems, Inc., 6.750%, 12/15/20 | 659 | ||||||
| 266 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) | 272 | ||||||
Triumph Group, Inc., | ||||||||
| 232 | 8.000%, 11/15/17 | 250 | ||||||
| 575 | 8.625%, 07/15/18 | 634 | ||||||
| 13,349 | ||||||||
Air Freight & Logistics — 0.0% (g) |
| |||||||
| 1,000 | Federal Express Corp., 9.650%, 06/15/12 | 1,104 | ||||||
Airlines — 0.5% |
| |||||||
| 245 | American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19 | 294 | ||||||
| 250 | Continental Airlines 2001-1 Pass-Through Trust, 6.503%, 06/15/11 | 252 | ||||||
| 2,276 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 2,288 | ||||||
| 710 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 714 | ||||||
| 376 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 | 398 | ||||||
| 1,184 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 1,196 | ||||||
Delta Air Lines, Inc., | ||||||||
| 1,500 | 4.950%, 05/23/19 | 1,526 | ||||||
| 225 | 7.111%, 09/18/11 | 232 | ||||||
| 77 | 8.021%, 08/10/22 | 80 | ||||||
| 74 | 8.954%, 08/10/14 | 77 | ||||||
| 44 | 9.500%, 09/15/14 (e) | 48 | ||||||
| 541 | 9.750%, 12/17/16 | 585 | ||||||
| 610 | 10.000%, 12/05/14 (d) (e) (f) (i) | 183 | ||||||
| 666 | Northwest Airlines, Inc., 7.027%, 11/01/19 | 693 | ||||||
| 1,355 | UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19 (e) | 1,314 | ||||||
| 236 | UAL 2009-1 Pass-Through Trust, 10.400%, 11/01/16 | 274 | ||||||
| 10,154 | ||||||||
Building Products — 0.2% |
| |||||||
Building Materials Corp of America, | ||||||||
| 750 | 6.875%, 08/15/18 (e) | 769 | ||||||
| 700 | 7.000%, 02/15/20 (e) | 738 | ||||||
Masco Corp., | ||||||||
| 1,000 | 6.125%, 10/03/16 | 1,023 | ||||||
| 2,000 | 7.125%, 03/15/20 | 2,083 | ||||||
| 4,613 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 99 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Services & Supplies — 0.6% |
| |||||||
| 875 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 976 | ||||||
| 450 | Cenveo Corp., 8.875%, 02/01/18 | 452 | ||||||
| 990 | Clean Harbors, Inc., 7.625%, 08/15/16 | 1,052 | ||||||
Corrections Corp. of America, | ||||||||
| 572 | 6.250%, 03/15/13 | 573 | ||||||
| 1,050 | 6.750%, 01/31/14 | 1,067 | ||||||
| 1,720 | Covanta Holding Corp., 7.250%, 12/01/20 | 1,806 | ||||||
FTI Consulting, Inc., | ||||||||
| 290 | 6.750%, 10/01/20 (e) | 290 | ||||||
| 1,750 | 7.750%, 10/01/16 | 1,835 | ||||||
| 271 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 291 | ||||||
Geo Group, Inc. (The), | ||||||||
| 234 | 6.625%, 02/15/21 (e) | 235 | ||||||
| 818 | 7.750%, 10/15/17 | 872 | ||||||
| 1,673 | Pitney Bowes, Inc., 5.250%, 01/15/37 | 1,716 | ||||||
Power Sector Assets & Liabilities Management, (Philippines), | ||||||||
| 130 | 7.250%, 05/27/19 (e) | 149 | ||||||
| 100 | 7.390%, 12/02/24 (e) | 115 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
| 1,145 | 6.125%, 11/15/13 (d) (f) (i) | 57 | ||||||
| 1,160 | 6.500%, 08/01/27 (d) (f) (i) | 58 | ||||||
| 265 | 9.750%, 01/15/15 (d) (f) (i) | 13 | ||||||
| 11,557 | ||||||||
Construction & Engineering — 0.3% |
| |||||||
| 1,450 | Dycom Investments, Inc., 7.125%, 01/15/21 (e) | 1,481 | ||||||
| 1,150 | New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e) | 1,176 | ||||||
| 158 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14 | 166 | ||||||
| 1,725 | Tutor Perini Corp., 7.625%, 11/01/18 (e) | 1,787 | ||||||
United Rentals North America, Inc., | ||||||||
| 650 | 9.250%, 12/15/19 | 736 | ||||||
| 100 | 10.875%, 06/15/16 | 116 | ||||||
| 5,462 | ||||||||
Electrical Equipment — 0.1% |
| |||||||
Belden, Inc., | ||||||||
| 500 | 7.000%, 03/15/17 | 508 | ||||||
| 250 | 9.250%, 06/15/19 | 277 | ||||||
| 185 | International Wire Group, Inc., 9.750%, 04/15/15 (e) | 198 | ||||||
| 457 | Valmont Industries, Inc., 6.875%, 05/01/14 | 466 | ||||||
| 1,449 | ||||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 215 | Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 | 251 | ||||||
Siemens Financieringsmaatschappij N.V., (Netherlands), | ||||||||
| 1,830 | 5.750%, 10/17/16 (e) | 2,065 | ||||||
| 300 | 6.125%, 08/17/26 (e) | 336 | ||||||
| 2,652 | ||||||||
Machinery — 0.3% |
| |||||||
| 310 | Altra Holdings, Inc., 8.125%, 12/01/16 | 331 | ||||||
| 3,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 3,165 | ||||||
| 550 | Eaton Corp., 5.600%, 05/15/18 | 610 | ||||||
| 225 | Ingersoll-Rand Co., (Bermuda), 7.200%, 06/01/25 | 241 | ||||||
| 110 | PACCAR, Inc., 6.375%, 02/15/12 | 116 | ||||||
| 440 | Parker Hannifin Corp., 6.250%, 05/15/38 | 498 | ||||||
SPX Corp., | ||||||||
| 1,500 | 6.875%, 09/01/17 (e) | 1,612 | ||||||
| 250 | 7.625%, 12/15/14 | 274 | ||||||
| 320 | Titan International, Inc., 7.875%, 10/01/17 (e) | 342 | ||||||
| 7,189 | ||||||||
Marine — 0.2% |
| |||||||
| 832 | General Maritime Corp., 12.000%, 11/15/17 | 763 | ||||||
| 125 | Navios Maritime Holdings, Inc./Navios Maritime Finance II U.S., Inc., 8.125%, 02/15/19 (e) | 125 | ||||||
| 1,250 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 1,350 | ||||||
SCF Capital Ltd., (Russia), | ||||||||
| 200 | 5.375%, 10/27/17 (e) | 196 | ||||||
| 200 | Reg. S., 5.375%, 10/27/17 | 195 | ||||||
| 750 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 763 | ||||||
| 3,392 | ||||||||
Road & Rail — 0.6% |
| |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
| 270 | 8.250%, 01/15/19 | 286 | ||||||
| 1,300 | 9.625%, 03/15/18 | 1,453 | ||||||
| 643 | Burlington Northern and Santa Fe Railway Co. 2000 Pass-Through Trust, 7.908%, 01/15/20 | 744 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
| 220 | 5.650%, 05/01/17 | 246 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 100 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
| 1,150 | 6.700%, 08/01/28 | 1,273 | ||||||
| 280 | Canadian Pacific Ltd., (Canada), 9.450%, 08/01/21 | 376 | ||||||
| 165 | Canadian Pacific Railway Co., (Canada), 7.250%, 05/15/19 | 196 | ||||||
| 1,075 | CSX Corp., 7.375%, 02/01/19 | 1,304 | ||||||
Erac USA Finance Co., | ||||||||
| 250 | 6.375%, 10/15/17 (e) | 281 | ||||||
| 800 | 6.700%, 06/01/34 (e) | 828 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
| 375 | 6.625%, 12/15/20 (e) | 383 | ||||||
| 352 | 7.375%, 06/01/14 | 367 | ||||||
| 1,683 | RailAmerica, Inc., 9.250%, 07/01/17 | 1,864 | ||||||
| 576 | Ryder System, Inc., 3.600%, 03/01/16 | 572 | ||||||
| 390 | Union Pacific Corp., 7.000%, 02/01/16 | 458 | ||||||
| 235 | United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30 | 296 | ||||||
| 10,927 | ||||||||
Transportation Services — 0.0% (g) | ||||||||
| 750 | Wabtec Corp., 6.875%, 07/31/13 | 788 | ||||||
Total Industrials | 72,636 | |||||||
Information Technology — 1.2% | ||||||||
Communications Equipment — 0.1% | ||||||||
| 540 | Brightstar Corp., 9.500%, 12/01/16 (e) | 578 | ||||||
Cisco Systems, Inc., | ||||||||
| 500 | 5.500%, 01/15/40 | 498 | ||||||
| 375 | 5.900%, 02/15/39 | 395 | ||||||
| 135 | Nokia OYJ, (Finland), 5.375%, 05/15/19 | 139 | ||||||
| 1,610 | ||||||||
Computers & Peripherals — 0.4% | ||||||||
Dell, Inc., | ||||||||
| 981 | 2.300%, 09/10/15 | 963 | ||||||
| 1,000 | 7.100%, 04/15/28 | 1,134 | ||||||
Hewlett-Packard Co., | ||||||||
| 80 | 2.950%, 08/15/12 | 82 | ||||||
| 500 | 5.400%, 03/01/17 | 559 | ||||||
| 250 | 5.500%, 03/01/18 | 279 | ||||||
International Business Machines Corp., | ||||||||
| 770 | 5.875%, 11/29/32 | 853 | ||||||
| 650 | 7.000%, 10/30/25 | 804 | ||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
| 230 | 6.875%, 05/01/20 (e) | 225 | ||||||
| 2,000 | 7.750%, 12/15/18 (e) | 2,050 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Computers & Peripherals — Continued | ||||||||
| 1,000 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 1,044 | ||||||
| 7,993 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
| 250 | 6.000%, 04/01/20 | 257 | ||||||
| 769 | 6.875%, 07/01/13 | 839 | ||||||
| 100 | 7.500%, 01/15/27 | 106 | ||||||
| 50 | Intcomex, Inc., 13.250%, 12/15/14 (e) | 53 | ||||||
| 750 | Sanmina-SCI Corp., VAR, 3.052%, 06/15/14 (e) | 739 | ||||||
| 1,994 | ||||||||
Internet Software & Services — 0.0% (g) |
| |||||||
| 225 | Equinix, Inc., 8.125%, 03/01/18 | 244 | ||||||
IT Services — 0.3% |
| |||||||
Fidelity National Information Services, Inc., | ||||||||
| 106 | 7.625%, 07/15/17 | 117 | ||||||
| 831 | 7.875%, 07/15/20 | 922 | ||||||
First Data Corp., | ||||||||
| 209 | 8.250%, 01/15/21 (e) | 208 | ||||||
| 600 | 8.875%, 08/15/20 (e) | 657 | ||||||
| 47 | 9.875%, 09/24/15 | 47 | ||||||
| 670 | 12.625%, 01/15/21 (e) | 702 | ||||||
| 900 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 995 | ||||||
| 3,860 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (e) | 3,571 | ||||||
| 7,219 | ||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
| 415 | Advanced Micro Devices, Inc., 8.125%, 12/15/17 | 442 | ||||||
| 1,280 | Amkor Technology, Inc., 7.375%, 05/01/18 | 1,342 | ||||||
| 375 | Freescale Semiconductor, Inc., 9.250%, 04/15/18 (e) | 418 | ||||||
NXP B.V./NXP Funding LLC, (Netherlands), | ||||||||
| 125 | 7.875%, 10/15/14 | 131 | ||||||
| 375 | VAR, 3.053%, 10/15/13 | 373 | ||||||
| 150 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 164 | ||||||
| 2,870 | ||||||||
Software — 0.2% |
| |||||||
| 115 | Intuit, Inc., 5.750%, 03/15/17 | 127 | ||||||
| 595 | Microsoft Corp., 4.500%, 10/01/40 | 534 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 101 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Software — Continued |
| |||||||
Oracle Corp., | ||||||||
| 1,000 | 5.250%, 01/15/16 | 1,116 | ||||||
| 241 | 5.375%, 07/15/40 (e) | 235 | ||||||
| 1,030 | 6.500%, 04/15/38 | 1,163 | ||||||
| 3,175 | ||||||||
Total Information Technology | 25,105 | |||||||
Materials — 3.3% |
| |||||||
Chemicals — 0.7% |
| |||||||
| 275 | Celanese US Holdings LLC, 6.625%, 10/15/18 (e) | 287 | ||||||
CF Industries, Inc., | ||||||||
| 300 | 6.875%, 05/01/18 | 331 | ||||||
| 340 | 7.125%, 05/01/20 | 382 | ||||||
| 360 | Chemtura Corp., 7.875%, 09/01/18 (e) | 384 | ||||||
| 242 | Dow Chemical Co. (The), 4.250%, 11/15/20 | 233 | ||||||
EI du Pont de Nemours & Co., | ||||||||
| 721 | 1.950%, 01/15/16 | 696 | ||||||
| 410 | 3.250%, 01/15/15 | 425 | ||||||
| 1,175 | 4.900%, 01/15/41 | 1,105 | ||||||
| 130 | 5.000%, 07/15/13 | 141 | ||||||
Lyondell Chemical Co., | ||||||||
| 562 | 8.000%, 11/01/17 (e) | 633 | ||||||
| 1,537 | 11.000%, 05/01/18 | 1,763 | ||||||
| 525 | Monsanto Co., 7.375%, 08/15/12 | 573 | ||||||
| 385 | Nalco Co., 6.625%, 01/15/19 (e) | 398 | ||||||
| 190 | Polymer Group, Inc., 7.750%, 02/01/19 (e) | 198 | ||||||
| 775 | PolyOne Corp., 7.375%, 09/15/20 | 822 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
| 450 | 4.875%, 03/01/13 | 481 | ||||||
| 753 | 7.750%, 05/31/11 | 767 | ||||||
| 200 | PPG Industries, Inc., 9.000%, 05/01/21 | 260 | ||||||
Praxair, Inc., | ||||||||
| 1,535 | 4.625%, 03/30/15 | 1,656 | ||||||
| 375 | 5.200%, 03/15/17 | 413 | ||||||
| 650 | 5.250%, 11/15/14 | 728 | ||||||
| 200 | Rhodia S.A., (France), 6.875%, 09/15/20 (e) | 205 | ||||||
| 1,305 | Union Carbide Corp., 7.750%, 10/01/96 | 1,357 | ||||||
| 14,238 | ||||||||
Construction Materials — 0.0% (g) |
| |||||||
| 75 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 78 | ||||||
Containers & Packaging — 0.6% |
| |||||||
| 900 | Ardagh Packaging Finance plc, (Ireland), 7.375%, 10/15/17 (e) | 958 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Containers & Packaging — Continued |
| |||||||
Ball Corp., | ||||||||
| 1,465 | 5.750%, 05/15/21 | 1,436 | ||||||
| 1,500 | 6.750%, 09/15/20 | 1,571 | ||||||
| 125 | 7.125%, 09/01/16 | 137 | ||||||
| 125 | 7.375%, 09/01/19 | 136 | ||||||
| 220 | Berry Plastics Corp., 8.250%, 11/15/15 | 236 | ||||||
| 2,000 | Constar International, Inc., VAR, 0.000%, 02/15/12 (d) | 917 | ||||||
| 600 | Graphic Packaging International, Inc., 7.875%, 10/01/18 | 645 | ||||||
| 1,000 | Packaging Dynamics Finance Corp., 10.000%, 05/01/16 (e) | 1,060 | ||||||
| 376 | Plastipak Holdings, Inc., 8.500%, 12/15/15 (e) | 393 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
| 1,000 | 6.875%, 02/15/21 (e) | 1,002 | ||||||
| 675 | 7.125%, 04/15/19 (e) | 692 | ||||||
| 700 | 7.750%, 10/15/16 (e) | 746 | ||||||
| 500 | Sealed Air Corp., 7.875%, 06/15/17 | 557 | ||||||
| 700 | Silgan Holdings, Inc., 7.250%, 08/15/16 | 756 | ||||||
| 900 | Solo Cup Co., 10.500%, 11/01/13 | 918 | ||||||
| 12,160 | ||||||||
Metals & Mining — 0.7% |
| |||||||
| 375 | AK Steel Corp., 7.625%, 05/15/20 | 383 | ||||||
| 106 | Arch Western Finance LLC, 6.750%, 07/01/13 | 107 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
| 570 | 4.800%, 04/15/13 | 614 | ||||||
| 575 | 5.400%, 03/29/17 | 645 | ||||||
| 1,110 | 5.500%, 04/01/14 | 1,234 | ||||||
| 120 | 6.500%, 04/01/19 | 142 | ||||||
| 1,086 | California Steel Industries, Inc., 6.125%, 03/15/14 | 1,081 | ||||||
| 230 | Corp. Nacional del Cobre de Chile, (Chile), 7.500%, 01/15/19 | 279 | ||||||
| 1,500 | Edgen Murray Corp., 12.250%, 01/15/15 | 1,433 | ||||||
| 150 | FMG Resources August 2006 Pty Ltd., (Australia), 7.000%, 11/01/15 (e) | 156 | ||||||
| 255 | Freeport-McMoRan Copper & Gold, Inc., 8.250%, 04/01/15 | 267 | ||||||
Novelis, Inc., (Canada), | ||||||||
| 650 | 8.375%, 12/15/17 (e) | 716 | ||||||
| 475 | 8.750%, 12/15/20 (e) | 524 | ||||||
| 1,510 | Nucor Corp., 6.400%, 12/01/37 | 1,727 | ||||||
| 450 | Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e) | 480 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 102 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Metals & Mining — Continued |
| |||||||
| 538 | Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20 | 506 | ||||||
| 270 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) | 294 | ||||||
Steel Dynamics, Inc., | ||||||||
| 1,500 | 6.750%, 04/01/15 | 1,534 | ||||||
| 10 | 7.750%, 04/15/16 | 10 | ||||||
United States Steel Corp., | ||||||||
| 474 | 6.050%, 06/01/17 | 482 | ||||||
| 280 | 7.000%, 02/01/18 | 292 | ||||||
| 1,500 | 7.375%, 04/01/20 | 1,586 | ||||||
| 982 | Wolverine Tube, Inc., 15.000%, 03/31/12 (d) | 373 | ||||||
| 14,865 | ||||||||
Paper & Forest Products — 1.3% |
| |||||||
| 900 | AbitibiBowater, Inc., 10.250%, 10/15/18 (e) | 1,008 | ||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
| 14,926 | 6.000%, 06/20/13 (d) | 149 | ||||||
| 7,648 | 8.375%, 04/01/15 (d) | 77 | ||||||
Abitibi-Consolidated, Inc., (Canada), | ||||||||
| 1,999 | 7.500%, 06/15/11 (d) | 20 | ||||||
| 1,199 | 7.500%, 04/01/28 (d) | 12 | ||||||
| 730 | 8.850%, 08/01/30 (d) | 7 | ||||||
| 2,300 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 2,380 | ||||||
| 1,000 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 1,103 | ||||||
Cascades, Inc., (Canada), | ||||||||
| 1,100 | 7.750%, 12/15/17 | 1,151 | ||||||
| 400 | 7.875%, 01/15/20 | 417 | ||||||
| 700 | Clearwater Paper Corp., 7.125%, 11/01/18 (e) | 726 | ||||||
Domtar Corp., | ||||||||
| 126 | 7.125%, 08/15/15 | 139 | ||||||
| 950 | 10.750%, 06/01/17 | 1,216 | ||||||
Georgia-Pacific LLC, | ||||||||
| 1,000 | 5.400%, 11/01/20 (e) | 995 | ||||||
| 172 | 7.000%, 01/15/15 (e) | 178 | ||||||
| 875 | 7.125%, 01/15/17 (e) | 929 | ||||||
| 1,200 | 7.750%, 11/15/29 | 1,332 | ||||||
| 400 | 8.250%, 05/01/16 (e) | 451 | ||||||
| 1,154 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) (f) (i) | 78 | ||||||
NewPage Corp., | ||||||||
| 3,250 | 10.000%, 05/01/12 | 2,145 | ||||||
| 5,150 | 11.375%, 12/31/14 | 5,137 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Paper & Forest Products — Continued |
| |||||||
P.H. Glatfelter Co., | ||||||||
| 2,000 | 7.125%, 05/01/16 | 2,045 | ||||||
| 1,000 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 1,155 | ||||||
| 1,650 | Potlatch Corp., 7.500%, 11/01/19 | 1,749 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
| 1,640 | 8.000%, 03/15/17 (d) (f) (i) | 111 | ||||||
| 2,656 | 8.375%, 07/01/12 (d) (f) (i) | 179 | ||||||
| 750 | Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 | 827 | ||||||
Weyerhaeuser Co., | ||||||||
| 350 | 7.375%, 10/01/19 | 393 | ||||||
| 750 | 7.375%, 03/15/32 | 816 | ||||||
| 26,925 | ||||||||
Total Materials | 68,266 | |||||||
Telecommunication Services — 2.0% |
| |||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
| 31 | AT&T Corp., 8.000%, 11/15/31 | 39 | ||||||
AT&T, Inc., | ||||||||
| 1,030 | 5.350%, 09/01/40 (e) | 945 | ||||||
| 220 | 5.600%, 05/15/18 | 243 | ||||||
| 465 | 5.800%, 02/15/19 | 520 | ||||||
| 1,500 | 6.300%, 01/15/38 | 1,557 | ||||||
BellSouth Corp., | ||||||||
| 1,285 | 5.200%, 09/15/14 | 1,415 | ||||||
| 100 | 6.875%, 10/15/31 | 110 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
| 451 | 6.300%, 12/15/15 | 486 | ||||||
| 330 | 7.000%, 12/01/95 | 342 | ||||||
Cincinnati Bell, Inc., | ||||||||
| 800 | 8.250%, 10/15/17 | 808 | ||||||
| 145 | 8.750%, 03/15/18 | 139 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
| 100 | 6.750%, 08/20/18 | 117 | ||||||
| 1,000 | 8.750%, 06/15/30 | 1,311 | ||||||
Frontier Communications Corp., | ||||||||
| 785 | 7.125%, 03/15/19 | 816 | ||||||
| 15 | 7.875%, 04/15/15 | 17 | ||||||
| 1,165 | 8.125%, 10/01/18 | 1,294 | ||||||
| 15 | 8.250%, 04/15/17 | 16 | ||||||
| 215 | 8.500%, 04/15/20 | 239 | ||||||
| 15 | 8.750%, 04/15/22 | 17 | ||||||
| 800 | GTE Corp., 6.840%, 04/15/18 | 934 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 103 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
| 2,750 | Level 3 Communications, Inc., 11.875%, 02/01/19 (e) | 2,702 | ||||||
Qwest Communications International, Inc., | ||||||||
| 1,000 | 7.125%, 04/01/18 | 1,073 | ||||||
| 90 | 8.000%, 10/01/15 | 98 | ||||||
Qwest Corp., | ||||||||
| 1,000 | 6.500%, 06/01/17 | 1,100 | ||||||
| 250 | 8.875%, 03/15/12 | 268 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
| 562 | 5.250%, 11/15/13 | 587 | ||||||
| 190 | 7.721%, 06/04/38 | 197 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
| 138 | 5.462%, 02/16/21 | 140 | ||||||
| 600 | 5.855%, 02/04/13 | 641 | ||||||
| 80 | 5.877%, 07/15/19 | 84 | ||||||
| 480 | TELUS Corp., (Canada), 8.000%, 06/01/11 | 489 | ||||||
Verizon Communications, Inc., | ||||||||
| 585 | 6.900%, 04/15/38 | 664 | ||||||
| 75 | 7.350%, 04/01/39 | 89 | ||||||
Verizon Global Funding Corp., | ||||||||
| 820 | 7.750%, 12/01/30 | 1,006 | ||||||
| 290 | 7.750%, 06/15/32 | 357 | ||||||
| 2,000 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 2,322 | ||||||
Virgin Media Secured Finance plc, (United Kingdom), | ||||||||
| 1,500 | 5.250%, 01/15/21 (e) | 1,518 | ||||||
| 2,400 | 6.500%, 01/15/18 | 2,628 | ||||||
Windstream Corp., | ||||||||
| 525 | 8.125%, 08/01/13 | 578 | ||||||
| 125 | 8.125%, 09/01/18 | 134 | ||||||
| 1,250 | 8.625%, 08/01/16 | 1,322 | ||||||
| 29,362 | ||||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
| 450 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 497 | ||||||
| 140 | Cricket Communications, Inc., 7.750%, 05/15/16 | 148 | ||||||
| 75 | MetroPCS Wireless, Inc., 7.875%, 09/01/18 | 79 | ||||||
| 805 | New Cingular Wireless Services, Inc., 8.125%, 05/01/12 | 873 | ||||||
| 2,750 | Nextel Communications, Inc., 7.375%, 08/01/15 | 2,757 | ||||||
NII Capital Corp., | ||||||||
| 365 | 8.875%, 12/15/19 | 403 | ||||||
| 185 | 10.000%, 08/15/16 | 210 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Wireless Telecommunication Services — Continued |
| |||||||
| 240 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 | 284 | ||||||
SBA Telecommunications, Inc., | ||||||||
| 1,050 | 8.000%, 08/15/16 | 1,145 | ||||||
| 500 | 8.250%, 08/15/19 | 551 | ||||||
| 800 | Sprint Capital Corp., 8.750%, 03/15/32 | 832 | ||||||
| 125 | Sprint Nextel Corp., 8.375%, 08/15/17 | 138 | ||||||
| 900 | Vimpel Communications Via VIP Finance Ireland Ltd., OJSC, (Ireland), 7.748%, 02/02/21 (e) | 930 | ||||||
| 870 | Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 | 945 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
| 775 | 7.250%, 02/15/18 (e) | 800 | ||||||
| 275 | 11.750%, 07/15/17 (e) | 316 | ||||||
| 10,908 | ||||||||
Total Telecommunication Services | 40,270 | |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.7% |
| |||||||
AES Eastern Energy LP, | ||||||||
| 514 | 9.000%, 01/02/17 | 442 | ||||||
| 2,000 | 9.670%, 01/02/29 | 1,700 | ||||||
| 505 | Alabama Power Co., 6.125%, 05/15/38 | 554 | ||||||
Carolina Power & Light Co., | ||||||||
| 90 | 5.300%, 01/15/19 | 100 | ||||||
| 500 | 6.300%, 04/01/38 | 568 | ||||||
| 1,000 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 1,099 | ||||||
| 100 | Centrais Eletricas Brasileiras S.A., (Brazil), 6.875%, 07/30/19 (e) | 110 | ||||||
| 300 | Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39 | 304 | ||||||
| 925 | Consumers Energy Co., 6.700%, 09/15/19 | 1,096 | ||||||
| 80 | Dubai Electricity & Water Authority, (United Arab Emirates), 8.500%, 04/22/15 (e) | 85 | ||||||
Duke Energy Carolinas LLC, | ||||||||
| 780 | 4.300%, 06/15/20 | 794 | ||||||
| 200 | 5.250%, 01/15/18 | 220 | ||||||
| 500 | 5.625%, 11/30/12 | 539 | ||||||
| 1,100 | 6.050%, 04/15/38 | 1,203 | ||||||
| 500 | 6.250%, 01/15/12 | 525 | ||||||
| 280 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 270 | ||||||
| 1,200 | Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) | 1,205 | ||||||
| 115 | Florida Power Corp., 5.650%, 06/15/18 | 130 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 104 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
Georgia Power Co., | ||||||||
| 386 | 4.750%, 09/01/40 | 351 | ||||||
| 562 | 5.250%, 12/15/15 | 625 | ||||||
| 140 | 5.950%, 02/01/39 | 150 | ||||||
| 164 | Homer City Funding LLC, 8.137%, 10/01/19 | 158 | ||||||
| 2,000 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 2,170 | ||||||
| 988 | Massachusetts Electric Co., 5.900%, 11/15/39 (e) | 1,045 | ||||||
| 860 | MidAmerican Energy Co., 5.300%, 03/15/18 | 951 | ||||||
| 810 | Midamerican Funding LLC, 6.750%, 03/01/11 | 810 | ||||||
Nevada Power Co., | ||||||||
| 446 | 5.375%, 09/15/40 | 432 | ||||||
| 600 | 7.125%, 03/15/19 | 713 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
| 275 | 5.350%, 06/15/13 | 297 | ||||||
| 265 | 7.875%, 12/15/15 | 316 | ||||||
| 300 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 316 | ||||||
Nisource Finance Corp., | ||||||||
| 1,470 | 6.400%, 03/15/18 | 1,650 | ||||||
| 150 | 6.800%, 01/15/19 | 173 | ||||||
Northern States Power Co., | ||||||||
| 173 | 5.350%, 11/01/39 | 176 | ||||||
| 765 | 6.250%, 06/01/36 | 871 | ||||||
| 1,010 | Pacific Gas & Electric Co., 5.625%, 11/30/17 | 1,130 | ||||||
Pacificorp, | ||||||||
| 1,900 | 5.750%, 04/01/37 | 1,979 | ||||||
| 250 | 7.240%, 08/16/23 | 291 | ||||||
Peco Energy Co., | ||||||||
| 1,880 | 5.350%, 03/01/18 | 2,080 | ||||||
| 500 | 5.950%, 11/01/11 | 518 | ||||||
| 360 | Potomac Electric Power Co., 6.500%, 11/15/37 | 416 | ||||||
| 50 | Progress Energy, Inc., 6.050%, 03/15/14 | 56 | ||||||
| 1,121 | PSEG Power LLC, 5.125%, 04/15/20 | 1,155 | ||||||
Public Service Co. of Colorado, | ||||||||
| 198 | 3.200%, 11/15/20 | 185 | ||||||
| 35 | 6.500%, 08/01/38 | 41 | ||||||
| 200 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 226 | ||||||
Public Service Co. of Oklahoma, | ||||||||
| 88 | 5.150%, 12/01/19 | 93 | ||||||
| 1,100 | 6.625%, 11/15/37 | 1,223 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Electric Utilities — Continued |
| |||||||
Public Service Electric & Gas Co., | ||||||||
| 350 | 2.700%, 05/01/15 | 353 | ||||||
| 155 | 5.300%, 05/01/18 | 172 | ||||||
| 416 | 5.375%, 11/01/39 | 417 | ||||||
San Diego Gas & Electric Co., | ||||||||
| 249 | 4.500%, 08/15/40 | 223 | ||||||
| 500 | 6.000%, 06/01/39 | 555 | ||||||
Southern California Edison Co., | ||||||||
| 450 | 5.550%, 01/15/37 | 466 | ||||||
| 285 | 5.950%, 02/01/38 | 311 | ||||||
| 145 | Spectra Energy Capital LLC, 7.500%, 09/15/38 | 170 | ||||||
| 120 | Union Electric Co., 8.450%, 03/15/39 | 166 | ||||||
Virginia Electric and Power Co., | ||||||||
| 235 | 6.350%, 11/30/37 | 266 | ||||||
| 670 | 8.875%, 11/15/38 | 970 | ||||||
| 35,610 | ||||||||
Gas Utilities — 0.2% | ||||||||
| 250 | ANR Pipeline Co., 9.625%, 11/01/21 | 346 | ||||||
| 600 | Atmos Energy Corp., 5.125%, 01/15/13 | 632 | ||||||
| 570 | CenterPoint Energy Resources Corp., 6.625%, 11/01/37 | 629 | ||||||
| 155 | EQT Corp., 8.125%, 06/01/19 | 184 | ||||||
| 325 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e) | 333 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
| 1,505 | 4.000%, 06/15/13 | 1,594 | ||||||
| 1,000 | 6.200%, 10/15/37 | 1,068 | ||||||
| 4,786 | ||||||||
Independent Power Producers & Energy Traders — 0.6% |
| |||||||
| 1,700 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 1,844 | ||||||
Dynegy Holdings, Inc., | ||||||||
| 105 | 7.625%, 10/15/26 | 70 | ||||||
| 4,770 | 7.750%, 06/01/19 | 3,446 | ||||||
| 750 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 | 729 | ||||||
Edison Mission Energy, | ||||||||
| 2,000 | 7.000%, 05/15/17 | 1,625 | ||||||
| 800 | 7.200%, 05/15/19 | 636 | ||||||
| 500 | 7.750%, 06/15/16 | 447 | ||||||
| 290 | FPL Energy National Wind, 6.125%, 03/25/19 (e) | 275 | ||||||
| 327 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 316 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 105 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Independent Power Producers & Energy Traders — Continued |
| |||||||
| 789 | Midwest Generation LLC, 8.560%, 01/02/16 | 816 | ||||||
| 2,012 | Mirant Mid Atlantic LLC, 9.125%, 06/30/17 | 2,194 | ||||||
| 130 | North American Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.875%, 06/01/16 (e) | 147 | ||||||
| 335 | NRG Energy, Inc., 7.375%, 02/01/16 | 347 | ||||||
| 363 | Ormat Funding Corp., 8.250%, 12/30/20 | 359 | ||||||
| 235 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 132 | ||||||
| 13,383 | ||||||||
Multi-Utilities — 0.1% |
| |||||||
| 400 | Dominion Resources, Inc., 7.000%, 06/15/38 | 471 | ||||||
| 160 | DTE Energy Co., 7.625%, 05/15/14 | 183 | ||||||
Sempra Energy, | ||||||||
| 255 | 6.150%, 06/15/18 | 289 | ||||||
| 75 | 6.500%, 06/01/16 | 86 | ||||||
| 220 | 8.900%, 11/15/13 | 257 | ||||||
| 420 | 9.800%, 02/15/19 | 559 | ||||||
| 1,845 | ||||||||
Water Utilities — 0.1% |
| |||||||
| 925 | American Water Capital Corp., 6.085%, 10/15/17 | 1,042 | ||||||
Total Utilities | 56,666 | |||||||
Total Corporate Bonds | 763,270 | |||||||
| Foreign Government Securities — 1.5% |
| ||||||
| 100 | Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e) | 108 | ||||||
| 150 | Citigroup Funding, Inc., CLN, 11.000%, 07/24/20 (linked to Colombian Government Bond, 11.000%, 07/24/20; credit rating BBB+), (Colombia), 11.000%, 07/27/20 (f) (i) | 136 | ||||||
| 100 | Citigroup Funding, Inc., CLN, 14.250%, 06/19/13 (linked to Indonesia Government Bond, 14.250%, 06/15/13; credit rating BB+), (Indonesia) (e) (f) (i) | 99 | ||||||
| 130 | Citigroup Funding, Inc., CLN, 14.990%, 03/13/13 (linked to Government of Ghana 3-Year Bond, 14.990%, 03/11/13; credit rating B), (Ghana) (e) (f) (i) | 132 | ||||||
| 60 | Credit Suisse First Boston International for CJSC The EXIM of Ukraine, (Ukraine), 7.650%, 09/07/11 | 60 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| 100 | Deutsche Bank AG, London Branch, CLN, 14.275%, 12/22/13 (linked to Indonesia Government Bond, 14.275%, 12/22/13; credit rating BB+), (Indonesia) (e) (f) (i) | 136 | ||||||
Federal Republic of Brazil, (Brazil), | ||||||||
| BRL | 340 | 6.000%, 05/15/13 | 412 | |||||
| 70 | 7.125%, 01/20/37 | 83 | ||||||
| 673 | 8.000%, 01/15/18 | 789 | ||||||
| 140 | 8.250%, 01/20/34 | 183 | ||||||
| 90 | 8.750%, 02/04/25 | 121 | ||||||
| 300 | 8.875%, 04/15/24 | 405 | ||||||
| 380 | 11.000%, 08/17/40 | 511 | ||||||
| 299 | 12.250%, 03/06/30 | 529 | ||||||
| 126 | Government of Belize, (Belize), Reg. S., SUB, 6.000%, 02/20/29 | 107 | ||||||
Government of Ukraine, (Ukraine), | ||||||||
| 510 | 6.580%, 11/21/16 (e) | 503 | ||||||
| 300 | 6.875%, 09/23/15 (e) | 304 | ||||||
| 110 | IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24 | 121 | ||||||
Petroleos de Venezuela S.A., (Venezuela), | ||||||||
| 25 | 5.250%, 04/12/17 | 14 | ||||||
| 215 | 5.375%, 04/12/27 | 99 | ||||||
| 200 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 204 | ||||||
| 655 | Province of Nova Scotia, (Canada), 9.250%, 03/01/20 | 891 | ||||||
Province of Ontario, (Canada), | ||||||||
| 780 | 2.700%, 06/16/15 | 797 | ||||||
| 1,635 | 2.950%, 02/05/15 | 1,691 | ||||||
| 300 | Province of Quebec, (Canada), 6.350%, 01/30/26 | 356 | ||||||
| 320 | Provincia de Cordoba, (Argentina), 12.375%, 08/17/17 (e) | 332 | ||||||
Republic of Argentina, (Argentina), | ||||||||
| ARS | 634 | VAR, 0.000%, 12/31/33 | 259 | |||||
| 455 | VAR, 1.683%, 08/03/12 (d) | 109 | ||||||
| 50 | SUB, 2.500%, 12/31/38 | 21 | ||||||
| 734 | SUB, 2.500%, 12/31/38 | 304 | ||||||
| 35 | 7.000%, 09/12/13 | 36 | ||||||
| 110 | 8.280%, 12/31/33 | 93 | ||||||
| 775 | 8.750%, 06/02/17 | 782 | ||||||
| 100 | Republic of Belarus, (Belarus), 8.750%, 08/03/15 | 98 | ||||||
Republic of Colombia, (Colombia), | ||||||||
| 100 | 7.375%, 09/18/37 | 118 | ||||||
| COP | 144,000 | 7.750%, 04/14/21 | 80 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 106 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Foreign Government Securities — Continued |
| ||||||
| 440 | 8.125%, 05/21/24 | 554 | ||||||
| 140 | 10.375%, 01/28/33 | 207 | ||||||
Republic of Croatia, (Croatia), | ||||||||
| 200 | 6.625%, 07/14/20 (e) | 205 | ||||||
| 190 | Reg. S., 6.625%, 07/14/20 | 196 | ||||||
| 100 | Republic of Ecuador, (Ecuador), Reg. S., 9.375%, 12/15/15 | 99 | ||||||
| 365 | Republic of Egypt, (Egypt), 5.750%, 04/29/20 (e) | 338 | ||||||
Republic of El Salvador, (El Salvador), | ||||||||
| 180 | Reg. S., 7.650%, 06/15/35 | 181 | ||||||
| 140 | Reg. S., 8.250%, 04/10/32 | 153 | ||||||
| 110 | Republic of Ghana, (Ghana), Reg. S., 8.500%, 10/04/17 | 119 | ||||||
| 501 | Republic of Hungary, (Hungary), 6.250%, 01/29/20 | 512 | ||||||
Republic of Indonesia, (Indonesia), | ||||||||
| 645 | Reg. S., 6.750%, 03/10/14 | 712 | ||||||
| 50 | Reg. S., 7.750%, 01/17/38 | 60 | ||||||
| 340 | Reg. S., 8.500%, 10/12/35 | 438 | ||||||
| 350 | 11.625%, 03/04/19 (e) | 505 | ||||||
| 250 | Republic of Iraq, (Iraq), Reg. S., 5.800%, 01/15/28 | 219 | ||||||
Republic of Lithuania, (Lithuania), | ||||||||
| 650 | 5.125%, 09/14/17 (e) | 637 | ||||||
| 130 | Reg. S., 5.125%, 09/14/17 | 127 | ||||||
| 160 | Reg. S., 6.750%, 01/15/15 | 172 | ||||||
| 200 | Republic of Nigeria, (Nigeria), 6.750%, 01/28/21 (e) | 196 | ||||||
Republic of Panama, (Panama), | ||||||||
| 280 | 7.250%, 03/15/15 | 324 | ||||||
| 150 | 8.875%, 09/30/27 | 203 | ||||||
| 460 | 9.375%, 04/01/29 | 644 | ||||||
Republic of Peru, (Peru), | ||||||||
| PEN | 940 | Reg. S., 6.900%, 08/12/37 | 339 | |||||
| PEN | 440 | Reg. S., 6.950%, 08/12/31 | 160 | |||||
| 430 | 7.350%, 07/21/25 | 519 | ||||||
| 290 | 8.375%, 05/03/16 | 357 | ||||||
| 218 | 8.750%, 11/21/33 | 299 | ||||||
| 88 | 9.875%, 02/06/15 | 110 | ||||||
Republic of Philippines, (Philippines), | ||||||||
| 170 | 4.000%, 01/15/21 | 162 | ||||||
| 100 | 9.500%, 02/02/30 | 142 | ||||||
| 170 | 9.875%, 01/15/19 | 231 | ||||||
| 570 | 10.625%, 03/16/25 | 859 | ||||||
| 93 | Republic of Serbia, (Serbia), Reg. S., SUB, 6.750%, 11/01/24 | 93 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Republic of South Africa, (South Africa), | ||||||||
| 100 | 5.500%, 03/09/20 | 105 | ||||||
| 110 | 5.875%, 05/30/22 | 117 | ||||||
| 125 | 6.875%, 05/27/19 | 144 | ||||||
| ZAR | 2,985 | 13.500%, 09/15/15 | 522 | |||||
| 370 | Republic of Sri Lanka, (Sri Lanka), 6.250%, 10/04/20 (e) | 364 | ||||||
Republic of Turkey, (Turkey), | ||||||||
| 500 | 6.750%, 04/03/18 | 549 | ||||||
| 395 | 7.250%, 03/15/15 | 444 | ||||||
| 637 | 7.250%, 03/05/38 | 682 | ||||||
| 100 | 7.500%, 07/14/17 | 114 | ||||||
| 110 | 7.500%, 11/07/19 | 126 | ||||||
| 125 | 9.500%, 01/15/14 | 146 | ||||||
Republic of Uruguay, (Uruguay), | ||||||||
| UYU | 1,800 | 4.763%, 06/26/37 | 123 | |||||
| UYU | 3,000 | 5.572%, 04/05/27 | 230 | |||||
| 420 | 7.625%, 03/21/36 | 493 | ||||||
| 170 | 8.000%, 11/18/22 | 209 | ||||||
Republic of Venezuela, (Venezuela), | ||||||||
| 684 | Reg. S., 5.750%, 02/26/16 | 485 | ||||||
| 525 | Reg. S., 6.000%, 12/09/20 | 300 | ||||||
| 400 | Reg. S., 7.750%, 10/13/19 | 264 | ||||||
| 660 | Reg. S., 9.000%, 05/07/23 | 439 | ||||||
| 252 | Reg. S., 12.750%, 08/23/22 | 213 | ||||||
Russian Federation, (Russia), | ||||||||
| 2,031 | Reg. S., SUB, 7.500%, 03/31/30 | 2,351 | ||||||
| RUB | 5,000 | 7.850%, 03/10/18 (e) | 173 | |||||
United Mexican States, (Mexico), | ||||||||
| MXN | 380 | 4.563%, 11/22/35 | 155 | |||||
| 640 | 5.625%, 01/15/17 | 706 | ||||||
| 200 | 5.875%, 02/17/14 | 220 | ||||||
| 498 | 5.950%, 03/19/19 | 554 | ||||||
| MXN | 3,900 | 8.000%, 12/17/15 | 339 | |||||
Total Foreign Government Securities | 31,662 | |||||||
| Mortgage Pass-Through Securities — 4.3% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 840 | ARM, 3.642%, 03/01/36 | 886 | ||||||
| 443 | ARM, 5.539%, 03/01/36 | 457 | ||||||
| 141 | ARM, 5.970%, 05/01/37 | 149 | ||||||
| 792 | ARM, 6.002%, 10/01/37 | 837 | ||||||
| 399 | ARM, 6.249%, 10/01/36 | 417 | ||||||
| 227 | ARM, 6.342%, 08/01/36 | 238 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 107 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
| 2,102 | 4.000%, 08/01/18 - 05/01/19 | 2,190 | ||||||
| 1,093 | 4.500%, 10/01/18 | 1,157 | ||||||
| 138 | 5.000%, 05/01/18 | 148 | ||||||
| 848 | 5.500%, 01/01/21 | 922 | ||||||
| 889 | 6.000%, 11/01/21 | 971 | ||||||
| 576 | 6.500%, 07/01/14 | 610 | ||||||
| 16 | 7.000%, 05/01/11 - 06/01/11 | 16 | ||||||
| 103 | 7.500%, 05/01/11 - 01/01/17 | 113 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
| 1,687 | 6.500%, 11/01/22 - 03/01/26 | 1,868 | ||||||
| 426 | 7.000%, 01/01/27 | 485 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
| 493 | 4.000%, 09/01/33 | 491 | ||||||
| 173 | 6.000%, 02/01/29 | 190 | ||||||
| 1,430 | 6.500%, 01/01/24 - 11/01/36 | 1,610 | ||||||
| 1,350 | 7.000%, 09/01/24 - 10/01/36 (m) | 1,539 | ||||||
| 155 | 7.500%, 10/01/19 - 10/01/30 | 173 | ||||||
| 165 | 8.000%, 08/01/27 - 03/01/30 | 196 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
| 2,895 | 7.500%, 01/01/32 - 12/01/36 | 3,348 | ||||||
| 663 | 10.000%, 10/01/30 | 783 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
| 194 | 7.000%, 12/01/14 - 03/01/16 | 208 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
| 5 | 7.500%, 02/01/17 | 6 | ||||||
| 8 | 12.000%, 08/01/15 - 07/01/19 | 9 | ||||||
| — | (h) | 13.000%, 06/01/14 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
| 252 | ARM, 2.438%, 01/01/34 | 264 | ||||||
| 357 | ARM, 2.477%, 05/01/35 | 374 | ||||||
| 25 | ARM, 2.750%, 10/01/33 | 26 | ||||||
| 130 | ARM, 5.096%, 04/01/37 | 137 | ||||||
| 622 | ARM, 5.651%, 03/01/37 | 659 | ||||||
| 807 | ARM, 5.653%, 04/01/37 | 853 | ||||||
| 1,877 | ARM, 5.696%, 01/01/23 | 2,016 | ||||||
| 443 | ARM, 5.875%, 07/01/37 | 470 | ||||||
| 482 | ARM, 6.000%, 02/01/37 | 514 | ||||||
| 211 | ARM, 6.070%, 07/01/37 | 224 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
| 6,439 | 3.500%, 09/01/18 - 07/01/19 | 6,643 | ||||||
| 4,131 | 4.000%, 07/01/18 - 12/01/18 | 4,324 | ||||||
| 469 | 4.500%, 07/01/18 | 496 | ||||||
| 2,538 | 5.000%, 05/01/18 - 11/01/18 | 2,729 | ||||||
| 1,410 | 5.500%, 08/01/17 - 07/01/20 | 1,526 | ||||||
| 2,588 | 6.000%, 01/01/14 - 08/01/22 | 2,837 | ||||||
| 77 | 6.500%, 05/01/13 | 85 | ||||||
| — | (h) | 7.000%, 03/01/15 | — | (h) | ||||
| 5 | 7.500%, 02/01/12 | 5 | ||||||
| 28 | 8.000%, 01/01/16 | 29 | ||||||
| 3 | 8.500%, 11/01/11 | 3 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
| 1,980 | 3.500%, 12/01/30 | 1,925 | ||||||
| 2,526 | 6.000%, 04/01/24 - 08/01/27 | 2,769 | ||||||
| 1,140 | 6.500%, 11/01/18 | 1,257 | ||||||
| 340 | Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34 | 366 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
| 547 | 5.500%, 12/01/28 - 07/01/29 | 591 | ||||||
| 2,146 | 6.000%, 04/01/35 - 08/01/37 | 2,366 | ||||||
| 4,341 | 6.500%, 04/01/28 - 10/01/38 | 4,871 | ||||||
| 2,317 | 7.000%, 03/01/28 - 04/01/37 | 2,659 | ||||||
| 998 | 7.500%, 09/01/25 - 11/01/38 | 1,146 | ||||||
| — | (h) | 8.000%, 08/01/22 | — | (h) | ||||
| 75 | 8.500%, 10/01/25 - 12/01/25 | 88 | ||||||
| 5 | 9.000%, 01/01/19 - 04/01/25 | 6 | ||||||
| 26 | 12.500%, 01/01/16 | 27 | ||||||
Federal National Mortgage Association, Other, | ||||||||
| 2,478 | 4.515%, 02/01/20 | 2,549 | ||||||
| 3,000 | 4.546%, 02/01/20 | 3,091 | ||||||
| 2,000 | 4.640%, 01/01/21 | 2,068 | ||||||
| 1,781 | 5.000%, 12/01/32 - 08/01/33 | 1,870 | ||||||
| 1,172 | 5.500%, 09/01/17 | 1,262 | ||||||
| 548 | 6.500%, 04/01/36 - 07/01/36 | 612 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
| 3,766 | 6.000%, 04/20/36 - 09/20/36 | 4,143 | ||||||
| 21 | 6.500%, 02/20/29 | 23 | ||||||
| 5,211 | 7.000%, 10/20/38 - 01/20/39 | 5,960 | ||||||
| 111 | 7.500%, 08/20/25 - 07/20/27 | 129 | ||||||
| 1,225 | 8.000%, 08/20/26 - 09/20/31 | 1,437 | ||||||
| 1,294 | Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23 | 1,435 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 108 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
| 511 | 6.500%, 02/15/28 - 10/15/29 | 581 | ||||||
| 169 | 7.000%, 01/15/23 - 02/15/28 | 195 | ||||||
| 155 | 7.250%, 07/15/21 - 01/15/28 | 177 | ||||||
| 93 | 7.500%, 10/15/22 - 09/15/29 | 107 | ||||||
| 8 | 7.750%, 02/15/27 | 9 | ||||||
| 4 | 8.500%, 11/15/25 | 5 | ||||||
| 130 | 9.000%, 04/15/16 - 01/15/25 | 149 | ||||||
| 5 | 10.000%, 11/15/20 | 6 | ||||||
| 2 | 13.000%, 01/15/15 | 2 | ||||||
Total Mortgage Pass-Through Securities | 88,112 | |||||||
| Municipal Bonds — 0.5% | |||||||
California — 0.1% | ||||||||
| 1,000 | Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39 | 981 | ||||||
Illinois — 0.1% | ||||||||
| 780 | Railsplitter Tobacco Settlement Authority, Rev., 5.250%, 06/01/21 | 758 | ||||||
| 1,960 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 1,573 | ||||||
| 2,331 | ||||||||
New York — 0.2% | ||||||||
| 900 | New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.375%, 06/15/43 | 913 | ||||||
New York State Dormitory Authority, State Personal Taxable General Purpose, Build America Bonds, | ||||||||
| 560 | Series H, Rev., 5.289%, 03/15/33 | 543 | ||||||
| 1,165 | Series H, Rev., 5.389%, 03/15/40 | 1,099 | ||||||
| 1,450 | Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40 | 1,393 | ||||||
| 3,948 | ||||||||
Ohio — 0.1% | ||||||||
| 1,040 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 1,083 | ||||||
Oklahoma — 0.0% (g) | ||||||||
| 900 | Oklahoma City Water Utilities Trust, Water & Sewer, Rev., 5.375%, 07/01/40 | 951 | ||||||
Washington — 0.0% (g) | ||||||||
| 900 | City of Seattle, Light & Power Imrovement, Series A, Rev., 5.250%, 02/01/33 | 930 | ||||||
Total Municipal Bonds | 10,224 | |||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Supranational — 0.0% (g) | |||||||
| 330 | Eurasian Development Bank, (Kazakhstan), Reg. S., 7.375%, 09/29/14 | 361 | ||||||
| U.S. Government Agency Securities — 1.2% | |||||||
| 1,500 | Federal Home Loan Bank System, 1.750%, 12/14/12 | 1,527 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 915 | 2.500%, 04/23/14 | 945 | ||||||
| 635 | 5.250%, 04/18/16 | 720 | ||||||
| 385 | 6.750%, 09/15/29 | 486 | ||||||
Federal National Mortgage Association, | ||||||||
| 7,360 | Zero Coupon, 06/01/17 | 5,983 | ||||||
| 3,505 | 1.375%, 04/28/11 | 3,512 | ||||||
| 1,995 | 1.750%, 03/23/11 | 1,997 | ||||||
| 825 | 5.000%, 05/11/17 | 926 | ||||||
| 1,500 | 5.625%, 07/15/37 | 1,676 | ||||||
| 1,000 | 8.200%, 03/10/16 | 1,266 | ||||||
| 1,000 | Federal National Mortgage Association Interest Strip, 11/15/21 | 627 | ||||||
Financing Corp. Fico, | ||||||||
| 1,285 | Zero Coupon, 04/05/19 | 963 | ||||||
| 500 | Zero Coupon, 09/26/19 | 365 | ||||||
| 462 | New Valley Generation II, 5.572%, 05/01/20 | 490 | ||||||
| 669 | New Valley Generation III, 4.929%, 01/15/21 | 693 | ||||||
Tennessee Valley Authority, | ||||||||
| 902 | 4.625%, 09/15/60 | 837 | ||||||
| 869 | 5.250%, 09/15/39 | 910 | ||||||
| 500 | Tennessee Valley Authority Principal Strip, Zero Coupon, 11/01/25 | 241 | ||||||
Total U.S. Government Agency Securities | 24,164 | |||||||
| U.S. Treasury Obligations — 17.3% |
| ||||||
U.S. Treasury Bonds, | ||||||||
| 85 | 3.500%, 02/15/39 | 72 | ||||||
| 555 | 4.375%, 02/15/38 | 548 | ||||||
| 5,000 | 4.500%, 02/15/36 | 5,066 | ||||||
| 3,890 | 4.500%, 05/15/38 | 3,917 | ||||||
| 2,500 | 5.250%, 02/15/29 | 2,831 | ||||||
| 1,000 | 5.500%, 08/15/28 | 1,164 | ||||||
| 2,340 | 6.000%, 02/15/26 | 2,866 | ||||||
| 5,000 | 6.250%, 08/15/23 | 6,240 | ||||||
| 4,250 | 6.375%, 08/15/27 | 5,414 | ||||||
| 7,600 | 7.125%, 02/15/23 | 10,132 | ||||||
| 7,200 | 7.250%, 08/15/22 | 9,668 | ||||||
| 20,000 | 7.500%, 11/15/16 | 25,488 | ||||||
| 4,800 | 7.500%, 11/15/24 | 6,662 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 109 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
| 2,625 | 7.875%, 02/15/21 | 3,634 | ||||||
| 1,937 | 8.125%, 08/15/19 | 2,673 | ||||||
| 13,600 | 8.125%, 05/15/21 | 19,155 | ||||||
| 10,000 | 8.125%, 08/15/21 | 14,127 | ||||||
| 5,000 | 8.500%, 02/15/20 | 7,094 | ||||||
| 3,500 | 8.750%, 05/15/17 | 4,759 | ||||||
| 6,000 | 8.750%, 08/15/20 | 8,691 | ||||||
| 24,560 | 8.875%, 08/15/17 (m) | 33,793 | ||||||
| 2,834 | 8.875%, 02/15/19 | 4,036 | ||||||
| 5,000 | 9.000%, 11/15/18 (m) | 7,136 | ||||||
| 1,000 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 | 1,734 | ||||||
U.S. Treasury Notes, | ||||||||
| 3,225 | 0.875%, 04/30/11 | 3,229 | ||||||
| 50 | 1.000%, 08/31/11 (k) | 50 | ||||||
| 90 | 1.000%, 10/31/11 | 91 | ||||||
| 4,000 | 1.375%, 09/15/12 | 4,055 | ||||||
| 6,625 | 1.375%, 10/15/12 | 6,716 | ||||||
| 5,275 | 1.375%, 11/15/12 | 5,347 | ||||||
| 10,000 | 1.875%, 06/15/12 | 10,194 | ||||||
| 225 | 2.250%, 05/31/14 | 232 | ||||||
| 11,000 | 2.250%, 11/30/17 | 10,658 | ||||||
| 100 | 2.375%, 03/31/16 | 101 | ||||||
| 2,780 | 2.625%, 02/29/16 | 2,845 | ||||||
| 130 | 2.625%, 04/30/16 | 132 | ||||||
| 12,290 | 2.750%, 05/31/17 | 12,401 | ||||||
| 1,000 | 3.125%, 10/31/16 | 1,039 | ||||||
| 10,654 | 3.125%, 05/15/19 | 10,688 | ||||||
| 2,250 | 3.250%, 03/31/17 | 2,341 | ||||||
| 320 | 4.000%, 02/15/15 | 349 | ||||||
| 7,860 | 4.750%, 08/15/17 | 8,855 | ||||||
U.S. Treasury STRIPS, | ||||||||
| 308 | 05/15/14 | 295 | ||||||
| 2,000 | 11/15/14 | 1,885 | ||||||
| 2,425 | 11/15/15 | 2,201 | ||||||
| 6,980 | 05/15/16 | 6,192 | ||||||
| 6,916 | 02/15/17 | 5,912 | ||||||
| 5,991 | 05/15/17 | 5,079 | ||||||
| 12,248 | 08/15/17 | 10,239 | ||||||
| 19,170 | 11/15/17 | 15,826 | ||||||
| 6,000 | 02/15/18 | 4,893 | ||||||
| 1,606 | 08/15/18 | 1,279 | ||||||
| 185 | 08/15/19 | 140 | ||||||
| 5,185 | 11/15/20 | 3,649 | ||||||
| 22,000 | 11/15/21 | 14,575 | ||||||
| 5,000 | 08/15/22 | 3,173 | ||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| 5,000 | 11/15/22 | 3,122 | ||||||
| 4,000 | 08/15/24 | 2,256 | ||||||
| 5,000 | 11/15/24 | 2,775 | ||||||
| 2,900 | 02/15/25 | 1,586 | ||||||
| 2,550 | 02/15/27 | 1,237 | ||||||
| 8,000 | 11/15/27 | 3,717 | ||||||
| 2,615 | 02/15/28 | 1,198 | ||||||
Total U.S. Treasury Obligations | 357,452 | |||||||
| SHARES | ||||||||
| Common Stocks — 0.7% |
| ||||||
Consumer Discretionary — 0.1% | ||||||||
Leisure Equipment & Products — 0.0% (g) |
| |||||||
| 31 | True Temper Holdings Corp., Inc. (a) (f) (i) | 248 | ||||||
Media — 0.1% |
| |||||||
| 46 | Charter Communications, Inc., Class A (a) | 2,119 | ||||||
Total Consumer Discretionary | 2,367 | |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
| 40 | Eurofresh, Inc., ADR (a) (f) (i) | 30 | ||||||
Household Products — 0.0% (g) |
| |||||||
| 2 | Spectrum Brands Holdings, Inc. (a) | 66 | ||||||
Total Consumer Staples | 96 | |||||||
Industrials — 0.0% (g) |
| |||||||
Airlines — 0.0% (g) |
| |||||||
| 1 | Delta Air Lines, Inc. (a) | 11 | ||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
| 3 | Quad/Graphics, Inc. (a) | 125 | ||||||
Total Industrials | 136 | |||||||
Information Technology — 0.1% |
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
| 695 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (f) (i) | 1,688 | ||||||
Materials — 0.5% |
| |||||||
Chemicals — 0.1% |
| |||||||
| 53 | LyondellBasell Industries N.V., (Netherlands), Class A (a) | 2,025 | ||||||
Construction Materials — 0.1% |
| |||||||
| 264 | U.S. Concrete, Inc. (a) | 2,643 | ||||||
Paper & Forest Products — 0.3% |
| |||||||
| 198 | AbitibiBowater, Inc., (Canada) (a) | 5,547 | ||||||
Total Materials | 10,215 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 110 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — Continued |
| ||||||
Telecommunication Services — 0.0% (g) |
| |||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
| 4 | AboveNet, Inc. | 290 | ||||||
| — | (h) | XO Holdings, Inc. (a) | — | (h) | ||||
| 290 | ||||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| — | (h) | Sprint Nextel Corp. (a) | — | (h) | ||||
Total Telecommunication Services | 290 | |||||||
Utilities — 0.0% (g) |
| |||||||
Independent Power Producers & Energy |
| |||||||
| 1 | NRG Energy, Inc. (a) | 20 | ||||||
Total Common Stocks | 14,812 | |||||||
| Preferred Stocks — 0.5% |
| ||||||
Consumer Discretionary — 0.2% |
| |||||||
Automobiles — 0.1% |
| |||||||
| 35 | General Motors Co., 4.750%, 12/01/13 | 1,781 | ||||||
Household Durables — 0.1% |
| |||||||
| 153 | M/I Homes, Inc., Series A, 9.750%, 03/15/12 (a) (x) | 2,838 | ||||||
Total Consumer Discretionary | 4,619 | |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
| — | (h) | Eurofresh, Inc., ADR (a) (f) (i) | 56 | |||||
Financials — 0.3% |
| |||||||
Commercial Banks — 0.1% |
| |||||||
| 20 | CoBank ACB, 7.000%, 04/01/11 (e) (f) (i) (x) | 937 | ||||||
| 10 | CoBank ACB, Series C, 11.000%, 07/01/13 (e) (x) | 567 | ||||||
| 15 | CoBank ACB, Series D, 11.000%, 10/01/14 (f) (i) (x) | 847 | ||||||
| 2,351 | ||||||||
Consumer Finance — 0.2% |
| |||||||
| 3 | Ally Financial, Inc., 7.000%, 12/31/11 (e) (x) | 3,027 | ||||||
| 14 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 390 | ||||||
| 3,417 | ||||||||
Total Financials | 5,768 | |||||||
Total Preferred Stocks | 10,443 | |||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — 3.0% |
| ||||||
Consumer Discretionary — 1.3% |
| |||||||
Automobiles — 0.0% (g) |
| |||||||
Ford Motor Co., Tranche B1 Term Loan, | ||||||||
| 759 | VAR, 3.020%, 12/15/13 | 758 | ||||||
| 330 | VAR, 3.020%, 12/15/13 | 330 | ||||||
| 64 | VAR, 3.020%, 12/15/13 | 63 | ||||||
| 1,151 | ||||||||
Gaming — 0.5% |
| |||||||
| 2,050 | CCM Merger, Inc., Term Loan, 03/01/17^ | 2,076 | ||||||
CCM Merger, Inc., Term Loan B, | ||||||||
| 2,068 | VAR, 8.500%, 07/13/12 | 2,068 | ||||||
| 565 | VAR, 8.500%, 07/13/12 | 565 | ||||||
| 269 | VAR, 8.500%, 07/13/12 | 269 | ||||||
| 4,000 | Harrah’s Entertainment Operating Co., Inc., Term B-2 Loan, VAR, 3.303%, 01/28/15 | 3,707 | ||||||
| 29 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan A, VAR, 5.000%, 11/25/13 | 29 | ||||||
| 193 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan B, VAR, 5.000%, 11/25/13 | 192 | ||||||
| 427 | Isle of Capri Casinos, Inc., Initial Term Loan, VAR, 5.000%, 11/25/13 | 426 | ||||||
Sugarhouse HSP Gaming, Term Loan B, | ||||||||
| 4 | VAR, 11.250%, 09/23/14 | 4 | ||||||
| 53 | VAR, 11.250%, 09/23/14 | 54 | ||||||
| 551 | VAR, 11.250%, 09/23/14 | 560 | ||||||
| 9,950 | ||||||||
Media — 0.5% |
| |||||||
| 1,000 | Bresnan Communications, Term Loan B, VAR, 4.500%, 12/15/17 | 1,006 | ||||||
| 499 | Cengage Learning Acquisitions, Term Loan, VAR, 2.550%, 07/03/14 | 479 | ||||||
| 1,633 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.912%, 01/29/16 | 1,492 | ||||||
| 401 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 402 | ||||||
| 1,467 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 1,471 | ||||||
| 1,750 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 1,854 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
| 63 | VAR, 9.000%, 10/24/14 | 48 | ||||||
| 559 | VAR, 9.000%, 10/24/14 | 431 | ||||||
| 549 | VAR, 9.000%, 10/24/14 | 423 | ||||||
| 63 | VAR, 9.000%, 10/24/14 | 48 | ||||||
| 59 | VAR, 9.000%, 10/24/14 | 46 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 111 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Media — Continued |
| |||||||
| 441 | Univision Communications, Inc., Initial Term Loan, VAR, 2.512%, 09/29/14 | 428 | ||||||
Vertis, Inc., 1st Lien Term Loan, | ||||||||
| 2,621 | VAR, 11.750%, 12/20/15 | 2,621 | ||||||
| 129 | VAR, 11.750%, 12/20/15 | 129 | ||||||
| 10,878 | ||||||||
Specialty Retail — 0.1% |
| |||||||
| 739 | Claire’s Stores, Term Loan B, VAR, 5.000%, 05/29/14 | 719 | ||||||
| 725 | Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/11/18 | 726 | ||||||
Leslie’s Poolmart, Term Loan B, | ||||||||
| 373 | VAR, 6.000%, 11/21/16 | 377 | ||||||
| 2 | VAR, 6.000%, 11/21/16 | 2 | ||||||
| 1,824 | ||||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
Claire’s Stores, Term Loan B, | ||||||||
| 2,880 | VAR, 3.012%, 05/29/14 | 2,803 | ||||||
| 604 | VAR, 3.054%, 05/29/14 | 587 | ||||||
| 3,390 | ||||||||
Total Consumer Discretionary | 27,193 | |||||||
Consumer Staples — 0.1% |
| |||||||
Food Products — 0.0% (g) |
| |||||||
Bolthouse Farms, 1st Lien Term Loan, | ||||||||
| 143 | VAR, 5.500%, 02/11/16 | 144 | ||||||
| 1 | VAR, 5.750%, 02/11/16 | — | (h) | |||||
| 144 | ||||||||
Household Products — 0.0% (g) |
| |||||||
| 750 | Spectrum Brands, 1st Term Loan, 06/01/16^ | 757 | ||||||
Personal Products — 0.1% |
| |||||||
| 500 | NBTY, Inc., 1st Lien Term Loan, 10/01/17^ | 502 | ||||||
| 715 | NBTY, Inc., Term Loan B, VAR, 6.250%, 09/21/16 | 722 | ||||||
| 1,224 | ||||||||
Total Consumer Staples | 2,125 | |||||||
Energy — 0.0% (g) |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
| 275 | Equipower Resource Holdings, 1st Lien Term Loan, VAR, 5.750%, 01/26/18 | 277 | ||||||
Oil, Gas & Consumable Fuels — 0.0% (g) |
| |||||||
| 300 | Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16 | 304 | ||||||
Total Energy | 581 | |||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Financials — 0.6% |
| |||||||
Capital Markets — 0.1% |
| |||||||
| 2,220 | Pinafore LLC, Term Loan B1, VAR, 4.250%, 09/29/16 | 2,232 | ||||||
Consumer Finance — 0.0% (g) |
| |||||||
| 450 | American General Finance Corp., Term Loan B, VAR, 7.250%, 04/21/15 | 454 | ||||||
Diversified Financial Services — 0.5% |
| |||||||
| 11,427 | Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d) | 5,675 | ||||||
| 850 | Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d) | 419 | ||||||
Clarke American Corp., Term Loan B, | ||||||||
| 563 | VAR, 2.762%, 06/30/14 | 536 | ||||||
| 410 | VAR, 2.762%, 06/30/14 | 390 | ||||||
| 769 | VAR, 2.803%, 06/30/14 | 731 | ||||||
| 895 | VAR, 2.803%, 06/30/14 | 851 | ||||||
| 340 | VAR, 2.803%, 06/30/14 | 324 | ||||||
| 8,926 | ||||||||
Insurance — 0.0% (g) |
| |||||||
| 89 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/04/14 | 90 | ||||||
Thrift & Mortgage Finance — 0.0% (g) |
| |||||||
| 38 | Ocwen Financial Corp., Initial Term Loan, VAR, 9.000%, 07/29/15 | 37 | ||||||
Total Financials | 11,739 | |||||||
Health Care — 0.0% (g) |
| |||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
| 175 | Inventive Health, Term Loan, 08/04/16^ | 176 | ||||||
Pharmaceuticals — 0.0% (g) |
| |||||||
Axcan Intermediate Holdings, Inc., Term Loan, | ||||||||
| 214 | VAR, 5.500%, 02/10/17 | 214 | ||||||
| 37 | VAR, 5.500%, 02/10/17 | 36 | ||||||
| 250 | ||||||||
Total Health Care | 426 | |||||||
Industrials — 0.4% |
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
| 2,000 | Ozborn-Hessey Logistics, 2nd Lien Term Loan, VAR, 10.500%, 10/16/16 | 2,030 | ||||||
Airlines — 0.1% |
| |||||||
Delta Airlines, Inc., 1st Lien Credit Linked Deposit, | ||||||||
| 143 | VAR, 0.094%, 04/30/12 | 139 | ||||||
| 827 | VAR, 2.264%, 04/30/12 | 802 | ||||||
| 941 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 112 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Building Products — 0.1% |
| |||||||
| 290 | Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.203%, 02/07/14 | 245 | ||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||
| 5 | VAR, 2.533%, 02/07/14 | 4 | ||||||
| 2,507 | VAR, 2.554%, 02/07/14 | 2,119 | ||||||
| 2,368 | ||||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
| 425 | Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16 | 429 | ||||||
Electrical Equipment — 0.1% |
| |||||||
| 25 | Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16 | 24 | ||||||
| 395 | Electrical Components International, Inc., Term Loan, VAR, 6.750%, 01/25/17 | 396 | ||||||
Generac Power Systems, Term Loan, | ||||||||
| 203 | VAR, 2.760%, 11/10/13 | 203 | ||||||
| 1,145 | VAR, 2.803%, 11/10/13 | 1,142 | ||||||
| 1,765 | ||||||||
Road & Rail — 0.0% (g) |
| |||||||
| 472 | Swift Transportation Co., Term Loan, VAR, 6.000%, 12/21/16 | 474 | ||||||
Total Industrials | 8,007 | |||||||
Information Technology — 0.2% |
| |||||||
Communications Equipment — 0.0% (g) |
| |||||||
| 400 | Syniverse Holdings, Inc., Term Loan B, VAR, 5.250%, 12/22/17 | 404 | ||||||
Internet Software & Services — 0.0% (g) |
| |||||||
Savvis Communications Corp., Term Loan B, | ||||||||
| 495 | VAR, 6.750%, 08/04/16 | 500 | ||||||
| 3 | VAR, 6.750%, 08/04/16 | 3 | ||||||
| 503 | ||||||||
IT Services — 0.2% |
| |||||||
| 891 | CompuCom Systems, Term Loan, VAR, 3.770%, 08/23/14 (f) (i) | 867 | ||||||
| 998 | EVERTEC, Inc., Term Loan B, VAR, 7.000%, 09/30/16 | 1,006 | ||||||
| 812 | First Data Corp., Initial Tranche B-1, VAR, 3.012%, 09/24/14 | 767 | ||||||
| 559 | First Data Corp., Initial Tranche B-3, VAR, 3.011%, 09/24/14 | 528 | ||||||
| 3,168 | ||||||||
Total Information Technology | 4,075 | |||||||
| PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Materials — 0.1% |
| |||||||
Chemicals — 0.1% |
| |||||||
| 272 | AZ Chem U.S., Inc., Term Loan, VAR, 6.750%, 11/18/16 | 275 | ||||||
| 1,420 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.553%, 05/15/14 | 1,415 | ||||||
| 300 | Nexeo Solutions, Initial Term Loan, 07/31/17^ | 301 | ||||||
Styron, 1st Lien Term Loan, | ||||||||
| 539 | VAR, 6.000%, 07/31/17 | 543 | ||||||
| 1 | VAR, 6.000%, 07/31/17 | 2 | ||||||
| 475 | Univar Inc., Term Loan B, 06/01/17^ | 477 | ||||||
Total Materials | 3,013 | |||||||
Utilities — 0.3% |
| |||||||
Independent Power Producers & Energy Traders — 0.3% |
| |||||||
| 1,481 | New Development Holdings LLC, Term Loan, VAR, 7.000%, 07/03/17 | 1,495 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | ||||||||
| 965 | VAR, 3.764%, 10/10/14 | 812 | ||||||
| 1,360 | VAR, 3.803%, 10/10/14 | 1,144 | ||||||
| 94 | VAR, 3.803%, 10/10/14 | 79 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, | ||||||||
| 1,887 | VAR, 3.764%, 10/10/14 | 1,584 | ||||||
| 77 | VAR, 3.803%, 10/10/14 | 65 | ||||||
| 21 | VAR, 3.803%, 10/10/14 | 17 | ||||||
Total Utilities | 5,196 | |||||||
Total Loan Participations & Assignments | 62,355 | |||||||
| Short-Term Investment — 7.0% |
| ||||||
Investment Company — 7.0% |
| |||||||
| 145,512 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) | 145,512 | ||||||
Total Investments —100.6% | 2,078,883 | |||||||
Liabilities in Excess of | (11,669 | ) | ||||||
NET ASSETS — 100.0% | $ | 2,067,214 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 113 | ||||||
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amount in thousands, except number of contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 02/28/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 9 | 10 Year U.S. Treasury Note | 06/21/11 | 1,071 | — | (h) | |||||||||||
| 6 | 30 Year U.S. Treasury Bond | 06/21/11 | 722 | 1 | ||||||||||||
| 2 | 2 Year U.S. Treasury Note | 06/30/11 | 437 | — | (h) | |||||||||||
Short Futures Outstanding | ||||||||||||||||
| (2 | ) | 5 Year U.S. Treasury Note | 06/30/11 | (234 | ) | — | (h) | |||||||||
| 1 | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
| CONTRACTS TO BUY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 02/28/11 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
| 5,000,000 | RUB | Deutsche Bank AG | 03/10/11 | 172 | 173 | 1 | ||||||||||||||||||
| 2,290,000 | ZAR | Citibank, N.A. | 03/16/11 | 313 | 328 | 15 | ||||||||||||||||||
| 100,000 | ZAR | Deutsche Bank AG | 03/16/11 | 14 | 14 | — | (h) | |||||||||||||||||
| 499 | 515 | 16 | ||||||||||||||||||||||
| CONTRACTS TO SELL | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 02/28/11 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||||
| 2,025,000 | ZAR | Barclays Bank plc | 03/16/11 | 292 | 290 | 2 | ||||||||||||||||||
| 365,000 | ZAR | Deutsche Bank AG | 03/16/11 | 54 | 52 | 2 | ||||||||||||||||||
| 346 | 342 | 4 | ||||||||||||||||||||||
Credit Default Swap—Sell Protection [1]
Corporate Issuer:
| SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND RECEIVES FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT SPREAD AS OF 2/28/11 [2] | NOTIONAL AMOUNT [3] | VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [4] | ||||||||||||||||
Goldman Sachs Capital Management: | ||||||||||||||||||||||
FSA Global Funding Ltd, 6.110%, 06/29/15 | 1.950% quarterly | 3/20/2013 | 4.841 | % | 1,000 | (51 | ) | — | ||||||||||||||
| [1] | The Fund, as a seller of credit protection, receives periodic payments and any upfront premium from the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| [2] | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occuring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater liklihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| [3] | The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event. |
| [4] | Upfront premiums generally related to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 114 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 41.6% |
| ||||||
Agency CMO — 41.6% |
| |||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 113 | Series 1343, Class LA, 8.000%, 08/15/22 | 132 | ||||||
| 754 | Series 1367, Class K, 5.500%, 09/15/22 | 816 | ||||||
| 146 | Series 1591, Class E, 10.000%, 10/15/23 | 162 | ||||||
| 1,264 | Series 1633, Class Z, 6.500%, 12/15/23 | 1,361 | ||||||
| 1,681 | Series 1694, Class PK, 6.500%, 03/15/24 | 1,815 | ||||||
| 7,106 | Series 1785, Class A, 6.000%, 10/15/23 | 7,343 | ||||||
| 388 | Series 1999, Class PU, 7.000%, 10/15/27 | 440 | ||||||
| 704 | Series 2031, Class PG, 7.000%, 02/15/28 | 783 | ||||||
| 1,946 | Series 2035, Class PC, 6.950%, 03/15/28 | 1,975 | ||||||
| 1,623 | Series 2064, Class PD, 6.500%, 06/15/28 (m) | 1,673 | ||||||
| 1,452 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,594 | ||||||
| 502 | Series 2152, Class BD, 6.500%, 05/15/29 | 545 | ||||||
| 3,185 | Series 2162, Class TH, 6.000%, 06/15/29 | 3,496 | ||||||
| 256 | Series 2345, Class PQ, 6.500%, 08/15/16 | 272 | ||||||
| 1,500 | Series 2367, Class ME, 6.500%, 10/15/31 | 1,638 | ||||||
| 3,847 | Series 2480, Class EJ, 6.000%, 08/15/32 | 4,199 | ||||||
| 6,000 | Series 2562, Class PG, 5.000%, 01/15/18 | 6,437 | ||||||
| 3,266 | Series 2571, Class PV, 5.500%, 01/15/14 | 3,455 | ||||||
| 3,609 | Series 2580, Class QM, 5.000%, 10/15/31 | 3,724 | ||||||
| 2,944 | Series 2611, Class QZ, 5.000%, 05/15/33 | 3,043 | ||||||
| 6,025 | Series 2630, Class KS, 4.000%, 01/15/17 | 6,176 | ||||||
| 752 | Series 2647, Class A, 3.250%, 04/15/32 | 768 | ||||||
| 4,334 | Series 2651, Class VZ, 4.500%, 07/15/18 | 4,593 | ||||||
| 9,000 | Series 2656, Class BG, 5.000%, 10/15/32 | 9,622 | ||||||
| 10,000 | Series 2684, Class PD, 5.000%, 03/15/29 | 10,164 | ||||||
| 2,500 | Series 2688, Class DG, 4.500%, 10/15/23 | 2,622 | ||||||
| 8,588 | Series 2727, Class PE, 4.500%, 07/15/32 | 9,054 | ||||||
| 3,890 | Series 2749, Class TD, 5.000%, 06/15/21 | 4,009 | ||||||
| 6,000 | Series 2773, Class TB, 4.000%, 04/15/19 | 6,243 | ||||||
| 3,847 | Series 2780, Class TD, 5.000%, 04/15/28 | 3,883 | ||||||
| 7,450 | Series 2841, Class AT, 4.000%, 08/15/19 | 7,743 | ||||||
| 2,781 | Series 2882, Class QD, 4.500%, 07/15/34 | 2,923 | ||||||
| 6,342 | Series 2915, Class MU, 5.000%, 01/15/35 | 6,553 | ||||||
| 3,968 | Series 2927, Class GA, 5.500%, 10/15/34 | 4,343 | ||||||
| 2,291 | Series 2929, Class PC, 5.000%, 01/15/28 | 2,311 | ||||||
| 5,500 | Series 2931, Class QD, 4.500%, 02/15/20 | 5,855 | ||||||
| 10,212 | Series 2976, Class HP, 4.500%, 01/15/33 | 10,696 | ||||||
| 10,600 | Series 3036, Class ND, 5.000%, 05/15/34 (m) | 11,179 | ||||||
| 3,520 | Series 3045, Class HN, 4.500%, 09/15/33 | 3,690 | ||||||
| 2,609 | Series 3085, Class VS, HB, IF, 27.657%, 12/15/35 | 3,808 | ||||||
| 4,446 | Series 3114, Class KB, 5.000%, 09/15/27 | 4,519 | ||||||
| 5,846 | Series 3181, Class OP, PO, 07/15/36 | 5,055 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 4,500 | Series 3188, Class GE, 6.000%, 07/15/26 | 4,768 | ||||||
| 17,602 | Series 3325, Class JL, 5.500%, 06/15/37 | 19,091 | ||||||
| 6,000 | Series 3341, Class PE, 6.000%, 07/15/37 | 6,541 | ||||||
| 7,000 | Series 3413, Class B, 5.500%, 04/15/37 | 7,075 | ||||||
| 6,000 | Series 3544, Class PC, 5.000%, 05/15/37 | 6,258 | ||||||
| 4,000 | Series 3699, Class QH, 5.500%, 07/15/40 | 4,279 | ||||||
| 28,366 | Series 3737, Class DG, 5.000%, 10/15/30 | 30,273 | ||||||
| 7,000 | Series 3798, Class AY, 3.500%, 01/15/26 | 6,405 | ||||||
| 5,000 | Series 3809, Class BC, 3.500%, 02/15/26 | 4,650 | ||||||
| 107 | Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23 | 20 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
| 2,659 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 3,002 | ||||||
| 3,071 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,550 | ||||||
| 1,251 | Series T-56, Class APO, PO, 05/25/43 (f) (i) | 864 | ||||||
| 1,899 | Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 2,095 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
| 3,919 | Series 278, Class 1, VAR, 1.302%, 08/01/25 | 3,642 | ||||||
| 1,675 | Series 278, Class 3, VAR, 1.285%, 11/01/23 | 1,544 | ||||||
| 2,684 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 239 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 149 | Series 1988-16, Class B, 9.500%, 06/25/18 (m) | 168 | ||||||
| 82 | Series 1990-57, Class J, 7.000%, 05/25/20 (m) | 87 | ||||||
| 351 | Series 1993-110, Class H, 6.500%, 05/25/23 | 405 | ||||||
| 273 | Series 1993-146, Class E, PO, 05/25/23 | 243 | ||||||
| 4,740 | Series 1993-155, Class PJ, 7.000%, 09/25/23 | 5,260 | ||||||
| 52 | Series 1993-205, Class H, PO, 09/25/23 | 44 | ||||||
| 75 | Series 1993-217, Class H, PO, 08/25/23 | 64 | ||||||
| 58 | Series 1993-228, Class G, PO, 09/25/23 | 50 | ||||||
| 1,637 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,847 | ||||||
| 3,015 | Series 1994-43, Class PJ, 6.350%, 12/25/23 | 3,070 | ||||||
| 5,831 | Series 1994-51, Class PV, 6.000%, 03/25/24 | 6,402 | ||||||
| 1,742 | Series 1994-62, Class PJ, 7.000%, 01/25/24 | 1,774 | ||||||
| 3,198 | Series 1998-58, Class PC, 6.500%, 10/25/28 | 3,497 | ||||||
| 580 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 652 | ||||||
| 2,078 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 400 | ||||||
| 726 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 777 | ||||||
| 1,216 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 1,295 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 115 | ||||||
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
| 6,502 | Series 2002-73, Class OE, 5.000%, 11/25/17 | 6,969 | ||||||
| 2,047 | Series 2002-92, Class FB, VAR, 0.912%, 04/25/30 | 2,064 | ||||||
| 7,162 | Series 2003-21, Class PZ, 4.500%, 03/25/33 | 7,255 | ||||||
| 7,001 | Series 2003-35, Class MD, 5.000%, 11/25/16 | 7,098 | ||||||
| 703 | Series 2003-67, Class SA, HB, IF, 43.800%, 10/25/31 | 1,335 | ||||||
| 5,000 | Series 2003-74, Class VL, 5.500%, 11/25/22 | 5,425 | ||||||
| 20,000 | Series 2003-81, Class MC, 5.000%, 12/25/32 (m) | 21,337 | ||||||
| 5,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 5,323 | ||||||
| 10,000 | Series 2003-128, Class DY, 4.500%, 01/25/24 (m) | 10,526 | ||||||
| 16,000 | Series 2004-7, Class JK, 4.000%, 02/25/19 | 16,796 | ||||||
| 3,935 | Series 2004-46, Class QD, HB, IF, 22.954%, 03/25/34 | 5,422 | ||||||
| 4,385 | Series 2004-54, Class FL, VAR, 0.662%, 07/25/34 | 4,407 | ||||||
| 8,511 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 9,206 | ||||||
| 2,355 | Series 2005-16, Class LC, 5.500%, 05/25/28 | 2,393 | ||||||
| 7,805 | Series 2005-22, Class EH, 5.000%, 04/25/35 | 8,070 | ||||||
| 2,944 | Series 2005-29, Class AK, 4.500%, 04/25/35 | 3,097 | ||||||
| 5,693 | Series 2005-58, Class EP, 5.500%, 07/25/35 | 6,247 | ||||||
| 7,000 | Series 2005-62, Class DX, 5.000%, 05/25/34 | 7,432 | ||||||
| 5,391 | Series 2005-83, Class LA, 5.500%, 10/25/35 | 5,914 | ||||||
| 5,498 | Series 2005-116, Class PC, 6.000%, 01/25/36 | 6,056 | ||||||
| 16,770 | Series 2006-3, Class SB, IF, IO, 6.438%, 07/25/35 | 2,631 | ||||||
| 29,157 | Series 2006-51, Class FP, VAR, 0.611%, 03/25/36 | 29,127 | ||||||
| 1,309 | Series 2006-69, Class SP, IF, 14.460%, 05/25/30 | 1,477 | ||||||
| 433 | Series 2006-81, Class FA, VAR, 0.611%, 09/25/36 | 434 | ||||||
| 5,853 | Series 2006-110, Class PO, PO, 11/25/36 | 5,109 | ||||||
| 7,773 | Series 2007-76, Class PE, 6.000%, 08/25/37 | 8,418 | ||||||
| 1,920 | Series 2009-89, Class A1, 5.410%, 05/25/35 | 2,123 | ||||||
| 1,983 | Series 2010-4, Class SL, IF, 10.999%, 02/25/40 | 1,977 | ||||||
| 7,518 | Series 2010-11, Class CB, 4.500%, 02/25/40 | 7,195 | ||||||
| 6,000 | Series 2010-47, Class MB, 5.000%, 09/25/39 | 6,185 | ||||||
| 4,274 | Series 2010-155, Class B, 3.500%, 01/25/26 | 3,819 | ||||||
| 30 | Series G92-35, Class EB, 7.500%, 07/25/22 | 33 | ||||||
| 333 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 406 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 506 | Series 1999-W4, Class A9, 6.250%, 02/25/29 | 539 | ||||||
| 3,958 | Series 2002-W7, Class A4, 6.000%, 06/25/29 | 4,360 | ||||||
| 1,416 | Series 2003-W1, Class 1A1, VAR, 6.500%, 12/25/42 | 1,633 | ||||||
| 676 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 772 | ||||||
| 5,719 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 6,169 | ||||||
| 5,283 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 6,096 | ||||||
| 5,336 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 5,877 | ||||||
Government National Mortgage Association, | ||||||||
| 887 | Series 1998-22, Class PD, 6.500%, 09/20/28 | 966 | ||||||
| 509 | Series 1999-17, Class L, 6.000%, 05/20/29 | 554 | ||||||
| 5,138 | Series 2001-10, Class PE, 6.500%, 03/16/31 | 5,686 | ||||||
| 5,838 | Series 2001-64, Class PB, 6.500%, 12/20/31 | 6,352 | ||||||
| 47,272 | Series 2003-59, Class XA, IO, VAR, 1.768%, 06/16/34 | 2,269 | ||||||
| 3,285 | Series 2004-27, Class PD, 5.500%, 04/20/34 | 3,546 | ||||||
| 2,375 | Series 2004-62, Class VA, 5.500%, 07/20/15 | 2,516 | ||||||
| 14,079 | Series 2005-28, Class AJ, 5.500%, 04/20/35 | 15,251 | ||||||
| 13,616 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 2,241 | ||||||
| 28,693 | Series 2009-42, Class TX, 4.500%, 06/20/39 | 28,774 | ||||||
| 8,884 | Series 2009-52, Class MA, 5.000%, 11/20/36 | 9,421 | ||||||
| 4,752 | Series 2009-69, Class WM, 5.500%, 08/20/39 | 5,038 | ||||||
Total Collateralized Mortgage Obligations | 620,409 | |||||||
| Mortgage Pass-Through Securities — 7.4% | |||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 282 | ARM, 2.360%, 01/01/27 | 294 | ||||||
| 33 | ARM, 2.528%, 04/01/30 | 35 | ||||||
| 22 | ARM, 2.821%, 02/01/19 | 23 | ||||||
| 15 | ARM, 2.907%, 07/01/30 | 15 | ||||||
| 101 | ARM, 3.152%, 08/01/18 | 105 | ||||||
| 38 | ARM, 3.159%, 03/01/18 | 39 | ||||||
| 4 | ARM, 3.394%, 01/01/20 | 4 | ||||||
| 45 | ARM, 3.500%, 06/01/18 | 45 | ||||||
| 132 | ARM, 3.564%, 01/01/21 | 133 | ||||||
| 68 | ARM, 3.742%, 11/01/18 | 69 | ||||||
| 3,356 | ARM, 5.996%, 03/01/37 | 3,547 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
| 614 | 5.000%, 12/01/13 - 12/01/16 | 652 | ||||||
| 507 | 6.000%, 04/01/14 | 552 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 116 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
| 722 | 6.500%, 12/01/12 - 06/01/14 | 765 | ||||||
| — | (h) | 7.000%, 12/01/14 | — | (h) | ||||
| 1,695 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24 | 1,787 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
| 1,988 | 5.500%, 11/01/33 | 2,143 | ||||||
| 388 | 6.000%, 02/01/32 | 427 | ||||||
| 1,522 | 6.500%, 01/01/24 - 07/01/29 | 1,723 | ||||||
| 1,710 | 7.000%, 08/01/25 - 09/01/29 (m) | 1,980 | ||||||
| 100 | 7.500%, 09/01/24 - 08/01/25 | 116 | ||||||
| 124 | 8.000%, 11/01/24 - 09/01/25 | 146 | ||||||
| 244 | 8.500%, 05/01/24 - 07/01/28 | 290 | ||||||
| 7 | 9.000%, 10/01/17 - 11/01/21 | 8 | ||||||
| — | (h) | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
| 312 | ARM, 2.758%, 07/01/17 - 08/01/41 | 317 | ||||||
| 173 | ARM, 2.875%, 08/01/30 | 177 | ||||||
| 120 | ARM, 2.930%, 11/01/40 | 124 | ||||||
| 45 | ARM, 2.964%, 06/01/20 | 46 | ||||||
| 54 | ARM, 2.966%, 06/01/29 | 55 | ||||||
| 58 | ARM, 3.000%, 06/01/17 - 09/01/17 | 59 | ||||||
| 7 | ARM, 3.154%, 07/01/27 | 7 | ||||||
| 104 | ARM, 3.225%, 09/01/14 | 104 | ||||||
| 56 | ARM, 3.372%, 10/01/14 | 56 | ||||||
| 211 | ARM, 3.375%, 06/01/15 - 01/01/29 | 216 | ||||||
| 23 | ARM, 3.434%, 10/01/16 | 24 | ||||||
| 10 | ARM, 3.575%, 11/01/16 | 10 | ||||||
| 124 | ARM, 3.714%, 09/01/27 | 123 | ||||||
| 205 | ARM, 3.778%, 08/01/19 | 215 | ||||||
| 40 | ARM, 3.825%, 08/01/19 | 41 | ||||||
| 30 | ARM, 5.921%, 04/01/19 | 31 | ||||||
| 22 | ARM, 6.000%, 12/01/18 | 23 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
| 15,911 | 4.000%, 04/01/19 - 09/01/25 | 16,418 | ||||||
| 3,190 | 4.500%, 03/01/19 | 3,378 | ||||||
| 2,323 | 5.500%, 11/01/16 - 03/01/18 | 2,512 | ||||||
| 148 | 6.000%, 04/01/13 - 08/01/14 | 157 | ||||||
| 55 | 8.000%, 11/01/12 | 57 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
| 1,547 | 5.000%, 11/01/23 | 1,649 | ||||||
| 1,924 | 6.000%, 03/01/22 | 2,126 | ||||||
| 73 | 7.500%, 06/01/14 - 07/01/14 | 81 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
| 3,607 | 4.500%, 03/01/38 | 3,681 | ||||||
| 5,783 | 5.000%, 11/01/33 | 6,155 | ||||||
| 36,723 | 5.500%, 02/01/29 - 05/01/36 (m) | 39,676 | ||||||
| 5,077 | 6.000%, 07/01/36 | 5,617 | ||||||
| 1,005 | 6.500%, 06/01/26 - 04/01/32 | 1,138 | ||||||
| 5,978 | 7.000%, 02/01/24 - 03/01/35 | 6,895 | ||||||
| 230 | 7.500%, 03/01/30 - 04/01/30 | 266 | ||||||
| 201 | 10.000%, 10/01/16 - 11/01/21 | 222 | ||||||
| 173 | Federal National Mortgage Association, Other, 6.000%, 09/01/28 | 191 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
| 389 | 8.000%, 11/20/26 - 11/20/27 | 454 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
| 59 | 6.000%, 10/15/23 | 65 | ||||||
| 1,285 | 6.500%, 05/15/23 - 02/15/24 (m) | 1,460 | ||||||
| 493 | 7.000%, 12/15/22 - 06/15/28 | 566 | ||||||
| 608 | 7.500%, 02/15/22 - 02/15/28 | 704 | ||||||
| 268 | 8.000%, 07/15/22 - 08/15/26 | 313 | ||||||
| 622 | 9.000%, 06/15/16 - 11/15/24 | 727 | ||||||
| 35 | 9.500%, 08/15/16 - 12/15/20 | 39 | ||||||
Total Mortgage Pass-Through Securities | 111,073 | |||||||
| U.S. Government Agency Securities — 16.6% |
| ||||||
| 12,824 | Federal Farm Credit Bank, 5.750%, 12/07/28 | 14,371 | ||||||
Federal National Mortgage Association, | ||||||||
| 25,000 | Zero Coupon, 10/09/19 | 16,679 | ||||||
| 10,000 | 6.250%, 05/15/29 | 11,988 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
| 34,750 | 11/15/20 | 23,100 | ||||||
| 8,000 | 05/15/23 | 4,572 | ||||||
| 9,200 | 05/29/26 | 4,398 | ||||||
| 26,153 | Financing Corp., Principal STRIPS, 12/06/18 | 19,999 | ||||||
Residual Funding Corp., Principal STRIPS, | ||||||||
| 34,520 | 10/15/19 | 25,446 | ||||||
| 90,500 | 07/15/20 | 63,389 | ||||||
| 10,000 | 01/15/30 | 4,066 | ||||||
| 5,000 | 04/15/30 | 2,006 | ||||||
Resolution Funding Corp. Interest STRIPS, | ||||||||
| 50,000 | 07/15/20 | 34,850 | ||||||
| 15,000 | 04/15/28 | 6,511 | ||||||
| 14,740 | Tennessee Valley Authority Principal STRIPS, 12/15/17 | 11,597 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 117 | ||||||
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | �� | SECURITY DESCRIPTION | VALUE($) | |||||
| U.S. Government Agency Securities — Continued |
| ||||||
| 4,500 | Tennessee Valley Authority STRIPS, 07/15/16 | 3,809 | ||||||
Total U.S. Government Agency Securities | 246,781 | |||||||
| U.S. Treasury Obligations — 22.9% |
| ||||||
U.S. Treasury Bonds, | ||||||||
| 20,000 | 5.250%, 11/15/28 | 22,644 | ||||||
| 20,000 | 5.250%, 02/15/29 | 22,650 | ||||||
| 2,500 | 7.125%, 02/15/23 | 3,333 | ||||||
| 13,140 | 7.250%, 05/15/16 | 16,432 | ||||||
| 3,935 | 7.250%, 08/15/22 | 5,284 | ||||||
| 3,635 | 8.000%, 11/15/21 | 5,102 | ||||||
| 3,190 | 8.875%, 08/15/17 | 4,389 | ||||||
| 1,020 | 9.000%, 11/15/18 | 1,456 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
| 25,000 | 1.375%, 07/15/18 | 27,028 | ||||||
| 1,450 | 1.625%, 01/15/15 | 1,802 | ||||||
U.S. Treasury Notes, | ||||||||
| 50,000 | 2.625%, 08/15/20 | 47,000 | ||||||
| 50,000 | 2.625%, 11/15/20 | 46,781 | ||||||
| 25,000 | 3.750%, 11/15/18 | 26,385 | ||||||
| 2,085 | 3.875%, 02/15/13 | 2,217 | ||||||
| 6,430 | 4.250%, 08/15/13 | 6,958 | ||||||
| 25,000 | 4.250%, 11/15/17 | 27,367 | ||||||
| 2,015 | 4.750%, 05/15/14 | 2,240 | ||||||
| 1,020 | 4.750%, 08/15/17 | 1,149 | ||||||
U.S. Treasury STRIPS, | ||||||||
| 5,845 | 02/15/15 | 5,465 | ||||||
| 1,655 | 05/15/15 | 1,533 | ||||||
| 1,900 | 08/15/15 | 1,745 | ||||||
| 600 | 08/15/15 | 550 | ||||||
| 8,810 | 11/15/15 | 7,998 | ||||||
| 1,190 | 05/15/16 | 1,056 | ||||||
| 72,500 | 05/15/20 | 52,701 | ||||||
Total U.S. Treasury Obligations | 341,265 | |||||||
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 7.8% |
| ||||||
Investment Company — 7.8% |
| |||||||
| 116,197 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 116,197 | ||||||
Total Investments —96.3% | 1,435,725 | |||||||
Other Assets in Excess of Liabilities — 3.7% | 54,530 | |||||||
NET ASSETS — 100.0% | $ | 1,490,255 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 118 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 0.1% |
| ||||||
| 460 | Countrywide Asset-Backed Certificates, | 28 | ||||||
GSAA Trust, | ||||||||
| 63 | Series 2005-15, Class 2A1, VAR, 0.352%, 01/25/36 | 63 | ||||||
| 230 | Series 2006-3, Class A1, VAR, 0.341%, 03/25/36 | 186 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
| 137 | Series 2004-2, Class B, VAR, 3.761%, 06/25/34 (e) (f) (i) | 27 | ||||||
| 112 | Series 2004-5, Class M6, VAR, 2.761%, 09/25/34 (f) (i) | 13 | ||||||
| 7,000 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 6,892 | ||||||
Total Asset-Backed Securities | 7,209 | |||||||
| Convertible Bond — 0.0% (g) |
| ||||||
Materials — 0.0% (g) |
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
| 1,839 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 2,335 | ||||||
| Corporate Bonds — 81.2% |
| ||||||
Consumer Discretionary — 21.4% |
| |||||||
Auto Components — 0.2% |
| |||||||
Affinia Group Holdings, Inc., | ||||||||
| 8,450 | 9.000%, 11/30/14 (m) | 8,619 | ||||||
| 3,947 | 10.750%, 08/15/16 (e) | 4,499 | ||||||
| 51 | ArvinMeritor, Inc., 8.750%, 03/01/12 | 54 | ||||||
| 4,850 | Exide Technologies, 8.625%, 02/01/18 (e) | 5,171 | ||||||
| 1,225 | Stoneridge, Inc., 9.500%, 10/15/17 (e) | 1,354 | ||||||
| 3,750 | Tenneco, Inc., 7.750%, 08/15/18 | 4,036 | ||||||
| 23,733 | ||||||||
Automobiles — 1.5% |
| |||||||
Ford Holdings LLC, | ||||||||
| 37,822 | 9.300%, 03/01/30 (m) | 45,309 | ||||||
| 7,750 | 9.375%, 03/01/20 | 8,927 | ||||||
Ford Motor Co., | ||||||||
| 325 | 7.500%, 08/01/26 | 340 | ||||||
| 4,545 | 7.750%, 06/15/43 | 4,710 | ||||||
| 3,425 | 8.900%, 01/15/32 | 4,027 | ||||||
| 3,529 | 9.215%, 09/15/21 | 4,072 | ||||||
| 6,228 | 9.980%, 02/15/47 | 7,547 | ||||||
Motors Liquidation Co., | ||||||||
| 50 | 1.500%, 06/01/49 | 382 | ||||||
| 973 | 5.250%, 03/06/32 | 7,520 | ||||||
| 953 | 6.250%, 07/15/33 | 7,486 | ||||||
| PRINCIPAL AMOUNT ($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Automobiles — Continued |
| |||||||
| 10,255 | 6.750%, 05/01/28 (d) | 3,230 | ||||||
| 246 | 7.250%, 04/15/41 | 1,834 | ||||||
| 284 | 7.250%, 07/15/41 | 2,123 | ||||||
| 548 | 7.250%, 02/15/52 | 4,089 | ||||||
| 404 | 7.375%, 05/15/48 | 3,016 | ||||||
| 6,000 | 7.375%, 05/23/48 (d) | 1,890 | ||||||
| 47 | 7.375%, 10/01/51 | 348 | ||||||
| 9,300 | 7.400%, 09/01/25 (d) | 2,941 | ||||||
| 25,800 | 7.700%, 04/15/16 (d) | 8,191 | ||||||
| 12,550 | 8.100%, 06/15/24 (d) | 3,985 | ||||||
| 20,000 | 8.250%, 07/15/23 (d) | 6,400 | ||||||
| 34,006 | 8.375%, 07/15/33 (d) | 11,307 | ||||||
| 3,415 | VAR, 0.000%, 03/15/36 (d) | 598 | ||||||
| 3,000 | Navistar International Corp., 8.250%, 11/01/21 | 3,323 | ||||||
| 143,595 | ||||||||
Broadcasting & Cable TV — 3.0% |
| |||||||
Adelphia Communications Corp., | ||||||||
| 1,075 | 7.750%, 01/15/09 (d) | 16 | ||||||
| 1,450 | 8.125%, 07/15/03 (d) | 22 | ||||||
| 3,175 | 9.375%, 11/15/09 (d) | 48 | ||||||
| 3,500 | 10.875%, 10/01/10 (d) | 53 | ||||||
Cablevision Systems Corp., | ||||||||
| 5,110 | 8.000%, 04/15/20 | 5,570 | ||||||
| 3,075 | 8.625%, 09/15/17 | 3,444 | ||||||
| 16,275 | CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16 | 19,713 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
| 8,000 | 7.000%, 01/15/19 | 8,140 | ||||||
| 5,665 | 7.000%, 01/15/19 (e) | 5,750 | ||||||
| 21,925 | 7.250%, 10/30/17 | 23,021 | ||||||
| 3,045 | 7.875%, 04/30/18 | 3,251 | ||||||
| 13,906 | 8.125%, 04/30/20 | 15,001 | ||||||
| 41,203 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 43,572 | ||||||
| 6,150 | Charter Communications Operating LLC/Charter Communications Operating Capital, 10.875%, 09/15/14 (e) | 6,911 | ||||||
CSC Holdings LLC, | ||||||||
| 4,329 | 7.875%, 02/15/18 | 4,827 | ||||||
| 6,205 | 8.625%, 02/15/19 | 7,151 | ||||||
DISH DBS Corp., | ||||||||
| 4,120 | 7.000%, 10/01/13 | 4,429 | ||||||
| 2,000 | 7.125%, 02/01/16 | 2,135 | ||||||
| 10,840 | 7.875%, 09/01/19 | 11,748 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 119 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Broadcasting & Cable TV — Continued |
| |||||||
| 24,115 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 25,622 | ||||||
Sirius XM Radio, Inc., | ||||||||
| 7,494 | 8.750%, 04/01/15 (e) | 8,309 | ||||||
| 10,090 | 9.750%, 09/01/15 (e) | 11,415 | ||||||
| 18,940 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 20,313 | ||||||
| 9,570 | Videotron Ltee, (Canada), 6.875%, 01/15/14 (m) | 9,702 | ||||||
Virgin Media Finance plc, (United Kingdom), | ||||||||
| 12,275 | 8.375%, 10/15/19 | 13,917 | ||||||
| 12,555 | 9.125%, 08/15/16 | 13,402 | ||||||
| 17,217 | XM Satellite Radio, Inc., 13.000%, 08/01/13 (e) | 20,531 | ||||||
| 288,013 | ||||||||
Distributors — 0.3% |
| |||||||
| 30,055 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) | 29,755 | ||||||
Diversified Consumer Services — 0.8% |
| |||||||
| 3,000 | Carriage Services, Inc., 7.875%, 01/15/15 | 3,045 | ||||||
| 21,575 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m) | 21,629 | ||||||
| 6,075 | Mac-Gray Corp., 7.625%, 08/15/15 | 6,151 | ||||||
Service Corp. International, | ||||||||
| 925 | 6.750%, 04/01/15 | 978 | ||||||
| 3,000 | 6.750%, 04/01/16 | 3,188 | ||||||
| 11,755 | 7.000%, 06/15/17 (m) | 12,519 | ||||||
| 6,630 | 7.000%, 05/15/19 | 6,845 | ||||||
| 3,850 | 7.625%, 10/01/18 | 4,187 | ||||||
| 4,000 | 8.000%, 11/15/21 | 4,380 | ||||||
Stewart Enterprises, Inc., | ||||||||
| 6,435 | 3.125%, 07/15/14 | 6,515 | ||||||
| 5,625 | 3.375%, 07/15/16 | 5,541 | ||||||
| 74,978 | ||||||||
Gaming — 3.4% |
| |||||||
Chukchansi Economic Development Authority, | ||||||||
| 13,768 | 8.000%, 11/15/13 (e) | 10,326 | ||||||
| 12,450 | VAR, 3.943%, 11/15/12 (e) | 9,369 | ||||||
CityCenter Holdings LLC/CityCenter Finance Corp., | ||||||||
| 12,175 | 7.625%, 01/15/16 (e) | 12,693 | ||||||
| 25,720 | PIK, 11.500%, 01/15/17 (e) | 26,877 | ||||||
| 2,575 | FireKeepers Development Authority, 13.875%, 05/01/15 (e) | 3,067 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Gaming — Continued |
| |||||||
| 17,550 | Harrah’s Operating Co., Inc., 11.250%, 06/01/17 | 19,919 | ||||||
| 16,388 | Isle of Capri Casinos, Inc., 7.000%, 03/01/14 (m) | 16,244 | ||||||
| 7,500 | Mandalay Resort Group, 7.625%, 07/15/13 | 7,444 | ||||||
Mashantucket Western Pequot Tribe, | ||||||||
| 3,982 | 5.912%, 09/01/21 (d) (e) | 1,808 | ||||||
| 9,770 | 8.500%, 11/15/15 (d) (e) | 977 | ||||||
| 11,725 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 13,484 | ||||||
MGM Resorts International, | ||||||||
| 1,671 | 5.875%, 02/27/14 | 1,600 | ||||||
| 57 | 6.625%, 07/15/15 | 54 | ||||||
| 7,340 | 7.500%, 06/01/16 | 7,065 | ||||||
| 10,020 | 7.625%, 01/15/17 | 9,607 | ||||||
| 5,000 | 9.000%, 03/15/20 (e) | 5,462 | ||||||
| 20,375 | 10.000%, 11/01/16 (e) | 21,648 | ||||||
| 3,850 | 10.375%, 05/15/14 | 4,312 | ||||||
| 1,500 | 11.125%, 11/15/17 | 1,729 | ||||||
| 16,400 | 11.375%, 03/01/18 | 18,614 | ||||||
| 4,600 | 13.000%, 11/15/13 | 5,509 | ||||||
Peninsula Gaming LLC, | ||||||||
| 12,630 | 8.375%, 08/15/15 (e) | 13,545 | ||||||
| 15,265 | 10.750%, 08/15/17 (e) | 16,868 | ||||||
Pinnacle Entertainment, Inc., | ||||||||
| 4,212 | 8.625%, 08/01/17 | 4,623 | ||||||
| 3,850 | 8.750%, 05/15/20 | 4,105 | ||||||
San Pasqual Casino, | ||||||||
| 11,459 | 8.000%, 09/15/13 (e) | 11,488 | ||||||
| 17,800 | Seminole Hard Rock Entertainment, Inc., VAR, 2.802%, 03/15/14 (e) | 17,355 | ||||||
| 3,600 | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e) | 3,820 | ||||||
| 9,085 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 9,403 | ||||||
| 16,700 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m) | 11,356 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
| 10,250 | 7.750%, 08/15/20 | 10,839 | ||||||
| 1,250 | 7.875%, 11/01/17 | 1,335 | ||||||
| 16,251 | 7.875%, 05/01/20 | 17,226 | ||||||
| 319,771 | ||||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
| 11,800 | AMC Entertainment, Inc., 8.750%, 06/01/19 (m) | 12,670 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 120 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Hotels, Restaurants & Leisure — Continued |
| |||||||
| 43,112 | Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN, VAR, 2.016%, 11/15/15 (e) | 41,481 | ||||||
| 2,150 | Burger King Corp., 9.875%, 10/15/18 | 2,295 | ||||||
| 6,650 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 9.125%, 08/01/18 (e) | 7,249 | ||||||
| 4,500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 4,905 | ||||||
| 23,200 | CKE Restaurants, Inc., 11.375%, 07/15/18 | 26,042 | ||||||
| 8,693 | Dave & Buster’s, Inc., 11.000%, 06/01/18 | 9,736 | ||||||
| 7,670 | DineEquity, Inc., 9.500%, 10/30/18 (e) | 8,303 | ||||||
| 4,750 | Dunkin Finance Corp., 9.625%, 12/01/18 (e) | 4,809 | ||||||
Host Hotels & Resorts LP, | ||||||||
| 1,050 | 6.875%, 11/01/14 | 1,087 | ||||||
| 397 | 7.125%, 11/01/13 | 402 | ||||||
| 5,000 | 9.000%, 05/15/17 | 5,613 | ||||||
| 4,415 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 4,382 | ||||||
Landry’s Restaurants, Inc., | ||||||||
| 20,173 | 11.625%, 12/01/15 (e) | 21,888 | ||||||
| 2,550 | O’Charley’s, Inc., 9.000%, 11/01/13 | 2,591 | ||||||
| 3,250 | Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp., 8.875%, 04/15/17 (e) | 3,315 | ||||||
| 7,940 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 8,258 | ||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
| 1,000 | 7.000%, 06/15/13 | 1,072 | ||||||
| 6,666 | 7.250%, 06/15/16 | 7,166 | ||||||
| 11,820 | 11.875%, 07/15/15 (m) | 14,657 | ||||||
Speedway Motorsports, Inc., | ||||||||
| 2,250 | 6.750%, 02/01/19 (e) | 2,284 | ||||||
| 7,500 | 8.750%, 06/01/16 | 8,240 | ||||||
| 2,750 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 | 3,135 | ||||||
Universal City Development Partners Ltd./UCDP Finance, Inc., | ||||||||
| 4,150 | 8.875%, 11/15/15 | 4,534 | ||||||
| 15,415 | 10.875%, 11/15/16 | 17,303 | ||||||
| 6,101 | Wendy’s/Arby’s Restaurants LLC, 10.000%, 07/15/16 | 6,787 | ||||||
| 230,204 | ||||||||
Household Durables — 0.8% |
| |||||||
| 3,250 | American Standard Americas, 10.750%, 01/15/16 (e) | 3,453 | ||||||
| 353 | D.R. Horton, Inc., 5.625%, 09/15/14 | 367 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Durables — Continued |
| |||||||
| 19,535 | K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 21,171 | ||||||
Lennar Corp., | ||||||||
| 1,800 | 5.600%, 05/31/15 | 1,769 | ||||||
| 24,313 | 6.950%, 06/01/18 | 24,252 | ||||||
| 1,386 | M/I Homes, Inc., 8.625%, 11/15/18 (e) | 1,410 | ||||||
Standard Pacific Corp., | ||||||||
| 1,925 | 8.375%, 05/15/18 | 2,040 | ||||||
| 6,995 | 8.375%, 05/15/18 (e) | 7,415 | ||||||
| 14,250 | 8.375%, 01/15/21 (e) | 15,034 | ||||||
| 3,340 | 10.750%, 09/15/16 | 3,925 | ||||||
| 80,836 | ||||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 9,185 | Affinion Group, Inc., 7.875%, 12/15/18 (e) | 8,795 | ||||||
Leisure Equipment & Products — 0.9% |
| |||||||
| 10,100 | Da-Lite Screen Co., Inc., 12.500%, 04/01/15 | 11,312 | ||||||
| 43,349 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 44,216 | ||||||
| 11,050 | FGI Holding Co., Inc., PIK, 11.250%, 10/01/15 (e) | 10,829 | ||||||
| 11,440 | Icon Health & Fitness, 11.875%, 10/15/16 (e) | 12,069 | ||||||
| 5,350 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 5,431 | ||||||
| 83,857 | ||||||||
Media — 4.5% |
| |||||||
| 12,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 12,570 | ||||||
| 4,150 | Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., 10.500%, 08/15/14 | 4,129 | ||||||
| 15,400 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 15,670 | ||||||
| 3,500 | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e) | 3,675 | ||||||
| 4,750 | Cengage Learning Acquisitions, Inc., 10.500%, 01/15/15 (e) | 4,928 | ||||||
| 28,915 | Clear Channel Communications, Inc., 9.000%, 03/01/21 (e) | 29,385 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
| 4,500 | 9.250%, 12/15/17 | 4,995 | ||||||
| 18,210 | 9.250%, 12/15/17 | 20,259 | ||||||
| 16,438 | DigitalGlobe, Inc., 10.500%, 05/01/14 | 18,678 | ||||||
| 4,485 | Entravision Communications Corp., 8.750%, 08/01/17 | 4,844 | ||||||
| 5,900 | Fisher Communications, Inc., 8.625%, 09/15/14 | 6,062 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 121 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
Gannett Co., Inc., | ||||||||
| 2,325 | 6.375%, 09/01/15 (e) | 2,418 | ||||||
| 4,510 | 7.125%, 09/01/18 (e) | 4,589 | ||||||
| 4,950 | 8.750%, 11/15/14 | 5,680 | ||||||
| 8,236 | 9.375%, 11/15/17 | 9,369 | ||||||
| 4,714 | 10.000%, 04/01/16 | 5,515 | ||||||
| 21,525 | Intelsat Intermediate Holding Co. S.A., (Luxembourg), SUB, 9.500%, 02/01/15 (m) | 22,251 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
| 8,640 | 7.250%, 10/15/20 (e) | 8,877 | ||||||
| 5,250 | 8.500%, 11/01/19 (e) | 5,762 | ||||||
| 12,725 | 11.250%, 06/15/16 | 13,616 | ||||||
| 54,939 | Intelsat Luxembourg S.A., (Luxembourg), PIK, 12.500%, 02/04/17 | 60,982 | ||||||
Intelsat Subsidiary Holding Co. S.A., (Bermuda), | ||||||||
| 7,250 | 8.875%, 01/15/15 | 7,468 | ||||||
| 6,240 | 8.875%, 01/15/15 (e) | 6,396 | ||||||
Lamar Media Corp., | ||||||||
| 1,175 | 6.625%, 08/15/15 | 1,204 | ||||||
| 1,147 | 6.625%, 08/15/15 | 1,173 | ||||||
| 1,000 | 7.875%, 04/15/18 | 1,075 | ||||||
| 925 | LBI Media, Inc., 8.500%, 08/01/17 (e) | 774 | ||||||
| 17,240 | McClatchy Co. (The), 11.500%, 02/15/17 | 19,567 | ||||||
| 22,525 | Media General, Inc., 11.750%, 02/15/17 | 24,890 | ||||||
| 6,950 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 7,471 | ||||||
Nexstar Broadcasting, Inc., | ||||||||
| 1,498 | 7.000%, 01/15/14 | 1,461 | ||||||
| 4,562 | PIK, 7.000%, 01/15/14 | 4,425 | ||||||
| 4,850 | Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 04/15/17 | 5,262 | ||||||
| 1,605 | Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc., SUB, 11.375%, 04/01/13 | 1,613 | ||||||
Nielsen Finance LLC/Nielsen Finance Co., | ||||||||
| 8,705 | 7.750%, 10/15/18 (e) | 9,412 | ||||||
| 2,466 | 11.500%, 05/01/16 | 2,904 | ||||||
| 5,880 | ProQuest LLC/ProQuest Notes Co., 9.000%, 10/15/18 (e) | 6,086 | ||||||
| 3,750 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 | 3,900 | ||||||
| 3,783 | Radio One, Inc., 12.500%, 05/24/16 (e) | 3,943 | ||||||
Sinclair Television Group, Inc., | ||||||||
| 1,000 | 8.375%, 10/15/18 (e) | 1,058 | ||||||
| 1,524 | 9.250%, 11/01/17 (e) | 1,722 | ||||||
| 13,862 | Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15 | 15,560 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
| 2,150 | Univision Communications, Inc., 8.500%, 05/15/21 (e) | 2,241 | ||||||
| 7,750 | Valassis Communications, Inc., 6.625%, 02/01/21 (e) | 7,653 | ||||||
WMG Acquisition Corp., | ||||||||
| 19,378 | 7.375%, 04/15/14 | 18,918 | ||||||
| 6,239 | 9.500%, 06/15/16 | 6,644 | ||||||
| 3,964 | WMG Holdings Corp., SUB, 9.500%, 12/15/14 | 3,994 | ||||||
| 431,068 | ||||||||
Multiline Retail — 0.9% |
| |||||||
| 11,445 | HSN, Inc., 11.250%, 08/01/16 | 13,062 | ||||||
QVC, Inc., | ||||||||
| 2,425 | 7.125%, 04/15/17 (e) | 2,589 | ||||||
| 2,425 | 7.375%, 10/15/20 (e) | 2,570 | ||||||
| 14,550 | 7.500%, 10/01/19 (e) | 15,532 | ||||||
| 53,650 | Sears Holdings Corp., 6.625%, 10/15/18 (e) | 52,309 | ||||||
| 86,062 | ||||||||
Specialty Retail — 2.4% |
| |||||||
| 9,150 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 9,836 | ||||||
| 4,118 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 (e) | 4,324 | ||||||
| 10,780 | Claire’s Escrow Corp., 8.875%, 03/15/19 (e) | 10,820 | ||||||
| 2,715 | Express LLC/Express Finance Corp., 8.750%, 03/01/18 | 2,922 | ||||||
| 24,097 | General Nutrition Centers, Inc., PIK, 5.750%, 03/15/14 | 24,052 | ||||||
| 11,600 | Giraffe Acquisition Corp., 9.125%, 12/01/18 (e) | 11,832 | ||||||
Michael’s Stores, Inc., | ||||||||
| 16,815 | 7.750%, 11/01/18 (e) | 17,361 | ||||||
| 12,665 | 11.375%, 11/01/16 | 13,837 | ||||||
| 48,074 | SUB, 0.000%, 11/01/16 | 48,915 | ||||||
| 10,165 | NBC Acquisition Corp., SUB, 11.000%, 03/15/13 | 4,574 | ||||||
Nebraska Book Co., Inc., | ||||||||
| 11,853 | 8.625%, 03/15/12 | 10,668 | ||||||
| 3,907 | 10.000%, 12/01/11 | 3,951 | ||||||
| 11,850 | Penske Auto Group, Inc., 7.750%, 12/15/16 (m) | 12,235 | ||||||
| 10,700 | PEP Boys - Manny, Moe & Jack, 7.500%, 12/15/14 (m) | 10,941 | ||||||
| 2,400 | Petco Animal Supplies, Inc., 9.250%, 12/01/18 (e) | 2,592 | ||||||
| 1,800 | Rent-A-Center, Inc., 6.625%, 11/15/20 (e) | 1,777 | ||||||
| 19,420 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 20,464 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 122 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
| 9,950 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 10,821 | ||||||
| 6,138 | Toys R Us, Inc., 7.875%, 04/15/13 (m) | 6,568 | ||||||
| 228,490 | ||||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
| 2,805 | Broder Brothers Co., PIK, 12.000%, 10/15/13 (e) (f) (i) | 2,735 | ||||||
| 17,391 | Quiksilver, Inc., 6.875%, 04/15/15 (m) | 17,260 | ||||||
| 19,995 | ||||||||
Total Consumer Discretionary | 2,049,152 | |||||||
Consumer Staples — 3.6% |
| |||||||
Beverages — 0.3% |
| |||||||
Constellation Brands, Inc., | ||||||||
| 2,900 | 7.250%, 09/01/16 | 3,118 | ||||||
| 10,375 | 7.250%, 05/15/17 | 11,153 | ||||||
| 6,240 | 8.375%, 12/15/14 | 7,020 | ||||||
Cott Beverages, Inc., | ||||||||
| 1,120 | 8.125%, 09/01/18 | 1,205 | ||||||
| 1,000 | 8.375%, 11/15/17 | 1,078 | ||||||
| 23,574 | ||||||||
Food & Staples Retailing — 1.5% | ||||||||
| 22,665 | Ingles Markets, Inc., 8.875%, 05/15/17 (m) | 24,365 | ||||||
Rite Aid Corp., | ||||||||
| 24,990 | 7.500%, 03/01/17 (m) | 25,146 | ||||||
| 10,000 | 9.500%, 06/15/17 | 9,200 | ||||||
| 13,400 | 9.750%, 06/12/16 | 15,092 | ||||||
| 9,050 | 10.250%, 10/15/19 | 9,967 | ||||||
| 8,750 | 10.375%, 07/15/16 | 9,406 | ||||||
| 5,875 | Stater Brothers Holdings, 7.750%, 04/15/15 | 6,128 | ||||||
SUPERVALU, Inc., | ||||||||
| 13,000 | 7.500%, 11/15/14 | 13,032 | ||||||
| 33,850 | 8.000%, 05/01/16 | 33,681 | ||||||
| 146,017 | ||||||||
Food Products — 1.0% | ||||||||
| 13,510 | Blue Merger Sub, Inc., 7.625%, 02/15/19 (e) | 13,645 | ||||||
Chiquita Brands International, Inc., | ||||||||
| 5,272 | 7.500%, 11/01/14 (m) | 5,364 | ||||||
| 904 | 8.875%, 12/01/15 | 934 | ||||||
Dean Foods Co., | ||||||||
| 500 | 6.900%, 10/15/17 | 462 | ||||||
| 2,000 | 7.000%, 06/01/16 | 1,900 | ||||||
Dole Food Co., Inc., | ||||||||
| 350 | 8.000%, 10/01/16 (e) | 373 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — Continued | ||||||||
| 6,300 | 13.875%, 03/15/14 | 7,710 | ||||||
| 2,246 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 2,246 | ||||||
| 12,754 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 14,922 | ||||||
| 1,000 | Michael Foods, Inc., 9.750%, 07/15/18 (e) | 1,095 | ||||||
| 7,045 | Pilgrim’s Pride Corp., 7.875%, 12/15/18 (e) | 6,922 | ||||||
| 6,350 | Simmons Foods, Inc., 10.500%, 11/01/17 (e) | 6,842 | ||||||
Smithfield Foods, Inc., | ||||||||
| 3,980 | 7.750%, 05/15/13 | 4,328 | ||||||
| 8,285 | 7.750%, 07/01/17 | 8,969 | ||||||
| 3,792 | 10.000%, 07/15/14 | 4,474 | ||||||
| 12,014 | Tyson Foods, Inc., 7.350%, 04/01/16 (m) | 13,501 | ||||||
| 93,687 | ||||||||
Household Products — 0.3% | ||||||||
| 4,910 | Armored Autogroup, Inc., 9.250%, 11/01/18 (e) | 5,094 | ||||||
| 4,000 | Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e) | 4,110 | ||||||
Spectrum Brands Holdings, Inc., | ||||||||
| 5,000 | 9.500%, 06/15/18 (e) | 5,600 | ||||||
| 19,814 | PIK, 12.000%, 08/28/19 | 22,291 | ||||||
| 37,095 | ||||||||
Personal Products — 0.2% | ||||||||
| 18,695 | American Achievement Corp., 10.875%, 04/15/16 (e) | 18,788 | ||||||
Tobacco — 0.3% | ||||||||
| 20,705 | Alliance One International, Inc., 10.000%, 07/15/16 | 21,378 | ||||||
| 7,000 | Vector Group Ltd., 11.000%, 08/15/15 | 7,315 | ||||||
| 28,693 | ||||||||
Total Consumer Staples | 347,854 | |||||||
Energy — 10.4% | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
| 3,000 | Basic Energy Services, Inc., 7.750%, 02/15/19 (e) | 3,112 | ||||||
| 9,815 | Calfrac Holdings LP, 7.500%, 12/01/20 (e) | 10,060 | ||||||
| 7,343 | Exterran Holdings, Inc., 7.250%, 12/01/18 (e) | 7,527 | ||||||
Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), | ||||||||
| 18,840 | 10.000%, 01/15/18 | 19,688 | ||||||
| 12,568 | 11.750%, 05/27/14 | 14,045 | ||||||
| 9,047 | Global Geophysical Services, Inc., 10.500%, 05/01/17 | 9,771 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 123 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Energy Equipment & Services — Contineud | ||||||||
| 13,530 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m) | 14,071 | ||||||
| 14,493 | Key Energy Services, Inc., 8.375%, 12/01/14 | 15,761 | ||||||
| 7,670 | Parker Drilling Co., 9.125%, 04/01/18 | 8,245 | ||||||
| 13,500 | PHI, Inc., 8.625%, 10/15/18 | 14,141 | ||||||
| 9,845 | Precision Drilling Corp., (Canada), 6.625%, 11/15/20 (e) | 10,165 | ||||||
| 4,250 | Pride International, Inc., 6.875%, 08/15/20 | 4,739 | ||||||
| 16,200 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 15,957 | ||||||
Sevan Marine ASA, (Norway), | ||||||||
| 2,100 | 12.000%, 08/10/15 (e) | 2,236 | ||||||
| 12,000 | VAR, 3.443%, 05/14/13 (e) | 10,800 | ||||||
| 7,125 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 7,455 | ||||||
| 167,773 | ||||||||
Oil, Gas & Consumable Fuels — 8.7% | ||||||||
| 4,432 | Alon Refining Krotz Springs, Inc., 13.500%, 10/15/14 | 4,598 | ||||||
| 14,075 | Alta Mesa Holdings/Alta Mesa Finance Services Corp., 9.625%, 10/15/18 (e) | 14,251 | ||||||
| 1,650 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 | 1,716 | ||||||
| 8,270 | AmeriGas Partners LP/AmeriGas Finance Corp., 6.500%, 05/20/21 | 8,518 | ||||||
| 7,975 | Anadarko Petroleum Corp., 6.375%, 09/15/17 | 8,889 | ||||||
| 9,767 | Antero Resources Finance Corp., 9.375%, 12/01/17 | 10,548 | ||||||
| 3,645 | Arch Coal, Inc., 7.250%, 10/01/20 | 3,873 | ||||||
| 41,857 | Bill Barrett Corp., 9.875%, 07/15/16 (m) | 46,880 | ||||||
| 17,920 | Brigham Exploration Co., 8.750%, 10/01/18 (e) | 19,891 | ||||||
| 10,930 | Carrizo Oil & Gas, Inc., 8.625%, 10/15/18 (e) | 11,613 | ||||||
Chesapeake Energy Corp., | ||||||||
| 23,725 | 6.125%, 02/15/21 | 24,200 | ||||||
| 2,100 | 6.625%, 08/15/20 | 2,205 | ||||||
| 7,560 | 6.875%, 08/15/18 | 8,051 | ||||||
| 8,120 | 6.875%, 11/15/20 | 8,648 | ||||||
| 6,880 | 7.250%, 12/15/18 | 7,585 | ||||||
| 2,400 | 7.625%, 07/15/13 | 2,676 | ||||||
| 10,775 | 9.500%, 02/15/15 | 13,361 | ||||||
| 18,587 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 21,375 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
| 11,455 | 8.250%, 12/15/17 | 12,457 | ||||||
| 8,310 | 8.500%, 12/15/19 | 9,162 | ||||||
| 36,622 | Comstock Resources, Inc., 8.375%, 10/15/17 | 38,133 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
Consol Energy, Inc., | ||||||||
| 9,055 | 8.000%, 04/01/17 | 9,825 | ||||||
| 7,000 | 8.250%, 04/01/20 | 7,717 | ||||||
| 3,575 | Continental Resources, Inc., 7.125%, 04/01/21 | 3,807 | ||||||
Copano Energy LLC/Copano Energy Finance Corp., | ||||||||
| 2,830 | 7.750%, 06/01/18 | 2,943 | ||||||
| 1,627 | 8.125%, 03/01/16 | 1,694 | ||||||
Denbury Resources, Inc., | ||||||||
| 6,300 | 6.375%, 08/15/21 | 6,363 | ||||||
| 13,993 | 8.250%, 02/15/20 | 15,567 | ||||||
El Paso Corp., | ||||||||
| 4,950 | 6.500%, 09/15/20 (e) | 5,092 | ||||||
| 4,305 | 6.875%, 06/15/14 (m) | 4,705 | ||||||
| 950 | 7.000%, 06/15/17 | 1,062 | ||||||
| 3,869 | 7.250%, 06/01/18 | 4,376 | ||||||
| 776 | 7.875%, 06/15/12 | 818 | ||||||
| 4,750 | El Paso Performance-Linked Trust, 7.750%, 07/15/11 (e) | 4,838 | ||||||
| 4,800 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 5,296 | ||||||
| 2,000 | Encore Acquisition Co., 9.500%, 05/01/16 | 2,260 | ||||||
| 5,500 | Energy XXI Gulf Coast, Inc., 7.750%, 06/15/19 (e) | 5,555 | ||||||
| 3,750 | Ferrellgas LP/Ferrellgas Finance Corp., 9.125%, 10/01/17 | 4,144 | ||||||
| 21,450 | Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.625%, 06/15/20 | 23,327 | ||||||
| 7,475 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 | 7,690 | ||||||
| 11,260 | Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 (e) | 12,105 | ||||||
Forest Oil Corp., | ||||||||
| 35,123 | 7.250%, 06/15/19 (m) | 36,352 | ||||||
| 8,165 | 8.500%, 02/15/14 | 9,084 | ||||||
Frontier Oil Corp., | ||||||||
| 4,250 | 6.875%, 11/15/18 | 4,441 | ||||||
| 7,355 | 8.500%, 09/15/16 | 7,980 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
| 9,718 | 7.625%, 04/15/21 (e) | 10,253 | ||||||
| 3,465 | 8.000%, 02/15/20 (e) | 3,716 | ||||||
| 7,270 | Holly Corp., 9.875%, 06/15/17 | 8,088 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
| 11,575 | 6.250%, 03/01/15 (m) | 11,430 | ||||||
| 5,700 | 8.250%, 03/15/18 (e) | 6,142 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 124 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
Inergy LP/Inergy Finance Corp., | ||||||||
| 10,525 | 6.875%, 08/01/21 (e) | 10,762 | ||||||
| 14,000 | 7.000%, 10/01/18 (e) | 14,507 | ||||||
| 10,000 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.750%, 11/01/20 | 10,250 | ||||||
Newfield Exploration Co., | ||||||||
| 6,180 | 6.625%, 09/01/14 | 6,319 | ||||||
| 8,075 | 6.875%, 02/01/20 | 8,580 | ||||||
| 3,675 | 7.125%, 05/15/18 | 3,923 | ||||||
NFR Energy LLC/NFR Energy Finance Corp., | ||||||||
| 28,141 | 9.750%, 02/15/17 (e) | 28,422 | ||||||
| 7,500 | Patriot Coal Corp., 8.250%, 04/30/18 | 8,025 | ||||||
| 16,777 | Penn Virginia Corp., 10.375%, 06/15/16 (m) | 18,832 | ||||||
| 6,550 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 6,976 | ||||||
| 182 | Petroleum Development Corp., 12.000%, 02/15/18 | 206 | ||||||
| 15,175 | Pioneer Drilling Co., 9.875%, 03/15/18 | 16,541 | ||||||
Pioneer Natural Resources Co., | ||||||||
| 2,499 | 5.875%, 07/15/16 | 2,609 | ||||||
| 6,635 | 6.650%, 03/15/17 | 7,168 | ||||||
| 4,950 | 6.875%, 05/01/18 | 5,374 | ||||||
| 15,897 | 7.500%, 01/15/20 | 17,849 | ||||||
Plains Exploration & Production Co., | ||||||||
| 5,040 | 7.625%, 04/01/20 | 5,481 | ||||||
| 7,475 | 10.000%, 03/01/16 | 8,484 | ||||||
| 10,534 | QEP Resources, Inc., 6.875%, 03/01/21 | 11,034 | ||||||
Range Resources Corp., | ||||||||
| 1,000 | 6.375%, 03/15/15 | 1,020 | ||||||
| 1,080 | 6.750%, 08/01/20 | 1,141 | ||||||
| 3,270 | 7.250%, 05/01/18 | 3,483 | ||||||
| 19,245 | 7.500%, 05/15/16 (m) | 20,111 | ||||||
| 2,000 | 7.500%, 10/01/17 | 2,125 | ||||||
| 2,000 | 8.000%, 05/15/19 | 2,202 | ||||||
| 3,900 | SM Energy Co., 6.625%, 02/15/19 (e) | 3,944 | ||||||
Swift Energy Co., | ||||||||
| 15,772 | 7.125%, 06/01/17 | 16,088 | ||||||
| 11,000 | 8.875%, 01/15/20 | 12,045 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
| 6,365 | 6.875%, 02/01/21 (e) | 6,301 | ||||||
| 9,090 | 7.875%, 10/15/18 (e) | 9,590 | ||||||
| 10,956 | 8.250%, 07/01/16 | 11,614 | ||||||
| 7,000 | Venoco, Inc., 8.875%, 02/15/19 (e) | 7,105 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
| 10,700 | W&T Offshore, Inc., 8.250%, 06/15/14 (e) | 10,887 | ||||||
| 10,061 | Western Refining, Inc., 11.250%, 06/15/17 (e) | 11,369 | ||||||
| 9,872 | VAR, 10.750%, 06/15/14 (e) | 10,686 | ||||||
| 3,280 | Whiting Petroleum Corp., 6.500%, 10/01/18 | 3,403 | ||||||
| 829,756 | ||||||||
Total Energy | 997,529 | |||||||
Financials — 11.1% |
| |||||||
Commercial Banks — 2.1% |
| |||||||
| 3,825 | Bank of America Corp., 5.625%, 07/01/20 | 3,979 | ||||||
| 25,795 | VAR, 8.000%, 01/30/18 (x) | 27,231 | ||||||
| 11,075 | VAR, 8.125%, 05/15/18 (x) | 11,692 | ||||||
| 1,100 | BankAmerica Capital II, 8.000%, 12/15/26 | 1,117 | ||||||
| 12,575 | BankAmerica Institutional Capital B, Class B, 7.700%, 12/31/26 (e) | 12,638 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
| 16,175 | VAR, 5.926%, 12/15/16 (e) (m) (x) | 14,922 | ||||||
| 17,850 | VAR, 7.434%, 12/15/17 (e) (m) (x) | 17,448 | ||||||
| 1,385 | Capital One Capital IV, VAR, 6.745%, 02/17/37 | 1,385 | ||||||
| 20,675 | Capital One Capital V, 10.250%, 08/15/39 (m) | 22,458 | ||||||
| 4,300 | Capital One Capital VI, 8.875%, 05/15/40 | 4,563 | ||||||
| 12,671 | Countrywide Capital III, 8.050%, 06/15/27 | 13,225 | ||||||
| 1,940 | Credit Agricole S.A., (France), VAR, 6.637%, 05/31/17 (e) (m) (x) | 1,731 | ||||||
| 1,922 | NB Capital Trust II, 7.830%, 12/15/26 | 1,941 | ||||||
| 4,750 | NB Capital Trust IV, 8.250%, 04/15/27 | 4,857 | ||||||
| 1,000 | Regions Financial Corp., 6.375%, 05/15/12 | 1,026 | ||||||
| 61,048 | Wachovia Capital Trust III, VAR, 5.800%, 04/04/11 (m) (x) | 55,554 | ||||||
| 195,767 | ||||||||
Consumer Finance — 2.7% |
| |||||||
Ally Financial, Inc., | ||||||||
| 22,325 | 6.250%, 12/01/17 (e) | 23,302 | ||||||
| 5,053 | 6.750%, 12/01/14 | 5,407 | ||||||
| 6,100 | 7.500%, 09/15/20 (e) | 6,672 | ||||||
| 70,174 | 8.000%, 11/01/31 | 80,349 | ||||||
| 40,579 | American General Finance Corp., 6.900%, 12/15/17 | 36,420 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
| 8,250 | 5.750%, 02/01/21 | 8,144 | ||||||
| 5,525 | 6.625%, 08/15/17 | 5,876 | ||||||
| 6,800 | 7.500%, 08/01/12 (m) | 7,254 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 125 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued |
| |||||||
| 10,500 | 8.000%, 06/01/14 (m) | 11,743 | ||||||
| 40,445 | 8.000%, 12/15/16 (m) | 45,811 | ||||||
| 10,500 | 8.125%, 01/15/20 | 11,985 | ||||||
| 6,850 | 8.700%, 10/01/14 | 7,812 | ||||||
| 4,980 | VAR, 3.053%, 01/13/12 (m) | 5,031 | ||||||
| 5,200 | Uncle Acquisition 2010 Corp., 8.625%, 02/15/19 (e) | 5,538 | ||||||
| 261,344 | ||||||||
Diversified Financial Services — 2.1% |
| |||||||
| 7,610 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 7,829 | ||||||
| 3,500 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 3,902 | ||||||
Block Financial LLC, | ||||||||
| 2,000 | 5.125%, 10/30/14 | 2,048 | ||||||
| 2,225 | 7.875%, 01/15/13 | 2,391 | ||||||
| 7,055 | Cardtronics, Inc., 8.250%, 09/01/18 | 7,655 | ||||||
CIT Group, Inc., | ||||||||
| 18,879 | 7.000%, 05/01/15 | 19,138 | ||||||
| 15,600 | 7.000%, 05/01/16 | 15,736 | ||||||
| 2,085 | 7.000%, 05/01/17 | 2,101 | ||||||
| 7,160 | Citigroup Capital XXI, VAR, 8.300%, 12/21/57 | 7,375 | ||||||
CNG Holdings, Inc., | ||||||||
| 5,750 | 12.250%, 02/15/15 (e) | 6,447 | ||||||
| 1,300 | 13.750%, 08/15/15 (e) | 1,463 | ||||||
Deluxe Corp., | ||||||||
| 3,797 | 5.125%, 10/01/14 | 3,825 | ||||||
| 8,132 | 7.375%, 06/01/15 | 8,478 | ||||||
| 9,885 | ILFC E-Capital Trust I, VAR, 5.960%, 12/21/65 (e) | 8,341 | ||||||
| 12,270 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 10,675 | ||||||
International Lease Finance Corp., | ||||||||
| 13,875 | 8.250%, 12/15/20 | 15,436 | ||||||
| 6,095 | 8.625%, 09/15/15 (e) | 6,872 | ||||||
| 13,260 | 8.750%, 03/15/17 (e) | 15,150 | ||||||
| 10,950 | 8.875%, 09/01/17 | 12,483 | ||||||
| 6,465 | Northern Tier Energy LLC/Northern Tier Finance Corp., 10.500%, 12/01/17 (e) | 7,241 | ||||||
| 5,955 | SquareTwo Financial Corp., 11.625%, 04/01/17 (e) | 5,970 | ||||||
| 12,950 | Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15 | 13,905 | ||||||
| 17,800 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 17,733 | ||||||
| 202,194 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 3.2% |
| |||||||
| 26,485 | American International Group, Inc., VAR, 8.175%, 05/15/58 | 29,067 | ||||||
| 6,155 | Crum & Forster Holdings Corp., 7.750%, 05/01/17 | 6,455 | ||||||
Fairfax Financial Holdings Ltd., (Canada), | ||||||||
| 4,675 | 7.750%, 06/15/17 | 4,961 | ||||||
| 2,875 | 8.250%, 10/01/15 | 3,141 | ||||||
Genworth Financial, Inc., | ||||||||
| 9,455 | 7.200%, 02/15/21 | 9,517 | ||||||
| 42,575 | VAR, 6.150%, 11/15/66 | 33,475 | ||||||
HUB International Holdings, Inc., | ||||||||
| 2,800 | 9.000%, 12/15/14 (e) | 2,933 | ||||||
| 40,825 | 10.250%, 06/15/15 (e) (m) | 42,458 | ||||||
Liberty Mutual Group, Inc., | ||||||||
| 11,175 | 7.800%, 03/15/37 (e) | 11,175 | ||||||
| 83,987 | VAR, 10.750%, 06/15/58 (e) | 109,393 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
| 3,567 | 8.250%, 12/01/31 (e) | 3,845 | ||||||
| 8,250 | 9.375%, 08/15/39 (e) | 9,835 | ||||||
USI Holdings Corp., | ||||||||
| 18,024 | 9.750%, 05/15/15 (e) (m) | 18,565 | ||||||
| 18,338 | VAR, 4.188%, 11/15/14 (e) (f) (i) | 17,696 | ||||||
| 302,516 | ||||||||
Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
| 11,000 | Aviv Healthcare Properties LP, 7.750%, 02/15/19 (e) | 11,467 | ||||||
| 10,850 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 11,189 | ||||||
| 5,500 | Colonial Realty LP, 6.250%, 06/15/14 | 5,813 | ||||||
| 6,570 | Developers Diversified Realty Corp., 7.875%, 09/01/20 | 7,693 | ||||||
| 10,086 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 11,120 | ||||||
| 12,429 | First Industrial LP, 6.420%, 06/01/14 | 12,405 | ||||||
| 8,500 | Host Hotels & Resorts, Inc., 6.000%, 11/01/20 | 8,511 | ||||||
| 16,145 | Omega Healthcare Investors, Inc., 6.750%, 10/15/22 (e) | 16,306 | ||||||
| 5,012 | Sabra Health Care LP/Sabra Capital Corp., 8.125%, 11/01/18 (e) | 5,288 | ||||||
| 8,890 | Senior Housing Properties Trust, 6.750%, 04/15/20 | 9,497 | ||||||
| 99,289 | ||||||||
Total Financials | 1,061,110 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 126 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Health Care — 4.4% |
| |||||||
Biotechnology — 0.0% (g) |
| |||||||
| 1,925 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 2,117 | ||||||
Health Care Equipment & Supplies — 0.2% |
| |||||||
| 13,650 | Biomet, Inc., 10.000%, 10/15/17 (m) | 15,203 | ||||||
| 1,750 | DJO Finance LLC/DJO Finance Corp., 10.875%, 11/15/14 | 1,918 | ||||||
| 17,121 | ||||||||
Health Care Providers & Services — 3.0% |
| |||||||
| 6,436 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 6,919 | ||||||
| 9,112 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 9,659 | ||||||
DaVita, Inc., | ||||||||
| 8,500 | 6.375%, 11/01/18 | 8,617 | ||||||
| 8,450 | 6.625%, 11/01/20 | 8,566 | ||||||
| 8,669 | FMC Finance III S.A., (Luxembourg), 6.875%, 07/15/17 | 9,135 | ||||||
| 3,200 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 | 3,232 | ||||||
| 6,000 | Fresenius Medical Care U.S. Finance, Inc., 5.750%, 02/15/21 (e) | 5,805 | ||||||
HCA, Inc., | ||||||||
| 3,716 | 5.750%, 03/15/14 | 3,809 | ||||||
| 2,550 | 6.300%, 10/01/12 (m) | 2,658 | ||||||
| 5,553 | 6.375%, 01/15/15 | 5,734 | ||||||
| 1,275 | 6.750%, 07/15/13 | 1,350 | ||||||
| 5,275 | 7.250%, 09/15/20 | 5,690 | ||||||
| 8,556 | 8.500%, 04/15/19 | 9,583 | ||||||
| 2,050 | 9.125%, 11/15/14 | 2,150 | ||||||
| 24,025 | 9.250%, 11/15/16 (m) | 25,947 | ||||||
| 5,800 | 9.875%, 02/15/17 | 6,525 | ||||||
| 9,200 | PIK, 9.625%, 11/15/16 | 9,982 | ||||||
| 8,992 | Health Management Associates, Inc., 6.125%, 04/15/16 | 9,127 | ||||||
| 3,150 | IASIS Healthcare LLC/IASIS Capital Corp., 8.750%, 06/15/14 | 3,233 | ||||||
| 5,200 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 (e) | 5,323 | ||||||
| 18,600 | Multiplan, Inc., 9.875%, 09/01/18 (e) | 20,018 | ||||||
Omnicare, Inc., | ||||||||
| 8,501 | 6.875%, 12/15/15 | 8,777 | ||||||
| 2,750 | 7.750%, 06/01/20 | 2,936 | ||||||
| 13,235 | OnCure Holdings, Inc., 11.750%, 05/15/17 (e) | 13,103 | ||||||
| 8,100 | Radiation Therapy Services, Inc., 9.875%, 04/15/17 | 8,343 | ||||||
| 19,814 | Select Medical Corp., 7.625%, 02/01/15 | 20,136 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
Tenet Healthcare Corp., | ||||||||
| 13,394 | 8.875%, 07/01/19 | 15,236 | ||||||
| 425 | 9.000%, 05/01/15 | 467 | ||||||
| 425 | 10.000%, 05/01/18 | 499 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., | ||||||||
| 11,862 | 7.750%, 02/01/19 (e) | 12,069 | ||||||
| 12,400 | 8.000%, 02/01/18 | 12,741 | ||||||
| 20,950 | 8.000%, 02/01/18 (e) | 21,474 | ||||||
Ventas Realty LP/Ventas Capital Corp., | ||||||||
| 1,899 | 6.500%, 06/01/16 | 1,991 | ||||||
| 3,000 | 6.750%, 04/01/17 | 3,183 | ||||||
| 284,017 | ||||||||
Pharmaceuticals — 1.2% | ||||||||
| 14,378 | Catalent Pharma Solutions, Inc., PIK, 10.250%, 04/15/15 | 14,774 | ||||||
| 9,323 | Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 (f) (i) | 4,662 | ||||||
Elan Finance plc/Elan Finance Corp., (Ireland), | ||||||||
| 20,900 | 8.750%, 10/15/16 | 22,050 | ||||||
| 17,700 | 8.750%, 10/15/16 (e) | 18,629 | ||||||
| 4,450 | Giant Funding Corp., 8.250%, 02/01/18 (e) | 4,572 | ||||||
| 16,802 | Mylan, Inc., 7.875%, 07/15/20 (e) | 18,776 | ||||||
| 4,865 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 | 5,315 | ||||||
Valeant Pharmaceuticals International, | ||||||||
| 5,450 | 6.750%, 10/01/17 (e) | 5,641 | ||||||
| 9,400 | 6.875%, 12/01/18 (e) | 9,776 | ||||||
| 8,070 | 7.000%, 10/01/20 (e) | 8,342 | ||||||
| 112,537 | ||||||||
Total Health Care | 415,792 | |||||||
Industrials — 8.4% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
Alliant Techsystems, Inc., | ||||||||
| 1,411 | 6.750%, 04/01/16 | 1,457 | ||||||
| 7,900 | 6.875%, 09/15/20 | 8,167 | ||||||
| 6,575 | BE Aerospace, Inc., 6.875%, 10/01/20 | 6,855 | ||||||
Bombardier, Inc., (Canada), | ||||||||
| 7,420 | 7.500%, 03/15/18 (e) | 7,976 | ||||||
| 2,420 | 7.750%, 03/15/20 (e) | 2,626 | ||||||
| 6,145 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) | 4,885 | ||||||
| 5,490 | CPI International Acquisition, Inc., 8.000%, 02/15/18 (e) | 5,518 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 127 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued | ||||||||
Esterline Technologies Corp., | ||||||||
| 4,910 | 6.625%, 03/01/17 | 5,082 | ||||||
| 1,565 | 7.000%, 08/01/20 | 1,639 | ||||||
| 1,250 | Hexcel Corp., 6.750%, 02/01/15 | 1,283 | ||||||
| 7,195 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 8,112 | ||||||
| 2,777 | Moog, Inc., 7.250%, 06/15/18 | 2,923 | ||||||
Spirit Aerosystems, Inc., | ||||||||
| 13,558 | 6.750%, 12/15/20 | 13,897 | ||||||
| 4,500 | 7.500%, 10/01/17 | 4,781 | ||||||
Triumph Group, Inc., | ||||||||
| 10,066 | 8.000%, 11/15/17 | 10,846 | ||||||
| 8,380 | 8.625%, 07/15/18 | 9,239 | ||||||
| 95,286 | ||||||||
Air Freight & Logistics — 0.0% (g) | ||||||||
| 4,698 | AMGH Merger Sub, Inc., 9.250%, 11/01/18 (e) | 5,062 | ||||||
Airlines — 1.2% | ||||||||
| 787 | American Airlines Pass Through Trust 2001-01, 7.377%, 05/23/19 | 775 | ||||||
| 2,500 | American Airlines Pass Through Trust 2011-01, 7.000%, 01/31/18 (e) | 2,500 | ||||||
American Airlines, Inc., | ||||||||
| 4,200 | 10.500%, 10/15/12 | 4,609 | ||||||
| 1,612 | 13.000%, 08/01/16 | 1,919 | ||||||
| 14,059 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 14,129 | ||||||
| 2,087 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 2,098 | ||||||
| 13,075 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m) | 13,860 | ||||||
| 2,561 | Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.650%, 06/02/13 | 2,420 | ||||||
| 5,602 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 5,658 | ||||||
| 3,200 | Continental Airlines, Inc., 6.750%, 09/15/15 (e) | 3,288 | ||||||
Delta Air Lines, Inc., | ||||||||
| 286 | 6.619%, 03/18/11 | 287 | ||||||
| 5,321 | 8.021%, 08/10/22 | 5,577 | ||||||
| 6,732 | 8.954%, 08/10/14 | 7,071 | ||||||
| 602 | 9.500%, 09/15/14 (e) | 656 | ||||||
| 541 | 9.750%, 12/17/16 | 584 | ||||||
Northwest Airlines, Inc., | ||||||||
| 33,504 | 7.027%, 11/01/19 | 34,845 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — Continued | ||||||||
| 2,097 | 8.028%, 11/01/17 (c) | 2,139 | ||||||
| 8,482 | UAL 2007-1 Pass Through Trust, 6.636%, 07/02/22 | 8,715 | ||||||
UAL 2007-1 Pass-Through Trust, | ||||||||
| 1,006 | 7.336%, 07/02/19 (e) | 976 | ||||||
| 1,324 | VAR, 2.707%, 07/02/14 (e) | 1,165 | ||||||
| 4,596 | UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17 | 5,314 | ||||||
| 118,585 | ||||||||
Building Products — 0.3% | ||||||||
| 5,460 | Associated Materials LLC, 9.125%, 11/01/17 (e) | 5,904 | ||||||
Building Materials Corp of America, | ||||||||
| 19,475 | 6.875%, 08/15/18 (e) | 19,962 | ||||||
| 5,265 | 7.000%, 02/15/20 (e) | 5,548 | ||||||
| 567 | Masco Corp., 5.850%, 03/15/17 | 574 | ||||||
| 31,988 | ||||||||
Commercial Services & Supplies — 1.2% | ||||||||
Cenveo Corp., | ||||||||
| 20,038 | 8.875%, 02/01/18 | 20,138 | ||||||
| 9,250 | 10.500%, 08/15/16 (e) | 9,343 | ||||||
| 6,850 | Covanta Holding Corp., 7.250%, 12/01/20 | 7,194 | ||||||
FTI Consulting, Inc., | ||||||||
| 8,500 | 6.750%, 10/01/20 (e) | 8,500 | ||||||
| 2,000 | 7.750%, 10/01/16 | 2,097 | ||||||
| 7,754 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 8,336 | ||||||
| 5,030 | Geo Group, Inc. (The), 6.625%, 02/15/21 (e) | 5,043 | ||||||
Harland Clarke Holdings Corp., | ||||||||
| 11,747 | 9.500%, 05/15/15 | 11,541 | ||||||
| 24,225 | VAR, 6.000%, 05/15/15 | 21,742 | ||||||
Iron Mountain, Inc., | ||||||||
| 2,938 | 8.000%, 06/15/20 | 3,159 | ||||||
| 5,631 | 8.375%, 08/15/21 | 6,229 | ||||||
| 3,205 | 8.750%, 07/15/18 | 3,369 | ||||||
| 2,485 | Liberty Tire Recycling, 11.000%, 10/01/16 (e) | 2,771 | ||||||
| 2,465 | Mobile Mini, Inc., 7.875%, 12/01/20 (e) | 2,625 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
| 8,325 | 6.125%, 11/15/13 (d) (f) (i) | 416 | ||||||
| 6,815 | 6.500%, 08/01/27 (d) (f) (i) | 341 | ||||||
| 3,825 | 9.750%, 01/15/15 (c) (d) (f) (i) | 191 | ||||||
| 113,035 | ||||||||
Construction & Engineering — 1.2% | ||||||||
| 18,300 | Abengoa Finance SAU, (Spain), 8.875%, 11/01/17 (e) | 18,117 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 128 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction & Engineering — Continued | ||||||||
| 2,200 | Dycom Investments, Inc., 7.125%, 01/15/21 (e) | 2,247 | ||||||
| 2,580 | Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19 (e) | 2,638 | ||||||
| 1,000 | New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e) | 1,022 | ||||||
RSC Equipment Rental, Inc./RSC Holdings III LLC, | ||||||||
| 15,440 | 8.250%, 02/01/21 (e) | 16,328 | ||||||
| 22,919 | 9.500%, 12/01/14 (m) | 24,065 | ||||||
| 9,400 | Tutor Perini Corp., 7.625%, 11/01/18 (e) | 9,741 | ||||||
United Rentals North America, Inc., | ||||||||
| 11,750 | 8.375%, 09/15/20 | 12,440 | ||||||
| 12,250 | 9.250%, 12/15/19 (m) | 13,873 | ||||||
| 8,865 | 10.875%, 06/15/16 | 10,306 | ||||||
| 110,777 | ||||||||
Electrical Equipment — 0.2% | ||||||||
Belden, Inc., | ||||||||
| 3,408 | 7.000%, 03/15/17 | 3,459 | ||||||
| 5,315 | 9.250%, 06/15/19 | 5,886 | ||||||
| 1,810 | General Cable Corp., VAR, 2.678%, 04/01/15 | 1,765 | ||||||
| 5,910 | International Wire Group, Inc., 9.750%, 04/15/15 (e) | 6,331 | ||||||
| 17,441 | ||||||||
Environmental Services — 0.2% | ||||||||
Casella Waste Systems, Inc., | ||||||||
| 6,950 | 7.750%, 02/15/19 (e) | 7,124 | ||||||
| 7,455 | 11.000%, 07/15/14 | 8,461 | ||||||
| 15,585 | ||||||||
Industrial Conglomerates — 0.5% | ||||||||
| 26,680 | JB Poindexter & Co., Inc., 8.750%, 03/15/14 (m) | 26,947 | ||||||
| 6,375 | Pinafore LLC/Pinafore, Inc., 9.000%, 10/01/18 (e) | 7,092 | ||||||
| 12,725 | Trimas Corp., 9.750%, 12/15/17 (m) | 14,125 | ||||||
| 48,164 | ||||||||
Machinery — 0.4% | ||||||||
| 9,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 9,495 | ||||||
| 3,100 | Columbus McKinnon Corp., 7.875%, 02/01/19 (e) | 3,208 | ||||||
| 3,750 | Gardner Denver, Inc., 8.000%, 05/01/13 | 3,778 | ||||||
SPX Corp., | ||||||||
| 5,175 | 6.875%, 09/01/17 (e) | 5,563 | ||||||
| 1,325 | 7.625%, 12/15/14 | 1,451 | ||||||
| 4,550 | Thermadyne Holdings Corp., 9.000%, 12/15/17 (e) | 4,806 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued | ||||||||
| 8,165 | Titan International, Inc., 7.875%, 10/01/17 (e) | 8,737 | ||||||
| 37,038 | ||||||||
Marine — 1.2% |
| |||||||
| 10,000 | ACL I Corp., PIK, 10.625%, 02/15/16 (e) | 10,050 | ||||||
| 14,000 | American Petroleum Tankers LLC/AP Tankers Co., 10.250%, 05/01/15 (e) | 14,647 | ||||||
| 13,918 | CMA CGM S.A., (France), 7.250%, 02/01/13 (e) | 14,022 | ||||||
| 13,586 | Commercial Barge Line Co., 12.500%, 07/15/17 | 15,760 | ||||||
| 22,860 | General Maritime Corp., 12.000%, 11/15/17 | 20,974 | ||||||
| 4,645 | Navios Maritime Holdings, Inc./Navios Maritime Finance II U.S., Inc., 8.125%, 02/15/19 (e) | 4,645 | ||||||
| 22,020 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 23,782 | ||||||
| 13,780 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 14,021 | ||||||
| 117,901 | ||||||||
Road & Rail — 1.0% |
| |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
| 5,925 | 7.750%, 05/15/16 | 6,177 | ||||||
| 8,590 | 8.250%, 01/15/19 | 9,116 | ||||||
| 20,295 | 9.625%, 03/15/18 | 22,680 | ||||||
| 56 | Hertz Corp. (The), 8.875%, 01/01/14 | 57 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
| 6,048 | 6.625%, 12/15/20 (e) | 6,184 | ||||||
| 1,854 | 7.375%, 06/01/14 | 1,933 | ||||||
| 7,175 | Kansas City Southern Railway, 8.000%, 06/01/15 (m) | 7,785 | ||||||
Quality Distribution LLC/QD Capital Corp., | ||||||||
| 10,515 | 9.875%, 11/01/18 (e) | 11,041 | ||||||
| 702 | PIK, 11.750%, 11/01/13 (f) (i) | 702 | ||||||
| 23,649 | RailAmerica, Inc., 9.250%, 07/01/17 | 26,191 | ||||||
| 91,866 | ||||||||
Total Industrials | 802,728 | |||||||
Information Technology — 3.8% |
| |||||||
Communications Equipment — 0.8% |
| |||||||
Avaya, Inc., | ||||||||
| 14,925 | 7.000%, 04/01/19 (e) | 14,776 | ||||||
| 42,250 | 9.750%, 11/01/15 | 43,729 | ||||||
| 14,120 | Brightstar Corp., 9.500%, 12/01/16 (e) | 15,108 | ||||||
| 73,613 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 129 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Computers & Peripherals — 0.5% |
| |||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
| 7,390 | 6.875%, 05/01/20 (e) | 7,242 | ||||||
| 15,610 | 7.750%, 12/15/18 (e) | 16,000 | ||||||
| 18,075 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 18,866 | ||||||
| 8,400 | Stratus Technologies, Inc., 12.000%, 03/29/15 (e) | 7,560 | ||||||
| 49,668 | ||||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
| 15,559 | Intcomex, Inc., 13.250%, 12/15/14 (e) | 16,571 | ||||||
| 12,358 | Kemet Corp., 10.500%, 05/01/18 | 14,026 | ||||||
Sanmina-SCI Corp., | ||||||||
| 3,008 | 6.750%, 03/01/13 | 3,008 | ||||||
| 9,630 | 8.125%, 03/01/16 | 9,919 | ||||||
| 3,200 | VAR, 3.052%, 06/15/14 (e) | 3,152 | ||||||
| 2,219 | Smart Modular Technologies WWH, Inc., (Cayman Islands), VAR, 5.803%, 04/01/12 (f) (i) | 2,194 | ||||||
| 9,527 | Viasystems, Inc., 12.000%, 01/15/15 (e) | 10,789 | ||||||
| 59,659 | ||||||||
Internet Software & Services — 0.1% |
| |||||||
| 7,225 | Equinix, Inc., 8.125%, 03/01/18 | 7,839 | ||||||
IT Services — 1.0% |
| |||||||
| 5,625 | Compucom Systems, Inc., 12.500%, 10/01/15 (e) | 6,075 | ||||||
Fidelity National Information Services, Inc., | ||||||||
| 2,573 | 7.625%, 07/15/17 | 2,837 | ||||||
| 2,063 | 7.875%, 07/15/20 | 2,290 | ||||||
First Data Corp., | ||||||||
| 4,795 | 8.250%, 01/15/21 (e) | 4,771 | ||||||
| 1,080 | 8.875%, 08/15/20 (e) | 1,182 | ||||||
| 1,073 | 9.875%, 09/24/15 | 1,084 | ||||||
| 25,067 | 12.625%, 01/15/21 (e) | 26,258 | ||||||
| 3,045 | Interactive Data Corp., 10.250%, 08/01/18 (e) | 3,395 | ||||||
| 17,475 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (e) | 16,164 | ||||||
| 15,310 | Stream Global Services, Inc., 11.250%, 10/01/14 | 16,229 | ||||||
| 1,050 | SunGard Data Systems, Inc., 10.625%, 05/15/15 | 1,163 | ||||||
Unisys Corp., | ||||||||
| 4,670 | 12.750%, 10/15/14 (e) | 5,522 | ||||||
| 4,745 | 14.250%, 09/15/15 (e) | 5,658 | ||||||
| 92,628 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — 0.8% |
| |||||||
Advanced Micro Devices, Inc., | ||||||||
| 1,370 | 7.750%, 08/01/20 | 1,432 | ||||||
| 11,000 | 8.125%, 12/15/17 | 11,715 | ||||||
Amkor Technology, Inc., | ||||||||
| 10,090 | 7.375%, 05/01/18 | 10,582 | ||||||
| 449 | 9.250%, 06/01/16 | 476 | ||||||
Freescale Semiconductor, Inc., | ||||||||
| 8,000 | 9.250%, 04/15/18 (e) | 8,920 | ||||||
| 9,240 | 10.125%, 03/15/18 (e) | 10,580 | ||||||
| 2,615 | 10.750%, 08/01/20 (e) | 3,020 | ||||||
NXP B.V./NXP Funding LLC, (Netherlands), | ||||||||
| 16,962 | 7.875%, 10/15/14 (e) (m) | 17,704 | ||||||
| 1,100 | 9.750%, 08/01/18 (e) | 1,256 | ||||||
| 11,838 | VAR, 3.053%, 10/15/13 (e) | 11,779 | ||||||
| 2,850 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 3,110 | ||||||
| 80,574 | ||||||||
Total Information Technology | 363,981 | |||||||
Materials — 8.2% | ||||||||
Chemicals — 2.1% | ||||||||
| 9,469 | Celanese US Holdings LLC, 6.625%, 10/15/18 (e) | 9,895 | ||||||
CF Industries, Inc., | ||||||||
| 10,150 | 6.875%, 05/01/18 | 11,209 | ||||||
| 5,085 | 7.125%, 05/01/20 | 5,708 | ||||||
| 22,495 | Chemtura Corp., 7.875%, 09/01/18 (e) | 24,013 | ||||||
Lyondell Chemical Co., | ||||||||
| 17,901 | 8.000%, 11/01/17 (e) | 20,150 | ||||||
| 45,380 | 11.000%, 05/01/18 | 52,074 | ||||||
| 8,570 | Nalco Co., 6.625%, 01/15/19 (e) | 8,859 | ||||||
| 2,085 | Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.375%, 03/01/18 (e) | 2,121 | ||||||
| 151 | Nova Chemicals Corp., (Canada), 6.500%, 01/15/12 | 156 | ||||||
| 6,770 | Omnova Solutions, Inc., 7.875%, 11/01/18 (e) | 6,948 | ||||||
| 4,800 | Polymer Group, Inc., 7.750%, 02/01/19 (e) | 4,998 | ||||||
| 41,510 | PolyOne Corp., 7.375%, 09/15/20 | 44,001 | ||||||
| 3,850 | Rhodia S.A., (France), 6.875%, 09/15/20 (e) | 3,941 | ||||||
| 5,350 | Sterling Chemicals, Inc., 10.250%, 04/01/15 | 5,577 | ||||||
| 199,650 | ||||||||
Construction Materials — 0.4% | ||||||||
| 2,350 | Cemex S.A.B. de C.V., (Mexico), 9.000%, 01/11/18 (e) | 2,432 | ||||||
| 20,560 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 21,280 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 130 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction Materials — Continued | ||||||||
| 12,600 | Texas Industries, Inc., 9.250%, 08/15/20 | 13,718 | ||||||
| 37,430 | ||||||||
Containers & Packaging — 1.8% | ||||||||
Ardagh Packaging Finance plc, (Ireland), | ||||||||
| 4,400 | 7.375%, 10/15/17 (e) | 4,686 | ||||||
| 7,000 | 9.125%, 10/15/20 (e) | 7,683 | ||||||
Ball Corp., | ||||||||
| 8,000 | 5.750%, 05/15/21 | 7,840 | ||||||
| 4,125 | 6.750%, 09/15/20 | 4,321 | ||||||
| 1,650 | 7.125%, 09/01/16 | 1,807 | ||||||
| 1,650 | 7.375%, 09/01/19 | 1,794 | ||||||
Berry Plastics Corp., | ||||||||
| 5,750 | 8.250%, 11/15/15 | 6,160 | ||||||
| 18,266 | 9.500%, 05/15/18 | 18,311 | ||||||
| 8,750 | 9.750%, 01/15/21 (e) | 8,772 | ||||||
| 580 | 10.250%, 03/01/16 | 567 | ||||||
| 5,450 | Berry Plastics Holding Corp., VAR, 5.053%, 02/15/15 | 5,450 | ||||||
| 1,500 | BWAY Holding Co., 10.000%, 06/15/18 (e) | 1,665 | ||||||
| 12,863 | Constar International, Inc., VAR, 0.000%, 02/15/12 (d) | 5,901 | ||||||
| 4,000 | Graham Packaging Co. LP/GPC Capital Corp. I, 8.250%, 10/01/18 | 4,310 | ||||||
Graphic Packaging International, Inc., | ||||||||
| 5,200 | 7.875%, 10/01/18 | 5,590 | ||||||
| 4,275 | 9.500%, 06/15/17 | 4,745 | ||||||
| 3,800 | Greif, Inc., 7.750%, 08/01/19 | 4,190 | ||||||
Owens-Brockway Glass Container, Inc., | ||||||||
| 3,253 | 6.750%, 12/01/14 (m) | 3,330 | ||||||
| 1,000 | 7.375%, 05/15/16 | 1,090 | ||||||
Plastipak Holdings, Inc., | ||||||||
| 5,019 | 8.500%, 12/15/15 (e) | 5,245 | ||||||
| 8,500 | 10.625%, 08/15/19 (e) | 9,690 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
| 11,100 | 6.875%, 02/15/21 (e) | 11,128 | ||||||
| 4,850 | 7.125%, 04/15/19 (e) | 4,971 | ||||||
| 6,600 | 7.750%, 10/15/16 (e) | 7,029 | ||||||
| 11,540 | 8.250%, 02/15/21 (e) | 11,569 | ||||||
| 13,525 | 8.500%, 05/15/18 (e) | 13,999 | ||||||
| 5,725 | 9.000%, 04/15/19 (e) | 5,968 | ||||||
| 5,925 | Solo Cup Co., 10.500%, 11/01/13 | 6,043 | ||||||
| 173,854 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 1.9% | ||||||||
| 3,748 | AK Steel Corp., 7.625%, 05/15/20 | 3,823 | ||||||
| 9,475 | Aleris International, Inc., 7.625%, 02/15/18 (e) | 9,641 | ||||||
| 1,323 | Arch Western Finance LLC, 6.750%, 07/01/13 | 1,336 | ||||||
| 8,420 | Atkore International, Inc., 9.875%, 01/01/18 (e) | 9,167 | ||||||
| 4,376 | California Steel Industries, Inc., 6.125%, 03/15/14 | 4,354 | ||||||
| 1,000 | Edgen Murray Corp., 12.250%, 01/15/15 | 955 | ||||||
| 13,956 | Essar Steel Algoma, Inc., (Canada), 9.375%, 03/15/15 (e) | 13,956 | ||||||
| 15,425 | FMG Resources August 2006 Pty Ltd., (Australia), 7.000%, 11/01/15 (e) | 16,004 | ||||||
| 3,875 | Gibraltar Industries, Inc., 8.000%, 12/01/15 | 3,967 | ||||||
| 18,380 | Murray Energy Corp., 10.250%, 10/15/15 (e) | 19,621 | ||||||
| 6,488 | Noranda Aluminum Acquisition Corp., PIK, 5.193%, 05/15/15 | 6,050 | ||||||
Novelis, Inc., (Canada), | ||||||||
| 19,140 | 8.375%, 12/15/17 (e) | 21,102 | ||||||
| 13,105 | 8.750%, 12/15/20 (e) | 14,448 | ||||||
| 10,400 | Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e) | 11,102 | ||||||
| 4,500 | Ryerson, Inc., 12.000%, 11/01/15 | 4,838 | ||||||
| 13,775 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) | 15,015 | ||||||
| 4,925 | Steel Dynamics, Inc., 7.625%, 03/15/20 (e) | 5,294 | ||||||
United States Steel Corp., | ||||||||
| 1,075 | 6.050%, 06/01/17 | 1,094 | ||||||
| 5,231 | 7.000%, 02/01/18 | 5,453 | ||||||
| 9,685 | 7.375%, 04/01/20 | 10,242 | ||||||
| 5,469 | Wolverine Tube, Inc., PIK, 15.000%, 03/31/12 (d) | 2,078 | ||||||
| 179,540 | ||||||||
Paper & Forest Products — 2.0% | ||||||||
| 27,726 | AbitibiBowater, Inc., 10.250%, 10/15/18 (e) | 31,053 | ||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
| 8,431 | 6.000%, 06/20/13 (d) | 84 | ||||||
| 20,371 | 8.375%, 04/01/15 (d) | 204 | ||||||
Abitibi-Consolidated, Inc., | ||||||||
| 3,880 | 7.400%, 04/01/18 (d) | 39 | ||||||
| 15,841 | 7.500%, 06/15/11 (d) | 158 | ||||||
| 2,425 | 7.500%, 04/01/28 (d) | 24 | ||||||
| 680 | 8.550%, 08/01/10 (d) | 7 | ||||||
| 44,081 | 8.850%, 08/01/30 (d) | 441 | ||||||
| 16,800 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 17,388 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 131 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Paper & Forest Products — Continued | ||||||||
| 5,250 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 5,788 | ||||||
| 4,150 | Bowater Canada Finance Corp., (Canada), 7.950%, 11/15/11 (d) | 1,245 | ||||||
Cascades, Inc., (Canada), | ||||||||
| 6,710 | 7.750%, 12/15/17 | 7,021 | ||||||
| 4,000 | 7.875%, 01/15/20 | 4,175 | ||||||
Domtar Corp., | ||||||||
| 2,015 | 7.125%, 08/15/15 | 2,216 | ||||||
| 5,377 | 10.750%, 06/01/17 | 6,883 | ||||||
Georgia-Pacific LLC, | ||||||||
| 2,188 | 7.000%, 01/15/15 (e) | 2,265 | ||||||
| 7,090 | 7.125%, 01/15/17 (e) | 7,533 | ||||||
| 151 | 8.125%, 05/15/11 | 153 | ||||||
| 3,800 | 8.250%, 05/01/16 (e) | 4,284 | ||||||
NewPage Corp., | ||||||||
| 21,500 | 10.000%, 05/01/12 | 14,190 | ||||||
| 61,532 | 11.375%, 12/31/14 | 61,378 | ||||||
P.H. Glatfelter Co., | ||||||||
| 6,810 | 7.125%, 05/01/16 | 6,963 | ||||||
| 2,070 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 2,391 | ||||||
| 3,200 | Potlatch Corp., 7.500%, 11/01/19 | 3,392 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
| 25,818 | 8.000%, 03/15/17 (d) (f) (i) | 1,743 | ||||||
| 19,431 | 8.375%, 07/01/12 (d) (f) (i) | 1,311 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., | ||||||||
| 8,000 | 8.750%, 02/01/19 (e) | 8,360 | ||||||
| 1,050 | 11.500%, 07/01/14 | 1,158 | ||||||
| 191,847 | ||||||||
Total Materials | 782,321 | |||||||
Telecommunication Services — 5.8% |
| |||||||
Diversified Telecommunication Services — 3.0% |
| |||||||
Cincinnati Bell, Inc., | ||||||||
| 37 | 7.000%, 02/15/15 | 38 | ||||||
| 7,125 | 8.250%, 10/15/17 | 7,196 | ||||||
| 4,840 | 8.750%, 03/15/18 | 4,640 | ||||||
Clearwire Communications LLC/Clearwire Finance, Inc., | ||||||||
| 60,938 | 12.000%, 12/01/15 (e) | 66,422 | ||||||
Frontier Communications Corp., | ||||||||
| 6,340 | 7.125%, 03/15/19 | 6,594 | ||||||
| 3,945 | 7.875%, 04/15/15 | 4,369 | ||||||
| 800 | 8.125%, 10/01/18 | 889 | ||||||
| 775 | 8.250%, 05/01/14 | 871 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
| 3,945 | 8.250%, 04/15/17 | 4,359 | ||||||
| 13,095 | 8.500%, 04/15/20 | 14,535 | ||||||
| 3,945 | 8.750%, 04/15/22 | 4,379 | ||||||
Global Crossing Ltd., (Bermuda), | ||||||||
| 4,900 | 9.000%, 11/15/19 (e) | 4,949 | ||||||
| 2,965 | 12.000%, 09/15/15 | 3,402 | ||||||
| 5,000 | Level 3 Communications, Inc., 11.875%, 02/01/19 (e) | 4,913 | ||||||
Level 3 Financing, Inc., | ||||||||
| 5,500 | 8.750%, 02/15/17 | 5,404 | ||||||
| 45,588 | 9.250%, 11/01/14 (m) | 47,069 | ||||||
| 14,015 | PAETEC Holding Corp., 8.875%, 06/30/17 (m) | 15,206 | ||||||
Qwest Communications International, Inc., | ||||||||
| 17,455 | 7.125%, 04/01/18 | 18,720 | ||||||
| 2,500 | 7.500%, 02/15/14 | 2,538 | ||||||
| 4,115 | 8.000%, 10/01/15 | 4,491 | ||||||
Qwest Corp., | ||||||||
| 10,000 | 6.500%, 06/01/17 (m) | 11,000 | ||||||
| 1,000 | 7.500%, 10/01/14 (m) | 1,145 | ||||||
| 12,996 | 7.625%, 06/15/15 (m) | 14,913 | ||||||
| 1,000 | 8.375%, 05/01/16 | 1,194 | ||||||
| 2,400 | 8.875%, 03/15/12 | 2,577 | ||||||
Windstream Corp., | ||||||||
| 500 | 7.000%, 03/15/19 | 500 | ||||||
| 8,200 | 7.875%, 11/01/17 | 8,907 | ||||||
| 10,025 | 8.125%, 08/01/13 (m) | 11,040 | ||||||
| 10,190 | 8.125%, 09/01/18 | 10,904 | ||||||
| 3,950 | 8.625%, 08/01/16 | 4,177 | ||||||
| 287,341 | ||||||||
Wireless Telecommunication Services — 2.8% |
| |||||||
| 6,160 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 6,799 | ||||||
Cricket Communications, Inc., | ||||||||
| 4,810 | 7.750%, 05/15/16 | 5,086 | ||||||
| 27,325 | 7.750%, 10/15/20 | 26,164 | ||||||
| 3,720 | Crown Castle International Corp., 9.000%, 01/15/15 | 4,185 | ||||||
| 4,270 | iPCS, Inc., VAR, 2.429%, 05/01/13 | 4,217 | ||||||
MetroPCS Wireless, Inc., | ||||||||
| 5,000 | 6.625%, 11/15/20 | 4,869 | ||||||
| 6,200 | 7.875%, 09/01/18 | 6,549 | ||||||
| 68,800 | Nextel Communications, Inc., 7.375%, 08/01/15 (m) | 68,972 | ||||||
NII Capital Corp., | ||||||||
| 19,530 | 8.875%, 12/15/19 | 21,580 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 132 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Wireless Telecommunication Services — Continued |
| |||||||
| 7,455 | 10.000%, 08/15/16 | 8,443 | ||||||
| 3,250 | NII Holdings, Inc., 3.125%, 06/15/12 | 3,234 | ||||||
| 1,025 | SBA Telecommunications, Inc., 8.250%, 08/15/19 | 1,130 | ||||||
Sprint Nextel Corp., | ||||||||
| 67,435 | 6.000%, 12/01/16 (m) | 67,266 | ||||||
| 5,425 | 8.375%, 08/15/17 | 6,015 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
| 9,025 | 7.250%, 02/15/18 (e) | 9,318 | ||||||
| 10,915 | 11.750%, 07/15/17 (e) | 12,525 | ||||||
| 8,306 | PIK, 12.250%, 07/15/17 (e) | 9,719 | ||||||
| 266,071 | ||||||||
Total Telecommunication Services | 553,412 | |||||||
Utilities — 4.1% |
| |||||||
Electric Utilities — 0.1% |
| |||||||
| 1,200 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 1,302 | ||||||
| 2,500 | PNM Resources, Inc., 9.250%, 05/15/15 | 2,806 | ||||||
| 8,000 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 9,028 | ||||||
| 13,136 | ||||||||
Gas Utilities — 0.1% |
| |||||||
| 8,570 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e) | 8,784 | ||||||
Independent Power Producers & Energy Traders — 3.8% |
| |||||||
AES Eastern Energy LP, | ||||||||
| 2,870 | 9.000%, 01/02/17 | 2,468 | ||||||
| 29,145 | 9.670%, 01/02/29 | 24,773 | ||||||
| 8,275 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 8,978 | ||||||
Calpine Corp., | ||||||||
| 10,011 | 7.250%, 10/15/17 (e) | 10,486 | ||||||
| 52,220 | 7.500%, 02/15/21 (e) | 53,395 | ||||||
| 16,900 | 7.875%, 01/15/23 (e) | 17,365 | ||||||
| 5,075 | Calpine Generating Co. LLC, HB, 4,823.931%, 04/01/11 (d) | 634 | ||||||
Dynegy Holdings, Inc., | ||||||||
| 12,200 | 7.125%, 05/15/18 (m) | 8,662 | ||||||
| 3,900 | 7.500%, 06/01/15 | 3,169 | ||||||
| 23,825 | 7.750%, 06/01/19 | 17,214 | ||||||
| 151 | 8.375%, 05/01/16 | 121 | ||||||
| 41,590 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 (m) | 40,446 | ||||||
Edison Mission Energy, | ||||||||
| 13,102 | 7.000%, 05/15/17 | 10,646 | ||||||
| 58,706 | 7.200%, 05/15/19 (m) | 46,671 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Independent Power Producers & Energy |
| |||||||
| 828 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 799 | ||||||
| 19,285 | GenOn Energy Inc., 9.875%, 10/15/20 (e) | 20,298 | ||||||
Homer City Funding LLC, | ||||||||
| 5,180 | 8.137%, 10/01/19 | 4,986 | ||||||
| 9,342 | 8.734%, 10/01/26 | 8,548 | ||||||
| 14,581 | Midwest Generation LLC, 8.560%, 01/02/16 | 15,091 | ||||||
| 7,130 | Mirant Americas Generation LLC, 8.500%, 10/01/21 | 7,522 | ||||||
| 1,949 | Mirant Mid Atlantic Pass Through Trust, 10.060%, 12/30/28 | 2,202 | ||||||
NRG Energy, Inc., | ||||||||
| 8,050 | 7.375%, 02/01/16 | 8,332 | ||||||
| 13,325 | 7.375%, 01/15/17 (m) | 14,041 | ||||||
| 11,050 | 8.500%, 06/15/19 | 11,768 | ||||||
| 2,248 | Ormat Funding Corp., 8.250%, 12/30/20 (m) | 2,225 | ||||||
RRI Energy, Inc., | ||||||||
| 10,780 | 7.625%, 06/15/14 (m) | 11,265 | ||||||
| 2,600 | 7.875%, 06/15/17 (m) | 2,607 | ||||||
| 13,903 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 7,821 | ||||||
| 362,533 | ||||||||
Multi-Utilities — 0.1% |
| |||||||
Energy Future Holdings Corp., | ||||||||
| 1,306 | 9.750%, 10/15/19 | 1,350 | ||||||
| 650 | 10.875%, 11/01/17 | 539 | ||||||
| 4,090 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20 | 4,270 | ||||||
| 6,159 | ||||||||
Total Utilities | 390,612 | |||||||
Total Corporate Bonds | 7,764,491 | |||||||
| Common Stocks — 1.0% | |||||||
Consumer Discretionary — 0.2% |
| |||||||
Automobiles — 0.2% |
| |||||||
| 480 | General Motors Co. (a) | 16,082 | ||||||
Broadcasting & Cable TV — 0.0% (g) | ||||||||
| 9,055 | Adelphia Recovery Trust, Contingent Value | 54 | ||||||
Leisure Equipment & Products — 0.0% (g) | ||||||||
| 458 | New True Temper Holdings Corp., Inc. (a) (f) (i) | 3,666 | ||||||
Textiles, Apparel & Luxury Goods — 0.0% |
| |||||||
| 228 | Broder Brothers Co. (a) (f) (i) | — | ||||||
| 66 | WestPoint International, Inc. (a) (f) (i) | — | ||||||
Total Consumer Discretionary | 19,802 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 133 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Consumer Staples — 0.0% (g) | ||||||||
Food Products — 0.0% (g) | ||||||||
| 585 | Eurofresh, Inc., ADR (a) (f) (i) | 439 | ||||||
Household Products — 0.0% (g) | ||||||||
| 27 | Spectrum Brands Holdings, Inc. (a) | 780 | ||||||
Total Consumer Staples | 1,219 | |||||||
Industrials — 0.0% (g) | ||||||||
Commercial Services & Supplies — 0.0% (g) | ||||||||
| 22 | Quad/Graphics, Inc. (a) | 974 | ||||||
Information Technology — 0.2% | ||||||||
Computers & Peripherals — 0.0% | ||||||||
| 575 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | ||||||
IT Services — 0.1% | ||||||||
| 92 | Unisys Corp. (a) | 3,417 | ||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
| 2,602 | MagnaChip Semiconductor S.A., ADR (a) (f) (i) | 6,319 | ||||||
| 1,884 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (c) (f) (i) | 4,577 | ||||||
| 10,896 | ||||||||
Total Information Technology | 14,313 | |||||||
Materials — 0.6% | ||||||||
Chemicals — 0.4% | ||||||||
| 867 | LyondellBasell Industries N.V., (Netherlands), Class A (a) | 33,012 | ||||||
Construction Materials — 0.0% (g) | ||||||||
| 399 | U.S. Concrete, Inc. (a) | 3,990 | ||||||
Paper & Forest Products — 0.2% | ||||||||
| 776 | AbitibiBowater, Inc., (Canada) (a) | 21,717 | ||||||
Total Materials | 58,719 | |||||||
Telecommunication Services — 0.0% (g) |
| |||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
| 2 | AboveNet, Inc. | 113 | ||||||
| 1 | XO Holdings, Inc. (a) | 1 | ||||||
| 114 | ||||||||
Total Telecommunication Services | 114 | |||||||
Utilities — 0.0% (g) | ||||||||
Independent Power Producers & Energy Traders — 0.0% (g) | ||||||||
| 19 | GenOn Energy, Inc. (a) | 79 | ||||||
Total Common Stocks | 95,220 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Preferred Stocks — 0.5% | |||||||
Consumer Discretionary — 0.0% (g) | ||||||||
Automobiles — 0.0% (g) | ||||||||
| 63 | General Motors Co., 4.750%, 12/01/13 | 3,205 | ||||||
Media — 0.0% (g) | ||||||||
| 77 | Spanish Broadcasting System, Inc. (a) (f) (i) | 1 | ||||||
| 1 | Spanish Broadcasting System, Inc., PIK, 10.750%, 04/01/11 (a) (f) (i) (x) | 617 | ||||||
| 618 | ||||||||
Total Consumer Discretionary | 3,823 | |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
| 1 | Eurofresh, Inc., ADR (a) (f) (i) | 817 | ||||||
Financials — 0.5% |
| |||||||
Commercial Banks — 0.2% |
| |||||||
| 112 | CoBank ACB, 7.000%, 04/01/11 (e) (f) (i) (x) | 5,250 | ||||||
| 95 | CoBank ACB, Series C, 11.000%, | 5,383 | ||||||
| 161 | CoBank ACB, Series D, 11.000%, | 9,085 | ||||||
| 19,718 | ||||||||
Consumer Finance — 0.3% |
| |||||||
| 20 | Ally Financial, Inc., 7.000%, 12/31/11 (e) (x) | 18,941 | ||||||
| 326 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 8,829 | ||||||
| 27,770 | ||||||||
Total Financials | 47,488 | |||||||
Information Technology — 0.0% |
| |||||||
Computers & Peripherals — 0.0% |
| |||||||
| 131 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | ||||||
Total Preferred Stocks | 52,128 | |||||||
| Loan Participations & Assignments — 13.9% |
| ||||||
Consumer Discretionary — 6.5% |
| |||||||
Auto Components — 0.2% |
| |||||||
| 20,075 | Remy International, Term Loan B, VAR, 6.250%, 02/16/16 | 20,301 | ||||||
| 2,950 | UCI International, Term Loan, VAR, 5.500%, 07/26/17 | 2,963 | ||||||
| 23,264 | ||||||||
Automobiles — 0.4% |
| |||||||
Ford Motor Co., Tranche B1 Term Loan, | ||||||||
| 27,032 | VAR, 3.020%, 12/15/13 | 26,997 | ||||||
| 11,771 | VAR, 3.020%, 12/15/13 | 11,755 | ||||||
| 2,266 | VAR, 3.020%, 12/15/13 | 2,263 | ||||||
| 41,015 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 134 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Gaming — 1.8% |
| |||||||
| 22,650 | Boyd Gaming Corp., 1st Lien Term Loan, 12/17/15^ | 22,376 | ||||||
| 23,000 | CCM Merger, Inc., Term Loan, 03/01/17^ | 23,287 | ||||||
CCM Merger, Inc., Term Loan B, | ||||||||
| 1,000 | Citycenter Holdings, Inc., Term Loan, 06/30/15^ | 1,010 | ||||||
| 9,166 | VAR, 8.500%, 07/13/12 | 9,166 | ||||||
| 2,504 | VAR, 8.500%, 07/13/12 | 2,504 | ||||||
| 1,192 | VAR, 8.500%, 07/13/12 | 1,192 | ||||||
| 71,027 | Harrah’s Entertainment Operating Co., Inc., Term B-2 Loan, VAR, 3.303%, 01/28/15 | 65,828 | ||||||
| 973 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan A, VAR, 5.000%, 11/25/13 | 969 | ||||||
| 3,071 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan B, VAR, 5.000%, 11/25/13 | 3,061 | ||||||
| 7,004 | Isle of Capri Casinos, Inc., Initial Term Loan, VAR, 5.000%, 11/25/13 | 6,981 | ||||||
MGM Resorts International, Class C Loan, | ||||||||
| 7,293 | VAR, 7.000%, 02/21/14 | 7,184 | ||||||
| 9,207 | VAR, 7.000%, 02/21/14 | 9,071 | ||||||
| 5,000 | MGM Resorts International, Extended Term Loan E, VAR, 7.000%, 02/21/14 | 4,926 | ||||||
Sugarhouse HSP Gaming, Term Loan B, | ||||||||
| 100 | VAR, 11.250%, 09/23/14 | 102 | ||||||
| 1,212 | VAR, 11.250%, 09/23/14 | 1,231 | ||||||
| 12,556 | VAR, 11.250%, 09/23/14 | 12,754 | ||||||
| 3,400 | Venetian Orient Ltd., Term Loan F, VAR, 4.790%, 06/17/15 | 3,357 | ||||||
| 174,999 | ||||||||
Hotels, Restaurants & Leisure — 0.4% |
| |||||||
| 4,597 | Dine Equity Inc., Term B-1 Loan, 10/01/17^ | 4,627 | ||||||
Outback Steakhouse, Prefunded RC Commitment, | ||||||||
| 352 | VAR, 0.122%, 06/14/13 | 346 | ||||||
| 1,253 | VAR, 2.563%, 06/14/13 | 1,230 | ||||||
| 24,337 | Outback Steakhouse, Term Loan B, VAR, 2.625%, 06/14/14 | 23,904 | ||||||
| 4,478 | Wendy’s/Arby’s Restaurants LLC, Term Loan, VAR, 5.000%, 05/24/17 | 4,510 | ||||||
| 34,617 | ||||||||
Media — 2.1% |
| |||||||
| 14,000 | Bresnan Communications, Term Loan B, VAR, 4.500%, 12/15/17 | 14,083 | ||||||
| 20,393 | Cengage Learning Acquisitions, Term Loan, VAR, 2.550%, 07/03/14 | 19,570 | ||||||
| 34,089 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.912%, 01/29/16 | 31,157 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
Entercom Radio LLC, Term Loan A, | ||||||||
| 13,429 | VAR, 1.387%, 06/30/12 | 13,261 | ||||||
| 499 | VAR, 3.375%, 06/30/12 | 493 | ||||||
| 5,164 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 5,179 | ||||||
Media General, Inc., Term Loan, | ||||||||
| 2,124 | VAR, 4.513%, 03/29/13 | 2,070 | ||||||
| 6,677 | VAR, 4.561%, 03/29/13 | 6,506 | ||||||
Miramax Films, LLC, 1st Lien, | ||||||||
| 863 | VAR, 7.750%, 02/15/15 | 879 | ||||||
| 812 | VAR, 7.750%, 02/15/15 | 827 | ||||||
| 812 | VAR, 7.750%, 02/15/15 | 827 | ||||||
| 812 | VAR, 7.750%, 02/15/15 | 827 | ||||||
| 18,882 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 18,935 | ||||||
| 3,820 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 4,047 | ||||||
| 499 | Nielsen Finance LLC, Class B Dollar Term Loan, VAR, 4.014%, 05/01/16 | 502 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
| 1,403 | VAR, 9.000%, 10/24/14 | 1,081 | ||||||
| 12,488 | VAR, 9.000%, 10/24/14 | 9,621 | ||||||
| 12,264 | VAR, 9.000%, 10/24/14 | 9,448 | ||||||
| 1,403 | VAR, 9.000%, 10/24/14 | 1,081 | ||||||
| 1,318 | VAR, 9.000%, 10/24/14 | 1,015 | ||||||
| 50,879 | Univision Communications, Inc., Initial Lien Term Loan, VAR, 2.512%, 09/29/14 | 49,334 | ||||||
| 7,695 | Univision Communications, Inc., Extended First Lien Term Loan, VAR, 4.512%, 03/31/17 | 7,483 | ||||||
Vertis, Inc., 1st Lien Term Loan, | ||||||||
| 1,906 | VAR, 11.750%, 12/31/15 | 1,906 | ||||||
| 94 | VAR, 11.750%, 12/31/15 | 94 | ||||||
| 200,226 | ||||||||
Specialty Retail — 1.6% |
| |||||||
Claire’s Stores, Term Loan B, | ||||||||
| 14,650 | 12/31/49^ | 14,257 | ||||||
| 60,597 | VAR, 3.012%, 05/29/14 | 58,972 | ||||||
| 12,701 | VAR, 3.054%, 05/29/14 | 12,360 | ||||||
| 15,558 | VAR, 5.000%, 05/29/14 | 15,141 | ||||||
General Nutrition Centers, Inc., Term Loan B, | ||||||||
| 3,553 | VAR, 2.560%, 09/16/13 | 3,544 | ||||||
| 1,184 | VAR, 2.560%, 09/16/13 | 1,182 | ||||||
| 2,895 | VAR, 4.500%, 09/16/13 | 2,887 | ||||||
| 10,400 | Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/11/18 | 10,410 | ||||||
| 11,600 | J. Crew, 1st Lien Term Loan, 03/04/18^ | 11,602 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 135 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
Michael’s Stores, Term B-1 Loan, | ||||||||
| 1,625 | VAR, 2.563%, 10/31/13 | 1,619 | ||||||
| 1,503 | VAR, 2.563%, 10/31/13 | 1,497 | ||||||
| 944 | VAR, 2.563%, 10/31/13 | 940 | ||||||
| 2,144 | VAR, 2.625%, 10/31/13 | 2,135 | ||||||
Michael’s Stores, Term B-2 Loan, | ||||||||
| 1,862 | VAR, 4.813%, 07/31/16 | 1,874 | ||||||
| 1,721 | VAR, 4.813%, 07/31/16 | 1,732 | ||||||
| 1,081 | VAR, 4.813%, 07/31/16 | 1,088 | ||||||
| 2,456 | VAR, 4.875%, 07/31/16 | 2,472 | ||||||
| 143,712 | ||||||||
Total Consumer Discretionary | 617,833 | |||||||
Consumer Staples — 1.3% |
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
| 15,700 | Rite Aid Corp., Term Loan, 02/28/18^ | 15,680 | ||||||
| 2,205 | Rite Aid Corp., Term Loan 3, VAR, 6.000%, 06/04/14 | 2,202 | ||||||
Rite Aid Corp., Tranche 2 Term Loan, | ||||||||
| 12,632 | VAR, 2.020%, 06/04/14 | 12,192 | ||||||
| 8,334 | VAR, 2.020%, 06/04/14 | 8,044 | ||||||
| 8,271 | VAR, 2.020%, 06/04/14 | 7,982 | ||||||
| 46,100 | ||||||||
Food Products — 0.3% |
| |||||||
Bolthouse Farms, 1st Lien Term Loan, | ||||||||
| 4,239 | VAR, 5.500%, 02/11/16 | 4,272 | ||||||
| 16 | VAR, 5.750%, 02/11/16 | 16 | ||||||
Dole Food Co., Term Loan B, | ||||||||
| 1,976 | VAR, 5.000%, 02/11/17 | 1,992 | ||||||
| 171 | VAR, 5.500%, 02/11/17 | 173 | ||||||
| 94 | VAR, 5.500%, 02/11/17 | 95 | ||||||
Dole Food Co., Term Loan C, | ||||||||
| 3,012 | VAR, 5.000%, 03/02/17 | 3,036 | ||||||
| 2,118 | VAR, 5.000%, 03/02/17 | 2,135 | ||||||
| 439 | VAR, 5.500%, 03/02/17 | 443 | ||||||
Pierre Foods, Inc., 1st Lien Term Loan, | ||||||||
| 9,179 | VAR, 7.000%, 09/30/16 | 9,245 | ||||||
| 23 | VAR, 7.000%, 09/30/16 | 23 | ||||||
| 6,160 | Pierre Foods, Inc., 2nd Lien Term Loan, VAR, 11.250%, 09/29/17 | 6,311 | ||||||
| 27,741 | ||||||||
Personal Products — 0.5% |
| |||||||
| 8,800 | NBTY, Inc., 1st Lien Term Loan, 10/01/17^ | 8,833 | ||||||
| 10,710 | NBTY, Inc., Term Loan B, VAR, 6.250%, 09/21/16 | 10,820 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — Continued |
| |||||||
| 17,250 | Visant Corp., 1st Lien Term Loan, 12/22/16^ | 17,293 | ||||||
Visant Corp., Tranche B Term Loan, | ||||||||
| 10,448 | VAR, 7.000%, 12/22/16 | 10,543 | ||||||
| 26 | VAR, 7.000%, 12/22/16 | 27 | ||||||
| 47,516 | ||||||||
Total Consumer Staples | 121,357 | |||||||
Energy — 0.1% |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
| 2,150 | Equipower Resource Holdings, 1st Lien Term Loan, VAR, 5.750%, 01/26/18 | 2,163 | ||||||
Oil, Gas & Consumable Fuels — 0.1% |
| |||||||
| 6,600 | Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16 | 6,683 | ||||||
Total Energy | 8,846 | |||||||
Financials — 1.7% |
| |||||||
Capital Markets — 0.2% |
| |||||||
| 22,051 | Pinafore LLC, Term Loan B1, VAR, 4.250%, 09/29/16 | 22,172 | ||||||
Consumer Finance — 0.1% |
| |||||||
| 6,875 | American General Finance Corp., Term Loan B, VAR, 7.250%, 04/21/15 | 6,933 | ||||||
Diversified Financial Services — 1.4% |
| |||||||
| 137,120 | Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d) | 68,104 | ||||||
| 7,575 | Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d) | 3,731 | ||||||
Checksmart Financial Co., Term Loan B, | ||||||||
| 1,370 | VAR, 2.770%, 05/01/12 (f) (i) | 1,230 | ||||||
| 2,833 | VAR, 2.810%, 05/01/12 (f) (i) | 2,543 | ||||||
CIT Group, Inc., Tranche 3 Term Loan, | ||||||||
| 3,206 | VAR, 6.250%, 07/27/15 | 3,251 | ||||||
| 1,049 | VAR, 6.250%, 07/27/15 | 1,064 | ||||||
| 835 | VAR, 6.250%, 07/27/15 | 846 | ||||||
| 760 | VAR, 6.250%, 07/27/15 | 771 | ||||||
| 760 | VAR, 6.250%, 07/27/15 | 771 | ||||||
| 417 | VAR, 6.250%, 07/27/15 | 423 | ||||||
| 3,189 | VAR, 6.250%, 07/27/15 | 3,233 | ||||||
| 1,362 | VAR, 6.250%, 07/27/15 | 1,381 | ||||||
| 1,246 | VAR, 6.250%, 07/27/15 | 1,263 | ||||||
Clarke American Corp., Term Loan B, | ||||||||
| 7,666 | VAR, 2.762%, 06/30/14 | 7,292 | ||||||
| 5,585 | VAR, 2.762%, 06/30/14 | 5,313 | ||||||
| 12,414 | VAR, 2.803%, 06/30/14 | 11,809 | ||||||
| 12,189 | VAR, 2.803%, 06/30/14 | 11,595 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 136 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
| 4,632 | VAR, 2.803%, 06/30/14 | 4,407 | ||||||
| 2,850 | International Lease Finance Corp., Term Loan 1, VAR, 6.750%, 03/17/15 | 2,864 | ||||||
| 131,891 | ||||||||
Insurance — 0.0% (g) |
| |||||||
| 988 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/04/14 | 999 | ||||||
Thrift & Mortgage Finance — 0.0% (g) |
| |||||||
| 1,019 | Ocwen Financial Corp., Initial Term Loan, VAR, 9.000%, 07/29/15 | 1,017 | ||||||
Total Financials | 163,012 | |||||||
Health Care — 0.2% |
| |||||||
Health Care Providers & Services — 0.1% |
| |||||||
| 3,600 | Inventive Health, Term Loan, 08/04/16^ | 3,613 | ||||||
| 1,638 | Vanguard Health Systems, Term Loan B, VAR, 5.000%, 01/29/16 | 1,646 | ||||||
| 5,259 | ||||||||
Pharmaceuticals — 0.1% |
| |||||||
Axcan Intermediate Holdings, Inc., Term Loan, | ||||||||
| 7,048 | VAR, 5.500%, 02/10/17 | 7,054 | ||||||
| 1,205 | VAR, 5.500%, 02/10/17 | 1,206 | ||||||
| 2,444 | Catalent Pharma Solutions, Inc., Dollar Term Loans, VAR, 2.512%, 04/10/14 | 2,405 | ||||||
| 10,665 | ||||||||
Total Health Care | 15,924 | |||||||
Industrials — 0.7% |
| |||||||
Airlines — 0.1% |
| |||||||
| 988 | Delta Air Lines, Inc., Term Loan B, VAR, 8.750%, 09/27/13 | 988 | ||||||
Delta Airlines, Inc., 1st Lien Credit Linked Deposit, | ||||||||
| 2,245 | VAR, 0.094%, 04/30/12 | 2,178 | ||||||
| 4,299 | VAR, 2.264%, 04/30/12 | 4,170 | ||||||
| 7,336 | ||||||||
Building Products — 0.1% |
| |||||||
| 561 | Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.203%, 02/07/14 | 474 | ||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||
| 13 | VAR, 2.533%, 02/07/14 | 11 | ||||||
| 6,154 | VAR, 2.554%, 02/07/14 | 5,200 | ||||||
| 5,685 | ||||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — 0.1% |
| |||||||
| 11,400 | Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16 | 11,495 | ||||||
Electrical Equipment — 0.1% |
| |||||||
| 216 | Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16 | 216 | ||||||
| 3,454 | Electrical Components International, Inc., Term Loan, VAR, 6.750%, 01/25/17 | 3,458 | ||||||
Generac Power Systems, Term Loan B, | ||||||||
| 1,347 | VAR, 2.760%, 11/10/13 | 1,344 | ||||||
| 7,600 | VAR, 2.803%, 11/10/13 | 7,583 | ||||||
| 12,601 | ||||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 12,855 | BOC Edwards, Extended Term Loan, VAR 5.500%, 05/31/16 | 12,758 | ||||||
Industrial Machinery — 0.1% |
| |||||||
| 13,325 | Intelligrated Inc., Term Loan, VAR, 7.500%, 02/17/17 | 13,192 | ||||||
Road & Rail — 0.1% |
| |||||||
| 9,905 | Swift Transportation Co., Term Loan, VAR, 6.000%, 12/21/16 | 9,960 | ||||||
Total Industrials | 73,027 | |||||||
Information Technology — 1.2% |
| |||||||
Communications Equipment — 0.3% |
| |||||||
| 7,781 | Avaya, Inc., Term Loan B1, VAR, 3.061%, 10/26/14 | 7,545 | ||||||
| 15,629 | Avaya, Inc., Term Loan B3 Extending Tranche, VAR, 4.811%, 10/27/17 | 15,302 | ||||||
| 1,143 | Brocade Communications Systems, Inc., Term Loan, VAR, 7.000%, 10/07/13 | 1,148 | ||||||
| 8,150 | Syniverse Holdings, Inc., Term Loan B, VAR, 5.250%, 12/22/17 | 8,240 | ||||||
| 32,235 | ||||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
| 3,344 | Stratus Technologies, Inc., 2nd Lien Term Loan, VAR, 5.320%, 06/30/15 (f) (i) | 2,190 | ||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 13,000 | CDW Corp., Extended Tranche E, VAR, 5.264%, 07/15/17 | 12,996 | ||||||
| 201 | CDW Corp., Non Extended Term Loan, VAR, 4.264%, 10/10/14 | 201 | ||||||
| 13,197 | ||||||||
Internet Software & Services — 0.1% |
| |||||||
Savvis Communications Corp., Term Loan B, | ||||||||
| 5,945 | VAR, 6.750%, 08/04/16 | 5,996 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 137 | ||||||
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Internet Software & Services — Continued |
| |||||||
| 40 | VAR, 6.750%, 08/04/16 | 40 | ||||||
| 6,800 | Softlayer Technologies, Term Loan, 11/09/16^ | 6,845 | ||||||
| 12,881 | ||||||||
IT Services — 0.5% |
| |||||||
| 1,337 | CompuCom Systems, Term Loan, VAR, 3.770%, 08/23/14 (f) (i) | 1,300 | ||||||
| 10,480 | First Data Corp., Initial Tranche B-1, VAR, 3.012%, 09/24/14 | 9,900 | ||||||
| 24,424 | First Data Corp., Initial Tranche B-3, VAR, 3.011%, 09/24/14 | 23,068 | ||||||
| 4,478 | Interactive Data Corp., Term Loan B, VAR, 4.750%, 02/11/18 | 4,515 | ||||||
Transaction Network Services, Initial Term Loan, | ||||||||
| 4,062 | VAR, 6.000%, 12/01/15 | 4,071 | ||||||
| 118 | VAR, 6.000%, 12/01/15 | 119 | ||||||
| 42,973 | ||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
| 13,093 | Freescale Semiconductor, Inc., Extended Maturity Term Loan, VAR, 4.510%, 12/01/16 | 13,078 | ||||||
Total Information Technology | 116,554 | |||||||
Materials — 1.0% |
| |||||||
Chemicals — 0.7% |
| |||||||
| 11,371 | AZ Chem U.S., Inc., Term Loan, VAR, 6.750%, 11/18/16 | 11,502 | ||||||
| 7,148 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.553%, 05/15/14 | 7,123 | ||||||
| 7,925 | Cristal Inorganic Chemicals (Millennium), 2nd Lien Term Loan, VAR, 6.053%, 11/14/14 (f) (i) | 7,910 | ||||||
| 9,668 | Momentive Performance, Extended Maturity Term Loan B, VAR, 3.813%, 05/05/15 | 9,650 | ||||||
| 714 | Momentive Performance Materials, Inc., Term Loan, 12/04/13 ^ | 712 | ||||||
| 7,615 | Nexeo Solutions, Initial Loan, 07/31/17^ | 7,637 | ||||||
Styron, 1st Lien Term Loan, | ||||||||
| 13,865 | VAR, 6.000%, 07/31/17 | 13,981 | ||||||
| 35 | VAR, 6.000%, 07/31/17 | 35 | ||||||
| 13,000 | Univar Inc., Term Loan B, 06/01/17^ | 13,045 | ||||||
| 71,595 | ||||||||
Containers & Packaging — 0.2% |
| |||||||
Berry Plastics Holding, Term Loan C, | ||||||||
| 6 | VAR, 2.289%, 04/03/15 | 5 | ||||||
| 2,167 | VAR, 2.314%, 04/03/15 | 2,101 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — Continued |
| |||||||
| 5,807 | Constar International, Inc., Senior Secured Dip Note, VAR, 9.000%, 10/01/11 (f) (i) | 5,807 | ||||||
Graham Packaging Co., Inc., Term Loan D, | ||||||||
| 495 | VAR, 6.000%, 10/17/16 | 499 | ||||||
| 493 | VAR, 6.000%, 10/17/16 | 497 | ||||||
| 10 | VAR, 6.000%, 10/17/16 | 10 | ||||||
Reynolds Group Holdings, U.S. Term Loan, | ||||||||
| 5,966 | VAR, 4.250%, 02/14/18 | 5,998 | ||||||
| 5,298 | VAR, 4.250%, 02/14/18 | 5,326 | ||||||
| 3,086 | VAR, 4.250%, 02/14/18 | 3,103 | ||||||
| 23,346 | ||||||||
Paper & Forest Products — 0.1% | ||||||||
| 7,477 | Smurfit-Stone Container Corp., Exit Term Loan, VAR, 6.750%, 06/30/16 | 7,511 | ||||||
Total Materials | 102,452 | |||||||
Telecommunication Services — 0.5% | ||||||||
Diversified Telecommunication Services — 0.5% |
| |||||||
Level 3 Communications, Tranche A Term Loan, | ||||||||
| 19,626 | VAR, 2.553%, 03/13/14 | 19,115 | ||||||
| 10,749 | VAR, 2.553%, 03/13/14 | 10,469 | ||||||
| 1,000 | Level 3 Communications, Tranche B Term Loan, VAR, 11.500%, 03/13/14 | 1,072 | ||||||
Telecordia Technologies, Inc., Term Loan, | ||||||||
| 625 | VAR, 6.750%, 04/30/16 | 627 | ||||||
| 1,856 | VAR, 6.750%, 04/30/16 | 1,862 | ||||||
| 3,244 | Time Warner Telecom, Term Loan B1, VAR, 2.020%, 01/07/13 | 3,234 | ||||||
| 7,000 | Vonage Holdings Corp., Term Loan, VAR, 9.750%, 12/14/15 | 7,017 | ||||||
Total Telecommunication Services | 43,396 | |||||||
Utilities — 0.7% | ||||||||
Independent Power Producers & Energy Traders — 0.7% | ||||||||
| 11,847 | New Development Holdings LLC, Term Loan, VAR, 7.000%, 07/03/17 | 11,962 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-1 Term Loan, | ||||||||
| 925 | VAR, 3.764%, 10/10/14 | 778 | ||||||
| 10 | VAR, 3.803%, 10/10/14 | 8 | ||||||
| 38 | VAR, 3.803%, 10/10/14 | 32 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | ||||||||
| 773 | VAR, 3.764%, 10/10/14 | 650 | ||||||
| 1,090 | VAR, 3.803%, 10/10/14 | 917 | ||||||
| 75 | VAR, 3.803%, 10/10/14 | 63 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 138 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Independent Power Producers & Energy Traders — Continued | ||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, | ||||||||
| 54,665 | VAR, 3.764%, 10/10/14 | 45,878 | ||||||
| 2,024 | VAR, 3.803%, 10/10/14 | 1,699 | ||||||
| 540 | VAR, 3.803%, 10/10/14 | 453 | ||||||
| 5,500 | TPF Generation Holdings LLC, 2nd Lien Term Loan, VAR, 4.553%, 12/15/14 | 5,271 | ||||||
Total Utilities | 67,711 | |||||||
Total Loan Participations & Assignments | 1,330,112 | |||||||
| NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) | |||||||
Consumer Discretionary — 0.0% (g) | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) | ||||||||
| 65 | WestPoint International, Inc., expiring 06/08/18 (a) (f) (i) | – | ||||||
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.8% | |||||||
Investment Company — 3.8% | ||||||||
| 361,506 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) | 361,506 | ||||||
Investment of Cash Collateral for Securities on |
| |||||||
Investment Company — 0.0% (g) | ||||||||
| 1,024 | JPMorgan Prime Money Market Fund, Capital Shares, 0.140% (b) (l) | 1,024 | ||||||
Total Investments —100.5% | 9,614,025 | |||||||
Liabilities in Excess of | (51,303 | ) | ||||||
NET ASSETS — 100.0% | $ | 9,562,722 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 139 | ||||||
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 12.5% |
| ||||||
| 3,060 | Accredited Mortgage Loan Trust, Series 2003-3, Class A1, SUB, 4.460%, 01/25/34 | 2,431 | ||||||
| 1,110 | AH Mortgage Advance Trust, Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 1,114 | ||||||
| 2,043 | Ameriquest Mortgage Securities, Inc., Series 2003-7, Class M1, VAR, 1.537%, 08/25/33 | 1,839 | ||||||
Amortizing Residential Collateral Trust, | ||||||||
| 91 | Series 2002-BC4, Class A, VAR, 0.842%, 07/25/32 | 80 | ||||||
| 1,581 | Series 2002-BC6, Class M1, VAR, 1.387%, 08/25/32 | 1,104 | ||||||
| 4,367 | Series 2002-BC9, Class M1, VAR, 1.911%, 12/25/32 | 3,425 | ||||||
Amresco Residential Securities Mortgage Loan Trust, | ||||||||
| 317 | Series 1997-2, Class M1A, VAR, 0.817%, 06/25/27 | 298 | ||||||
| 1,338 | Series 1998-1, Class M1A, VAR, 0.907%, 01/25/28 | 1,197 | ||||||
| 1,554 | Series 1998-3, Class M1A, VAR, 0.892%, 09/25/28 | 1,299 | ||||||
| 1,635 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M2, VAR, 2.891%, 12/15/33 | 1,414 | ||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||
| 2,828 | Series 2003-SD1, Class A, VAR, 0.712%, 12/25/33 | 2,565 | ||||||
| 9,348 | Series 2005-CL1, Class M1, VAR, 0.892%, 09/25/34 (f) | 748 | ||||||
| 2,860 | Series 2005-HE1, Class M2, VAR, 1.091%, 01/25/35 | 2,200 | ||||||
| 1,168 | BNC Mortgage Loan Trust, Series 2007-2, Class A2, VAR, 0.362%, 05/25/37 | 1,091 | ||||||
| 431 | Centex Home Equity, Series 2002-A, Class MV1, VAR, 1.112%, 01/25/32 | 255 | ||||||
| 1,500 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 1,523 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
| 211 | Series 2002-1, Class A, VAR, 0.821%, 08/25/32 | 137 | ||||||
| 196 | Series 2002-BC1, Class A, VAR, 0.921%, 04/25/32 | 118 | ||||||
| 249 | Series 2002-BC2, Class A, VAR, 0.802%, 04/25/32 | 130 | ||||||
| 61 | Series 2003-BC2, Class 2A1, VAR, 0.862%, 06/25/33 | 49 | ||||||
| 2,131 | Series 2003-BC5, Class M1, VAR, 1.312%, 09/25/33 | 872 | ||||||
| 589 | Series 2004-2, Class M4, VAR, 1.262%, 03/25/34 | 257 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 634 | Series 2004-S1, Class M2, SUB, 5.084%, 02/25/35 | 514 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
| 1,638 | Series 2004-A, Class A, VAR, 0.486%, 04/15/30 | 1,265 | ||||||
| 1,071 | Series 2005-E, Class 2A, VAR, 0.486%, 11/15/35 | 683 | ||||||
| 4,630 | Series 2005-M, Class A1, VAR, 0.506%, 02/15/36 | 2,471 | ||||||
First Franklin Mortgage Loan Asset Backed Certificates, | ||||||||
| 236 | Series 2002-FF1, Class M1, VAR, 1.312%, 04/25/32 | 97 | ||||||
| 1,661 | Series 2002-FF4, Class M1, VAR, 1.837%, 02/25/33 | 584 | ||||||
| 637 | Series 2003-FFH1, Class M2, VAR, 2.887%, 09/25/33 | 74 | ||||||
| 703 | Series 2004-FF8, Class M4, VAR, 1.332%, 10/25/34 | 95 | ||||||
| 1,000 | First NLC Trust, Series 2005-2, Class M1, VAR, 0.741%, 09/25/35 | 835 | ||||||
| 240 | Ford Credit Auto Owner Trust, Series 2006-C, Class A4A, 5.150%, 02/15/12 | 241 | ||||||
| 3,580 | Fremont Home Loan Trust, Series 2005-C, Class M2, VAR, 0.752%, 07/25/35 | 2,449 | ||||||
| 680 | Greenpoint Mortgage Funding Trust, Series 2005-HE3, Class A, VAR, 0.446%, 09/15/30 | 309 | ||||||
| 1,500 | Harley-Davidson Motorcycle Trust, Series 2009-2, Class A4, 3.320%, 02/15/17 | 1,546 | ||||||
| 434 | Irwin Home Equity Corp., Series 2004-1, Class 1A1, VAR, 0.902%, 12/25/24 | 246 | ||||||
| 105 | Lehman Home Equity Loan Trust, Series 1998-1, Class A1, 7.000%, 05/25/28 | 105 | ||||||
| 843 | Long Beach Mortgage Loan Trust, Series 2004-1, Class M3, VAR, 1.312%, 02/25/34 | 737 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
| 2,575 | Series 2003-NC6, Class M1, VAR, 1.461%, 06/25/33 | 2,418 | ||||||
| 7,500 | Series 2005-WMC4, Class M5, VAR, 0.911%, 04/25/35 | 4,936 | ||||||
| 321 | New Century Home Equity Loan Trust, Series 2003-5, Class AII, VAR, 0.662%, 11/25/33 | 196 | ||||||
| 1,385 | Option One Mortgage Loan Trust, Series 2002-4, Class M1, VAR, 1.162%, 07/25/32 | 1,259 | ||||||
| 2,500 | Park Place Securities, Inc., Series 2005-WHQ3, Class M2, VAR, 0.712%, 06/25/35 | 1,836 | ||||||
| 476 | Residential Asset Mortgage Products, Inc., Series 2003-RS2, Class AII, VAR, 0.942%, 03/25/33 | 343 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 140 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
Residential Asset Securities Corp., | ||||||||
| 621 | Series 2003-KS4, Class MI2, SUB, 5.010%, 06/25/33 | 165 | ||||||
| 375 | Series 2005-EMX4, Class A2, VAR, 0.521%, 11/25/35 | 370 | ||||||
Residential Funding Mortgage Securities II, Inc., | ||||||||
| 760 | Series 2001-HI2, Class AI7, SUB, 6.940%, 04/25/26 | 699 | ||||||
| 767 | Series 2001-HI4, Class A7, SUB, 6.740%, 10/25/26 | 701 | ||||||
| 195 | Series 2003-HS1, Class AII, VAR, 0.551%, 12/25/32 | 149 | ||||||
| 168 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3, VAR, 0.961%, 04/25/33 | 143 | ||||||
| 186 | Structured Asset Securities Corp., Series 2002-HF1, Class A, VAR, 0.551%, 01/25/33 | 166 | ||||||
Total Asset-Backed Securities | 49,778 | |||||||
| Collateralized Mortgage Obligations — 44.4% |
| ||||||
Agency CMO — 21.3% |
| |||||||
| 1,048 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 1, Class S, IF, IO, 8.649%, 10/25/22 | 197 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 27 | Series 1071, Class F, VAR, 1.262%, 04/15/21 | 27 | ||||||
| 41 | Series 1343, Class LA, 8.000%, 08/15/22 | 48 | ||||||
| 32 | Series 1370, Class JA, VAR, 1.463%, 09/15/22 | 32 | ||||||
| 27 | Series 1379, Class W, VAR, 2.800%, 10/15/22 | 29 | ||||||
| 8 | Series 1508, Class KA, VAR, 2.108%, 05/15/23 | 8 | ||||||
| 26 | Series 1607, Class SA, IF, 19.312%, 10/15/13 | 29 | ||||||
| 507 | Series 1689, Class M, PO, 03/15/24 | 447 | ||||||
| 212 | Series 1771, Class PK, 8.000%, 02/15/25 | 257 | ||||||
| 401 | Series 1974, Class ZA, 7.000%, 07/15/27 | 446 | ||||||
| 70 | Series 1981, Class Z, 6.000%, 05/15/27 | 78 | ||||||
| 2 | Series 2006, Class I, IO, 8.000%, 10/15/12 | — | (h) | |||||
| 276 | Series 2033, Class PR, PO, 03/15/24 | 244 | ||||||
| 46 | Series 2261, Class ZY, 7.500%, 10/15/30 | 52 | ||||||
| 17 | Series 2289, Class NA, VAR, 11.752%, 05/15/20 | 19 | ||||||
| 145 | Series 2338, Class FN, VAR, 0.766%, 08/15/28 | 146 | ||||||
| 285 | Series 2416, Class SA, IF, 15.081%, 02/15/32 | 349 | ||||||
| 201 | Series 2416, Class SH, IF, 15.472%, 02/17/32 | 257 | ||||||
| 68 | Series 2477, Class FZ, VAR, 0.816%, 06/15/31 | 68 | ||||||
| 3,144 | Series 2649, Class FK, VAR, 0.816%, 07/15/33 | 3,155 | ||||||
| 1,322 | Series 2661, Class FG, VAR, 0.716%, 03/15/17 | 1,327 | ||||||
| 1,788 | Series 3085, Class VS, HB, IF, 27.657%, 12/15/35 | 2,609 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 3,415 | Series 3300, Class FA, VAR, 0.566%, 08/15/35 | 3,415 | ||||||
| 9,455 | Series 3737, Class DG, 5.000%, 10/15/30 | 10,091 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
| 109 | Series T-51, Class 1APO, PO, 09/25/42 | 90 | ||||||
| 1,583 | Series T-54, Class 4A, VAR, 3.962%, 02/25/43 | 1,653 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
| 902 | Series 2001-T8, Class A1, 7.500%, 07/25/41 | 1,023 | ||||||
| 2,176 | Series 2002-T6, Class A4, VAR, 3.809%, 03/25/41 | 2,225 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
| 2,642 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 236 | ||||||
| 3,786 | Series 343, Class 27, IO, 4.500%, 01/01/19 | 360 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 41 | Series 1988-15, Class B, VAR, 0.831%, 06/25/18 | 41 | ||||||
| 5 | Series 1989-77, Class J, 8.750%, 11/25/19 | 6 | ||||||
| 2 | Series 1989-89, Class H, 9.000%, 11/25/19 | 2 | ||||||
| 117 | Series 1990-64, Class Z, 10.000%, 06/25/20 | 135 | ||||||
| 266 | Series 1990-145, Class A, VAR, 1.316%, 12/25/20 (m) | 266 | ||||||
| 152 | Series 1991-142, Class PL, 8.000%, 10/25/21 | 171 | ||||||
| 170 | Series 1991-156, Class F, VAR, 1.581%, 11/25/21 | 173 | ||||||
| 1 | Series 1992-91, Class SQ, HB, IF, 9,228.750%, 05/25/22 | 110 | ||||||
| 357 | Series 1992-112, Class GB, 7.000%, 07/25/22 | 394 | ||||||
| 9 | Series 1992-154, Class SA, IF, IO, 5.400%, 08/25/22 | 1 | ||||||
| 141 | Series 1992-200, Class FK, VAR, 2.808%, 11/25/22 | 145 | ||||||
| 153 | Series 1993-27, Class S, IF, 9.329%, 02/25/23 | 173 | ||||||
| 302 | Series 1993-110, Class H, 6.500%, 05/25/23 | 348 | ||||||
| 36 | Series 1993-119, Class H, 6.500%, 07/25/23 | 39 | ||||||
| 297 | Series 1993-146, Class E, PO, 05/25/23 | 263 | ||||||
| 135 | Series 1993-165, Class FH, VAR, 1.431%, 09/25/23 | 138 | ||||||
| 654 | Series 1993-179, Class FM, VAR, 2.758%, 10/25/23 | 676 | ||||||
| 80 | Series 1997-74, Class E, 7.500%, 10/20/27 | 91 | ||||||
| 1,433 | Series 2001-9, Class F, VAR, 0.514%, 02/17/31 | 1,429 | ||||||
| 447 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 86 | ||||||
| 1,997 | Series 2002-77, Class FY, VAR, 0.662%, 12/25/17 | 2,012 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 141 | ||||||
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 3,254 | Series 2003-17, Class FN, VAR, 0.561%, 03/25/18 | 3,269 | ||||||
| 145 | Series 2003-21, Class FK, VAR, 0.662%, 03/25/33 | 145 | ||||||
| 2,845 | Series 2003-34, Class BS, IF, IO, 7.388%, 05/25/22 | 176 | ||||||
| 299 | Series 2003-60, Class SA, IF, IO, 7.388%, 07/25/21 | 6 | ||||||
| 568 | Series 2003-60, Class SB, IF, IO, 7.388%, 07/25/21 | 10 | ||||||
| 2,477 | Series 2004-17, Class BF, VAR, 0.611%, 01/25/34 | 2,486 | ||||||
| 4,791 | Series 2006-3, Class SB, IF, IO, 6.438%, 07/25/35 | 752 | ||||||
| 1,870 | Series 2007-2, Class FA, VAR, 0.461%, 02/25/37 | 1,855 | ||||||
| 22,053 | Series 2010-42, Class PD, 4.500%, 07/25/39 | 22,800 | ||||||
| 100 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 122 | ||||||
| 1,618 | Series G94-9, Class PJ, 6.500%, 08/17/24 | 1,796 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| 484 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 552 | ||||||
| 2,527 | Series 2003-W4, Class 5A, VAR, 4.055%, 10/25/42 | 2,643 | ||||||
| 2,802 | Series 2003-W15, Class 3A, VAR, 4.284%, 12/25/42 (m) | 2,902 | ||||||
| 475 | Series 2004-W2, Class 1A3F, VAR, 0.611%, 02/25/44 | 471 | ||||||
| 1,321 | Series 2004-W2, Class 4A, VAR, 3.927%, 02/25/44 | 1,356 | ||||||
| 2,794 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 3,077 | ||||||
Government National Mortgage Association, | ||||||||
| 1,034 | Series 1999-27, Class ZA, 7.500%, 04/17/29 | 1,111 | ||||||
| 27 | Series 2000-35, Class F, VAR, 0.815%, 12/16/25 | 27 | ||||||
| 669 | Series 2002-31, Class FC, VAR, 0.511%, 09/26/21 | 668 | ||||||
| 2,175 | Series 2003-21, Class PI, IO, 5.500%, 06/20/32 | 186 | ||||||
| 32,992 | Series 2003-59, Class XA, IO, VAR, 1.768%, 06/16/34 | 1,584 | ||||||
| 938 | NCUA Guaranteed Notes, Series 2010-C1, | 917 | ||||||
| 84,527 | ||||||||
Non-Agency CMO — 23.1% |
| |||||||
Banc of America Funding Corp., | ||||||||
| 2,257 | Series 2005-E, Class 5A1, VAR, 5.015%, 05/20/35 | 2,126 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 2,318 | Series 2006-1, Class 2A1, 5.500%, 01/25/36 | 2,276 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
| 52 | Series 2003-5, Class 2A8, VAR, 0.712%, 07/25/18 | 38 | ||||||
| 1,822 | Series 2005-10, Class 1A13, 5.500%, 11/25/35 | 1,781 | ||||||
| 1,971 | Series 2005-A, Class 3A1, VAR, 4.977%, 02/25/35 | 1,796 | ||||||
| 940 | Bear Stearns Asset Backed Securities Trust, Series 2004-AC6, Class M1, VAR, 0.932%, 11/25/34 | 555 | ||||||
| 754 | Chase Mortgage Finance Corp., Series 2003-S7, Class A4, VAR, 0.662%, 08/25/18 | 697 | ||||||
| 122 | Citicorp Mortgage Securities, Inc., | 123 | ||||||
| 34 | Collateralized Mortgage Obligation Trust, Series 50, Class B, PO, 10/01/18 | 32 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
| 1,713 | Series 2003-J1, Class 1A8, 5.250%, 10/25/33 | 1,703 | ||||||
| 2,002 | Series 2004-33, Class 3A3, VAR, 2.694%, 12/25/34 | 1,300 | ||||||
| 1,255 | Series 2004-J4, Class 1A6, SUB, 4.900%, 06/25/34 | 1,267 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
| 1,145 | Series 2003-21, Class A1, VAR, 2.916%, 05/25/33 | 1,017 | ||||||
| 561 | Series 2004-HYB8, Class 1A1, VAR, 0.612%, 01/20/35 | 455 | ||||||
| 782 | Series 2005-1, Class 1A2, VAR, 0.611%, 03/25/35 | 171 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 14 | Series 2002-AR2, Class 1B2, VAR, 3.712%, 02/25/32 | 1 | ||||||
| 2,545 | Series 2003-AR24, Class 2A4, VAR, 2.755%, 10/25/33 | 2,307 | ||||||
| 1,132 | Series 2004-5, Class 4A1, 6.000%, 09/25/34 | 1,182 | ||||||
| 1,145 | Series 2004-AR3, Class 6M1, VAR, 1.361%, 04/25/34 | 996 | ||||||
| 1,097 | Series 2005-5, Class 1A1, 5.000%, 07/25/20 | 1,112 | ||||||
| 1,774 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.602%, 02/25/20 | 1,801 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
| 643 | Series 2005-AA7, Class 1A2, VAR, 2.444%, 09/25/35 | 17 | ||||||
| 1,571 | Series 2005-FA10, Class 2A1, 5.250%, 12/25/20 | 1,510 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 142 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
First Horizon Asset Securities, Inc., | ||||||||
| 2,116 | Series 2004-AR6, Class 2A1, VAR, 2.769%, 12/25/34 | 2,028 | ||||||
| 668 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 | 662 | ||||||
| 1,137 | Series 2005-6, Class 1A1, 5.500%, 11/25/35 | 1,137 | ||||||
First Republic Mortgage Loan Trust, | ||||||||
| 141 | Series 2000-FRB1, Class B1, VAR, 0.762%, 06/25/30 | 101 | ||||||
| 755 | Series 2000-FRB2, Class A1, VAR, 0.766%, 11/15/30 | 753 | ||||||
| 4,855 | GSAA Home Equity Trust, Series 2004-CW1, Class 1A1, 5.500%, 04/01/34 | 5,053 | ||||||
| 3,635 | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1, 5.500%, 09/25/34 | 3,693 | ||||||
Impac CMB Trust, | ||||||||
| 1,742 | Series 2004-3, Class 3A, VAR, 0.582%, 03/25/34 | 1,634 | ||||||
| 624 | Series 2004-6, Class 1A2, VAR, 1.042%, 10/25/34 | 577 | ||||||
| 2,492 | Series 2005-5, Class A1, VAR, 0.582%, 08/25/35 | 1,924 | ||||||
| 2,285 | Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1, VAR, 5.426%, 03/25/37 | 1,765 | ||||||
JPMorgan Mortgage Trust, | ||||||||
| 490 | Series 2003-A1, Class 1A1, VAR, 2.259%, 10/25/33 | 490 | ||||||
| 829 | Series 2005-A2, Class 5A1, VAR, 4.295%, 04/25/35 | 838 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
| 2,018 | Series 2003-5, Class 5A1, VAR, 2.595%, 10/25/33 | 2,093 | ||||||
| 191 | Series 2004-7, Class 6A1, VAR, 0.701%, 08/25/34 | 189 | ||||||
| 1,576 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 1,541 | ||||||
| 3,220 | Series 2004-13, Class 3A7B, VAR, 2.240%, 11/21/34 | 2,998 | ||||||
| 426 | MASTR Seasoned Securities Trust, Series 2003-1, Class 3A2, VAR, 0.662%, 02/25/33 | 427 | ||||||
Mellon Residential Funding Corp., | ||||||||
| 1,205 | Series 2001-TBC1, Class B1, VAR, 1.146%, 11/15/31 | 866 | ||||||
| 261 | Series 2002-TBC1, Class B1, VAR, 1.266%, 09/15/30 | 212 | ||||||
| 131 | Series 2002-TBC1, Class B2, VAR, 1.666%, 09/15/30 | 102 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 797 | Series 2002-TBC2, Class B1, VAR, 1.116%, 08/15/32 | 607 | ||||||
| 224 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 250 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
| 1,195 | Series 2004-1, Class 2A3, VAR, 2.268%, 12/25/34 | 1,073 | ||||||
| 1,806 | Series 2004-D, Class A1, VAR, 0.592%, 08/25/29 | 1,701 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
| 738 | Series 2003-HYB1, Class A4, VAR, 1.932%, 03/25/33 | 715 | ||||||
| 545 | Series 2003-HYB1, Class B1, VAR, 1.932%, 03/25/33 | 342 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
| 883 | Series 2004-5AR, Class 3A3, VAR, 2.558%, 07/25/34 | 540 | ||||||
| 4,650 | Series 2004-5AR, Class 3A5, VAR, 2.558%, 07/25/34 | 3,744 | ||||||
| 2,063 | Series 2004-11AR, Class 1A2A, VAR, 0.571%, 01/25/35 | 1,754 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
| 500 | Series 2003-A3, Class A1, SUB, 5.000%, 08/25/33 | 480 | ||||||
| 160 | Series 2004-AR1, Class 5A1, VAR, 1.022%, 08/25/34 | 143 | ||||||
| 2,333 | Series 2004-R3, Class AF, VAR, 0.712%, 02/25/35 (e) | 1,668 | ||||||
| 82 | Series 2005-AR1, Class 2A1, VAR, 0.542%, 02/25/35 | 76 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
| 4,500 | Series 2005-SA2, Class 2A2, VAR, 3.082%, 06/25/35 | 3,613 | ||||||
| 1,517 | Series 2006-SA4, Class 2A1, VAR, 6.077%, 11/25/36 | 1,123 | ||||||
| 11 | Securitized Asset Sales, Inc., Series 1993-7, Class TA3, 6.250%, 12/25/23 | 11 | ||||||
Sequoia Mortgage Trust, | ||||||||
| 196 | Series 11, Class A, VAR, 1.162%, 12/20/32 | 182 | ||||||
| 391 | Series 2003-3, Class A2, VAR, 0.810%, 07/20/33 | 353 | ||||||
Structured Asset Mortgage Investments, Inc., | ||||||||
| 1,797 | Series 2002-AR2, Class A3, VAR, 0.762%, 07/19/32 | 1,583 | ||||||
| 307 | Series 2004-AR1, Class 1A1, VAR, 0.612%, 03/19/34 | 268 | ||||||
Structured Asset Securities Corp., | ||||||||
| 1,090 | Series 2003-8, Class 2A9, VAR, 0.762%, 04/25/33 | 1,021 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 143 | ||||||
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 2,037 | Series 2003-40A, Class 4A, VAR, 2.587%, 01/25/34 | 1,794 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
| 1,821 | Series 2004-AR11, Class A, VAR, 2.717%, 10/25/34 | 1,705 | ||||||
| 4,289 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 4,222 | ||||||
| 291 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS2, Class 2A1, 6.000%, 04/25/17 | 300 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
| 824 | Series 2003-F, Class A1, VAR, 4.831%, 06/25/33 | 851 | ||||||
| 2,069 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 2,128 | ||||||
| 841 | Series 2004-H, Class A2, VAR, 4.508%, 06/25/34 | 758 | ||||||
| 1,347 | Series 2005-AR16, Class 3A2, VAR, 2.825%, 10/25/35 | 1,284 | ||||||
| 1,215 | Series 2006-17, Class A1, 5.500%, 11/25/21 | 1,257 | ||||||
| 2,695 | Series 2007-3, Class 3A1, 5.500%, 04/25/22 | 2,803 | ||||||
| 91,695 | ||||||||
Total Collateralized Mortgage Obligations | 176,222 | |||||||
| Commercial Mortgage-Backed Securities — 2.7% |
| ||||||
| 2,000 | Banc of America Commercial Mortgage, Inc., Series 2005-2, Class A5, VAR, 4.857%, 07/10/43 | 2,129 | ||||||
Bayview Commercial Asset Trust, | ||||||||
| 877 | Series 2004-3, Class A2, VAR, 0.682%, 01/25/35 (e) | 736 | ||||||
| 3,017 | Series 2005-2A, Class A2, VAR, 0.611%, 08/25/35 (e) | 2,387 | ||||||
| 602 | Series 2005-2A, Class M1, VAR, 0.691%, 08/25/35 (e) | 404 | ||||||
| 1,680 | Series 2007-2A, Class A2, VAR, 0.582%, 07/25/37 (e) | 943 | ||||||
| 836 | Series 2007-2A, Class M4, VAR, 0.911%, 07/25/37 (e) | 165 | ||||||
| 2,583 | Series 2007-3, Class A2, VAR, 0.551%, 07/25/37 (e) | 1,573 | ||||||
| 2,000 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4, VAR, 5.203%, 10/15/44 | 2,162 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $13,902) | 10,499 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — 0.4% |
| ||||||
Financials — 0.4% |
| |||||||
Capital Markets — 0.4% |
| |||||||
| 6,355 | Lehman Brothers Holdings, Inc., 5.884%, 02/17/15 (d) (f) (i) | 1,509 | ||||||
Consumer Finance — 0.0% (g) | ||||||||
| 250 | SLM Corp., VAR, 3.263%, 01/31/14 | 245 | ||||||
Total Corporate Bonds | 1,754 | |||||||
| Mortgage Pass-Through Securities — 17.6% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 134 | ARM, 2.256%, 07/01/19 | 139 | ||||||
| 121 | ARM, 2.360%, 01/01/27 | 126 | ||||||
| 16 | ARM, 2.375%, 06/01/26 (m) | 16 | ||||||
| 127 | ARM, 2.445%, 12/01/26 | 133 | ||||||
| 44 | ARM, 2.453%, 06/01/22 | 47 | ||||||
| 1,362 | ARM, 2.505%, 04/01/32 | 1,436 | ||||||
| 840 | ARM, 2.511%, 01/01/23 - 10/01/29 | 881 | ||||||
| 71 | ARM, 2.528%, 04/01/30 | 75 | ||||||
| 333 | ARM, 2.540%, 08/01/27 | 352 | ||||||
| 282 | ARM, 2.543%, 12/01/27 (m) | 297 | ||||||
| 128 | ARM, 2.560%, 02/01/23 | 135 | ||||||
| 168 | ARM, 2.569%, 07/01/28 | 177 | ||||||
| 554 | ARM, 2.589%, 07/01/30 (m) | 583 | ||||||
| 64 | ARM, 2.603%, 05/01/18 | 67 | ||||||
| 28 | ARM, 2.624%, 12/01/29 | 30 | ||||||
| 278 | ARM, 2.633%, 12/01/26 | 293 | ||||||
| 31 | ARM, 2.655%, 11/01/27 | 31 | ||||||
| 18 | ARM, 2.758%, 06/01/25 | 19 | ||||||
| 78 | ARM, 2.769%, 04/01/24 | 83 | ||||||
| 491 | ARM, 2.796%, 01/01/23 (m) | 519 | ||||||
| 20 | ARM, 3.095%, 12/01/21 | 21 | ||||||
| 29 | ARM, 3.995%, 08/01/19 | 30 | ||||||
| 132 | ARM, 4.019%, 01/01/30 | 139 | ||||||
| 38 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 8.000%, 06/01/17 | 44 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
| 12 | 7.500%, 05/01/28 | 14 | ||||||
| 56 | 8.500%, 07/01/28 | 66 | ||||||
| 25 | 9.000%, 02/01/25 | 30 | ||||||
Federal National Mortgage Association, | ||||||||
| 23 | ARM, 1.944%, 06/01/18 | 24 | ||||||
| 356 | ARM, 2.039%, 11/01/18 | 361 | ||||||
| 26 | ARM, 2.045%, 04/01/24 | 26 | ||||||
| 69 | ARM, 2.063%, 04/01/21 | 70 | ||||||
| 175 | ARM, 2.065%, 07/01/20 (m) | 181 | ||||||
| 85 | ARM, 2.078%, 12/01/20 | 87 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 144 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
| 57 | ARM, 2.211%, 05/01/18 | 58 | ||||||
| 1,219 | ARM, 2.293%, 05/01/33 | 1,259 | ||||||
| 66 | ARM, 2.347%, 11/01/23 | 67 | ||||||
| 13 | ARM, 2.355%, 07/01/25 | 14 | ||||||
| 21 | ARM, 2.436%, 11/01/21 | 22 | ||||||
| 17 | ARM, 2.466%, 05/01/29 | 18 | ||||||
| 114 | ARM, 2.490%, 01/01/31 (m) | 120 | ||||||
| 452 | ARM, 2.536%, 09/01/33 | 477 | ||||||
| 68 | ARM, 2.561%, 06/01/26 | 72 | ||||||
| 26 | ARM, 2.595%, 12/01/26 | 27 | ||||||
| 36 | ARM, 2.618%, 03/01/38 | 38 | ||||||
| 871 | ARM, 2.631%, 01/01/25 | 918 | ||||||
| 72 | ARM, 2.700%, 07/01/30 | 76 | ||||||
| 123 | ARM, 2.711%, 03/01/29 | 130 | ||||||
| 292 | ARM, 2.772%, 08/01/26 | 309 | ||||||
| 40 | ARM, 2.775%, 05/01/30 | 42 | ||||||
| 115 | ARM, 2.904%, 07/01/27 | 122 | ||||||
| 206 | ARM, 2.915%, 09/01/19 | 216 | ||||||
| 17 | ARM, 3.250%, 03/01/17 | 18 | ||||||
| 39 | ARM, 3.637%, 05/01/20 | 39 | ||||||
| 177 | ARM, 3.935%, 12/01/28 | 178 | ||||||
| 133 | ARM, 4.334%, 03/01/15 | 131 | ||||||
| 97 | ARM, 4.458%, 11/01/30 | 102 | ||||||
| 450 | ARM, 4.514%, 02/01/34 | 468 | ||||||
| 52 | ARM, 5.575%, 05/01/31 | 54 | ||||||
| 103 | ARM, 6.000%, 01/01/20 | 108 | ||||||
| — | (h) | Federal National Mortgage Association, 10 Year, Single Family, 4.500%, 01/01/13 | – | (h) | ||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
| 19,918 | 4.000%, 02/01/25 | 20,500 | ||||||
| 12 | 6.000%, 08/01/14 | 13 | ||||||
| 193 | 7.000%, 03/01/16 (m) | 201 | ||||||
| 14,112 | Federal National Mortgage Association, 20 Year, Single Family, 5.000%, 10/01/23 | 15,035 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
| 29 | 7.000%, 03/01/27 | 33 | ||||||
| 27 | 8.000%, 11/01/27 | 31 | ||||||
| 28 | 8.500%, 10/01/24 | 33 | ||||||
| 36 | 9.000%, 08/01/21 - 08/01/25 | 37 | ||||||
| 29 | Federal National Mortgage Association, 30 Year, Other, 7.250%, 09/01/22 | 34 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
| 6,400 | 5.000%, 12/01/39 | 6,772 | ||||||
| 5,111 | 6.000%, 04/01/39 | 5,595 | ||||||
| 41 | 7.250%, 09/01/22 | 47 | ||||||
| 217 | 7.500%, 06/01/23 - 10/01/30 | 247 | ||||||
| 22 | 8.500%, 08/01/17 | 22 | ||||||
Federal National Mortgage Association, Other, | ||||||||
| 43 | 6.500%, 04/01/16 | 46 | ||||||
| 61 | 12.000%, 11/01/30 | 74 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
| 73 | 7.250%, 08/20/22 - 11/20/22 | 83 | ||||||
| 124 | 7.400%, 10/20/21 - 03/20/22 | 141 | ||||||
| 27 | 7.500%, 10/20/23 | 31 | ||||||
| 25 | 7.850%, 12/20/21 | 28 | ||||||
| 89 | 8.000%, 07/20/25 - 08/20/26 | 104 | ||||||
| 8,358 | Government National Mortgage Association, | 8,849 | ||||||
Government National Mortgage Association, | ||||||||
| 65 | 7.000%, 06/15/24 | 75 | ||||||
| 34 | 8.000%, 10/15/27 | 40 | ||||||
| 35 | 9.000%, 11/15/24 | 41 | ||||||
| 236 | 9.500%, 07/15/25 | 277 | ||||||
Total Mortgage Pass-Through Securities | 70,004 | |||||||
| SHARES | ||||||||
| Short-Term Investment — 22.3% |
| ||||||
Investment Company — 22.3% | ||||||||
| 88,494 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 88,494 | ||||||
Total Investments —99.9% | 396,751 | |||||||
Other Assets in Excess of | 542 | |||||||
NET ASSETS — 100.0% | $ | 397,293 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 145 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 2.0% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
| 1,750 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,754 | ||||||
| 2,829 | Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 2,840 | ||||||
| 2,192 | Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e) | 2,186 | ||||||
| 2,000 | Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35 | 2,012 | ||||||
| 403 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 307 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
| 1,379 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 1,329 | ||||||
| 1,598 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,532 | ||||||
| 317 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.641%, 12/25/33 | 289 | ||||||
| 141 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 101 | ||||||
| 200 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.362%, 12/25/36 | 185 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
| 489 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 450 | ||||||
| 644 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 596 | ||||||
| 474 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 449 | ||||||
| 720 | Series 2007-1, Class AS, VAR, 0.462%, 03/20/36 | 670 | ||||||
| 1,934 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 1,789 | ||||||
| 375 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.461%, 03/25/36 | 239 | ||||||
| 1,693 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.611%, 07/25/34 (e) | 1,639 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
| 2,200 | Series 2004-1, Class M1, VAR, 1.011%, 02/25/34 | 1,889 | ||||||
| 387 | Series 2006-8, Class 2A2, VAR, 0.352%, 09/25/36 | 148 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 718 | Series 2006-WL2, Class 2A3, VAR, 0.461%, 01/25/36 | 589 | ||||||
| 10,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.261%, 12/26/22 (e) | 10,041 | ||||||
| 1,594 | NCUA Guaranteed Notes, Series 2010-A1, | 1,595 | ||||||
| 700 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 686 | ||||||
PennyMac Loan Trust, | ||||||||
| 1,431 | Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) | 1,428 | ||||||
| 1,605 | Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e) | 1,604 | ||||||
| 3,319 | Real Estate Asset Trust, Series 2011-1A, | 3,327 | ||||||
| 500 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 284 | ||||||
Residential Asset Mortgage Products, Inc., | ||||||||
| 1,337 | Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32 | 1,356 | ||||||
| 441 | Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34 | 425 | ||||||
| 409 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 353 | ||||||
| 1,000 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 | 935 | ||||||
Structured Asset Securities Corp., | ||||||||
| 895 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 903 | ||||||
| 724 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 686 | ||||||
Total Asset-Backed Securities | 44,616 | |||||||
| Collateralized Mortgage Obligations — 72.0% |
| ||||||
Agency CMO — 46.3% |
| |||||||
| 2,121 | Federal Home Loan Banks, Series 2000-1067, Class 1, 5.300%, 06/15/12 | 2,224 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 34 | Series 11, Class D, 9.500%, 07/15/19 | 37 | ||||||
| 18 | Series 22, Class C, 9.500%, 04/15/20 | 19 | ||||||
| 24 | Series 23, Class F, 9.600%, 04/15/20 | 27 | ||||||
| 15 | Series 30, Class D, 9.500%, 02/15/20 | 17 | ||||||
| 1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | ||||||
| 8 | Series 47, Class F, 10.000%, 06/15/20 | 9 | ||||||
| 106 | Series 77, Class H, 8.500%, 09/15/20 | 117 | ||||||
| 3 | Series 81, Class A, 8.125%, 11/15/20 | 4 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 146 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 9 | Series 84, Class F, 9.200%, 10/15/20 | 10 | ||||||
| 9 | Series 99, Class Z, 9.500%, 01/15/21 | 9 | ||||||
| — | (h) | Series 180, Class J, HB, 1,010.000%, 09/15/21 | — | (h) | ||||
| — | (h) | Series 186, Class I, HB, 1,009.500%, 08/15/21 | 1 | |||||
| — | (h) | Series 189, Class K, HB, 1,009.500%, 10/15/21 | 1 | |||||
| — | (h) | Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 | 8 | |||||
| — | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 3 | |||||
| 5 | Series 1065, Class J, 9.000%, 04/15/21 | 6 | ||||||
| 12 | Series 1079, Class S, HB, IF, 32.937%, 05/15/21 | 21 | ||||||
| — | (h) | Series 1082, Class D, HB, 1,007.780%, 05/15/21 | 1 | |||||
| 8 | Series 1084, Class F, VAR, 1.262%, 05/15/21 | 8 | ||||||
| 5 | Series 1084, Class S, HB, IF, 43.819%, 05/15/21 | 10 | ||||||
| 9 | Series 1133, Class H, 7.000%, 09/15/21 | 10 | ||||||
| 21 | Series 1144, Class KB, 8.500%, 09/15/21 | 23 | ||||||
| — | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 2 | |||||
| — | (h) | Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 | 7 | |||||
| — | (h) | Series 1254, Class N, 8.000%, 04/15/22 | — | (h) | ||||
| 59 | Series 1343, Class LA, 8.000%, 08/15/22 | 68 | ||||||
| 29 | Series 1343, Class LB, 7.500%, 08/15/22 | 35 | ||||||
| 90 | Series 1374, Class Z, 7.000%, 10/15/22 | 100 | ||||||
| 27 | Series 1395, Class G, 6.000%, 10/15/22 | 30 | ||||||
| 242 | Series 1401, Class J, 7.000%, 10/15/22 | 267 | ||||||
| 341 | Series 1466, Class PZ, 7.500%, 02/15/23 | 382 | ||||||
| 10 | Series 1470, Class F, VAR, 2.508%, 02/15/23 | 10 | ||||||
| 10 | Series 1505, Class QB, HB, IF, 20.037%, 05/15/23 | 14 | ||||||
| 100 | Series 1518, Class G, IF, 8.748%, 05/15/23 | 123 | ||||||
| 81 | Series 1526, Class L, 6.500%, 06/15/23 | 85 | ||||||
| 20 | Series 1540, Class IA, 7.000%, 06/15/13 | 21 | ||||||
| 108 | Series 1541, Class O, VAR, 2.840%, 07/15/23 | 112 | ||||||
| 998 | Series 1552, Class IA, IF, 14.582%, 08/15/23 | 1,324 | ||||||
| 25 | Series 1570, Class F, VAR, 3.008%, 08/15/23 | 27 | ||||||
| 64 | Series 1570, Class SA, HB, IF, 21.099%, 08/15/23 | 94 | ||||||
| 278 | Series 1578, Class K, 6.900%, 09/15/23 | 316 | ||||||
| 32 | Series 1578, Class V, IO, 7.000%, 09/15/23 | 6 | ||||||
| 619 | Series 1591, Class PV, 6.250%, 10/15/23 | 660 | ||||||
| 103 | Series 1596, Class D, 6.500%, 10/15/13 | 103 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 15 | Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 | 23 | ||||||
| 190 | Series 1609, Class LG, IF, 16.656%, 11/15/23 | 234 | ||||||
| 860 | Series 1628, Class LZ, 6.500%, 12/15/23 | 945 | ||||||
| 685 | Series 1638, Class H, 6.500%, 12/15/23 | 792 | ||||||
| 1,036 | Series 1644, Class K, 6.750%, 12/15/23 | 1,088 | ||||||
| 910 | Series 1658, Class GZ, 7.000%, 01/15/24 | 958 | ||||||
| 6 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 8 | ||||||
| 385 | Series 1677, Class Z, 7.500%, 07/15/23 | 432 | ||||||
| 10 | Series 1686, Class SH, IF, 18.534%, 02/15/24 | 16 | ||||||
| 34 | Series 1688, Class W, 7.250%, 03/15/14 | 35 | ||||||
| 351 | Series 1695, Class EB, 7.000%, 03/15/24 | 389 | ||||||
| 44 | Series 1699, Class FC, VAR, 0.912%, 03/15/24 | 44 | ||||||
| 52 | Series 1745, Class D, 7.500%, 08/15/24 | 60 | ||||||
| 1,494 | Series 1760, Class ZD, VAR, 2.920%, 02/15/24 | 1,560 | ||||||
| 150 | Series 1798, Class F, 5.000%, 05/15/23 | 160 | ||||||
| 8 | Series 1807, Class G, 9.000%, 10/15/20 | 9 | ||||||
| 1,319 | Series 1813, Class I, PO, 11/15/23 | 1,171 | ||||||
| 5,099 | Series 1813, Class J, IF, IO, 5.750%, 11/15/23 | 678 | ||||||
| 287 | Series 1829, Class ZB, 6.500%, 03/15/26 | 320 | ||||||
| 14 | Series 1844, Class E, 6.500%, 10/15/13 | 16 | ||||||
| 519 | Series 1863, Class Z, 6.500%, 07/15/26 | 573 | ||||||
| 6 | Series 1865, Class D, PO, 02/15/24 | 4 | ||||||
| 152 | Series 1899, Class ZE, 8.000%, 09/15/26 | 173 | ||||||
| 125 | Series 1963, Class Z, 7.500%, 01/15/27 | 140 | ||||||
| 40 | Series 1985, Class PR, IO, 8.000%, 07/15/27 | 10 | ||||||
| 64 | Series 1987, Class PE, 7.500%, 09/15/27 | 74 | ||||||
| 18 | Series 2025, Class PE, 6.300%, 01/15/13 | 18 | ||||||
| 540 | Series 2033, Class J, 5.600%, 06/15/23 | 582 | ||||||
| 29 | Series 2033, Class SN, HB, IF, 24.659%, 03/15/24 | 14 | ||||||
| 38 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 8 | ||||||
| 316 | Series 2040, Class PE, 7.500%, 03/15/28 | 363 | ||||||
| 44 | Series 2042, Class T, 7.000%, 03/15/28 | 45 | ||||||
| 96 | Series 2055, Class OE, 6.500%, 05/15/13 | 96 | ||||||
| 137 | Series 2060, Class Z, 6.500%, 05/15/28 | 152 | ||||||
| 353 | Series 2061, Class DC, IO, 6.500%, 06/15/28 | 70 | ||||||
| 25,013 | Series 2065, Class PX, IO, 0.750%, 08/17/27 | 636 | ||||||
| 837 | Series 2075, Class PH, 6.500%, 08/15/28 | 967 | ||||||
| 181 | Series 2086, Class GB, 6.000%, 09/15/28 | 191 | ||||||
| 58 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 12 | ||||||
| 397 | Series 2102, Class TC, 6.000%, 12/15/13 (m) | 416 | ||||||
| 250 | Series 2102, Class TU, 6.000%, 12/15/13 (m) | 263 | ||||||
| 707 | Series 2110, Class PG, 6.000%, 01/15/29 | 769 | ||||||
| 602 | Series 2111, Class SB, IF, IO, 7.234%, 01/15/29 | 116 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 147 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 241 | Series 2115, Class PE, 6.000%, 01/15/14 | 251 | ||||||
| 238 | Series 2125, Class JZ, 6.000%, 02/15/29 | 255 | ||||||
| 545 | Series 2130, Class QS, 6.000%, 03/15/29 | 589 | ||||||
| 92 | Series 2132, Class SB, HB, IF, 29.423%, 03/15/29 | 138 | ||||||
| 136 | Series 2132, Class ZL, 6.500%, 03/15/29 | 149 | ||||||
| 10 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 1 | ||||||
| 19 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 4 | ||||||
| 47 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 10 | ||||||
| 106 | Series 2178, Class PB, 7.000%, 08/15/29 | 125 | ||||||
| 162 | Series 2201, Class C, 8.000%, 11/15/29 | 196 | ||||||
| 485 | Series 2209, Class TC, 8.000%, 01/15/30 | 552 | ||||||
| 237 | Series 2210, Class Z, 8.000%, 01/15/30 | 272 | ||||||
| 98 | Series 2224, Class CB, 8.000%, 03/15/30 | 119 | ||||||
| 57 | Series 2247, Class Z, 7.500%, 08/15/30 | 65 | ||||||
| 322 | Series 2254, Class Z, 9.000%, 09/15/30 | 370 | ||||||
| 272 | Series 2256, Class MC, 7.250%, 09/15/30 | 321 | ||||||
| 447 | Series 2259, Class ZM, 7.000%, 10/15/30 | 498 | ||||||
| 465 | Series 2271, Class PC, 7.250%, 12/15/30 | 550 | ||||||
| 447 | Series 2283, Class K, 6.500%, 12/15/23 | 481 | ||||||
| 142 | Series 2296, Class PD, 7.000%, 03/15/31 | 160 | ||||||
| 193 | Series 2301, Class PA, 6.000%, 10/15/13 | 200 | ||||||
| 1,974 | Series 2303, Class ZD, 7.000%, 04/15/31 | 2,146 | ||||||
| 1,197 | Series 2303, Class ZN, 8.500%, 04/15/29 | 1,329 | ||||||
| 67 | Series 2306, Class K, PO, 05/15/24 | 59 | ||||||
| 167 | Series 2306, Class SE, IF, IO, 7.180%, 05/15/24 | 31 | ||||||
| 638 | Series 2344, Class QG, 6.000%, 08/15/16 | 685 | ||||||
| 1,110 | Series 2344, Class ZD, 6.500%, 08/15/31 | 1,213 | ||||||
| 122 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 134 | ||||||
| 83 | Series 2345, Class NE, 6.500%, 08/15/31 | 88 | ||||||
| 258 | Series 2347, Class VP, 6.500%, 03/15/20 | 267 | ||||||
| 252 | Series 2353, Class TD, 6.000%, 09/15/16 | 269 | ||||||
| 244 | Series 2355, Class BP, 6.000%, 09/15/16 | 262 | ||||||
| 191 | Series 2358, Class PD, 6.000%, 09/15/16 | 205 | ||||||
| 414 | Series 2359, Class PM, 6.000%, 09/15/16 | 440 | ||||||
| 529 | Series 2359, Class ZB, 8.500%, 06/15/31 | 604 | ||||||
| 455 | Series 2360, Class PG, 6.000%, 09/15/16 | 490 | ||||||
| 127 | Series 2363, Class PF, 6.000%, 09/15/16 | 137 | ||||||
| 234 | Series 2366, Class MD, 6.000%, 10/15/16 | 251 | ||||||
| 77 | Series 2368, Class AS, HB, IF, 20.239%, 10/15/31 | 112 | ||||||
| 171 | Series 2368, Class TG, 6.000%, 10/15/16 | 184 | ||||||
| 90 | Series 2372, Class F, VAR, 0.766%, 10/15/31 | 90 | ||||||
| 96 | Series 2383, Class FD, VAR, 0.766%, 11/15/31 | 96 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 158 | Series 2388, Class UZ, 8.500%, 06/15/31 | 180 | ||||||
| 1,098 | Series 2391, Class QR, 5.500%, 12/15/16 | 1,188 | ||||||
| 114 | Series 2394, Class MC, 6.000%, 12/15/16 | 123 | ||||||
| 1,458 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,595 | ||||||
| 264 | Series 2410, Class OE, 6.375%, 02/15/32 | 288 | ||||||
| 328 | Series 2410, Class QS, IF, 18.809%, 02/15/32 | 410 | ||||||
| 178 | Series 2410, Class QX, IF, IO, 8.384%, 02/15/32 | 32 | ||||||
| 255 | Series 2423, Class MC, 7.000%, 03/15/32 | 281 | ||||||
| 318 | Series 2423, Class MT, 7.000%, 03/15/32 | 350 | ||||||
| 293 | Series 2425, Class OB, 6.000%, 03/15/17 | 310 | ||||||
| 665 | Series 2433, Class SA, HB, IF, 20.239%, 02/15/32 | 948 | ||||||
| 421 | Series 2434, Class TC, 7.000%, 04/15/32 | 467 | ||||||
| 770 | Series 2436, Class MC, 7.000%, 04/15/32 | 851 | ||||||
| 227 | Series 2444, Class ES, IF, IO, 7.684%, 03/15/32 | 44 | ||||||
| 237 | Series 2450, Class GZ, 7.000%, 05/15/32 | 264 | ||||||
| 257 | Series 2450, Class SW, IF, IO, 7.734%, 03/15/32 | 50 | ||||||
| 577 | Series 2458, Class QE, 5.500%, 06/15/17 | 624 | ||||||
| 658 | Series 2462, Class NB, 6.500%, 06/15/22 | 729 | ||||||
| 1,273 | Series 2464, Class FE, VAR, 1.266%, 03/15/32 | 1,290 | ||||||
| 72 | Series 2470, Class SL, IF, 9.000%, 01/15/27 | 86 | ||||||
| 407 | Series 2474, Class SJ, IF, IO, 7.384%, 07/15/17 | 42 | ||||||
| 54 | Series 2480, Class PV, 6.000%, 07/15/11 | 55 | ||||||
| 4,186 | Series 2494, Class SX, IF, IO, 6.734%, 02/15/32 | 691 | ||||||
| 148 | Series 2513, Class YO, PO, 02/15/32 | 148 | ||||||
| 1,421 | Series 2513, Class ZC, 5.500%, 10/15/32 | 1,542 | ||||||
| 375 | Series 2515, Class DE, 4.000%, 03/15/32 | 389 | ||||||
| 1,549 | Series 2517, Class Z, 5.500%, 10/15/32 | 1,687 | ||||||
| 18 | Series 2519, Class BT, 8.500%, 09/15/31 | 19 | ||||||
| 1,012 | Series 2533, Class HB, 5.500%, 12/15/17 | 1,103 | ||||||
| 403 | Series 2535, Class BK, 5.500%, 12/15/22 | 441 | ||||||
| 1,426 | Series 2549, Class ZG, 5.000%, 01/15/18 | 1,510 | ||||||
| 214 | Series 2553, Class GF, VAR, 0.666%, 02/15/17 | 214 | ||||||
| 11 | Series 2565, Class MB, 6.000%, 05/15/30 | 11 | ||||||
| 10,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 10,849 | ||||||
| 173 | Series 2571, Class SK, HB, IF, 33.354%, 09/15/23 | 288 | ||||||
| 1,530 | Series 2574, Class HP, 5.000%, 02/15/18 | 1,635 | ||||||
| 1,198 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 249 | ||||||
| 1,010 | Series 2587, Class CO, PO, 03/15/32 | 981 | ||||||
| 2,931 | Series 2590, Class IP, IO, 5.500%, 08/15/31 | 190 | ||||||
| 1,400 | Series 2591, Class QO, 4.500%, 03/15/18 | 1,488 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 148 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 298 | Series 2591, Class WI, IO, 5.500%, 02/15/30 | 2 | ||||||
| 730 | Series 2594, Class DJ, 4.250%, 10/15/30 | 750 | ||||||
| 60 | Series 2597, Class DS, IF, IO, 7.284%, 02/15/33 | 4 | ||||||
| 115 | Series 2599, Class DS, IF, IO, 6.734%, 02/15/33 | 5 | ||||||
| 272 | Series 2610, Class DS, IF, IO, 6.834%, 03/15/33 | 14 | ||||||
| 1,909 | Series 2610, Class DZ, 5.500%, 05/15/33 | 2,098 | ||||||
| 551 | Series 2611, Class SH, IF, IO, 7.384%, 10/15/21 | 22 | ||||||
| 323 | Series 2611, Class SQ, IF, 12.469%, 05/15/33 | 352 | ||||||
| 1,036 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,073 | ||||||
| 2,330 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,475 | ||||||
| 3,383 | Series 2626, Class NS, IF, IO, 6.284%, 06/15/23 | 318 | ||||||
| 3,172 | Series 2627, Class GY, 4.500%, 06/15/18 | 3,369 | ||||||
| 2,071 | Series 2631, Class LC, 4.500%, 06/15/18 | 2,199 | ||||||
| 283 | Series 2631, Class SA, IF, 14.363%, 06/15/33 | 328 | ||||||
| 1,065 | Series 2637, Class SA, IF, IO, 5.834%, 06/15/18 | 107 | ||||||
| 491 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 56 | ||||||
| 1,614 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 134 | ||||||
| 77 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | 2 | ||||||
| 2,633 | Series 2641, Class WI, IO, 5.000%, 01/15/33 | 289 | ||||||
| 30 | Series 2643, Class HI, IO, 4.500%, 12/15/16 | — | (h) | |||||
| 1,000 | Series 2649, Class IG, IO, 5.000%, 11/15/31 | 123 | ||||||
| 1,236 | Series 2650, Class PO, PO, 12/15/32 | 1,151 | ||||||
| 2,091 | Series 2650, Class SO, PO, 12/15/32 | 1,944 | ||||||
| 710 | Series 2657, Class MD, 5.000%, 12/15/20 | 731 | ||||||
| 52 | Series 2668, Class S, IF, 11.468%, 09/15/33 | 53 | ||||||
| 1,343 | Series 2668, Class SB, IF, 6.964%, 10/15/15 | 1,365 | ||||||
| 515 | Series 2671, Class S, IF, 14.271%, 09/15/33 | 592 | ||||||
| 1,036 | Series 2672, Class ME, 5.000%, 11/15/22 | 1,111 | ||||||
| 274 | Series 2672, Class SJ, IF, 6.919%, 09/15/16 | 281 | ||||||
| 6,732 | Series 2675, Class CK, 4.000%, 09/15/18 (m) | 7,095 | ||||||
| 7,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 7,487 | ||||||
| 768 | Series 2682, Class YS, IF, 8.610%, 10/15/33 | 730 | ||||||
| 6 | Series 2683, Class VA, 5.500%, 02/15/21 | 6 | ||||||
| 11,562 | Series 2684, Class PO, PO, 01/15/33 | 10,221 | ||||||
| 417 | Series 2684, Class TO, PO, 10/15/33 | 382 | ||||||
| 756 | Series 2686, Class GB, 5.000%, 05/15/20 | 768 | ||||||
| 473 | Series 2686, Class NS, IF, IO, 7.334%, 10/15/21 | 23 | ||||||
| 526 | Series 2690, Class SJ, IF, 8.751%, 10/15/33 | 497 | ||||||
| 2,500 | Series 2691, Class ND, 5.000%, 10/15/28 | 2,543 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 498 | Series 2691, Class SE, IF, 9.173%, 12/15/28 | 516 | ||||||
| 446 | Series 2691, Class WS, IF, 8.601%, 10/15/33 | 423 | ||||||
| 954 | Series 2692, Class SC, IF, 12.755%, 07/15/33 | 1,005 | ||||||
| 180 | Series 2694, Class BA, 4.000%, 06/15/31 | 188 | ||||||
| 431 | Series 2695, Class OB, PO, 10/15/33 | 378 | ||||||
| 770 | Series 2695, Class SX, IF, 15.923%, 10/15/33 | 835 | ||||||
| 385 | Series 2695, Class WS, IF, 15.785%, 10/15/33 | 415 | ||||||
| 62 | Series 2696, Class SM, IF, 13.669%, 12/15/26 | 63 | ||||||
| 1,554 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,662 | ||||||
| 282 | Series 2705, Class SC, IF, 8.601%, 11/15/33 | 266 | ||||||
| 669 | Series 2705, Class SD, IF, 8.658%, 11/15/33 | 619 | ||||||
| 2,589 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,792 | ||||||
| 3,679 | Series 2716, Class UN, 4.500%, 12/15/23 | 3,872 | ||||||
| 2,036 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,095 | ||||||
| 768 | Series 2725, Class SC, IF, 8.685%, 11/15/33 | 785 | ||||||
| 3,108 | Series 2727, Class BS, IF, 8.676%, 01/15/34 | 2,972 | ||||||
| 11 | Series 2727, Class PO, PO, 01/15/34 | 11 | ||||||
| 153 | Series 2744, Class FE, VAR, 0.000%, 02/15/34 | 149 | ||||||
| 612 | Series 2744, Class PD, 5.500%, 08/15/33 | 624 | ||||||
| 1,971 | Series 2744, Class TU, 5.500%, 05/15/32 | 2,125 | ||||||
| 97 | Series 2754, Class JG, 4.500%, 03/15/33 | 97 | ||||||
| 2,051 | Series 2755, Class PA, PO, 02/15/29 | 2,026 | ||||||
| 476 | Series 2755, Class SA, IF, 13.669%, 05/15/30 | 534 | ||||||
| 491 | Series 2756, Class NA, 5.000%, 02/15/24 | 527 | ||||||
| 348 | Series 2760, Class IB, IO, 5.000%, 11/15/27 | 3 | ||||||
| 59 | Series 2762, Class LO, PO, 03/15/34 | 59 | ||||||
| 685 | Series 2764, Class OE, 4.500%, 03/15/19 | 732 | ||||||
| 26 | Series 2774, Class QO, PO, 04/15/34 | 25 | ||||||
| 249 | Series 2776, Class SK, IF, 8.676%, 04/15/34 | 238 | ||||||
| 61 | Series 2777, Class DV, 6.500%, 11/15/17 | 63 | ||||||
| 3,500 | Series 2780, Class BE, 4.500%, 04/15/19 | 3,727 | ||||||
| 838 | Series 2780, Class JG, 4.500%, 04/15/19 | 884 | ||||||
| 1,678 | Series 2780, Class YC, 5.000%, 04/15/19 | 1,813 | ||||||
| 1,490 | Series 2802, Class ZY, 6.000%, 05/15/34 | 1,612 | ||||||
| 498 | Series 2812, Class AB, 4.500%, 10/15/18 | 519 | ||||||
| 2,124 | Series 2812, Class NO, PO, 10/15/33 | 1,683 | ||||||
| 3,000 | Series 2827, Class QE, 5.500%, 03/15/33 | 3,214 | ||||||
| 139 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 142 | ||||||
| 723 | Series 2835, Class BO, PO, 12/15/28 | 696 | ||||||
| 617 | Series 2835, Class QO, PO, 12/15/32 | 536 | ||||||
| 278 | Series 2863, Class JA, 4.500%, 09/15/19 | 287 | ||||||
| 1,370 | Series 2864, Class GB, 4.000%, 09/15/19 | 1,440 | ||||||
| 331 | Series 2877, Class KO, PO, 03/15/19 | 303 | ||||||
| 533 | Series 2897, Class EO, PO, 10/15/31 | 528 | ||||||
| 1,136 | Series 2903, Class UZ, 5.500%, 07/15/31 | 1,173 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 149 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 2,000 | Series 2921, Class MD, 5.000%, 06/15/33 | 2,122 | ||||||
| 55 | Series 2925, Class MW, VAR, 0.000%, 01/15/35 | 55 | ||||||
| 1,000 | Series 2930, Class AN, 4.500%, 06/15/19 | 1,060 | ||||||
| 3,336 | Series 2934, Class EC, PO, 02/15/20 | 3,111 | ||||||
| 326 | Series 2934, Class EN, PO, 02/15/18 | 320 | ||||||
| 3,470 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 414 | ||||||
| 2,299 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 269 | ||||||
| 888 | Series 2945, Class SA, IF, 11.816%, 03/15/20 | 1,008 | ||||||
| 980 | Series 2967, Class JI, IO, 5.000%, 04/15/20 | 131 | ||||||
| 359 | Series 2967, Class S, HB, IF, 32.363%, 04/15/25 | 526 | ||||||
| 625 | Series 2971, Class GB, 5.000%, 11/15/16 | 640 | ||||||
| 685 | Series 2971, Class GC, 5.000%, 07/15/18 | 731 | ||||||
| 1,250 | Series 2979, Class BC, 5.000%, 04/15/20 | 1,344 | ||||||
| 497 | Series 2989, Class PO, PO, 06/15/23 | 477 | ||||||
| 536 | Series 2990, Class LK, VAR, 0.636%, 10/15/34 | 536 | ||||||
| 542 | Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 | 736 | ||||||
| 285 | Series 2990, Class WP, IF, 16.342%, 06/15/35 | 345 | ||||||
| 161 | Series 2996, Class FD, VAR, 0.516%, 06/15/35 | 161 | ||||||
| 1,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 1,052 | ||||||
| 68 | Series 3000, Class JF, VAR, 0.666%, 04/15/35 | 68 | ||||||
| 1,372 | Series 3047, Class OB, 5.500%, 12/15/33 | 1,452 | ||||||
| 1,712 | Series 3049, Class XF, VAR, 0.616%, 05/15/33 | 1,708 | ||||||
| 1,509 | Series 3054, Class MI, IO, 5.500%, 05/15/34 | 175 | ||||||
| 46 | Series 3063, Class ST, SUB, 11/15/35 | 47 | ||||||
| 2,705 | Series 3068, Class QB, 4.500%, 06/15/20 | 2,858 | ||||||
| 1,478 | Series 3077, Class TO, PO, 04/15/35 | 1,306 | ||||||
| 625 | Series 3100, Class MA, VAR, 2.514%, 12/15/35 | 564 | ||||||
| 4,067 | Series 3101, Class UZ, 6.000%, 01/15/36 | 4,467 | ||||||
| 978 | Series 3117, Class EO, PO, 02/15/36 | 843 | ||||||
| 1,105 | Series 3117, Class OK, PO, 02/15/36 | 956 | ||||||
| 307 | Series 3122, Class OH, PO, 03/15/36 | 270 | ||||||
| 83 | Series 3122, Class ZB, 6.000%, 03/15/36 | 78 | ||||||
| 1,310 | Series 3130, Class KZ, 5.500%, 12/15/34 | 1,410 | ||||||
| 233 | Series 3134, Class PO, PO, 03/15/36 | 203 | ||||||
| 5,304 | Series 3137, Class XP, 6.000%, 04/15/36 | 5,817 | ||||||
| 1,005 | Series 3138, Class PO, PO, 04/15/36 | 897 | ||||||
| 1,500 | Series 3143, Class BC, 5.500%, 02/15/36 | 1,616 | ||||||
| 303 | Series 3149, Class SO, PO, 05/15/36 | 232 | ||||||
| 2,000 | Series 3151, Class PD, 6.000%, 11/15/34 | 2,164 | ||||||
| 1,544 | Series 3151, Class PO, PO, 05/15/36 | 1,331 | ||||||
| 1,241 | Series 3152, Class MO, PO, 03/15/36 | 1,095 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,226 | Series 3153, Class EO, PO, 05/15/36 | 1,100 | ||||||
| 7,582 | Series 3155, Class CG, 6.000%, 11/15/24 | 8,000 | ||||||
| 4,932 | Series 3156, Class AZ, 5.500%, 05/15/36 | 5,291 | ||||||
| 1,000 | Series 3162, Class OB, 6.000%, 11/15/30 | 1,033 | ||||||
| 8,000 | Series 3166, Class AC, 5.000%, 06/15/21 (m) | 8,725 | ||||||
| 99 | Series 3170, Class FM, VAR, 0.616%, 09/15/33 | 99 | ||||||
| 968 | Series 3171, Class MO, PO, 06/15/36 | 833 | ||||||
| 832 | Series 3174, Class PX, 5.000%, 06/15/17 | 892 | ||||||
| 1,435 | Series 3179, Class OA, PO, 07/15/36 | 1,242 | ||||||
| 527 | Series 3184, Class OA, PO, 02/15/33 | 492 | ||||||
| 2,064 | Series 3194, Class SA, IF, IO, 6.834%, 07/15/36 | 283 | ||||||
| 1,480 | Series 3195, Class PD, 6.500%, 07/15/36 | 1,637 | ||||||
| 2,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 2,190 | ||||||
| 2,237 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 433 | ||||||
| 1,602 | Series 3232, Class ST, IF, IO, 6.434%, 10/15/36 | 227 | ||||||
| 1,734 | Series 3237, Class AO, PO, 11/15/36 | 1,504 | ||||||
| 2,027 | Series 3253, Class PO, PO, 12/15/21 | 1,927 | ||||||
| 976 | Series 3260, Class CS, IF, IO, 5.874%, 01/15/37 | 124 | ||||||
| 1,195 | Series 3262, Class SG, IF, IO, 6.134%, 01/15/37 | 151 | ||||||
| 1,357 | Series 3274, Class JO, PO, 02/15/37 | 1,186 | ||||||
| 980 | Series 3274, Class MO, PO, 02/15/37 | 874 | ||||||
| 596 | Series 3275, Class FL, VAR, 0.706%, 02/15/37 | 592 | ||||||
| 3,500 | Series 3282, Class YD, 5.500%, 02/15/22 | 3,804 | ||||||
| 1,500 | Series 3285, Class PC, 5.500%, 09/15/30 | 1,537 | ||||||
| 372 | Series 3288, Class GS, IF, 4.240%, 03/15/37 | 360 | ||||||
| 2,806 | Series 3290, Class SB, IF, IO, 6.184%, 03/15/37 | 359 | ||||||
| 75 | Series 3299, Class QF, VAR, 0.000%, 04/15/37 | 74 | ||||||
| 817 | Series 3305, Class MB, IF, 2.746%, 07/15/34 | 764 | ||||||
| 2,500 | Series 3329, Class JD, 6.000%, 06/15/36 | 2,725 | ||||||
| 3,000 | Series 3334, Class MC, 5.000%, 04/15/33 | 3,098 | ||||||
| 4,400 | Series 3342, Class VG, 6.000%, 11/15/23 | 4,821 | ||||||
| 128 | Series 3356, Class PA, 6.000%, 11/15/26 | 128 | ||||||
| 517 | Series 3371, Class FA, VAR, 0.866%, 09/15/37 | 518 | ||||||
| 1,581 | Series 3373, Class TO, PO, 04/15/37 | 1,377 | ||||||
| 4,460 | Series 3385, Class SN, IF, IO, 5.734%, 11/15/37 | 490 | ||||||
| 2,195 | Series 3387, Class SA, IF, IO, 6.154%, 11/15/37 | 282 | ||||||
| 1,903 | Series 3389, Class DQ, 5.750%, 10/15/35 | 2,047 | ||||||
| 2,649 | Series 3404, Class SC, IF, IO, 5.734%, 01/15/38 | 296 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 150 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 6,572 | Series 3422, Class AI, IO, SUB, 1.860%, 01/15/38 | 70 | ||||||
| 1,592 | Series 3422, Class LI, IO, 5.000%, 02/15/23 | 161 | ||||||
| 6,014 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 92 | ||||||
| 3,588 | Series 3437, Class AI, IO, 1.335%, 09/15/11 | 18 | ||||||
| 2,905 | Series 3451, Class SA, IF, IO, 5.784%, 05/15/38 | 403 | ||||||
| 2,111 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,288 | ||||||
| 3,082 | Series 3481, Class SJ, IF, IO, 5.584%, 08/15/38 | 378 | ||||||
| 3,231 | Series 3505, Class SA, IF, IO, 5.734%, 01/15/39 | 338 | ||||||
| 2,511 | Series 3511, Class IO, IO, 5.000%, 12/15/21 | 248 | ||||||
| 1,645 | Series 3511, Class SA, IF, IO, 5.734%, 02/15/39 | 178 | ||||||
| 3,130 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 589 | ||||||
| 5,814 | Series 3531, Class SA, IF, IO, 6.034%, 05/15/39 | 732 | ||||||
| 2,713 | Series 3537, Class MI, IO, 5.000%, 06/15/38 | 671 | ||||||
| 441 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 469 | ||||||
| 2,741 | Series 3549, Class FA, VAR, 1.466%, 07/15/39 | 2,722 | ||||||
| 2,957 | Series 3564, Class JA, 4.000%, 01/15/18 | 3,115 | ||||||
| 3,634 | Series 3572, Class JS, IF, IO, 6.534%, 09/15/39 | 524 | ||||||
| 1,562 | Series 3604, Class PO, PO, 05/15/36 | 1,346 | ||||||
| 1,600 | Series 3607, Class AO, PO, 04/15/36 | 1,199 | ||||||
| 1,600 | Series 3607, Class BO, PO, 04/15/36 | 1,199 | ||||||
| 1,528 | Series 3607, Class EO, PO, 02/15/33 | 1,387 | ||||||
| 2,722 | Series 3611, Class PO, PO, 07/15/34 | 2,383 | ||||||
| 1,343 | Series 3632, Class BS, IF, 16.614%, 02/15/40 | 1,483 | ||||||
| 2,873 | Series 3666, Class VA, 5.500%, 12/15/22 | 3,144 | ||||||
| 7,775 | Series 3680, Class MA, 4.500%, 07/15/39 | 8,086 | ||||||
| 2,529 | Series 3688, Class CU, VAR, 6.819%, 11/15/21 | 2,758 | ||||||
| 4,673 | Series 3688, Class GT, VAR, 7.155%, 11/15/46 | 5,174 | ||||||
| 9,131 | Series 3688, Class NI, IO, 5.000%, 04/15/32 | 1,733 | ||||||
| 11,961 | Series 3704, Class CT, 7.000%, 12/15/36 | 13,311 | ||||||
| 8,110 | Series 3704, Class DT, 7.500%, 11/15/36 | 9,148 | ||||||
| 6,450 | Series 3704, Class ET, 7.500%, 12/15/36 | 7,288 | ||||||
| 8,791 | Series 3714, Class IP, IO, 5.000%, 08/15/40 | 1,477 | ||||||
| 7,226 | Series 3739, Class LI, IO, 4.000%, 03/15/34 | 1,020 | ||||||
| 5,114 | Series 3740, Class SC, IF, IO, 5.734%, 10/15/40 | 792 | ||||||
| 2,373 | Series 3747, Class CY, 4.500%, 10/15/40 | 2,256 | ||||||
| 1,500 | Series 3747, Class PY, 4.000%, 10/15/40 | 1,288 | ||||||
| 7,725 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 1,253 | ||||||
| 5,937 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 1,016 | ||||||
| 1,500 | Series 3770, Class PY, 5.000%, 12/15/40 | 1,544 | ||||||
| 2,000 | Series R004, Class VG, 6.000%, 08/15/21 | 2,180 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 5,714 | Series R007, Class ZA, 6.000%, 05/15/36 | 6,194 | ||||||
| 726 | Series R012, Class AI, IO, 5.500%, 12/15/20 | 48 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
| 3 | Series 1, Class B, IO, 8.000%, 10/15/18 | 1 | ||||||
| 1 | Series 16, Class B, IO, 10.000%, 06/01/20 | — | (h) | |||||
| 16 | Series 134, Class B, IO, 9.000%, 04/01/22 | 4 | ||||||
| 2,715 | Series 191, Class IO, IO, 8.000%, 01/01/28 | 671 | ||||||
| 2,105 | Series 197, Class PO, PO, 04/01/28 | 1,787 | ||||||
| 3,198 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 615 | ||||||
| 1,791 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 344 | ||||||
| 4,339 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 827 | ||||||
| 10,708 | Series 239, Class S30, IF, IO, 7.434%, 08/15/36 | 1,576 | ||||||
| 1,585 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 155 | ||||||
| 2,574 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 258 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
| 463 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 (m) | 542 | ||||||
| 1,776 | Series T-42, Class A5, 7.500%, 02/25/42 | 2,093 | ||||||
| 104 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 117 | ||||||
| 124 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 143 | ||||||
| 2,834 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,276 | ||||||
| 1,410 | Series T-54, Class 3A, 7.000%, 02/25/43 | 1,578 | ||||||
| 2,603 | Series T-56, Class A5, 5.231%, 05/25/43 (f) (i) | 2,756 | ||||||
| 263 | Series T-58, Class APO, PO, 09/25/43 | 220 | ||||||
| 260 | Series T-59, Class 1AP, PO, 10/25/43 | 205 | ||||||
| 7,115 | Series T-76, Class 2A, VAR, 4.785%, 10/25/37 | 7,146 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
| 56 | Series 2001-T10, Class PO, PO, 12/25/41 | 42 | ||||||
| 1,191 | Series 2001-T12, Class A2, 7.500%, 08/25/41 | 1,359 | ||||||
| 1,253 | Series 2001-T7, Class A1, 7.500%, 02/25/41 | 1,400 | ||||||
| 398 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 456 | ||||||
| 744 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 885 | ||||||
| 526 | Series 2002-T4, Class A2, 7.000%, 12/25/41 | 609 | ||||||
| 1,438 | Series 2002-T4, Class A3, 7.500%, 12/25/41 | 1,640 | ||||||
| 1,629 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,794 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 78 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 87 | ||||||
| 5 | Series 1988-11, Class D, PO, 05/25/18 | 4 | ||||||
| 430 | Series 1988-21, Class G, 9.500%, 08/25/18 | 497 | ||||||
| 4 | Series 1988-29, Class B, 9.500%, 12/25/18 | 4 | ||||||
| 1 | Series 1989-19, Class A, 10.300%, 04/25/19 | 1 | ||||||
| 5 | Series 1989-21, Class G, 10.450%, 04/25/19 | 6 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 151 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 20 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 21 | ||||||
| 17 | Series 1989-70, Class G, 8.000%, 10/25/19 | 20 | ||||||
| 10 | Series 1989-78, Class H, 9.400%, 11/25/19 | 11 | ||||||
| 8 | Series 1989-89, Class H, 9.000%, 11/25/19 | 9 | ||||||
| 6 | Series 1990-60, Class K, 5.500%, 06/25/20 | 6 | ||||||
| 5 | Series 1990-93, Class G, 5.500%, 08/25/20 | 5 | ||||||
| — | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 5 | |||||
| 44 | Series 1990-102, Class J, 6.500%, 08/25/20 | 48 | ||||||
| 6 | Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 | 8 | ||||||
| — | (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 5 | |||||
| — | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
| 321 | Series 1991-44, Class G, 8.500%, 05/25/21 | 377 | ||||||
| — | (h) | Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21 | 2 | |||||
| 12 | Series 1992-101, Class J, 7.500%, 06/25/22 | 13 | ||||||
| 290 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 324 | ||||||
| 328 | Series 1993-25, Class J, 7.500%, 03/25/23 | 367 | ||||||
| 143 | Series 1993-27, Class S, IF, 9.329%, 02/25/23 | 161 | ||||||
| 70 | Series 1993-31, Class K, 7.500%, 03/25/23 | 82 | ||||||
| 612 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 676 | ||||||
| 33 | Series 1993-62, Class SA, IF, 17.015%, 04/25/23 | 44 | ||||||
| 31 | Series 1993-97, Class FA, VAR, 1.531%, 05/25/23 | 31 | ||||||
| 9 | Series 1993-108, Class D, PO, 02/25/23 | 8 | ||||||
| 76 | Series 1993-162, Class F, VAR, 1.231%, 08/25/23 | 77 | ||||||
| 12 | Series 1993-165, Class SD, IF, 11.657%, 09/25/23 | 15 | ||||||
| 81 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 83 | ||||||
| 118 | Series 1993-179, Class SB, HB, IF, 23.152%, 10/25/23 | 153 | ||||||
| 150 | Series 1993-220, Class SG, IF, 15.437%, 11/25/13 | 174 | ||||||
| 37 | Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 | 46 | ||||||
| 24 | Series 1993-228, Class G, PO, 09/25/23 | 21 | ||||||
| 18 | Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 | 18 | ||||||
| 379 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 403 | ||||||
| 110 | Series 1993-257, Class C, PO, 06/25/23 | 109 | ||||||
| 1,609 | Series 1994-26, Class J, PO, 01/25/24 | 1,431 | ||||||
| 188 | Series 1994-37, Class L, 6.500%, 03/25/24 | 213 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 45 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 51 | ||||||
| 393 | Series 1996-14, Class SE, IF, IO, 7.330%, 08/25/23 | 73 | ||||||
| 18 | Series 1996-59, Class J, 6.500%, 08/25/22 | 20 | ||||||
| 130 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 6 | ||||||
| 34 | Series 1997-24, Class Z, 8.000%, 04/18/27 | 38 | ||||||
| 33 | Series 1997-27, Class J, 7.500%, 04/18/27 | 36 | ||||||
| 597 | Series 1997-46, Class Z, 7.500%, 06/17/27 | 671 | ||||||
| 31 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 6 | ||||||
| 1,598 | Series 1998-30, Class ZA, 6.500%, 05/20/28 | 1,778 | ||||||
| 79 | Series 1998-36, Class J, 6.000%, 07/18/28 | 85 | ||||||
| 616 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 676 | ||||||
| 246 | Series 1998-43, Class SA, IF, IO, 15.907%, 04/25/23 | 90 | ||||||
| 194 | Series 1999-57, Class Z, 7.500%, 12/25/19 | 218 | ||||||
| 199 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 223 | ||||||
| 724 | Series 2000-18, Class EC, PO, 10/25/23 | 642 | ||||||
| 30 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 6 | ||||||
| 1,413 | Series 2001-4, Class ZA, 6.500%, 03/25/31 | 1,560 | ||||||
| 110 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 115 | ||||||
| 169 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 188 | ||||||
| 103 | Series 2001-31, Class VD, 6.000%, 05/25/31 | 103 | ||||||
| 323 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 62 | ||||||
| 317 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 352 | ||||||
| 949 | Series 2001-38, Class FB, VAR, 0.762%, 08/25/31 | 952 | ||||||
| 193 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 215 | ||||||
| 350 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 389 | ||||||
| 581 | Series 2001-49, Class LZ, 8.500%, 07/25/31 | 717 | ||||||
| 231 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 248 | ||||||
| 1,095 | Series 2001-53, Class FX, VAR, 0.612%, 10/25/31 | 1,093 | ||||||
| 912 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 1,014 | ||||||
| 399 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 429 | ||||||
| 227 | Series 2001-72, Class SX, IF, 16.857%, 12/25/31 | 280 | ||||||
| 205 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 221 | ||||||
| 224 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 237 | ||||||
| 114 | Series 2002-1, Class SA, HB, IF, 24.338%, 02/25/32 | 162 | ||||||
| 187 | Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 | 262 | ||||||
| 420 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 447 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 152 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 792 | Series 2002-7, Class FD, VAR, 0.962%, 04/25/29 | 800 | ||||||
| 163 | Series 2002-9, Class ST, IF, 18.692%, 03/25/17 | 202 | ||||||
| 1,312 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 1,417 | ||||||
| 1,093 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 53 | ||||||
| 70 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 85 | ||||||
| 1,762 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 1,858 | ||||||
| 400 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 430 | ||||||
| 2,287 | Series 2002-30, Class Z, 6.000%, 05/25/32 | 2,505 | ||||||
| 143 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 158 | ||||||
| 2,984 | Series 2002-42, Class C, 6.000%, 07/25/17 | 3,225 | ||||||
| 4,555 | Series 2002-50, Class ZA, 6.000%, 05/25/31 | 4,992 | ||||||
| 893 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 972 | ||||||
| 2,643 | Series 2002-56, Class UC, 5.500%, 09/25/17 (m) | 2,873 | ||||||
| 1,082 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 1,178 | ||||||
| 512 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 546 | ||||||
| 536 | Series 2002-63, Class LB, 5.500%, 10/25/17 | 584 | ||||||
| 1,849 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 1,972 | ||||||
| 450 | Series 2002-77, Class S, IF, 14.004%, 12/25/32 | 517 | ||||||
| 1,495 | Series 2002-81, Class JO, PO, 04/25/32 | 1,428 | ||||||
| 26 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 2 | ||||||
| 965 | Series 2002-95, Class XD, 5.000%, 01/25/18 | 1,034 | ||||||
| 640 | Series 2003-7, Class A1, 6.500%, 12/25/42 | 739 | ||||||
| 2,546 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 432 | ||||||
| 1,036 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 1,024 | ||||||
| 747 | Series 2003-23, Class CS, IF, IO, 7.839%, 05/25/31 | 63 | ||||||
| 2,421 | Series 2003-26, Class XS, IF, IO, 6.789%, 03/25/23 | 302 | ||||||
| 819 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 843 | ||||||
| 4,061 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 850 | ||||||
| 208 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 38 | ||||||
| 2,408 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 2,666 | ||||||
| 3,763 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 | 799 | ||||||
| 1,207 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 52 | ||||||
| 149 | Series 2003-52, Class SX, HB, IF, 22.165%, 10/25/31 | 209 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 941 | Series 2003-55, Class CD, 5.000%, 06/25/23 | 977 | ||||||
| 117 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 119 | ||||||
| 69 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 70 | ||||||
| 494 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 504 | ||||||
| 2,564 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 291 | ||||||
| 2,148 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 426 | ||||||
| 238 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 246 | ||||||
| 614 | Series 2003-73, Class HF, VAR, 0.712%, 01/25/31 | 616 | ||||||
| 268 | Series 2003-73, Class PB, 4.500%, 08/25/18 | 279 | ||||||
| 171 | Series 2003-74, Class SH, IF, 9.699%, 08/25/33 | 168 | ||||||
| 1,577 | Series 2003-76, Class SH, IF, 13.677%, 09/25/31 | 1,794 | ||||||
| 67 | Series 2003-79, Class NM, 4.000%, 05/25/22 | 69 | ||||||
| 2,610 | Series 2003-80, Class SY, IF, IO, 7.388%, 06/25/23 | 282 | ||||||
| 1,036 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,104 | ||||||
| 3,001 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 3,200 | ||||||
| 363 | Series 2003-86, Class PX, 4.500%, 02/25/17 | 373 | ||||||
| 1,283 | Series 2003-86, Class ZA, 5.500%, 09/25/33 | 1,377 | ||||||
| 1,000 | Series 2003-88, Class TH, 4.500%, 09/25/18 | 1,066 | ||||||
| 369 | Series 2003-91, Class BL, 5.000%, 02/25/29 | 370 | ||||||
| 347 | Series 2003-91, Class SD, IF, 12.064%, 09/25/33 | 380 | ||||||
| 134 | Series 2003-92, Class SH, IF, 9.178%, 09/25/18 | 138 | ||||||
| 3,756 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 4,194 | ||||||
| 211 | Series 2003-106, Class PO, PO, 08/25/17 | 202 | ||||||
| 779 | Series 2003-106, Class US, IF, 8.683%, 11/25/23 | 772 | ||||||
| 3,985 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 4,217 | ||||||
| 1,832 | Series 2003-116, Class SB, IF, IO, 7.338%, 11/25/33 | 352 | ||||||
| 2,376 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 2,447 | ||||||
| 3,000 | Series 2003-120, Class BL, 3.500%, 12/25/18 | 3,072 | ||||||
| 777 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 836 | ||||||
| 450 | Series 2003-123, Class YS, IF, IO, 6.839%, 03/25/24 | 4 | ||||||
| 492 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 510 | ||||||
| 582 | Series 2003-130, Class SX, IF, 11.128%, 01/25/34 | 642 | ||||||
| 379 | Series 2003-131, Class SK, IF, 15.677%, 01/25/34 | 449 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 153 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 367 | Series 2003-132, Class OA, PO, 08/25/33 | 320 | ||||||
| 1,086 | Series 2003-132, Class PI, IO, 5.500%, 08/25/33 | 190 | ||||||
| 1,504 | Series 2004-4, Class QI, IF, IO, 6.838%, 06/25/33 | 224 | ||||||
| 376 | Series 2004-4, Class QM, IF, 13.677%, 06/25/33 | 430 | ||||||
| 899 | Series 2004-10, Class SC, HB, IF, 27.554%, 02/25/34 | 1,271 | ||||||
| 649 | Series 2004-14, Class SD, IF, 8.683%, 03/25/34 | 613 | ||||||
| 887 | Series 2004-17, Class H, 5.500%, 04/25/34 | 915 | ||||||
| 1,043 | Series 2004-21, Class CO, PO, 04/25/34 | 917 | ||||||
| 469 | Series 2004-22, Class A, 4.000%, 04/25/19 | 487 | ||||||
| 1,036 | Series 2004-25, Class PB, 5.500%, 05/25/32 | 1,076 | ||||||
| 777 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 857 | ||||||
| 1,127 | Series 2004-25, Class SA, IF, 18.806%, 04/25/34 | 1,403 | ||||||
| 1,370 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 1,426 | ||||||
| 3,674 | Series 2004-28, Class PF, VAR, 0.662%, 03/25/34 | 3,693 | ||||||
| 777 | Series 2004-36, Class PB, 5.500%, 05/25/32 | 812 | ||||||
| 917 | Series 2004-36, Class SA, IF, 18.806%, 05/25/34 | 1,146 | ||||||
| 302 | Series 2004-36, Class SN, IF, 13.677%, 07/25/33 | 346 | ||||||
| 1,471 | Series 2004-46, Class EP, PO, 03/25/34 | 1,277 | ||||||
| 1,833 | Series 2004-46, Class HS, IF, IO, 5.739%, 05/25/30 | 116 | ||||||
| 477 | Series 2004-46, Class QB, HB, IF, 22.954%, 05/25/34 | 663 | ||||||
| 394 | Series 2004-46, Class SK, IF, 15.781%, 05/25/34 | 472 | ||||||
| 215 | Series 2004-51, Class SY, IF, 13.717%, 07/25/34 | 246 | ||||||
| 58 | Series 2004-53, Class NB, 5.500%, 02/25/21 | 59 | ||||||
| 1,554 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,638 | ||||||
| 953 | Series 2004-59, Class BG, PO, 12/25/32 | 833 | ||||||
| 367 | Series 2004-61, Class CO, PO, 10/25/31 | 364 | ||||||
| 287 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 320 | ||||||
| 267 | Series 2004-92, Class JO, PO, 12/25/34 | 265 | ||||||
| 2,667 | Series 2005-7, Class LO, PO, 02/25/35 | 2,152 | ||||||
| 588 | Series 2005-13, Class FL, VAR, 0.662%, 03/25/35 | 584 | ||||||
| 359 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 374 | ||||||
| 431 | Series 2005-15, Class MO, PO, 03/25/35 | 377 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 860 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 865 | ||||||
| 69 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 70 | ||||||
| 490 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 530 | ||||||
| 2,470 | Series 2005-56, Class S, IF, IO, 6.449%, 07/25/35 | 419 | ||||||
| 2,466 | Series 2005-57, Class EG, VAR, 0.561%, 03/25/35 | 2,465 | ||||||
| 415 | Series 2005-58, Class PO, PO, 07/25/35 | 371 | ||||||
| 565 | Series 2005-66, Class SG, IF, 16.721%, 07/25/35 | 692 | ||||||
| 3,870 | Series 2005-66, Class SV, IF, IO, 6.489%, 07/25/35 | 598 | ||||||
| 1,250 | Series 2005-67, Class HG, 5.500%, 01/25/35 | 1,356 | ||||||
| 1,027 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,109 | ||||||
| 2,282 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 2,496 | ||||||
| 325 | Series 2005-70, Class KI, IO, 5.500%, 08/25/35 | 13 | ||||||
| 504 | Series 2005-73, Class PS, IF, 16.046%, 08/25/35 | 611 | ||||||
| 1,938 | Series 2005-74, Class SK, IF, 19.411%, 05/25/35 | 2,422 | ||||||
| 1,926 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 2,100 | ||||||
| 2,000 | Series 2005-87, Class NH, 5.000%, 10/25/25 | 2,091 | ||||||
| 413 | Series 2005-88, Class QO, PO, 11/25/33 | 404 | ||||||
| 862 | Series 2005-90, Class AO, PO, 10/25/35 | 796 | ||||||
| 2,272 | Series 2005-90, Class ES, IF, 16.221%, 10/25/35 | 2,765 | ||||||
| 1,609 | Series 2005-90, Class PO, PO, 09/25/35 | 1,475 | ||||||
| 1,500 | Series 2005-100, Class BQ, 5.500%, 11/25/25 | 1,619 | ||||||
| 730 | Series 2005-103, Class SC, IF, 10.787%, 07/25/35 | 737 | ||||||
| 1,552 | Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 | 2,150 | ||||||
| 1,490 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 1,566 | ||||||
| 2,601 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 2,734 | ||||||
| 2,739 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 2,978 | ||||||
| 1,584 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 1,664 | ||||||
| 2,397 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 2,632 | ||||||
| 1,220 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,319 | ||||||
| 4,500 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 4,618 | ||||||
| 6,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 6,526 | ||||||
| 2,431 | Series 2005-123, Class FG, VAR, 0.712%, 07/25/34 | 2,426 | ||||||
| 757 | Series 2006-15, Class OT, PO, 01/25/36 | 722 | ||||||
| 1,106 | Series 2006-16, Class FC, VAR, 0.561%, 03/25/36 | 1,102 | ||||||
| 1,974 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 2,095 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 154 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 773 | Series 2006-23, Class KO, PO, 04/25/36 | 672 | ||||||
| 2,248 | Series 2006-27, Class OH, PO, 04/25/36 | 2,024 | ||||||
| 1,084 | Series 2006-33, Class ZB, 6.000%, 05/25/36 | 1,056 | ||||||
| 2,054 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,236 | ||||||
| 829 | Series 2006-42, Class CF, VAR, 0.712%, 06/25/36 | 830 | ||||||
| 3,333 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,589 | ||||||
| 933 | Series 2006-44, Class FP, VAR, 0.662%, 06/25/36 | 927 | ||||||
| 1,789 | Series 2006-44, Class GO, PO, 06/25/36 | 1,538 | ||||||
| 5,336 | Series 2006-44, Class P, PO, 12/25/33 | 4,706 | ||||||
| 1,712 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 1,864 | ||||||
| 1,110 | Series 2006-50, Class JO, PO, 06/25/36 | 984 | ||||||
| 1,872 | Series 2006-50, Class PS, PO, 06/25/36 | 1,664 | ||||||
| 3,648 | Series 2006-53, Class US, IF, IO, 6.319%, 06/25/36 | 509 | ||||||
| 2,228 | Series 2006-56, Class FT, VAR, 1.012%, 07/25/36 | 2,120 | ||||||
| 795 | Series 2006-58, Class AP, PO, 07/25/36 | 692 | ||||||
| 933 | Series 2006-58, Class FL, VAR, 0.721%, 07/25/36 | 935 | ||||||
| 1,861 | Series 2006-58, Class PO, PO, 07/25/36 | 1,612 | ||||||
| 260 | Series 2006-59, Class CO, PO, 08/25/35 | 244 | ||||||
| 2,843 | Series 2006-59, Class QO, PO, 01/25/33 | 2,557 | ||||||
| 1,102 | Series 2006-60, Class DO, PO, 04/25/35 | 983 | ||||||
| 1,353 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 1,605 | ||||||
| 741 | Series 2006-65, Class QO, PO, 07/25/36 | 642 | ||||||
| 1,319 | Series 2006-72, Class GO, PO, 08/25/36 | 1,167 | ||||||
| 874 | Series 2006-72, Class HO, PO, 08/25/26 | 771 | ||||||
| 1,233 | Series 2006-72, Class TO, PO, 08/25/36 | 1,082 | ||||||
| 6,848 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 7,643 | ||||||
| 1,789 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 1,979 | ||||||
| 1,202 | Series 2006-79, Class DO, PO, 08/25/36 | 1,040 | ||||||
| 1,141 | Series 2006-86, Class OB, PO, 09/25/36 | 969 | ||||||
| 1,077 | Series 2006-90, Class AO, PO, 09/25/36 | 949 | ||||||
| 7,200 | Series 2006-94, Class GI, IF, IO, 6.389%, 10/25/26 | 993 | ||||||
| 301 | Series 2006-94, Class GK, HB, IF, 31.942%, 10/25/26 | 477 | ||||||
| 1,343 | Series 2006-110, Class PO, PO, 11/25/36 | 1,173 | ||||||
| 556 | Series 2006-111, Class EO, PO, 11/25/36 | 485 | ||||||
| 1,497 | Series 2006-113, Class PO, PO, 07/25/36 | 1,383 | ||||||
| 1,371 | Series 2006-115, Class OK, PO, 12/25/36 | 1,183 | ||||||
| 3,641 | Series 2006-117, Class GS, IF, IO, 6.388%, 12/25/36 | 548 | ||||||
| 827 | Series 2006-118, Class A2, VAR, 0.322%, 12/25/36 | 811 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,467 | Series 2006-119, Class PO, PO, 12/25/36 | 1,296 | ||||||
| 2,143 | Series 2006-120, Class IO, IO, 6.500%, 12/25/36 | 464 | ||||||
| 2,519 | Series 2006-120, Class PF, VAR, 0.512%, 12/25/36 | 2,513 | ||||||
| 2,120 | Series 2006-126, Class AO, PO, 01/25/37 | 1,885 | ||||||
| 2,841 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 436 | ||||||
| 290 | Series 2007-1, Class SD, HB, IF, 37.431%, 02/25/37 | 448 | ||||||
| 2,491 | Series 2007-7, Class SG, IF, IO, 6.239%, 08/25/36 | 479 | ||||||
| 6,923 | Series 2007-14, Class ES, IF, IO, 6.179%, 03/25/37 | 989 | ||||||
| 1,348 | Series 2007-14, Class OP, PO, 03/25/37 | 1,165 | ||||||
| 516 | Series 2007-15, Class NO, PO, 03/25/22 | 474 | ||||||
| 2,151 | Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 | 2,142 | ||||||
| 2,956 | Series 2007-16, Class FM, VAR, 0.492%, 03/25/37 | 2,949 | ||||||
| 2,133 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 254 | ||||||
| 1,500 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,631 | ||||||
| 298 | Series 2007-39, Class EF, VAR, 0.512%, 05/25/37 | 297 | ||||||
| 665 | Series 2007-43, Class FL, VAR, 0.561%, 05/25/37 | 662 | ||||||
| 1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,572 | ||||||
| 2,427 | Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 | 2,430 | ||||||
| 4,853 | Series 2007-54, Class WI, IF, IO, 5.839%, 06/25/37 | 645 | ||||||
| 2,683 | Series 2007-60, Class AX, IF, IO, 6.888%, 07/25/37 | 443 | ||||||
| 2,500 | Series 2007-61, Class PC, 5.500%, 07/25/34 | 2,699 | ||||||
| 2,206 | Series 2007-64, Class FB, VAR, 0.631%, 07/25/37 | 2,216 | ||||||
| 7,474 | Series 2007-65, Class KI, IF, IO, 6.359%, 07/25/37 | 957 | ||||||
| 13,109 | Series 2007-72, Class EK, IF, IO, 6.139%, 07/25/37 | 1,647 | ||||||
| 2,393 | Series 2007-75, Class EO, PO, 01/25/36 | 2,179 | ||||||
| 2,478 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 2,639 | ||||||
| 2,857 | Series 2007-77, Class FG, VAR, 0.762%, 03/25/37 | 2,865 | ||||||
| 1,500 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 1,628 | ||||||
| 2,000 | Series 2007-79, Class PB, 5.000%, 04/25/29 | 2,071 | ||||||
| �� | 343 | Series 2007-79, Class SB, HB, IF, 23.058%, 08/25/37 | 429 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 155 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 921 | Series 2007-88, Class VI, IF, IO, 6.279%, 09/25/37 | 135 | ||||||
| 2,967 | Series 2007-91, Class ES, IF, IO, 6.199%, 10/25/37 | 418 | ||||||
| 514 | Series 2007-97, Class MS, IF, 14.187%, 12/25/31 | 557 | ||||||
| 729 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 786 | ||||||
| 5,858 | Series 2007-100, Class SM, IF, IO, 6.189%, 10/25/37 | 852 | ||||||
| 6,002 | Series 2007-101, Class A2, VAR, 0.510%, 06/27/36 | 5,960 | ||||||
| 866 | Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 | 903 | ||||||
| 7,000 | Series 2007-112, Class GB, 5.500%, 12/25/22 | 7,676 | ||||||
| 6,927 | Series 2007-112, Class SA, IF, IO, 6.189%, 12/25/37 | 1,013 | ||||||
| 12,000 | Series 2007-114, Class A6, VAR, 0.460%, 10/27/37 | 11,980 | ||||||
| 6,259 | Series 2007-116, Class HI, IO, VAR, 6.323%, 01/25/38 | 550 | ||||||
| 310 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 31 | ||||||
| 5,052 | Series 2008-1, Class BI, IF, IO, 5.649%, 02/25/38 | 575 | ||||||
| 1,740 | Series 2008-10, Class XI, IF, IO, 5.969%, 03/25/38 | 226 | ||||||
| 1,468 | Series 2008-12, Class IV, IO, 6.500%, 04/25/31 | 177 | ||||||
| 4,755 | Series 2008-16, Class IS, IF, IO, 5.938%, 03/25/38 | 636 | ||||||
| 2,726 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 308 | ||||||
| 3,261 | Series 2008-20, Class SA, IF, IO, 6.729%, 03/25/38 | 503 | ||||||
| 2,943 | Series 2008-24, Class PF, VAR, 0.912%, 02/25/38 | 2,947 | ||||||
| 1,165 | Series 2008-27, Class SN, IF, IO, 6.639%, 04/25/38 | 188 | ||||||
| 1,875 | Series 2008-32, Class SA, IF, IO, 6.589%, 04/25/38 | 286 | ||||||
| 10,577 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 66 | ||||||
| 5,053 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 77 | ||||||
| 4,255 | Series 2008-36, Class IA, IO, 4.500%, 10/25/22 | 361 | ||||||
| 516 | Series 2008-44, Class PO, PO, 05/25/38 | 458 | ||||||
| 3,693 | Series 2008-47, Class SI, IF, IO, 6.239%, 06/25/23 | 414 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 6,000 | Series 2008-51, Class BC, 4.500%, 06/25/23 | 6,377 | ||||||
| 1,872 | Series 2008-53, Class CI, IF, IO, 6.938%, 07/25/38 | 278 | ||||||
| 391 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 31 | ||||||
| 2,545 | Series 2008-76, Class GF, VAR, 0.912%, 09/25/23 | 2,581 | ||||||
| 848 | Series 2008-80, Class GP, 6.250%, 09/25/38 | 929 | ||||||
| 3,436 | Series 2008-80, Class SA, IF, IO, 5.588%, 09/25/38 | 397 | ||||||
| 1,493 | Series 2008-81, Class SB, IF, IO, 5.588%, 09/25/38 | 177 | ||||||
| 2,000 | Series 2008-95, Class BA, 5.000%, 01/25/24 | 2,146 | ||||||
| 785 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 805 | ||||||
| 1,634 | Series 2009-6, Class GS, IF, IO, 6.289%, 02/25/39 | 185 | ||||||
| 3,719 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 415 | ||||||
| 2,978 | Series 2009-12, Class IO, IO, 4.500%, 03/25/24 | 324 | ||||||
| 1,312 | Series 2009-12, Class NI, IO, 5.500%, 08/25/22 | 107 | ||||||
| 2,175 | Series 2009-14, Class YI, IO, 5.000%, 07/25/22 | 143 | ||||||
| 5,515 | Series 2009-17, Class QS, IF, IO, 6.388%, 03/25/39 | 723 | ||||||
| 2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 784 | ||||||
| 1,136 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,256 | ||||||
| 4,188 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 652 | ||||||
| 645 | Series 2009-63, Class P, 5.000%, 03/25/37 | 670 | ||||||
| 1,061 | Series 2009-69, Class PO, PO, 09/25/39 | 922 | ||||||
| 865 | Series 2009-79, Class UA, 7.000%, 03/25/38 | 954 | ||||||
| 4,463 | Series 2009-84, Class WS, IF, IO, 5.639%, 10/25/39 | 488 | ||||||
| 4,366 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 810 | ||||||
| 4,111 | Series 2009-86, Class OT, PO, 10/25/37 | 3,557 | ||||||
| 8,607 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 741 | ||||||
| 2,804 | Series 2009-99, Class SC, IF, IO, 5.919%, 12/25/39 | 376 | ||||||
| 1,708 | Series 2009-99, Class WA, VAR, 6.296%, 12/25/39 | 1,917 | ||||||
| 8,391 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 8,832 | ||||||
| 5,420 | Series 2009-112, Class ST, IF, IO, 5.988%, 01/25/40 | 639 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 156 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 6,001 | Series 2010-1, Class WA, VAR, 6.130%, 02/25/40 (m) | 6,619 | ||||||
| 3,443 | Series 2010-16, Class WA, VAR, 6.428%, 03/25/40 | 3,815 | ||||||
| 3,751 | Series 2010-16, Class WB, VAR, 6.237%, 03/25/40 | 4,159 | ||||||
| 4,192 | Series 2010-23, Class KS, IF, IO, 6.839%, 02/25/40 | 595 | ||||||
| 6,052 | Series 2010-35, Class SB, IF, IO, 6.158%, 04/25/40 | 810 | ||||||
| 1,553 | Series 2010-39, Class OT, PO, 10/25/35 | 1,363 | ||||||
| 3,453 | Series 2010-42, Class S, IF, IO, 6.139%, 05/25/40 | 387 | ||||||
| 2,000 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,017 | ||||||
| 2,354 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 2,511 | ||||||
| 2,811 | Series 2010-49, Class SC, IF, 12.137%, 03/25/40 | 3,062 | ||||||
| 1,923 | Series 2010-61, Class WA, 5.950%, 06/25/40 | 2,054 | ||||||
| 11,635 | Series 2010-64, Class DM, 5.000%, 06/25/40 (m) | 12,205 | ||||||
| 7,954 | Series 2010-68, Class SA, IF, IO, 4.739%, 07/25/40 | 876 | ||||||
| 12,778 | Series 2010-103, Class SB, IF, IO, 5.839%, 11/25/49 | 1,800 | ||||||
| 14,296 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 15,273 | ||||||
| 2,000 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 2,116 | ||||||
| 9,176 | Series 2010-111, Class WA, 6.031%, 10/25/40 | 9,923 | ||||||
| 7,849 | Series 2010-125, Class SA, IF, IO, 4.178%, 11/25/40 | 749 | ||||||
| 2,721 | Series 2010-130, Class CY, 4.500%, 11/25/40 | 2,546 | ||||||
| 5,875 | Series 2010-133, Class A, 5.500%, 05/25/38 | 6,301 | ||||||
| 3,968 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 4,095 | ||||||
| 3,849 | Series 2011-2, Class WA, VAR, 5.716%, 02/25/51 | 4,128 | ||||||
| 1,674 | Series 2011-20, Class MW, 5.000%, 03/25/41 | 1,717 | ||||||
| 113 | Series G92-7, Class JQ, 8.500%, 01/25/22 | 139 | ||||||
| 23 | Series G92-12, Class B, 7.700%, 02/25/22 | 25 | ||||||
| 34 | Series G92-14, Class Z, 7.000%, 02/25/22 | 37 | ||||||
| 16 | Series G92-15, Class Z, 7.000%, 01/25/22 | 16 | ||||||
| — | (h) | Series G92-27, Class SQ, HB, IF, 1,698.030%, 05/25/22 | 14 | |||||
| 24 | Series G92-42, Class Z, 7.000%, 07/25/22 | 26 | ||||||
| 719 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 876 | ||||||
| 127 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 141 | ||||||
| 228 | Series G92-61, Class Z, 7.000%, 10/25/22 | 249 | ||||||
| 24 | Series G92-62, Class B, PO, 10/25/22 | 22 | ||||||
| 149 | Series G93-1, Class KA, 7.900%, 01/25/23 | 168 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 99 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 99 | ||||||
| 804 | Series G94-7, Class PJ, 7.500%, 05/17/24 | 969 | ||||||
| 133 | Series G97-2, Class ZA, 8.500%, 02/17/27 | 151 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
| 12 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 2 | ||||||
| 8 | Series 59, Class 2, IO, 9.500%, 07/01/17 | 2 | ||||||
| 539 | Series 213, Class 2, IO, 8.000%, 03/01/23 | 114 | ||||||
| 18 | Series 265, Class 2, 9.000%, 03/01/24 | 20 | ||||||
| 39 | Series 285, Class 1, PO, 02/01/27 | 34 | ||||||
| 1,199 | Series 293, Class 1, PO, 0.000%, 12/01/24 | 1,079 | ||||||
| 913 | Series 331, Class 13, IO, 7.000%, 02/01/33 | 197 | ||||||
| 2,494 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 228 | ||||||
| 2,500 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 232 | ||||||
| 2,107 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 230 | ||||||
| 4,587 | Series 345, Class 24, IO, VAR, 5.000%, 08/01/22 | 464 | ||||||
| 1,071 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 191 | ||||||
| 1,588 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 | 278 | ||||||
| 2,234 | Series 356, Class 3, IO, 5.000%, 01/01/35 | 431 | ||||||
| 3,643 | Series 356, Class 39, IO, 5.000%, 01/01/20 | 376 | ||||||
| 3,401 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 665 | ||||||
| 688 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 68 | ||||||
| 1,293 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 252 | ||||||
| 4,052 | Series 383, Class 32, IO, 6.000%, 01/01/38 | 690 | ||||||
| 548 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 94 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| 2,115 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 2,446 | ||||||
| 442 | Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32 | 468 | ||||||
| 10,027 | Series 2002-W10, Class IO, IO, VAR, 0.980%, 08/25/42 | 316 | ||||||
| 616 | Series 2003-W1, Class 1A1, VAR, 6.500%, 12/25/42 | 711 | ||||||
| 350 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 399 | ||||||
| 909 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 981 | ||||||
| 695 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 802 | ||||||
| 126 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 145 | ||||||
| 850 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 1,010 | ||||||
| 868 | Series 2003-W8, Class 3F1, VAR, 0.662%, 05/25/42 | 863 | ||||||
| 1,058 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 1,223 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 157 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 1,296 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 1,540 | ||||||
| 1,287 | Series 2005-W3, Class 2AF, VAR, 0.482%, 03/25/45 | 1,278 | ||||||
| 1,079 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,207 | ||||||
| 4,549 | Series 2005-W4, Class 3A, VAR, 3.355%, 06/25/35 | 4,666 | ||||||
| 1,465 | Series 2006-W2, Class 1AF1, VAR, 0.482%, 02/25/36 | 1,455 | ||||||
| 953 | Series 2006-W3, Class 1AF1, VAR, 0.502%, 10/25/46 | 946 | ||||||
| 1,169 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 1,272 | ||||||
| 12,692 | Series 2007-W1, Class 1AF1, VAR, 0.521%, 11/25/46 (m) | 12,530 | ||||||
| 2,259 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 2,606 | ||||||
| 359 | Series 2007-W7, Class 1A4, HB, IF, 37.611%, 07/25/37 | 539 | ||||||
| 7,622 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 8,396 | ||||||
Government National Mortgage Association, | ||||||||
| 102 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 115 | ||||||
| 1,563 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 1,809 | ||||||
| 223 | Series 1996-16, Class E, 7.500%, 08/16/26 (m) | 250 | ||||||
| 43 | Series 1997-2, Class E, 7.500%, 02/20/27 | 49 | ||||||
| 49 | Series 1997-11, Class D, 7.500%, 07/20/27 | 56 | ||||||
| 89 | Series 1998-26, Class K, 7.500%, 09/17/25 | 100 | ||||||
| 505 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 554 | ||||||
| 157 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 178 | ||||||
| 20 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 23 | ||||||
| 92 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 104 | ||||||
| 439 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 499 | ||||||
| 265 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 292 | ||||||
| 402 | Series 2000-7, Class ST, HB, IF, 38.200%, 01/16/30 | 744 | ||||||
| 183 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 207 | ||||||
| 1,031 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 1,169 | ||||||
| 760 | Series 2000-10, Class ZP, 7.500%, 02/16/30 | 833 | ||||||
| 399 | Series 2000-12, Class ST, HB, IF, 38.200%, 02/16/30 | 737 | ||||||
| 102 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 109 | ||||||
| 922 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 1,054 | ||||||
| 145 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 164 | ||||||
| 55 | Series 2000-36, Class HC, 7.330%, 11/20/30 | 63 | ||||||
| 31 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 7 | ||||||
| 161 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 183 | ||||||
| 1,695 | Series 2001-21, Class PE, 6.500%, 05/16/31 | 1,957 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 284 | Series 2001-31, Class SJ, HB, IF, 27.080%, 02/20/31 | 446 | ||||||
| 21 | Series 2001-32, Class WA, IF, 19.468%, 07/20/31 | 31 | ||||||
| 194 | Series 2001-35, Class SA, IF, IO, 7.985%, 08/16/31 | 41 | ||||||
| 178 | Series 2001-36, Class S, IF, IO, 7.785%, 08/16/31 | 40 | ||||||
| 1,128 | Series 2001-53, Class SR, IF, IO, 7.887%, 10/20/31 | 142 | ||||||
| 65 | Series 2001-55, Class SF, HB, IF, 25.373%, 11/20/31 | 96 | ||||||
| 777 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 925 | ||||||
| 203 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 234 | ||||||
| 780 | Series 2002-24, Class AG, IF, IO, 7.685%, 04/16/32 | 154 | ||||||
| 210 | Series 2002-24, Class SB, IF, 11.528%, 04/16/32 | 251 | ||||||
| 608 | Series 2002-24, Class Z, 8.500%, 04/16/32 | 690 | ||||||
| 1,581 | Series 2002-31, Class SE, IF, IO, 7.235%, 04/16/30 | 265 | ||||||
| 64 | Series 2002-33, Class SY, IF, 9.000%, 02/26/23 | 75 | ||||||
| 525 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 583 | ||||||
| 143 | Series 2002-41, Class LS, IF, 9.000%, 06/16/32 | 170 | ||||||
| 309 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 353 | ||||||
| 382 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 443 | ||||||
| 52 | Series 2002-51, Class SG, HB, IF, 31.360%, 04/20/31 | 84 | ||||||
| 205 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 227 | ||||||
| 300 | Series 2002-69, Class PO, PO, 02/20/32 | 291 | ||||||
| 214 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 218 | ||||||
| 469 | Series 2002-70, Class PS, IF, IO, 7.437%, 08/20/32 | 58 | ||||||
| 16 | Series 2002-88, Class VA, 6.000%, 12/20/17 | 16 | ||||||
| 916 | Series 2002-92, Class TK, IO, 5.500%, 05/16/31 | 41 | ||||||
| 323 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 21 | ||||||
| 327 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 346 | ||||||
| 591 | Series 2003-8, Class PO, PO, 01/16/32 | 574 | ||||||
| 1,784 | Series 2003-11, Class SK, IF, IO, 7.435%, 02/16/33 | 310 | ||||||
| 4,539 | Series 2003-12, Class VI, IO, 5.500%, 10/17/22 | 721 | ||||||
| 48 | Series 2003-24, Class PO, PO, 03/16/33 | 42 | ||||||
| 631 | Series 2003-34, Class TO, PO, 02/16/32 | 617 | ||||||
| 1,710 | Series 2003-41, Class ID, IO, 5.500%, 05/20/33 | 336 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 158 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 2,489 | Series 2003-46, Class IH, IO, 5.500%, 12/20/32 | 334 | ||||||
| 549 | Series 2003-76, Class LS, IF, IO, 6.937%, 09/20/31 | 50 | ||||||
| 109 | Series 2003-90, Class PO, PO, 10/20/33 | 93 | ||||||
| 12 | Series 2003-98, Class PC, 5.000%, 02/20/29 | 12 | ||||||
| 1,611 | Series 2003-112, Class SA, IF, IO, 6.285%, 12/16/33 | 261 | ||||||
| 6,000 | Series 2003-112, Class TS, IF, IO, 6.687%, 10/20/32 | 936 | ||||||
| 4,778 | Series 2004-11, Class SW, IF, IO, 5.237%, 02/20/34 | 536 | ||||||
| 344 | Series 2004-15, Class SA, IF, 18.939%, 12/20/32 | 410 | ||||||
| 288 | Series 2004-28, Class S, IF, 18.934%, 04/16/34 | 369 | ||||||
| 674 | Series 2004-34, Class SZ, IF, 7.500%, 02/20/34 | 737 | ||||||
| 632 | Series 2004-46, Class AO, PO, 06/20/34 | 557 | ||||||
| 3,882 | Series 2004-59, Class SG, IF, IO, 6.237%, 07/20/34 | 546 | ||||||
| 963 | Series 2004-68, Class PO, PO, 05/20/31 | 943 | ||||||
| 211 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 225 | ||||||
| 302 | Series 2004-73, Class AE, IF, 14.311%, 08/17/34 | 356 | ||||||
| 4,623 | Series 2004-73, Class JL, IF, IO, 6.285%, 09/16/34 | 819 | ||||||
| 1,329 | Series 2004-85, Class PO, PO, 01/17/33 | 1,284 | ||||||
| 2,299 | Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 | 298 | ||||||
| 1,921 | Series 2005-3, Class SB, IF, IO, 5.837%, 01/20/35 | 247 | ||||||
| 3,832 | Series 2005-17, Class SL, IF, IO, 6.437%, 07/20/34 | 591 | ||||||
| 700 | Series 2005-26, Class VI, IO, 5.500%, 01/20/35 | 181 | ||||||
| 307 | Series 2005-35, Class FL, VAR, 0.613%, 03/20/32 | 303 | ||||||
| 3,287 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 746 | ||||||
| 980 | Series 2005-68, Class DP, IF, 15.798%, 06/17/35 | 1,196 | ||||||
| 4,845 | Series 2005-68, Class KI, IF, IO, 6.037%, 09/20/35 | 625 | ||||||
| 1,164 | Series 2005-69, Class SY, IF, IO, 6.487%, 11/20/33 | 190 | ||||||
| 1,346 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 1,433 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,946 | Series 2005-85, Class IO, IO, 5.500%, 01/16/35 | 269 | ||||||
| 403 | Series 2005-93, Class JO, PO, 03/20/31 | 399 | ||||||
| 957 | Series 2006-16, Class OP, PO, 03/20/36 | 849 | ||||||
| 726 | Series 2006-34, Class PO, PO, 07/20/36 | 638 | ||||||
| 5,437 | Series 2006-38, Class SG, IF, IO, 6.387%, 09/20/33 | 584 | ||||||
| 2,798 | Series 2006-38, Class SW, IF, IO, 6.237%, 06/20/36 | 364 | ||||||
| 789 | Series 2006-59, Class SD, IF, IO, 6.437%, 10/20/36 | 108 | ||||||
| 2,800 | Series 2007-9, Class DI, IF, IO, 6.247%, 03/20/37 | 363 | ||||||
| 907 | Series 2007-17, Class AF, VAR, 0.465%, 04/16/37 | 899 | ||||||
| 4,419 | Series 2007-17, Class JI, IF, IO, 6.545%, 04/16/37 | 641 | ||||||
| 608 | Series 2007-17, Class JO, PO, 04/16/37 | 540 | ||||||
| 514 | Series 2007-25, Class FN, VAR, 0.565%, 05/16/37 | 509 | ||||||
| 3,635 | Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 | 425 | ||||||
| 8,785 | Series 2007-26, Class SW, IF, IO, 5.937%, 05/20/37 | 1,029 | ||||||
| 1,403 | Series 2007-27, Class MI, IO, 5.500%, 09/20/36 | 203 | ||||||
| 167 | Series 2007-28, Class BO, PO, 05/20/37 | 146 | ||||||
| 358 | Series 2007-35, Class TO, PO, 04/20/35 | 351 | ||||||
| 150 | Series 2007-36, Class HO, PO, 06/16/37 | 134 | ||||||
| 3,001 | Series 2007-36, Class SE, IF, IO, 6.205%, 06/16/37 | 381 | ||||||
| 4,872 | Series 2007-36, Class SG, IF, IO, 6.207%, 06/20/37 | 606 | ||||||
| 2,662 | Series 2007-40, Class SD, IF, IO, 6.487%, 07/20/37 | 378 | ||||||
| 2,634 | Series 2007-42, Class SB, IF, IO, 6.487%, 07/20/37 | 373 | ||||||
| 1,147 | Series 2007-45, Class QA, IF, IO, 6.377%, 07/20/37 | 162 | ||||||
| 2,615 | Series 2007-50, Class AI, IF, IO, 6.512%, 08/20/37 | 351 | ||||||
| 524 | Series 2007-53, Class SW, IF, 19.416%, 09/20/37 | 649 | ||||||
| 2,801 | Series 2007-57, Class PO, PO, 03/20/37 | 2,469 | ||||||
| 2,588 | Series 2007-57, Class QA, IF, IO, 6.237%, 10/20/37 | 333 | ||||||
| 2,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 2,144 | ||||||
| 3,674 | Series 2007-71, Class SB, IF, IO, 6.437%, 07/20/36 | 459 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 159 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 4,939 | Series 2007-74, Class SL, IF, IO, 6.275%, 11/16/37 | 765 | ||||||
| 2,514 | Series 2007-76, Class SA, IF, IO, 6.267%, 11/20/37 | 338 | ||||||
| 3,776 | Series 2007-79, Class SY, IF, IO, 6.287%, 12/20/37 | 522 | ||||||
| 1,291 | Series 2007-81, Class SP, IF, IO, 6.387%, 12/20/37 | 177 | ||||||
| 1,012 | Series 2007-82, Class SA, IF, IO, 6.267%, 12/20/37 | 135 | ||||||
| 1,846 | Series 2008-2, Class MS, IF, IO, 6.895%, 01/16/38 | 275 | ||||||
| 1,298 | Series 2008-10, Class S, IF, IO, 5.567%, 02/20/38 | 144 | ||||||
| 4,747 | Series 2008-13, Class PI, IO, 5.500%, 02/16/38 | 652 | ||||||
| 1,186 | Series 2008-20, Class PO, PO, 09/20/37 | 1,063 | ||||||
| 1,244 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 150 | ||||||
| 2,634 | Series 2008-25, Class SB, IF, IO, 6.637%, 03/20/38 | 350 | ||||||
| 1,231 | Series 2008-29, Class PO, PO, 02/17/33 | 1,126 | ||||||
| 2,759 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 368 | ||||||
| 1,122 | Series 2008-33, Class XS, IF, IO, 7.435%, 04/16/38 | 154 | ||||||
| 1,500 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 1,609 | ||||||
| 2,778 | Series 2008-36, Class SH, IF, IO, 6.037%, 04/20/38 | 322 | ||||||
| 6,536 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 1,076 | ||||||
| 3,039 | Series 2008-41, Class SA, IF, IO, 6.077%, 05/20/38 | 374 | ||||||
| 807 | Series 2008-47, Class V, 5.500%, 05/16/19 | 892 | ||||||
| 1,784 | Series 2008-55, Class SA, IF, IO, 5.937%, 06/20/38 | 210 | ||||||
| 1,508 | Series 2008-60, Class PO, PO, 01/20/38 | 1,400 | ||||||
| 7,870 | �� | Series 2008-62, Class SA, IF, IO, 5.887%, 07/20/38 | 929 | |||||
| 3,007 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 3,289 | ||||||
| 845 | Series 2008-71, Class SC, IF, IO, 5.737%, 08/20/38 | 99 | ||||||
| 2,173 | Series 2008-93, Class AS, IF, IO, 5.437%, 12/20/38 | 237 | ||||||
| 6,818 | Series 2008-95, Class DS, IF, IO, 7.037%, 12/20/38 | 985 | ||||||
| 1,796 | Series 2008-96, Class SL, IF, IO, 5.737%, 12/20/38 | 207 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 2,806 | Series 2009-6, Class SA, IF, IO, 5.835%, 02/16/39 | 320 | ||||||
| 4,150 | Series 2009-10, Class SA, IF, IO, 5.687%, 02/20/39 | 457 | ||||||
| 3,257 | Series 2009-10, Class SL, IF, IO, 6.235%, 03/16/34 | 389 | ||||||
| 5,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 1,506 | ||||||
| 2,244 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 334 | ||||||
| 2,395 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 364 | ||||||
| 3,364 | Series 2009-24, Class DS, IF, IO, 6.037%, 03/20/39 | 351 | ||||||
| 1,681 | Series 2009-25, Class SE, IF, IO, 7.337%, 09/20/38 | 243 | ||||||
| 1,311 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 262 | ||||||
| 2,250 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 360 | ||||||
| 1,828 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 | 168 | ||||||
| 5,762 | Series 2009-42, Class SC, IF, IO, 5.817%, 06/20/39 | 680 | ||||||
| 2,966 | Series 2009-43, Class SA, IF, IO, 5.687%, 06/20/39 | 332 | ||||||
| 883 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 966 | ||||||
| 6,418 | Series 2009-64, Class SN, IF, IO, 5.835%, 07/16/39 | 743 | ||||||
| 1,191 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 174 | ||||||
| 5,148 | Series 2009-67, Class SA, IF, IO, 5.785%, 08/16/39 | 559 | ||||||
| 6,518 | Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 | 786 | ||||||
| 877 | Series 2009-79, Class OK, PO, 11/16/37 | 768 | ||||||
| 5,997 | Series 2009-83, Class TS, IF, IO, 5.837%, 08/20/39 | 640 | ||||||
| 12,458 | Series 2009-102, Class SM, IF, IO, 6.135%, 06/16/39 | 1,513 | ||||||
| 1,682 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 1,902 | ||||||
| 5,476 | Series 2009-106, Class AS, IF, IO, 6.135%, 11/16/39 | 717 | ||||||
| 6,938 | Series 2009-106, Class ST, IF, IO, 5.737%, 02/20/38 | 736 | ||||||
| 2,868 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 3,148 | ||||||
| 816 | Series 2010-14, Class AO, PO, 12/20/32 | 723 | ||||||
| 839 | Series 2010-14, Class BO, PO, 11/20/35 | 739 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 160 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 2,500 | Series 2010-14, Class CO, PO, 08/20/35 | 1,812 | ||||||
| 6,982 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 7,554 | ||||||
| 4,380 | Series 2010-41, Class WA, VAR, 5.863%, 10/20/33 | 4,804 | ||||||
| 2,722 | Series 2010-103, Class WA, VAR, 5.768%, 08/20/34 | 2,973 | ||||||
| 2,785 | Series 2010-129, Class AW, VAR, 6.153%, 04/20/37 | 3,200 | ||||||
| 3,693 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 4,123 | ||||||
| 5,471 | Series 2010-157, Class OP, PO, 12/20/40 | 4,157 | ||||||
| 3,756 | Series 2011-22, Class WA, 5.947%, 02/20/37 | 4,157 | ||||||
NCUA Guaranteed Notes, | ||||||||
| 7,825 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 7,609 | ||||||
| 3,906 | Series 2010-R3, Class 1A, VAR, 0.823%, 12/08/20 | 3,924 | ||||||
| 1,573 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 1,539 | ||||||
Vendee Mortgage Trust, | ||||||||
| 6,474 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 7,172 | ||||||
| 822 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 926 | ||||||
| 461 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 519 | ||||||
| 903 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 1,038 | ||||||
| 687 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 789 | ||||||
| 1,028,816 | ||||||||
Non-Agency CMO — 25.7% |
| |||||||
ABN Amro Mortgage Corp., | ||||||||
| 91 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 93 | ||||||
| 53 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 54 | ||||||
American General Mortgage Loan Trust, | ||||||||
| 1,639 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,760 | ||||||
| 4,000 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 4,190 | ||||||
| 3,000 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 3,175 | ||||||
| 5,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 5,428 | ||||||
| 2,827 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 2,937 | ||||||
| 1,712 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 | 803 | ||||||
ASG Resecuritization Trust, | ||||||||
| 1,519 | Series 2009-1, Class A60, VAR, 5.348%, 06/26/37 (e) | 1,538 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 2,053 | Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) | 2,103 | ||||||
| 4,907 | Series 2009-3, Class A65, VAR, 5.374%, 03/26/37 (e) | 4,983 | ||||||
| 5,330 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 5,410 | ||||||
| 4,082 | Series 2010-1, Class A85, VAR, 0.661%, 02/27/36 (e) | 3,898 | ||||||
| 9,871 | Series 2010-2, Class A60, VAR, 5.134%, 01/28/37 (e) | 9,870 | ||||||
| 3,600 | Series 2010-3, Class 2A22, VAR, 0.440%, 10/28/36 (e) | 3,546 | ||||||
| 876 | Series 2010-4, Class 2A20, VAR, 0.392%, 11/28/36 (e) | 859 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
| 322 | Series 2003-3, Class APO, PO, 05/25/33 | 225 | ||||||
| 2,467 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 2,500 | ||||||
| 978 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 994 | ||||||
| 847 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 848 | ||||||
| 438 | Series 2003-11, Class PO, PO, 01/25/34 | 309 | ||||||
| 1,132 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 1,195 | ||||||
| 406 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 411 | ||||||
| 1,161 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,198 | ||||||
| 4,397 | Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35 | 861 | ||||||
| 3,879 | Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36 | 694 | ||||||
Banc of America Funding Corp., | ||||||||
| 389 | Series 2004-1, Class PO, PO, 03/25/34 | 312 | ||||||
| 1,679 | Series 2004-3, Class 1A1, 5.500%, 10/25/34 | 1,701 | ||||||
| 174 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 176 | ||||||
| 1,606 | Series 2004-C, Class 1A1, VAR, 5.012%, 12/20/34 | 1,644 | ||||||
| 2,135 | Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35 | 332 | ||||||
| 420 | Series 2005-4, Class 30PO, PO, 08/25/35 | 291 | ||||||
| 1,268 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,238 | ||||||
| 171 | Series 2005-7, Class 30PO, PO, 11/25/35 | 99 | ||||||
| 903 | Series 2005-8, Class 30PO, PO, 01/25/36 | 503 | ||||||
| 1,825 | Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 | 1,803 | ||||||
| 974 | Series 2010-R4, Class 5A1, VAR, 0.411%, 07/26/36 (e) | 944 | ||||||
| 3,585 | Series 2010-R5, Class 5A6, VAR, 0.561%, 05/26/37 (e) | 3,458 | ||||||
| 532 | Series 2010-R7, Class A1, VAR, 0.441%, 06/25/46 (e) (f) (i) | 522 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 161 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 3,775 | Series 2010-R11A, Class A16, VAR, 5.460%, 08/26/35 (e) | 3,896 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
| 2,000 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 2,050 | ||||||
| 498 | Series 2003-3, Class 2A1, VAR, 0.812%, 05/25/18 | 480 | ||||||
| 1,439 | Series 2003-6, Class 2A1, VAR, 0.712%, 08/25/18 | 1,389 | ||||||
| 1,094 | Series 2003-8, Class 2A5, 5.000%, 11/25/18 | 1,141 | ||||||
| 187 | Series 2003-8, Class APO, PO, 11/25/33 | 137 | ||||||
| 178 | Series 2003-9, Class 1A2, PO, 12/25/33 | 130 | ||||||
| 1,612 | Series 2003-A, Class 4A1, VAR, 2.872%, 02/25/33 | 1,620 | ||||||
| 1,099 | Series 2003-C, Class 3A1, VAR, 2.966%, 04/25/33 | 1,124 | ||||||
| 2,311 | Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33 | 2,223 | ||||||
| 4,149 | Series 2004-3, Class 15IO, IO, VAR, 0.235%, 04/25/19 | 21 | ||||||
| 3,000 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 3,081 | ||||||
| 214 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 215 | ||||||
| 245 | Series 2004-4, Class APO, PO, 05/25/34 | 185 | ||||||
| 33,240 | Series 2004-5, Class 15IO, IO, VAR, 0.240%, 06/25/19 | 180 | ||||||
| 365 | Series 2004-6, Class APO, PO, 07/25/34 | 262 | ||||||
| 194 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 203 | ||||||
| 1,614 | Series 2004-C, Class 2A2, VAR, 3.007%, 04/25/34 | 1,618 | ||||||
| 1,440 | Series 2004-J, Class 3A1, VAR, 5.095%, 11/25/34 | 1,362 | ||||||
BCAP LLC Trust, | ||||||||
| 1,649 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 1,657 | ||||||
| 821 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 817 | ||||||
| 2,539 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 2,650 | ||||||
| 2,000 | Series 2009-RR14, Class 3A2, VAR, 2.894%, 08/26/35 (e) | 1,900 | ||||||
| 1,425 | Series 2009-RR14, Class 4A1, VAR, 4.724%, 03/26/36 (e) | 1,420 | ||||||
| 2,378 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 2,414 | ||||||
| 1,805 | Series 2010-RR4, Class 2A1, VAR, 1.011%, 06/26/37 (e) | 1,733 | ||||||
| 1,871 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 1,873 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 3,711 | Series 2010-RR5, Class 2A5, VAR, 5.183%, 04/26/37 (e) | 3,683 | ||||||
| 1,828 | Series 2010-RR6, Class 5A1, VAR, 5.000%, 11/26/37 (e) | 1,817 | ||||||
| 5,505 | Series 2010-RR7, Class 1A5, VAR, 3.051%, 04/26/35 (e) | 5,561 | ||||||
| 11,578 | Series 2010-RR7, Class 2A1, VAR, 5.452%, 07/26/45 (e) | 11,549 | ||||||
| 3,386 | Series 2010-RR7, Class 15A1, VAR, 1.061%, 01/26/36 (e) | 3,166 | ||||||
| 2,123 | Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) | 2,007 | ||||||
| 1,639 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 1,675 | ||||||
| 1,045 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 1,049 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
| 1,131 | Series 2003-4, Class 3A1, VAR, 5.016%, 07/25/33 | 1,152 | ||||||
| 396 | Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 390 | ||||||
| 962 | Series 2004-1, Class 12A1, VAR, 2.864%, 04/25/34 | 885 | ||||||
| 1,572 | Series 2004-2, Class 14A, VAR, 5.138%, 05/25/34 | 1,634 | ||||||
| 2,681 | Series 2005-5, Class A1, VAR, 2.290%, 08/25/35 | 2,581 | ||||||
| 3,354 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 3,103 | ||||||
| 1,075 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.762%, 03/25/35 | 942 | ||||||
| 1,683 | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.250%, 10/25/33 | 1,678 | ||||||
| 579 | Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33 | 338 | ||||||
Chase Mortgage Finance Corp., | ||||||||
| 813 | Series 2003-S10, Class AP, PO, 11/25/18 | 676 | ||||||
| 507 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 522 | ||||||
| 397 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 408 | ||||||
| 793 | Series 2007-A1, Class 2A1, VAR, 2.887%, 02/25/37 | 802 | ||||||
| 1,235 | Series 2007-A1, Class 7A1, VAR, 2.930%, 02/25/37 | 1,235 | ||||||
| 1,416 | Series 2007-A1, Class 9A1, VAR, 3.597%, 02/25/37 | 1,440 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
| 1,101 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 1,124 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 162 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 325 | Series 2003-8, Class APO, PO, 08/25/33 | 191 | ||||||
| 1,441 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,472 | ||||||
| 1,902 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,992 | ||||||
| 1,881 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 1,904 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
| 1,103 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 1,152 | ||||||
| 418 | Series 2003-1, Class PO3, PO, 09/25/33 | 298 | ||||||
| 62 | Series 2003-1, Class WA2, 6.500%, 06/25/31 | 64 | ||||||
| 123 | Series 2003-1, Class WPO2, PO, 06/25/31 | 89 | ||||||
| 158 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 160 | ||||||
| 681 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 703 | ||||||
| 119 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 98 | ||||||
| 111 | Series 2003-UST1, Class PO2, PO, 12/25/18 | 89 | ||||||
| 63 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 53 | ||||||
| 901 | Series 2004-UST1, Class A3, VAR, 2.550%, 08/25/34 | 918 | ||||||
| 1,213 | Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 | 1,251 | ||||||
| 397 | Series 2005-1, Class 2A1A, VAR, 2.751%, 04/25/35 | 271 | ||||||
| 1,564 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 1,565 | ||||||
| 1,158 | Series 2005-5, Class 1A2, VAR, 2.714%, 08/25/35 | 766 | ||||||
| 3,929 | Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 | 3,850 | ||||||
| 2,420 | Series 2009-10, Class 1A1, VAR, 2.712%, 09/25/33 (e) | 2,456 | ||||||
| 2,502 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 2,509 | ||||||
| 2,851 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 2,993 | ||||||
| 1,301 | Series 2010-7, Class 10A1, VAR, 2.739%, 02/25/35 (e) | 1,295 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
| 310 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 306 | ||||||
| 383 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 300 | ||||||
| 362 | Series 2003-J1, Class PO, PO, 10/25/33 | 307 | ||||||
| 1,542 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,548 | ||||||
| 2,373 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 2,391 | ||||||
| 202 | Series 2004-J3, Class 4A1, 4.750%, 04/25/19 | 207 | ||||||
| 484 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 492 | ||||||
| 2,944 | Series 2005-1CB, Class 1A6, IF, IO, 6.838%, 03/25/35 | 375 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 8,968 | Series 2005-20CB, Class 3A8, IF, IO, 4.489%, 07/25/35 | 991 | ||||||
| 7,782 | Series 2005-22T1, Class A2, IF, IO, 4.808%, 06/25/35 | 815 | ||||||
| 417 | Series 2005-26CB, Class A10, IF, 12.576%, 07/25/35 | 417 | ||||||
| 201 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 201 | ||||||
| 355 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 323 | ||||||
| 13,417 | Series 2005-37T1, Class A2, IF, IO, 4.789%, 09/25/35 | 1,633 | ||||||
| 13,104 | Series 2005-54CB, Class 1A2, IF, IO, 4.588%, 11/25/35 | 1,153 | ||||||
| 139 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 137 | ||||||
| 2,054 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 1,759 | ||||||
| 1,517 | Series 2005-57CB, Class 3A2, IF, IO, 4.839%, 12/25/35 | 191 | ||||||
| 918 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 761 | ||||||
| 1,246 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 974 | ||||||
| 5,668 | Series 2005-J1, Class 1A4, IF, IO, 4.839%, 02/25/35 | 582 | ||||||
| 32,682 | Series 2006-7CB, Class 1A2, IF, IO, 5.039%, 05/25/36 | 4,062 | ||||||
| 1,331 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 990 | ||||||
| 2,500 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) | 1,050 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
| 1,570 | Series 2002-36, Class A22, 6.000%, 01/25/33 | 1,581 | ||||||
| 206 | Series 2003-18, Class A12, 5.500%, 07/25/33 | 191 | ||||||
| 955 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 913 | ||||||
| 75 | Series 2003-34, Class A11, 5.250%, 09/25/33 | 75 | ||||||
| 436 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 443 | ||||||
| 2,908 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 2,855 | ||||||
| 212 | Series 2003-44, Class A9, PO, 10/25/33 | 167 | ||||||
| 235 | Series 2003-J10, Class 2A1, 5.000%, 11/25/18 | 240 | ||||||
| 2,193 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 2,226 | ||||||
| 579 | Series 2003-J7, Class 4A3, IF, 9.435%, 08/25/18 | 548 | ||||||
| 302 | Series 2004-3, Class PO, PO, 04/25/34 | 219 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 163 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 2,574 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 2,688 | ||||||
| 275 | Series 2004-7, Class 2A1, VAR, 2.392%, 06/25/34 | 258 | ||||||
| 1,697 | Series 2004-13, Class 1A4, 5.500%, 08/25/34 | 1,771 | ||||||
| 1,100 | Series 2004-28R, Class A1, 5.500%, 08/25/33 | 1,108 | ||||||
| 412 | Series 2004-HYB1, Class 2A, VAR, 2.889%, 05/20/34 | 374 | ||||||
| 1,516 | Series 2004-HYB3, Class 2A, VAR, 2.649%, 06/20/34 | 1,292 | ||||||
| 1,066 | Series 2004-HYB6, Class A3, VAR, 3.089%, 11/20/34 | 933 | ||||||
| 618 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 637 | ||||||
| 1,166 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,143 | ||||||
| 2,760 | Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 | 2,218 | ||||||
| 8,122 | Series 2007-4, Class 1A52, IF, IO, 5.139%, 05/25/37 | 958 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
| 3,554 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 3,590 | ||||||
| 1,314 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 1,322 | ||||||
| 1,150 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,058 | ||||||
| 2,551 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 2,589 | ||||||
| 1,307 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 1,359 | ||||||
| 5,264 | Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) | 5,231 | ||||||
| 829 | Series 2010-12R, Class 14A1, VAR, 4.500%, 09/26/46 (e) | 834 | ||||||
| 1,541 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 1,559 | ||||||
| 1,487 | Series 2010-15R, Class 7A1, VAR, 5.340%, 10/26/37 (e) | 1,506 | ||||||
| 500 | Series 2010-15R, Class 7A2, VAR, 5.340%, 10/26/37 (e) | 459 | ||||||
| 3,600 | Series 2011-1R, Class A1, VAR, 1.260%, 02/27/47 (e) | 3,600 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 1,424 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,238 | ||||||
| 3,655 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 3,579 | ||||||
| 2,159 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 2,190 | ||||||
| 990 | Series 2003-29, Class 1A1, 6.500%, 12/25/33 | 1,035 | ||||||
| 657 | Series 2003-29, Class 5A1, 7.000%, 12/25/33 | 670 | ||||||
| 1,517 | Series 2003-AR15, Class 3A1, VAR, 2.811%, 06/25/33 | 1,503 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 1,697 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 1,798 | ||||||
| 1,699 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 1,760 | ||||||
| 1,765 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 1,852 | ||||||
| 2,142 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 2,178 | ||||||
| 3,335 | Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35 | 485 | ||||||
| 2,398 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 306 | ||||||
| 1,065 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.602%, 02/25/20 | 1,081 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
| 730 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 732 | ||||||
| 2,180 | Series 2010-RS2, Class A1, VAR, 1.510%, 06/28/47 (e) | 2,180 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
| 1,598 | Series 2004-AA4, Class A1, VAR, 2.544%, 10/25/34 | 1,442 | ||||||
| 484 | Series 2005-AA5, Class 1A2, VAR, 2.376%, 07/25/35 | 176 | ||||||
| 922 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 711 | ||||||
| 12,481 | Series 2007-FA4, Class 1A2, IF, IO, 5.389%, 08/25/37 | 1,830 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
| 334 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 345 | ||||||
| 464 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 478 | ||||||
| 2,058 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 1,911 | ||||||
| 706 | Series 2004-AR2, Class 2A1, VAR, 2.880%, 05/25/34 | 683 | ||||||
| 728 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 (m) | 720 | ||||||
| 685 | Series 2004-AR7, Class 2A2, VAR, 2.742%, 02/25/35 | 632 | ||||||
| 1,651 | Series 2005-AR1, Class 2A2, VAR, 2.801%, 04/25/35 | 1,623 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
| 1,067 | Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 | 1,075 | ||||||
| 3,058 | Series 2003-AR2, Class 2A4, VAR, 3.318%, 12/19/33 | 3,082 | ||||||
| 252 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 264 | ||||||
| 1,442 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 1,425 | ||||||
| 271 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 274 | ||||||
| 1,595 | Series 2004-J1, Class A20, 5.500%, 04/25/34 | 1,637 | ||||||
| 287 | Series 2004-J2, Class A2, VAR, 0.762%, 06/25/34 | 284 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 164 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 2,784 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 2,888 | ||||||
| 1,714 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 1,739 | ||||||
| 646 | Series 2005-AR3, Class 3A3, VAR, 3.225%, 06/19/35 | 631 | ||||||
| 3,424 | Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 | 2,774 | ||||||
| 3,600 | Series 2010-1, Class A, 4.250%, 07/25/40 (e) | 3,648 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
| 753 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 661 | ||||||
| 374 | Series 2004-4, Class 1AF, VAR, 0.662%, 06/25/34 (e) | 320 | ||||||
| 746 | Series 2005-RP2, Class 1AF, VAR, 0.611%, 03/25/35 (e) | 641 | ||||||
| 1,683 | Series 2005-RP3, Class 1AF, VAR, 0.612%, 09/25/35 (e) | 1,413 | ||||||
| 4,033 | Series 2006-RP2, Class 1AS2, IF, IO, 5.782%, 04/25/36 (e) | 588 | ||||||
GSR Mortgage Loan Trust, | ||||||||
| 691 | Series 2003-13, Class 1A1, VAR, 4.459%, 10/25/33 | 709 | ||||||
| 272 | Series 2003-6F, Class A2, VAR, 0.662%, 09/25/32 | 255 | ||||||
| 1,488 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 1,461 | ||||||
| 178 | Series 2004-3F, Class 3A8, 13.500%, 02/25/34 | 178 | ||||||
| 3,491 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 3,555 | ||||||
| 183 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 188 | ||||||
| 305 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 300 | ||||||
| 1,294 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 1,304 | ||||||
| 2,409 | Series 2005-5F, Class 8A3, VAR, 0.762%, 06/25/35 | 2,206 | ||||||
| 5,004 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 4,591 | ||||||
| 1,199 | Series 2006-1F, Class 1AP, PO, 02/25/36 | 737 | ||||||
| 7,934 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 7,174 | ||||||
| 3,100 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 2,945 | ||||||
| 695 | Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.782%, 04/25/35 | 453 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
| 1,565 | Series 2001-8, Class A6, 6.440%, 01/25/32 | 1,575 | ||||||
| 2,764 | Series 2006-2, Class 2A1, VAR, 0.611%, 08/25/36 | 2,565 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
| 10,759 | Series 2005-AR11, Class A7, IO, VAR, 0.279%, 08/25/35 | 94 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 363 | Series 2006-AR3, Class 2A1A, VAR, 3.696%, 03/25/36 | 205 | ||||||
JP Morgan Mortgage Trust, | ||||||||
| 868 | Series 2004-A3, Class 4A1, VAR, 4.290%, 07/25/34 | 876 | ||||||
| 926 | Series 2004-A4, Class 1A1, VAR, 4.533%, 09/25/34 | 951 | ||||||
| 682 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 705 | ||||||
| 2,000 | Series 2005-A1, Class 3A4, VAR, 5.012%, 02/25/35 | 1,963 | ||||||
| 1,479 | Series 2005-A1, Class 5A1, VAR, 4.478%, 02/25/35 | 1,513 | ||||||
| 3,416 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 3,402 | ||||||
| 1,501 | Series 2006-A2, Class 5A3, VAR, 2.974%, 11/25/33 | 1,514 | ||||||
| 1,217 | Series 2006-A3, Class 6A1, VAR, 2.994%, 08/25/34 | 1,153 | ||||||
| 1,080 | Series 2007-A1, Class 5A2, VAR, 2.968%, 07/25/35 | 1,044 | ||||||
| 1,496 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.305%, 08/26/35 (e) | 1,507 | ||||||
| 60 | Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18 | 58 | ||||||
Lehman Mortgage Trust, | ||||||||
| 1,465 | Series 2006-2, Class 1A1, VAR, 6.448%, 04/25/36 | 1,458 | ||||||
| 851 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 704 | ||||||
| 1,500 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,140 | ||||||
LVII Resecuritization Trust, | ||||||||
| 476 | Series 2009-1, Class A1, VAR, 5.949%, 11/27/37 (e) | 486 | ||||||
| 3,810 | Series 2009-2, Class A3, VAR, 2.898%, 09/27/37 (e) | 3,724 | ||||||
| 2,700 | Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e) | 2,646 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
| 283 | Series 2004-3, Class 4A2, VAR, 2.287%, 04/25/34 | 258 | ||||||
| 63 | Series 2004-4, Class 2A1, VAR, 2.426%, 05/25/34 | 38 | ||||||
| 948 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 927 | ||||||
| 4,081 | Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 4,106 | ||||||
| 322 | Series 2004-15, Class 3A1, VAR, 3.278%, 12/25/34 | 274 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 165 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
MASTR Alternative Loans Trust, | ||||||||
| 543 | Series 2003-4, Class 2A1, 6.250%, 06/25/33 | 520 | ||||||
| 548 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 555 | ||||||
| 1,379 | Series 2003-8, Class 5A1, 5.000%, 11/25/18 | 1,408 | ||||||
| 282 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 280 | ||||||
| 195 | Series 2004-1, Class 30PO, PO, 02/25/34 | 111 | ||||||
| 938 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 978 | ||||||
| 388 | Series 2004-3, Class 30PO, PO, 04/25/34 | 285 | ||||||
| 428 | Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34 | 68 | ||||||
| 470 | Series 2004-5, Class 30PO, PO, 06/25/34 | 328 | ||||||
| 218 | Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34 | 41 | ||||||
| 253 | Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34 | 46 | ||||||
| 2,365 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 2,417 | ||||||
| 216 | Series 2004-7, Class 30PO, PO, 08/25/34 | 155 | ||||||
| 840 | Series 2004-7, Class AX1, IO, 5.500%, 08/25/34 | 147 | ||||||
| 814 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 829 | ||||||
| 3,585 | Series 2005-3, Class AX2, IO, 6.000%, 04/25/35 | 660 | ||||||
MASTR Asset Securitization Trust, | ||||||||
| 751 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 765 | ||||||
| 297 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 301 | ||||||
| 1,237 | Series 2003-3, Class 3A18, 5.500%, 04/25/33 | 1,244 | ||||||
| 230 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 239 | ||||||
| 256 | Series 2003-4, Class 5A1, 5.500%, 05/25/33 | 266 | ||||||
| 139 | Series 2003-7, Class 4A1, 4.250%, 09/25/33 | 139 | ||||||
| 419 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 434 | ||||||
| 222 | Series 2003-8, Class 3A2, VAR, 0.662%, 09/25/33 | 222 | ||||||
| 531 | Series 2003-9, Class 15PO, PO, 10/25/18 | 446 | ||||||
| 198 | Series 2003-10, Class 15PO, PO, 11/25/18 | 165 | ||||||
| 125 | Series 2003-11, Class 15PO, PO, 12/25/18 | 102 | ||||||
| 872 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 886 | ||||||
| 184 | Series 2004-1, Class 30PO, PO, 02/25/34 | 126 | ||||||
| 209 | Series 2004-3, Class PO, PO, 03/25/34 | 153 | ||||||
| 608 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 628 | ||||||
| 1,042 | Series 2004-6, Class 2A9, 5.250%, 11/26/16 | 1,047 | ||||||
| 361 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 369 | ||||||
| 374 | Series 2004-8, Class PO, PO, 08/25/19 | 310 | ||||||
| 141 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 139 | ||||||
| 1,585 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 1,683 | ||||||
| 1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 915 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 4,410 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.611%, 05/25/35 (e) | 3,654 | ||||||
| 3,719 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 2,529 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
| 409 | Series 2003-A4, Class 2A, VAR, 2.866%, 07/25/33 | 419 | ||||||
| 1,340 | Series 2003-A5, Class 2A6, VAR, 2.528%, 08/25/33 | 1,290 | ||||||
| 1,800 | Series 2004-A4, Class A2, VAR, 2.786%, 08/25/34 | 1,813 | ||||||
| 261 | Series 2005-A1, Class 3A, VAR, 4.916%, 12/25/34 | 248 | ||||||
Merrill Lynch Trust, | ||||||||
| 1 | Series 7, Class B, PO, 04/20/18 | 1 | ||||||
| 61 | Series 47, Class Z, 8.985%, 10/20/20 | 68 | ||||||
| 1,784 | Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 1,739 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
| 1,131 | Series 2003-A, Class 2A2, VAR, 1.354%, 03/25/28 | 1,019 | ||||||
| 994 | Series 2003-E, Class A1, VAR, 0.571%, 10/25/28 | 936 | ||||||
| 1,385 | Series 2004-D, Class A2, VAR, 0.894%, 08/25/29 | 1,318 | ||||||
| 1,151 | Series 2004-E, Class A2A, VAR, 0.813%, 11/25/29 | 1,026 | ||||||
| 2,123 | Morgan Stanley Mortgage Loan Trust, | 2,256 | ||||||
| — | (h) | Morgan Stanley Mortgage Trust, Series 35, | 12 | |||||
MortgageIT Trust, | ||||||||
| 831 | Series 2005-1, Class 1A1, VAR, 0.581%, 02/25/35 | 645 | ||||||
| 321 | Series 2005-5, Class A1, VAR, 0.522%, 12/25/35 | 245 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
| 375 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 386 | ||||||
| 88 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 93 | ||||||
| 45 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 47 | ||||||
| 76 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 78 | ||||||
| 842 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 852 | ||||||
Prime Mortgage Trust, | ||||||||
| 224 | Series 2004-1, Class 2A3, 5.250%, 08/25/34 | 228 | ||||||
| 1,967 | Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 2,074 | ||||||
| 868 | Series 2005-4, Class 2PO, PO, 10/25/35 | 477 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 166 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
RBSSP Resecuritization Trust, | ||||||||
| 1,415 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 1,492 | ||||||
| 1,969 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 1,989 | ||||||
| 1,508 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 1,561 | ||||||
| 1,638 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 1,687 | ||||||
| 2,424 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 2,555 | ||||||
| 2,812 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 2,848 | ||||||
| 1,671 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 1,699 | ||||||
| 3,802 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 3,821 | ||||||
| 1,982 | Series 2010-9, Class 1A1, VAR, 0.446%, 07/26/37 (e) (f) (i) | 1,785 | ||||||
| 2,600 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 2,580 | ||||||
Residential Accredit Loans, Inc., | ||||||||
| 404 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 413 | ||||||
| 107 | Series 2002-QS16, Class A3, IF, 16.076%, 10/25/17 | 117 | ||||||
| 1,038 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 1,023 | ||||||
| 246 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 236 | ||||||
| 368 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 365 | ||||||
| 990 | Series 2003-QS12, Class A2A, IF, IO, 7.338%, 06/25/18 | 136 | ||||||
| 434 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 46 | ||||||
| 1,362 | Series 2003-QS13, Class A5, VAR, 0.912%, 07/25/33 | 1,101 | ||||||
| 8,086 | Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33 | 171 | ||||||
| 1,147 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,167 | ||||||
| 1,103 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,138 | ||||||
| 1,028 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 1,074 | ||||||
| 317 | Series 2003-QS3, Class A2, IF, 15.925%, 02/25/18 | 342 | ||||||
| 603 | Series 2003-QS3, Class A8, IF, IO, 7.338%, 02/25/18 | 71 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 799 | Series 2003-QS9, Class A3, IF, IO, 7.288%, 05/25/18 | 114 | ||||||
| 1,411 | Series 2004-QA4, Class NB3, VAR, 5.361%, 09/25/34 | 1,435 | ||||||
| 432 | Series 2004-QA6, Class NB2, VAR, 3.159%, 12/26/34 | 347 | ||||||
| 928 | Series 2004-QS10, Class A6, 6.000%, 07/25/34 | 872 | ||||||
| 1,448 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 1,265 | ||||||
| 595 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 596 | ||||||
| 330 | Series 2005-QA10, Class A31, VAR, 3.818%, 09/25/35 | 236 | ||||||
| 2,000 | Series 2005-QA6, Class A32, VAR, 5.501%, 05/25/35 | 1,441 | ||||||
| 712 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 499 | ||||||
Residential Asset Securitization Trust, | ||||||||
| 143 | Series 2002-A13, Class A4, 5.250%, 12/25/17 | 145 | ||||||
| 693 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 594 | ||||||
| 201 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 209 | ||||||
| 821 | Series 2003-A5, Class A1, 5.500%, 06/25/33 | 834 | ||||||
| 1,126 | Series 2004-IP2, Class 1A1, VAR, 2.711%, 12/25/34 | 1,053 | ||||||
| 3,921 | Series 2005-A16, Class AX, IO, 5.750%, 02/25/36 | 734 | ||||||
| 7,403 | Series 2005-A2, Class A4, IF, IO, 4.789%, 03/25/35 | 891 | ||||||
| 1,550 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,004 | ||||||
| 942 | Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 718 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
| 1,554 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,586 | ||||||
| 398 | Series 2003-S14, Class A4, PO, 07/25/18 | 381 | ||||||
| 1,030 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 1,057 | ||||||
| 977 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 999 | ||||||
| 1,925 | Series 2003-S4, Class A4, 5.750%, 03/25/33 | 2,033 | ||||||
| 603 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 500 | ||||||
| 395 | Series 2004-S6, Class 3A5, 4.500%, 06/25/19 | 395 | ||||||
| 932 | Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 | 717 | ||||||
Residential Funding Securities LLC, | ||||||||
| 54 | Series 2002-RM1, Class API, PO, 12/25/17 | 40 | ||||||
| 87 | Series 2003-RM2, Class AP-3, PO, 05/25/33 | 62 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
| 1,928 | Series 2003-HYB1, Class A, VAR, 3.199%, 09/25/33 | 1,965 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 167 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 132 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 97 | ||||||
Sequoia Mortgage Trust, | ||||||||
| 1,904 | Series 2003-1, Class 1A, VAR, 0.642%, 04/20/33 | 1,835 | ||||||
| 1,261 | Series 2004-8, Class A1, VAR, 0.612%, 09/20/34 | 1,170 | ||||||
| 1,968 | Series 2004-8, Class A2, VAR, 0.830%, 09/20/34 | 1,806 | ||||||
| 1,631 | Series 2004-10, Class A1A, VAR, 0.572%, 11/20/34 | 1,538 | ||||||
| 4,000 | Station Place Securitization Trust, Series 2010-1, Class A, VAR, 1.263%, 12/20/42 | 4,000 | ||||||
| 2,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 | 2,860 | ||||||
Structured Asset Securities Corp., | ||||||||
| 73 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 54 | ||||||
| 386 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 398 | ||||||
| 802 | Series 2003-16, Class A3, VAR, 0.762%, 06/25/33 | 774 | ||||||
| 87 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 89 | ||||||
| 806 | Series 2003-32, Class 1A1, VAR, 5.190%, 11/25/33 | 826 | ||||||
| 403 | Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 | 167 | ||||||
| 1,373 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 1,397 | ||||||
| 688 | Series 2003-33H, Class 1APO, PO, 10/25/33 | 502 | ||||||
| 6,002 | Series 2003-37A, Class 2A, VAR, 5.012%, 12/25/33 | 6,213 | ||||||
| 2,743 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m) | 2,772 | ||||||
| 3,300 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 3,287 | ||||||
| 917 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 902 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
| 290 | Series 2003-4, Class A1, VAR, 0.581%, 09/25/43 | 270 | ||||||
| 266 | Series 2004-1, Class II2A, VAR, 1.819%, 03/25/44 | 249 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
| 1,096 | Series 2002-S5, Class B3, 6.389%, 09/25/32 | 751 | ||||||
| 191 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 196 | ||||||
| 1,750 | Series 2003-AR7, Class A7, VAR, 2.674%, 08/25/33 | 1,751 | ||||||
| 1,246 | Series 2003-AR8, Class A, VAR, 2.717%, 08/25/33 | 1,264 | ||||||
| 4,805 | Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 | 4,767 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 1,112 | Series 2003-AR9, Class 2A, VAR, 2.780%, 09/25/33 | 1,126 | ||||||
| 2,100 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 2,167 | ||||||
| 1,060 | Series 2003-S10, Class A5, 5.000%, 10/25/18 | 1,064 | ||||||
| 160 | Series 2003-S10, Class A6, PO, 10/25/18 | 159 | ||||||
| 615 | Series 2003-S11, Class 2A5, IF, 16.331%, 11/25/33 | 646 | ||||||
| 327 | Series 2003-S7, Class A1, 4.500%, 08/25/18 | 334 | ||||||
| 1,377 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 1,390 | ||||||
| 1,124 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,159 | ||||||
| 4,424 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 4,429 | ||||||
| 213 | Series 2003-S9, Class P, PO, 10/25/33 | 152 | ||||||
| 300 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 295 | ||||||
| 2,030 | Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 | 1,998 | ||||||
| 1,842 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 1,938 | ||||||
| 498 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 521 | ||||||
| 852 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 884 | ||||||
| 1,263 | Series 2004-S1, Class 1A3, VAR, 0.662%, 03/25/34 | 1,267 | ||||||
| 3,476 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 3,474 | ||||||
| 455 | Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36 | 264 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
| 489 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 462 | ||||||
| 12,805 | Series 2005-2, Class 1A4, IF, IO, 4.789%, 04/25/35 | 1,049 | ||||||
| 1,428 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,251 | ||||||
| 431 | Series 2005-4, Class DP, PO, 06/25/20 | 302 | ||||||
| 1,758 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,554 | ||||||
| 15,868 | Series 2005-11, Class A4, IF, IO, 4.689%, 01/25/36 | 1,804 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
| 163 | Series 2002-MS12, Class A, 6.500%, 05/25/32 | 171 | ||||||
| 1,186 | Series 2004-RA2, Class 2A, 7.000%, 07/25/33 | 1,221 | ||||||
| 165 | Series 2004-RA4, Class 1P, PO, 04/25/19 | 146 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
| 818 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 845 | ||||||
| 2,768 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 2,768 | ||||||
| 487 | Series 2003-11, Class 1APO, PO, 10/25/18 | 408 | ||||||
| 877 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 891 | ||||||
| 197 | Series 2003-14, Class 1A1, 4.750%, 12/25/18 | 201 | ||||||
| 1,645 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 1,693 | ||||||
| 463 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 473 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 168 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 13,146 | Series 2003-16, Class 2AIO, IO, VAR, 0.115%, 12/25/18 | 34 | ||||||
| 836 | Series 2003-17, Class APO, PO, 01/25/34 | 608 | ||||||
| 1,068 | Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 | 1,076 | ||||||
| 293 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 301 | ||||||
| 470 | Series 2004-1, Class A11, PO, 02/25/34 | 318 | ||||||
| 463 | Series 2004-2, Class APO, PO, 01/25/19 | 384 | ||||||
| 387 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 393 | ||||||
| 1,336 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,398 | ||||||
| 548 | Series 2004-B, Class A1, VAR, 4.930%, 02/25/34 | 569 | ||||||
| 1,236 | Series 2004-BB, Class A4, VAR, 2.746%, 01/25/35 | 1,241 | ||||||
| 2,435 | Series 2004-EE, Class 2A1, VAR, 2.853%, 12/25/34 | 2,383 | ||||||
| 304 | Series 2004-EE, Class 2A2, VAR, 2.853%, 12/25/34 | 310 | ||||||
| 1,238 | Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 | 1,237 | ||||||
| 1,684 | Series 2004-I, Class 1A1, VAR, 2.892%, 07/25/34 | 1,758 | ||||||
| 2,553 | Series 2004-P, Class 2A1, VAR, 2.910%, 09/25/34 | 2,587 | ||||||
| 213 | Series 2004-Q, Class 1A3, VAR, 4.879%, 09/25/34 | 200 | ||||||
| 3,683 | Series 2004-U, Class A1, VAR, 2.920%, 10/25/34 | 3,682 | ||||||
| 1,756 | Series 2004-V, Class 1A1, VAR, 2.862%, 10/25/34 | 1,749 | ||||||
| 971 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 1,000 | ||||||
| 525 | Series 2005-9, Class 1APO, PO, 10/25/35 | 349 | ||||||
| 1,546 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 1,615 | ||||||
| 170 | Series 2005-15, Class APO, PO, 12/25/20 | 139 | ||||||
| 751 | Series 2005-AR16, Class 2A1, VAR, 2.764%, 10/25/35 | 713 | ||||||
| 901 | Series 2005-AR8, Class 2A1, VAR, 2.849%, 06/25/35 | 896 | ||||||
| 2,200 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 2,094 | ||||||
| 1,562 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 1,490 | ||||||
| 571,540 | ||||||||
Total Collateralized Mortgage Obligations | 1,600,356 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — 1.0% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
| 700 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 734 | ||||||
| 800 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 827 | ||||||
| 500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 537 | ||||||
| 1,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 1,093 | ||||||
| 2,000 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,172 | ||||||
| 500 | Bear Stearns Commercial Mortgage Securities, Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 545 | ||||||
| 1,446 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 1,515 | ||||||
| 4,801 | FDIC Structured Sale Guaranteed Notes, | 4,800 | ||||||
| 32,168 | GS Mortgage Securities Corp. II, | 724 | ||||||
| 108,920 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class X1, IO, VAR, 0.086%, 06/12/43 | 780 | ||||||
| 70,831 | LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class XCL, IO, VAR, 0.113%, 02/15/41 (e) | 719 | ||||||
| 500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.659%, 05/12/39 | 548 | ||||||
| 250 | Morgan Stanley Capital I, Series 2007-T27, | 272 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
| 1,607 | 3.000%, 07/17/56 | 1,612 | ||||||
| 4,500 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 4,782 | ||||||
Total Commercial Mortgage-Backed Securities | 21,660 | |||||||
| Mortgage Pass-Through Securities — 20.4% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 225 | ARM, 2.455%, 03/01/35 | 236 | ||||||
| 324 | ARM, 2.480%, 12/01/33 | 339 | ||||||
| 395 | ARM, 2.629%, 04/01/34 | 411 | ||||||
| 478 | ARM, 2.724%, 12/01/35 | 501 | ||||||
| 155 | ARM, 3.446%, 07/01/37 | 163 | ||||||
| 751 | ARM, 3.642%, 03/01/36 | 792 | ||||||
| 459 | ARM, 3.779%, 11/01/36 | 483 | ||||||
| 464 | ARM, 3.855%, 03/01/36 | 487 | ||||||
| 86 | ARM, 4.019%, 01/01/30 | 90 | ||||||
| 455 | ARM, 5.287%, 05/01/38 | 481 | ||||||
| 598 | ARM, 5.516%, 05/01/36 | 629 | ||||||
| 538 | ARM, 5.621%, 04/01/38 | 570 | ||||||
| 278 | ARM, 5.771%, 05/01/37 | 296 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 169 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
| 1,642 | ARM, 5.804%, 10/01/36 | 1,728 | ||||||
| 706 | ARM, 5.836%, 11/01/36 | 748 | ||||||
| 280 | ARM, 5.865%, 02/01/37 | 297 | ||||||
| 2,541 | ARM, 6.005%, 11/01/36 | 2,712 | ||||||
| 1,034 | ARM, 6.018%, 06/01/36 | 1,107 | ||||||
| 232 | ARM, 6.024%, 02/01/37 | 245 | ||||||
| 611 | ARM, 6.026%, 12/01/36 | 647 | ||||||
| 378 | ARM, 6.054%, 10/01/37 | 396 | ||||||
| 258 | ARM, 6.055%, 10/01/36 | 277 | ||||||
| 491 | ARM, 6.060%, 02/01/37 | 518 | ||||||
| 695 | ARM, 6.229%, 09/01/37 | 740 | ||||||
| 1,761 | 6.230%, 09/01/36 - 03/01/37 | 1,849 | ||||||
| 383 | ARM, 6.294%, 10/01/36 | 402 | ||||||
| 331 | ARM, 6.405%, 02/01/37 | 355 | ||||||
| 717 | ARM, 6.674%, 10/01/36 | 751 | ||||||
| 1,017 | ARM, 6.680%, 11/01/36 | 1,091 | ||||||
| 427 | ARM, 6.743%, 08/01/36 | 448 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
| 287 | 3.500%, 05/01/19 | 296 | ||||||
| 7,449 | 4.000%, 06/01/13 - 06/01/19 (m) | 7,748 | ||||||
| 2,921 | 4.500%, 07/01/14 - 10/01/18 | 3,050 | ||||||
| 466 | 5.000%, 12/01/18 | 500 | ||||||
| 3,409 | 5.500%, 06/01/17 - 02/01/23 | 3,680 | ||||||
| 4,616 | 6.000%, 06/01/17 - 03/01/22 | 5,032 | ||||||
| 1,047 | 6.500%, 08/01/12 - 03/01/22 | 1,141 | ||||||
| 498 | 7.000%, 01/01/17 - 07/01/17 | 540 | ||||||
| 46 | 7.500%, 08/01/11 - 12/01/15 | 47 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
| 6,000 | 5.500%, 04/01/27 - 03/01/28 | 6,434 | ||||||
| 1,306 | 6.000%, 01/01/14 - 02/01/24 | 1,440 | ||||||
| 2,346 | 6.500%, 05/01/22 - 01/01/28 | 2,611 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
| 2,180 | 4.000%, 10/01/33 | 2,173 | ||||||
| 13,878 | 5.000%, 05/01/36 - 08/01/40 | 14,551 | ||||||
| 5,296 | 5.500%, 10/01/33 - 07/01/35 | 5,710 | ||||||
| 1,224 | 6.000%, 11/01/28 - 12/01/33 | 1,346 | ||||||
| 9,036 | 6.500%, 05/01/24 - 03/01/38 (m) | 10,204 | ||||||
| 1,989 | 7.000%, 07/01/29 - 10/01/36 | 2,274 | ||||||
| 331 | 7.500%, 09/01/38 | 377 | ||||||
| 53 | 8.500%, 08/01/30 | 63 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
| 1,963 | 7.500%, 01/01/32 - 12/01/36 | 2,270 | ||||||
| 1,334 | 10.000%, 10/01/30 | 1,575 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
| 7,252 | 5.500%, 02/01/18 - 11/01/35 | 7,681 | ||||||
| 8,970 | 6.500%, 11/01/36 - 10/17/38 | 9,819 | ||||||
| 722 | 7.000%, 12/01/14 - 08/01/47 | 799 | ||||||
| 53 | 7.500%, 10/01/37 | 60 | ||||||
| 131 | 10.500%, 07/20/21 | 147 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
| 11 | 7.500%, 03/01/17 - 05/01/17 | 12 | ||||||
| 10 | 8.750%, 06/01/17 | 11 | ||||||
| 5 | 10.500%, 05/01/19 | 6 | ||||||
| 12 | 12.000%, 08/01/15 - 07/01/19 | 13 | ||||||
Federal National Mortgage Association, | ||||||||
| 769 | ARM, 1.695%, 08/01/34 | 786 | ||||||
| 368 | ARM, 1.909%, 01/01/33 | 377 | ||||||
| 3,945 | ARM, 2.034%, 01/01/35 (m) | 4,105 | ||||||
| 342 | ARM, 2.041%, 02/01/35 | 356 | ||||||
| 622 | ARM, 2.044%, 02/01/35 | 647 | ||||||
| 23 | ARM, 2.079%, 03/01/19 | 23 | ||||||
| 1,337 | ARM, 2.244%, 05/01/35 | 1,384 | ||||||
| 455 | ARM, 2.270%, 01/01/36 | 470 | ||||||
| 182 | ARM, 2.402%, 11/01/33 | 190 | ||||||
| 255 | ARM, 2.413%, 04/01/34 | 267 | ||||||
| 387 | ARM, 2.416%, 06/01/35 | 407 | ||||||
| 468 | ARM, 2.426%, 10/01/34 | 489 | ||||||
| 173 | ARM, 2.438%, 01/01/34 | 181 | ||||||
| 688 | ARM, 2.460%, 11/01/33 | 721 | ||||||
| 503 | ARM, 2.471%, 06/01/34 | 527 | ||||||
| 207 | ARM, 2.477%, 05/01/35 | 217 | ||||||
| 1,381 | ARM, 2.556%, 04/01/35 | 1,450 | ||||||
| 509 | ARM, 2.577%, 05/01/34 | 533 | ||||||
| 547 | ARM, 2.608%, 02/01/34 | 572 | ||||||
| 899 | ARM, 2.620%, 07/01/33 | 945 | ||||||
| 327 | ARM, 2.637%, 09/01/35 | 344 | ||||||
| 415 | ARM, 2.657%, 10/01/34 | 437 | ||||||
| 615 | ARM, 2.663%, 10/01/34 | 645 | ||||||
| 567 | ARM, 2.670%, 10/01/34 | 597 | ||||||
| 181 | ARM, 2.735%, 05/01/35 | 190 | ||||||
| 390 | ARM, 2.787%, 09/01/34 | 410 | ||||||
| 544 | ARM, 2.926%, 08/01/34 | 570 | ||||||
| 7,755 | ARM, 3.054%, 03/01/36 | 8,110 | ||||||
| 512 | ARM, 3.060%, 09/01/33 | 537 | ||||||
| 980 | ARM, 3.158%, 04/01/35 | 1,026 | ||||||
| 36 | ARM, 3.328%, 09/01/27 | 36 | ||||||
| 453 | ARM, 3.694%, 08/01/34 | 475 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 170 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
| 131 | ARM, 3.983%, 03/01/29 | 135 | ||||||
| 308 | ARM, 4.186%, 04/01/34 | 317 | ||||||
| 833 | ARM, 4.936%, 07/01/33 | 882 | ||||||
| 936 | ARM, 5.149%, 10/01/34 | 983 | ||||||
| 733 | ARM, 5.200%, 09/01/36 | 772 | ||||||
| 534 | ARM, 5.282%, 01/01/38 | 567 | ||||||
| 281 | ARM, 5.540%, 07/01/37 | 299 | ||||||
| 267 | ARM, 5.586%, 12/01/36 | 282 | ||||||
| 5,632 | ARM, 5.696%, 01/01/23 | 6,047 | ||||||
| 1,224 | ARM, 5.783%, 12/01/37 | 1,300 | ||||||
| 736 | ARM, 5.850%, 12/01/36 | 779 | ||||||
| 542 | ARM, 5.855%, 11/01/36 | 574 | ||||||
| 598 | ARM, 5.876%, 07/01/36 | 633 | ||||||
| 1,354 | ARM, 5.937%, 07/01/37 | 1,430 | ||||||
| 401 | ARM, 5.938%, 10/01/36 | 424 | ||||||
| 525 | ARM, 6.032%, 08/01/36 | 555 | ||||||
| 718 | ARM, 6.167%, 11/01/37 | 760 | ||||||
| 1,100 | ARM, 6.224%, 06/01/36 | 1,152 | ||||||
| 534 | ARM, 6.225%, 10/01/36 | 562 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
| 1,437 | 3.500%, 08/01/18 | 1,483 | ||||||
| 11,646 | 4.000%, 07/01/18 - 12/01/18 (m) | 12,191 | ||||||
| 5,734 | 4.500%, 07/01/18 - 09/01/20 | 6,069 | ||||||
| 2,865 | 5.000%, 12/01/16 - 07/01/20 | 3,075 | ||||||
| 10,143 | 5.500%, 11/01/18 - 11/01/23 | 10,978 | ||||||
| 13,555 | 6.000%, 06/01/16 - 07/01/24 | 14,851 | ||||||
| 3,368 | 6.500%, 09/01/13 - 02/01/24 | 3,699 | ||||||
| 1,885 | 7.000%, 12/01/16 - 08/01/21 | 2,075 | ||||||
| 123 | 7.500%, 03/01/17 - 10/01/17 | 136 | ||||||
| 115 | 8.000%, 04/01/11 - 01/01/16 | 123 | ||||||
| 6 | 8.500%, 09/01/11 | 6 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
| 8,911 | 3.500%, 12/01/30 | 8,663 | ||||||
| 980 | 5.500%, 02/01/23 | 1,065 | ||||||
| 11,064 | 6.000%, 02/01/14 - 09/01/29 | 12,051 | ||||||
| 3,359 | 6.500%, 06/01/16 - 12/01/27 | 3,733 | ||||||
| 81 | 7.500%, 09/01/21 | 94 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
| 87 | 6.000%, 09/01/33 | 95 | ||||||
| 962 | 6.500%, 02/01/29 - 03/01/29 | 1,093 | ||||||
| 280 | 7.000%, 10/01/28 - 02/01/33 | 323 | ||||||
| 85 | 8.000%, 06/01/28 | 99 | ||||||
| 23 | 8.500%, 03/01/30 - 06/01/30 | 27 | ||||||
| 395 | 9.000%, 05/01/18 - 06/01/31 | 459 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 17 | 10.000%, 07/01/19 | 18 | ||||||
| 16 | 10.500%, 11/01/18 | 18 | ||||||
| 33 | 11.000%, 04/01/19 | 38 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
| 4,726 | 4.000%, 08/01/33 - 04/01/34 | 4,712 | ||||||
| 3,357 | 4.500%, 05/01/29 - 09/01/34 | 3,451 | ||||||
| 15,532 | 5.000%, 05/01/33 - 08/01/40 | 16,346 | ||||||
| 19,402 | 5.500%, 11/01/32 - 10/01/39 | 20,910 | ||||||
| 6,669 | 6.000%, 12/01/28 - 09/01/36 | 7,333 | ||||||
| 34 | 6.250%, 07/01/23 | 37 | ||||||
| 25,760 | 6.500%, 11/01/29 - 10/01/38 | 28,917 | ||||||
| 10,903 | 7.000%, 04/01/17 - 01/01/39 | 12,495 | ||||||
| 6,792 | 7.500%, 08/01/36 - 04/01/39 | 7,887 | ||||||
| 1,529 | 8.000%, 03/01/27 - 10/01/36 | 1,775 | ||||||
| 172 | 8.500%, 12/01/27 - 02/01/30 | 202 | ||||||
| 1 | 9.000%, 04/01/26 | 1 | ||||||
| 16 | 9.500%, 07/01/28 | 19 | ||||||
| 10 | 10.000%, 02/01/24 | 12 | ||||||
| 15 | 12.500%, 01/01/16 | 16 | ||||||
Federal National Mortgage Association, Other, | ||||||||
| 4,100 | 3.350%, 11/01/20 | 3,897 | ||||||
| 2,990 | 3.430%, 10/01/20 | 2,860 | ||||||
| 2,988 | 3.600%, 09/01/20 | 2,896 | ||||||
| 6,957 | 3.621%, 09/01/20 | 6,704 | ||||||
| 2,986 | 3.658%, 10/01/20 | 2,880 | ||||||
| 3,000 | 3.680%, 09/01/20 | 2,927 | ||||||
| 2,000 | 3.980%, 11/01/16 | 2,064 | ||||||
| 1,167 | 4.000%, 11/01/33 | 1,145 | ||||||
| 2,000 | 4.061%, 01/01/21 | 1,975 | ||||||
| 8,000 | 4.201%, 07/01/20 | 8,112 | ||||||
| 1,983 | 4.257%, 04/01/20 | 2,001 | ||||||
| 3,478 | 4.443%, 08/01/20 | 3,575 | ||||||
| 812 | 4.500%, 11/01/14 - 08/01/33 | 850 | ||||||
| 3,969 | 4.514%, 04/01/20 | 4,074 | ||||||
| 4,956 | 4.515%, 02/01/20 | 5,098 | ||||||
| 7,286 | 4.546%, 02/01/20 | 7,507 | ||||||
| 5,000 | 4.640%, 01/01/21 | 5,169 | ||||||
| 4,959 | 4.681%, 12/01/19 | 5,146 | ||||||
| 1,045 | 5.000%, 04/01/22 - 01/01/36 | 1,092 | ||||||
| 6,095 | 5.500%, 05/01/13 - 04/01/38 | 6,444 | ||||||
| 6,124 | 6.000%, 02/01/36 - 11/01/39 | 6,579 | ||||||
| 848 | 6.500%, 10/01/35 - 06/01/36 | 948 | ||||||
| 3,016 | 7.000%, 12/01/36 - 10/01/46 | 3,405 | ||||||
| 34 | 10.195%, 06/15/21 | 38 | ||||||
| 7 | 10.250%, 07/15/13 | 8 | ||||||
| 9 | 11.000%, 08/20/20 | 10 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 171 | ||||||
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
| 157 | Government National Mortgage Association II, | 171 | ||||||
Government National Mortgage Association II, | ||||||||
| 586 | 3.500%, 09/20/33 | 566 | ||||||
| 5,090 | 6.500%, 10/20/33 - 01/20/39 | 5,703 | ||||||
| 27 | 7.500%, 02/20/28 - 09/20/28 | 31 | ||||||
| 41 | 8.000%, 06/20/26 - 11/20/28 | 48 | ||||||
| 25 | 8.500%, 03/20/25 - 05/20/25 | 29 | ||||||
| 1,509 | Government National Mortgage Association II, Other, 6.500%, 09/20/34 | 1,699 | ||||||
Government National Mortgage Association, | ||||||||
| 352 | 6.000%, 06/15/18 | 385 | ||||||
| 93 | 7.000%, 09/15/14 - 10/15/16 | 101 | ||||||
| 65 | 7.500%, 11/15/17 | 71 | ||||||
| 233 | 8.000%, 01/15/16 | 253 | ||||||
Government National Mortgage Association, | ||||||||
| 613 | 6.500%, 08/15/22 - 11/15/23 | 703 | ||||||
| 95 | 7.000%, 08/15/23 | 109 | ||||||
Government National Mortgage Association, | ||||||||
| 158 | 6.375%, 08/15/26 | 178 | ||||||
| 4,877 | 6.500%, 10/15/27 - 04/15/33 | 5,541 | ||||||
| 3,468 | 7.000%, 09/15/31 - 03/15/37 | 4,002 | ||||||
| 118 | 7.500%, 11/15/22 - 01/15/33 | 137 | ||||||
| 15 | 8.000%, 09/15/22 - 04/15/28 | 18 | ||||||
| 14 | 9.000%, 02/15/30 - 01/15/31 | 17 | ||||||
| 1,255 | 9.500%, 10/15/24 | 1,478 | ||||||
| 13 | 11.000%, 01/15/21 | 14 | ||||||
Total Mortgage Pass-Through Securities | 453,109 | |||||||
| U.S. Government Agency Securities — 0.5% |
| ||||||
| 2,110 | Federal Home Loan Bank, 4.720%, 09/20/12 | 2,207 | ||||||
| 1,000 | Federal Home Loan Mortgage Corp., 5.500%, 08/23/17 | 1,150 | ||||||
Federal National Mortgage Association, | ||||||||
| 3,000 | Zero Coupon, 07/05/14 | 2,806 | ||||||
| 3,000 | Zero Coupon, 06/01/17 | 2,439 | ||||||
| 2,000 | 5.375%, 06/12/17 | 2,284 | ||||||
| 518 | 5.500%, 03/15/11 | 519 | ||||||
Total U.S. Government Agency Securities | 11,405 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 2.5% |
| ||||||
U.S. Treasury Bonds, | ||||||||
| 13,000 | 7.500%, 11/15/16 (m) | 16,567 | ||||||
| 343 | 8.125%, 08/15/19 | 473 | ||||||
| 350 | 8.500%, 02/15/20 | 497 | ||||||
| 7,510 | 8.875%, 08/15/17 | 10,333 | ||||||
| 506 | 8.875%, 02/15/19 | 721 | ||||||
| 350 | U.S. Treasury Inflation Indexed Note, 2.375%, 04/15/11 | 389 | ||||||
U.S. Treasury Notes, | ||||||||
| 3,500 | 3.125%, 10/31/16 | 3,636 | ||||||
| 4,905 | 3.125%, 04/30/17 | 5,063 | ||||||
| 1,737 | 3.125%, 05/15/19 | 1,742 | ||||||
| 7,000 | 3.250%, 12/31/16 | 7,301 | ||||||
| 2,000 | 3.250%, 03/31/17 | 2,081 | ||||||
| 2,725 | 4.750%, 08/15/17 | 3,070 | ||||||
U.S. Treasury STRIPS, | ||||||||
| 932 | 05/15/14 | 893 | ||||||
| 3,000 | 02/15/15 | 2,805 | ||||||
| 129 | 02/15/16 | 116 | ||||||
| 500 | 11/15/16 | 434 | ||||||
| 700 | 05/15/19 | 536 | ||||||
| 150 | 02/15/25 | 82 | ||||||
| 200 | 08/15/28 | 89 | ||||||
| 500 | 02/15/29 | 217 | ||||||
Total U.S. Treasury Obligations | 57,045 | |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.3% |
| ||||||
Investment Company — 1.3% |
| |||||||
| 29,013 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 29,013 | ||||||
Total Investments — 99.7% | 2,217,204 | |||||||
Other Assets in Excess of | 5,824 | |||||||
NET ASSETS — 100.0% | $ | 2,223,028 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 172 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 8.7% |
| ||||||
| 13,586 | AH Mortgage Advance Trust, Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 13,637 | ||||||
Ally Auto Receivables Trust, | ||||||||
| 581 | Series 2009-A, Class A2, 1.320%, 03/15/12 (e) | 582 | ||||||
| 5,500 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 5,579 | ||||||
| 568 | Series 2009-B, Class A2, 1.210%, 06/15/12 (e) | 569 | ||||||
| 6,810 | Series 2009-B, Class A3, 1.980%, 10/15/13 (e) | 6,904 | ||||||
| 5,295 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,340 | ||||||
| 2,000 | Series 2010-1, Class A4, 2.300%, 12/15/14 | 2,039 | ||||||
| 5,595 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 5,586 | ||||||
| 8,860 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 8,783 | ||||||
| 5,000 | Series 2010-5, Class A4, 1.750%, 03/15/16 | 4,950 | ||||||
| 8,800 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 8,798 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
| 916 | Series 2006-BG, Class A4, 5.210%, 09/06/13 | 926 | ||||||
| 711 | Series 2008-AF, Class A3, 5.680%, 12/12/12 | 717 | ||||||
| 291 | Series 2009-1, Class A2, 2.260%, 05/15/12 | 292 | ||||||
| 9,705 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 9,858 | ||||||
| 1,482 | Series 2010-1, Class A2, 0.970%, 01/15/13 | 1,482 | ||||||
| 5,535 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 5,579 | ||||||
| 6,600 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 6,589 | ||||||
| 3,627 | Series 2010-A, Class A2, 1.460%, 11/06/13 | 3,646 | ||||||
| 1,420 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 1,419 | ||||||
| 7,510 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 7,505 | ||||||
| 110 | Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.387%, 08/25/32 | 77 | ||||||
| 25,601 | Arch Bay Asset-Backed Securities, Series | 25,953 | ||||||
Bank of America Auto Trust, | ||||||||
| 616 | Series 2008-1A, Class A3A, 4.970%, 09/20/12 (e) | 623 | ||||||
| 7,524 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 7,599 | ||||||
| 24,552 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 25,426 | ||||||
| 18,388 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 18,539 | ||||||
| 21,649 | Series 2009-2A, Class A4, 3.030%, 10/15/16 (e) | 22,323 | ||||||
| 8,956 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 9,020 | ||||||
| 4,154 | Series 2009-3A, Class A4, 2.670%, 12/15/16 (e) | 4,269 | ||||||
| 7,475 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 7,522 | ||||||
| 4,120 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,193 | ||||||
| 4,400 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 4,433 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 5,100 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 5,157 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
| 863 | Series 2003-SD2, Class 2A, VAR, 3.163%, 06/25/43 | 845 | ||||||
| 988 | Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 753 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
| 1,345 | Series 2007-1, Class A4A, 5.010%, 04/16/12 | 1,357 | ||||||
| 2,572 | Series 2007-2, Class A4A, 5.390%, 02/18/14 | 2,615 | ||||||
| 448 | Series 2008-1, Class A3A, 3.860%, 08/15/12 | 452 | ||||||
| 11,498 | Series 2008-1, Class A4A, 4.460%, 07/15/14 | 11,868 | ||||||
| 265 | Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.300%, 02/18/14 | 267 | ||||||
CarMax Auto Owner Trust, | ||||||||
| 583 | Series 2007-1, Class A4, 5.240%, 06/15/12 | 586 | ||||||
| 828 | Series 2007-2, Class A4, 5.270%, 11/15/12 | 841 | ||||||
| 1,974 | Series 2008-1, Class A4A, 4.790%, 02/15/13 | 2,019 | ||||||
| 13,308 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 13,534 | ||||||
| 3,940 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 3,970 | ||||||
| 6,895 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 7,062 | ||||||
| 10,550 | Series 2010-2, Class A3, 1.410%, 02/16/15 | 10,621 | ||||||
| 270 | Caterpillar Financial Asset Trust, Series | 271 | ||||||
| 4,703 | Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 4,422 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
| 30,195 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 30,645 | ||||||
| 2,965 | Series 2009-B, Class A2, 1.150%, 11/08/11 | 2,968 | ||||||
| 5,632 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 5,633 | ||||||
| 2,500 | Citibank Credit Card Issuance Trust, Series 2008-A5, Class A5, 4.850%, 04/22/15 | 2,690 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
| 4,898 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 4,911 | ||||||
| 23,650 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 24,013 | ||||||
| 1,500 | Series 2009-1, Class A4, 3.150%, 08/15/16 (e) | 1,542 | ||||||
CNH Equipment Trust, | ||||||||
| 584 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 589 | ||||||
| 145 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 145 | ||||||
| 3,663 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 3,685 | ||||||
| 11,627 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 11,712 | ||||||
| 1,581 | Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 | 1,196 | ||||||
| 1,958 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.572%, 11/25/35 | 1,864 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 173 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
| 109 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 104 | ||||||
Daimler Chrysler Auto Trust, | ||||||||
| 586 | Series 2006-D, Class A4, 4.940%, 02/08/12 | 586 | ||||||
| 1,912 | Series 2007-A, Class A4, 5.280%, 03/08/13 | 1,955 | ||||||
| 8,382 | Series 2008-A, Class A4, 4.480%, 08/08/14 | 8,556 | ||||||
Discover Card Master Trust, | ||||||||
| 9,460 | Series 2008-A3, Class A3, 5.100%, 10/15/13 | 9,517 | ||||||
| 1,255 | Series 2008-A4, Class A4, 5.650%, 12/15/15 | 1,379 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
| 386 | Series 2006-C, Class A4A, 5.150%, 02/15/12 | 388 | ||||||
| 798 | Series 2007-A, Class A4A, 5.470%, 06/15/12 | 811 | ||||||
| 3,046 | Series 2007-B, Class A4A, 5.240%, 07/15/12 | 3,090 | ||||||
| 446 | Series 2008-A, Class A3A, 3.960%, 04/15/12 | 449 | ||||||
| 48 | Series 2008-B, Class A3A, 4.280%, 05/15/12 | 48 | ||||||
| 23,230 | Series 2009-A, Class A4, 6.070%, 05/15/14 | 24,940 | ||||||
| 9,040 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 9,156 | ||||||
| 6,600 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 6,989 | ||||||
| 4,286 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 4,334 | ||||||
| 790 | Series 2010-B, Class A3, 0.980%, 10/15/14 | 792 | ||||||
| 5,250 | Series 2010-B, Class A4, 1.580%, 09/15/15 | 5,246 | ||||||
GE Capital Credit Card Master Note Trust, | ||||||||
| 13,630 | Series 2009-2, Class A, 3.690%, 07/15/15 | 14,149 | ||||||
| 12,420 | Series 2009-3, Class A, 2.540%, 09/15/14 | 12,546 | ||||||
| 7,670 | Series 2009-4, Class A, 3.800%, 11/15/17 | 8,101 | ||||||
| 115 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.341%, 03/25/36 | 93 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
| 536 | Series 2006-3, Class A4, 5.220%, 06/15/13 | 543 | ||||||
| 1,627 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 1,657 | ||||||
| 12,033 | Series 2007-2, Class A4, 5.120%, 08/15/13 | 12,325 | ||||||
| 1,279 | Series 2007-3, Class A4, 5.520%, 11/15/13 | 1,315 | ||||||
| 3,376 | Series 2009-1, Class A3, 3.190%, 11/15/13 | 3,418 | ||||||
| 7,640 | Series 2009-1, Class A4, 4.550%, 01/15/17 | 7,985 | ||||||
| 1,092 | Series 2009-3, Class A2, 0.940%, 04/15/12 | 1,092 | ||||||
| 6,555 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 6,601 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
| 3,896 | Series 2008-1, Class A4, 4.880%, 09/18/14 | 3,958 | ||||||
| 3,364 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 3,398 | ||||||
| 2,470 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 2,495 | ||||||
| 1,430 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 1,481 | ||||||
| 6,290 | Series 2010-1, Class A3, 1.250%, 10/21/13 | 6,327 | ||||||
| 8,825 | Series 2011-1, Class A3, 1.130%, 10/15/14 | 8,829 | ||||||
| 882 | Household Automotive Trust, Series 2006-3, Class A4, 5.340%, 09/17/13 | 885 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
HSBC Home Equity Loan Trust, | ||||||||
| 10,931 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 10,060 | ||||||
| 12,803 | Series 2005-2, Class M1, VAR, 0.722%, 01/20/35 | 11,913 | ||||||
| 5,941 | Series 2005-2, Class M2, VAR, 0.752%, 01/20/35 | 5,209 | ||||||
| 8,665 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 8,028 | ||||||
| 9,325 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 8,847 | ||||||
| 14,917 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 15,564 | ||||||
| 9,725 | Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36 | 10,064 | ||||||
| 10,020 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 10,255 | ||||||
| 8,458 | Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36 | 8,672 | ||||||
| 9,199 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 8,505 | ||||||
| 24,693 | Huntington Auto Trust, Series 2009-1A, Class A3, 3.940%, 06/17/13 (e) | 25,020 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
| 2,563 | Series 2008-A, Class A3, 4.930%, 12/17/12 | 2,607 | ||||||
| 7,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 7,573 | ||||||
| 725 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 732 | ||||||
| 4,300 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,296 | ||||||
| 10,145 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 9,999 | ||||||
| 2,395 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 2,395 | ||||||
| 5,185 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 5,184 | ||||||
John Deere Owner Trust, | ||||||||
| 1,371 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 1,383 | ||||||
| 4,589 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 4,614 | ||||||
| 1,166 | Mastr Asset-Backed Securities Trust, Series 2005-HE2, Class A3, VAR, 0.532%, 10/25/35 | 1,159 | ||||||
| 239 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 251 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
| 9,680 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 9,771 | ||||||
| 7,500 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 7,563 | ||||||
| 1,291 | Mid-State Trust, Series 6, Class A1, 7.340%, 07/01/35 | 1,350 | ||||||
| 25,575 | MMCA Automobile Trust, Series 2009-A, Class A3, 3.930%, 03/15/13 (e) | 25,994 | ||||||
| 1,128 | Morgan Stanley ABS Capital I, Series | 738 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 174 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
| 1,149 | MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.362%, 12/25/31 | 930 | ||||||
| 16,167 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.614%, 12/07/20 | 16,185 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
| 2,002 | Series 2007-B, Class A4, 5.160%, 03/17/14 | 2,050 | ||||||
| 1,091 | Series 2008-B, Class A3, 4.460%, 04/16/12 | 1,097 | ||||||
| 2,099 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 2,151 | ||||||
| 4,789 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 4,847 | ||||||
| 5,670 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 5,664 | ||||||
| 1,500 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 1,488 | ||||||
| 4,594 | Novastar Home Equity Loan, Series 2005-1, Class M1, VAR, 0.712%, 06/25/35 | 4,556 | ||||||
| 49 | Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32 | 45 | ||||||
| 21 | Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25 | 21 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
| 4,360 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 4,362 | ||||||
| 2,100 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 2,123 | ||||||
| 8,183 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 | 7,651 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
| 7,710 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 7,701 | ||||||
| 9,010 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 8,960 | ||||||
| 8,300 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 8,299 | ||||||
USAA Auto Owner Trust, | ||||||||
| 2,135 | Series 2007-1, Class A4, 5.550%, 02/15/13 | 2,140 | ||||||
| 979 | Series 2008-2, Class A3, 4.640%, 10/15/12 | 985 | ||||||
| 1,479 | Series 2008-3, Class A3, 4.280%, 10/15/12 | 1,486 | ||||||
| 8,658 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 8,716 | ||||||
| 1,570 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 1,614 | ||||||
| 50 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 50 | ||||||
World Omni Auto Receivables Trust, | ||||||||
| 3,648 | Series 2007-B, Class A4, 5.390%, 05/15/13 | 3,737 | ||||||
| 2,925 | Series 2008-A, Class A4, 4.740%, 10/15/13 | 3,028 | ||||||
| 1,074 | Series 2008-B, Class A3A, 5.130%, 04/15/13 | 1,088 | ||||||
| 2,000 | Series 2008-B, Class A4, 5.580%, 04/15/14 | 2,104 | ||||||
| 3,804 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 3,849 | ||||||
| 3,960 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 3,982 | ||||||
| 11,865 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 12,093 | ||||||
Total Asset-Backed Securities | 895,276 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 10.6% |
| ||||||
Agency CMO — 6.4% |
| |||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | ||||||||
| 1,496 | Series 31, Class Z, 8.000%, 04/25/24 | 1,684 | ||||||
| 202 | Series 56, Class Z, 7.500%, 09/20/26 | 227 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 18 | Series 2, Class Z, 9.300%, 03/15/19 | 19 | ||||||
| 9 | Series 12, Class A, 9.250%, 11/15/19 | 11 | ||||||
| 22 | Series 16, Class D, 10.000%, 10/15/19 | 24 | ||||||
| 34 | Series 17, Class I, 9.900%, 10/15/19 | 37 | ||||||
| 56 | Series 23, Class F, 9.600%, 04/15/20 | 62 | ||||||
| 21 | Series 26, Class F, 9.500%, 02/15/20 | 24 | ||||||
| 5 | Series 81, Class A, 8.125%, 11/15/20 | 5 | ||||||
| 25 | Series 85, Class C, 8.600%, 01/15/21 | 27 | ||||||
| 22 | Series 99, Class Z, 9.500%, 01/15/21 | 24 | ||||||
| 3 | Series 159, Class H, 4.500%, 09/15/21 | 4 | ||||||
| 6 | Series 189, Class D, 6.500%, 10/15/21 | 6 | ||||||
| — | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
| 6 | Series 1053, Class G, 7.000%, 03/15/21 | 6 | ||||||
| 14 | Series 1056, Class KZ, 6.500%, 03/15/21 | 15 | ||||||
| 7 | Series 1074, Class H, 8.500%, 05/15/21 | 8 | ||||||
| 22 | �� | Series 1082, Class C, 9.000%, 05/15/21 | 25 | |||||
| 8 | Series 1087, Class I, 8.500%, 06/15/21 | 9 | ||||||
| 28 | Series 1125, Class Z, 8.250%, 08/15/21 | 31 | ||||||
| 27 | Series 1142, Class IA, 7.000%, 10/15/21 | 30 | ||||||
| 4 | Series 1169, Class G, 7.000%, 11/15/21 | 4 | ||||||
| 57 | Series 1343, Class LA, 8.000%, 08/15/22 | 66 | ||||||
| 13 | Series 1424, Class F, VAR, 2.058%, 11/15/22 | 13 | ||||||
| 261 | Series 1480, Class LZ, 7.500%, 03/15/23 | 293 | ||||||
| 680 | Series 1560, Class Z, 7.000%, 08/15/23 | 756 | ||||||
| 45 | Series 1641, Class FA, VAR, 1.262%, 12/15/13 | 45 | ||||||
| 175 | Series 1754, Class Z, 8.500%, 09/15/24 | 195 | ||||||
| 384 | Series 1779, Class Z, 8.500%, 04/15/25 | 436 | ||||||
| 8 | Series 1807, Class G, 9.000%, 10/15/20 | 9 | ||||||
| 1,099 | Series 1888, Class Z, 7.000%, 08/15/26 | 1,222 | ||||||
| 395 | Series 2065, Class PV, 7.000%, 08/17/27 | 395 | ||||||
| 1,494 | Series 2358, Class PD, 6.000%, 09/15/16 | 1,607 | ||||||
| 2,046 | Series 2363, Class PF, 6.000%, 09/15/16 | 2,199 | ||||||
| 980 | Series 2390, Class CH, 5.500%, 12/15/16 | 1,060 | ||||||
| 1,998 | Series 2418, Class MF, 6.000%, 02/15/22 | 2,174 | ||||||
| 431 | Series 2425, Class JH, 6.000%, 03/15/17 | 469 | ||||||
| 1,682 | Series 2453, Class BD, 6.000%, 05/15/17 | 1,809 | ||||||
| 1,076 | Series 2458, Class OE, 6.000%, 06/15/17 | 1,161 | ||||||
| 778 | Series 2496, Class BK, 5.500%, 09/15/17 | 846 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 175 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 576 | Series 2503, Class TG, 5.500%, 09/15/17 | 627 | ||||||
| 611 | Series 2508, Class AQ, 5.500%, 10/15/17 | 666 | ||||||
| 2,686 | Series 2513, Class DB, 5.000%, 10/15/17 | 2,866 | ||||||
| 2,307 | Series 2533, Class PE, 5.500%, 12/15/21 | 2,368 | ||||||
| 38 | Series 2534, Class HM, 4.500%, 10/15/16 | 38 | ||||||
| 4,533 | Series 2561, Class UE, 5.500%, 06/15/22 | 4,818 | ||||||
| 339 | Series 2575, Class KA, 5.000%, 11/15/17 | 356 | ||||||
| 54 | Series 2578, Class DA, 4.500%, 09/15/16 | 53 | ||||||
| 96 | Series 2579, Class GQ, 4.000%, 01/15/17 | 97 | ||||||
| 438 | Series 2583, Class TD, 4.500%, 12/15/13 | 445 | ||||||
| 473 | Series 2587, Class WB, 5.000%, 11/15/16 | 479 | ||||||
| 16,617 | Series 2600, Class MD, 5.500%, 06/15/32 | 17,706 | ||||||
| 1,299 | Series 2617, Class VN, 5.500%, 04/15/14 | 1,369 | ||||||
| 51 | Series 2632, Class NE, 4.000%, 06/15/13 | 51 | ||||||
| 4,737 | Series 2635, Class MS, IF, IO, 7.484%, 02/15/18 | 471 | ||||||
| 6,900 | Series 2638, Class JG, 5.000%, 02/15/33 | 7,373 | ||||||
| 112 | �� | Series 2640, Class VM, 4.500%, 12/15/21 | 115 | |||||
| 2,817 | Series 2641, Class KJ, 4.000%, 01/15/18 | 2,938 | ||||||
| 644 | Series 2643, Class ME, 3.500%, 03/15/18 | 668 | ||||||
| 910 | Series 2666, Class OC, 5.500%, 01/15/22 | 960 | ||||||
| 217 | Series 2685, Class MX, 4.000%, 07/15/16 | 220 | ||||||
| 89 | Series 2718, Class TC, 5.000%, 04/15/27 | 89 | ||||||
| 387 | Series 2755, Class PA, PO, 02/15/29 | 382 | ||||||
| 3,860 | Series 2761, Class CB, 4.000%, 03/15/19 | 4,040 | ||||||
| 4,185 | Series 2763, Class PD, 4.500%, 12/15/17 | 4,339 | ||||||
| 2,350 | Series 2765, Class CA, 4.000%, 07/15/17 | 2,424 | ||||||
| 3,500 | Series 2773, Class OB, 5.000%, 02/15/19 | 3,766 | ||||||
| 321 | Series 2780, Class YP, 7.500%, 08/15/18 | 340 | ||||||
| 286 | Series 2782, Class HE, 4.000%, 09/15/17 | 296 | ||||||
| 92 | Series 2786, Class PC, 4.500%, 10/15/16 | 92 | ||||||
| 1,675 | Series 2812, Class AB, 4.500%, 10/15/18 | 1,747 | ||||||
| 572 | Series 2825, Class VP, 5.500%, 06/15/15 | 617 | ||||||
| 4,000 | Series 2836, Class PX, 4.000%, 05/15/18 | 4,169 | ||||||
| 5,638 | Series 2859, Class SA, IF, IO, 6.984%, 11/15/18 | 448 | ||||||
| 4,573 | Series 2864, Class NB, 5.500%, 07/15/33 | 5,015 | ||||||
| 2,872 | Series 2875, Class HA, 4.000%, 11/15/18 | 2,998 | ||||||
| 1,807 | Series 2924, Class DA, 4.500%, 02/15/19 | 1,886 | ||||||
| 579 | Series 2927, Class YN, 4.500%, 10/15/32 | 608 | ||||||
| 35,000 | Series 2928, Class ND, 5.000%, 10/15/30 | 36,489 | ||||||
| 723 | Series 2956, Class LD, 5.000%, 05/15/18 | 740 | ||||||
| 907 | Series 2962, Class WJ, 5.500%, 06/15/24 | 956 | ||||||
| 16,006 | Series 2989, Class MU, IF, IO, 6.734%, 07/15/34 | 3,178 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 1,558 | Series 2993, Class MN, 5.000%, 06/15/23 | 1,604 | ||||||
| 1,546 | Series 2995, Class FT, VAR, 0.516%, 05/15/29 | 1,542 | ||||||
| 646 | Series 3001, Class YN, 4.500%, 06/15/33 | 678 | ||||||
| 3,517 | Series 3002, Class BN, 5.000%, 07/15/35 | 3,751 | ||||||
| 888 | Series 3005, Class PV, IF, 12.311%, 10/15/33 | 1,013 | ||||||
| 3,585 | Series 3036, Class NB, 5.000%, 01/15/29 | 3,698 | ||||||
| 501 | Series 3047, Class OB, 5.500%, 12/15/33 | 530 | ||||||
| 13,278 | Series 3080, Class TZ, 5.500%, 02/15/33 | 13,982 | ||||||
| 1,023 | Series 3153, Class JB, 5.500%, 01/15/28 | 1,024 | ||||||
| 3,467 | Series 3197, Class AB, 5.500%, 08/15/13 | 3,548 | ||||||
| 1,318 | Series 3242, Class NC, 5.750%, 12/15/28 | 1,341 | ||||||
| 1,969 | Series 3242, Class PA, 5.750%, 11/15/29 | 2,022 | ||||||
| 1,436 | Series 3280, Class MA, 5.500%, 05/15/26 | 1,443 | ||||||
| 9,757 | Series 3305, Class IW, IF, IO, 6.184%, 04/15/37 | 1,356 | ||||||
| 3,775 | Series 3320, Class TB, 5.500%, 06/15/30 | 3,835 | ||||||
| 587 | Series 3329, Class JA, 6.000%, 08/15/28 | 604 | ||||||
| 879 | Series 3356, Class PA, 6.000%, 11/15/26 | 882 | ||||||
| 757 | Series 3363, Class A, 5.000%, 07/15/16 | 786 | ||||||
| 57,767 | Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37 | 1,684 | ||||||
| 13,862 | Series 3429, Class S, IF, IO, 6.554%, 03/15/38 | 1,890 | ||||||
| 35,717 | Series 3437, Class DI, IO, 1.559%, 02/15/12 | 387 | ||||||
| 26,717 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 473 | ||||||
| 6,290 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 6,700 | ||||||
| 4,393 | Series 3564, Class JA, 4.000%, 01/15/18 | 4,628 | ||||||
| 8,358 | Series 3572, Class JS, IF, IO, 6.534%, 09/15/39 | 1,205 | ||||||
| 18,535 | Series 3609, Class SA, IF, IO, 6.074%, 12/15/39 | 3,589 | ||||||
| 1,206 | Series R008, Class FK, VAR, 0.666%, 07/15/23 | 1,207 | ||||||
| 49 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.449%, 09/25/29 | 53 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 18 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 20 | ||||||
| 22 | Series 1988-13, Class C, 9.300%, 05/25/18 | 25 | ||||||
| 16 | Series 1988-15, Class A, 9.000%, 06/25/18 | 18 | ||||||
| 18 | Series 1988-16, Class B, 9.500%, 06/25/18 | 21 | ||||||
| 14 | Series 1989-2, Class D, 8.800%, 01/25/19 | 17 | ||||||
| 40 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 43 | ||||||
| 11 | Series 1989-54, Class E, 8.400%, 08/25/19 | 12 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 176 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 10 | Series 1989-66, Class J, 7.000%, 09/25/19 | 11 | ||||||
| 7 | Series 1989-70, Class G, 8.000%, 10/25/19 | 8 | ||||||
| 153 | Series 1989-72, Class E, 9.350%, 10/25/19 | 175 | ||||||
| 19 | Series 1989-89, Class H, 9.000%, 11/25/19 | 22 | ||||||
| 6 | Series 1989-96, Class H, 9.000%, 12/25/19 | 7 | ||||||
| 13 | Series 1990-7, Class B, 8.500%, 01/25/20 | 14 | ||||||
| 9 | Series 1990-12, Class G, 4.500%, 02/25/20 | 9 | ||||||
| 194 | Series 1990-19, Class G, 9.750%, 02/25/20 | 219 | ||||||
| 44 | Series 1990-58, Class J, 7.000%, 05/25/20 | 49 | ||||||
| 39 | Series 1990-61, Class H, 7.000%, 06/25/20 | 42 | ||||||
| 18 | Series 1990-106, Class J, 8.500%, 09/25/20 | 21 | ||||||
| 8 | Series 1990-109, Class J, 7.000%, 09/25/20 | 9 | ||||||
| 23 | Series 1990-111, Class Z, 8.750%, 09/25/20 | 26 | ||||||
| 10 | Series 1990-117, Class E, 8.950%, 10/25/20 | 11 | ||||||
| 12 | Series 1990-123, Class G, 7.000%, 10/25/20 | 13 | ||||||
| 12 | Series 1990-132, Class Z, 7.000%, 11/25/20 | 14 | ||||||
| 429 | Series 1990-137, Class X, 9.000%, 12/25/20 | 490 | ||||||
| 4 | Series 1991-53, Class J, 7.000%, 05/25/21 | 5 | ||||||
| 24 | Series 1991-130, Class C, 9.000%, 09/25/21 | 27 | ||||||
| 3 | Series 1992-96, Class B, PO, 05/25/22 | 2 | ||||||
| 2,361 | Series 1992-131, Class KB, 8.000%, 08/25/22 | 2,662 | ||||||
| 2,285 | Series 1992-185, Class L, 8.000%, 10/25/22 | 2,570 | ||||||
| 8 | Series 1993-165, Class SN, IF, 11.471%, 09/25/23 | 10 | ||||||
| — | (h) | Series 1993-225, Class MC, PO, 11/25/23 | — | (h) | ||||
| 63 | Series 1993-235, Class G, PO, 09/25/23 | 56 | ||||||
| 4,257 | Series 1994-15, Class ZK, 5.500%, 02/25/24 | 4,631 | ||||||
| 6,376 | Series 1994-43, Class PK, 6.350%, 02/25/24 | 7,045 | ||||||
| — | (h) | Series 1997-46, Class PN, 6.500%, 07/18/12 | — | (h) | ||||
| 4 | Series 1997-55, Class B, 7.000%, 02/18/27 | 5 | ||||||
| 7,640 | Series 1999-6, Class PB, 6.000%, 03/25/19 | 8,315 | ||||||
| 1,603 | Series 1999-42, Class SA, IF, IO, 7.939%, 10/25/28 | 46 | ||||||
| 1,781 | Series 2002-2, Class MG, 6.000%, 02/25/17 | 1,918 | ||||||
| 963 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 1,035 | ||||||
| 1,753 | Series 2002-28, Class LD, 6.000%, 05/25/17 | 1,887 | ||||||
| 1,018 | Series 2002-58, Class HC, 5.500%, 09/25/17 | 1,105 | ||||||
| 2,003 | Series 2002-59, Class UC, 5.500%, 09/25/17 | 2,177 | ||||||
| 640 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 683 | ||||||
| 1,514 | Series 2003-3, Class PD, 5.000%, 08/25/16 | 1,535 | ||||||
| 6,666 | Series 2003-5, Class SE, IF, IO, 7.388%, 08/25/22 | 579 | ||||||
| 2,595 | Series 2003-16, Class LJ, 5.000%, 03/25/18 | 2,777 | ||||||
| 165 | Series 2003-21, Class M, 5.000%, 02/25/17 | 167 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 22,119 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 23,106 | ||||||
| 8,642 | Series 2003-25, Class CS, IF, IO, 7.388%, 03/25/17 | 227 | ||||||
| 1,453 | Series 2003-25, Class SC, IF, IO, 7.388%, 03/25/17 | 20 | ||||||
| 2,424 | Series 2003-42, Class CI, IO, 6.500%, 05/25/33 | 500 | ||||||
| 3,443 | Series 2003-49, Class IO, IO, 6.500%, 06/25/33 | 713 | ||||||
| 6,582 | Series 2003-57, Class IB, IO, 5.000%, 06/25/18 | 617 | ||||||
| 6,931 | Series 2003-69, Class GI, IO, 5.000%, 12/25/31 | 495 | ||||||
| 5,720 | Series 2003-89, Class DC, 5.000%, 12/25/32 | 6,075 | ||||||
| 3,390 | Series 2003-92, Class HP, 4.500%, 09/25/18 | 3,603 | ||||||
| 765 | Series 2003-120, Class BQ, 4.000%, 09/25/16 | 775 | ||||||
| 3,221 | Series 2003-129, Class ME, 5.000%, 08/25/23 | 3,452 | ||||||
| 6,230 | Series 2004-65, Class EJ, 5.000%, 05/25/23 | 6,476 | ||||||
| 1,304 | Series 2004-72, Class F, VAR, 0.762%, 09/25/34 | 1,308 | ||||||
| 363 | Series 2004-101, Class AR, 5.500%, 01/25/35 | 398 | ||||||
| 769 | Series 2005-1, Class HC, 5.000%, 09/25/28 | 783 | ||||||
| 15,564 | Series 2005-19, Class PA, 5.500%, 07/25/34 | 16,973 | ||||||
| 3,831 | Series 2005-19, Class SK, IF, IO, 6.488%, 11/25/22 | 197 | ||||||
| 653 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 678 | ||||||
| 2,801 | Series 2005-30, Class TA, 5.000%, 04/25/22 | 2,859 | ||||||
| 4,811 | Series 2005-38, Class FK, VAR, 0.561%, 05/25/35 | 4,806 | ||||||
| 679 | Series 2005-40, Class YA, 5.000%, 09/25/20 | 703 | ||||||
| 226 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 227 | ||||||
| 400 | Series 2005-48, Class OM, 5.000%, 03/25/30 | 409 | ||||||
| 512 | Series 2005-84, Class MB, 5.750%, 10/25/35 | 564 | ||||||
| 856 | Series 2005-104, Class YA, 5.500%, 10/25/19 | 859 | ||||||
| 6,299 | Series 2006-22, Class DV, 5.500%, 03/25/17 | 6,857 | ||||||
| 3,555 | Series 2006-39, Class WB, 5.500%, 10/25/30 | 3,711 | ||||||
| 10,484 | Series 2006-58, Class ST, IF, IO, 6.888%, 07/25/36 | 2,012 | ||||||
| 21 | Series 2006-102, Class MA, 6.000%, 07/25/27 | 21 | ||||||
| 1,324 | Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 | 1,318 | ||||||
| 2,772 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 331 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 177 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 17,512 | Series 2007-33, Class MS, IF, IO, 6.329%, 04/25/37 | 2,856 | ||||||
| 566 | Series 2007-47, Class PA, 5.000%, 02/25/28 | 567 | ||||||
| 9,300 | Series 2007-47, Class PB, 5.000%, 09/25/29 | 9,431 | ||||||
| 4,046 | Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 | 4,051 | ||||||
| 5,952 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 6,341 | ||||||
| 2,064 | Series 2007-79, Class MA, 5.500%, 12/25/28 | 2,099 | ||||||
| 19,349 | Series 2007-85, Class SH, IF, IO, 6.239%, 09/25/37 | 2,838 | ||||||
| 16,840 | Series 2007-95, Class A1, VAR, 0.510%, 08/27/36 | 16,799 | ||||||
| 3,627 | Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 | 3,782 | ||||||
| 6,564 | Series 2008-18, Class SE, IF, IO, 6.009%, 03/25/38 | 793 | ||||||
| 69,796 | Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12 | 916 | ||||||
| 1,630 | Series 2008-72, Class IO, IO, 5.000%, 08/25/28 | 211 | ||||||
| 2,301 | Series 2008-77, Class VA, 6.000%, 07/25/19 | 2,532 | ||||||
| 16,011 | Series 2008-81, Class KA, 5.000%, 10/25/22 | 16,913 | ||||||
| 29,173 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 2,709 | ||||||
| 7,126 | Series 2009-29, Class LA, VAR, 4.951%, 05/25/39 | 7,069 | ||||||
| 59,075 | Series 2009-70, Class IN, IO, 4.500%, 08/25/19 | 5,396 | ||||||
| 9,358 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 9,986 | ||||||
| 82,793 | Series 2009-112, Class SW, IF, IO, 5.988%, 01/25/40 | 9,757 | ||||||
| 10,310 | Series 2010-9, Class PA, 4.500%, 10/25/39 | 10,630 | ||||||
| 9,048 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 9,660 | ||||||
| 17,785 | Series 2010-60, Class IO, IO, 4.000%, 06/25/20 | 1,969 | ||||||
| 17,900 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 18,777 | ||||||
| 15,026 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 15,912 | ||||||
| 23,654 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 25,272 | ||||||
| 17 | Series G-11, Class Z, 8.500%, 05/25/21 | 21 | ||||||
| 7 | Series G-22, Class ZT, 8.000%, 12/25/16 | 9 | ||||||
| 7 | Series G-41, Class PT, 7.500%, 10/25/21 | 8 | ||||||
| 1,189 | Series G92-19, Class M, 8.500%, 04/25/22 | 1,465 | ||||||
| 33 | Series G92-35, Class E, 7.500%, 07/25/22 | 36 | ||||||
| 1,034 | Series G92-35, Class EA, 8.000%, 07/25/22 | 1,261 | ||||||
| 16 | Series G92-40, Class ZC, 7.000%, 07/25/22 | 18 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
| 139 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 169 | ||||||
| 37 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 41 | ||||||
| 5,402 | Series G92-64, Class J, 8.000%, 11/25/22 | 6,586 | ||||||
| 2,199 | Series G92-66, Class K, 8.000%, 12/25/22 | 2,680 | ||||||
| 2,096 | Series G94-6, Class PJ, 8.000%, 05/17/24 | 2,359 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
| 1 | Series 25, Class 1, 6.000%, 02/01/13 | — | (h) | |||||
| 106 | Series 108, Class 1, PO, 03/01/20 | 103 | ||||||
| 3 | Series 268, Class 2, IO, 9.000%, 02/01/23 | 1 | ||||||
| 3,807 | Series 334, Class 9, IO, 6.000%, 03/01/33 | 747 | ||||||
| 1,903 | Series 334, Class 13, IO, VAR, 6.000%, 03/01/33 | 377 | ||||||
| 1,726 | Series 334, Class 17, IO, VAR, 6.500%, 02/01/33 | 292 | ||||||
| 2,236 | Series 334, Class 24, IO, VAR, 6.000%, 02/01/18 | 215 | ||||||
| 13,526 | Series 343, Class 21, IO, 4.000%, 09/01/18 | 1,105 | ||||||
| 5,539 | Series 345, Class 22, IO, VAR, 4.500%, 05/01/20 | 532 | ||||||
| 2,380 | Series 351, Class 28, IO, VAR, 5.000%, 04/01/19 | 252 | ||||||
| 1,625 | Series 356, Class 16, IO, VAR, 5.500%, 06/01/35 | 301 | ||||||
| 1,651 | Series 359, Class 16, IO, VAR, 5.500%, 10/01/35 | 298 | ||||||
| 2,134 | Series 369, Class 19, IO, VAR, 6.000%, 10/01/36 | 401 | ||||||
| 1,241 | Series 369, Class 26, IO, VAR, 6.500%, 10/01/36 | 232 | ||||||
| 6,244 | Series 386, Class 20, IO, VAR, 6.500%, 08/25/38 | 912 | ||||||
| 9,228 | Series 394, Class C3, IO, 6.500%, 09/25/38 | 1,894 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
| 2 | Series 1995-W3, Class A, 9.000%, 04/25/25 | 3 | ||||||
| 16,783 | Series 2007-W1, Class 1AF1, VAR, 0.521%, 11/25/46 | 16,569 | ||||||
Government National Mortgage Association, | ||||||||
| 110 | Series 1997-12, Class D, 7.500%, 09/20/27 | 125 | ||||||
| 2,110 | Series 2004-39, Class IN, IO, 5.500%, 06/20/33 | 395 | ||||||
| 40,724 | Series 2006-23, Class S, IF, IO, 6.237%, 01/20/36 | 5,073 | ||||||
| 68,507 | Series 2006-26, Class S, IF, IO, 6.237%, 06/20/36 | 7,553 | ||||||
| 38,722 | Series 2007-16, Class KU, IF, IO, 6.387%, 04/20/37 | 5,502 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 178 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
| 11,568 | Series 2008-75, Class SP, IF, IO, 7.207%, 08/20/38 | 1,652 | ||||||
| 16,811 | Series 2009-14, Class KS, IF, IO, 6.037%, 03/20/39 | 1,862 | ||||||
| 4,550 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 691 | ||||||
| 40,548 | Series 2009-14, Class SA, IF, IO, 5.817%, 03/20/39 | 4,466 | ||||||
| 46,098 | Series 2009-106, Class XL, IF, IO, 6.487%, 06/20/37 | 6,306 | ||||||
| 5,132 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 5,552 | ||||||
NCUA Guaranteed Notes, | ||||||||
| 30,402 | Series 2010-C1, Class A1, 1.600%, 10/29/20 | 29,716 | ||||||
| 19,500 | Series 2010-R3, Class 1A, VAR, 0.823%, 12/08/20 | 19,591 | ||||||
| 12,736 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 12,454 | ||||||
| 23 | Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21 | 26 | ||||||
| 660,519 | ||||||||
Non-Agency CMO — 4.2% |
| |||||||
ABN Amro Mortgage Corp., | ||||||||
| 5,739 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 5,846 | ||||||
| 2,627 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 2,698 | ||||||
| 493 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 496 | ||||||
| 20,000 | American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 20,953 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
| 893 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 | 892 | ||||||
| 1,407 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 1,416 | ||||||
| 6,918 | Series 2004-4, Class 4A1, 4.750%, 05/25/19 | 7,125 | ||||||
| 2,085 | Series 2004-5, Class 3A5, 4.750%, 06/25/19 | 2,082 | ||||||
| 11,460 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 11,700 | ||||||
| 1,354 | Series 2004-6, Class 1A8, 5.500%, 07/25/34 | 1,365 | ||||||
| 15,256 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 15,536 | ||||||
| 4,663 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 4,689 | ||||||
BCAP LLC Trust, | ||||||||
| 702 | Series 2006-RR1, Class PA, 5.000%, 11/25/36 | 702 | ||||||
| 6,666 | Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e) | 6,816 | ||||||
| 2,630 | Series 2010-RR4, Class 4A1, VAR, 0.401%, 01/26/37 (e) | 2,577 | ||||||
| 9,788 | Series 2010-RR4, Class 5A7, VAR, 0.581%, 05/26/37 (e) | 9,372 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 137 | Series 2010-RR5, Class 6A1, VAR, 0.371%, 03/26/37 (e) | 135 | ||||||
| 6,449 | Series 2010-RR6, Class 23A7, VAR, 0.471%, 06/26/37 (e) | 6,288 | ||||||
| 27,669 | Series 2010-RR9, Class 1A3, VAR, 4.746%, 08/28/37 (e) | 27,877 | ||||||
| 5,505 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 5,529 | ||||||
| 5,578 | Series 2010-RR10, Class 4A5, VAR, 4.000%, 09/26/37 (e) | 5,591 | ||||||
| 347 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 342 | ||||||
| 149 | Cendant Mortgage Corp., Series 2004-3, Class A3, VAR, 5.471%, 06/25/34 | 151 | ||||||
Chase Mortgage Finance Corp., | ||||||||
| 5,959 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 6,124 | ||||||
| 1,894 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 1,945 | ||||||
| 3,665 | Citicorp Mortgage Securities, Inc., Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 3,685 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
| 2,185 | Series 2003-UP3, Class A1, 7.000%, 09/25/33 | 2,242 | ||||||
| 8,361 | Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 | 8,623 | ||||||
| 10,477 | Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 | 10,268 | ||||||
| 308 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 | 311 | ||||||
| 262 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 269 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
| 7,938 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 8,074 | ||||||
| 3,415 | Series 2003-J13, Class 1A5, 5.250%, 11/25/14 | 3,448 | ||||||
| 6,634 | Series 2003-J15, Class 3A1, 5.000%, 01/25/19 | 6,889 | ||||||
| 1,493 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 1,524 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 1,669 | Series 2003-17, Class 2A6, 3.500%, 07/25/18 | 1,710 | ||||||
| 4,548 | Series 2003-23, Class 8A1, 5.000%, 09/25/18 | 4,652 | ||||||
| 6,244 | Series 2004-8, Class 6A1, 4.500%, 12/25/19 | 6,478 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 179 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 1,015 | Series 2007-5, Class 5A5, VAR, 5.390%, 12/25/14 | 991 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
| 7,895 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 8,122 | ||||||
| 4,249 | Series 2004-7, Class 2A1, 4.750%, 12/25/19 | 4,368 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
| 7,470 | Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 | 7,523 | ||||||
| 421 | Series 2003-J4, Class 2A1, 4.750%, 09/25/18 | 433 | ||||||
| 5,372 | GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19 | 5,477 | ||||||
| 2,832 | Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.622%, 02/25/35 | 2,540 | ||||||
JP Morgan Mortgage Trust, | ||||||||
| 8,941 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 8,735 | ||||||
| 10,378 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 10,336 | ||||||
| 12 | Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17 | 14 | ||||||
| 4,045 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 4,070 | ||||||
MASTR Alternative Loans Trust, | ||||||||
| 333 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 340 | ||||||
| 5,754 | Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 6,003 | ||||||
MASTR Asset Securitization Trust, | ||||||||
| 1,686 | Series 2002-7, Class 1A1, 5.500%, 11/25/17 | 1,747 | ||||||
| 4,509 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 4,597 | ||||||
| 2,588 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 2,668 | ||||||
| 6,206 | Series 2004-6, Class 6A1, 4.500%, 07/25/19 | 6,389 | ||||||
| 1,620 | Series 2006-1, Class 1A1, 5.750%, 05/25/36 | 1,648 | ||||||
| 1,824 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.542%, 08/25/35 | 1,664 | ||||||
| 7 | Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20 | 7 | ||||||
| 567 | Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18 | 583 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
| 1,725 | Series 2005-AR1, Class 1A1, VAR, 2.786%, 02/25/35 | 1,375 | ||||||
| 960 | Series 2005-AR2, Class 3A1, VAR, 0.511%, 05/25/35 | 866 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
| 2,584 | Series 2005-AR6, Class 4A1, VAR, 0.521%, 12/25/35 | 1,344 | ||||||
| 8 | Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18 | 9 | ||||||
| 9,889 | Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20 | 10,361 | ||||||
Residential Accredit Loans, Inc., | ||||||||
| 556 | Series 2003-QR24, Class A7, 4.000%, 07/25/33 | 536 | ||||||
| 3,272 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 3,240 | ||||||
| 727 | Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31 | 724 | ||||||
| 5,586 | Structured Asset Securities Corp., Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 5,757 | ||||||
| 6,457 | Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, VAR, 0.381%, 07/25/36 | 6,435 | ||||||
| 4,800 | WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18 | 5,038 | ||||||
| 321 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS3, Class 1A4, 6.500%, 05/25/32 | 327 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
| 7,891 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 8,188 | ||||||
| 6,316 | Series 2003-11, Class 2A1, 4.750%, 10/25/18 | 6,468 | ||||||
| 6,287 | Series 2003-12, Class A1, 4.750%, 11/25/18 | 6,487 | ||||||
| 7,242 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 7,441 | ||||||
| 658 | Series 2003-12, Class A3, 5.000%, 11/25/18 | 682 | ||||||
| 5,946 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 6,121 | ||||||
| 8,109 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 8,294 | ||||||
| 5,039 | Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 | 5,078 | ||||||
| 80 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 82 | ||||||
| 11,982 | Series 2003-M, Class A1, VAR, 4.690%, 12/25/33 | 12,408 | ||||||
| 6,449 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 6,544 | ||||||
| 2,968 | Series 2004-EE, Class 2A2, VAR, 2.853%, 12/25/34 | 3,021 | ||||||
| 3,778 | Series 2004-EE, Class 3A2, VAR, 2.952%, 12/25/34 | 3,845 | ||||||
| 7,725 | Series 2004-O, Class A1, VAR, 4.860%, 08/25/34 | 7,905 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 180 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
| 11,753 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 12,055 | ||||||
| 11,627 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 12,146 | ||||||
| 427,452 | ||||||||
Total Collateralized Mortgage Obligations | 1,087,971 | |||||||
| Commercial Mortgage-Backed Securities — 2.2% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
| 658 | Series 2002-2, Class A2, 4.772%, 07/11/43 | 661 | ||||||
| 3,280 | Series 2004-2, Class A3, 4.050%, 11/10/38 | 3,330 | ||||||
| 3,760 | Series 2004-5, Class A3, 4.561%, 11/10/41 | 3,812 | ||||||
BCRR Trust, | ||||||||
| 218 | Series 2010-LEAF, Class 1A, 4.230%, 02/22/41 (e) | 218 | ||||||
| 41 | Series 2010-LEAF, Class 10A, 4.230%, 02/22/34 (e) | 41 | ||||||
| 33,746 | Series 2010-LEAF, Class 35A, 4.230%, 11/22/33 (e) | 34,201 | ||||||
| 20,092 | Series 2010-LEAF, Class 36A, 4.230%, 03/22/31 (e) | 20,536 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
| 5,215 | Series 2002-TOP6, Class A2, 6.460%, 10/15/36 | 5,405 | ||||||
| 2,825 | Series 2005-PWR8, Class A4, 4.674%, 06/11/41 | 2,979 | ||||||
| 190 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 | 190 | ||||||
| 1,771 | Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, VAR, 5.440%, 09/15/30 (e) | 1,844 | ||||||
| 1,330 | Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32 | 1,397 | ||||||
| 3,169 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43 | 3,201 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 479 | Series 2002-CKS4, Class A1, 4.485%, 11/15/36 | 479 | ||||||
| 2,344 | Series 2005-C6, Class A2FX, VAR, 5.207%, 12/15/40 | 2,407 | ||||||
| 16,412 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 16,711 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
| 1,228 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 1,242 | ||||||
| 169 | Series 2003-C3, Class A3, 4.646%, 04/10/40 | 176 | ||||||
| 1,446 | GS Mortgage Securities Corp. II, Series 2001-GL3A, Class A2, VAR, 6.449%, 08/05/18 (e) | 1,474 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 158 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A2, 4.201%, 12/15/29 | 159 | ||||||
| 385 | Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A2, 4.071%, 10/12/41 | 387 | ||||||
| 16,609 | Morgan Stanley, 3.000%, 07/17/56 | 16,656 | ||||||
Morgan Stanley Capital I, | ||||||||
| 3,227 | Series 2003-T11, Class A3, 4.850%, 06/13/41 | 3,285 | ||||||
| 151 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 151 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
| 26,500 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 26,697 | ||||||
| 9,955 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 10,579 | ||||||
| 1,929 | Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30 | 2,029 | ||||||
| 4,414 | Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36 | 4,428 | ||||||
Prudential Mortgage Capital Funding LLC, | ||||||||
| 10,000 | Series 2001-ROCK, Class B, 6.760%, 05/10/34 | 10,038 | ||||||
| 10,000 | Series 2001-ROCK, Class C, 6.936%, 05/10/34 | 10,059 | ||||||
TIAA Retail Commercial Trust, | ||||||||
| 8,964 | Series 2001-C1A, Class H, 5.770%, | 9,601 | ||||||
| 14,650 | Series 2001-C1A, Class J, 5.770%, | 15,477 | ||||||
| 18,325 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 | 19,930 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $229,677) | 229,780 | |||||||
| Corporate Bonds — 15.3% |
| ||||||
Consumer Discretionary — 0.4% |
| |||||||
Auto Components — 0.1% | ||||||||
Johnson Controls, Inc., | ||||||||
| 990 | 1.750%, 03/01/14 | 988 | ||||||
| 4,435 | 4.875%, 09/15/13 | 4,809 | ||||||
| 5,797 | ||||||||
Automobiles — 0.0% (g) |
| |||||||
Daimler Finance North America LLC, | ||||||||
| 1,000 | 5.750%, 09/08/11 | 1,026 | ||||||
| 2,385 | 6.500%, 11/15/13 | 2,688 | ||||||
| 3,714 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 181 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — 0.2% |
| |||||||
| 310 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 | 351 | ||||||
| 1,463 | Comcast Cable Communications LLC, 7.125%, 06/15/13 | 1,639 | ||||||
| 3,475 | Cox Communications, Inc., 5.450%, 12/15/14 | 3,837 | ||||||
| 4,950 | NBC Universal, Inc., 2.100%, 04/01/14 (e) | 4,891 | ||||||
| 1,495 | News America Holdings, Inc., 7.600%, 10/11/15 | 1,763 | ||||||
Time Warner Cable, Inc., | ||||||||
| 3,990 | 3.500%, 02/01/15 | 4,086 | ||||||
| 400 | 6.200%, 07/01/13 | 442 | ||||||
| 875 | 7.500%, 04/01/14 | 1,010 | ||||||
| 2,000 | Viacom, Inc., 4.375%, 09/15/14 | 2,139 | ||||||
Walt Disney Co. (The), | ||||||||
| 585 | 4.700%, 12/01/12 | 624 | ||||||
| 1,775 | 6.375%, 03/01/12 | 1,873 | ||||||
| 22,655 | ||||||||
Multiline Retail — 0.0% (g) |
| |||||||
| 1,256 | Kohl’s Corp., 7.375%, 10/15/11 | 1,307 | ||||||
| 1,190 | Target Corp., 5.125%, 01/15/13 | 1,280 | ||||||
| 2,587 | ||||||||
Specialty Retail — 0.1% |
| |||||||
Home Depot, Inc., | ||||||||
| 330 | 5.200%, 03/01/11 | 330 | ||||||
| 2,555 | 5.250%, 12/16/13 | 2,803 | ||||||
| 2,675 | Staples, Inc., 9.750%, 01/15/14 | 3,231 | ||||||
| 6,364 | ||||||||
Total Consumer Discretionary | 41,117 | |||||||
Consumer Staples — 0.7% | ||||||||
Beverages — 0.4% |
| |||||||
| 3,800 | Anheuser-Busch InBev Worldwide, Inc., 7.200%, 01/15/14 (e) | 4,350 | ||||||
| 1,840 | Bottling Group LLC, 5.000%, 11/15/13 | 2,015 | ||||||
Coca-Cola Co. (The), | ||||||||
| 1,385 | 1.500%, 11/15/15 | 1,325 | ||||||
| 5,050 | 3.625%, 03/15/14 | 5,359 | ||||||
Coca-Cola Refreshments USA, Inc., | ||||||||
| 980 | 5.000%, 08/15/13 | 1,068 | ||||||
| 1,773 | 7.375%, 03/03/14 | 2,061 | ||||||
| 1,585 | 8.500%, 02/01/12 | 1,700 | ||||||
| 475 | Diageo Capital plc, (United Kingdom), 5.200%, 01/30/13 | 511 | ||||||
| 5,035 | Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13 | 5,465 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Beverages — Continued |
| |||||||
PepsiCo, Inc., | ||||||||
| 2,975 | 3.750%, 03/01/14 | 3,162 | ||||||
| 980 | 4.650%, 02/15/13 | 1,048 | ||||||
| 5,325 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 5,823 | ||||||
| 33,887 | ||||||||
Food & Staples Retailing — 0.1% |
| |||||||
| 1,250 | CVS Caremark Corp., 3.250%, 05/18/15 | 1,268 | ||||||
| 2,295 | Kroger Co. (The), 7.500%, 01/15/14 | 2,630 | ||||||
Wal-Mart Stores, Inc., | ||||||||
| 1,900 | 2.250%, 07/08/15 | 1,897 | ||||||
| 695 | 4.550%, 05/01/13 | 747 | ||||||
| 2,780 | 7.250%, 06/01/13 | 3,159 | ||||||
| 9,701 | ||||||||
Food Products — 0.2% | ||||||||
| 4,570 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 4,869 | ||||||
Cargill, Inc., | ||||||||
| 1,215 | 4.375%, 06/01/13 (e) | 1,289 | ||||||
| 1,385 | 5.000%, 11/15/13 (e) | 1,509 | ||||||
| 1,450 | 5.200%, 01/22/13 (e) | 1,554 | ||||||
General Mills, Inc., | ||||||||
| 2,600 | 5.250%, 08/15/13 | 2,840 | ||||||
| 1,770 | 5.650%, 09/10/12 | 1,894 | ||||||
| 600 | HJ Heinz Finance Co., 6.625%, 07/15/11 | 613 | ||||||
| 710 | Kellogg Co., 4.250%, 03/06/13 | 752 | ||||||
Kraft Foods, Inc., | ||||||||
| 1,500 | 5.250%, 10/01/13 | 1,628 | ||||||
| 1,115 | 6.000%, 02/11/13 | 1,211 | ||||||
| 1,081 | 6.250%, 06/01/12 | 1,149 | ||||||
| 2,780 | 6.750%, 02/19/14 | 3,156 | ||||||
| 22,464 | ||||||||
Household Products — 0.0% (g) | ||||||||
| 425 | Clorox Co., 5.450%, 10/15/12 | 453 | ||||||
| 905 | Kimberly-Clark Corp., 5.625%, 02/15/12 | 949 | ||||||
| 1,402 | ||||||||
Total Consumer Staples | 67,454 | |||||||
Energy — 0.4% | ||||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||
Anadarko Petroleum Corp., | ||||||||
| 435 | 5.750%, 06/15/14 | 478 | ||||||
| 2,000 | 7.625%, 03/15/14 | 2,290 | ||||||
| 3,660 | Canadian Natural Resources Ltd., (Canada), 4.900%, 12/01/14 | 3,988 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 182 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
| 1,390 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 1,498 | ||||||
| 800 | Chevron Corp., 3.950%, 03/03/14 | 856 | ||||||
| 1,145 | ConocoPhillips, 4.750%, 02/01/14 | 1,249 | ||||||
| 3,158 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 3,450 | ||||||
| 5,490 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 5,687 | ||||||
| 3,721 | PC Financial Partnership, 5.000%, 11/15/14 | 4,046 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
| 2,615 | 1.875%, 03/25/13 | 2,668 | ||||||
| 1,322 | 3.100%, 06/28/15 | 1,358 | ||||||
| 5,225 | 4.000%, 03/21/14 | 5,591 | ||||||
| 2,400 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 2,635 | ||||||
| 3,237 | Total Capital Canada Ltd., (Canada), 1.625%, 01/28/14 | 3,244 | ||||||
Total Energy | 39,038 | |||||||
Financials — 9.7% | ||||||||
Capital Markets — 2.0% | ||||||||
Bank of New York Mellon Corp. (The), | ||||||||
| 1,870 | 3.100%, 01/15/15 | 1,924 | ||||||
| 6,277 | 4.300%, 05/15/14 | 6,768 | ||||||
| 3,300 | 4.500%, 04/01/13 | 3,525 | ||||||
| 5,700 | BlackRock, Inc., 3.500%, 12/10/14 | 5,984 | ||||||
| 5,380 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 5,868 | ||||||
Credit Suisse USA, Inc., | ||||||||
| 8,587 | 5.125%, 01/15/14 | 9,325 | ||||||
| 6,020 | 6.125%, 11/15/11 | 6,254 | ||||||
| 580 | FMR LLC, 4.750%, 03/01/13 (e) | 606 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
| 8,405 | 3.700%, 08/01/15 | 8,521 | ||||||
| 460 | 4.750%, 07/15/13 | 490 | ||||||
| 8,280 | 5.000%, 10/01/14 | 8,920 | ||||||
| 4,235 | 5.150%, 01/15/14 | 4,574 | ||||||
| 950 | 5.250%, 04/01/13 | 1,014 | ||||||
| 8,955 | 5.250%, 10/15/13 | 9,704 | ||||||
| 3,000 | 5.500%, 11/15/14 | 3,292 | ||||||
| 18,840 | 6.000%, 05/01/14 | 20,862 | ||||||
Jefferies Group, Inc., | ||||||||
| 9,275 | 3.875%, 11/09/15 | 9,231 | ||||||
| 2,050 | 5.875%, 06/08/14 | 2,189 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
| 2,225 | 3.950%, 11/10/09 (d) | 565 | ||||||
| 500 | 5.750%, 07/18/11 (d) | 127 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued | ||||||||
| 1,062 | 6.625%, 01/18/12 (d) | 269 | ||||||
| 1,705 | Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e) | 1,902 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
| 968 | 5.000%, 01/15/15 | 1,030 | ||||||
| 4,376 | 5.450%, 02/05/13 | 4,662 | ||||||
| 4,591 | 5.450%, 07/15/14 | 4,945 | ||||||
| 13,651 | 6.150%, 04/25/13 | 14,748 | ||||||
Morgan Stanley, | ||||||||
| 1,600 | 4.100%, 01/26/15 | 1,647 | ||||||
| 11,342 | 4.200%, 11/20/14 | 11,776 | ||||||
| 915 | 4.750%, 04/01/14 | 957 | ||||||
| 8,805 | 5.300%, 03/01/13 | 9,388 | ||||||
| 13,150 | 6.000%, 05/13/14 | 14,388 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
| 2,345 | 4.125%, 01/19/16 | 2,335 | ||||||
| 8,505 | 5.000%, 03/04/15 | 8,885 | ||||||
Northern Trust Corp., | ||||||||
| 1,400 | 4.625%, 05/01/14 | 1,525 | ||||||
| 2,910 | 5.300%, 08/29/11 | 2,976 | ||||||
| 3,220 | 5.500%, 08/15/13 | 3,547 | ||||||
| 5,353 | State Street Corp., 4.300%, 05/30/14 | 5,775 | ||||||
UBS AG, (Switzerland), | ||||||||
| 488 | 2.250%, 08/12/13 | 493 | ||||||
| 6,670 | 3.875%, 01/15/15 | 6,849 | ||||||
| 207,840 | ||||||||
Commercial Banks — 2.9% | ||||||||
| 1,000 | American Express Bank FSB, 5.500%, 04/16/13 | 1,075 | ||||||
| 1,190 | ANZ National (International) Ltd., | 1,208 | ||||||
| 1,700 | Australia & New Zealand Banking Group Ltd., (Australia), 2.125%, 01/10/14 (e) | 1,710 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
| 5,236 | 1.650%, 10/29/15 (e) | 5,004 | ||||||
| 5,300 | 2.250%, 01/22/13 | 5,427 | ||||||
| 2,782 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e) | 2,845 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
| 8,995 | 2.500%, 01/23/13 | 9,146 | ||||||
| 10,925 | 2.500%, 09/21/15 (e) | 10,715 | ||||||
| 4,450 | 3.900%, 04/07/15 | 4,593 | ||||||
| 2,980 | 5.200%, 07/10/14 | 3,221 | ||||||
BB&T Corp., | ||||||||
| 6,154 | 3.375%, 09/25/13 | 6,431 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 183 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
| 6,745 | 3.850%, 07/27/12 | 7,002 | ||||||
| 4,555 | 4.750%, 10/01/12 | 4,790 | ||||||
| 1,232 | 5.200%, 12/23/15 | 1,325 | ||||||
| 5,000 | BNY Mellon N.A., 4.750%, 12/15/14 | 5,425 | ||||||
| 3,385 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 3,577 | ||||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
| 2,330 | 2.350%, 12/11/15 | 2,263 | ||||||
| 3,000 | 2.600%, 07/02/15 (e) | 3,013 | ||||||
| 1,290 | Comerica, Inc., 3.000%, 09/16/15 | 1,285 | ||||||
Credit Suisse, (Switzerland), | ||||||||
| 5,225 | 3.450%, 07/02/12 | 5,392 | ||||||
| 7,820 | 3.500%, 03/23/15 | 7,998 | ||||||
| 6,514 | 5.000%, 05/15/13 | 6,982 | ||||||
| 3,600 | 5.500%, 05/01/14 | 3,958 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
| 8,290 | 2.375%, 01/11/13 | 8,429 | ||||||
| 5,500 | 3.250%, 01/11/16 | 5,515 | ||||||
| 3,890 | 3.875%, 08/18/14 | 4,072 | ||||||
| 1,445 | 4.875%, 05/20/13 | 1,540 | ||||||
| 600 | 5.375%, 10/12/12 | 639 | ||||||
| 6,640 | Deutsche Bank Financial LLC, 5.375%, 03/02/15 | 7,067 | ||||||
| 12,209 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 11,721 | ||||||
| 4,700 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 4,991 | ||||||
| 1,650 | HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12 | 1,749 | ||||||
KeyBank N.A., | ||||||||
| 1,778 | 5.500%, 09/17/12 | 1,887 | ||||||
| 750 | 5.700%, 08/15/12 | 792 | ||||||
| 1,290 | 5.800%, 07/01/14 | 1,411 | ||||||
| 720 | KeyCorp, 6.500%, 05/14/13 | 789 | ||||||
| 1,525 | M&I Marshall & Ilsley Bank, 5.150%, 02/22/12 | 1,515 | ||||||
| 805 | M&T Bank Corp., 5.375%, 05/24/12 | 844 | ||||||
| 500 | Manufacturers & Traders Trust Co., VAR, 1.803%, 04/01/13 | 499 | ||||||
| 1,213 | Mellon Funding Corp., 6.400%, 05/14/11 | 1,227 | ||||||
| 5,070 | National Australia Bank Ltd., (Australia), 2.500%, 01/08/13 (e) | 5,171 | ||||||
| 7,480 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 7,488 | ||||||
| 8,105 | National City Corp., 4.900%, 01/15/15 | 8,721 | ||||||
| 2,500 | Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) | 2,486 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued | ||||||||
| 905 | PNC Funding Corp., 3.625%, 02/08/15 | 937 | ||||||
| 10,000 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 10,168 | ||||||
| 5,788 | SouthTrust Corp., 5.800%, 06/15/14 | 6,302 | ||||||
SunTrust Banks, Inc., | ||||||||
| 3,272 | 5.250%, 11/05/12 | 3,449 | ||||||
| 1,000 | 6.375%, 04/01/11 | 1,005 | ||||||
| 6,100 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 6,015 | ||||||
U.S. Bancorp, | ||||||||
| 1,075 | 2.450%, 07/27/15 | 1,064 | ||||||
| 5,938 | 2.875%, 11/20/14 | 6,089 | ||||||
| 1,595 | 4.200%, 05/15/14 | 1,705 | ||||||
U.S. Bank N.A., | ||||||||
| 5,020 | 4.950%, 10/30/14 | 5,469 | ||||||
| 6,202 | 6.300%, 02/04/14 | 6,935 | ||||||
Wachovia Bank N.A., | ||||||||
| 18,328 | 4.800%, 11/01/14 | 19,489 | ||||||
| 1,000 | 5.000%, 08/15/15 | 1,073 | ||||||
Wachovia Corp., | ||||||||
| 1,155 | 4.875%, 02/15/14 | 1,225 | ||||||
| 3,000 | 5.250%, 08/01/14 | 3,235 | ||||||
| 3,130 | 5.500%, 05/01/13 | 3,395 | ||||||
Wells Fargo & Co., | ||||||||
| 9,420 | 3.750%, 10/01/14 | 9,920 | ||||||
| 6,780 | 4.375%, 01/31/13 | 7,178 | ||||||
| 5,770 | 4.625%, 04/15/14 | 6,123 | ||||||
| 2,240 | 6.375%, 08/01/11 | 2,293 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
| 6,973 | 2.250%, 11/19/12 | 7,114 | ||||||
| 3,560 | 4.200%, 02/27/15 | 3,747 | ||||||
| 296,868 | ||||||||
Consumer Finance — 1.0% | ||||||||
| 6,262 | American Express Co., 7.250%, 05/20/14 | 7,161 | ||||||
American Express Credit Corp., | ||||||||
| 4,964 | 5.875%, 05/02/13 | 5,383 | ||||||
| 10,305 | 7.300%, 08/20/13 | 11,604 | ||||||
American Honda Finance Corp., | ||||||||
| 5,730 | 2.375%, 03/18/13 (e) | 5,809 | ||||||
| 5,940 | 4.625%, 04/02/13 (e) | 6,290 | ||||||
Boeing Capital Corp., | ||||||||
| 1,192 | 5.800%, 01/15/13 | 1,292 | ||||||
| 3,200 | 6.500%, 02/15/12 | 3,379 | ||||||
| 2,000 | Capital One Bank USA N.A., 5.125%, 02/15/14 | 2,117 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 184 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued | ||||||||
Capital One Financial Corp., | ||||||||
| 500 | 5.500%, 06/01/15 | 544 | ||||||
| 2,260 | 7.375%, 05/23/14 | 2,604 | ||||||
| 1,490 | FIA Card Services N.A., 7.125%, 11/15/12 | 1,610 | ||||||
HSBC Finance Corp., | ||||||||
| 7,250 | 4.750%, 07/15/13 | 7,715 | ||||||
| 1,625 | 5.250%, 04/15/15 | 1,730 | ||||||
| 3,500 | 5.900%, 06/19/12 | 3,696 | ||||||
| 13,071 | 6.375%, 11/27/12 | 14,124 | ||||||
| 2,830 | 7.000%, 05/15/12 | 3,013 | ||||||
John Deere Capital Corp., | ||||||||
| 1,335 | 2.950%, 03/09/15 | 1,366 | ||||||
| 2,450 | 4.500%, 04/03/13 | 2,614 | ||||||
| 325 | 4.950%, 12/17/12 | 348 | ||||||
| 2,327 | 5.100%, 01/15/13 | 2,498 | ||||||
| 6,770 | 5.250%, 10/01/12 | 7,236 | ||||||
| 2,044 | 5.650%, 07/25/11 | 2,088 | ||||||
MBNA Corp., | ||||||||
| 1,860 | 6.125%, 03/01/13 | 1,993 | ||||||
| 500 | 7.500%, 03/15/12 | 532 | ||||||
| 2,737 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 2,820 | ||||||
| 993 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 999 | ||||||
| 2,000 | Washington Mutual Finance Corp., 6.875%, 05/15/11 | 2,024 | ||||||
| 102,589 | ||||||||
Diversified Financial Services — 2.5% | ||||||||
| 3,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 3,143 | ||||||
Bank of America Corp., | ||||||||
| 6,005 | 4.900%, 05/01/13 | 6,361 | ||||||
| 975 | 5.125%, 11/15/14 | 1,038 | ||||||
| 2,345 | 5.375%, 09/11/12 | 2,476 | ||||||
| 388 | 7.125%, 10/15/11 | 403 | ||||||
| 14,520 | 7.375%, 05/15/14 | 16,532 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
| 1,190 | 3.125%, 03/10/12 | 1,217 | ||||||
| 1,870 | 3.625%, 05/08/14 | 1,954 | ||||||
| 4,000 | 3.875%, 03/10/15 | 4,191 | ||||||
| 3,015 | 5.250%, 11/07/13 | 3,273 | ||||||
Caterpillar Financial Services Corp., | ||||||||
| 6,687 | 4.850%, 12/07/12 | 7,139 | ||||||
| 2,265 | 4.900%, 08/15/13 | 2,457 | ||||||
| 3,080 | 6.125%, 02/17/14 | 3,474 | ||||||
| 1,880 | 6.200%, 09/30/13 | 2,108 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — Continued | ||||||||
Citigroup, Inc., | ||||||||
| 2,300 | 5.500%, 08/27/12 | 2,434 | ||||||
| 14,270 | 5.500%, 04/11/13 | 15,297 | ||||||
| 6,000 | 5.850%, 07/02/13 | 6,491 | ||||||
| 19,350 | 6.000%, 12/13/13 | 21,164 | ||||||
| 10,065 | 6.010%, 01/15/15 | 11,045 | ||||||
| 6,445 | 6.375%, 08/12/14 | 7,191 | ||||||
| 4,428 | 6.500%, 08/19/13 | 4,880 | ||||||
CME Group, Inc., | ||||||||
| 9,813 | 5.400%, 08/01/13 | 10,767 | ||||||
| 1,070 | 5.750%, 02/15/14 | 1,191 | ||||||
| 1,000 | Diageo Investment Corp., 9.000%, 08/15/11 | 1,038 | ||||||
| 3,710 | ERAC USA Finance LLC, 2.750%, 07/01/13 (e) | 3,766 | ||||||
General Electric Capital Corp., | ||||||||
| 2,335 | 2.100%, 01/07/14 | 2,342 | ||||||
| 10,055 | 3.500%, 06/29/15 | 10,331 | ||||||
| 5,000 | 3.750%, 11/14/14 | 5,234 | ||||||
| 5,000 | 4.750%, 09/15/14 | 5,385 | ||||||
| 2,736 | 4.875%, 03/04/15 | 2,952 | ||||||
| 10,500 | 5.250%, 10/19/12 | 11,171 | ||||||
| 13,757 | 5.450%, 01/15/13 | 14,754 | ||||||
| 11,926 | 5.500%, 06/04/14 | 13,062 | ||||||
| 3,225 | 5.650%, 06/09/14 | 3,528 | ||||||
| 14,910 | 5.875%, 02/15/12 | 15,653 | ||||||
| 14,402 | 5.900%, 05/13/14 | 16,008 | ||||||
| 7,815 | 6.000%, 06/15/12 | 8,311 | ||||||
| 4,365 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 4,437 | ||||||
| 885 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 908 | ||||||
| 255,106 | ||||||||
FDIC Guaranteed Securities (~) — 0.1% | ||||||||
General Electric Capital Corp., | ||||||||
| 2,500 | 2.625%, 12/28/12 | 2,585 | ||||||
| 3,530 | 3.000%, 12/09/11 | 3,603 | ||||||
| 3,150 | Morgan Stanley, 3.250%, 12/01/11 | 3,220 | ||||||
| 2,220 | Wells Fargo & Co., 3.000%, 12/09/11 | 2,266 | ||||||
| 11,674 | ||||||||
Insurance — 0.9% | ||||||||
| 5,000 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 5,532 | ||||||
| 1,420 | Allstate Corp. (The), 5.000%, 08/15/14 | 1,554 | ||||||
| 8,290 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 8,976 | ||||||
| 2,343 | AON Corp., 3.500%, 09/30/15 | 2,351 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 185 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued | ||||||||
| 1,454 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 1,527 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
| 6,615 | 4.000%, 04/15/12 | 6,855 | ||||||
| 2,495 | 5.000%, 08/15/13 | 2,720 | ||||||
| 4,840 | CNA Financial Corp., 5.850%, 12/15/14 | 5,229 | ||||||
| 5,938 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 6,420 | ||||||
MassMutual Global Funding II, | ||||||||
| 1,084 | 2.300%, 09/28/15 (e) | 1,051 | ||||||
| 3,445 | 3.625%, 07/16/12 (e) | 3,562 | ||||||
Metropolitan Life Global Funding I, | ||||||||
| 3,463 | 2.500%, 01/11/13 (e) | 3,529 | ||||||
| 2,701 | 2.500%, 09/29/15 (e) | 2,634 | ||||||
| 11,835 | 2.875%, 09/17/12 (e) | 12,102 | ||||||
| 2,645 | 5.125%, 04/10/13 (e) | 2,832 | ||||||
| 1,200 | 5.200%, 09/18/13 (e) | 1,300 | ||||||
| 1,000 | Monumental Global Funding II, 5.650%, 07/14/11 (e) | 1,013 | ||||||
| 2,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 2,129 | ||||||
New York Life Global Funding, | ||||||||
| 2,730 | 3.000%, 05/04/15 (e) | 2,771 | ||||||
| 2,400 | 4.650%, 05/09/13 (e) | 2,567 | ||||||
| 285 | 5.250%, 10/16/12 (e) | 305 | ||||||
| 1,400 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) | 1,489 | ||||||
Pricoa Global Funding I, | ||||||||
| 500 | 4.625%, 06/25/12 (e) | 521 | ||||||
| 1,975 | 5.400%, 10/18/12 (e) | 2,103 | ||||||
| 4,220 | 5.450%, 06/11/14 (e) | 4,598 | ||||||
| 1,000 | 5.625%, 05/24/11 (e) | 1,011 | ||||||
| 609 | Principal Life Global Funding I, 6.250%, 02/15/12 (e) | 631 | ||||||
Principal Life Income Funding Trusts, | ||||||||
| 1,060 | 5.150%, 06/17/11 | 1,074 | ||||||
| 1,110 | 5.300%, 12/14/12 | 1,190 | ||||||
| 4,125 | 5.300%, 04/24/13 | 4,435 | ||||||
| 1,380 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 1,480 | ||||||
| 95,491 | ||||||||
Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
| 2,000 | ERP Operating LP, 5.200%, 04/01/13 | 2,143 | ||||||
| 5,252 | HCP, Inc., 2.700%, 02/01/14 | 5,293 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
Simon Property Group LP, | ||||||||
| 673 | 4.200%, 02/01/15 | 709 | ||||||
| 1,470 | 5.375%, 06/01/11 | 1,471 | ||||||
| 1,125 | 6.750%, 05/15/14 | 1,265 | ||||||
| 10,881 | ||||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
| 2,150 | Countrywide Financial Corp., 5.800%, 06/07/12 | 2,267 | ||||||
| 1,100 | Golden West Financial Corp., 4.750%, 10/01/12 | 1,161 | ||||||
| 15,324 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 15,414 | ||||||
| 18,842 | ||||||||
Total Financials | 999,291 | |||||||
Health Care — 0.2% | ||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
Baxter International, Inc., | ||||||||
| 1,650 | 1.800%, 03/15/13 | 1,673 | ||||||
| 255 | 4.000%, 03/01/14 | 271 | ||||||
| 1,925 | Medtronic, Inc., 3.000%, 03/15/15 | 1,975 | ||||||
| 3,919 | ||||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
| 820 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 813 | ||||||
| 2,095 | UnitedHealth Group, Inc., 5.000%, 08/15/14 | 2,285 | ||||||
| 550 | WellPoint Health Networks, Inc., 6.375%, 01/15/12 | 577 | ||||||
| 215 | WellPoint, Inc., 6.000%, 02/15/14 | 240 | ||||||
| 3,915 | ||||||||
Pharmaceuticals — 0.1% |
| |||||||
| 2,635 | Abbott Laboratories, 2.700%, 05/27/15 | 2,677 | ||||||
| 850 | Eli Lilly & Co., 3.550%, 03/06/12 | 873 | ||||||
| 2,000 | GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 | 2,164 | ||||||
| 2,525 | Merck & Co., Inc., 4.750%, 03/01/15 | 2,762 | ||||||
| 2,793 | Wyeth, 5.500%, 02/01/14 | 3,099 | ||||||
| 11,575 | ||||||||
Total Health Care | 19,409 | |||||||
Industrials — 0.6% |
| |||||||
Aerospace & Defense — 0.1% |
| |||||||
| 2,335 | BAE Systems Holdings, Inc., 5.200%, 08/15/15 (e) | 2,498 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 186 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued |
| |||||||
Boeing Co. (The), | ||||||||
| 1,000 | 3.500%, 02/15/15 | 1,046 | ||||||
| 3,085 | 5.000%, 03/15/14 | 3,387 | ||||||
| 2,190 | 5.125%, 02/15/13 | 2,359 | ||||||
| 2,460 | General Dynamics Corp., 5.250%, 02/01/14 | 2,706 | ||||||
| 1,000 | Northrop Grumman Corp., 3.700%, 08/01/14 | 1,045 | ||||||
| 612 | United Technologies Corp., 6.100%, 05/15/12 | 652 | ||||||
| 13,693 | ||||||||
Air Freight & Logistics — 0.0% (g) | ||||||||
| 2,540 | United Parcel Service, Inc., 4.500%, 01/15/13 | 2,709 | ||||||
Commercial Services & Supplies — 0.1% | ||||||||
Pitney Bowes, Inc., | ||||||||
| 685 | 3.875%, 06/15/13 | 713 | ||||||
| 2,375 | 4.875%, 08/15/14 | 2,498 | ||||||
| 1,100 | Waste Management, Inc., 6.375%, 11/15/12 | 1,198 | ||||||
| 4,409 | ||||||||
Industrial Conglomerates — 0.1% | ||||||||
| 3,767 | General Electric Co., 5.000%, 02/01/13 | 4,035 | ||||||
Honeywell International, Inc., | ||||||||
| 1,115 | 3.875%, 02/15/14 | 1,190 | ||||||
| 1,285 | 4.250%, 03/01/13 | 1,368 | ||||||
| 6,593 | ||||||||
Machinery — 0.0% (g) | ||||||||
| 745 | Caterpillar, Inc., 7.000%, 12/15/13 | 856 | ||||||
| 1,475 | Deere & Co., 6.950%, 04/25/14 | 1,708 | ||||||
PACCAR, Inc., | ||||||||
| 100 | 6.375%, 02/15/12 | 105 | ||||||
| 1,150 | 6.875%, 02/15/14 | 1,318 | ||||||
| 3,987 | ||||||||
Road & Rail — 0.3% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
| 5,596 | 5.900%, 07/01/12 | 5,957 | ||||||
| 3,170 | 6.750%, 07/15/11 | 3,246 | ||||||
| 2,000 | 7.000%, 02/01/14 | 2,283 | ||||||
Canadian National Railway Co., (Canada), | ||||||||
| 4,485 | 4.400%, 03/15/13 | 4,783 | ||||||
| 605 | 4.950%, 01/15/14 | 661 | ||||||
| 539 | 6.375%, 10/15/11 | 559 | ||||||
| 3,330 | CSX Corp., 6.300%, 03/15/12 | 3,502 | ||||||
| 1,000 | Ryder System, Inc., 3.600%, 03/01/16 | 992 | ||||||
Union Pacific Corp., | ||||||||
| 1,433 | 5.125%, 02/15/14 | 1,560 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — Continued | ||||||||
| 4,235 | 5.450%, 01/31/13 | 4,572 | ||||||
| 28,115 | ||||||||
Total Industrials | 59,506 | |||||||
Information Technology — 0.6% | ||||||||
Communications Equipment — 0.0% (g) | ||||||||
| 1,230 | Cisco Systems, Inc., 2.900%, 11/17/14 | 1,291 | ||||||
Computers & Peripherals — 0.2% | ||||||||
Dell, Inc., | ||||||||
| 3,378 | 2.300%, 09/10/15 | 3,317 | ||||||
| 790 | 3.375%, 06/15/12 | 813 | ||||||
| 2,310 | 4.700%, 04/15/13 | 2,473 | ||||||
| 745 | 5.625%, 04/15/14 | 820 | ||||||
Hewlett-Packard Co., | ||||||||
| 770 | 2.125%, 09/13/15 | 756 | ||||||
| 490 | 2.950%, 08/15/12 | 504 | ||||||
| 350 | 4.500%, 03/01/13 | 373 | ||||||
| 2,500 | 4.750%, 06/02/14 | 2,720 | ||||||
| 6,905 | 6.125%, 03/01/14 | 7,744 | ||||||
| 950 | 6.500%, 07/01/12 | 1,021 | ||||||
International Business Machines Corp., | ||||||||
| 1,655 | 2.100%, 05/06/13 | 1,693 | ||||||
| 2,330 | 4.750%, 11/29/12 | 2,487 | ||||||
| 1,250 | 6.500%, 10/15/13 | 1,417 | ||||||
| 650 | 7.500%, 06/15/13 | 740 | ||||||
| 26,878 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
| 805 | 3.375%, 11/01/15 | 794 | ||||||
| 7,416 | 6.875%, 07/01/13 | 8,096 | ||||||
| 8,890 | ||||||||
IT Services — 0.1% | ||||||||
| 7,130 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 7,885 | ||||||
Office Electronics — 0.1% | ||||||||
Xerox Corp., | ||||||||
| 3,421 | 5.650%, 05/15/13 | 3,701 | ||||||
| 1,000 | 6.875%, 08/15/11 | 1,027 | ||||||
| 2,505 | 8.250%, 05/15/14 | 2,931 | ||||||
| 7,659 | ||||||||
Software — 0.1% | ||||||||
| 2,691 | Intuit, Inc., 5.400%, 03/15/12 | 2,798 | ||||||
| 3,155 | Microsoft Corp., 2.950%, 06/01/14 | 3,296 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 187 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Software — Continued | ||||||||
Oracle Corp., | ||||||||
| 4,025 | 3.750%, 07/08/14 | 4,278 | ||||||
| 3,535 | 4.950%, 04/15/13 | 3,824 | ||||||
| 14,196 | ||||||||
Total Information Technology | 66,799 | |||||||
Materials — 0.5% | ||||||||
Chemicals — 0.3% | ||||||||
| 845 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 883 | ||||||
Dow Chemical Co. (The), | ||||||||
| 835 | 4.850%, 08/15/12 | 879 | ||||||
| 4,314 | 5.900%, 02/15/15 | 4,810 | ||||||
| 954 | 7.600%, 05/15/14 | 1,108 | ||||||
EI du Pont de Nemours & Co., | ||||||||
| 2,856 | 1.950%, 01/15/16 | 2,758 | ||||||
| 3,225 | 3.250%, 01/15/15 | 3,345 | ||||||
| 1,708 | 5.000%, 01/15/13 | 1,833 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
| 3,153 | 3.750%, 09/30/15 | 3,286 | ||||||
| 3,025 | 7.750%, 05/31/11 | 3,078 | ||||||
| 5,994 | PPG Industries, Inc., 5.750%, 03/15/13 | 6,489 | ||||||
Praxair, Inc., | ||||||||
| 3,045 | 1.750%, 11/15/12 | 3,085 | ||||||
| 2,240 | 2.125%, 06/14/13 | 2,285 | ||||||
| 1,920 | 3.950%, 06/01/13 | 2,033 | ||||||
| 830 | 4.625%, 03/30/15 | 896 | ||||||
| 36,768 | ||||||||
Metals & Mining — 0.2% | ||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
| 695 | 4.800%, 04/15/13 | 749 | ||||||
| 2,443 | 5.125%, 03/29/12 | 2,558 | ||||||
| 950 | 6.750%, 11/01/13 | 1,073 | ||||||
| 4,120 | 8.500%, 12/01/12 | 4,627 | ||||||
| 650 | Nucor Corp., 5.000%, 06/01/13 | 703 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
| 1,160 | 1.875%, 11/02/15 | 1,116 | ||||||
| 5,325 | 8.950%, 05/01/14 | 6,447 | ||||||
| 17,273 | ||||||||
Total Materials | 54,041 | |||||||
Telecommunication Services — 1.1% | ||||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
| 3,635 | AT&T Corp., 7.300%, 11/15/11 | 3,804 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
AT&T, Inc., | ||||||||
| 1,875 | 4.850%, 02/15/14 | 2,032 | ||||||
| 11,875 | 4.950%, 01/15/13 | 12,709 | ||||||
| 16,135 | 6.700%, 11/15/13 | 18,260 | ||||||
| 2,615 | BellSouth Corp., 5.200%, 09/15/14 | 2,879 | ||||||
| 4,050 | British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13 | 4,322 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
| 3,380 | 4.875%, 07/08/14 | 3,646 | ||||||
| 2,000 | 5.375%, 03/23/11 | 2,006 | ||||||
| 550 | 5.875%, 08/20/13 | 605 | ||||||
| 6,510 | France Telecom S.A., (France), 4.375%, 07/08/14 | 7,005 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
| 1,700 | 4.950%, 09/30/14 | 1,747 | ||||||
| 1,450 | 6.175%, 06/18/14 | 1,543 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
| 1,121 | 3.992%, 02/16/16 | 1,125 | ||||||
| 1,280 | 4.949%, 01/15/15 | 1,347 | ||||||
| 2,110 | 5.855%, 02/04/13 | 2,253 | ||||||
Verizon Communications, Inc., | ||||||||
| 14,065 | 4.350%, 02/15/13 | 14,919 | ||||||
| 1,320 | 5.250%, 04/15/13 | 1,429 | ||||||
| 2,335 | Verizon Florida LLC, 6.125%, 01/15/13 | 2,507 | ||||||
| 1,982 | Verizon Global Funding Corp., 4.375%, 06/01/13 | 2,119 | ||||||
| 735 | Verizon Maryland, Inc., 6.125%, 03/01/12 | 772 | ||||||
| 3,102 | Verizon New Jersey, Inc., 5.875%, 01/17/12 | 3,239 | ||||||
| 90,268 | ||||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 15,094 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 16,686 | ||||||
| 4,511 | New Cingular Wireless Services, Inc., 8.125%, 05/01/12 | 4,890 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
| 4,075 | 4.150%, 06/10/14 | 4,316 | ||||||
| 425 | VAR, 0.642%, 06/15/11 | 425 | ||||||
| 26,317 | ||||||||
Total Telecommunication Services | 116,585 | |||||||
Utilities — 1.1% | ||||||||
Electric Utilities — 0.7% |
| |||||||
| 555 | AEP Texas North Co., 5.500%, 03/01/13 | 594 | ||||||
| 490 | Alabama Power Co., 4.850%, 12/15/12 | 524 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 188 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
| 700 | 5.700%, 03/15/13 | 762 | ||||||
| 610 | 5.750%, 01/15/14 | 670 | ||||||
| 1,805 | 7.000%, 03/01/14 | 2,057 | ||||||
| 1,471 | Duke Energy Carolinas LLC, 5.750%, 11/15/13 | 1,649 | ||||||
Duke Energy Corp., | ||||||||
| 1,565 | 3.350%, 04/01/15 | 1,600 | ||||||
| 1,095 | 3.950%, 09/15/14 | 1,154 | ||||||
| 5,085 | 5.650%, 06/15/13 | 5,558 | ||||||
| 2,133 | 6.300%, 02/01/14 | 2,387 | ||||||
| 537 | Duke Energy Ohio, Inc., 2.100%, 06/15/13 | 547 | ||||||
| 1,000 | Exelon Corp., 4.900%, 06/15/15 | 1,062 | ||||||
| 1,539 | Exelon Generation Co. LLC, 5.350%, 01/15/14 | 1,663 | ||||||
| 2,500 | FirstEnergy Corp., 6.450%, 11/15/11 | 2,585 | ||||||
| 2,000 | FPL Group Capital, Inc., 5.625%, 09/01/11 | 2,049 | ||||||
| 4,803 | Georgia Power Co., 6.000%, 11/01/13 | 5,372 | ||||||
| 225 | MidAmerican Energy Co., 5.125%, 01/15/13 | 241 | ||||||
Midamerican Energy Holdings Co., | ||||||||
| 1,025 | 3.150%, 07/15/12 | 1,051 | ||||||
| 1,567 | 5.875%, 10/01/12 | 1,680 | ||||||
| 2,400 | Midamerican Funding LLC, 6.750%, 03/01/11 | 2,400 | ||||||
| 1,239 | NextEra Energy Capital Holdings, Inc., 5.350%, 06/15/13 | 1,336 | ||||||
| 5,935 | Nisource Finance Corp., 6.150%, 03/01/13 | 6,435 | ||||||
| 1,060 | Northern States Power Co., 8.000%, 08/28/12 | 1,169 | ||||||
| 2,210 | Ohio Power Co., 5.750%, 09/01/13 | 2,414 | ||||||
| 1,650 | Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15 | 1,866 | ||||||
PacifiCorp, | ||||||||
| 750 | 4.950%, 08/15/14 | 819 | ||||||
| 3,565 | 6.900%, 11/15/11 | 3,725 | ||||||
| 716 | Peco Energy Co., 5.000%, 10/01/14 | 788 | ||||||
| 1,837 | PPL Electric Utilities Corp., 7.125%, 11/30/13 | 2,107 | ||||||
Progress Energy, Inc., | ||||||||
| 295 | 6.050%, 03/15/14 | 328 | ||||||
| 557 | 7.100%, 03/01/11 | 557 | ||||||
| 1,683 | PSEG Power LLC, 2.500%, 04/15/13 | 1,716 | ||||||
Public Service Electric & Gas Co., | ||||||||
| 400 | 2.700%, 05/01/15 | 404 | ||||||
| 1,200 | 5.000%, 08/15/14 | 1,308 | ||||||
| 745 | Southern California Edison Co., 4.150%, 09/15/14 | 802 | ||||||
| 2,952 | Southern Co., 4.150%, 05/15/14 | 3,127 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
Spectra Energy Capital LLC, | ||||||||
| 4,155 | 5.668%, 08/15/14 | 4,566 | ||||||
| 669 | 6.250%, 02/15/13 | 727 | ||||||
Virginia Electric and Power Co., | ||||||||
| 1,000 | 4.750%, 03/01/13 | 1,068 | ||||||
| 4,460 | 5.100%, 11/30/12 | 4,768 | ||||||
| 75,635 | ||||||||
Gas Utilities — 0.3% |
| |||||||
| 810 | AGL Capital Corp., 4.450%, 04/15/13 | 850 | ||||||
Atmos Energy Corp., | ||||||||
| 1,748 | 4.950%, 10/15/14 | 1,863 | ||||||
| 6,915 | 7.375%, 05/15/11 | 7,000 | ||||||
CenterPoint Energy Resources Corp., | ||||||||
| 1,000 | 5.950%, 01/15/14 | 1,097 | ||||||
| 2,270 | 7.875%, 04/01/13 | 2,571 | ||||||
| 2,000 | Consolidated Natural Gas Co., 5.000%, 03/01/14 | 2,158 | ||||||
| 668 | Southern California Gas Co., 5.500%, 03/15/14 | 731 | ||||||
| 10,025 | TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13 | 10,618 | ||||||
| 26,888 | ||||||||
Multi-Utilities — 0.1% | ||||||||
| 1,905 | Dominion Resources, Inc., 5.700%, 09/17/12 | 2,037 | ||||||
| 1,515 | PG&E Corp., 5.750%, 04/01/14 | 1,664 | ||||||
Sempra Energy, | ||||||||
| 1,210 | 6.000%, 02/01/13 | 1,302 | ||||||
| 6,010 | 8.900%, 11/15/13 | 7,018 | ||||||
| 1,815 | Wisconsin Electric Power Co., 6.000%, 04/01/14 | 2,039 | ||||||
| 14,060 | ||||||||
Total Utilities | 116,583 | |||||||
Total Corporate Bonds | 1,579,823 | |||||||
| Foreign Government Securities — 0.2% |
| ||||||
| 247 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 252 | ||||||
Province of Ontario, (Canada), | ||||||||
| 8,655 | 2.700%, 06/16/15 | 8,844 | ||||||
| 6,530 | 2.950%, 02/05/15 | 6,755 | ||||||
| 1,250 | 4.100%, 06/16/14 | 1,345 | ||||||
| 3,420 | United Mexican States, (Mexico), 6.375%, 01/16/13 | 3,745 | ||||||
Total Foreign Government Securities | 20,941 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 189 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — 7.9% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 113 | ARM, 2.360%, 01/01/27 | 118 | ||||||
| 382 | ARM, 2.455%, 03/01/35 | 400 | ||||||
| 149 | ARM, 2.543%, 12/01/27 | 157 | ||||||
| 9 | ARM, 2.643%, 12/01/17 | 9 | ||||||
| 8,757 | ARM, 3.642%, 03/01/36 | 9,235 | ||||||
| 6,026 | ARM, 4.559%, 10/01/35 | 6,336 | ||||||
| 6,620 | ARM, 4.676%, 03/01/35 | 6,966 | ||||||
| 4,725 | ARM, 5.539%, 03/01/36 | 4,874 | ||||||
| 731 | ARM, 5.555%, 07/01/36 | 772 | ||||||
| 343 | ARM, 5.575%, 04/01/37 | 362 | ||||||
| 4,099 | ARM, 5.591%, 01/01/38 | 4,341 | ||||||
| 4,563 | ARM, 5.621%, 04/01/38 | 4,833 | ||||||
| 589 | ARM, 5.698%, 08/01/37 | 623 | ||||||
| 1,810 | ARM, 5.701%, 03/01/37 | 1,915 | ||||||
| 14,555 | ARM, 5.764%, 06/01/37 | 15,453 | ||||||
| 10,653 | ARM, 5.771%, 05/01/37 - 06/01/37 | 11,320 | ||||||
| 2,153 | ARM, 5.836%, 11/01/36 | 2,281 | ||||||
| 2,876 | ARM, 5.849%, 08/01/37 | 3,043 | ||||||
| 3,645 | ARM, 5.923%, 12/01/36 | 3,876 | ||||||
| 2,715 | ARM, 5.941%, 08/01/36 | 2,856 | ||||||
| 915 | ARM, 5.999%, 08/01/36 | 980 | ||||||
| 1,345 | ARM, 6.002%, 10/01/37 | 1,420 | ||||||
| 2,050 | ARM, 6.024%, 02/01/37 | 2,167 | ||||||
| 1,913 | ARM, 6.049%, 03/01/37 | 2,030 | ||||||
| 6 | ARM, 6.067%, 01/01/27 | 6 | ||||||
| 2,790 | ARM, 6.072%, 03/01/37 | 2,959 | ||||||
| 717 | ARM, 6.085%, 06/01/36 | 748 | ||||||
| 2,414 | ARM, 6.157%, 04/01/37 | 2,564 | ||||||
| 1,684 | ARM, 6.225%, 12/01/36 | 1,777 | ||||||
| 5,588 | ARM, 6.249%, 10/01/36 | 5,842 | ||||||
| 1,159 | ARM, 6.405%, 02/01/37 | 1,243 | ||||||
| 2,771 | ARM, 6.422%, 12/01/36 | 2,972 | ||||||
| 4,124 | ARM, 6.432%, 01/01/37 | 4,368 | ||||||
| 2,019 | ARM, 6.439%, 08/01/36 | 2,122 | ||||||
| 1,396 | ARM, 6.481%, 11/01/37 | 1,497 | ||||||
| 1,056 | ARM, 6.648%, 08/01/37 | 1,125 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
| 6,350 | 4.000%, 07/01/18 - 07/01/19 | 6,647 | ||||||
| 2,755 | 4.500%, 04/01/16 - 10/01/18 | 2,913 | ||||||
| 17,512 | 5.000%, 03/01/18 - 04/01/19 | 18,774 | ||||||
| 27,810 | 5.500%, 11/01/12 - 10/01/23 | 30,056 | ||||||
| 31,092 | 6.000%, 06/01/11 - 12/01/23 | 33,926 | ||||||
| 2,883 | 6.500%, 03/01/11 - 01/01/17 | 3,143 | ||||||
| 32 | 7.000%, 01/01/12 - 03/01/15 | 33 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 2 | 7.500%, 06/01/11 - 11/01/11 | 3 | ||||||
| — | (h) | 8.000%, 01/01/12 | — | (h) | ||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
| 3,532 | 6.000%, 01/01/19 - 10/01/24 | 3,902 | ||||||
| 10,923 | 6.500%, 08/01/18 - 03/01/26 | 12,101 | ||||||
| 46 | 7.000%, 03/01/14 | 50 | ||||||
| 257 | 7.500%, 10/01/16 - 07/01/18 | 286 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
| 1,324 | 6.000%, 09/01/17 - 07/01/32 | 1,451 | ||||||
| — | (h) | 6.500%, 07/01/13 | — | (h) | ||||
| 2,595 | 7.000%, 08/01/38 | 2,952 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
| 21,149 | 7.500%, 12/01/36 | 24,446 | ||||||
| 7,903 | 10.000%, 10/01/30 | 9,332 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
| 63 | 8.000%, 04/01/17 - 05/01/19 | 70 | ||||||
| 13 | 8.250%, 08/01/17 | 13 | ||||||
Federal National Mortgage Association, | ||||||||
| 334 | ARM, 2.034%, 01/01/35 | 347 | ||||||
| 59 | ARM, 2.079%, 03/01/19 | 60 | ||||||
| 21 | ARM, 2.469%, 05/01/25 | 23 | ||||||
| 1 | ARM, 2.470%, 10/01/27 | 1 | ||||||
| 24 | ARM, 2.537%, 06/01/27 | 25 | ||||||
| 1,822 | ARM, 2.780%, 09/01/34 | 1,916 | ||||||
| 11 | ARM, 2.848%, 10/01/25 | 12 | ||||||
| 39 | ARM, 2.883%, 07/01/27 | 40 | ||||||
| 31 | ARM, 2.951%, 01/01/19 | 31 | ||||||
| 1,084 | ARM, 2.952%, 12/01/35 | 1,141 | ||||||
| 4,589 | ARM, 3.067%, 03/01/36 | 4,813 | ||||||
| 7,899 | ARM, 3.405%, 03/01/36 | 8,284 | ||||||
| 5,397 | ARM, 3.475%, 10/01/35 | 5,666 | ||||||
| 9,512 | ARM, 3.503%, 03/01/36 | 10,010 | ||||||
| 10 | ARM, 3.538%, 08/01/19 | 11 | ||||||
| 30 | ARM, 3.750%, 11/01/16 | 30 | ||||||
| 17 | ARM, 3.977%, 08/01/17 | 17 | ||||||
| 353 | ARM, 5.214%, 04/01/36 | 369 | ||||||
| 673 | ARM, 5.242%, 01/01/37 | 708 | ||||||
| 4,551 | ARM, 5.409%, 11/01/37 | 4,829 | ||||||
| 346 | ARM, 5.418%, 12/01/36 | 364 | ||||||
| 1,136 | ARM, 5.472%, 07/01/36 | 1,199 | ||||||
| 2,592 | ARM, 5.541%, 08/01/36 | 2,730 | ||||||
| 225 | ARM, 5.600%, 06/01/36 | 241 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 190 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
| 1,370 | ARM, 5.653%, 04/01/37 | 1,447 | ||||||
| 9,785 | ARM, 5.696%, 01/01/23 | 10,506 | ||||||
| 153 | ARM, 5.704%, 07/01/37 | 162 | ||||||
| 1,758 | ARM, 5.705%, 03/01/47 | 1,876 | ||||||
| 3,253 | ARM, 5.714%, 12/01/37 | 3,468 | ||||||
| 983 | ARM, 5.717%, 10/01/36 | 1,039 | ||||||
| 2,811 | ARM, 5.772%, 11/01/37 | 2,985 | ||||||
| 3,518 | ARM, 5.774%, 11/01/37 | 3,750 | ||||||
| 100 | ARM, 5.775%, 08/01/37 | 107 | ||||||
| 589 | ARM, 5.789%, 08/01/36 | 622 | ||||||
| 1,857 | ARM, 5.797%, 04/01/37 | 1,974 | ||||||
| 3,088 | ARM, 5.871%, 04/01/38 | 3,277 | ||||||
| 741 | ARM, 5.875%, 07/01/37 | 786 | ||||||
| 845 | ARM, 5.877%, 12/01/36 | 895 | ||||||
| 2,199 | ARM, 5.927%, 08/01/36 | 2,321 | ||||||
| 99 | ARM, 5.949%, 08/01/36 | 107 | ||||||
| 4,302 | ARM, 5.974%, 03/01/37 | 4,546 | ||||||
| 2,387 | ARM, 6.032%, 08/01/36 | 2,522 | ||||||
| 3,960 | ARM, 6.070%, 07/01/37 | 4,205 | ||||||
| 803 | ARM, 6.077%, 12/01/36 | 850 | ||||||
| 759 | ARM, 6.101%, 05/01/36 | 795 | ||||||
| 4,513 | ARM, 6.176%, 08/01/37 | 4,796 | ||||||
| 6,441 | ARM, 6.204%, 12/01/36 | 6,806 | ||||||
| 833 | ARM, 6.210%, 10/01/36 | 880 | ||||||
| 3,221 | ARM, 6.279%, 02/01/37 | 3,423 | ||||||
| 4,477 | ARM, 6.550%, 01/01/37 | 4,821 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
| 7,550 | 4.000%, 07/01/18 - 01/01/19 | 7,903 | ||||||
| 12,069 | 4.500%, 05/01/18 - 05/01/19 | 12,777 | ||||||
| 19,916 | 5.000%, 12/01/13 - 07/01/20 | 21,335 | ||||||
| 56,319 | 5.500%, 01/01/18 - 09/01/24 | 60,873 | ||||||
| 84,541 | 6.000%, 05/01/11 - 07/01/24 | 92,546 | ||||||
| 4,374 | 6.500%, 02/01/12 - 01/01/23 | 4,794 | ||||||
| 1,486 | 7.000%, 03/01/12 - 01/01/18 | 1,628 | ||||||
| 63 | 7.500%, 02/01/12 - 05/01/15 | 69 | ||||||
| 796 | 8.000%, 11/01/15 - 10/01/16 | 876 | ||||||
| 1 | 8.500%, 11/01/11 | 1 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
| 4,913 | 5.500%, 05/01/27 | 5,281 | ||||||
| 5,127 | 6.000%, 03/01/18 - 04/01/24 | 5,660 | ||||||
| 7,636 | 6.500%, 01/01/14 - 03/01/25 | 8,476 | ||||||
| 2,483 | 7.000%, 12/01/13 - 08/01/21 | 2,838 | ||||||
| 30 | 7.500%, 11/01/13 - 06/01/16 | 32 | ||||||
| 64 | 8.000%, 07/01/14 - 11/01/15 | 73 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
| 340 | 5.500%, 08/01/34 | 366 | ||||||
| 61 | 6.000%, 07/01/17 | 67 | ||||||
| 1 | 8.000%, 02/01/23 | 1 | ||||||
| 28 | 8.500%, 03/01/27 | 32 | ||||||
Federal National Mortgage Association, | ||||||||
| 37,651 | 6.000%, 04/01/35 - 01/01/38 | 41,271 | ||||||
| 72,869 | 6.500%, 03/01/26 - 10/01/38 | 81,633 | ||||||
| 23,546 | 7.000%, 04/01/37 - 08/01/37 | 26,891 | ||||||
| 220 | 8.000%, 06/01/13 - 12/01/30 | 253 | ||||||
| 13 | 8.500%, 09/01/21 | 14 | ||||||
| 153 | 9.000%, 02/01/31 | 180 | ||||||
| 54 | 9.500%, 07/01/28 | 64 | ||||||
| 14 | 10.000%, 02/01/24 | 16 | ||||||
Federal National Mortgage Association, Other, | ||||||||
| 1,739 | 4.000%, 07/01/13 - 07/01/17 | 1,800 | ||||||
| 2,762 | 4.500%, 11/01/13 - 12/01/19 | 2,895 | ||||||
| 2,891 | 5.000%, 01/01/14 - 05/01/14 | 2,988 | ||||||
| 3,795 | 5.500%, 06/01/16 - 09/01/17 | 4,051 | ||||||
| 2,750 | 6.000%, 09/01/17 | 2,963 | ||||||
Government National Mortgage Association II, | ||||||||
| 120 | ARM, 2.125%, 11/20/25 | 125 | ||||||
| 8 | ARM, 2.500%, 12/20/17 | 9 | ||||||
| 146 | ARM, 2.625%, 08/20/16 - 09/20/22 | 151 | ||||||
| 169 | ARM, 3.375%, 01/20/16 - 01/20/28 | 176 | ||||||
| 12 | ARM, 3.500%, 10/20/17 - 12/20/17 | 12 | ||||||
| 28 | ARM, 4.000%, 11/20/15 - 08/20/18 | 29 | ||||||
| 9 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 11/20/14 | 9 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
| 33,556 | 7.000%, 08/20/38 - 09/20/38 | 38,215 | ||||||
| 24 | 7.500%, 09/20/28 | 27 | ||||||
| 52 | 8.000%, 09/20/26 - 12/20/27 | 61 | ||||||
| 69 | 8.500%, 03/20/25 - 04/20/25 | 82 | ||||||
Government National Mortgage Association, | ||||||||
| 12 | 6.000%, 04/15/14 | 13 | ||||||
| 6,969 | 6.500%, 10/15/23 | 7,728 | ||||||
Government National Mortgage Association, | ||||||||
| 21 | 8.500%, 04/15/25 | 25 | ||||||
| 11 | 9.000%, 09/15/24 - 10/15/26 | 13 | ||||||
| 483 | 9.500%, 07/15/20 - 12/15/25 | 571 | ||||||
| 32 | 12.000%, 11/15/19 | 35 | ||||||
Total Mortgage Pass-Through Securities | 813,449 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 191 | ||||||
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 21.9% |
| ||||||
Federal Farm Credit Bank, | ||||||||
| 26,150 | 1.875%, 12/07/12 | 26,699 | ||||||
| 4,000 | 2.200%, 04/08/13 | 4,114 | ||||||
| 12,400 | 2.250%, 02/17/12 | 12,609 | ||||||
| 8,120 | 2.250%, 04/24/12 | 8,283 | ||||||
| 38,025 | 2.350%, 09/23/13 (c) | 39,170 | ||||||
| 25,000 | 2.500%, 03/26/13 | 25,869 | ||||||
| 10,000 | 2.600%, 03/04/13 | 10,366 | ||||||
| 8,000 | 2.625%, 04/17/14 | 8,299 | ||||||
| 2,769 | 2.700%, 08/19/13 | 2,871 | ||||||
| 1,480 | 3.000%, 02/12/14 | 1,541 | ||||||
| 5,000 | 3.000%, 09/22/14 | 5,232 | ||||||
| 10,000 | 3.875%, 08/25/11 | 10,177 | ||||||
| 16,493 | 3.875%, 01/10/13 | 17,443 | ||||||
| 2,000 | 5.100%, 09/18/12 | 2,138 | ||||||
| 1,390 | 5.250%, 08/21/13 | 1,531 | ||||||
| 5,000 | 5.450%, 12/11/13 | 5,565 | ||||||
Federal Home Loan Bank, | ||||||||
| 17,000 | 1.000%, 12/28/11 | 17,090 | ||||||
| 119,600 | 1.125%, 03/09/12 | 120,471 | ||||||
| 42,000 | 1.125%, 05/18/12 | 42,326 | ||||||
| 4,800 | 1.375%, 06/08/12 | 4,853 | ||||||
| 34,125 | 1.625%, 06/14/13 | 34,655 | ||||||
| 30,785 | 1.750%, 12/14/12 | 31,339 | ||||||
| 85,000 | 1.875%, 06/21/13 | 86,810 | ||||||
| 10,000 | 2.000%, 09/14/12 | 10,213 | ||||||
| 2,000 | 2.250%, 03/05/12 | 2,037 | ||||||
| 25,865 | 2.375%, 03/14/14 | 26,571 | ||||||
| 5,000 | 2.500%, 06/13/14 | 5,155 | ||||||
| 74,350 | 2.625%, 09/13/13 | 77,187 | ||||||
| 18,800 | 3.000%, 06/24/13 | 19,678 | ||||||
| 10,000 | 3.050%, 06/28/13 | 10,444 | ||||||
| 2,980 | 3.125%, 03/08/13 | 3,121 | ||||||
| 130,505 | 3.125%, 12/13/13 | 136,963 | ||||||
| 2,500 | 3.375%, 06/24/11 | 2,524 | ||||||
| 16,200 | 3.500%, 03/08/13 | 17,086 | ||||||
| 18,825 | 3.875%, 03/08/13 | 19,996 | ||||||
| 15,895 | 4.250%, 06/14/13 | 17,083 | ||||||
| 1,675 | 4.375%, 09/09/11 | 1,711 | ||||||
| 10,000 | 4.500%, 09/14/12 | 10,584 | ||||||
| 6,000 | 4.875%, 11/18/11 | 6,193 | ||||||
| 5,000 | 4.875%, 12/14/12 | 5,365 | ||||||
| 10,000 | 4.875%, 11/27/13 | 10,986 | ||||||
| 44,470 | 4.875%, 12/13/13 | 48,842 | ||||||
| 2,125 | 5.000%, 03/09/12 | 2,224 | ||||||
| 24,980 | 5.000%, 03/14/14 | 27,579 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 20,025 | 5.250%, 09/13/13 | 22,099 | ||||||
| 17,575 | 5.375%, 06/14/13 | 19,335 | ||||||
| 29,755 | 5.375%, 06/13/14 | 33,387 | ||||||
| 6,550 | 7.000%, 08/15/14 | 7,713 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 30,000 | 0.750%, 12/28/12 | 30,029 | ||||||
| 25,000 | 1.000%, 08/28/12 | 25,152 | ||||||
| 25,000 | 1.375%, 01/09/13 | 25,307 | ||||||
| 20,000 | 1.750%, 06/15/12 | 20,328 | ||||||
| 58,000 | 2.125%, 03/23/12 | 59,031 | ||||||
| 10,000 | 2.125%, 09/21/12 | 10,234 | ||||||
| 25,100 | 2.500%, 04/23/14 | 25,934 | ||||||
| 26,830 | 2.875%, 02/09/15 | 27,834 | ||||||
| 11,038 | 4.000%, 06/12/13 | 11,799 | ||||||
| 25,000 | 4.125%, 12/21/12 | 26,524 | ||||||
| 55,000 | 4.125%, 09/27/13 | 59,202 | ||||||
| 15,000 | 4.500%, 01/15/13 | 16,055 | ||||||
| 25,000 | 4.500%, 01/15/14 | 27,261 | ||||||
| 15,960 | 4.500%, 04/02/14 | 17,402 | ||||||
| 37,500 | 4.750%, 03/05/12 | 39,142 | ||||||
| 75,196 | 5.000%, 01/30/14 | 83,089 | ||||||
| 40,505 | 5.000%, 07/15/14 | 45,039 | ||||||
| 25,000 | 5.125%, 07/15/12 | 26,599 | ||||||
| 6,500 | 5.250%, 07/18/11 | 6,626 | ||||||
| 2,000 | 5.500%, 09/15/11 | 2,056 | ||||||
| 17,000 | 5.750%, 01/15/12 | 17,783 | ||||||
Federal National Mortgage Association, | ||||||||
| 5,700 | Zero Coupon, 07/05/14 | 5,331 | ||||||
| 5,000 | 0.875%, 01/12/12 | 5,020 | ||||||
| 40,000 | 1.000%, 04/04/12 | 40,246 | ||||||
| 15,000 | 1.000%, 09/23/13 | 14,951 | ||||||
| 18,035 | 1.550%, 10/27/15 | 17,461 | ||||||
| 35,000 | 1.750%, 02/22/13 | 35,661 | ||||||
| 10,800 | 1.875%, 04/20/12 | 10,974 | ||||||
| 3,245 | 4.000%, 03/27/13 | 3,458 | ||||||
| 11,310 | 4.000%, 04/15/13 | 12,062 | ||||||
| 6,135 | 4.050%, 04/18/13 | 6,550 | ||||||
| 5,000 | 4.125%, 04/29/13 | 5,349 | ||||||
| 7,839 | 4.125%, 07/11/13 | 8,409 | ||||||
| 25,000 | 4.375%, 09/15/12 | 26,445 | ||||||
| 17,000 | 4.375%, 03/15/13 | 18,231 | ||||||
| 107,600 | 4.375%, 07/17/13 | 115,941 | ||||||
| 25,000 | 4.625%, 10/15/13 | 27,248 | ||||||
| 75,750 | 4.750%, 11/19/12 | 81,034 | ||||||
| 87,497 | 4.750%, 02/21/13 | 94,275 | ||||||
| 35,750 | 4.875%, 05/18/12 | 37,650 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 192 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
| 7,000 | 5.000%, 10/15/11 | 7,203 | ||||||
| 10,000 | 5.000%, 04/15/15 | 11,125 | ||||||
| 6,000 | 6.260%, 11/26/12 | 6,570 | ||||||
Total U.S. Government Agency Securities | 2,257,147 | |||||||
| U.S. Treasury Obligations — 30.1% |
| ||||||
U.S. Treasury Notes, | ||||||||
| 55,000 | 0.375%, 08/31/12 | 54,940 | ||||||
| 40,000 | 0.375%, 10/31/12 | 39,890 | ||||||
| 10,000 | 0.500%, 11/30/12 | 9,987 | ||||||
| 35,000 | 0.500%, 11/15/13 | 34,513 | ||||||
| 30,000 | 0.625%, 06/30/12 | 30,098 | ||||||
| 163,000 | 0.625%, 07/31/12 (m) | 163,497 | ||||||
| 35,000 | 0.625%, 12/31/12 | 35,003 | ||||||
| 30,000 | 0.625%, 01/31/13 | 29,985 | ||||||
| 68,000 | 0.750%, 11/30/11 | 68,266 | ||||||
| 73,000 | 0.750%, 05/31/12 | 73,359 | ||||||
| 20,000 | 0.750%, 08/15/13 | 19,931 | ||||||
| 76,000 | 0.750%, 09/15/13 | 75,644 | ||||||
| 80,000 | 0.875%, 01/31/12 | 80,434 | ||||||
| 152,000 | 0.875%, 02/29/12 | 152,873 | ||||||
| 150,200 | 1.000%, 08/31/11 | 150,804 | ||||||
| 50,000 | 1.000%, 09/30/11 | 50,233 | ||||||
| 178,450 | 1.000%, 10/31/11 (m) | 179,377 | ||||||
| 110,000 | 1.000%, 12/31/11 | 110,670 | ||||||
| 80,000 | 1.000%, 03/31/12 | 80,587 | ||||||
| 40,000 | 1.000%, 04/30/12 | 40,305 | ||||||
| 35,000 | 1.000%, 07/15/13 | 35,118 | ||||||
| 35,000 | 1.000%, 01/15/14 | 34,888 | ||||||
| 121,000 | 1.125%, 01/15/12 (m) | 121,893 | ||||||
| 46,000 | 1.125%, 12/15/12 | 46,422 | ||||||
| 170,600 | 1.125%, 06/15/13 (m) | 171,786 | ||||||
| 60,000 | 1.250%, 02/15/14 | 60,150 | ||||||
| 20,000 | 1.250%, 08/31/15 | 19,428 | ||||||
| 20,000 | 1.250%, 09/30/15 | 19,386 | ||||||
| 142,580 | 1.375%, 02/15/12 (m) | 144,045 | ||||||
| 68,300 | 1.375%, 05/15/12 | 69,140 | ||||||
| 136,565 | 1.375%, 09/15/12 | 138,432 | ||||||
| 85,000 | 1.375%, 10/15/12 (m) | 86,166 | ||||||
| 104,680 | 1.375%, 11/15/12 | 106,111 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 15,000 | 1.375%, 01/15/13 | 15,206 | ||||||
| 30,000 | 1.375%, 02/15/13 | 30,411 | ||||||
| 72,000 | 1.375%, 03/15/13 | 72,974 | ||||||
| 25,000 | 1.375%, 05/15/13 | 25,326 | ||||||
| 93,480 | 1.750%, 11/15/11 | 94,488 | ||||||
| 78,210 | 1.750%, 08/15/12 | 79,704 | ||||||
| 35,000 | 1.750%, 07/31/15 | 34,830 | ||||||
| 10,000 | 1.875%, 06/15/12 | 10,194 | ||||||
| 5,750 | 1.875%, 04/30/14 | 5,863 | ||||||
| 20,000 | 1.875%, 06/30/15 | 20,044 | ||||||
| 25,000 | 2.125%, 12/31/15 | 25,068 | ||||||
| 10,000 | 2.250%, 01/31/15 | 10,238 | ||||||
| 10,000 | 2.375%, 10/31/14 | 10,309 | ||||||
| 4,300 | 3.125%, 09/30/13 | 4,540 | ||||||
| 5,000 | 4.000%, 02/15/15 | 5,461 | ||||||
| 30,000 | 4.875%, 07/31/11 | 30,591 | ||||||
| 93,000 | 5.125%, 06/30/11 (m) | 94,540 | ||||||
Total U.S. Treasury Obligations | 3,103,148 | |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.8% |
| ||||||
Investment Company — 2.8% | ||||||||
| 285,360 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000% (b) (l) | 285,360 | ||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% |
| ||||||
Investment Company — 0.0% (g) | ||||||||
| 2,120 | JPMorgan Prime Money Market Fund, | 2,120 | ||||||
Total Investments — 99.7% | 10,275,015 | |||||||
Other Assets in Excess of | 35,656 | |||||||
NET ASSETS — 100.0% | $ | 10,310,671 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 193 | ||||||
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 6.8% |
| ||||||
Ally Auto Receivables Trust, | ||||||||
| 50 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 51 | ||||||
| 89 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 88 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
| 125 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 127 | ||||||
| 150 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 150 | ||||||
Bank of America Auto Trust, | ||||||||
| 166 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 167 | ||||||
| 100 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 104 | ||||||
| 172 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 173 | ||||||
CarMax Auto Owner Trust, | ||||||||
| 306 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 312 | ||||||
| 60 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 60 | ||||||
| 202 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 207 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
| 156 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 159 | ||||||
| 196 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 196 | ||||||
| 95 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 95 | ||||||
CNH Equipment Trust, | ||||||||
| 24 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 24 | ||||||
| 26 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 27 | ||||||
| 69 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 69 | ||||||
| 108 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 109 | ||||||
| 208 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 | 206 | ||||||
| 45 | Daimler Chrysler Auto Trust, Series 2008-B, | 45 | ||||||
| 150 | Ford Credit Auto Owner Trust, Series 2009-B, Class A3, 2.790%, 08/15/13 | 152 | ||||||
| 363 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.440%, 02/25/36 | 318 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
| 154 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 157 | ||||||
| 100 | Series 2009-4, Class A3, 1.870%, 02/15/14 | 101 | ||||||
| 398 | Home Equity Asset Trust, Series 2006-3, | 383 | ||||||
| 82 | Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 05/15/13 | 82 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
| 200 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 202 | ||||||
| 95 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 93 | ||||||
| 300 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 | 303 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
| 252 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 258 | ||||||
| 333 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 337 | ||||||
| 283 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.460%, 02/25/36 | 269 | ||||||
| 314 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.452%, 03/25/36 | 301 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
| 150 | Series 2010-1, Class A3, 1.840%, 11/17/14 | 152 | ||||||
| 35 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 35 | ||||||
| 152 | USAA Auto Owner Trust, Series 2008-2, Class A3, 4.640%, 10/15/12 | 153 | ||||||
| 2 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 2 | ||||||
World Omni Auto Receivables Trust, | ||||||||
| 40 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 40 | ||||||
| 45 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 46 | ||||||
Total Asset-Backed Securities | 5,753 | |||||||
| Collateralized Mortgage Obligations — 5.2% |
| ||||||
Agency CMO — 5.2% |
| |||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
| 326 | Series 2594, Class QP, 4.000%, 03/15/33 | 333 | ||||||
| 160 | Series 2686, Class VP, 5.000%, 09/15/17 | 170 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
| 141 | Series 2003-42, Class EP, 4.000%, 11/25/22 | 146 | ||||||
| 350 | Series 2003-92, Class PE, 4.500%, 09/25/18 | 373 | ||||||
| 207 | Series 2005-31, Class PA, 5.500%, 10/25/34 | 225 | ||||||
| 200 | Series 2005-48, Class MD, 5.000%, 04/25/34 | 211 | ||||||
| 429 | Series 2006-43, Class G, 6.500%, 09/25/33 | 438 | ||||||
| 425 | Series 2006-63, Class AB, 6.500%, 10/25/33 | 431 | ||||||
| 274 | Series 2006-63, Class AE, 6.500%, 10/25/33 | 277 | ||||||
| 155 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 165 | ||||||
| 200 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 218 | ||||||
| 269 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 282 | ||||||
| 393 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 416 | ||||||
Government National Mortgage Association, | ||||||||
| 5 | Series 2002-24, Class FA, VAR, 0.765%, 04/16/32 (m) | 5 | ||||||
| 50 | Series 2003-86, Class PE, 5.000%, 09/20/32 | 53 | ||||||
| 305 | Series 2003-105, Class VH, 4.500%, 01/16/28 | 322 | ||||||
| 201 | Series 2009-67, Class GK, 4.500%, 01/16/37 | 211 | ||||||
| 102 | NCUA Guaranteed Notes, Series 2010-R3, | 100 | ||||||
| 4,376 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 194 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — 0.0% (g) |
| |||||||
| 56 | MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 58 | ||||||
Total Collateralized Mortgage Obligations | 4,434 | |||||||
| Commercial Mortgage-Backed Securities — 0.3% |
| ||||||
| 2 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.176%, 11/10/41 | 2 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
| 189 | Series 2001-CP4, Class A4, 6.180%, 12/15/35 | 190 | ||||||
| 73 | Series 2004-C3, Class A3, 4.302%, 07/15/36 | 73 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $264) | 265 | |||||||
| Corporate Bonds — 26.3% |
| ||||||
Consumer Discretionary — 0.4% | ||||||||
Auto Components — 0.1% |
| |||||||
| 65 | Johnson Controls, Inc., 4.875%, 09/15/13 | 70 | ||||||
Automobiles — 0.1% |
| |||||||
| 50 | Daimler Finance North America LLC, 6.500%, 11/15/13 | 56 | ||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||
| 80 | McDonald’s Corp., 8.875%, 04/01/11 | 81 | ||||||
Media — 0.1% |
| |||||||
| 40 | Comcast Corp., 6.500%, 01/15/15 | 45 | ||||||
| 50 | NBC Universal, Inc., 2.100%, 04/01/14 (e) | 50 | ||||||
| 95 | ||||||||
Multiline Retail — 0.0% (g) |
| |||||||
| 50 | Kohl’s Corp., 7.375%, 10/15/11 | 52 | ||||||
Total Consumer Discretionary | 354 | |||||||
Consumer Staples — 1.6% | ||||||||
Beverages — 0.4% |
| |||||||
| 50 | Anheuser-Busch InBev Worldwide, Inc., 7.200%, 01/15/14 (e) | 57 | ||||||
| 45 | Bottling Group LLC, 5.000%, 11/15/13 | 49 | ||||||
| 160 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 170 | ||||||
| 85 | PepsiCo, Inc., 3.750%, 03/01/14 | 91 | ||||||
| 367 | ||||||||
Food & Staples Retailing — 0.1% |
| |||||||
| 45 | Wal-Mart Stores, Inc., 7.250%, 06/01/13 | 51 | ||||||
Food Products — 1.1% |
| |||||||
| 120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 128 | ||||||
| 50 | Cargill, Inc., 4.375%, 06/01/13 (e) | 53 | ||||||
| 35 | General Mills, Inc., 5.250%, 08/15/13 | 38 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — Continued |
| |||||||
Kraft Foods, Inc., | ||||||||
| 600 | 6.000%, 02/11/13 | 652 | ||||||
| 37 | 6.250%, 06/01/12 | 39 | ||||||
| 910 | ||||||||
Total Consumer Staples | 1,328 | |||||||
Energy — 0.6% |
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
| 15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 | 16 | ||||||
| 35 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 38 | ||||||
| 40 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 44 | ||||||
| 30 | PC Financial Partnership, 5.000%, 11/15/14 | 32 | ||||||
| 156 | Qatar Petroleum, (Qatar), 5.579%, 05/30/11 (e) | 157 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
| 30 | 1.875%, 03/25/13 | 31 | ||||||
| 35 | 4.000%, 03/21/14 | 37 | ||||||
| 100 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 110 | ||||||
| 29 | Total Capital Canada Ltd., (Canada), 1.625%, 01/28/14 | 29 | ||||||
Total Energy | 494 | |||||||
Financials — 15.9% | ||||||||
Capital Markets — 2.2% |
| |||||||
| 200 | Bank of New York Mellon Corp. (The), 4.500%, 04/01/13 | 214 | ||||||
| 100 | BlackRock, Inc., 3.500%, 12/10/14 | 105 | ||||||
| 45 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 49 | ||||||
| 200 | Credit Suisse USA, Inc., 4.875%, 01/15/15 | 216 | ||||||
| 600 | Goldman Sachs Group, Inc. (The), 4.750%, 07/15/13 | 639 | ||||||
| 85 | Jefferies Group, Inc., 3.875%, 11/09/15 | 84 | ||||||
| 280 | Morgan Stanley, 6.750%, 10/15/13 | 310 | ||||||
| 15 | Nomura Holdings, Inc., (Japan), 4.125%, 01/19/16 | 15 | ||||||
| 60 | Northern Trust Corp., 5.500%, 08/15/13 | 66 | ||||||
| 135 | State Street Corp., 4.300%, 05/30/14 | 146 | ||||||
| 1,844 | ||||||||
Commercial Banks — 2.5% |
| |||||||
| 45 | Bank of Nova Scotia, (Canada), 2.250%, 01/22/13 | 46 | ||||||
| 110 | Barclays Bank plc, (United Kingdom), 2.375%, 01/13/14 | 110 | ||||||
| 240 | BB&T Corp., 5.200%, 12/23/15 | 258 | ||||||
| 20 | Canadian Imperial Bank of Commerce, (Canada), 2.350%, 12/11/15 | 19 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 195 | ||||||
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
Deutsche Bank AG, (Germany), | ||||||||
| 175 | 3.875%, 08/18/14 | 183 | ||||||
| 100 | 5.375%, 10/12/12 | 107 | ||||||
| 20 | M&T Bank Corp., 5.375%, 05/24/12 | 21 | ||||||
| 100 | National City Corp., 4.900%, 01/15/15 | 108 | ||||||
| 250 | U.S. Bank N.A., 6.300%, 02/04/14 | 279 | ||||||
| 800 | Wachovia Corp., 5.500%, 05/01/13 | 868 | ||||||
| 128 | Westpac Banking Corp., (Australia), 2.250%, 11/19/12 | 131 | ||||||
| 2,130 | ||||||||
Consumer Finance — 1.5% |
| |||||||
American Express Credit Corp., | ||||||||
| 130 | 5.875%, 05/02/13 | 141 | ||||||
| 80 | 7.300%, 08/20/13 | 90 | ||||||
| 20 | Capital One Financial Corp., 7.375%, 05/23/14 | 23 | ||||||
| 720 | HSBC Finance Corp., 6.375%, 11/27/12 | 778 | ||||||
| 200 | John Deere Capital Corp., 5.250%, 10/01/12 | 214 | ||||||
| 55 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 57 | ||||||
| 1,303 | ||||||||
Diversified Financial Services — 3.2% |
| |||||||
Bank of America Corp., | ||||||||
| 50 | 4.900%, 05/01/13 | 53 | ||||||
| 100 | 7.375%, 05/15/14 | 114 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
| 60 | 3.125%, 03/10/12 | 61 | ||||||
| 80 | 3.625%, 05/08/14 | 84 | ||||||
Caterpillar Financial Services Corp., | ||||||||
| 150 | 4.900%, 08/15/13 | 163 | ||||||
| 50 | 6.125%, 02/17/14 | 56 | ||||||
Citigroup, Inc., | ||||||||
| 520 | 5.500%, 04/11/13 | 558 | ||||||
| 45 | 6.375%, 08/12/14 | 50 | ||||||
| 200 | CME Group, Inc., 5.400%, 08/01/13 | 219 | ||||||
| 20 | ERAC USA Finance LLC, 2.750%, 07/01/13 (e) | 20 | ||||||
General Electric Capital Corp., | ||||||||
| 1,000 | 4.750%, 09/15/14 | 1,077 | ||||||
| 125 | 5.900%, 05/13/14 | 139 | ||||||
| 50 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 51 | ||||||
| 20 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 21 | ||||||
| 2,666 | ||||||||
FDIC Guaranteed Securities — 5.3% (~) |
| |||||||
| 600 | Bank of America Corp., 3.125%, 06/15/12 | 620 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
FDIC Guaranteed Securities — Continued (~) |
| |||||||
| 600 | Citigroup, Inc., 2.875%, 12/09/11 | 612 | ||||||
General Electric Capital Corp., | ||||||||
| 700 | 2.125%, 12/21/12 | 718 | ||||||
| 800 | 3.000%, 12/09/11 | 816 | ||||||
| 300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 311 | ||||||
| 600 | HSBC USA, Inc., 3.125%, 12/16/11 | 613 | ||||||
| 400 | John Deere Capital Corp., 2.875%, 06/19/12 | 412 | ||||||
| 400 | SunTrust Bank, 3.000%, 11/16/11 | 408 | ||||||
| 4,510 | ||||||||
Insurance — 0.2% |
| |||||||
| 50 | Allstate Corp. (The), 6.200%, 05/16/14 | 57 | ||||||
| 40 | CNA Financial Corp., 5.850%, 12/15/14 | 43 | ||||||
| 100 | Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e) | 107 | ||||||
| 207 | ||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
| 42 | HCP, Inc., 2.700%, 02/01/14 | 42 | ||||||
| 13 | Simon Property Group LP, 4.200%, 02/01/15 | 14 | ||||||
| 56 | ||||||||
Thrifts & Mortgage Finance — 0.9% |
| |||||||
| 700 | Countrywide Financial Corp., 5.800%, 06/07/12 | 738 | ||||||
Total Financials | 13,454 | |||||||
Health Care — 0.1% |
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
| 50 | Eli Lilly & Co., 3.550%, 03/06/12 | 51 | ||||||
Industrials — 0.8% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
| 150 | Boeing Co. (The), 5.125%, 02/15/13 | 162 | ||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
| 10 | Pitney Bowes, Inc., 4.875%, 08/15/14 | 10 | ||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 100 | Honeywell International, Inc., 3.875%, 02/15/14 | 107 | ||||||
Machinery — 0.1% |
| |||||||
| 40 | PACCAR, Inc., 6.875%, 02/15/14 | 46 | ||||||
Road & Rail — 0.4% |
| |||||||
| 100 | Burlington Northern Santa Fe LLC, 5.900%, 07/01/12 | 106 | ||||||
Canadian National Railway Co., (Canada), | ||||||||
| 20 | 4.400%, 03/15/13 | 21 | ||||||
| 30 | 4.950%, 01/15/14 | 33 | ||||||
| 80 | CSX Corp., 6.300%, 03/15/12 | 84 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 196 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
| 70 | Union Pacific Corp., 5.450%, 01/31/13 | 76 | ||||||
| 320 | ||||||||
Total Industrials | 645 | |||||||
Information Technology — 0.9% |
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
Dell, Inc., | ||||||||
| 34 | 2.300%, 09/10/15 | 33 | ||||||
| 25 | 5.625%, 04/15/14 | 28 | ||||||
Hewlett-Packard Co., | ||||||||
| 20 | 2.950%, 08/15/12 | 21 | ||||||
| 120 | 6.125%, 03/01/14 | 134 | ||||||
| 60 | International Business Machines Corp., 4.750%, 11/29/12 | 64 | ||||||
| 280 | ||||||||
Electronic Equipment, Instruments & Components —0.0% (g) |
| |||||||
| 15 | Arrow Electronics, Inc., 3.375%, 11/01/15 | 15 | ||||||
IT Services — 0.1% |
| |||||||
| 50 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 55 | ||||||
Office Electronics — 0.2% |
| |||||||
| 110 | Xerox Corp., 8.250%, 05/15/14 | 129 | ||||||
Software — 0.3% |
| |||||||
| 140 | Microsoft Corp., 2.950%, 06/01/14 | 146 | ||||||
| 140 | Oracle Corp., 4.950%, 04/15/13 | 152 | ||||||
| 298 | ||||||||
Total Information Technology | 777 | |||||||
Materials — 0.3% |
| |||||||
Chemicals — 0.2% |
| |||||||
| 40 | Dow Chemical Co. (The), 7.600%, 05/15/14 | 46 | ||||||
El du Pont de Nemours & Co., | ||||||||
| 29 | 1.950%, 01/15/16 | 28 | ||||||
| 45 | 3.250%, 01/15/15 | 47 | ||||||
| 33 | 5.000%, 01/15/13 | 35 | ||||||
| 50 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15 | 52 | ||||||
| 208 | ||||||||
Metals & Mining — 0.1% |
| |||||||
| 70 | Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14 | 85 | ||||||
Total Materials | 293 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 2.5% | ||||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
| 450 | AT&T, Inc., 6.700%, 11/15/13 | 509 | ||||||
| 130 | France Telecom S.A., (France), 4.375%, 07/08/14 | 140 | ||||||
| 50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 53 | ||||||
| 950 | Telefonica Emisiones S.A.U., (Spain), 5.984%, 06/20/11 | 965 | ||||||
| 250 | Verizon Florida LLC, 6.125%, 01/15/13 | 268 | ||||||
| 1,935 | ||||||||
Wireless Telecommunication Services — 0.2% | ||||||||
| 120 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 133 | ||||||
| 70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 74 | ||||||
| 207 | ||||||||
Total Telecommunication Services | 2,142 | |||||||
Utilities — 3.2% | ||||||||
Electric Utilities — 2.8% | ||||||||
Appalachian Power Co., | ||||||||
| 650 | 5.550%, 04/01/11 | 653 | ||||||
| 200 | 5.650%, 08/15/12 | 211 | ||||||
| 50 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 55 | ||||||
Duke Energy Corp., | ||||||||
| 30 | 3.950%, 09/15/14 | 32 | ||||||
| 38 | 6.300%, 02/01/14 | 42 | ||||||
| 1,150 | MidAmerican Energy Co., 5.650%, 07/15/12 | 1,220 | ||||||
| 50 | Nisource Finance Corp., 6.150%, 03/01/13 | 54 | ||||||
| 15 | Progress Energy, Inc., 6.050%, 03/15/14 | 17 | ||||||
| 20 | Southern California Edison Co., 4.150%, 09/15/14 | 22 | ||||||
| 10 | Southern Co., 4.150%, 05/15/14 | 11 | ||||||
| 50 | Spectra Energy Capital LLC, 5.668%, 08/15/14 | 55 | ||||||
| 2,372 | ||||||||
Gas Utilities — 0.2% | ||||||||
| 85 | Atmos Energy Corp., 4.950%, 10/15/14 | 91 | ||||||
| 80 | Southern California Gas Co., 5.500%, 03/15/14 | 87 | ||||||
| 178 | ||||||||
Multi-Utilities — 0.2% | ||||||||
| 130 | Dominion Resources, Inc., 5.700%, 09/17/12 | 139 | ||||||
| 20 | PG&E Corp., 5.750%, 04/01/14 | 22 | ||||||
| 161 | ||||||||
Total Utilities | 2,711 | |||||||
Total Corporate Bonds | 22,249 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 197 | ||||||
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Foreign Government Securities — 0.2% |
| ||||||
Province of Ontario, (Canada), | ||||||||
| 100 | 2.950%, 02/05/15 | 104 | ||||||
| 45 | 4.100%, 06/16/14 | 48 | ||||||
Total Foreign Government Securities | 152 | |||||||
| Mortgage Pass-Through Securities — 1.1% |
| ||||||
| 264 | Federal Home Loan Mortgage Corp. Gold Pool, 20 Year, Single Family, 6.000%, 10/01/24 | 292 | ||||||
| 220 | Federal Home Loan Mortgage Corp., Gold Pool, 30 Year, Single Family, 6.000%, 06/01/34 | 242 | ||||||
| 196 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 | 214 | ||||||
| 210 | Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23 | 228 | ||||||
Total Mortgage Pass-Through Securities | 976 | |||||||
| U.S. Government Agency Securities — 25.4% |
| ||||||
Federal Farm Credit Bank, | ||||||||
| 400 | 2.625%, 04/17/14 | 415 | ||||||
| 685 | 4.900%, 03/06/13 | 741 | ||||||
Federal Home Loan Bank, | ||||||||
| 700 | 1.125%, 05/18/12 | 706 | ||||||
| 2,500 | 1.875%, 06/21/13 | 2,553 | ||||||
| 4,000 | 3.125%, 12/13/13 | 4,198 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
| 900 | 0.750%, 12/28/12 | 901 | ||||||
| 1,350 | 3.000%, 07/28/14 | 1,413 | ||||||
Federal National Mortgage Association, | ||||||||
| 900 | 1.000%, 04/04/12 | 906 | ||||||
| 500 | 2.375%, 07/28/15 | 504 | ||||||
| 2,703 | 4.000%, 03/27/13 | 2,880 | ||||||
| 4,000 | 4.375%, 03/15/13 | 4,290 | ||||||
| 1,400 | 4.625%, 10/15/13 | 1,526 | ||||||
| 400 | 4.750%, 02/21/13 | 431 | ||||||
Total U.S. Government Agency Securities | 21,464 | |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 33.2% |
| ||||||
U.S. Treasury Notes, | ||||||||
| 2,500 | 0.500%, 11/15/13 | 2,465 | ||||||
| 200 | 0.625%, 07/31/12 | 201 | ||||||
| 300 | 0.750%, 08/15/13 | 299 | ||||||
| 5,775 | 0.875%, 02/29/12 (m) | 5,808 | ||||||
| 500 | 1.000%, 04/30/12 | 504 | ||||||
| 8,350 | 1.125%, 01/15/12 (m) | 8,412 | ||||||
| 2,550 | 1.375%, 09/15/12 | 2,585 | ||||||
| 1,420 | 1.375%, 02/15/13 | 1,439 | ||||||
| 400 | 1.375%, 11/30/15 | 388 | ||||||
| 3,175 | 1.750%, 08/15/12 | 3,236 | ||||||
| 100 | 1.750%, 07/31/15 | 99 | ||||||
| 2,500 | 2.750%, 10/31/13 | 2,615 | ||||||
Total U.S. Treasury Obligations | 28,051 | |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.2% |
| ||||||
Investment Company — 1.2% | ||||||||
| 1,044 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1,044 | ||||||
Total Investments —99.7% | 84,388 | |||||||
Other Assets in Excess of | 215 | |||||||
NET ASSETS — 100.0% | $ | 84,603 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 198 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
JPMorgan Treasury & Agency Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 22.5% |
| ||||||
Federal Farm Credit Bank, | ||||||||
| 20,000 | 3.625%, 07/15/11 (m) | 20,256 | ||||||
| 24,000 | 3.875%, 06/04/12 (m) | 25,015 | ||||||
| 9,745 | 4.000%, 05/21/13 | 10,405 | ||||||
| 25,000 | 4.350%, 09/02/14 (m) | 27,284 | ||||||
| 500 | 6.270%, 01/26/16 | 590 | ||||||
Federal Home Loan Bank, | ||||||||
| 5,000 | 1.125%, 05/18/12 | 5,039 | ||||||
| 9,400 | 5.310%, 12/28/12 | 10,185 | ||||||
| 1,937 | New Valley Generation I, 7.299%, 03/15/19 | 2,271 | ||||||
| 4,879 | New Valley Generation II, 5.572%, 05/01/20 | 5,169 | ||||||
Total U.S. Government Agency Securities | 106,214 | |||||||
| U.S. Treasury Obligations — 75.9% |
| ||||||
U.S. Treasury Notes, | ||||||||
| 25,000 | 0.625%, 06/30/12 | 25,082 | ||||||
| 5,000 | 0.875%, 04/30/11 | 5,006 | ||||||
| 10,700 | 0.875%, 02/29/12 | 10,761 | ||||||
| 28,000 | 1.250%, 08/31/15 | 27,200 | ||||||
| 10,665 | 1.375%, 02/15/12 | 10,775 | ||||||
| 60,000 | 1.375%, 05/15/12 | 60,738 | ||||||
| 21,040 | 1.375%, 02/15/13 | 21,328 | ||||||
| 30,290 | 1.750%, 11/15/11 | 30,617 | ||||||
| 7,000 | 1.750%, 04/15/13 | 7,148 | ||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| 20,000 | 1.750%, 07/31/15 | 19,903 | ||||||
| 40,000 | 1.875%, 06/15/12 | 40,775 | ||||||
| 12,000 | 1.875%, 04/30/14 | 12,237 | ||||||
| 5,000 | 2.000%, 01/31/16 | 4,976 | ||||||
| 8,000 | 2.375%, 10/31/14 | 8,248 | ||||||
| 70,000 | 2.750%, 10/31/13 | 73,232 | ||||||
Total U.S. Treasury Obligations | 358,026 | |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% | ||||||||
| 5,365 | JPMorgan Federal Money Market Fund, Institutional Class Shares, | 5,365 | ||||||
Total Investments — 99.5% | 469,605 | |||||||
Other Assets in Excess of | 2,264 | |||||||
NET ASSETS — 100.0% | $ | 471,869 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 199 | ||||||
Table of Contents
J.P. Morgan Income Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
| ADR | — American Depsitary Receipt | |
| ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2011. | |
| ARS | — Argentine Peso | |
| BRL | — Brazilian Real | |
| CLN | — Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of February 28, 2011. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate. | |
| CMO | — Collateralized Mortgage Obligation | |
| COP | — Columbian Peso | |
| ESOP | — Employee Stock Ownership Program | |
| FGIC | — Insured by Financial Guaranty Insurance Co. | |
| FHA | — Federal Housing Administration | |
| GO | — General Obligation | |
| HB | — High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | |
| IF | — Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2011. The rate may be subject to a cap and floor. | |
| IO | — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
| MXN | — Mexican Peso | |
| PEN | — Peru Nuevo Sol | |
| PIK | — Payment-in-Kind | |
| PO | — Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |
| Reg. S. | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. | |
| REMICS | — Real Estate Mortgage Investment Conduits | |
| Rev. | — Revenue | |
| RUB | — Russian Ruble |
| STRIPS | — Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| ||||||||
| SUB | — Step-Up Bond. The interest rate shown is the rate in effect as of February 28, 2011. |
| ||||||||
| UYU | — Uruguayan Peso |
| ||||||||
| VA | — Veterans Administration |
| ||||||||
| VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2011. |
| ||||||||
| ZAR | — South African Rand |
| ||||||||
| (a) | — Non-income producing security. |
| ||||||||
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
| ||||||||
| (c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
| ||||||||
| (d) | — Defaulted security. |
| ||||||||
| (e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| ||||||||
| (f) | — Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments |
| ||||||||
| Fund | Value | Percentage | ||||||||
| Core Bond Fund | $ | 65,032 | 0.34 | % | ||||||
| Core Plus Bond Fund | 10,510 | 0.51 | ||||||||
| Government Bond Fund | 864 | 0.06 | ||||||||
| High Yield Fund | 92,948 | 0.97 | ||||||||
| Limited Duration Bond Fund | 2,257 | 0.57 | ||||||||
| Mortgage-Backed Securities Fund | 9,440 | 0.43 | ||||||||
| (g) | — Amount rounds to less than 0.1%. |
| ||||||||
| (h) | — Amount rounds to less than one thousand (shares or dollars). |
| ||||||||
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
| ||||||||
| (k) | — All or portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
| ||||||||
| (l) | — The rate shown is the current yield as of February 28, 2011. |
| ||||||||
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
| ||||||||
| (r) | — Rates shown are per annum and payments are as described. |
| ||||||||
| (x) | — Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2011. |
| ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 200 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| ~ | — Securities are guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP). Under this program, the FDIC guarantees, with the full faith and credit of the U.S. government, the payment of principal and interest. The expiration of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012. | |
| ^ | — Unsettled security, coupon rate is undetermined at February 28, 2011. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 201 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011
(Amounts in thousands, except per share amounts)
| Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 18,937,864 | $ | 1,933,371 | $ | 1,319,528 | ||||||
Investments in affiliates, at value | 220,224 | 145,512 | 116,197 | |||||||||
Total investment securities, at value | 19,158,088 | 2,078,883 | 1,435,725 | |||||||||
Cash | 4,933 | 312 | — | |||||||||
Foreign currency, at value | — | 12 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 10,798 | 5,906 | 53,737 | |||||||||
Fund shares sold | 79,443 | 3,734 | 1,488 | |||||||||
Interest and dividends | 102,497 | 19,338 | 5,323 | |||||||||
Variation margin on futures contracts | — | 1 | — | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 20 | — | |||||||||
Unrealized appreciation on unfunded commitments | — | — | (a) | — | ||||||||
Other assets | — | 208 | — | |||||||||
Total Assets | 19,355,759 | 2,108,414 | 1,496,273 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 13,525 | 5,110 | 2,517 | |||||||||
Investment securities purchased | 37,056 | 24,099 | — | (a) | ||||||||
Fund shares redeemed | 37,055 | 10,514 | 2,536 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | (a) | — | ||||||||
Outstanding swap contracts, at value | — | 51 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 2,706 | 407 | 333 | |||||||||
Administration fees | 1,350 | 86 | 101 | |||||||||
Shareholder servicing fees | 2,191 | 325 | 46 | |||||||||
Distribution fees | 2,116 | 233 | 212 | |||||||||
Custodian and accounting fees | 526 | 135 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 14 | 3 | — | (a) | ||||||||
Other | 743 | 237 | 217 | |||||||||
Total Liabilities | 97,282 | 41,200 | 6,018 | |||||||||
Net Assets | $ | 19,258,477 | $ | 2,067,214 | $ | 1,490,255 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 202 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 18,633,513 | $ | 2,263,348 | $ | 1,402,304 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,016 | (180 | ) | (36 | ) | |||||||
Accumulated net realized gains (losses) | (25,021 | ) | (272,441 | ) | (527 | ) | ||||||
Net unrealized appreciation (depreciation) | 648,969 | 76,487 | 88,514 | |||||||||
Total Net Assets | $ | 19,258,477 | $ | 2,067,214 | $ | 1,490,255 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 3,982,404 | $ | 327,106 | $ | 474,402 | ||||||
Class B | 76,034 | 6,270 | 19,524 | |||||||||
Class C | 2,181,719 | 287,042 | 171,114 | |||||||||
Class R2 | 37,096 | 357 | 15,782 | |||||||||
Class R5 | 123,327 | — | — | |||||||||
Class R6 | 2,334,504 | 158,216 | — | |||||||||
Institutional Class | — | 27,374 | — | |||||||||
Select Class | 10,523,393 | 1,260,849 | 809,433 | |||||||||
Total | $ | 19,258,477 | $ | 2,067,214 | $ | 1,490,255 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 347,498 | 39,919 | 43,882 | |||||||||
Class B | 6,638 | 761 | 1,807 | |||||||||
Class C | 189,483 | 34,894 | 15,878 | |||||||||
Class R2 | 3,241 | 44 | 1,461 | |||||||||
Class R5 | 10,777 | — | — | |||||||||
Class R6 | 203,773 | 19,312 | — | |||||||||
Institutional Class | — | 3,338 | — | |||||||||
Select Class | 918,982 | 153,960 | 74,917 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 11.46 | $ | 8.19 | $ | 10.81 | ||||||
Class B — Offering price per share (b) | 11.45 | 8.24 | 10.80 | |||||||||
Class C — Offering price per share (b) | 11.51 | 8.23 | 10.78 | |||||||||
Class R2 — Offering and redemption price per share | 11.45 | 8.20 | 10.80 | |||||||||
Class R5 — Offering and redemption price per share | 11.44 | — | — | |||||||||
Class R6 — Offering and redemption price per share | 11.46 | 8.19 | — | |||||||||
Institutional Class — Offering and redemption price per share | — | 8.20 | — | |||||||||
Select Class — Offering and redemption price per share | 11.45 | 8.19 | 10.80 | |||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 11.91 | $ | 8.51 | $ | 11.23 | ||||||
Cost of investments in non-affiliates | $ | 18,288,895 | $ | 1,856,853 | $ | 1,231,014 | ||||||
Cost of investments in affiliates | 220,224 | 145,512 | 116,197 | |||||||||
Cost of foreign currency | — | 12 | — | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 203 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except per share amounts)
| High Yield Fund | Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 9,251,495 | $ | 308,257 | $ | 2,188,191 | ||||||
Investments in affiliates, at value | 362,530 | 88,494 | 29,013 | |||||||||
Total investment securities, at value | 9,614,025 | 396,751 | 2,217,204 | |||||||||
Cash | 4,960 | — | 669 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 64,171 | 75 | 2,834 | |||||||||
Fund shares sold | 59,637 | 1,058 | 7,776 | |||||||||
Interest and dividends | 162,697 | 911 | 9,607 | |||||||||
Securities lending income | — | (a) | — | — | ||||||||
Unrealized appreciation on unfunded commitments | 3 | — | — | |||||||||
Total Assets | 9,905,493 | 398,795 | 2,238,090 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 32,497 | 365 | 1,180 | |||||||||
Investment securities purchased | 293,274 | 7 | 11,465 | |||||||||
Collateral for securities lending program | 1,024 | — | — | |||||||||
Fund shares redeemed | 9,231 | 818 | 1,752 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 4,676 | 31 | 216 | |||||||||
Administration fees | 437 | 7 | 120 | |||||||||
Shareholder servicing fees | 619 | 59 | 86 | |||||||||
Distribution fees | 313 | 52 | 33 | |||||||||
Custodian and accounting fees | 170 | 33 | 121 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 32 | 3 | 3 | |||||||||
Other | 498 | 127 | 86 | |||||||||
Total Liabilities | 342,771 | 1,502 | 15,062 | |||||||||
Net Assets | $ | 9,562,722 | $ | 397,293 | $ | 2,223,028 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 204 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| High Yield Fund | Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 8,742,745 | $ | 526,426 | $ | 2,137,528 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 2,909 | (988 | ) | 448 | ||||||||
Accumulated net realized gains (losses) | 116,487 | (86,248 | ) | (9,866 | ) | |||||||
Net unrealized appreciation (depreciation) | 700,581 | (41,897 | ) | 94,918 | ||||||||
Total Net Assets | $ | 9,562,722 | $ | 397,293 | $ | 2,223,028 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 856,717 | $ | 69,464 | $ | 176,334 | ||||||
Class B | 17,991 | 820 | — | |||||||||
Class C | 248,488 | 66,659 | — | |||||||||
Class R2 | 3,609 | — | — | |||||||||
Class R5 | 27,619 | — | — | |||||||||
Class R6 | 929,762 | 3,873 | 1,466,482 | |||||||||
Select Class | 7,478,536 | 256,477 | 580,212 | |||||||||
Total | $ | 9,562,722 | $ | 397,293 | $ | 2,223,028 | ||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 102,869 | 7,341 | 15,330 | |||||||||
Class B | 2,155 | 87 | — | |||||||||
Class C | 29,806 | 7,115 | — | |||||||||
Class R2 | 434 | — | — | |||||||||
Class R5 | 3,302 | — | — | |||||||||
Class R6 | 111,344 | 409 | 130,062 | |||||||||
Select Class | 894,876 | 27,109 | 51,466 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 8.33 | $ | 9.46 | $ | 11.50 | ||||||
Class B — Offering price per share (b) | 8.35 | 9.39 | — | |||||||||
Class C — Offering price per share (b) | 8.34 | 9.37 | — | |||||||||
Class R2 — Offering and redemption price per share | 8.32 | — | — | |||||||||
Class R5 — Offering and redemption price per share | 8.36 | — | — | |||||||||
Class R6 — Offering and redemption price per share | 8.35 | 9.47 | 11.28 | |||||||||
Select Class — Offering and redemption price per share | 8.36 | 9.46 | 11.27 | |||||||||
Class A maximum sales charge | 3.75 | % | 2.25 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 8.65 | $ | 9.68 | $ | 11.95 | ||||||
Cost of investments in non-affiliates | $ | 8,550,917 | $ | 350,154 | $ | 2,093,273 | ||||||
Cost of investments in affiliates | 362,530 | 88,494 | 29,013 | |||||||||
Value of securities on loan | 4,131 | — | — | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 205 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except per share amounts)
| Short Duration Bond Fund | Short Term Bond Fund II | Treasury & Agency Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 9,987,535 | $ | 83,344 | $ | 464,240 | ||||||
Investments in affiliates, at value | 287,480 | 1,044 | 5,365 | |||||||||
Total investment securities, at value | 10,275,015 | 84,388 | 469,605 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 3,543 | — | — | |||||||||
Fund shares sold | 33,618 | 9 | 356 | |||||||||
Interest and dividends | 55,552 | 561 | 2,698 | |||||||||
Securities lending income | — | (a) | — | — | ||||||||
Other assets | — | 8 | — | |||||||||
Total Assets | 10,367,728 | 84,966 | 472,659 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | 11,826 | 2 | — | |||||||||
Dividends | 10,302 | 70 | 363 | |||||||||
Investment securities purchased | 1 | — | (a) | — | ||||||||
Collateral for securities lending program | 2,120 | — | — | |||||||||
Fund shares redeemed | 28,315 | 104 | 140 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 1,516 | 15 | 108 | |||||||||
Administration fees | 623 | 8 | 35 | |||||||||
Shareholder servicing fees | 1,428 | 9 | 3 | |||||||||
Distribution fees | 238 | 22 | 20 | |||||||||
Custodian and accounting fees | 238 | 15 | 17 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 3 | — | (a) | ||||||||
Audit fees | 53 | 76 | 39 | |||||||||
Other | 382 | 39 | 65 | |||||||||
Total Liabilities | 57,057 | 363 | 790 | |||||||||
Net Assets | $ | 10,310,671 | $ | 84,603 | $ | 471,869 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 206 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Short Duration Bond Fund | Short Term Bond Fund II | Treasury & Agency Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 10,184,496 | $ | 143,926 | $ | 461,402 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 435 | (20 | ) | (369 | ) | |||||||
Accumulated net realized gains (losses) | 89 | (60,466 | ) | 806 | ||||||||
Net unrealized appreciation (depreciation) | 125,651 | 1,163 | 10,030 | |||||||||
Total Net Assets | $ | 10,310,671 | $ | 84,603 | $ | 471,869 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 250,706 | $ | 7,222 | $ | 99,714 | ||||||
Class B | 2,134 | — | 771 | |||||||||
Class C | 321,680 | — | — | |||||||||
Class M | — | 75,712 | — | |||||||||
Class R6 | 2,906,329 | — | — | |||||||||
Select Class | 6,829,822 | 1,669 | 371,384 | |||||||||
Total | $ | 10,310,671 | $ | 84,603 | $ | 471,869 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 22,888 | 818 | 10,195 | |||||||||
Class B | 193 | — | 79 | |||||||||
Class C | 29,186 | — | — | |||||||||
Class M | — | 8,578 | — | |||||||||
Class R6 | 265,012 | — | — | |||||||||
Select Class | 622,889 | 189 | 38,018 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 10.95 | $ | 8.83 | $ | 9.78 | ||||||
Class B — Offering price per share (b) | 11.06 | — | 9.76 | |||||||||
Class C — Offering price per share (b) | 11.02 | — | — | |||||||||
Class M — Offering and redemption price per share | — | 8.83 | — | |||||||||
Class R6 — Offering and redemption price per share | 10.97 | — | — | |||||||||
Select Class — Offering and redemption price per share | 10.96 | 8.84 | 9.77 | |||||||||
Class A maximum sales charge | 2.25 | % | 2.25 | % | 2.25 | % | ||||||
Class A maximum public offering price per share | $ | 11.20 | $ | 9.03 | $ | 10.01 | ||||||
Class M maximum sales charge | — | 1.50 | % | — | ||||||||
Class M maximum public offering price per share | $ | — | $ | 8.96 | $ | — | ||||||
Cost of investments in non-affiliates | $ | 9,861,884 | $ | 82,181 | $ | 454,210 | ||||||
Cost of investments in affiliates | 287,480 | 1,044 | 5,365 | |||||||||
Value of securities on loan | 2,060 | — | — | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 207 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011
(Amounts in thousands)
| Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 761,348 | $ | 94,184 | $ | 64,568 | ||||||
Dividend income from non-affiliates | — | 821 | — | |||||||||
Interest income from affiliates | 10 | — | (a) | — | ||||||||
Dividend income from affiliates | 1,275 | 257 | 49 | |||||||||
Income from securities lending (net) | 154 | 72 | — | |||||||||
Other income | 99 | 145 | 33 | |||||||||
Total investment income | 762,886 | 95,479 | 64,650 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 52,468 | 5,333 | 4,512 | |||||||||
Administration fees | 16,005 | 1,626 | 1,377 | |||||||||
Distribution fees: | ||||||||||||
Class A | 9,371 | 675 | 1,220 | |||||||||
Class B | 744 | 55 | 210 | |||||||||
Class C | 19,348 | 1,911 | 1,495 | |||||||||
Class R2 | 137 | 2 | 46 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 9,371 | 675 | 1,220 | |||||||||
Class B | 248 | 18 | 70 | |||||||||
Class C | 6,450 | 637 | 498 | |||||||||
Class R2 | 69 | 1 | 23 | |||||||||
Class R5 | 253 | — | — | |||||||||
Institutional Class | — | 47 | — | |||||||||
Select Class | 22,488 | 2,762 | 1,948 | |||||||||
Custodian and accounting fees | 1,136 | 293 | 115 | |||||||||
Interest expense to affiliates | — | — | (a) | — | ||||||||
Professional fees | 262 | 149 | 85 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 194 | 19 | 17 | |||||||||
Printing and mailing costs | 2,180 | 129 | 135 | |||||||||
Registration and filing fees | 500 | 181 | 99 | |||||||||
Transfer agent fees | 8,656 | 555 | 1,036 | |||||||||
Other | 225 | 27 | 18 | |||||||||
Total expenses | 150,105 | 15,095 | 14,124 | |||||||||
Less amounts waived | (25,568 | ) | (1,915 | ) | (3,443 | ) | ||||||
Less earnings credits | (1 | ) | — | (a) | — | (a) | ||||||
Net expenses | 124,536 | 13,180 | 10,681 | |||||||||
Net investment income (loss) | 638,350 | 82,299 | 53,969 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 59,188 | 15,072 | 2,101 | |||||||||
Investment in affiliates | 309 | 60 | — | |||||||||
Futures | — | 16 | — | |||||||||
Foreign currency transactions | — | 70 | — | |||||||||
Swaps | — | 20 | — | |||||||||
Net realized gain (loss) | 59,497 | 15,238 | 2,101 | |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 228,808 | 53,457 | 8,867 | |||||||||
Investments in affiliates | (294 | ) | (59 | ) | — | |||||||
Futures | — | (3 | ) | — | ||||||||
Foreign currency translations | — | 21 | — | |||||||||
Swaps | — | 25 | — | |||||||||
Unfunded commitments | — | — | (a) | — | ||||||||
Change in net unrealized appreciation (depreciation) | 228,514 | 53,441 | 8,867 | |||||||||
Net realized/unrealized gains (losses) | 288,011 | 68,679 | 10,968 | |||||||||
Change in net assets resulting from operations | $ | 926,361 | $ | 150,978 | $ | 64,937 | ||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 208 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| High Yield Fund | Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 668,628 | $ | 10,771 | $ | 115,259 | ||||||
Dividend income from non-affiliates | 4,480 | — | — | |||||||||
Dividend income from affiliates | 319 | 88 | 132 | |||||||||
Income from securities lending (net) | 882 | — | — | |||||||||
Other income | 8 | 9 | 2 | |||||||||
Total investment income | 674,317 | 10,868 | 115,393 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 48,927 | 908 | 7,340 | |||||||||
Administration fees | 6,884 | 332 | 1,920 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1,643 | 185 | 394 | |||||||||
Class B | 151 | 10 | — | |||||||||
Class C | 1,491 | 516 | — | |||||||||
Class R2 | 11 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 1,643 | 185 | 394 | |||||||||
Class B | 50 | 3 | — | |||||||||
Class C | 497 | 172 | — | |||||||||
Class R2 | 5 | — | — | |||||||||
Class R5 | 85 | — | — | |||||||||
Select Class | 14,810 | 545 | 1,351 | |||||||||
Custodian and accounting fees | 313 | 75 | 300 | |||||||||
Professional fees | 180 | 81 | 82 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 80 | 2 | 15 | |||||||||
Printing and mailing costs | 937 | 18 | 96 | |||||||||
Registration and filing fees | 252 | 70 | 147 | |||||||||
Transfer agent fees | 4,336 | 153 | 111 | |||||||||
Other | 108 | 10 | 26 | |||||||||
Total expenses | 82,403 | 3,265 | 12,176 | |||||||||
Less amounts waived | (12,025 | ) | (1,035 | ) | (5,680 | ) | ||||||
Less earnings credits | (4 | ) | — | (a) | — | (a) | ||||||
Net expenses | 70,374 | 2,230 | 6,496 | |||||||||
Net investment income (loss) | 603,943 | 8,638 | 108,897 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 178,644 | (2,518 | ) | 6,272 | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 438,195 | 24,133 | 40,214 | |||||||||
Unfunded commitments | 3 | — | — | |||||||||
Change in net unrealized appreciation (depreciation) | 438,198 | 24,133 | 40,214 | |||||||||
Net realized/unrealized gains (losses) | 616,842 | 21,615 | 46,486 | |||||||||
Change in net assets resulting from operations | $ | 1,220,785 | $ | 30,253 | $ | 155,383 | ||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 209 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
| Short Duration Bond Fund | Short Term Bond Fund II | Treasury & Agency Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 211,075 | $ | 2,320 | $ | 10,165 | ||||||
Dividend income from affiliates | 141 | 1 | 3 | |||||||||
Income from securities lending (net) | 103 | — | — | |||||||||
Other income | 22 | — | 5 | |||||||||
Total investment income | 211,341 | 2,321 | 10,173 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 23,597 | 239 | 1,514 | |||||||||
Administration fees | 8,639 | 88 | 462 | |||||||||
Distribution fees: | ||||||||||||
Class A | 696 | 18 | 246 | |||||||||
Class B | 22 | — | 8 | |||||||||
Class C | 2,719 | — | — | |||||||||
Class M | — | 301 | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 696 | 18 | 246 | |||||||||
Class B | 7 | — | 3 | |||||||||
Class C | 906 | — | — | |||||||||
Class M | — | 215 | — | |||||||||
Select Class | 15,778 | 5 | 1,013 | |||||||||
Custodian and accounting fees | 559 | 36 | 32 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 184 | 117 | 63 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 84 | 5 | 3 | |||||||||
Printing and mailing costs | 388 | 42 | 44 | |||||||||
Registration and filing fees | 411 | 32 | 33 | |||||||||
Transfer agent fees | 286 | 13 | 119 | |||||||||
Other | 121 | 24 | 15 | |||||||||
Total expenses | 55,093 | 1,153 | 3,801 | |||||||||
Less amounts waived | (6,526 | ) | (229 | ) | (1,290 | ) | ||||||
Less earnings credits | (1 | ) | — | (a) | — | (a) | ||||||
Net expenses | 48,566 | 924 | 2,511 | |||||||||
Net investment income (loss) | 162,775 | 1,397 | 7,662 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 14,779 | 843 | 1,956 | |||||||||
Change in net unrealized appreciation (depreciation) of investments in non-affiliates | 31,764 | (1,062 | ) | (2,734 | ) | |||||||
Net realized/unrealized gains (losses) | 46,543 | (219 | ) | (778 | ) | |||||||
Change in net assets resulting from operations | $ | 209,318 | $ | 1,178 | $ | 6,884 | ||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 210 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 638,350 | $ | 489,967 | $ | 82,299 | $ | 59,564 | ||||||||
Net realized gain (loss) | 59,497 | 418 | 15,238 | 499 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 228,514 | 478,829 | 53,441 | 104,066 | ||||||||||||
Change in net assets resulting from operations | 926,361 | 969,214 | 150,978 | 164,129 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (134,985 | ) | (113,312 | ) | (12,510 | ) | (6,206 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (2,838 | ) | (4,896 | ) | (287 | ) | (343 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (74,656 | ) | (56,032 | ) | (10,137 | ) | (3,874 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | (945 | ) | (251 | ) | (13 | ) | (7 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (18,323 | ) | (17,802 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (62,965 | ) | (52,645 | ) | (4,752 | ) | (1,857 | ) | ||||||||
Institutional Class (b) | ||||||||||||||||
From net investment income | — | — | (2,250 | ) | (1,402 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (344,559 | ) | (244,539 | ) | (52,405 | ) | (46,071 | ) | ||||||||
Total distributions to shareholders | (639,271 | ) | (489,477 | ) | (82,354 | ) | (59,760 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 4,713,330 | 8,411,171 | 666,336 | 478,602 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 5,000,420 | 8,890,908 | 734,960 | 582,971 | ||||||||||||
Beginning of period | 14,258,057 | 5,367,149 | 1,332,254 | 749,283 | ||||||||||||
End of period | $ | 19,258,477 | $ | 14,258,057 | $ | 2,067,214 | $ | 1,332,254 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,016 | $ | 1,855 | $ | (180 | ) | $ | (433 | ) | ||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
| (b) | Commencement of offering of class of shares effective June 19, 2009 for the Core Plus Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 211 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Government Bond Fund | High Yield Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 53,969 | $ | 49,641 | $ | 603,943 | $ | 345,374 | ||||||||
Net realized gain (loss) | 2,101 | 407 | 178,644 | 33,254 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 8,867 | 15,238 | 438,198 | 919,782 | ||||||||||||
Change in net assets resulting from operations | 64,937 | 65,286 | 1,220,785 | 1,298,410 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (17,400 | ) | (16,672 | ) | (51,366 | ) | (39,437 | ) | ||||||||
From net realized gains | — | — | (2,548 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (782 | ) | (1,363 | ) | (1,431 | ) | (1,611 | ) | ||||||||
From net realized gains | — | — | (65 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (5,593 | ) | (5,436 | ) | (14,363 | ) | (8,640 | ) | ||||||||
From net realized gains | — | — | (767 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | (322 | ) | (45 | ) | (162 | ) | (28 | ) | ||||||||
From net realized gains | — | — | (9 | ) | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (13,053 | ) | (10,142 | ) | ||||||||||
From net realized gains | — | — | (918 | ) | — | |||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | — | — | (46,034 | ) | (16,380 | ) | ||||||||||
From net realized gains | — | — | (2,110 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (29,919 | ) | (26,186 | ) | (480,731 | ) | (269,203 | ) | ||||||||
From net realized gains | — | — | (23,094 | ) | — | |||||||||||
Total distributions to shareholders | (54,016 | ) | (49,702 | ) | (636,651 | ) | (345,441 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 88,010 | 212,449 | 3,140,534 | 2,663,582 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 98,931 | 228,033 | 3,724,668 | 3,616,551 | ||||||||||||
Beginning of period | 1,391,324 | 1,163,291 | 5,838,054 | 2,221,503 | ||||||||||||
End of period | $ | 1,490,255 | $ | 1,391,324 | $ | 9,562,722 | $ | 5,838,054 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (36 | ) | $ | 12 | $ | 2,909 | $ | 4,289 | |||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 212 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Limited Duration Bond Fund | Mortgage-Backed Securities Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 8,638 | $ | 10,064 | $ | 108,897 | $ | 88,998 | ||||||||
Net realized gain (loss) | (2,518 | ) | (43,827 | ) | 6,272 | 15 | ||||||||||
Change in net unrealized appreciation (depreciation) | 24,133 | 84,743 | 40,214 | 82,299 | ||||||||||||
Change in net assets resulting from operations | 30,253 | 50,980 | 155,383 | 171,312 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,704 | ) | (1,732 | ) | (7,630 | ) | (2,423 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (24 | ) | (84 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (1,262 | ) | (1,592 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (40 | ) | (1,427 | ) | (73,620 | ) | (76,478 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (5,612 | ) | (5,196 | ) | (27,805 | ) | (10,196 | ) | ||||||||
Total distributions to shareholders | (8,642 | ) | (10,031 | ) | (109,055 | ) | (89,097 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 48,768 | (154,849 | ) | 377,268 | 696,596 | |||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 70,379 | (113,900 | ) | 423,596 | 778,811 | |||||||||||
Beginning of period | 326,914 | 440,814 | 1,799,432 | 1,020,621 | ||||||||||||
End of period | $ | 397,293 | $ | 326,914 | $ | 2,223,028 | $ | 1,799,432 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (988 | ) | $ | (1,177 | ) | $ | 448 | $ | 504 | ||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 213 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Short Duration Bond Fund | Short Term Bond Fund II | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 162,775 | $ | 128,366 | $ | 1,397 | $ | 2,353 | ||||||||
Net realized gain (loss) | 14,779 | 3,945 | 843 | (11,882 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 31,764 | 104,416 | (1,062 | ) | 13,496 | |||||||||||
Change in net assets resulting from operations | 209,318 | 236,727 | 1,178 | 3,967 | ||||||||||||
Net equalization credits (debits) | — | — | (14 | ) | (15 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (3,963 | ) | (4,393 | ) | (128 | ) | (173 | ) | ||||||||
From net realized gains | (385 | ) | — | — | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (26 | ) | (80 | ) | — | — | ||||||||||
From net realized gains | (3 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (3,309 | ) | (3,307 | ) | — | — | ||||||||||
From net realized gains | (459 | ) | — | — | — | |||||||||||
Class M | ||||||||||||||||
From net investment income | — | — | (1,277 | ) | (2,406 | ) | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (48,325 | ) | (33,326 | ) | — | — | ||||||||||
From net realized gains | (3,598 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (107,143 | ) | (86,773 | ) | (41 | ) | (105 | ) | ||||||||
From net realized gains | (8,462 | ) | — | — | — | |||||||||||
Total distributions to shareholders | (175,673 | ) | (127,879 | ) | (1,446 | ) | (2,684 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 2,465,685 | 5,229,689 | (18,560 | ) | (23,718 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 2,499,330 | 5,338,537 | (18,842 | ) | (22,450 | ) | ||||||||||
Beginning of period | 7,811,341 | 2,472,804 | 103,445 | 125,895 | ||||||||||||
End of period | $ | 10,310,671 | $ | 7,811,341 | $ | 84,603 | $ | 103,445 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 435 | $ | 425 | $ | (20 | ) | $ | 29 | |||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 214 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Treasury & Agency Fund | ||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 7,662 | $ | 14,559 | ||||
Net realized gain (loss) | 1,956 | 12,322 | ||||||
Change in net unrealized appreciation (depreciation) | (2,734 | ) | (4,734 | ) | ||||
Change in net assets resulting from operations | 6,884 | 22,147 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (1,322 | ) | (2,238 | ) | ||||
From net realized gains | (1,585 | ) | (3,339 | ) | ||||
Class B | ||||||||
From net investment income | (9 | ) | (37 | ) | ||||
From net realized gains | (14 | ) | (54 | ) | ||||
Select Class | ||||||||
From net investment income | (6,315 | ) | (12,271 | ) | ||||
From net realized gains | (6,363 | ) | (14,626 | ) | ||||
Total distributions to shareholders | (15,608 | ) | (32,565 | ) | ||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | (48,468 | ) | (131,206 | ) | ||||
NET ASSETS: | ||||||||
Change in net assets | (57,192 | ) | (141,624 | ) | ||||
Beginning of period | 529,061 | 670,685 | ||||||
End of period | $ | 471,869 | $ | 529,061 | ||||
Accumulated undistributed (distributions in excess of) net | $ | (369 | ) | $ | (440 | ) | ||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 215 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 2,139,903 | $ | 2,207,484 | $ | 277,715 | $ | 123,634 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 105,525 | — | 10,165 | ||||||||||||
Dividends and distributions reinvested | 118,480 | 97,942 | 9,618 | 4,236 | ||||||||||||
Cost of shares redeemed | (1,490,961 | ) | (692,741 | ) | (138,398 | ) | (29,687 | ) | ||||||||
Change in net assets from Class A capital transactions | $ | 767,422 | $ | 1,718,210 | $ | 148,935 | $ | 108,348 | ||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 3,711 | $ | 33,442 | $ | 1,742 | $ | 2,766 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 36,304 | — | 2,437 | ||||||||||||
Dividends and distributions reinvested | 2,348 | 3,918 | 224 | 267 | ||||||||||||
Cost of shares redeemed | (51,098 | ) | (42,164 | ) | (3,695 | ) | (2,804 | ) | ||||||||
Change in net assets from Class B capital transactions | $ | (45,039 | ) | $ | 31,500 | $ | (1,729 | ) | $ | 2,666 | ||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 954,029 | $ | 2,141,459 | $ | 236,555 | $ | 139,327 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 41,325 | — | 5,095 | ||||||||||||
Dividends and distributions reinvested | 59,474 | 43,720 | 7,516 | 2,836 | ||||||||||||
Cost of shares redeemed | (1,208,984 | ) | (203,403 | ) | (118,713 | ) | (16,654 | ) | ||||||||
Change in net assets from Class C capital transactions | $ | (195,481 | ) | $ | 2,023,101 | $ | 125,358 | $ | 130,604 | |||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 30,218 | $ | 15,313 | $ | 246 | $ | 145 | ||||||||
Dividends and distributions reinvested | 672 | 68 | 9 | 5 | ||||||||||||
Cost of shares redeemed | (8,714 | ) | (1,060 | ) | (119 | ) | — | (a) | ||||||||
Change in net assets from Class R2 capital transactions | $ | 22,176 | $ | 14,321 | $ | 136 | $ | 150 | ||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 362,412 | $ | 247,419 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 16,135 | 15,203 | — | — | ||||||||||||
Cost of shares redeemed | (735,436 | )(b) | (69,126 | ) | — | — | ||||||||||
Change in net assets from Class R5 capital transactions | $ | (356,889 | ) | $ | 193,496 | $ | — | $ | — | |||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | 1,558,178 | (b) | $ | 485,735 | $ | 144,324 | $ | 35,673 | |||||||
Subscriptions in-kind (See Note 10) | — | — | — | 2,249 | ||||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 105,588 | — | 20,544 | ||||||||||||
Dividends and distributions reinvested | 52,872 | 31,270 | 1,610 | 559 | ||||||||||||
Cost of shares redeemed | (444,955 | ) | (286,675 | ) | (8,529 | ) | (59,643 | ) | ||||||||
Change in net assets from Class R6 capital transactions | $ | 1,166,095 | $ | 335,918 | $ | 137,405 | $ | (618 | ) | |||||||
Institutional Class (d) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 14,917 | $ | 32,142 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | — | — | 15,799 | ||||||||||||
Dividends and distributions reinvested | — | — | 1,229 | 622 | ||||||||||||
Cost of shares redeemed | — | — | (37,401 | ) | (3,374 | ) | ||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | (21,255 | ) | $ | 45,189 | |||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 5,174,077 | $ | 4,929,544 | $ | 416,851 | $ | 332,782 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 576,149 | — | 30,681 | ||||||||||||
Dividends and distributions reinvested | 236,091 | 153,536 | 8,172 | 7,280 | ||||||||||||
Cost of shares redeemed | (2,055,122 | ) | (1,564,604 | ) | (147,537 | ) | (178,480 | ) | ||||||||
Change in net assets from Select Class capital transactions | $ | 3,355,046 | $ | 4,094,625 | $ | 277,486 | $ | 192,263 | ||||||||
Total change in net assets from capital transactions | $ | 4,713,330 | $ | 8,411,171 | $ | 666,336 | $ | 478,602 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 216 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 186,141 | 200,398 | 34,292 | 16,285 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 9,693 | — | 1,371 | ||||||||||||
Reinvested | 10,303 | 8,862 | 1,185 | 554 | ||||||||||||
Redeemed | (129,866 | ) | (62,836 | ) | (17,059 | ) | (3,920 | ) | ||||||||
Change in Class A Shares | 66,578 | 156,117 | 18,418 | 14,290 | ||||||||||||
Class B | ||||||||||||||||
Issued | 324 | 3,080 | 215 | 372 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 3,337 | — | 327 | ||||||||||||
Reinvested | 204 | 355 | 28 | 36 | ||||||||||||
Redeemed | (4,459 | ) | (3,823 | ) | (455 | ) | (370 | ) | ||||||||
Change in Class B Shares | (3,931 | ) | 2,949 | (212 | ) | 365 | ||||||||||
Class C | ||||||||||||||||
Issued | 82,813 | 193,321 | 29,147 | 18,158 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 3,778 | — | 685 | ||||||||||||
Reinvested | 5,149 | 3,919 | 923 | 367 | ||||||||||||
Redeemed | (104,770 | ) | (18,251 | ) | (14,555 | ) | (2,169 | ) | ||||||||
Change in Class C Shares | (16,808 | ) | 182,767 | 15,515 | 17,041 | |||||||||||
Class R2 | ||||||||||||||||
Issued | 2,638 | 1,385 | 30 | 19 | ||||||||||||
Reinvested | 59 | 6 | 1 | 1 | ||||||||||||
Redeemed | (758 | ) | (95 | ) | (14 | ) | — | (a) | ||||||||
Change in Class R2 Shares | 1,939 | 1,296 | 17 | 20 | ||||||||||||
Class R5 | ||||||||||||||||
Issued | 31,579 | 22,309 | — | — | ||||||||||||
Reinvested | 1,403 | 1,380 | — | — | ||||||||||||
Redeemed | (64,141 | )(b) | (6,289 | ) | — | — | ||||||||||
Change in Class R5 Shares | (31,159 | ) | 17,400 | — | — | |||||||||||
Class R6 (c) | ||||||||||||||||
Issued | 135,996 | (b) | 44,095 | 17,806 | 4,805 | |||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 312 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 9,703 | — | 2,774 | ||||||||||||
Reinvested | 4,596 | 2,837 | 198 | 72 | ||||||||||||
Redeemed | (38,775 | ) | (25,920 | ) | (1,046 | ) | (7,838 | ) | ||||||||
Change in Class R6 Shares | 101,817 | 30,715 | 16,958 | 125 | ||||||||||||
Institutional Class (d) | ||||||||||||||||
Issued | — | — | 1,867 | 4,151 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | — | — | 2,130 | ||||||||||||
Reinvested | — | — | 152 | 80 | ||||||||||||
Redeemed | — | — | (4,609 | ) | (433 | ) | ||||||||||
Change in Institutional Class Shares | — | — | (2,590 | ) | 5,928 | |||||||||||
Select Class | ||||||||||||||||
Issued | 451,100 | 445,897 | 51,622 | 43,932 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 52,962 | — | 4,141 | ||||||||||||
Reinvested | 20,540 | 13,876 | 1,009 | 953 | ||||||||||||
Redeemed | (179,057 | ) | (141,414 | ) | (18,203 | ) | (23,802 | ) | ||||||||
Change in Select Class Shares | 292,583 | 371,321 | 34,428 | 25,224 | ||||||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | On December 23, 2010, certain affiliated shareholders of the Core Bond Fund exchanged approximately 51,670,000 Class R5 Shares for 51,625,000 Class R6 Shares. This exchange amounted to approximately $592,658,000. |
| (c) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
| (d) | Commencement of offering of class of shares effective June 19, 2009 for Core Plus Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 217 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Government Bond Fund | High Yield Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 234,332 | $ | 249,919 | $ | 556,378 | $ | 570,387 | ||||||||
Dividends and distributions reinvested | 10,735 | 9,730 | 44,269 | 33,852 | ||||||||||||
Cost of shares redeemed | (227,639 | ) | (184,105 | ) | (373,147 | ) | (314,911 | ) | ||||||||
Redemption fees | — | — | 40 | 30 | ||||||||||||
Change in net assets from Class A capital transactions | $ | 17,428 | $ | 75,544 | $ | 227,540 | $ | 289,358 | ||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 581 | $ | 5,186 | $ | 1,261 | $ | 5,451 | ||||||||
Dividends and distributions reinvested | 588 | 1,060 | 908 | 924 | ||||||||||||
Cost of shares redeemed | (17,120 | ) | (20,095 | ) | (8,159 | ) | (6,349 | ) | ||||||||
Redemption fees | — | — | 1 | 2 | ||||||||||||
Change in net assets from Class B capital transactions | $ | (15,951 | ) | $ | (13,849 | ) | $ | (5,989 | ) | $ | 28 | |||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 103,239 | $ | 123,938 | $ | 118,174 | $ | 120,545 | ||||||||
Dividends and distributions reinvested | 4,594 | 4,368 | 10,595 | 6,032 | ||||||||||||
Cost of shares redeemed | (122,817 | ) | (81,288 | ) | (54,088 | ) | (30,007 | ) | ||||||||
Redemption fees | — | — | 13 | 7 | ||||||||||||
Change in net assets from Class C capital transactions | $ | (14,984 | ) | $ | 47,018 | $ | 74,694 | $ | 96,577 | |||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 16,555 | $ | 3,609 | $ | 3,549 | $ | 966 | ||||||||
Dividends and distributions reinvested | 123 | 8 | 107 | 20 | ||||||||||||
Cost of shares redeemed | (4,002 | ) | (643 | ) | (1,234 | ) | (73 | ) | ||||||||
Redemption fees | — | — | — | (a) | — | (a) | ||||||||||
Change in net assets from Class R2 capital transactions | $ | 12,676 | $ | 2,974 | $ | 2,422 | $ | 913 | ||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 117,517 | $ | 77,289 | ||||||||
Dividends and distributions reinvested | — | — | 13,762 | 9,768 | ||||||||||||
Cost of shares redeemed | — | — | (262,979 | )(b) | (20,388 | ) | ||||||||||
Redemption fees | — | — | 12 | 8 | ||||||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | (131,688 | ) | $ | 66,677 | |||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 645,616 | (b) | $ | 333,303 | |||||||
Dividends and distributions reinvested | — | — | 18,515 | 3,858 | ||||||||||||
Cost of shares redeemed | — | — | (141,844 | ) | (109,799 | ) | ||||||||||
Redemption fees | — | — | 33 | 13 | ||||||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 522,320 | $ | 227,375 | ||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 251,390 | $ | 358,450 | $ | 3,512,844 | $ | 2,827,285 | ||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 4,090 | ||||||||||||
Dividends and distributions reinvested | 8,855 | 7,709 | 139,863 | 69,870 | ||||||||||||
Cost of shares redeemed | (171,404 | ) | (265,397 | ) | (1,201,843 | ) | (918,806 | ) | ||||||||
Redemption fees | — | — | 371 | 215 | ||||||||||||
Change in net assets from Select Class capital transactions | $ | 88,841 | $ | 100,762 | $ | 2,451,235 | $ | 1,982,654 | ||||||||
Total change in net assets from capital transactions | $ | 88,010 | $ | 212,449 | $ | 3,140,534 | $ | 2,663,582 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 218 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Government Bond Fund | High Yield Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 21,332 | 23,476 | 69,145 | 81,493 | ||||||||||||
Reinvested | 978 | 912 | 5,525 | 4,664 | ||||||||||||
Redeemed | (20,838 | ) | (17,265 | ) | (47,068 | ) | (42,776 | ) | ||||||||
Change in Class A Shares | 1,472 | 7,123 | 27,602 | 43,381 | ||||||||||||
Class B | ||||||||||||||||
Issued | 53 | 486 | 157 | 801 | ||||||||||||
Reinvested | 54 | 99 | 113 | 129 | ||||||||||||
Redeemed | (1,571 | ) | (1,891 | ) | (1,016 | ) | (909 | ) | ||||||||
Change in Class B Shares | (1,464 | ) | (1,306 | ) | (746 | ) | 21 | |||||||||
Class C | ||||||||||||||||
Issued | 9,380 | 11,674 | 14,691 | 17,448 | ||||||||||||
Reinvested | 420 | 411 | 1,322 | 828 | ||||||||||||
Redeemed | (11,320 | ) | (7,666 | ) | (6,732 | ) | (4,107 | ) | ||||||||
Change in Class C Shares | (1,520 | ) | 4,419 | 9,281 | 14,169 | |||||||||||
Class R2 | ||||||||||||||||
Issued | 1,522 | 338 | 443 | 128 | ||||||||||||
Reinvested | 11 | 1 | 14 | 3 | ||||||||||||
Redeemed | (367 | ) | (60 | ) | (153 | ) | (10 | ) | ||||||||
Change in Class R2 Shares | 1,166 | 279 | 304 | 121 | ||||||||||||
Class R5 | ||||||||||||||||
Issued | — | — | �� | 14,667 | 11,237 | |||||||||||
Reinvested | — | — | 1,725 | 1,348 | ||||||||||||
Redeemed | — | — | (32,225 | )(b) | (2,654 | ) | ||||||||||
Change in Class R5 Shares | — | — | (15,833 | ) | 9,931 | |||||||||||
Class R6 (c) | ||||||||||||||||
Issued | — | — | 80,090 | (b) | 45,285 | |||||||||||
Reinvested | — | — | 2,285 | 532 | ||||||||||||
Redeemed | — | — | (17,524 | ) | (15,149 | ) | ||||||||||
Change in Class R6 Shares | — | — | 64,851 | 30,668 | ||||||||||||
Select Class | ||||||||||||||||
Issued | 22,987 | 33,658 | 436,489 | 391,080 | ||||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 690 | ||||||||||||
Reinvested | 807 | 723 | 17,411 | 9,481 | ||||||||||||
Redeemed | (15,684 | ) | (24,929 | ) | (149,268 | ) | (127,426 | ) | ||||||||
Change in Select Class Shares | 8,110 | 9,452 | 304,632 | 273,825 | ||||||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | On December 23, 2010, certain affiliated shareholders of the High Yield Fund exchanged approximately 30,054,000 Class R5 Shares for 30,090,000 Class R6 Shares. This exchange amounted to approximately $245,237,000. |
| (c) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 219 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Limited Duration Bond Fund | Mortgage-Backed Securities Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 38,234 | $ | 35,791 | $ | 165,286 | $ | 94,102 | ||||||||
Dividends and distributions reinvested | 1,296 | 1,278 | 6,761 | 2,099 | ||||||||||||
Cost of shares redeemed | (49,142 | ) | (22,570 | ) | (101,004 | ) | (12,293 | ) | ||||||||
Change in net assets from Class A capital transactions | $ | (9,612 | ) | $ | 14,499 | $ | 71,043 | $ | 83,908 | |||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 120 | $ | 143 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 20 | 71 | — | — | ||||||||||||
Cost of shares redeemed | (1,253 | ) | (5,176 | ) | — | — | ||||||||||
Change in net assets from Class B capital transactions | $ | (1,113 | ) | $ | (4,962 | ) | $ | — | $ | — | ||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 18,131 | $ | 17,868 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 1,099 | 1,377 | — | — | ||||||||||||
Cost of shares redeemed | (22,525 | ) | (26,768 | ) | — | — | ||||||||||
Change in net assets from Class C capital transactions | $ | (3,295 | ) | $ | (7,523 | ) | $ | — | $ | — | ||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 2,715 | $ | 1 | $ | 222,666 | $ | 395,291 | ||||||||
Dividends and distributions reinvested | 5 | — | 66,963 | 65,387 | ||||||||||||
Cost of shares redeemed | (180 | ) | (33,382 | ) | (126,219 | ) | (178,510 | ) | ||||||||
Redemptions in-kind | — | (107,423 | ) | — | — | |||||||||||
Change in net assets from Class R6 capital transactions | $ | 2,540 | $ | (140,804 | ) | $ | 163,410 | $ | 282,168 | |||||||
| �� | ||||||||||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 105,331 | $ | 57,408 | $ | 362,624 | $ | 350,357 | ||||||||
Dividends and distributions reinvested | 1,549 | 1,421 | 19,795 | 7,257 | ||||||||||||
Cost of shares redeemed | (46,632 | ) | (74,888 | ) | (239,604 | ) | (27,094 | ) | ||||||||
Change in net assets from Select Class capital transactions | $ | 60,248 | $ | (16,059 | ) | $ | 142,815 | $ | 330,520 | |||||||
Total change in net assets from capital transactions | $ | 48,768 | $ | (154,849 | ) | $ | 377,268 | $ | 696,596 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 220 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Limited Duration Bond Fund | Mortgage-Backed Securities Fund | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,141 | 4,199 | 14,441 | 8,448 | ||||||||||||
Reinvested | 140 | 153 | 590 | 190 | ||||||||||||
Redeemed | (5,310 | ) | (2,722 | ) | (8,784 | ) | (1,109 | ) | ||||||||
Change in Class A Shares | (1,029 | ) | 1,630 | 6,247 | 7,529 | |||||||||||
Class B | ||||||||||||||||
Issued | 13 | 18 | — | — | ||||||||||||
Reinvested | 2 | 9 | — | — | ||||||||||||
Redeemed | (137 | ) | (648 | ) | — | — | ||||||||||
Change in Class B Shares | (122 | ) | (621 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
Issued | 1,981 | 2,134 | — | — | ||||||||||||
Reinvested | 120 | 168 | — | — | ||||||||||||
Redeemed | (2,449 | ) | (3,285 | ) | — | — | ||||||||||
Change in Class C Shares | (348 | ) | (983 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
Issued | 287 | — | (b) | 19,857 | 36,477 | |||||||||||
Reinvested | — | (b) | — | 5,958 | 6,082 | |||||||||||
Redeemed | (19 | ) | (4,123 | ) | (11,228 | ) | (16,626 | ) | ||||||||
Redemptions in-kind | — | (13,361 | ) | — | — | |||||||||||
Change in Class R6 Shares | 268 | (17,484 | ) | 14,587 | 25,933 | |||||||||||
Select Class | ||||||||||||||||
Issued | 11,348 | 6,797 | 32,322 | 31,853 | ||||||||||||
Reinvested | 168 | 170 | 1,763 | 671 | ||||||||||||
Redeemed | (5,017 | ) | (9,328 | ) | (21,276 | ) | (2,490 | ) | ||||||||
Change in Select Class Shares | 6,499 | (2,361 | ) | 12,809 | 30,034 | |||||||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 221 | ||||||
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STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Short Duration Bond Fund | Short Term Bond Fund II | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 207,816 | $ | 259,152 | $ | 925 | $ | 1,024 | ||||||||
Dividends and distributions reinvested | 3,609 | 3,608 | 119 | 166 | ||||||||||||
Cost of shares redeemed | (217,210 | ) | (102,680 | ) | (1,060 | ) | (464 | ) | ||||||||
Change in net assets from Class A capital transactions | $ | (5,785 | ) | $ | 160,080 | $ | (16 | ) | $ | 726 | ||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 825 | $ | 1,719 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 23 | 67 | — | — | ||||||||||||
Cost of shares redeemed | (2,190 | ) | (5,118 | ) | — | — | ||||||||||
Change in net assets from Class B capital transactions | $ | (1,342 | ) | $ | (3,332 | ) | $ | — | $ | — | ||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 235,112 | $ | 422,727 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 3,348 | 2,864 | — | — | ||||||||||||
Cost of shares redeemed | (263,450 | ) | (106,662 | ) | — | — | ||||||||||
Change in net assets from Class C capital transactions | $ | (24,990 | ) | $ | 318,929 | $ | — | $ | — | |||||||
Class M | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | — | (a) | |||||||
Cost of shares redeemed | — | — | (17,852 | ) | (21,165 | ) | ||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | (17,852 | ) | $ | (21,165 | ) | ||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 1,993,867 | $ | 2,500,432 | $ | — | $ | — | ||||||||
Subscriptions in-kind (See Note 10) | 11,698 | — | — | — | ||||||||||||
Dividends and distributions reinvested | 24,050 | 8,224 | — | — | ||||||||||||
Cost of shares redeemed | (1,173,029 | ) | (812,904 | ) | — | — | ||||||||||
Change in net assets from Class R6 capital transactions | $ | 856,586 | $ | 1,695,752 | $ | — | $ | — | ||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 4,834,205 | $ | 4,655,265 | $ | 691 | $ | 132 | ||||||||
Dividends and distributions reinvested | 8,205 | 7,101 | 20 | 20 | ||||||||||||
Cost of shares redeemed | (3,201,194 | ) | (1,604,106 | ) | (1,403 | ) | (3,431 | ) | ||||||||
Change in net assets from Select Class capital transactions | $ | 1,641,216 | $ | 3,058,260 | $ | (692 | ) | $ | (3,279 | ) | ||||||
Total change in net assets from capital transactions | $ | 2,465,685 | $ | 5,229,689 | $ | (18,560 | ) | $ | (23,718 | ) | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 222 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
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| Short Duration Bond Fund | Short Term Bond Fund II | |||||||||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18,959 | 23,999 | 105 | 117 | ||||||||||||
Reinvested | 329 | 334 | 13 | 20 | ||||||||||||
Redeemed | (19,817 | ) | (9,483 | ) | (120 | ) | (54 | ) | ||||||||
Change in Class A Shares | (529 | ) | 14,850 | (2 | ) | 83 | ||||||||||
Class B | ||||||||||||||||
Issued | 75 | 158 | — | — | ||||||||||||
Reinvested | 2 | 6 | — | — | ||||||||||||
Redeemed | (198 | ) | (473 | ) | — | — | ||||||||||
Change in Class B Shares | (121 | ) | (309 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
Issued | 21,331 | 38,823 | — | — | ||||||||||||
Reinvested | 304 | 262 | — | — | ||||||||||||
Redeemed | (23,892 | ) | (9,760 | ) | — | — | ||||||||||
Change in Class C Shares | (2,257 | ) | 29,325 | — | — | |||||||||||
Class M | ||||||||||||||||
Issued | — | — | — | — | (a) | |||||||||||
Redeemed | — | — | (2,018 | ) | (2,404 | ) | ||||||||||
Change in Class M Shares | — | — | (2,018 | ) | (2,404 | ) | ||||||||||
Class R6 (b) | ||||||||||||||||
Issued | 181,535 | 230,589 | — | — | ||||||||||||
Subscriptions in-kind (See Note 10) | 1,064 | — | — | — | ||||||||||||
Reinvested | 2,189 | 757 | — | — | ||||||||||||
Redeemed | (106,968 | ) | (74,562 | ) | — | — | ||||||||||
Change in Class R6 Shares | 77,820 | 156,784 | — | — | ||||||||||||
Select Class | ||||||||||||||||
Issued | 440,703 | 428,823 | 78 | 15 | ||||||||||||
Reinvested | 747 | 655 | 2 | 2 | ||||||||||||
Redeemed | (291,617 | ) | (147,579 | ) | (158 | ) | (390 | ) | ||||||||
Change in Select Class Shares | 149,833 | 281,899 | (78 | ) | (373 | ) | ||||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 223 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Treasury & Agency Fund | ||||||||
| Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 41,401 | $ | 43,462 | ||||
Dividends and distributions reinvested | 2,258 | 4,305 | ||||||
Cost of shares redeemed | (41,712 | ) | (60,690 | ) | ||||
Change in net assets from Class A capital transactions | $ | 1,947 | $ | (12,923 | ) | |||
Class B | ||||||||
Proceeds from shares issued | $ | 98 | $ | 302 | ||||
Dividends and distributions reinvested | 20 | 80 | ||||||
Cost of shares redeemed | (922 | ) | (2,305 | ) | ||||
Change in net assets from Class B capital transactions | $ | (804 | ) | $ | (1,923 | ) | ||
Select Class | ||||||||
Proceeds from shares issued | $ | 173,426 | $ | 234,806 | ||||
Dividends and distributions reinvested | 3,163 | 3,420 | ||||||
Cost of shares redeemed | (226,200 | ) | (354,586 | ) | ||||
Change in net assets from Select Class capital transactions | $ | (49,611 | ) | $ | (116,360 | ) | ||
Total change in net assets from capital transactions | $ | (48,468 | ) | $ | (131,206 | ) | ||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 4,167 | 4,267 | ||||||
Reinvested | 229 | 429 | ||||||
Redeemed | (4,200 | ) | (5,965 | ) | ||||
Change in Class A Shares | 196 | (1,269 | ) | |||||
Class B | ||||||||
Issued | 10 | 30 | ||||||
Reinvested | 2 | 8 | ||||||
Redeemed | (93 | ) | (226 | ) | ||||
Change in Class B Shares | (81 | ) | (188 | ) | ||||
Select Class | ||||||||
Issued | 17,423 | 23,154 | ||||||
Reinvested | 321 | 341 | ||||||
Redeemed | (22,735 | ) | (34,885 | ) | ||||
Change in Select Class Shares | (4,991 | ) | (11,390 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 224 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
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| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 225 | ||||||
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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 | ||||||||||||||||
Core Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 11.23 | $ | 0.42 | (e) | $ | 0.22 | $ | 0.64 | $ | (0.41 | ) | ||||||||
Year Ended February 28, 2010 | 10.59 | 0.55 | (e) | 0.64 | (f) | 1.19 | (0.55 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.04 | 0.55 | (e) | (0.46 | ) | 0.09 | (0.54 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.48 | (e) | 0.37 | 0.85 | (0.48 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.57 | 0.46 | (e) | 0.10 | 0.56 | (0.46 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.34 | (e) | 0.22 | 0.56 | (0.33 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.48 | (e) | 0.63 | (f) | 1.11 | (0.47 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.47 | (e) | (0.45 | ) | 0.02 | (0.47 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.41 | (e) | 0.37 | 0.78 | (0.41 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.39 | (e) | 0.10 | 0.49 | (0.39 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.28 | 0.34 | (e) | 0.23 | 0.57 | (0.34 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.65 | 0.46 | (e) | 0.65 | (f) | 1.11 | (0.48 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.09 | 0.48 | (e) | (0.45 | ) | 0.03 | (0.47 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.73 | 0.42 | (e) | 0.35 | 0.77 | (0.41 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.62 | 0.39 | (e) | 0.11 | 0.50 | (0.39 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.39 | (e) | 0.22 | 0.61 | (0.38 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.49 | (e) | 0.67 | (f) | 1.16 | (0.53 | ) | ||||||||||||
November 3, 2008 (h) through February 28, 2009 | 10.26 | 0.17 | (e) | 0.34 | 0.51 | (0.18 | ) | |||||||||||||
Class R5 (i) | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.21 | 0.45 | (e) | 0.22 | 0.67 | (0.44 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.58 | (e) | 0.63 | (f) | 1.21 | (0.58 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.02 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.52 | (e) | 0.35 | 0.87 | (0.51 | ) | |||||||||||||
May 15, 2006 (h) through February 28, 2007 | 10.35 | 0.39 | (e) | 0.33 | 0.72 | (0.41 | ) | |||||||||||||
Class R6 (j) | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.46 | (e) | 0.23 | 0.69 | (0.45 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.59 | (e) | 0.63 | (f) | 1.22 | (0.59 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.52 | (e) | 0.36 | 0.88 | (0.52 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.50 | (e) | 0.10 | 0.60 | (0.49 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.44 | (e) | 0.22 | 0.66 | (0.43 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.56 | (e) | 0.64 | (f) | 1.20 | (0.56 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.56 | (e) | (0.46 | ) | 0.10 | (0.55 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.50 | (e) | 0.35 | 0.85 | (0.49 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.47 | (e) | 0.11 | 0.58 | (0.47 | ) | |||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Commencement of offering of class of shares. |
| (i) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
| (j) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 226 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
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| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 11.46 | 5.75 | % | $ | 3,982,404 | 0.74 | % | 3.62 | % | 0.97 | % | 24 | % | |||||||||||||
| 11.23 | 11.45 | (f) | 3,154,129 | 0.73 | 4.94 | 0.97 | 18 | |||||||||||||||||||
| 10.59 | 0.87 | 1,322,130 | 0.75 | 5.12 | 0.98 | 18 | ||||||||||||||||||||
| 11.04 | 8.21 | (g) | 780,006 | 0.75 | 4.51 | 0.99 | 14 | |||||||||||||||||||
| 10.67 | 5.42 | 560,556 | 0.75 | 4.36 | 0.94 | 8 | ||||||||||||||||||||
| 11.45 | 5.06 | 76,034 | 1.39 | 2.98 | 1.46 | 24 | ||||||||||||||||||||
| 11.22 | 10.71 | (f) | 118,596 | 1.38 | 4.37 | 1.47 | 18 | |||||||||||||||||||
| 10.58 | 0.21 | 80,648 | 1.40 | 4.42 | 1.48 | 18 | ||||||||||||||||||||
| 11.03 | 7.49 | (g) | 78,048 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||
| 10.66 | 4.75 | 74,963 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||
| 11.51 | 5.04 | 2,181,719 | 1.39 | 2.97 | 1.47 | 24 | ||||||||||||||||||||
| 11.28 | 10.65 | (f) | 2,326,774 | 1.38 | 4.12 | 1.47 | 18 | |||||||||||||||||||
| 10.65 | 0.33 | 250,444 | 1.40 | 4.46 | 1.48 | 18 | ||||||||||||||||||||
| 11.09 | 7.38 | (g) | 133,975 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||
| 10.73 | 4.83 | 65,579 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||
| 11.45 | 5.51 | 37,096 | 0.99 | 3.36 | 1.22 | 24 | ||||||||||||||||||||
| 11.22 | 11.16 | (f) | 14,608 | 0.98 | 4.41 | 1.22 | 18 | |||||||||||||||||||
| 10.59 | 5.00 | 63 | 1.00 | 4.96 | 1.25 | 18 | ||||||||||||||||||||
| 11.44 | 6.06 | 123,327 | 0.44 | 3.91 | 0.51 | 24 | ||||||||||||||||||||
| 11.21 | 11.69 | (f) | 470,155 | 0.43 | 5.26 | 0.53 | 18 | |||||||||||||||||||
| 10.58 | 1.26 | 259,552 | 0.45 | 5.43 | 0.53 | 18 | ||||||||||||||||||||
| 11.02 | 8.41 | (g) | 177,019 | 0.45 | 4.82 | 0.54 | 14 | |||||||||||||||||||
| 10.66 | 7.03 | 55,785 | 0.45 | 4.64 | 0.50 | 8 | ||||||||||||||||||||
| 11.46 | 6.22 | 2,334,504 | 0.39 | 3.98 | 0.47 | 24 | ||||||||||||||||||||
| 11.22 | 11.72 | (f) | 1,144,420 | 0.39 | 5.36 | 0.47 | 18 | |||||||||||||||||||
| 10.59 | 1.30 | 754,336 | 0.40 | 5.41 | 0.48 | 18 | ||||||||||||||||||||
| 11.03 | 8.48 | (g) | 782,067 | 0.40 | 4.86 | 0.48 | 14 | |||||||||||||||||||
| 10.67 | 5.88 | 711,527 | 0.40 | 4.72 | 0.44 | 8 | ||||||||||||||||||||
| 11.45 | 5.96 | 10,523,393 | 0.57 | 3.79 | 0.72 | 24 | ||||||||||||||||||||
| 11.22 | 11.61 | (f) | 7,029,375 | 0.57 | 5.08 | 0.72 | 18 | |||||||||||||||||||
| 10.58 | 1.03 | 2,699,976 | 0.60 | 5.21 | 0.73 | 18 | ||||||||||||||||||||
| 11.03 | 8.25 | (g) | 2,456,097 | 0.60 | 4.66 | 0.73 | 14 | |||||||||||||||||||
| 10.67 | 5.69 | 2,128,674 | 0.60 | 4.52 | 0.69 | 8 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 227 | ||||||
Table of Contents
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 | ||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 7.85 | $ | 0.37 | (e) | $ | 0.34 | $ | 0.71 | $ | (0.37 | ) | ||||||||
Year Ended February 28, 2010 | 7.03 | 0.43 | (e) | 0.82 | (f) | 1.25 | (0.43 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.41 | (e) | (0.82 | ) | (0.41 | ) | (0.41 | ) | |||||||||||
Year Ended February 29, 2008 | 7.78 | 0.37 | 0.07 | 0.44 | (0.37 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.35 | 0.06 | 0.41 | (0.36 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.89 | 0.33 | (e) | 0.34 | 0.67 | (0.32 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.06 | 0.38 | (e) | 0.83 | (f) | 1.21 | (0.38 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.83 | ) | (0.46 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 7.82 | 0.32 | 0.08 | 0.40 | (0.33 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.88 | 0.32 | (e) | 0.35 | 0.67 | (0.32 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.05 | 0.38 | (e) | 0.84 | (f) | 1.22 | (0.39 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.84 | ) | (0.47 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 7.82 | 0.34 | 0.06 | 0.40 | (0.33 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.34 | (e) | 0.35 | 0.69 | (0.34 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.03 | 0.40 | (e) | 0.82 | (f) | 1.22 | (0.40 | ) | ||||||||||||
November 3, 2008 (h) through February 28, 2009 | 6.90 | 0.13 | (e) | 0.12 | 0.25 | (0.12 | ) | |||||||||||||
Class R6 (i) | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.40 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.45 | (e) | 0.84 | (f) | 1.29 | (0.46 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.44 | (e) | (0.82 | ) | (0.38 | ) | (0.45 | ) | |||||||||||
Year Ended February 29, 2008 | 7.78 | 0.42 | 0.06 | 0.48 | (0.41 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.39 | 0.06 | 0.45 | (0.40 | ) | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.39 | ) | |||||||||||||
June 19, 2009 (h) through February 28, 2010 | 7.38 | 0.31 | (e) | 0.48 | (f) | 0.79 | (0.32 | ) | ||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.38 | (e) | 0.34 | 0.72 | (0.38 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.44 | (e) | 0.83 | (f) | 1.27 | (0.44 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.42 | (e) | (0.82 | ) | (0.40 | ) | (0.43 | ) | |||||||||||
Year Ended February 29, 2008 | 7.78 | 0.39 | 0.07 | 0.46 | (0.39 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.38 | 0.05 | 0.43 | (0.38 | ) | ||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | The Advisor reimbursed the Fund for losses incurred from an operational error. Without this payment, the net realized and unrealized gains (losses) on investments per share for Class R6 would have been $0.83, and the total return would have been 18.61%. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class A, Class B, Class C, Class R2, Institutional Class and Select Class. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Commencement of offering of class of shares. |
| (i) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 228 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 8.19 | 9.23 | % | $ | 327,106 | 0.73 | % | 4.62 | % | 0.97 | % | 22 | % | |||||||||||||
| 7.85 | 18.14 | (f) | 168,775 | 0.77 | 5.59 | 0.97 | 26 | |||||||||||||||||||
| 7.03 | (5.32 | ) | 50,659 | 0.92 | 5.51 | 0.99 | 17 | |||||||||||||||||||
| 7.85 | 5.81 | (g) | 52,808 | 0.92 | 4.81 | 0.97 | 31 | |||||||||||||||||||
| 7.78 | 5.49 | 45,383 | 0.91 | 4.64 | 0.96 | 26 | ||||||||||||||||||||
| 8.24 | 8.60 | 6,270 | 1.38 | 4.03 | 1.47 | 22 | ||||||||||||||||||||
| 7.89 | 17.49 | (f) | 7,674 | 1.40 | 5.00 | 1.48 | 26 | |||||||||||||||||||
| 7.06 | (5.93 | ) | 4,295 | 1.45 | 4.93 | 1.49 | 17 | |||||||||||||||||||
| 7.89 | 5.26 | (g) | 6,665 | 1.45 | 4.28 | 1.47 | 31 | |||||||||||||||||||
| 7.82 | 4.91 | 5,464 | 1.45 | 4.09 | 1.46 | 26 | ||||||||||||||||||||
| 8.23 | 8.63 | 287,042 | 1.38 | 3.97 | 1.47 | 22 | ||||||||||||||||||||
| 7.88 | 17.58 | (f) | 152,695 | 1.39 | 4.90 | 1.46 | 26 | |||||||||||||||||||
| 7.05 | (5.99 | ) | 16,495 | 1.45 | 5.08 | 1.50 | 17 | |||||||||||||||||||
| 7.89 | 5.27 | (g) | 5,737 | 1.45 | 4.27 | 1.47 | 31 | |||||||||||||||||||
| 7.82 | 4.90 | 3,512 | 1.45 | 4.11 | 1.46 | 26 | ||||||||||||||||||||
| 8.20 | 8.93 | 357 | 1.13 | 4.22 | 1.22 | 22 | ||||||||||||||||||||
| 7.85 | 17.71 | (f) | 210 | 1.14 | 5.21 | 1.22 | 26 | |||||||||||||||||||
| 7.03 | 3.68 | 52 | 1.17 | 5.83 | 1.29 | 17 | ||||||||||||||||||||
| 8.19 | 9.60 | 158,216 | 0.38 | 4.92 | 0.47 | 22 | ||||||||||||||||||||
| 7.85 | 18.76 | (f) | 18,465 | 0.40 | 5.94 | 0.48 | 26 | |||||||||||||||||||
| 7.02 | (4.98 | ) | 15,642 | 0.45 | 5.95 | 0.49 | 17 | |||||||||||||||||||
| 7.85 | 6.31 | (g) | 17,985 | 0.45 | 5.26 | 0.47 | 31 | |||||||||||||||||||
| 7.78 | 5.97 | 12,094 | 0.45 | 5.10 | 0.46 | 26 | ||||||||||||||||||||
| 8.20 | 9.63 | 27,374 | 0.47 | 4.93 | 0.57 | 22 | ||||||||||||||||||||
| 7.85 | 10.89 | (f) | 46,561 | 0.48 | 5.73 | 0.56 | 26 | |||||||||||||||||||
| 8.19 | 9.35 | 1,260,849 | 0.63 | 4.75 | 0.72 | 22 | ||||||||||||||||||||
| 7.85 | 18.46 | (f) | 937,874 | 0.65 | 5.81 | 0.73 | 26 | |||||||||||||||||||
| 7.02 | (5.21 | ) | 662,140 | 0.67 | 5.73 | 0.74 | 17 | |||||||||||||||||||
| 7.85 | 6.11 | (g) | 925,240 | 0.67 | 5.05 | 0.72 | 31 | |||||||||||||||||||
| 7.78 | 5.74 | 875,275 | 0.66 | 4.89 | 0.71 | 26 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 229 | ||||||
Table of Contents
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 | ||||||||||||||||
Government Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.70 | $ | 0.39 | $ | 0.11 | $ | 0.50 | $ | (0.39 | ) | |||||||||
Year Ended February 28, 2010 | 10.56 | 0.42 | 0.14 | 0.56 | (0.42 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.42 | 0.01 | 0.43 | (0.42 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.48 | 0.40 | 0.88 | (0.48 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.15 | 0.45 | 0.01 | 0.46 | (0.46 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.31 | 0.11 | 0.42 | (0.31 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.55 | 0.34 | 0.14 | 0.48 | (0.34 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.54 | 0.35 | 0.01 | 0.36 | (0.35 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.14 | 0.41 | 0.40 | 0.81 | (0.41 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.14 | 0.38 | 0.01 | 0.39 | (0.39 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.66 | 0.31 | 0.12 | 0.43 | (0.31 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.53 | 0.35 | 0.13 | 0.48 | (0.35 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.53 | 0.34 | 0.01 | 0.35 | (0.35 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.13 | 0.42 | 0.39 | 0.81 | (0.41 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.13 | 0.38 | 0.01 | 0.39 | (0.39 | ) | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.37 | 0.11 | 0.48 | (0.37 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.41 | 0.12 | 0.53 | (0.40 | ) | ||||||||||||||
November 3, 2008 (f) through February 28, 2009 | 10.07 | 0.09 | 0.51 | 0.60 | (0.11 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.42 | 0.11 | 0.53 | (0.42 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.45 | 0.13 | 0.58 | (0.45 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.46 | — | (g) | 0.46 | (0.45 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.52 | 0.39 | 0.91 | (0.51 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.14 | 0.48 | 0.01 | 0.49 | (0.48 | ) | ||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (f) | Commencement of offering of class of shares. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 230 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.81 | 4.69 | % | $ | 474,402 | 0.74 | % | 3.56 | % | 0.99 | % | 18 | % | |||||||||||||
| 10.70 | 5.42 | 453,605 | 0.74 | 3.96 | 1.03 | 12 | ||||||||||||||||||||
| 10.56 | 4.27 | 372,703 | 0.75 | 4.04 | 1.02 | 13 | ||||||||||||||||||||
| 10.55 | 8.98 | (e) | 220,780 | 0.75 | 4.70 | 0.98 | 2 | |||||||||||||||||||
| 10.15 | 4.65 | 157,598 | 0.75 | 4.51 | 0.98 | 24 | ||||||||||||||||||||
| 10.80 | 3.92 | 19,524 | 1.47 | 2.85 | 1.49 | 18 | ||||||||||||||||||||
| 10.69 | 4.64 | 34,957 | 1.47 | 3.26 | 1.53 | 12 | ||||||||||||||||||||
| 10.55 | 3.50 | 48,296 | 1.48 | 3.34 | 1.52 | 13 | ||||||||||||||||||||
| 10.54 | 8.20 | (e) | 43,513 | 1.46 | 4.02 | 1.48 | 2 | |||||||||||||||||||
| 10.14 | 3.93 | 52,182 | 1.46 | 3.82 | 1.48 | 24 | ||||||||||||||||||||
| 10.78 | 4.02 | 171,114 | 1.47 | 2.83 | 1.49 | 18 | ||||||||||||||||||||
| 10.66 | 4.58 | 185,498 | 1.47 | 3.23 | 1.53 | 12 | ||||||||||||||||||||
| 10.53 | 3.46 | 136,707 | 1.48 | 3.24 | 1.52 | 13 | ||||||||||||||||||||
| 10.53 | 8.25 | (e) | 46,407 | 1.46 | 3.99 | 1.48 | 2 | |||||||||||||||||||
| 10.13 | 3.94 | 22,250 | 1.46 | 3.81 | 1.48 | 24 | ||||||||||||||||||||
| 10.80 | 4.45 | 15,782 | 0.99 | 3.28 | 1.24 | 18 | ||||||||||||||||||||
| 10.69 | 5.09 | 3,151 | 0.99 | 3.62 | 1.27 | 12 | ||||||||||||||||||||
| 10.56 | 5.97 | 164 | 1.00 | 2.59 | 1.30 | 13 | ||||||||||||||||||||
| 10.80 | 4.97 | 809,433 | 0.47 | 3.83 | 0.74 | 18 | ||||||||||||||||||||
| 10.69 | 5.59 | 714,113 | 0.47 | 4.23 | 0.78 | 12 | ||||||||||||||||||||
| 10.56 | 4.54 | 605,421 | 0.48 | 4.38 | 0.77 | 13 | ||||||||||||||||||||
| 10.55 | 9.26 | (e) | 616,581 | 0.48 | 5.01 | 0.73 | 2 | |||||||||||||||||||
| 10.15 | 4.99 | 891,369 | 0.50 | 4.74 | 0.73 | 24 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 231 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 7.72 | $ | 0.63 | (e) | $ | 0.64 | $ | 1.27 | $ | (0.63 | ) | $ | (0.03 | ) | $ | (0.66 | ) | ||||||||||
Year Ended February 28, 2010 | 5.79 | 0.58 | 1.94 | (g) | 2.52 | (0.59 | ) | — | (0.59 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.52 | (1.78 | ) | (1.26 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.60 | 0.62 | (0.93 | ) | (0.31 | ) | (0.61 | ) | (0.09 | ) | (0.70 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.23 | 0.61 | 0.40 | 1.01 | (0.62 | ) | (0.02 | ) | (0.64 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.73 | 0.58 | (e) | 0.64 | 1.22 | (0.57 | ) | (0.03 | ) | (0.60 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.55 | 1.91 | (g) | 2.46 | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.51 | (1.80 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.58 | (0.94 | ) | (0.36 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.23 | 0.57 | 0.40 | 0.97 | (0.57 | ) | (0.02 | ) | (0.59 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.72 | 0.58 | (e) | 0.64 | 1.22 | (0.57 | ) | (0.03 | ) | (0.60 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.80 | 0.53 | 1.93 | (g) | 2.46 | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.50 | (1.79 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.57 | (0.94 | ) | (0.37 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.57 | 0.39 | 0.96 | (0.57 | ) | (0.02 | ) | (0.59 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.71 | 0.60 | (e) | 0.65 | 1.25 | (0.61 | ) | (0.03 | ) | (0.64 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.79 | 0.55 | 1.94 | (g) | 2.49 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||
November 3, 2008 (i) through February 28, 2009 | 5.96 | 0.16 | (0.17 | ) | (0.01 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Class R5 (j) | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.74 | 0.68 | (e) | 0.62 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.93 | (g) | 2.54 | (0.61 | ) | — | (0.61 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.61 | 0.55 | (1.79 | ) | (1.24 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.63 | 0.66 | (0.95 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | ||||||||||||||||
May 15, 2006 (i) through February 28, 2007 | 8.31 | 0.52 | 0.35 | 0.87 | (0.53 | ) | (0.02 | ) | (0.55 | ) | ||||||||||||||||||
Class R6 (k) | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.73 | 0.65 | (e) | 0.65 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.92 | (g) | 2.53 | (0.61 | ) | — | (0.61 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.57 | (1.80 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.65 | (0.93 | ) | (0.28 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.65 | 0.39 | 1.04 | (0.65 | ) | (0.02 | ) | (0.67 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.74 | 0.65 | (e) | 0.65 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.60 | 1.93 | (g) | 2.53 | (0.60 | ) | — | (0.60 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.56 | (1.79 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.62 | 0.63 | (0.92 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.64 | 0.40 | 1.04 | (0.64 | ) | (0.02 | ) | (0.66 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | The Advisor reimbursed the Fund for losses incurred from operational errors. Without these payments, the net realized and unrealized gains (losses) on investments per share for Class A would have been $1.93, and the total return would have been 44.53%. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class B, Class C, Class R2, Class R5, Class R6 and Select Class. |
| (h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (i) | Commencement of offering of class of shares. |
| (j) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
| (k) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 232 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
| Redemption fees | Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||||
| $ | — | (f) | $ | 8.33 | 17.07 | % | $ | 856,717 | 1.14 | % | 7.81 | % | 1.32 | % | 45 | % | ||||||||||||||
| — | (f) | 7.72 | 44.71 | (g) | 580,690 | 1.14 | 8.40 | 1.32 | 45 | |||||||||||||||||||||
| — | (f) | 5.79 | (17.28 | ) | 184,739 | 1.15 | 8.10 | 1.31 | 18 | |||||||||||||||||||||
| — | (f) | 7.59 | (3.87 | )(h) | 79,217 | 1.12 | 7.54 | 1.32 | 48 | |||||||||||||||||||||
| — | (f) | 8.60 | 12.82 | 83,790 | 1.12 | 7.42 | 1.31 | 69 | ||||||||||||||||||||||
| — | (f) | 8.35 | 16.40 | 17,991 | 1.79 | 7.24 | 1.82 | 45 | ||||||||||||||||||||||
| — | (f) | 7.73 | 43.46 | (g) | 22,430 | 1.79 | 7.80 | 1.82 | 45 | |||||||||||||||||||||
| — | (f) | 5.81 | (17.68 | ) | 16,720 | 1.80 | 7.33 | 1.81 | 18 | |||||||||||||||||||||
| — | (f) | 7.60 | (4.51 | )(h) | 26,052 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||||
| — | (f) | 8.61 | 12.19 | 35,667 | 1.77 | 6.78 | 1.81 | 69 | ||||||||||||||||||||||
| — | (f) | 8.34 | 16.45 | 248,488 | 1.79 | 7.17 | 1.82 | 45 | ||||||||||||||||||||||
| — | (f) | 7.72 | 43.58 | (g) | 158,503 | 1.79 | 7.75 | 1.83 | 45 | |||||||||||||||||||||
| — | (f) | 5.80 | (17.69 | ) | 36,872 | 1.80 | 7.37 | 1.81 | 18 | |||||||||||||||||||||
| — | (f) | 7.59 | (4.61 | )(h) | 29,517 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||||
| — | (f) | 8.61 | 12.05 | 29,953 | 1.77 | 6.77 | 1.81 | 69 | ||||||||||||||||||||||
| — | (f) | 8.32 | 16.82 | 3,609 | 1.39 | 7.49 | 1.58 | 45 | ||||||||||||||||||||||
| — | (f) | 7.71 | 44.25 | (g) | 1,004 | 1.39 | 8.10 | 1.60 | 45 | |||||||||||||||||||||
| — | (f) | 5.79 | (0.05 | ) | 50 | 1.40 | 8.84 | 1.59 | 18 | |||||||||||||||||||||
| — | (f) | 8.36 | 17.45 | 27,619 | 0.85 | 8.54 | 0.87 | 45 | ||||||||||||||||||||||
| — | (f) | 7.74 | 44.95 | (g) | 148,162 | 0.84 | 8.71 | 0.87 | 45 | |||||||||||||||||||||
| — | (f) | 5.81 | (16.99 | ) | 53,497 | 0.85 | 8.55 | 0.87 | 18 | |||||||||||||||||||||
| — | (f) | 7.61 | (3.71 | )(h) | 18,807 | 0.86 | 7.83 | 0.86 | 48 | |||||||||||||||||||||
| — | (f) | 8.63 | 10.90 | 8,732 | 0.86 | 7.57 | 0.86 | 69 | ||||||||||||||||||||||
| — | (f) | 8.35 | 17.59 | 929,762 | 0.80 | 7.99 | 0.83 | 45 | ||||||||||||||||||||||
| — | (f) | 7.73 | 44.84 | (g) | 359,553 | 0.79 | 8.76 | 0.83 | 45 | |||||||||||||||||||||
| — | (f) | 5.81 | (16.84 | ) | 91,880 | 0.80 | 8.44 | 0.81 | 18 | |||||||||||||||||||||
| — | (f) | 7.60 | (3.58 | )(h) | 77,356 | 0.81 | 7.87 | 0.81 | 48 | |||||||||||||||||||||
| — | (f) | 8.61 | 13.12 | 64,497 | 0.81 | 7.74 | 0.81 | 69 | ||||||||||||||||||||||
| — | (f) | 8.36 | 17.44 | 7,478,536 | 0.89 | 8.06 | 1.07 | 45 | ||||||||||||||||||||||
| — | (f) | 7.74 | 44.86 | (g) | 4,567,712 | 0.89 | 8.67 | 1.08 | 45 | |||||||||||||||||||||
| — | (f) | 5.81 | (16.93 | ) | 1,837,745 | 0.90 | 8.36 | 1.06 | 18 | |||||||||||||||||||||
| — | (f) | 7.60 | (3.73 | )(h) | 1,544,252 | 0.87 | 7.81 | 1.06 | 48 | |||||||||||||||||||||
| — | (f) | 8.62 | 13.18 | 1,038,528 | 0.87 | 7.67 | 1.06 | 69 | ||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 233 | ||||||
Table of Contents
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 | ||||||||||||||||
Limited Duration Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 8.90 | $ | 0.21 | (c) | $ | 0.56 | $ | 0.77 | $ | (0.21 | ) | ||||||||
Year Ended February 28, 2010 | 7.80 | 0.24 | (c) | 1.11 | (d) | 1.35 | (0.25 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.36 | (c) | (1.50 | ) | (1.14 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.46 | (0.46 | ) | — | (0.46 | ) | |||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.45 | 0.03 | 0.48 | (0.45 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.83 | 0.17 | (c) | 0.56 | 0.73 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.74 | 0.21 | (c) | 1.09 | (d) | 1.30 | (0.21 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.24 | 0.31 | (c) | (1.49 | ) | (1.18 | ) | (0.32 | ) | |||||||||||
Year Ended February 29, 2008 | 9.70 | 0.38 | (0.43 | ) | (0.05 | ) | (0.41 | ) | ||||||||||||
Year Ended February 28, 2007 | 9.67 | 0.38 | 0.05 | 0.43 | (0.40 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.82 | 0.17 | (c) | 0.55 | 0.72 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.72 | 0.20 | (c) | 1.11 | (d) | 1.31 | (0.21 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.23 | 0.31 | (c) | (1.50 | ) | (1.19 | ) | (0.32 | ) | |||||||||||
Year Ended February 29, 2008 | 9.68 | 0.38 | (0.42 | ) | (0.04 | ) | (0.41 | ) | ||||||||||||
Year Ended February 28, 2007 | 9.66 | 0.38 | 0.04 | 0.42 | (0.40 | ) | ||||||||||||||
Class R6 (f) | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.91 | 0.26 | (c) | 0.56 | 0.82 | (0.26 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.31 | (c) | 1.09 | (d) | 1.40 | (0.29 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.32 | 0.40 | (c) | (1.51 | ) | (1.11 | ) | (0.41 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.50 | (0.45 | ) | 0.05 | (0.50 | ) | |||||||||||||
Year Ended February 28, 2007 | 9.75 | 0.49 | 0.02 | 0.51 | (0.49 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.90 | 0.24 | (c) | 0.56 | 0.80 | (0.24 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.26 | (c) | 1.11 | (d) | 1.37 | (0.27 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.38 | (c) | (1.50 | ) | (1.12 | ) | (0.39 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.49 | (0.47 | ) | 0.02 | (0.48 | ) | |||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.47 | 0.03 | 0.50 | (0.47 | ) | ||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to the total return. |
| (e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (f) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 234 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 9.46 | 8.78 | % | $ | 69,464 | 0.67 | % | 2.32 | % | 0.95 | % | 28 | % | |||||||||||||
| 8.90 | 17.61 | (d) | 74,529 | 0.67 | 2.88 | 0.98 | 23 | |||||||||||||||||||
| 7.80 | (12.52 | ) | 52,560 | 0.70 | 4.12 | 0.95 | — | |||||||||||||||||||
| 9.31 | (0.06 | )(e) | 104,590 | 0.70 | 4.70 | 0.91 | 15 | |||||||||||||||||||
| 9.77 | 5.03 | 121,385 | 0.70 | 4.53 | 0.91 | 26 | ||||||||||||||||||||
| 9.39 | 8.29 | 820 | 1.17 | 1.82 | 1.45 | 28 | ||||||||||||||||||||
| 8.83 | 17.01 | (d) | 1,845 | 1.17 | 2.58 | 1.49 | 23 | |||||||||||||||||||
| 7.74 | (12.97 | ) | 6,423 | 1.20 | 3.62 | 1.44 | — | |||||||||||||||||||
| 9.24 | (0.56 | )(e) | 18,797 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||
| 9.70 | 4.54 | 32,930 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||
| 9.37 | 8.20 | 66,659 | 1.17 | 1.82 | 1.45 | 28 | ||||||||||||||||||||
| 8.82 | 17.22 | (d) | 65,806 | 1.17 | 2.41 | 1.48 | 23 | |||||||||||||||||||
| 7.72 | (13.09 | ) | 65,241 | 1.20 | 3.63 | 1.44 | — | |||||||||||||||||||
| 9.23 | (0.47 | )(e) | 145,000 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||
| 9.68 | 4.45 | 242,277 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||
| 9.47 | 9.25 | 3,873 | 0.22 | 2.78 | 0.45 | 28 | ||||||||||||||||||||
| 8.91 | 18.26 | (d) | 1,253 | 0.23 | 3.92 | 0.51 | 23 | |||||||||||||||||||
| 7.80 | (12.21 | ) | 137,474 | 0.25 | 4.56 | 0.44 | — | |||||||||||||||||||
| 9.32 | 0.51 | (e) | 573,714 | 0.25 | 5.15 | 0.41 | 15 | |||||||||||||||||||
| 9.77 | 5.37 | 648,283 | 0.25 | 5.01 | 0.41 | 26 | ||||||||||||||||||||
| 9.46 | 9.05 | 256,477 | 0.42 | 2.57 | 0.70 | 28 | ||||||||||||||||||||
| 8.90 | 17.91 | (d) | 183,481 | 0.42 | 3.14 | 0.73 | 23 | |||||||||||||||||||
| 7.80 | (12.27 | ) | 179,116 | 0.45 | 4.37 | 0.70 | — | |||||||||||||||||||
| 9.31 | 0.18 | (e) | 352,600 | 0.45 | 4.95 | 0.66 | 15 | |||||||||||||||||||
| 9.77 | 5.29 | 565,561 | 0.45 | 4.79 | 0.66 | 26 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 235 | ||||||
Table of Contents
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 | ||||||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 11.22 | $ | 0.55 | $ | 0.28 | $ | 0.83 | $ | (0.55 | ) | |||||||||
Year Ended February 28, 2010 | 10.42 | 0.73 | 0.82 | 1.55 | (0.75 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.97 | 0.61 | (0.57 | ) | 0.04 | (0.59 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.65 | 0.50 | 0.31 | 0.81 | (0.49 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.54 | 0.47 | 0.10 | 0.57 | (0.46 | ) | ||||||||||||||
Class R6 (d) | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.01 | 0.59 | 0.27 | 0.86 | (0.59 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.23 | 0.79 | 0.78 | 1.57 | (0.79 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.79 | 0.63 | (0.56 | ) | 0.07 | (0.63 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.48 | 0.54 | 0.31 | 0.85 | (0.54 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.38 | 0.50 | 0.10 | 0.60 | (0.50 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.01 | 0.57 | 0.26 | 0.83 | (0.57 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.23 | 0.76 | 0.79 | 1.55 | (0.77 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.79 | 0.62 | (0.57 | ) | 0.05 | (0.61 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.48 | 0.52 | 0.31 | 0.83 | (0.52 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.38 | 0.49 | 0.10 | 0.59 | (0.49 | ) | ||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (d) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 236 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 11.50 | 7.48 | % | $ | 176,334 | 0.64 | % | 4.84 | % | 0.98 | % | 30 | % | |||||||||||||
| 11.22 | 15.26 | 101,955 | 0.64 | 6.58 | 0.99 | 21 | ||||||||||||||||||||
| 10.42 | 0.41 | 16,189 | 0.65 | 5.69 | 0.99 | 15 | ||||||||||||||||||||
| 10.97 | 7.88 | (c) | 18,011 | 0.65 | 4.70 | 0.98 | 16 | |||||||||||||||||||
| 10.65 | 5.60 | 14,063 | 0.65 | 4.46 | 0.98 | 18 | ||||||||||||||||||||
| 11.28 | 7.97 | 1,466,482 | 0.24 | 5.26 | 0.48 | 30 | ||||||||||||||||||||
| 11.01 | 15.79 | 1,271,776 | 0.24 | 7.35 | 0.49 | 21 | ||||||||||||||||||||
| 10.23 | 0.74 | 916,201 | 0.25 | 6.12 | 0.50 | 15 | ||||||||||||||||||||
| 10.79 | 8.33 | (c) | 882,626 | 0.25 | 5.09 | 0.48 | 16 | |||||||||||||||||||
| 10.48 | 5.97 | 829,330 | 0.25 | 4.83 | 0.48 | 18 | ||||||||||||||||||||
| 11.27 | 7.71 | 580,212 | 0.39 | 5.12 | 0.73 | 30 | ||||||||||||||||||||
| 11.01 | 15.64 | 425,701 | 0.39 | 6.87 | 0.74 | 21 | ||||||||||||||||||||
| 10.23 | 0.58 | 88,231 | 0.40 | 5.93 | 0.74 | 15 | ||||||||||||||||||||
| 10.79 | 8.18 | (c) | 96,870 | 0.40 | 4.94 | 0.73 | 16 | |||||||||||||||||||
| 10.48 | 5.83 | 111,656 | 0.40 | 4.71 | 0.73 | 18 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 237 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Short Duration Bond Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.90 | $ | 0.16 | (c) | $ | 0.06 | $ | 0.22 | $ | (0.16 | ) | $ | (0.01 | ) | $ | (0.17 | ) | ||||||||||
Year Ended February 28, 2010 | 10.61 | 0.26 | (c) | 0.29 | 0.55 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.80 | 0.38 | (0.19 | ) | 0.19 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.52 | 0.44 | (c) | 0.26 | 0.70 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.43 | 0.39 | (c) | 0.10 | 0.49 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 11.00 | 0.11 | (c) | 0.06 | 0.17 | (0.10 | ) | (0.01 | ) | (0.11 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.70 | 0.22 | (c) | 0.28 | 0.50 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.88 | 0.35 | (0.21 | ) | 0.14 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.60 | 0.39 | (c) | 0.26 | 0.65 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.50 | 0.33 | (c) | 0.11 | 0.44 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.97 | 0.10 | (c) | 0.06 | 0.16 | (0.10 | ) | (0.01 | ) | (0.11 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.68 | 0.20 | (c) | 0.30 | 0.50 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.87 | 0.33 | (0.20 | ) | 0.13 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.59 | 0.39 | (c) | 0.26 | 0.65 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.49 | 0.33 | (c) | 0.11 | 0.44 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Class R6 (e) | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.92 | 0.21 | (c) | 0.06 | 0.27 | (0.21 | ) | (0.01 | ) | (0.22 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.31 | (c) | 0.30 | 0.61 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.81 | 0.43 | (0.19 | ) | 0.24 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.53 | �� | 0.49 | (c) | 0.27 | 0.76 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.44 | (c) | 0.10 | 0.54 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.92 | 0.19 | (c) | 0.05 | 0.24 | (0.19 | ) | (0.01 | ) | (0.20 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.29 | (c) | 0.30 | 0.59 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.80 | 0.40 | (0.18 | ) | 0.22 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.53 | 0.46 | (c) | 0.26 | 0.72 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.41 | (c) | 0.10 | 0.51 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (e) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 238 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 10.95 | 2.04 | % | $ | 250,706 | 0.79 | % | 1.45 | % | 0.86 | % | 36 | % | |||||||||||||
| 10.90 | 5.23 | 255,356 | 0.79 | 2.43 | 0.88 | 31 | ||||||||||||||||||||
| 10.61 | 1.79 | 90,891 | 0.80 | 3.55 | 0.89 | 51 | ||||||||||||||||||||
| 10.80 | 6.84 | (d) | 56,496 | 0.80 | 4.14 | 0.91 | 40 | |||||||||||||||||||
| 10.52 | 4.75 | 94,199 | 0.80 | 3.69 | 0.91 | 44 | ||||||||||||||||||||
| 11.06 | 1.58 | 2,134 | 1.29 | 0.96 | 1.36 | 36 | ||||||||||||||||||||
| 11.00 | 4.71 | 3,458 | 1.29 | 2.05 | 1.38 | 31 | ||||||||||||||||||||
| 10.70 | 1.32 | 6,668 | 1.30 | 3.09 | 1.39 | 51 | ||||||||||||||||||||
| 10.88 | 6.23 | (d) | 11,328 | 1.30 | 3.65 | 1.41 | 40 | |||||||||||||||||||
| 10.60 | 4.27 | 17,787 | 1.30 | 3.17 | 1.41 | 44 | ||||||||||||||||||||
| 11.02 | 1.51 | 321,680 | 1.29 | 0.95 | 1.36 | 36 | ||||||||||||||||||||
| 10.97 | 4.76 | 344,957 | 1.29 | 1.83 | 1.38 | 31 | ||||||||||||||||||||
| 10.68 | 1.27 | 22,625 | 1.30 | 3.06 | 1.39 | 51 | ||||||||||||||||||||
| 10.87 | 6.26 | (d) | 19,135 | 1.30 | 3.64 | 1.41 | 40 | |||||||||||||||||||
| 10.59 | 4.26 | 20,777 | 1.30 | 3.15 | 1.41 | 44 | ||||||||||||||||||||
| 10.97 | 2.54 | 2,906,329 | 0.29 | 1.94 | 0.36 | 36 | ||||||||||||||||||||
| 10.92 | 5.81 | 2,043,695 | 0.29 | 2.87 | 0.38 | 31 | ||||||||||||||||||||
| 10.62 | 2.27 | 322,907 | 0.30 | 4.07 | 0.39 | 51 | ||||||||||||||||||||
| 10.81 | 7.39 | (d) | 321,055 | 0.30 | 4.64 | 0.41 | 40 | |||||||||||||||||||
| 10.53 | 5.24 | 299,838 | 0.30 | 4.18 | 0.41 | 44 | ||||||||||||||||||||
| 10.96 | 2.20 | 6,829,822 | 0.54 | 1.70 | 0.61 | 36 | ||||||||||||||||||||
| 10.92 | 5.57 | 5,163,875 | 0.54 | 2.67 | 0.63 | 31 | ||||||||||||||||||||
| 10.62 | 2.12 | 2,029,713 | 0.55 | 3.80 | 0.64 | 51 | ||||||||||||||||||||
| 10.80 | 7.03 | (d) | 1,255,422 | 0.55 | 4.31 | 0.64 | 40 | |||||||||||||||||||
| 10.53 | 4.99 | 277,452 | 0.55 | 3.89 | 0.66 | 44 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 239 | ||||||
Table of Contents
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 | ||||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 8.85 | $ | 0.15 | (e) | $ | (0.01 | ) | $ | 0.14 | $ | (0.16 | ) | |||||||
Year Ended February 28, 2010 | 8.76 | 0.20 | (e) | 0.11 | (f) | 0.31 | (0.22 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.34 | (e) | (0.90 | ) | (0.56 | ) | (0.34 | ) | |||||||||||
Year Ended February 29, 2008 | 9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.84 | 0.22 | (e) | 0.02 | 0.24 | (0.24 | ) | |||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.45 | (0.20 | ) | 0.25 | (0.43 | ) | |||||||||||||
Class M | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.85 | 0.13 | (e) | (0.02 | ) | 0.11 | (0.13 | ) | ||||||||||||
Year Ended February 28, 2010 | 8.76 | 0.18 | (e) | 0.11 | (f) | 0.29 | (0.20 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.29 | (e) | (0.88 | ) | (0.59 | ) | (0.31 | ) | |||||||||||
Year Ended February 29, 2008 | 9.85 | 0.41 | (0.18 | ) | 0.23 | (0.42 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.84 | 0.21 | (e) | 0.02 | 0.23 | (0.22 | ) | |||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.41 | (0.19 | ) | 0.22 | (0.40 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.87 | 0.17 | (e) | (0.02 | ) | 0.15 | (0.18 | ) | ||||||||||||
Year Ended February 28, 2010 | 8.77 | 0.22 | (e) | 0.12 | (f) | 0.34 | (0.24 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.68 | 0.37 | (e) | (0.92 | ) | (0.55 | ) | (0.36 | ) | |||||||||||
Year Ended February 29, 2008 | 9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.86 | 0.23 | (e) | 0.02 | 0.25 | (0.25 | ) | |||||||||||||
Year Ended August 31, 2006 | 10.03 | 0.47 | (0.19 | ) | 0.28 | (0.45 | ) | |||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
| (g) | The Fund changed its fiscal year end from August 31 to the last day of February. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 240 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 8.83 | 1.54 | % | $ | 7,222 | 0.75 | % | 1.67 | % | 1.12 | % | 49 | % | |||||||||||||
| 8.85 | 3.61 | (f) | 7,263 | 0.74 | 2.26 | 1.05 | 48 | |||||||||||||||||||
| 8.76 | (5.93 | ) | 6,456 | 0.75 | 3.61 | 1.09 | 91 | |||||||||||||||||||
| 9.66 | 2.78 | 22,655 | 0.75 | 4.51 | 1.01 | 338 | ||||||||||||||||||||
| 9.84 | 2.42 | 24,652 | 0.75 | 4.53 | 0.98 | 246 | ||||||||||||||||||||
| 9.84 | 2.56 | 32,557 | 0.75 | 4.46 | 0.95 | 479 | ||||||||||||||||||||
| 8.83 | 1.26 | 75,712 | 1.00 | 1.43 | 1.22 | 49 | ||||||||||||||||||||
| 8.85 | 3.36 | (f) | 93,816 | 0.99 | 2.01 | 1.16 | 48 | |||||||||||||||||||
| 8.76 | (6.15 | ) | 113,828 | 1.00 | 3.19 | 1.19 | 91 | |||||||||||||||||||
| 9.66 | 2.42 | 144,078 | 1.00 | 4.26 | 1.11 | 338 | ||||||||||||||||||||
| 9.85 | 2.39 | 175,836 | 1.00 | 4.29 | 1.08 | 246 | ||||||||||||||||||||
| 9.84 | 2.30 | 209,284 | 1.00 | 4.19 | 1.05 | 479 | ||||||||||||||||||||
| 8.84 | 1.68 | 1,669 | 0.50 | 1.95 | 0.87 | 49 | ||||||||||||||||||||
| 8.87 | 3.98 | (f) | 2,366 | 0.49 | 2.51 | 0.84 | 48 | |||||||||||||||||||
| 8.77 | (5.76 | ) | 5,611 | 0.50 | 3.92 | 0.83 | 91 | |||||||||||||||||||
| 9.68 | 3.02 | 83,064 | 0.50 | 4.76 | 0.75 | 338 | ||||||||||||||||||||
| 9.86 | 2.54 | 151,633 | 0.50 | 4.75 | 0.72 | 246 | ||||||||||||||||||||
| 9.86 | 2.91 | 375,097 | 0.50 | 4.71 | 0.70 | 479 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 241 | ||||||
Table of Contents
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 | ||||||||||||||||||||||
Treasury & Agency Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 9.96 | $ | 0.13 | (c) | $ | (0.02 | ) | $ | 0.11 | $ | (0.13 | ) | $ | (0.16 | ) | $ | (0.29 | ) | |||||||||
Year Ended February 28, 2010 | 10.17 | 0.22 | (c) | 0.12 | 0.34 | (0.22 | ) | (0.33 | ) | (0.55 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.04 | 0.11 | 0.20 | 0.31 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.72 | 0.42 | 0.31 | 0.73 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Year Ended February 28, 2007 | 9.75 | 0.46 | (0.03 | ) | 0.43 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.94 | 0.08 | (c) | (0.02 | ) | 0.06 | (0.08 | ) | (0.16 | ) | (0.24 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.15 | 0.18 | (c) | 0.11 | 0.29 | (0.17 | ) | (0.33 | ) | (0.50 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.03 | 0.16 | 0.10 | 0.26 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.71 | 0.42 | 0.26 | 0.68 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.43 | (0.05 | ) | 0.38 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.95 | 0.16 | (c) | (0.02 | ) | 0.14 | (0.16 | ) | (0.16 | ) | (0.32 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.16 | 0.24 | (c) | 0.12 | 0.36 | (0.24 | ) | (0.33 | ) | (0.57 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.02 | 0.13 | 0.22 | 0.35 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.70 | 0.44 | 0.31 | 0.75 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.48 | (0.04 | ) | 0.44 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 242 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 9.78 | 1.15 | % | $ | 99,714 | 0.70 | % | 1.32 | % | 0.95 | % | 26 | % | |||||||||||||
| 9.96 | 3.39 | 99,593 | 0.69 | 2.12 | 0.97 | 51 | ||||||||||||||||||||
| 10.17 | 3.18 | 114,609 | 0.70 | 0.99 | 0.94 | 154 | ||||||||||||||||||||
| 10.04 | 7.71 | (d) | 77,234 | 0.69 | 4.33 | 1.01 | 83 | |||||||||||||||||||
| 9.72 | 4.48 | 69,390 | 0.70 | 4.70 | 1.03 | 10 | ||||||||||||||||||||
| 9.76 | 0.63 | 771 | 1.20 | 0.82 | 1.45 | 26 | ||||||||||||||||||||
| 9.94 | 2.86 | 1,588 | 1.19 | 1.75 | 1.47 | 51 | ||||||||||||||||||||
| 10.15 | 2.64 | 3,538 | 1.20 | 1.07 | 1.43 | 154 | ||||||||||||||||||||
| 10.03 | 7.17 | (d) | 6,691 | 1.20 | 3.96 | 1.52 | 83 | |||||||||||||||||||
| 9.71 | 3.97 | 10,948 | 1.20 | 4.19 | 1.53 | 10 | ||||||||||||||||||||
| 9.77 | 1.40 | 371,384 | 0.45 | 1.57 | 0.70 | 26 | ||||||||||||||||||||
| 9.95 | 3.63 | 427,880 | 0.44 | 2.40 | 0.72 | 51 | ||||||||||||||||||||
| 10.16 | 3.52 | 552,538 | 0.45 | 1.54 | 0.69 | 154 | ||||||||||||||||||||
| 10.02 | 8.01 | (d) | 620,461 | 0.43 | 3.98 | 0.74 | 83 | |||||||||||||||||||
| 9.70 | 4.65 | 67,699 | 0.45 | 4.95 | 0.78 | 10 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 243 | ||||||
Table of Contents
AS OF FEBRUARY 28, 2011
1. Organization
JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004. J.P. Morgan Mutual Fund Group (“MFG”) was organized as a Massachusetts business trust on May 11, 1987. JPM II and MFG (the “Trusts”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 9 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Core Bond Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Core Plus Bond Fund | Class A, Class B, Class C, Class R2, Class R6, Institutional Class, Select Class | JPM II | Diversified | |||
| Government Bond Fund | Class A, Class B, Class C, Class R2 and Select Class | JPM II | Diversified | |||
| High Yield Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Limited Duration Bond Fund | Class A, Class B, Class C, Class R6 and Select Class | JPM II | Diversified | |||
| Mortgage-Backed Securities Fund | Class A, Class R6 and Select Class | JPM II | Diversified | |||
| Short Duration Bond Fund | Class A, Class B, Class C, Class R6 and Select Class | JPM II | Diversified | |||
| Short-Term Bond Fund II | Class A, Class M and Select Class | MFG | Diversified | |||
| Treasury & Agency Fund | Class A, Class B and Select Class | JPM II | Diversified |
Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Core Bond Fund, Core Plus Bond Fund, High Yield Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund.
Effective November 1, 2009, Class B Shares of the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A and Class M Shares generally provide for a front-end sales charge while Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years (except for Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Class R2, Class R5, Class R6 Shares, Institutional Class and Select Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. 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.
| 244 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
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 fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | 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 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.
The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Core Bond Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Utilities | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
Total Common Stocks | 1 | — | — | 1 | ||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 701,744 | 20,798 | 722,542 | ||||||||||||
Collateralized Mortgage Obligations | — | 7,323,446 | 42,662 | 7,366,108 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 365,745 | — | 365,745 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 184,426 | — | 184,426 | ||||||||||||
Consumer Staples | — | 101,799 | — | 101,799 | ||||||||||||
Energy | — | 150,172 | — | 150,172 | ||||||||||||
Financials | — | 1,536,168 | 1,572 | 1,537,740 | ||||||||||||
Health Care | — | 30,941 | — | 30,941 | ||||||||||||
Industrials | — | 87,932 | — | 87,932 | ||||||||||||
Information Technology | — | 91,470 | — | 91,470 | ||||||||||||
Materials | — | 51,816 | — | 51,816 | ||||||||||||
Telecommunication Services | — | 164,119 | — | 164,119 | ||||||||||||
Utilities | — | 206,155 | — | 206,155 | ||||||||||||
Total Corporate Bonds | — | 2,604,998 | 1,572 | 2,606,570 | ||||||||||||
Foreign Government Securities | — | 38,917 | — | 38,917 | ||||||||||||
Mortgage Pass-Through Securities | — | 2,198,738 | — | 2,198,738 | ||||||||||||
Municipal Bonds | — | 28,805 | — | 28,805 | ||||||||||||
Supranational | — | 777 | — | 777 | ||||||||||||
U.S. Government Agency Securities | �� | — | 299,082 | — | 299,082 | |||||||||||
U.S. Treasury Obligations | — | 5,310,579 | — | 5,310,579 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 220,224 | — | — | 220,224 | ||||||||||||
Total Investments in Securities | $ | 220,225 | $ | 18,872,831 | $ | 65,032 | $ | 19,158,088 | ||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 245 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Core Plus Bond Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 2,119 | $ | — | $ | 248 | $ | 2,367 | ||||||||
Consumer Staples | 66 | — | 30 | 96 | ||||||||||||
Industrials | 136 | — | — | 136 | ||||||||||||
Information Technology | — | — | 1,688 | 1,688 | ||||||||||||
Materials | 10,215 | — | — | 10,215 | ||||||||||||
Telecommunication Services | 290 | — | — | 290 | ||||||||||||
Utilities | 20 | — | — | 20 | ||||||||||||
Total Common Stocks | 12,846 | — | 1,966 | 14,812 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 4,619 | — | 4,619 | ||||||||||||
Consumer Staples | — | — | 56 | 56 | ||||||||||||
Financials | 390 | 3,594 | 1,784 | 5,768 | ||||||||||||
Total Preferred Stocks | 390 | 8,213 | 1,840 | 10,443 | ||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 50,548 | 4,502 | 55,050 | ||||||||||||
Collateralized Mortgage Obligations | — | 447,135 | — | 447,135 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 67,487 | — | 67,487 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Materials | — | 844 | — | 844 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 118,111 | — | 118,111 | ||||||||||||
Consumer Staples | — | 35,566 | 153 | 35,719 | ||||||||||||
Energy | — | 64,787 | — | 64,787 | ||||||||||||
Financials | — | 247,119 | — | 247,119 | ||||||||||||
Health Care | — | 34,591 | — | 34,591 | ||||||||||||
Industrials | — | 72,325 | 311 | 72,636 | ||||||||||||
Information Technology | — | 25,105 | — | 25,105 | ||||||||||||
Materials | — | 67,898 | 368 | 68,266 | ||||||||||||
Telecommunication Services | — | 40,270 | — | 40,270 | ||||||||||||
Utilities | — | 56,666 | — | 56,666 | ||||||||||||
Total Corporate Bonds | — | 762,438 | 832 | 763,270 | ||||||||||||
Foreign Government Securities | — | 31,159 | 503 | 31,662 | ||||||||||||
Mortgage Pass-Through Securities | — | 88,112 | — | 88,112 | ||||||||||||
Municipal Bonds | — | 10,224 | — | 10,224 | ||||||||||||
Supranational | — | 361 | — | 361 | ||||||||||||
U.S. Government Agency Securities | — | 24,164 | — | 24,164 | ||||||||||||
U.S. Treasury Obligations | — | 357,452 | — | 357,452 | ||||||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 27,193 | — | 27,193 | ||||||||||||
Consumer Staples | — | 2,125 | — | 2,125 | ||||||||||||
Energy | — | 581 | — | 581 | ||||||||||||
Financials | — | 11,739 | — | 11,739 | ||||||||||||
Health Care | — | 426 | — | 426 | ||||||||||||
Industrials | — | 8,007 | — | 8,007 | ||||||||||||
Information Technology | — | 3,208 | 867 | 4,075 | ||||||||||||
Materials | — | 3,013 | — | 3,013 | ||||||||||||
Utilities | — | 5,196 | — | 5,196 | ||||||||||||
Total Loan Participations & Assignments | — | 61,488 | 867 | 62,355 | ||||||||||||
| 246 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
Core Plus Bond Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | $ | 145,512 | $ | — | $ | — | $ | 145,512 | ||||||||
Total Investments in Securities | $ | 158,748 | $ | 1,909,625 | $ | 10,510 | $ | 2,078,883 | ||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 20 | $ | — | $ | 20 | ||||||||
Futures Contracts | 1 | — | — | 1 | ||||||||||||
Unfunded Commitments | — | — | (a) | — | — | (a) | ||||||||||
Total Appreciation in Other Financial Instruments | $ | 1 | $ | 20 | $ | — | $ | 21 | ||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | — | (a) | $ | — | $ | — | (a) | ||||||
Swaps | — | (51 | ) | — | (51 | ) | ||||||||||
Total Depreciation in Other Financial Instruments | $ | — | $ | (51 | ) | $ | — | $ | (51 | ) | ||||||
Government Bond Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 619,545 | $ | 864 | $ | 620,409 | ||||||||
Mortgage Pass-Through Securities | — | 111,073 | — | 111,073 | ||||||||||||
U.S. Government Agency Securities | — | 246,781 | — | 246,781 | ||||||||||||
U.S. Treasury Obligations | — | 341,265 | — | 341,265 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 116,197 | — | — | 116,197 | ||||||||||||
Total Investments in Securities | $ | 116,197 | $ | 1,318,664 | $ | 864 | $ | 1,435,725 | ||||||||
High Yield Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 16,082 | $ | 54 | $ | 3,666 | $ | 19,802 | ||||||||
Consumer Staples | 780 | — | 439 | 1,219 | ||||||||||||
Industrials | 974 | — | — | 974 | ||||||||||||
Information Technology | 3,417 | — | 10,896 | 14,313 | ||||||||||||
Materials | 58,719 | — | — | 58,719 | ||||||||||||
Telecommunication Services | 114 | — | — | 114 | ||||||||||||
Utilities | 79 | — | — | 79 | ||||||||||||
Total Common Stocks | 80,165 | 54 | 15,001 | 95,220 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 3,205 | 618 | 3,823 | ||||||||||||
Consumer Staples | — | — | 817 | 817 | ||||||||||||
Financials | 8,829 | 24,324 | 14,335 | 47,488 | ||||||||||||
Information Technology | — | — | — | (b) | — | (b) | ||||||||||
Total Preferred Stocks | 8,829 | 27,529 | 15,770 | 52,128 | ||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 247 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
High Yield Fund (continued) | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 249 | $ | 6,960 | $ | 7,209 | ||||||||
Convertible Bonds | ||||||||||||||||
Materials | — | 2,335 | — | 2,335 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 2,046,417 | 2,735 | 2,049,152 | ||||||||||||
Consumer Staples | — | 345,608 | 2,246 | 347,854 | ||||||||||||
Energy | — | 997,529 | — | 997,529 | ||||||||||||
Financials | — | 1,043,414 | 17,696 | 1,061,110 | ||||||||||||
Health Care | — | 411,130 | 4,662 | 415,792 | ||||||||||||
Industrials | — | 801,078 | 1,650 | 802,728 | ||||||||||||
Information Technology | — | 361,787 | 2,194 | 363,981 | ||||||||||||
Materials | — | 779,267 | 3,054 | 782,321 | ||||||||||||
Telecommunication Services | — | 553,412 | — | 553,412 | ||||||||||||
Utilities | — | 390,612 | — | 390,612 | ||||||||||||
Total Corporate Bonds | — | 7,730,254 | 34,237 | 7,764,491 | ||||||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 617,833 | — | 617,833 | ||||||||||||
Consumer Staples | — | 121,357 | — | 121,357 | ||||||||||||
Energy | — | 8,846 | — | 8,846 | ||||||||||||
Financials | — | 159,239 | 3,773 | 163,012 | ||||||||||||
Health Care | — | 15,924 | — | 15,924 | ||||||||||||
Industrials | — | 73,027 | — | 73,027 | ||||||||||||
Information Technology | — | 113,064 | 3,490 | 116,554 | ||||||||||||
Materials | — | 88,735 | 13,717 | 102,452 | ||||||||||||
Telecommunication Services | — | 43,396 | — | 43,396 | ||||||||||||
Utilities | — | 67,711 | — | 67,711 | ||||||||||||
Total Loan Participations & Assignments | — | 1,309,132 | 20,980 | 1,330,112 | ||||||||||||
Rights | ||||||||||||||||
Consumer Discretionary | — | — | — | (b) | — | (b) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 361,506 | — | — | 361,506 | ||||||||||||
Investment of Cash Collateral for Securities on Loan | ||||||||||||||||
Investment Company | 1,024 | — | — | 1,024 | ||||||||||||
Total Investments in Securities | $ | 451,524 | $ | 9,069,553 | $ | 92,948 | $ | 9,614,025 | ||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Unfunded Commitments | $ | — | $ | 3 | $ | — | (b) | $ | 3 | |||||||
Limited Duration Bond Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 49,030 | $ | 748 | $ | 49,778 | ||||||||
Collateralized Mortgage Obligations | — | 176,222 | — | 176,222 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 10,499 | — | 10,499 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Financials | — | 245 | 1,509 | 1,754 | ||||||||||||
Total Corporate Bonds | — | 245 | 1,509 | 1,754 | ||||||||||||
Mortgage Pass-Through Securities | — | 70,004 | — | 70,004 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 88,494 | — | — | 88,494 | ||||||||||||
Total Investments in Securities | $ | 88,494 | $ | 306,000 | $ | 2,257 | $ | 396,751 | ||||||||
| 248 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
Mortgage-Backed Securities Fund
| Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 41,289 | $ | 3,327 | $ | 44,616 | ||||||||
Collateralized Mortgage Obligations | — | 1,594,243 | 6,113 | 1,600,356 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 21,660 | — | 21,660 | ||||||||||||
Mortgage Pass-Through Securities | — | 453,109 | — | 453,109 | ||||||||||||
U.S. Government Agency Securities | — | 11,405 | — | 11,405 | ||||||||||||
U.S. Treasury Obligations | — | 57,045 | — | 57,045 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 29,013 | — | — | 29,013 | ||||||||||||
Total Investments in Securities | $ | 29,013 | $ | 2,178,751 | $ | 9,440 | $ | 2,217,204 | ||||||||
Short Duration Bond Fund # | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities | $ | 287,480 | $ | 9,987,535 | $ | — | $ | 10,275,015 | ||||||||
Short Term Bond Fund II ## | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities | $ | 1,044 | $ | 83,344 | $ | — | $ | 84,388 | ||||||||
Treasury & Agency Fund ## | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities | $ | 5,365 | $ | 464,240 | $ | — | $ | 469,605 | ||||||||
There were no transfers between Levels 1 and 2 during the year ended February 28, 2011.
| (a) | Amount rounds to less than $1,000. |
| (b) | Security has zero value. |
| # | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash and a money market mutual fund held as an investment of cash collateral for securities on loan. Please refer to the SOIs for industry specifics of the portfolio holdings. |
| ## | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in 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 the portfolio holdings. |
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
| Core Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 2,449 | $ | — | $ | 50 | $ | — | $ | 24,785 | $ | (4,037 | ) | $ | — | $ | (2,449 | ) | $ | 20,798 | ||||||||||||||||
Collateralized Mortgage Obligations | 7,560 | — | 1,358 | 44 | 43,618 | (4,668 | ) | — | (5,250 | ) | 42,662 | |||||||||||||||||||||||||
Corporate Bonds — Financials | — | — | 26 | — | (a) | — | — | 1,546 | — | 1,572 | ||||||||||||||||||||||||||
Total | $ | 10,009 | $ | — | $ | 1,434 | $ | 44 | $ | 68,403 | $ | (8,705 | ) | $ | 1,546 | $ | (7,699 | ) | $ | 65,032 | ||||||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 249 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
| Core Plus Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 5,019 | $ | — | $ | 47 | $ | 9 | $ | 3,000 | $ | (44 | ) | $ | — | $ | (3,529 | ) | $ | 4,502 | ||||||||||||||||
Collateralized Mortgage Obligations | 4,400 | — | — | — | — | — | — | (4,400 | ) | — | ||||||||||||||||||||||||||
Common Stocks — Consumer Discretionary | 216 | — | 32 | — | — | — | — | — | 248 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 20 | — | 10 | — | — | — | — | — | 30 | |||||||||||||||||||||||||||
Common Stocks — Industrials | 573 | 607 | (313 | ) | — | — | (867 | ) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Information Technology | 97 | — | 1,591 | — | — | — | — | — | 1,688 | |||||||||||||||||||||||||||
Common Stocks — Materials | 57 | (133 | ) | 118 | — | — | (42 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 173 | — | — | — | 23 | (43 | ) | — | — | 153 | ||||||||||||||||||||||||||
Corporate Bonds — Energy | 937 | — | (7 | ) | — | (a) | — | (930 | ) | — | — | — | ||||||||||||||||||||||||
Corporate Bonds — Financials | 3,001 | 1,122 | (44 | ) | 124 | 2,156 | (6,359 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Industrials | 1,091 | (689 | ) | 723 | — | (a) | — | (789 | ) | 183 | (208 | ) | 311 | |||||||||||||||||||||||
Corporate Bonds — Materials | 761 | — | 368 | — | — | (b) | — | — | (761 | ) | 368 | |||||||||||||||||||||||||
Foreign Government Securities | — | — | 1 | (7 | ) | 282 | — | 227 | — | 503 | ||||||||||||||||||||||||||
Loan Participations & Assignments —Industrials | 1,961 | — | — | — | — | — | — | (1,961 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 852 | — | 20 | 5 | — | (10 | ) | — | — | 867 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Materials | 1,335 | — | — | — | — | — | — | (1,335 | ) | — | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 53 | — | — | — | 3 | — | — | — | 56 | |||||||||||||||||||||||||||
Preferred Stocks — Financials | 769 | — | 202 | — | — | — | 813 | — | 1,784 | |||||||||||||||||||||||||||
Warrants — Telecommunications | 26 | — | 86 | — | — | (112 | ) | — | — | — | ||||||||||||||||||||||||||
Total | $ | 21,341 | $ | 907 | $ | 2,834 | $ | 131 | $ | 5,464 | $ | (9,196 | ) | $ | 1,223 | $ | (12,194 | ) | $ | 10,510 | ||||||||||||||||
| Government Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | — | $ | (30 | ) | $ | (1 | ) | $ | 58 | $ | (115 | ) | $ | 952 | $ | — | $ | 864 | |||||||||||||||
Total | $ | — | $ | — | $ | (30 | ) | $ | (1 | ) | $ | 58 | $ | (115 | ) | $ | 952 | $ | — | $ | 864 | |||||||||||||||
| High Yield Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 6,916 | $ | — | $ | 282 | $ | 40 | $ | — | $ | (278 | ) | $ | — | $ | — | $ | 6,960 | |||||||||||||||||
Common Stocks — Consumer Discretionary | 3,208 | — | 458 | — | — | — | — | — | 3,666 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 292 | — | 147 | — | — | — | — | — | 439 | |||||||||||||||||||||||||||
Common Stocks — Industrials | 5,510 | 5,846 | (3,016 | ) | — | — | (8,340 | ) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Information Technology | 628 | — | 10,268 | — | — | — | — | — | 10,896 | |||||||||||||||||||||||||||
Common Stocks — Materials | 745 | (1,658 | ) | 1,453 | — | — | (540 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Consumer Discretionary | 1,875 | — | 467 | 15 | 378 | — | — | — | 2,735 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 11,289 | 119 | 15 | (2 | ) | 342 | (9,517 | ) | — | — | 2,246 | |||||||||||||||||||||||||
Corporate Bonds — Energy | 628 | 24 | 3 | (1 | ) | — | (654 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Financials | 36,084 | 5,698 | (303 | ) | 991 | 10,390 | (35,164 | ) | — | — | 17,696 | |||||||||||||||||||||||||
Corporate Bonds — Health Care | 4,752 | — | (1,494 | ) | — | (a) | 1,404 | — | — | — | 4,662 | |||||||||||||||||||||||||
Corporate Bonds — Industrials | 14,079 | (12,605 | ) | 13,458 | 28 | 3,630 | (14,944 | ) | — | (1,996 | ) | 1,650 | ||||||||||||||||||||||||
Corporate Bonds — Information Technology | 2,133 | — | 61 | — | — | — | — | — | 2,194 | |||||||||||||||||||||||||||
Corporate Bonds — Materials | 8,381 | 1,584 | 1,820 | 96 | — | (4,590 | ) | — | (4,237 | ) | 3,054 | |||||||||||||||||||||||||
Loan Participations & Assignments — Energy | 2,857 | — | — | — | — | — | — | (2,857 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Financials | 1,766 | — | 1,172 | (6 | ) | 2,234 | (2,290 | ) | 897 | — | 3,773 | |||||||||||||||||||||||||
Loan Participations & Assignments — Industrials | 5,243 | — | — | — | — | — | — | (5,243 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 7,215 | — | 1,988 | (6 | ) | 268 | (5,975 | ) | — | — | 3,490 | |||||||||||||||||||||||||
Loan Participations & Assignments — Materials | 10,676 | — | 504 | 51 | 9,202 | — | — | (6,716 | ) | 13,717 | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Discretionary | 233 | — | 385 | — | — | — | — | — | 618 | |||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 769 | — | — | — | 48 | — | — | — | 817 | |||||||||||||||||||||||||||
Preferred Stocks — Financials | 4,308 | — | 1,309 | — | — | — | 8,718 | — | 14,335 | |||||||||||||||||||||||||||
| 250 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
Table of Contents
| High Yield Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Preferred Stocks — Information Technology | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | $ | — | $ | — | (b) | ||||||||||||||||||
Rights — Consumer Discretionary | — | (b) | — | — | — | — | — | — | $ | — | — | (b) | ||||||||||||||||||||||||
Warrants — Industrials | — | (b) | — | — | — | — | — | (b) | — | — | — | |||||||||||||||||||||||||
Warrants — Telecommunication Services | 11 | — | (11 | ) | — | — | — | (b) | — | — | — | |||||||||||||||||||||||||
Total | $ | 129,598 | $ | (992 | ) | $ | 28,966 | $ | 1,206 | $ | 27,896 | $ | (82,292 | ) | $ | 9,615 | $ | (21,049 | ) | $ | 92,948 | |||||||||||||||
Unfunded Commitments | ||||||||||||||||||||||||||||||||||||
Loan Participations & Assignments — Materials | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | $ | — | $ | — | $ | — | (b) | ||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | $ | — | $ | — | $ | — | (b) | ||||||||||||||||
| Limited Duration Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,087 | $ | — | $ | 561 | $ | — | $ | — | $ | — | $ | — | $ | (900 | ) | $ | 748 | |||||||||||||||||
Commercial Mortgage-Backed Securities | 766 | — | 114 | — | — | (880 | ) | — | — | — | ||||||||||||||||||||||||||
Corporate Bonds — Financials | 1,223 | — | 286 | — | — | — | — | — | 1,509 | |||||||||||||||||||||||||||
Mortgage Pass-Through Securities | 173 | — | — | — | (a) | — | — | — | (173 | ) | — | |||||||||||||||||||||||||
Total | $ | 3,249 | $ | — | $ | 961 | $ | — | (a) | $ | — | $ | (880 | ) | $ | — | $ | (1,073 | ) | $ | 2,257 | |||||||||||||||
| Mortgage-Backed Securities Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 317 | $ | — | $ | 8 | $ | — | $ | 3,965 | $ | (646 | ) | $ | — | $ | (317 | ) | $ | 3,327 | ||||||||||||||||
Collateralized Mortgage Obligations | 2,401 | — | 439 | 7 | 5,591 | (545 | ) | — | (1,780 | ) | 6,113 | |||||||||||||||||||||||||
Total | $ | 2,718 | $ | — | $ | 447 | $ | 7 | $ | 9,556 | $ | (1,191 | ) | $ | — | $ | (2,097 | ) | $ | 9,440 | ||||||||||||||||
| 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 a corporate action. |
| (a) | Amount rounds to less than $1,000. |
| (b) | Security has zero value. |
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at February 28, 2011, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):
Core Bond Fund | $ | 1,434 | ||
Core Plus Bond Fund | 2,272 | |||
Government Bond Fund | (30 | ) | ||
High Yield Fund | 18,309 | |||
Limited Duration Bond Fund | 847 | |||
Mortgage-Backed Securities Fund | 447 |
These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations and Statements of Changes in Net Assets.
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 251 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
B. Transactions with Affiliates — An issuer which is under common control with the Funds may be considered to be an affiliate. For the purposes of the report, the Funds assume the following to be an affiliated issuer (amounts in thousands):
| For the year ended February 28, 2011 | ||||||||||||||||||||||||||||
| Affiliate | Value at February 28, 2010 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend/ Interest Income | Shares/Principal Amount ($) at February 28, 2011 | Value at February 28, 2011 | |||||||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||||||
Bear Stearns Cos. LLC (The), 5.700%, 11/15/14* | $ | 1,099 | $ | — | $ | 1,096 | $ | 65 | $ | 3 | $ | — | $ | — | ||||||||||||||
Bear Stearns Cos. LLC (The), 7.250%, 02/01/18* | 1,624 | — | 1,641 | 244 | 7 | — | — | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Shares, 0.110% | 617,565 | 1,506,498 | 1,903,840 | — | 586 | 220,223 | 220,223 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 304,663 | 435,582 | 740,245 | — | 259 | — | — | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.110% | 600,111 | 3,334,344 | 3,934,454 | — | 689 | 1 | 1 | |||||||||||||||||||||
| $ | 1,525,062 | $ | 309 | $ | 1,544 | $ | 220,224 | |||||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||
Bear Stearns Cos. LLC (The), 7.250%, 02/01/18* | $ | 429 | $ | — | $ | 429 | $ | 60 | $ | — | (a) | $ | — | $ | — | |||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | 86,930 | 571,359 | 512,777 | — | 257 | 145,512 | 145,512 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 17,954 | 164,923 | 182,877 | — | 46 | — | — | |||||||||||||||||||||
| $ | 105,313 | $ | 60 | $ | 303 | $ | 145,512 | |||||||||||||||||||||
Government Bond Fund | ||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, | ||||||||||||||||||||||||||||
Institutional Class Shares, 0.000% | $ | 114,616 | $ | 450,531 | $ | 448,950 | $ | — | $ | 49 | $ | 116,197 | $ | 116,197 | ||||||||||||||
| $ | 114,616 | $ | — | $ | 49 | $ | 116,197 | |||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | $ | 311,461 | $ | 2,422,167 | $ | 2,372,122 | $ | — | $ | 319 | $ | 361,506 | $ | 361,506 | ||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 197,822 | 793,765 | 990,563 | — | 398 | 1,024 | 1,024 | |||||||||||||||||||||
| $ | 509,283 | $ | — | $ | 717 | $ | 362,530 | |||||||||||||||||||||
Limited Duration Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | $ | 81,717 | $ | 178,813 | $ | 172,036 | $ | — | $ | 88 | $ | 88,494 | $ | 88,494 | ||||||||||||||
| $ | 81,717 | $ | — | $ | 88 | $ | 88,494 | |||||||||||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | $ | 163,263 | $ | 800,471 | $ | 934,721 | $ | — | $ | 132 | $ | 29,013 | $ | 29,013 | ||||||||||||||
| $ | 163,263 | $ | — | $ | 132 | $ | 29,013 | |||||||||||||||||||||
Short Duration Bond Fund | ||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000% | $ | 399,391 | $ | 3,210,938 | $ | 3,324,969 | $ | — | $ | 141 | $ | 285,360 | $ | 285,360 | ||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 331,094 | 1,264,595 | 1,593,569 | — | 250 | 2,120 | 2,120 | |||||||||||||||||||||
| $ | 730,485 | $ | — | $ | 391 | $ | 287,480 | |||||||||||||||||||||
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| For the year ended February 28, 2011 | ||||||||||||||||||||||||||||
| Affiliate | Value at February 28, 2010 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend/ Interest Income | Shares/Principal Amount ($) at February 28, 2011 | Value at February 28, 2011 | |||||||||||||||||||||
Short Term Bond II | ||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.110% | $ | 927 | $ | 22,535 | $ | 22,418 | $ | — | $ | 1 | $ | 1,044 | $ | 1,044 | ||||||||||||||
| $ | 927 | $ | — | $ | 1 | $ | 1,044 | |||||||||||||||||||||
Treasury and Agency Fund | ||||||||||||||||||||||||||||
JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.000% | $ | 8,240 | $ | 95,404 | $ | 98,279 | $ | — | $ | 3 | $ | 5,365 | $ | 5,365 | ||||||||||||||
| $ | 8,240 | $ | — | $ | 3 | $ | 5,365 | |||||||||||||||||||||
| (a) | Amount rounds to less than $1,000. |
| * | Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
| ** | Represents investment of cash collateral related to securities on loan, as described in Note 2.H. Dividend income earned from this investment is included in, and represents a significant portion of, income from securities lending (net) in the Statements of Operations. |
C. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the value and percentage of net assets of illiquid securities as of February 28, 2011 (amounts in thousands):
| Value | Percentage | |||||||
Core Bond Fund | $ | 65,032 | 0.34 | % | ||||
Core Plus Bond Fund | 10,510 | 0.51 | ||||||
Government Bond Fund | 864 | 0.06 | ||||||
High Yield Fund | 92,948 | 0.97 | ||||||
Limited Duration Bond Fund | 1,509 | 0.38 | ||||||
Mortgage-Backed Securities Fund | 9,440 | 0.42 | ||||||
D. Derivatives — Core Plus Bond Fund uses instruments including futures, foreign currency contracts, options, swaps and other derivatives, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest; to hedge portfolio investments or to generate income or gain to the Fund. Core Plus Bond Fund also uses derivatives to manage duration; sector and yield curve exposures; and credit and spread volatility. The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivatives’ counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities.
Notes D.(1). — D.(3). below describe the various derivatives used by the Fund.
(1). Futures — Core Plus Bond Fund uses treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. Core Plus Bond Fund also uses 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 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 unrealized appreciation or depreciation in 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 in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
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 subject 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 unfavorable positions.
(2). Swaps — Core Plus Bond Fund engages in various swap transactions, including credit default swaps, to manage credit risks within the respective portfolio. The Fund also uses swaps as alternatives to direct investments. Swap transactions are negotiated contracts between a Fund and a counterparty to exchange swap investment cash flows or assets, at specified, future intervals.
Upfront payments made and/or received by the Fund is recognized as a realized gain or loss when the contract matures or is terminated. The value of a swap agreement is recorded at the beginning of the measurement period. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is recognized as unrealized appreciation or depreciation. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
Credit Default Swaps
Core Plus Bond Fund enters into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represent some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected in the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
(3). Forward Foreign Currency Exchange Contracts
Core Plus Bond Fund may be exposed to foreign currency risks associated with portfolio investments and therefore use forward foreign currency exchange contracts to hedge or manage these exposures. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward contract is closed, the Fund record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
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(4). Summary of Derivatives Information
The following tables present the value of derivatives held as of February 28, 2011, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
Value of Derivative Instruments as of February 28, 2011
Core Plus Bond Fund
| Derivative Contract | Statement of Assets and Liabilities Location | |||||||||||||
| Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Swaps | |||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 1 | $ | — | $ | — | |||||||
Foreign exchange contracts | Receivables | — | 20 | — | ||||||||||
Total | $ | 1 | $ | 20 | $ | — | ||||||||
Liabilities: | ||||||||||||||
Foreign exchange contracts | Payables | — | — | (b) | — | |||||||||
Credit contracts | Payables | — | — | (51 | ) | |||||||||
Total | $ | — | $ | — | (b) | $ | (51 | ) | ||||||
| (a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the SOIs. The Statements of Assets & Liabilities only reflects the current day variation margin receivable/payable to brokers. |
| (b) | Amount rounds to less than $1,000. |
The following tables present the effect of derivatives on the Statements of Operations for the year ended February 28, 2011, by primary underlying risk exposure (amounts in thousands):
The Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2011
Core Plus Bond Fund
| Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
| Derivative Contract | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | 16 | $ | — | $ | — | $ | 16 | ||||||||
Foreign exchange contracts | — | (13 | ) | — | (13 | ) | ||||||||||
Credit contracts | — | — | 20 | 20 | ||||||||||||
Total | $ | 16 | $ | (13 | ) | �� | $ | 20 | $ | 23 | ||||||
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
| Derivative Contract | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | (3 | ) | $ | — | $ | — | $ | (3 | ) | ||||||
Foreign exchange contracts | — | 21 | — | 21 | ||||||||||||
Credit contracts | — | — | 25 | 25 | ||||||||||||
Total | $ | (3 | ) | $ | 21 | $ | 25 | $ | 43 | |||||||
The Fund’s derivatives contracts held at February 28, 2011 are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Derivatives Volume
The table below discloses the volume of the Fund’s derivatives activities during the year ended February 28, 2011 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivatives-related gains and losses associated with volume activity.
| Core Plus Bond Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Long | $ | 2,022 | ||
Average Notional Balance Short | 924 | |||
Ending Notional Balance Long | 2,230 | |||
Ending Notional Balance Short | 234 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 344 | |||
Average Settlement Value Sold | 592 | |||
Ending Settlement Value Purchased | 673 | |||
Ending Settlement Value Sold | 519 | |||
Credit Default Swaps: | ||||
Average Notional Balance — Buy Protection | — | |||
Average Notional Balance — Sell Protection | 1,000 | |||
Ending Notional Balance — Buy Protection | — | |||
Ending Notional Balance — Sell Protection | 1,000 | |||
E. Loan Participations and Assignments — Core Plus Bond Fund and High Yield Fund invest in loan participations and assignments of all or a portion of the loans. When the Funds purchase a loan participation, the Funds typically enter into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. In contrast, the Funds have direct rights against the borrower on a loan when it purchases an assignment; provided, however, that the Funds’ rights may be more limited than the lender from which it acquired the assignment and the Funds may be able to enforce their rights only through an administrative agent. As a result, the Funds assume the credit risk of the Borrower and the Selling Participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). Although certain loan assignments or participations are secured by collateral, the Funds could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. In addition, loan assignments and participations are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan assignments and participations and certain loan assignments and participations which were liquid, when purchased, may become illiquid.
F. Unfunded Commitments — Core Plus Bond Fund and High Yield Fund entered into commitments to buy and sell investments including commitments to buy loan assignments and participations to settle on future dates as part of their normal investment activities. Unfunded commitments are generally traded and priced as part of a related loan participation or assignment (Note 2.E.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported in the Statements of Assets and Liabilities. The Funds segregate security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risks exist on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.
At February 28, 2011, the Core Plus Bond Fund and High Yield Fund had the following unfunded loan commitments which could be extended at the option of the borrower (amounts in thousands):
Core Plus Bond Fund
Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Commitment | ||||||||||||||||||
| Security Description | Amount | Value | ||||||||||||||||||||
Axcan Intermediate Holdings, Inc. | Term Loan | 2/10/17 | 0.000 | % | 5.500 | % | $ | 125 | $ | 125 | ||||||||||||
High Yield Fund
Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Commitment | ||||||||||||||||||
| Security Description | Amount | Value | ||||||||||||||||||||
Axcan Intermediate Holdings, Inc. | Term Loan | 2/10/17 | 0.000 | % | 5.500 | % | $ | 4,127 | $ | 4,130 | ||||||||||||
Constar International, Inc. | Senior Secured Dip Note | 10/1/11 | 2.000 | 9.000 | 988 | 988 | ||||||||||||||||
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G. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions on the Statements of Operations.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency, purchase of foreign currency in certain countries (such as Brazil) that impose a tax on such purchases, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end.
H. Securities Lending — Each Fund (except Limited Duration Bond Fund) may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), in order to generate additional income. JPMorgan Chase Bank N.A. (“JPMCB”), an affiliate of the Funds, serves as lending agent for the Funds pursuant to an Amended and Restated Securities Lending Agreement effective February 9, 2010 (“Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. 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.
For the year ended February 28, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Core Bond Fund | $ | 158 | ||
Core Plus Bond Fund | 29 | |||
High Yield Fund | 251 | |||
Short Duration Bond Fund | 150 |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% and 105% of the value of loaned U.S. dollar-denominated and non-dollar-denominated securities, respectively, subject to certain de minimis guidelines.
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 in the SOIs. At February 28, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Instruments | ||||||||||
High Yield Fund | $ | 4,131 | $ | 1,024 | * | $ | 1,024 | |||||
Short Duration Bond Fund | 2,060 | 2,120 | * | 2,120 | ||||||||
| * | Subsequent to February 28, 2011, additional collateral was received from the borrowers. |
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 decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
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, JPMCB has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
The Advisor waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Core Bond Fund | $ | 101 | ||
Core Plus Bond Fund | 17 | |||
High Yield Fund | 147 | |||
Short Duration Bond Fund | 100 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the Securities Lending Agreement, JPMCB is entitled to a fee, paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the year ended February 28, 2011 (amounts in thousands):
| Lending Agent Fee Incurred | ||||
Core Bond Fund | $ | 34 | ||
Core Plus Bond Fund | 5 | |||
High Yield Fund | 52 | |||
Short Duration Bond Fund | 34 | |||
I. 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 adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
Purchases of to be announced (“TBA”), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds’ policy to reserve assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments.
J. Allocation of Income and Expenses — In calculating the net asset value per share of each class, 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. 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. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
K. 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 of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, remains subject to examination by the Internal Revenue Service.
L. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
M. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid monthly. Dividends 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 dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. 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.
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The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Core Bond Fund | $ | (91 | ) | $ | 82 | $ | 9 | |||||
Core Plus Bond Fund | (13 | ) | 308 | (295 | ) | |||||||
Government Bond Fund | (549 | ) | (1 | ) | 550 | |||||||
High Yield Fund | 1 | 1,817 | (1,818 | ) | ||||||||
Limited Duration Bond Fund | (3,954 | ) | 193 | 3,761 | ||||||||
Mortgage-Backed Securities Fund | (101 | ) | 102 | (1 | ) | |||||||
Short Duration Bond Fund | (3 | ) | 1 | 2 | ||||||||
Treasury & Agency Fund | 1 | 55 | (56 | ) | ||||||||
The reclassifications for the Funds relate primarily to closing entry reversal (Core Bond Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund), defaulted bond interest reclass (Core Plus Bond Fund and High Yield Fund), foreign currency gains or losses (Core Plus Bond Fund), consent fees (Core Plus Bond Fund and High Yield Fund), expiration of capital loss carryforwards (Government Bond Fund and Limited Duration Bond Fund), non-taxable special dividends (High Yield Fund) and distribution reclassifications (Short Duration Bond Fund and Treasury & Agency Fund).
N. Equalization — Short Term Bond Fund II uses the accounting practice known as equalization by which a portion of the proceeds from sales and costs of redemptions of Fund shares of beneficial interest equivalent, on a per-share basis, to the amount of undistributed net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or redemptions of Fund shares.
O. Redemption Fees — Generally, shares of the High Yield Fund held for less than 60 days are subject to a redemption fee of 2.00%, based on the redeemed share’s market value. Redemption fees are paid directly to the High Yield Fund and are credited to paid in capital. Effective May 2, 2011, shares of the High Yield Fund will no longer be subject to a redemption fee regardless of how long such shares are held.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
Core Bond Fund | 0.30 | % | ||
Core Plus Bond Fund | 0.30 | |||
Government Bond Fund | 0.30 | |||
High Yield Fund | 0.65 | |||
Limited Duration Bond Fund | 0.25 | |||
Mortgage-Backed Securities Fund | 0.35 | |||
Short Duration Bond Fund | 0.25 | |||
Short-Term Bond II Fund | 0.25 | |||
Treasury & Agency Fund | 0.30 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended February 28, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C, Class M and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class M | Class R2 | ||||||||||||||
| 0.25% | 0.75 | % | 0.75 | % | 0.35 | % | 0.50 | % | ||||||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A and Class M Shares and the CDSC from redemptions of Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the year ended February 28, 2011, the Distributor retained the following amounts (in thousands):
| Front-end Sales Charge | CDSC | |||||||
Core Bond Fund | $ | 2,278 | $ | 1,249 | ||||
Core Plus Bond Fund | 443 | 168 | ||||||
Government Bond Fund | 253 | 140 | ||||||
High Yield Fund | 254 | 81 | ||||||
Limited Duration Bond Fund | 4 | 1 | ||||||
Mortgage-Backed Securities Fund | 104 | 6 | ||||||
Short Duration Bond Fund | 32 | 26 | ||||||
Short-Term Bond II Fund | — | (a) | — | |||||
Treasury & Agency Fund | 14 | 6 | ||||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class M | Class R2 | Class R5 | Institutional Class | Select Class | |||||||||||||||||||||||||
Core Bond Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.25 | % | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||||
Core Plus Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | 0.10 | % | 0.25 | |||||||||||||||||||||||
Government Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.25 | ||||||||||||||||||||||||
High Yield Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||||||||
Limited Duration Bond Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 0.25 | n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Short Duration Bond Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Short-Term Bond II Fund | 0.25 | n/a | n/a | 0.25 | % | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||
Treasury & Agency Fund | 0.25 | 0.25 | n/a | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
The Distributor 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 under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor 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, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class M | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||||||||
Core Bond Fund | 0.75 | % | 1.40 | % | 1.40 | % | n/a | 1.00 | % | 0.45 | % | 0.40 | % | n/a | 0.58 | % | ||||||||||||||||||||
Core Plus Bond Fund | 0.75 | 1.40 | 1.40 | n/a | 1.17 | n/a | 0.40 | 0.49 | % | 0.65 | ||||||||||||||||||||||||||
Government Bond Fund | 0.75 | 1.48 | 1.48 | n/a | 1.00 | n/a | n/a | n/a | 0.55 | |||||||||||||||||||||||||||
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| Class A | Class B | Class C | Class M | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||||||||
High Yield Fund | 1.15 | 1.80 | 1.80 | n/a | 1.40 | 0.86 | 0.81 | n/a | 0.90 | |||||||||||||||||||||||||||
Limited Duration Bond Fund | 0.70 | 1.20 | 1.20 | n/a | n/a | n/a | 0.44 | n/a | 0.45 | |||||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 0.65 | n/a | n/a | n/a | n/a | n/a | 0.25 | n/a | 0.40 | |||||||||||||||||||||||||||
Short Duration Bond Fund | 0.80 | 1.30 | 1.30 | n/a | n/a | n/a | 0.30 | n/a | 0.55 | |||||||||||||||||||||||||||
Short-Term Bond II Fund | 0.75 | n/a | n/a | 1.00 | % | n/a | n/a | n/a | n/a | 0.50 | ||||||||||||||||||||||||||
Treasury & Agency Fund | 0.70 | 1.20 | n/a | n/a | n/a | n/a | n/a | n/a | 0.45 | |||||||||||||||||||||||||||
Prior to December 1, 2010, the contractual expense limitation for Core Bond Fund was 0.53% for Class R5 Shares.
Prior to December 1, 2010, the contractual expense limitation for Short Duration Bond Fund was 0.44% for Class R6 Shares.
Except as noted above, the contractual expense limitation agreements were in effect for the year ended February 28, 2011. The contractual expense limitation percentages in the table above are in place until at least June 30, 2011. In addition, the Government Bond Fund’s and Limited Duration Bond Fund’s service providers have voluntarily waived fees during the year ended February 28, 2011. However, the Government Bond Fund’s and Limited Duration Bond Fund’s service providers are under no obligation to do so and may discontinue such waivers at any time.
For the year ended February 28, 2011, 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 reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Core Bond Fund | $ | 11,407 | $ | — | $ | 11,961 | $ | 23,368 | ||||||||
Core Plus Bond Fund | 506 | 695 | 410 | 1,611 | ||||||||||||
Government Bond Fund | 2 | 83 | 2,636 | 2,721 | ||||||||||||
High Yield Fund | — | 1,048 | 10,550 | 11,598 | ||||||||||||
Limited Duration Bond Fund | 434 | 306 | 181 | 921 | ||||||||||||
Mortgage-Backed Securities Fund | 4,311 | 482 | 698 | 5,491 | ||||||||||||
Short Duration Bond Fund | 3,878 | 958 | — | 4,836 | ||||||||||||
Short-Term Bond II Fund | 118 | — | 109 | 227 | ||||||||||||
Treasury & Agency Fund | — | 20 | 1,255 | 1,275 | ||||||||||||
| Voluntary Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Core Bond Fund | $ | 260 | $ | — | $ | — | $ | 260 | ||||||||
Government Bond Fund | — | 89 | 456 | 545 | ||||||||||||
Limited Duration Bond Fund | 1 | 1 | — | 2 | ||||||||||||
Short Duration Bond Fund | 893 | 222 | — | 1,115 | ||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of these waivers resulting from investments in the money market funds for the year ended February 28, 2011 were as follows (excluding the reimbursement disclosed in Note 2.H. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Core Bond Fund | $ | 1,940 | ||
Core Plus Bond Fund | 304 | |||
Government Bond Fund | 177 | |||
High Yield Fund | 427 | |||
Limited Duration Bond Fund | 112 | |||
Mortgage-Backed Securities Fund | 189 | |||
Short Duration Bond Fund | 575 | |||
Short-Term Bond II Fund | 2 | |||
Treasury & Agency Fund | 15 |
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
G. Other — Certain officers of the Trust are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-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 Officers’ fees in the Statements 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 a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended February 28, 2011, the Core Plus Bond Fund and High Yield Fund incurred approximately $6,000 and $52,000, respectively, in brokerage commissions with brokers/dealers affiliated with the Advisor.
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 28, 2011, 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) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Core Bond Fund | $ | 6,702,886 | $ | 2,949,878 | $ | 2,892,520 | $ | 997,072 | ||||||||
Core Plus Bond Fund | 819,605 | 314,675 | 167,453 | 41,141 | ||||||||||||
Government Bond Fund | 153,190 | 211,249 | 99,633 | 68,746 | ||||||||||||
High Yield Fund | 6,114,837 | 3,268,391 | — | — | ||||||||||||
Limited Duration Bond Fund | 105,163 | 84,043 | — | — | ||||||||||||
Mortgage-Backed Securities Fund | 1,091,720 | 490,679 | 27,315 | 101,635 | ||||||||||||
Short Duration Bond Fund | 4,134,560 | 2,477,302 | 1,824,737 | 755,783 | ||||||||||||
Short-Term Bond II Fund | 32,586 | 47,585 | 13,544 | 15,267 | ||||||||||||
Treasury & Agency Fund | 5,820 | 6,323 | 123,962 | 172,326 | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at February 28, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Core Bond Fund | $ | 18,509,382 | $ | 783,367 | $ | 134,661 | $ | 648,706 | ||||||||
Core Plus Bond Fund | 2,002,580 | 107,847 | 31,544 | 76,303 | ||||||||||||
Government Bond Fund | 1,347,362 | 98,512 | 10,149 | 88,363 | ||||||||||||
High Yield Fund | 8,923,088 | 780,859 | 89,922 | 690,937 | ||||||||||||
Limited Duration Bond Fund | 439,235 | 4,070 | 46,554 | (42,484 | ) | |||||||||||
Mortgage-Backed Securities Fund | 2,122,327 | 117,388 | 22,511 | 94,877 | ||||||||||||
Short Duration Bond Fund | 10,149,364 | 153,381 | 27,730 | 125,651 | ||||||||||||
Short-Term Bond II Fund | 83,225 | 1,354 | 191 | 1,163 | ||||||||||||
Treasury & Agency Fund | 459,575 | 10,801 | 771 | 10,030 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals (Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund and Mortgage-Backed Securities Fund), interest only high-coupon bond write-off remaining (Core Bond Fund), defaulted bond interest outstanding (Core Plus Bond Fund) and outstanding interest only adjustment (Limited Duration Bond Fund).
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The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Core Bond Fund | $ | 639,271 | $ | — | $ | 639,271 | ||||||
Core Plus Bond Fund | 82,354 | — | 82,354 | |||||||||
Government Bond Fund | 54,016 | — | 54,016 | |||||||||
High Yield Fund | 622,337 | 14,314 | 636,651 | |||||||||
Limited Duration Bond Fund | 8,642 | — | 8,642 | |||||||||
Mortgage-Backed Securities Fund | 109,055 | — | 109,055 | |||||||||
Short Duration Bond Fund | 170,685 | 4,988 | 175,673 | |||||||||
Short Term Bond Fund II | 1,446 | — | 1,446 | |||||||||
Treasury & Agency Fund | 7,999 | 7,609 | 15,608 | |||||||||
The tax character of distributions paid during the fiscal year ended February 28, 2010 was as follows (amounts in thousands):
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Core Bond Fund | $ | 489,477 | $ | — | $ | 489,477 | ||||||
Core Plus Bond Fund | 59,760 | — | 59,760 | |||||||||
Government Bond Fund | 49,702 | — | 49,702 | |||||||||
High Yield Fund | 345,441 | — | 345,441 | |||||||||
Limited Duration Bond Fund | 10,031 | — | 10,031 | |||||||||
Mortgage-Backed Securities Fund | 89,097 | — | 89,097 | |||||||||
Short Duration Bond Fund | 127,879 | — | 127,879 | |||||||||
Short Term Bond Fund II | 2,684 | — | 2,684 | |||||||||
Treasury & Agency Fund | 28,720 | 3,845 | 32,565 | |||||||||
At February 28, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Core Bond Fund | $ | 14,722 | $ | (24,757 | ) | $ | 648,706 | |||||
Core Plus Bond Fund | 5,145 | (272,346 | ) | 76,252 | ||||||||
Government Bond Fund | 2,515 | (376 | ) | 88,363 | ||||||||
High Yield Fund | 94,840 | 66,735 | 690,940 | |||||||||
Limited Duration Bond Fund | — | (86,240 | ) | (42,484 | ) | |||||||
Mortgage-Backed Securities Fund | 1,659 | (9,825 | ) | 94,877 | ||||||||
Short Duration Bond Fund | 10,783 | 88 | 125,651 | |||||||||
Short-Term Bond II Fund | 71 | (60,466 | ) | 1,163 | ||||||||
Treasury & Agency Fund | 38 | 767 | 10,030 | |||||||||
For the Funds, the cumulative timing differences primarily consist of distributions payable, wash sale loss deferrals (Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund), interest only high-coupon bond write-off remaining (Core Bond Fund), post-October loss deferrals (Limited Duration Bond Fund), outstanding interest only adjustment (Limited Duration Bond Fund) and trustee deferred compensation (Short Term Bond Fund II).
As of February 28, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | Total | ||||||||||||||||||||||||||||
Core Bond Fund | $ | — | $ | — | $ | — | $ | 7,785 | $ | 11,551 | * | $ | 5,421 | * | $ | — | $ | — | $ | 24,757 | ||||||||||||||||
Core Plus Bond Fund | — | — | 14,285 | * | 26,467 | * | 150,534 | * | 81,060 | * | — | — | 272,346 | |||||||||||||||||||||||
Government Bond Fund | 376 | — | — | — | — | — | — | — | 376 | |||||||||||||||||||||||||||
Limited Duration Bond Fund | 10,780 | 5,666 | 2,597 | 2,757 | 4,374 | 42,572 | 10,531 | 6,963 | 86,240 | |||||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 457 | 7,518 | 1,459 | — | 391 | — | — | — | 9,825 | |||||||||||||||||||||||||||
Short Term Bond Fund II | 835 | 657 | 14,799 | 10,312 | 2,292 | 6,859 | 24,712 | — | 60,466 | |||||||||||||||||||||||||||
| * | Includes amounts from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
During the year ended February 28, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Core Bond Fund | $ | 59,463 | ||
Core Plus Bond Fund | 14,181 | |||
Government Bond Fund | 2,100 | |||
High Yield Fund | 21,360 | |||
Mortgage-Backed Securities Fund | 6,268 | |||
Short Duration Bond Fund | 1,785 | |||
Short Term Bond Fund II | 840 |
During the year ended February 28, 2011, the Funds had expired capital loss carryforwards as follows (amounts in thousands):
Government Bond Fund | $ | 550 | ||
Limited Duration Bond Fund | 3,761 |
During the year ended February 28, 2011, the Core Plus Bond Fund had capital loss carryforwards written off of approximately $368,000 due to Internal Revenue Code Section 382-383 limitations.
Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended February 28, 2011, the Funds deferred to March 1, 2011 post-October capital losses of (amounts in thousands):
Limited Duration Bond Fund | $ | 8 |
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“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 JPMorgan Trust II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, 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 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 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 28, 2011, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
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, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for High Yield Fund, Short Duration Fund and Treasury & Agency Fund.
In addition J.P. Morgan Investor Funds, which are affiliated funds and funds of funds, own, in the aggregate more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Investor Funds | ||||
Core Plus Bond Fund | 45.36 | % | ||
Government Bond Fund | 21.00 | |||
Limited Duration Bond Fund | 44.72 | |||
Additionally, Core Bond Fund and Short Term Bond Fund II each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
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Significant shareholder transactions, if any, may impact the Funds’ performance.
The High Yield Fund and to a lesser extent, the Core Plus Bond Fund invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. The High Yield Fund invests at least 80% of its net assets in such investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
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 ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
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, credit linked notes and TBA securities.
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage related securities such as collateralized mortgage obligations, mortgage pass through securities and commercial mortgage backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
A significant portion of the Funds’ (except High Yield Fund and Treasury & Agency Fund) investments are comprised of asset-backed or mortgage related securities, including securities backed by sub-prime mortgages.
The Funds are subject to the risk that should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deems to be representative of its value, the value of the Funds’ net assets could be adversely affected.
The Core Plus Bond Fund is party to various derivative contracts governed by International Swaps and Derivatives Association Master Agreements (ISDA agreements). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, typically contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparties (i.e. decline in a counterparty’s credit rating below a specified level). Such rights often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse impact on the Fund. The ISDA agreements with certain counterparties allow the Fund and counterparty to offset certain derivative instruments’ payables or receivables with collateral posted to a segregated custody account as described in Note 2.D.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settment, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
9. Business Combinations
On February 18, 2009, the Board of Trustees of JPM II approved management’s proposal to merge JPMorgan Intermediate Bond Fund (“Intermediate Bond Fund” or “JPM II Target Fund”) into JPMorgan Core Bond Fund (“Core Bond Acquiring Fund”). On the same date the Boards of Trustees of JPM II and JPMorgan Trust I (“JPM I”) approved management’s proposal to merge JPMorgan Bond Fund (“Bond Fund” or “JPM I Target Fund”), a fund of JPM I, into JPMorgan Core Plus Bond Fund (“Core Plus Bond Acquiring Fund”). The Agreement and Plan of Reorganization with respect to Intermediate Bond Fund was approved by Intermediate Bond Fund’s shareholders at a special meeting of shareholders held on June 15, 2009. The Agreement and Plan of Reorganization with respect to Bond Fund was approved by Bond Fund’s shareholders at a special meeting of shareholders held on June 22, 2009. The purpose of the transactions was to combine the portfolios with comparable investment objectives and strategies.
The reorganizations were effective after the close of business on June 26, 2009. Each Acquiring Fund acquired all of the assets and liabilities of the corresponding Target Fund as shown in the table below. Each merger transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class B, Class C, Select Class and Ultra shareholders of Intermediate Bond Fund received a number of shares of the corresponding class in Core Bond Acquiring Fund with a value equal to their holdings in Intermediate Bond Fund as of the close of business on the date of the reorganization. Pursuant to the Agreement and Plan of Reorganization, Class A, Class B, Class C, Institutional Class, Select Class and Ultra shareholders of Bond Fund received a number of shares of the corresponding Class in Core Plus Bond Acquiring Fund with a value equal to their holdings in Bond Fund as of the close of business on the date of the reorganization. The investment portfolios of Intermediate Bond Fund with a fair value of $871,833 and identified cost of $860,996 as of the date the reorganization were the principal assets acquired by the Core Bond Acquiring Fund. The investment portfolios of Bond Fund with a fair value of $87,385 and identified cost of $91,807 as of the date the reorganization were the principal assets acquired by the Core Plus Bond Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Funds were recorded at fair value; however, the cost basis of the investments received from the Target Funds were 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.
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 reorganizations (amounts in thousands, except per share amounts):
| Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Target Fund | ||||||||||||||||
Intermediate Bond Fund | $ | 10,837 | ||||||||||||||
Class A | 9,994 | $ | 105,525 | $ | 10.56 | |||||||||||
Class B | 3,496 | 36,304 | 10.39 | |||||||||||||
Class C | 3,979 | 41,325 | 10.39 | |||||||||||||
Select Class | 54,611 | 576,149 | 10.55 | |||||||||||||
Ultra | 10,006 | 105,588 | 10.55 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Core Bond Fund | 99,832 | |||||||||||||||
Class A | 171,321 | 1,865,195 | 10.89 | |||||||||||||
Class B | 9,010 | 98,011 | 10.88 | |||||||||||||
Class C | 73,514 | 804,101 | 10.94 | |||||||||||||
Class R2 | 95 | 1,026 | 10.88 | |||||||||||||
Class R5 | 24,389 | 265,127 | 10.87 | |||||||||||||
Class R6* | 80,311 | 873,971 | 10.88 | |||||||||||||
Select Class | 322,376 | 3,506,978 | 10.88 | |||||||||||||
Post Reorganization | ||||||||||||||||
Core Bond Fund | 110,669 | |||||||||||||||
Class A | 181,014 | 1,970,720 | 10.89 | |||||||||||||
Class B | 12,347 | 134,315 | 10.88 | |||||||||||||
Class C | 77,293 | 845,426 | 10.94 | |||||||||||||
Class R2 | 94 | 1,026 | 10.88 | |||||||||||||
Class R5 | 24,389 | 265,127 | 10.87 | |||||||||||||
Class R6* | 90,014 | 979,559 | 10.88 | |||||||||||||
Select Class | 375,337 | 4,083,127 | 10.88 | |||||||||||||
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Expenses related to the reorganization were incurred by the Target Fund. The Administrator voluntarily waived its fee and/or reimbursed expenses in an amount equal to the reorganization expense.
| Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Target Fund | ||||||||||||||||
Bond Fund | $ | (4,422 | ) | |||||||||||||
Class A | 1,532 | $ | 10,165 | $ | 6.64 | |||||||||||
Class B | 370 | 2,437 | 6.59 | |||||||||||||
Class C | 770 | 5,095 | 6.62 | |||||||||||||
Institutional Class | 2,409 | 15,799 | 6.56 | |||||||||||||
Select Class | 4,674 | 30,681 | 6.56 | |||||||||||||
Ultra | 3,131 | 20,544 | 6.56 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Core Plus Bond Fund | (31,503 | ) | ||||||||||||||
Class A | 10,030 | 74,360 | 7.41 | |||||||||||||
Class B | 751 | 5,593 | 7.45 | |||||||||||||
Class C | 5,031 | 37,449 | 7.44 | |||||||||||||
Class R2 | 8 | 56 | 7.42 | |||||||||||||
Institutional Class | 5 | 40 | 7.42 | |||||||||||||
Class R6* | 3,859 | 28,582 | 7.41 | |||||||||||||
Select Class | 98,313 | 728,499 | 7.41 | |||||||||||||
Post Reorganization | ||||||||||||||||
Core Plus Bond Fund | (35,925 | ) | ||||||||||||||
Class A | 11,401 | 84,525 | 7.41 | |||||||||||||
Class B | 1,078 | 8,030 | 7.45 | |||||||||||||
Class C | 5,715 | 42,544 | 7.44 | |||||||||||||
Class R2 | 8 | 56 | 7.42 | |||||||||||||
Institutional Class | 2,134 | 15,839 | 7.42 | |||||||||||||
Class R6* | 6,633 | 49,126 | 7.41 | |||||||||||||
Select Class | 102,454 | 759,180 | 7.41 | |||||||||||||
Expenses related to the reorganization were incurred by the Target Fund. The Administrator voluntarily waived its fee and/or reimbursed expenses in an amount equal to the reorganization expense.
| * | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
10. Transfers-In-Kind
During the year ended February 28, 2011, certain shareholders of Short Duration Bond Fund purchased Class R6 Shares and the Short Duration Bond Fund received portfolio securities primarily by means of a subscription-in-kind for Class R6 Shares of the Short Duration Bond Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
| Date | Value | Type | ||||||||||
Short Duration Bond Fund | 07/28/10 | $ | 11,698 | Subscription in-kind | ||||||||
During the year ended February 28, 2010, certain shareholders of Core Plus Bond Fund purchased Class R6 Shares and the Core Plus Bond Fund received portfolio securities primarily by means of a subscription in-kind for Class R6 Shares of the Core Plus Bond Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
| Date | Value | Type | ||||||||||
Core Plus Bond Fund | 04/28/09 | $ | 2,249 | Subscription in-kind | ||||||||
During the year ended February 28, 2010, certain shareholders of High Yield Fund purchased Select Class Shares and the High Yield Fund received portfolio securities primarily by means of a subscription in-kind for Select Class Shares of the High Yield Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
| Date | Value | Type | ||||||||||
High Yield Fund | 03/30/09 | $ | 4,090 | Subscription in-kind | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Pursuant to procedures approved by the Board of Trustees, on June 29, 2009, certain shareholders of the Limited Duration Bond Fund redeemed Class R6 and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities (amounts in thousands):
| Limited Duration Bond Fund | Value | Realized Losses | Type | |||||||||
Class R6 Shares | $ | 107,423 | $ | (31,903 | ) | Redemption in-kind | ||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Mutual Fund Group and JPMorgan Trust II and Shareholders of JPMorgan Core Bond Fund, JPMorgan Core Plus Bond Fund, JPMorgan Government Bond Fund, JPMorgan High Yield Fund, JPMorgan Limited Duration Bond Fund, JPMorgan Mortgage-Backed Securities Fund, JPMorgan Short Duration Bond Fund, JPMorgan Short Term Bond Fund II and JPMorgan Treasury & Agency Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Core Bond Fund, JPMorgan Core Plus Bond Fund, JPMorgan Government Bond Fund, JPMorgan High Yield Fund, JPMorgan Limited Duration Bond Fund, JPMorgan Mortgage-Backed Securities Fund, JPMorgan Short Duration Bond Fund, JPMorgan Short Term Bond Fund II and JPMorgan Treasury & Agency Fund (hereafter referred to as the “Funds”) at February 28, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
April 29, 2011
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 148 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 148 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 148 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 148 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 148 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| 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). | 148 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 148 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| 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). | 148 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 148 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
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Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||||
Independent Trustees (continued) |
| |||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 148 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 148 | None. | |||||
Interested Trustees | ||||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 148 | Trustee, The Victory Portfolios (2000-2008). | |||||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 148 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (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 advisor or have an investment advisor that is an affiliated person of the investment advisor 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 (148 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
| Patricia A. Maleski (1960), President and Principal Executive Officer (2010) | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
| Michael J. Tansley (1964), Controller (2008) | Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
| Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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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 redemption fees and (2) ongoing costs, including investment advisory, 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 costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2010, and continued to hold your shares at the end of the reporting period, February 28, 2011.
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 entitled “Expenses Paid During” 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, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Core Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.80 | $ | 3.67 | 0.74 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 997.50 | 6.88 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 997.60 | 6.88 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 4.91 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,002.20 | 2.18 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,003.40 | 1.94 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,001.90 | 2.83 | 0.57 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.97 | 2.86 | 0.57 | ||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,026.30 | 3.67 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 273 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Core Plus Bond Fund (continued) | ||||||||||||||||
Class B | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.90 | $ | 6.93 | $ | 1.38 | ||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,024.00 | 6.93 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,025.40 | 5.67 | 1.13 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,027.90 | 1.91 | 0.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.91 | 1.91 | 0.38 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,027.40 | 2.36 | 0.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,026.80 | 3.17 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 | ||||||||||||
Government Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 976.70 | 3.63 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 973.10 | 7.19 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 973.00 | 7.19 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 974.60 | 4.85 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 977.10 | 2.30 | 0.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 | ||||||||||||
High Yield Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,109.50 | 6.01 | 1.15 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,105.40 | 9.34 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,105.70 | 9.35 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,106.80 | 7.26 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,110.00 | 4.50 | 0.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.53 | 4.31 | 0.86 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,111.10 | 4.19 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
| 274 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
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| Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
High Yield Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,110.30 | $ | 4.71 | $ | 0.90 | ||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Limited Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,034.60 | 3.38 | 0.67 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.47 | 3.36 | 0.67 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,032.40 | 5.90 | 1.17 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.99 | 5.86 | 1.17 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,032.50 | 5.90 | 1.17 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.99 | 5.86 | 1.17 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,036.90 | 1.11 | 0.22 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.70 | 1.10 | 0.22 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,035.90 | 2.21 | 0.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.71 | 2.11 | 0.42 | ||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,022.10 | 3.21 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,024.70 | 1.20 | 0.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.60 | 1.20 | 0.24 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,023.90 | 1.96 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Short Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,003.60 | 3.97 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,001.00 | 6.45 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,001.10 | 6.45 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,004.00 | 1.49 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,006.20 | 2.74 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Short Term Bond Fund II | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,001.70 | 3.72 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Class M | ||||||||||||||||
Actual | 1,000.00 | 1,000.30 | 4.96 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 275 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Short Term Bond Fund II (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.80 | $ | 2.48 | $ | 0.50 | ||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
Treasury & Agency Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 996.80 | 3.47 | 0.70 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.32 | 3.51 | 0.70 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 993.40 | 5.93 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 998.00 | 2.23 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 276 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 | ||||
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(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 28, 2011. 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, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 28, 2011 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
High Yield Fund | $ | 14,314 | ||
Short Duration Bond Fund | 4,988 | |||
Treasury & Agency Fund | 7,609 | |||
Qualified Interest Income (QII)
For the fiscal year ended February 28, 2011, the Funds designate the following amounts of ordinary distributions paid during the Funds’ fiscal year that are from qualified interest income (amounts in thousands):
| Qualified Interest Income | ||||
Core Bond Fund | $ | 621,115 | ||
Core Plus Bond Fund | 74,899 | |||
Government Bond Fund | 53,959 | |||
High Yield Fund | 528,497 | |||
Limited Duration Bond Fund | 8,603 | |||
Short Duration Bond Fund | 154,257 | |||
Short Term Bond Fund II | 1,327 | |||
Treasury & Agency Fund | 7,662 | |||
Treasury Income
The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2011:
| Income from U.S. Treasury Obligations | ||||
Core Bond Fund | 23.60 | % | ||
Core Plus Bond Fund | 15.92 | |||
Government Bond Fund | 44.33 | |||
Mortgage-Backed Securities Fund | 18.35 | |||
Short Duration Bond Fund | 24.12 | |||
Short Term Bond Fund II | 26.78 | |||
Treasury & Agency Fund | 96.53 | |||
| FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 277 | ||||||
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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 are no 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? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| 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. | |
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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. at 1-800-480-4111 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 at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or 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 prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 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 Advisor. A copy of the Funds’ voting record for the most recent 12-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.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
 | © JPMorgan Chase & Co., 2011 All rights reserved. February 2011. | AN-INC2-211 |
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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 12(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 Form N-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 William Armstrong. 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.
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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 |
2011 – $779,700 |
2010 – $716,100 |
(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 |
2011 – $250,500 |
2010 – $250,500 |
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the Registrant that were reasonably related to the performance of the annual audit of the Registrant’s financial statements.
(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 |
2011 – $164,500 |
2010 – $198,346 |
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 28, 2011 and 2010, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-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 |
2011 – Not applicable |
2010 – Not applicable |
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have
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been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-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. Any pre-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 to pre-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 Rule 2-01 of Regulation S-X.
2011 – 0.0% |
2010 – 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.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-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 aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two calendar year ends were:
2010 – $32.2 million |
2009 – $26.3 million |
These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-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 not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-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 be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-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.
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(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-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 FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
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 CFR 240.14a-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 Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this
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paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-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 Form N-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 Form N-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 Rule 30a-3(d) under the Act (17 CFR 270.30a-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. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(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.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-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 Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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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 II | ||||
By: | /s/ |
| ||
| Patricia A. Maleski | ||||
| President and Principal Executive Officer | ||||
| May 9, 2011 | ||||
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/ |
| ||
| Patricia A. Maleski | ||||
| President and Principal Executive Officer | ||||
| May 9, 2011 | ||||
| By: | /s/ |
| ||
| Joy C. Dowd | ||||
| Treasurer and Principal Financial Officer | ||||
| May 9, 2011 | ||||