JPMorgan Sustainable Municipal Income Fund
Schedule of Portfolio Investments as of May 31, 2023
(Unaudited)
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. |
JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. |
J.P. Morgan Distribution Services, Inc., member FINRA. |
© J.P. Morgan Chase & Co., 2023. |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — 98.1% (a) | ||
Alabama — 1.0% | ||
Black Belt Energy Gas District, Gas Project Series 2022A, Rev., 4.00%, 12/1/2029 (b) | 645 | 624 |
Lower Alabama Gas District (The), Gas Project Series 2016A, Rev., 5.00%, 9/1/2031 | 1,000 | 1,028 |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (b) | 1,175 | 1,153 |
Total Alabama | 2,805 | |
Alaska — 0.1% | ||
Alaska Housing Finance Corp., General Mortgage Series 2016A, Rev., 3.50%, 6/1/2046 | 240 | 237 |
Arizona — 4.8% | ||
Arizona Industrial Development Authority, Academies of Math and Science Projects Rev., 5.00%, 7/1/2032 (c) | 280 | 283 |
Arizona Industrial Development Authority, Aliante and Skye Canyon Campus Project | ||
Series 2021A, Rev., 3.00%, 12/15/2031 (c) | 260 | 220 |
Series 2021A, Rev., 4.00%, 12/15/2041 (c) | 250 | 198 |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC | ||
Series A, Rev., 5.00%, 11/1/2033 | 1,000 | 1,084 |
Series A, Rev., 5.00%, 11/1/2037 | 900 | 945 |
Arizona Industrial Development Authority, KIPP Nashville Project | ||
Series A, Rev., 5.00%, 7/1/2030 | 245 | 256 |
Series A, Rev., 5.00%, 7/1/2031 | 260 | 271 |
Series A, Rev., 5.00%, 7/1/2032 | 270 | 280 |
Arizona Industrial Development Authority, Macombs Facility Project | ||
Series 2021A, Rev., 5.00%, 7/1/2033 | 310 | 326 |
Series 2021A, Rev., 4.00%, 7/1/2035 | 370 | 352 |
Series 2021A, Rev., 4.00%, 7/1/2036 | 155 | 145 |
Series 2021A, Rev., 4.00%, 7/1/2041 | 500 | 441 |
Arizona Industrial Development Authority, Pebble Campus Project Series 2020A, Rev., 4.00%, 7/15/2030 (c) | 250 | 236 |
Arizona Industrial Development Authority, Pinecrest Academy of Northern Nevada Project Series 2022A, Rev., 4.50%, 7/15/2029 (c) | 750 | 725 |
Arizona State University Series 2015A, Rev., 5.00%, 7/1/2028 | 75 | 78 |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (c) | 750 | 738 |
La Paz County Industrial Development Authority, Harmony Public School Project | ||
Rev., 4.00%, 2/15/2041 | 420 | 361 |
Rev., 4.00%, 2/15/2046 | 335 | 274 |
Maricopa County Industrial Development Authority, Arizona Autism Charter School Project Series 2021A, Rev., 4.00%, 7/1/2041 (c) | 935 | 775 |
Maricopa County Industrial Development Authority, Arizona Autism Charter Schools Project Series 2021A, Rev., 4.00%, 7/1/2031 (c) | 250 | 238 |
Maricopa County Industrial Development Authority, Banner Health Series A, Rev., 4.00%, 1/1/2041 | 4,450 | 4,303 |
Maricopa County Industrial Development Authority, HonorHealth Series 2019A, Rev., 5.00%, 9/1/2032 | 200 | 216 |
Total Arizona | 12,745 | |
California — 5.8% | ||
California Community Housing Agency, Fountains at Emerald Park Series 2021A-2, Rev., 4.00%, 8/1/2046 (c) | 300 | 237 |
California Community Housing Agency, Glendale Properties Series 2021A-2, Rev., 4.00%, 8/1/2047 (c) | 500 | 382 |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools-Obligated Group No. 2 Series 2022A, Rev., 4.00%, 6/1/2027 (c) | 300 | 286 |
California Health Facilities Financing Authority, On Lok Senior Health Service Rev., 3.00%, 8/1/2025 | 50 | 49 |
California Infrastructure and Economic Development Bank, Equitable School Revolving Fund LLC Series B, Rev., 5.00%, 11/1/2034 | 210 | 228 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
California — continued | ||
California Municipal Finance Authority, Community Health Centers of The Central Coast, Inc. | ||
Series 2021A, Rev., 4.00%, 12/1/2026 (c) | 100 | 97 |
Series 2021A, Rev., 5.00%, 12/1/2027 (c) | 50 | 51 |
Series 2021A, Rev., 5.00%, 12/1/2028 (c) | 60 | 62 |
Series 2021A, Rev., 5.00%, 12/1/2029 (c) | 100 | 104 |
Series 2021A, Rev., 5.00%, 12/1/2031 (c) | 65 | 68 |
California Municipal Finance Authority, Eisenhower Medical Center Series 2017B, Rev., 5.00%, 7/1/2026 | 410 | 423 |
California Municipal Finance Authority, San Antonio Gardens Project Series 2022B2, Rev., 2.13%, 11/15/2026 | 410 | 373 |
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project | ||
Rev., AMT, 5.00%, 7/1/2036 (c) | 250 | 263 |
Rev., AMT, 5.00%, 7/1/2037 (c) | 1,100 | 1,153 |
Rev., AMT, 5.00%, 7/1/2038 (c) | 500 | 522 |
California Public Finance Authority, Enso Village Project | ||
Series 2021B-1, Rev., 3.13%, 5/15/2029 (c) | 300 | 280 |
Series 2021A, Rev., 5.00%, 11/15/2036 (c) | 300 | 291 |
California School Finance Authority, Classical Academies Oceanside Project | ||
Series 2022A, Rev., 4.00%, 10/1/2027 (c) | 500 | 497 |
Series 2022A, Rev., 5.00%, 10/1/2032 (c) | 700 | 742 |
California School Finance Authority, Green Dot Public Schools Project Series 2022-A, Rev., 5.00%, 8/1/2032 (c) | 350 | 363 |
California School Finance Authority, John Adams Academies Series 2022A, Rev., 4.50%, 7/1/2032 (c) | 835 | 783 |
California School Finance Authority, Kipp SoCal Public Schools Series A, Rev., 5.00%, 7/1/2039 (c) | 500 | 512 |
California School Finance Authority, Kipp Social Projects | ||
Series 2020A, Rev., 5.00%, 7/1/2027 (c) | 80 | 83 |
Series 2020A, Rev., 5.00%, 7/1/2028 (c) | 110 | 115 |
Series 2020A, Rev., 5.00%, 7/1/2029 (c) | 140 | 147 |
Series 2020A, Rev., 5.00%, 7/1/2030 (c) | 100 | 106 |
Series 2020A, Rev., 4.00%, 7/1/2040 (c) | 295 | 269 |
California Statewide Communities Development Authority, Emanate Health, Tax-Exempt Series 2020A, Rev., 3.00%, 4/1/2050 | 2,645 | 1,824 |
California Statewide Communities Development Authority, Front Porch Communities Series 2021A, Rev., 4.00%, 4/1/2039 | 1,000 | 940 |
CSCDA Community Improvement Authority, Essential Housing, Parallel-Anaheim Series 2021A, Rev., 4.00%, 8/1/2056 (c) | 500 | 366 |
CSCDA Community Improvement Authority, Essential Housing, Towne at Glendale Apartments Series 2022B, Rev., 5.00%, 9/1/2037 (c) | 175 | 164 |
East Bay Municipal Utility District, Water System Series 2022A, Rev., 5.00%, 6/1/2033 | 2,500 | 2,971 |
Orange County Community Facilities District No. 2021-1, Rienda Series A, Rev., 5.00%, 8/15/2042 | 400 | 408 |
River Islands Public Financing Authority, Facilities District No. 2003 Series 2022A-1, Rev., AGM, 5.00%, 9/1/2028 | 230 | 253 |
State of California, Department of Veterans Affairs, Farm and Home Purchase Program Series B, Rev., 3.50%, 12/1/2045 | 185 | 183 |
Total California | 15,595 | |
Colorado — 3.1% | ||
Aspen Fire Protection District | ||
COP, 4.00%, 12/1/2034 | 200 | 206 |
COP, 4.00%, 12/1/2035 | 225 | 230 |
COP, 4.00%, 12/1/2036 | 350 | 355 |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project | ||
Rev., 4.00%, 5/1/2029 | 35 | 34 |
Rev., 4.00%, 5/1/2030 | 30 | 29 |
Rev., 4.00%, 5/1/2031 | 30 | 29 |
Rev., 4.00%, 5/1/2041 | 90 | 78 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Colorado — continued | ||
Colorado Educational and Cultural Facilities Authority, Global Village Academy Northglenn Project Rev., 4.00%, 12/1/2030 (c) | 595 | 549 |
Colorado Educational and Cultural Facilities Authority, Golden View Classical Academy Projects | ||
Rev., 4.00%, 1/1/2026 | 200 | 196 |
Rev., 4.00%, 1/1/2032 | 475 | 458 |
Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Rev., 5.00%, 2/1/2034 (c) | 300 | 298 |
Colorado Health Facilities Authority, Abedeen Ridges Series 2021B-3, Rev., 2.13%, 5/15/2028 | 300 | 270 |
Colorado Housing and Finance Authority, Single Family Mortgage | ||
Series 2019F, Rev., GNMA COLL, 4.25%, 11/1/2049 | 185 | 184 |
Series 2020H, Rev., GNMA COLL, 3.00%, 5/1/2050 | 755 | 728 |
Series 2020B, Rev., 3.75%, 5/1/2050 | 1,390 | 1,366 |
Dominion Water and Sanitation District | ||
Rev., 5.00%, 12/1/2027 | 590 | 585 |
Rev., 5.25%, 12/1/2032 | 500 | 495 |
State of Colorado | ||
COP, 4.00%, 6/15/2039 | 1,000 | 1,002 |
COP, 4.00%, 6/15/2040 | 1,320 | 1,315 |
Total Colorado | 8,407 | |
Connecticut — 1.3% | ||
Connecticut Housing Finance Authority, Housing Mortgage Finance Program | ||
Series A-1, Rev., 4.00%, 11/15/2045 | 70 | 70 |
Series D, Subseries D-1, Rev., GNMA/FNMA/FHLMC, 4.00%, 11/15/2047 | 425 | 421 |
Subseries A-1, Rev., 4.00%, 11/15/2047 | 135 | 134 |
Connecticut State Health and Educational Facilities Authority, Yale New Haven Health Series B, Rev., 1.80%, 7/1/2024 (b) | 225 | 219 |
Connecticut State Higher Education Supplemental Loan Authority, CHESLA Loan Program Series 2019B, Rev., AMT, 5.00%, 11/15/2027 | 250 | 264 |
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (c) | 1,000 | 1,036 |
University of Connecticut Series 2019A, Rev., 5.00%, 11/1/2035 | 1,250 | 1,356 |
Total Connecticut | 3,500 | |
Delaware — 1.0% | ||
Delaware State Economic Development Authority, Aspria of Delaware Charter Series 2022A, Rev., 4.00%, 6/1/2042 | 250 | 200 |
Delaware State Economic Development Authority, Newark Charter School, Inc. Project Rev., 4.00%, 9/1/2028 | 225 | 224 |
Delaware State Health Facilities Authority, Beebe Medical Center Project Rev., 5.00%, 6/1/2034 | 2,200 | 2,327 |
Total Delaware | 2,751 | |
District of Columbia — 1.9% | ||
District of Columbia, Gallaudet University Project | ||
Rev., 5.00%, 4/1/2028 | 160 | 170 |
Series 2021A, Rev., 4.00%, 4/1/2033 | 165 | 168 |
Series 2021A, Rev., 4.00%, 4/1/2034 | 160 | 162 |
Series 2021A, Rev., 4.00%, 4/1/2035 | 200 | 201 |
Series 2021A, Rev., 4.00%, 4/1/2036 | 200 | 197 |
District of Columbia, Rocketship Obligated Group Series 2021A, Rev., 5.00%, 6/1/2031 (c) | 400 | 394 |
District of Columbia, Two Rivers Public Charter School, Inc. | ||
Rev., 3.00%, 6/1/2030 | 1,000 | 891 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
District of Columbia — continued | ||
Rev., 5.00%, 6/1/2050 | 1,500 | 1,363 |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series A, Rev., 5.00%, 10/1/2045 | 1,500 | 1,528 |
Total District of Columbia | 5,074 | |
Florida — 11.7% | ||
Capital Trust Agency, Inc., Sustainability Bonds -The Marie Rev., 4.00%, 6/15/2031 (c) | 150 | 136 |
City of Pompano Beach, John Knox Village Project | ||
Series 2020, Rev., 3.50%, 9/1/2035 | 1,375 | 1,119 |
Series 2021A, Rev., 4.00%, 9/1/2041 | 1,000 | 779 |
City of Port St. Lucie, Utility System Rev., NATL-RE, 5.25%, 9/1/2024 | 5,000 | 5,119 |
Collier County Educational Facilities Authority, Ave Maria University, Inc. Project | ||
Series 2023, Rev., 5.00%, 6/1/2028 | 775 | 798 |
Series 2023, Rev., 5.00%, 6/1/2029 | 565 | 586 |
Florida Development Finance Corp., Central Charter School Project | ||
Series 2022, Rev., 5.00%, 8/15/2032 (c) | 225 | 222 |
Series 2022, Rev., 5.25%, 8/15/2037 (c) | 350 | 333 |
Series 2022, Rev., 5.63%, 8/15/2042 (c) | 1,515 | 1,439 |
Florida Development Finance Corp., Cornerstone Charter Academy Project Series 2022, Rev., 5.00%, 10/1/2032 (c) | 460 | 463 |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects | ||
Rev., 4.00%, 7/1/2027 | 290 | 284 |
Rev., 4.00%, 7/1/2028 | 150 | 146 |
Rev., 4.00%, 7/1/2029 | 155 | 151 |
Rev., 4.00%, 7/1/2030 | 215 | 208 |
Series 2022B, Rev., 5.00%, 7/1/2031 | 165 | 170 |
Series 2022B, Rev., 5.00%, 7/1/2042 | 230 | 228 |
Florida Development Finance Corp., IDEA Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (c) | 300 | 296 |
Florida Development Finance Corp., Mater Academy Project | ||
Series 2022A, Rev., 5.00%, 6/15/2032 | 270 | 276 |
Series 2022A, Rev., 5.00%, 6/15/2033 | 380 | 387 |
Series 2022A, Rev., 5.00%, 6/15/2034 | 400 | 407 |
Series 2022A, Rev., 5.00%, 6/15/2036 | 1,325 | 1,335 |
Series 2020A, Rev., 5.00%, 6/15/2040 | 500 | 498 |
Florida Development Finance Corp., The Glenridge on Palmer Ranch Project Rev., 4.00%, 6/1/2026 (c) | 110 | 105 |
Lee County Industrial Development Authority, Health Care Facilities Series 2022B2, Rev., 3.25%, 10/1/2026 | 500 | 475 |
Lee County School Board (The) | ||
Series 2023A, COP, 5.00%, 8/1/2040 | 2,715 | 2,986 |
Series 2023A, COP, 4.00%, 8/1/2046 | 2,000 | 1,905 |
Series 2023A, COP, 4.00%, 8/1/2048 | 500 | 474 |
Lee Memorial Health System Series 2019A-1, Rev., 5.00%, 4/1/2036 | 1,000 | 1,065 |
Miami Beach Redevelopment Agency, City Center, Historic Convention Village Series A, Rev., 5.00%, 2/1/2027 | 2,000 | 2,011 |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment | ||
5.20%, 5/1/2027 | 225 | 226 |
5.85%, 5/1/2037 | 500 | 510 |
Palm Beach County Health Facilities Authority, Jupiter Medical Center | ||
Series A, Rev., 5.00%, 11/1/2031 | 100 | 106 |
Series A, Rev., 5.00%, 11/1/2032 | 100 | 106 |
Series A, Rev., 5.00%, 11/1/2047 | 500 | 499 |
School Board of Miami-Dade County (The) Series 2015D, COP, 5.00%, 2/1/2027 | 3,000 | 3,118 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Florida — continued | ||
Seminole County Industrial Development Authority, Galileo Schools for Gifted Learning Series 2021A, Rev., 4.00%, 6/15/2041 (c) | 210 | 170 |
South Florida Water Management District COP, 5.00%, 10/1/2032 | 2,250 | 2,350 |
Total Florida | 31,486 | |
Georgia — 1.6% | ||
Cherokee County Water & Sewer Authority | ||
Series 2023, Rev., 5.00%, 8/1/2035 | 135 | 159 |
Series 2023, Rev., 5.00%, 8/1/2036 | 165 | 192 |
Series 2023, Rev., 5.00%, 8/1/2037 | 135 | 155 |
Series 2023, Rev., 5.00%, 8/1/2039 | 375 | 425 |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019B, Rev., 5.00%, 7/1/2029 (b) | 500 | 539 |
Gainesville and Hall County Hospital Authority, Northeast Georgia Health System, Inc., Project Series A, Rev., 5.00%, 2/15/2026 | 860 | 889 |
George L Smith II Congress Center Authority, Convention Center Hotel First Series 2021A, Rev., 2.38%, 1/1/2031 | 500 | 423 |
George L Smith II Congress Center Authority, Convention Center Hotel Second | ||
Series 2021B, Rev., 3.63%, 1/1/2031 (c) | 415 | 365 |
Series 2021B, Rev., 5.00%, 1/1/2036 (c) | 500 | 460 |
Georgia Housing and Finance Authority, Single Family Mortgage | ||
Series 2017A, Rev., 4.00%, 12/1/2047 | 220 | 218 |
Series B, Rev., 4.00%, 12/1/2047 | 440 | 437 |
Total Georgia | 4,262 | |
Illinois — 6.7% | ||
City of Aurora, Single Family Mortgage | ||
Series B, Rev., GNMA/FNMA/FHLMC, 5.45%, 12/1/2039 | 45 | 45 |
Series 2007-A, Rev., AMT, GNMA/FNMA/FHLMC, 5.50%, 12/1/2039 | 50 | 50 |
City of Chicago, Second Lien Waterworks Project | ||
Series 2023B, Rev., 5.00%, 11/1/2024 | 625 | 637 |
Series 2023B, Rev., AGM, 5.00%, 11/1/2035 | 500 | 556 |
Series 2023B, Rev., AGM, 5.00%, 11/1/2039 | 1,500 | 1,637 |
Series 2023B, Rev., AGM, 4.00%, 11/1/2040 | 665 | 644 |
Illinois Finance Authority, Clark-Lindsey Village Series A, Rev., 4.60%, 6/1/2027 | 165 | 160 |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 4.00%, 7/1/2037 | 2,540 | 2,558 |
Illinois Finance Authority, Lake Forest College | ||
Series A, Rev., 5.00%, 10/1/2032 | 215 | 217 |
Series A, Rev., 5.00%, 10/1/2035 | 475 | 468 |
Series A, Rev., 5.50%, 10/1/2039 | 380 | 379 |
Illinois Finance Authority, Plymouth Place, Inc. | ||
Series 2022B-3, Rev., 4.75%, 11/15/2027 | 100 | 99 |
Series 2022B-2, Rev., 5.25%, 11/15/2027 | 100 | 99 |
Series 2022B-1, Rev., 6.00%, 11/15/2027 | 100 | 100 |
Series 2021A, Rev., 5.00%, 5/15/2032 | 135 | 126 |
Series 2021A, Rev., 5.00%, 5/15/2033 | 145 | 135 |
Illinois Finance Authority, Social Bonds-Learn Chapter School Project | ||
Rev., 4.00%, 11/1/2030 | 130 | 128 |
Rev., 4.00%, 11/1/2031 | 135 | 132 |
Rev., 4.00%, 11/1/2041 | 375 | 329 |
Illinois Finance Authority, Southern Illinois Healthcare Enterprises, Inc. Series C, Rev., 5.00%, 3/1/2033 | 365 | 379 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Illinois — continued | ||
Illinois Housing Development Authority, Homeowner Mortgage Series C, Rev., 3.50%, 8/1/2046 | 465 | 457 |
Peoria City School District No. 150 Series 2020A, GO, AGM, 4.00%, 12/1/2027 | 505 | 521 |
Southern Illinois University, Housing and Auxiliary Facilities System Series 2021A, Rev., 5.00%, 4/1/2033 | 300 | 321 |
Southwestern Illinois Development Authority, Flood Prevention District Council Project | ||
Rev., 5.00%, 4/15/2026 | 250 | 262 |
Rev., 5.00%, 4/15/2028 | 390 | 425 |
Rev., 5.00%, 4/15/2029 | 290 | 321 |
State of Illinois | ||
Series 2017D, GO, 5.00%, 11/1/2025 | 1,945 | 2,008 |
Series 2022B, GO, 5.00%, 3/1/2031 | 665 | 738 |
Series 2023B, GO, 4.50%, 5/1/2048 | 160 | 157 |
Will County Forest Preservation District, Limited Tax | ||
GO, 5.00%, 12/15/2035 | 1,170 | 1,319 |
GO, 5.00%, 12/15/2036 | 1,460 | 1,632 |
GO, 4.00%, 12/15/2037 | 1,000 | 1,025 |
Total Illinois | 18,064 | |
Indiana — 2.5% | ||
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (c) | 500 | 375 |
City of Jeffersonville, Vivera Senior Living of Jeffersonville Project Series 2020A, Rev., 4.75%, 11/1/2030 (c) | 570 | 493 |
County of St. Joseph, Economic Development, St. Mary's College Project Series 2017A, Rev., 5.00%, 4/1/2026 | 1,880 | 1,942 |
Indiana Finance Authority, DePauw University Series 2022-A, Rev., 5.00%, 7/1/2032 | 350 | 373 |
Indiana Finance Authority, Educational Facilities, Valparaiso University Project Rev., 4.00%, 10/1/2035 | 220 | 208 |
Indiana Finance Authority, Rose-Hulman Institute of Technology Project | ||
Series 2021, Rev., 5.00%, 6/1/2031 | 100 | 110 |
Rev., 4.00%, 6/1/2033 | 110 | 112 |
Indiana Health Facility Financing Authority, Ascension Health Credit Group Series A-1, Rev., 5.00%, 11/15/2034 | 1,670 | 1,729 |
Indiana Housing and Community Development Authority, Single Family Mortgage Series 2020A, Rev., 3.75%, 1/1/2049 | 755 | 742 |
Indiana Housing and Community Development Authority, Vita of Marion Project Series 2021B, Rev., 4.00%, 4/1/2024 | 500 | 489 |
Total Indiana | 6,573 | |
Iowa — 0.7% | ||
Iowa Finance Authority, Senior Living Facility, Sunrise Retirement Community Project | ||
Rev., 5.00%, 9/1/2028 | 195 | 182 |
Rev., 5.00%, 9/1/2030 | 110 | 100 |
Rev., 5.00%, 9/1/2031 | 105 | 95 |
Rev., 5.00%, 9/1/2036 | 445 | 379 |
Iowa Student Loan Liquidity Corp., Student Loan Series 2015A, Rev., AMT, 5.00%, 12/1/2025 | 1,000 | 1,025 |
Total Iowa | 1,781 | |
Kansas — 0.3% | ||
City of Manhattan, Meadowlark Hills | ||
Series 2022B-2, Rev., 2.38%, 6/1/2027 | 225 | 210 |
Series 2021A, Rev., 4.00%, 6/1/2036 | 300 | 247 |
City of Topeka, Kansas Health Care Facilities Series 2022-B, Rev., 5.13%, 12/1/2026 | 250 | 247 |
Total Kansas | 704 | |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Louisiana — 0.9% | ||
Louisiana Local Government Environmental Facilities and Community Development Authority, LCTCS Act 391 Project Rev., 5.00%, 10/1/2028 | 670 | 728 |
Louisiana Public Facilities Authority, Lincoln Preparatory School Project | ||
Series 2021A, Rev., 5.00%, 6/1/2031 (c) | 450 | 429 |
Series 2021A, Rev., 5.00%, 6/1/2041 (c) | 525 | 444 |
Louisiana Public Facilities Authority, Mentorship Steam Academy Project | ||
Series 2021A, Rev., 5.00%, 6/1/2036 (c) | 385 | 337 |
Series 2021A, Rev., 5.00%, 6/1/2042 (c) | 440 | 365 |
Total Louisiana | 2,303 | |
Maine — 0.3% | ||
City of Portland, General Airport Rev., 5.00%, 1/1/2031 | 370 | 407 |
Maine Health and Higher Educational Facilities Authority | ||
Series 2020A, Rev., 4.00%, 7/1/2024 (d) | 140 | 141 |
Series 2020A, Rev., 4.00%, 7/1/2024 | 110 | 111 |
Maine State Housing Authority, Mortgage Purchase Series A, Rev., 4.00%, 11/15/2045 | 150 | 149 |
Total Maine | 808 | |
Maryland — 1.0% | ||
County of Baltimore, Riderwood Village, Inc., Project | ||
Rev., 4.00%, 1/1/2032 | 475 | 465 |
Rev., 4.00%, 1/1/2033 | 600 | 586 |
Maryland Economic Development Corp., Annapolis Mobility and Resilience Project Series 2022-A, Rev., 5.00%, 12/31/2037 | 795 | 828 |
Maryland Health and Higher Educational Facilities Authority, Stevenson University Project | ||
Series 2021A, Rev., 5.00%, 6/1/2029 | 150 | 159 |
Series 2021A, Rev., 5.00%, 6/1/2031 | 175 | 189 |
Montgomery County Housing Opportunities Commission, Single Family Mortgage Series 2017A, Rev., 4.00%, 7/1/2048 | 555 | 550 |
Total Maryland | 2,777 | |
Massachusetts — 4.2% | ||
Massachusetts Clean Water Trust (The), Poll Program Rev., 5.25%, 8/1/2024 | 3,000 | 3,069 |
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.25%, 7/1/2048 | 1,000 | 1,047 |
Series 2023G, Rev., 4.38%, 7/1/2052 | 700 | 657 |
Massachusetts Development Finance Agency, Salem Community Corp. | ||
Rev., 5.00%, 1/1/2026 | 285 | 282 |
Rev., 5.00%, 1/1/2027 | 305 | 299 |
Rev., 5.00%, 1/1/2028 | 265 | 258 |
Rev., 5.00%, 1/1/2029 | 500 | 484 |
Rev., 5.00%, 1/1/2031 | 240 | 230 |
Rev., 5.13%, 1/1/2040 | 510 | 462 |
Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue | ||
Series 2021G, Rev., 5.00%, 7/1/2029 | 150 | 163 |
Series 2021G, Rev., 5.00%, 7/1/2030 | 150 | 164 |
Massachusetts Health and Educational Facilities Authority, Massachusetts Institute of Technology Series L, Rev., 5.25%, 7/1/2033 | 820 | 1,013 |
Massachusetts Housing Finance Agency, Single Family Housing | ||
Series 183, Rev., 3.50%, 12/1/2046 | 65 | 64 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Massachusetts — continued | ||
Series 214, Rev., GNMA/FNMA/FHLMC, 3.75%, 12/1/2049 | 850 | 836 |
Massachusetts Water Resources Authority Series B, Rev., AGM, 5.25%, 8/1/2029 | 2,000 | 2,282 |
Total Massachusetts | 11,310 | |
Michigan — 1.3% | ||
City of Detroit, Unlimited Tax | ||
Series 2021A, GO, 5.00%, 4/1/2030 | 475 | 491 |
Series 2021A, GO, 5.00%, 4/1/2031 | 215 | 223 |
Series 2021-A, GO, 5.00%, 4/1/2033 | 770 | 794 |
Eastern Michigan University Series 2017A, Rev., 5.00%, 3/1/2030 | 575 | 609 |
Michigan Finance Authority, Trinity Health Credit Group Series 2013MI-4, Rev., 4.00%, 12/1/2038 | 1,000 | 995 |
Michigan State Housing Development Authority, Single Family Mortgage Series B, Rev., AMT, 3.50%, 6/1/2047 | 325 | 320 |
Western Michigan University, Tax Exempt Series 2021A, Rev., AGM, 5.00%, 11/15/2029 | 100 | 111 |
Total Michigan | 3,543 | |
Minnesota — 2.7% | ||
City of Ramsey, PACT Charter School Project Series 2022-A, Rev., 5.00%, 6/1/2032 | 535 | 535 |
City of Rochester Series 2022, Rev., 4.00%, 11/15/2039 | 1,425 | 1,457 |
City of Woodbury, Charter School Lease, Woodbury Leadership Academy Project | ||
Series 2021A, Rev., 4.00%, 7/1/2031 | 175 | 159 |
Series 2021A, Rev., 4.00%, 7/1/2041 | 445 | 352 |
Minneapolis-St. Paul Housing Finance Board, Single Family Mortgage, City Living Home Programs Series 2007A-2, Rev., GNMA / FNMA / FHLMC, 5.52%, 3/1/2041 | 110 | 110 |
Minnesota Housing Finance Agency Series 2022-M, Rev., GNMA/FNMA/FHLMC COLL, 6.00%, 1/1/2053 | 1,260 | 1,351 |
Minnesota Housing Finance Agency, Non Profit Housing, State Appropriation | ||
Rev., 5.25%, 8/1/2024 | 1,015 | 1,017 |
Rev., 5.25%, 8/1/2025 | 1,070 | 1,072 |
Rev., 5.25%, 8/1/2026 | 825 | 826 |
Minnesota Housing Finance Agency, Residential Housing Finance Series B, Rev., AMT, GNMA/FNMA/FHLMC COLL, 4.00%, 7/1/2047 | 255 | 253 |
Total Minnesota | 7,132 | |
Mississippi — 0.3% | ||
Mississippi Home Corp., Single Family Mortgage Series 2019A, Rev., GNMA/FNMA/FHLMC, 4.00%, 12/1/2048 | 840 | 831 |
Missouri — 0.6% | ||
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2031 | 1,000 | 1,079 |
Industrial Development Authority of the City of St Louis Missouri (The), Innovation District Rev., 5.00%, 5/15/2041 | 425 | 417 |
Total Missouri | 1,496 | |
Nebraska — 0.7% | ||
Madison County Hospital Authority No. 1, Faith Regional Health Services Project | ||
Rev., 5.00%, 7/1/2030 | 1,020 | 1,042 |
Rev., 5.00%, 7/1/2031 | 720 | 736 |
Total Nebraska | 1,778 | |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Nevada — 0.5% | ||
Carson City Nevada Hospital | ||
Rev., 5.00%, 9/1/2026 | 555 | 574 |
Rev., 5.00%, 9/1/2029 | 620 | 650 |
Total Nevada | 1,224 | |
New Hampshire — 2.3% | ||
City of Manchester, School Facilities | ||
Rev., NATL-RE, 5.50%, 6/1/2024 | 3,545 | 3,617 |
Rev., NATL - RE, 5.50%, 6/1/2027 | 900 | 978 |
New Hampshire Business Finance Authority, Springpoint Senior Living Project | ||
Rev., 4.00%, 1/1/2026 | 265 | 260 |
Rev., 4.00%, 1/1/2027 | 250 | 243 |
Rev., 4.00%, 1/1/2029 | 300 | 286 |
Rev., 4.00%, 1/1/2031 | 290 | 271 |
Rev., 4.00%, 1/1/2041 | 750 | 615 |
Total New Hampshire | 6,270 | |
New Jersey — 3.0% | ||
Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project | ||
Series 2021A, Rev., AGM, 5.00%, 7/1/2029 | 100 | 109 |
Series 2021A, Rev., AGM, 5.00%, 7/1/2030 | 100 | 111 |
Series 2021A, Rev., AGM, 5.00%, 7/1/2031 | 100 | 112 |
Series 2021A, Rev., AGM, 5.00%, 7/1/2034 | 60 | 67 |
Series 2021A, Rev., AGM, 5.00%, 7/1/2035 | 75 | 83 |
Series 2021A, Rev., AGM, 4.00%, 7/1/2036 | 100 | 100 |
Series 2021A, Rev., AGM, 4.00%, 7/1/2037 | 75 | 73 |
Camden County Improvement Authority (The), Camden Prep High School Project | ||
Rev., 4.00%, 7/15/2027 (c) | 215 | 210 |
Rev., 5.00%, 7/15/2032 (c) | 285 | 297 |
Rev., 5.00%, 7/15/2042 (c) | 590 | 591 |
Egg Harbor Township School District GO, AGM, 5.75%, 7/15/2024 | 1,215 | 1,247 |
Essex County Improvement Authority, CHF-Newark, LLC, NJIT Student Housing Project Series 2021A, Rev., 5.00%, 8/1/2033 | 170 | 190 |
Essex County Improvement Authority, North Star Academy Charter School of Newark, Inc., 2020 Project | ||
Rev., 4.00%, 7/15/2023 (c) | 115 | 115 |
Rev., 4.00%, 7/15/2025 (c) | 370 | 367 |
Rev., 4.00%, 7/15/2027 (c) | 400 | 396 |
Rev., 4.00%, 7/15/2029 (c) | 430 | 426 |
Rev., 4.00%, 7/15/2030 (c) | 200 | 198 |
New Jersey Economic Development Authority, School Facilities Construction | ||
Series 2021QQQ, Rev., 5.00%, 6/15/2030 | 270 | 298 |
Series 2021QQQ, Rev., 5.00%, 6/15/2033 | 300 | 331 |
New Jersey Educational Facilities Authority, Stevens Institute of Technology | ||
Series 2020A, Rev., 5.00%, 7/1/2033 | 350 | 372 |
Series 2020A, Rev., 5.00%, 7/1/2034 | 280 | 297 |
New Jersey Health Care Facilities Financing Authority, University Hospital Issue Series 2015A, Rev., AGM, 5.00%, 7/1/2023 | 820 | 821 |
New Jersey Housing and Mortgage Finance Agency, Single Family Housing Series 2018A, Rev., 4.50%, 10/1/2048 | 585 | 586 |
Passaic County Improvement Authority (The), Paterson arts and Science Charter School Projects Rev., 5.25%, 7/1/2043 | 670 | 677 |
Total New Jersey | 8,074 | |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
New Mexico — 0.3% | ||
New Mexico Mortgage Finance Authority, Single Family Mortgage Program Series 2019C, Class I, Rev., GNMA/FNMA/FHLMC, 4.00%, 1/1/2050 | 770 | 761 |
New York — 6.2% | ||
Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. | ||
Rev., 3.50%, 7/1/2026 | 500 | 477 |
Rev., 4.00%, 7/1/2031 | 780 | 714 |
Build NYC Resource Corp., Global Community Charter School | ||
Series 2022A, Rev., 4.00%, 6/15/2032 | 135 | 128 |
Series 2022-A, Rev., 5.00%, 6/15/2042 | 360 | 348 |
Series 2022A, Rev., 5.00%, 6/15/2052 | 640 | 598 |
Build NYC Resource Corp., Grand Concourse Academy Charter School | ||
Series 2022A, Rev., 3.40%, 7/1/2027 | 300 | 291 |
Series 2022-A, Rev., 5.00%, 7/1/2032 | 100 | 105 |
Series 2022-A, Rev., 5.00%, 7/1/2042 | 300 | 303 |
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | ||
Rev., 5.00%, 7/1/2029 | 460 | 487 |
Rev., 5.00%, 7/1/2031 | 535 | 573 |
Rev., 5.00%, 7/1/2032 | 550 | 591 |
Rev., 5.00%, 7/1/2035 | 530 | 559 |
Build NYC Resource Corp., New World Preparatory Charter School Project | ||
Series 2021A, Rev., 4.00%, 6/15/2031 (c) | 150 | 139 |
Series 2021A, Rev., 4.00%, 6/15/2041 (c) | 135 | 110 |
City of New York, Fiscal Year 2023 Series 2023E, GO, 4.00%, 4/1/2050 | 1,130 | 1,086 |
Huntington Local Development Corp., Fountaingate Garden Project Series 2021C, Rev., 3.00%, 7/1/2023 | 40 | 40 |
Monroe County Industrial Development Corp., Academy of Health Sciences Charter School Project Series 2022-A, Rev., 5.00%, 7/1/2032 (c) | 250 | 243 |
New York City Water and Sewer System, Second General Resolution, Fiscal Year 2015 Series FF, Rev., 5.00%, 6/15/2031 | 1,000 | 1,033 |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project Series 2018, Rev., AMT, 5.00%, 1/1/2025 | 1,750 | 1,770 |
Port Authority of New York and New Jersey, Consolidated Series 194, Rev., 5.00%, 10/15/2030 | 2,000 | 2,079 |
State of New York Mortgage Agency, Homeowner Mortgage | ||
Series 197, Rev., 3.50%, 10/1/2044 | 390 | 384 |
Series 195, Rev., 4.00%, 10/1/2046 | 350 | 348 |
Suffolk County Economic Development Corp., St. Johnland Assisted Living Inc., Project Rev., 4.63%, 11/1/2031 (c) | 1,250 | 1,049 |
Triborough Bridge and Tunnel Authority, Sales Tax Series 2023A, Rev., 4.13%, 5/15/2053 | 2,250 | 2,166 |
Westchester County Local Development Corp., Kendal on Hudson Project | ||
Series 2022B, Rev., 5.00%, 1/1/2027 | 140 | 142 |
Series 2022B, Rev., 5.00%, 1/1/2037 | 265 | 263 |
Series 2022B, Rev., 5.00%, 1/1/2041 | 250 | 243 |
Yonkers Economic Development Corp., Charter School of Educational Excellence Project Rev., 4.00%, 10/15/2030 | 355 | 327 |
Total New York | 16,596 | |
North Carolina — 0.5% | ||
North Carolina Housing Finance Agency, Homeownership Series 43, Rev., GNMA/FNMA/FHLMC, 4.00%, 7/1/2050 | 495 | 489 |
North Carolina Medical Care Commission, Lutheran Services for The Aging Series 2021A, Rev., 4.00%, 3/1/2031 | 290 | 264 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
North Carolina — continued | ||
North Carolina Medical Care Commission, The Forest at Duke Project | ||
Rev., 4.00%, 9/1/2033 | 180 | 171 |
Rev., 4.00%, 9/1/2041 | 415 | 349 |
Total North Carolina | 1,273 | |
North Dakota — 0.6% | ||
North Dakota Housing Finance Agency, Home Mortgage Finance Program | ||
Series 2016D, Rev., 3.50%, 7/1/2046 | 185 | 182 |
Series D, Rev., 4.00%, 7/1/2046 | 395 | 393 |
Series 2017D, Rev., FHA, 4.00%, 1/1/2048 | 595 | 589 |
University of North Dakota, Housing Infrastructure Project Series 2021A, COP, AGM, 4.00%, 6/1/2051 | 500 | 454 |
Total North Dakota | 1,618 | |
Ohio — 4.3% | ||
American Municipal Power, Inc., Solar Electricity Prepayment Project Series 2019A, Rev., 5.00%, 2/15/2035 | 825 | 893 |
Butler County Port Authority, Community First Solutions | ||
Rev., 4.00%, 5/15/2037 | 210 | 204 |
Series 2021A, Rev., 4.00%, 5/15/2038 | 110 | 106 |
Series 2021A, Rev., 4.00%, 5/15/2039 | 115 | 110 |
Series 2021A, Rev., 4.00%, 5/15/2040 | 115 | 109 |
Series 2021A, Rev., 4.00%, 5/15/2041 | 125 | 118 |
County of Cuyahoga, Eliza Jennings Senior Care Network Series 2022-A, Rev., 5.00%, 5/15/2032 | 460 | 439 |
County of Hardin, Economic Development Facilities Improvement, Ohio Northern University | ||
Rev., 4.00%, 5/1/2026 | 165 | 157 |
Rev., 5.00%, 5/1/2030 | 250 | 238 |
Lakota Local School District Series A, GO, NATL-RE, 5.25%, 12/1/2025 | 1,500 | 1,577 |
Northeast Ohio Medical University | ||
Series 2021A, Rev., 5.00%, 12/1/2028 | 125 | 132 |
Series 2021A, Rev., 5.00%, 12/1/2030 | 65 | 70 |
Series 2022, Rev., 5.00%, 12/1/2034 | 950 | 1,050 |
Series 2021A, Rev., 4.00%, 12/1/2035 | 150 | 145 |
Series 2022, Rev., 5.00%, 12/1/2037 | 1,100 | 1,180 |
Ohio Higher Educational Facility Commission, Capital University 2022 Project | ||
Rev., 5.00%, 9/1/2027 | 325 | 328 |
Rev., 5.00%, 9/1/2028 | 340 | 345 |
Rev., 5.00%, 9/1/2029 | 355 | 361 |
Rev., 5.00%, 9/1/2030 | 275 | 281 |
Rev., 5.75%, 9/1/2037 | 500 | 518 |
Ohio Higher Educational Facility Commission, Cleveland Institute of Music 2 | ||
Rev., 5.00%, 12/1/2027 | 275 | 279 |
Rev., 5.00%, 12/1/2032 | 100 | 105 |
Ohio Higher Educational Facility Commission, Kenyon College Rev., 4.00%, 7/1/2044 | 1,340 | 1,262 |
Ohio Housing Finance Agency, Mortgage-Backed Securities Program Series 2016D, Rev., GNMA/FNMA/FHLMC, 4.00%, 3/1/2047 | 310 | 307 |
Ohio Water Development Authority Water Pollution Control Loan Fund Series 2023A, Rev., 5.00%, 12/1/2024 | 1,000 | 1,026 |
Port of Greater Cincinnati Development Authority, FC Cincinnati Public Improvements Project Rev., 3.75%, 12/1/2031 (c) | 245 | 211 |
Total Ohio | 11,551 | |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Oklahoma — 0.7% | ||
IDK PARTNERS III Trust, Mortgage Pass-Through Certificates Series 1999A, Rev., 5.10%, 8/1/2023 ‡ | — | — |
Oklahoma Water Resources Board, State Loan Program Series 2021D, Rev., 4.00%, 10/1/2046 | 2,035 | 2,009 |
Total Oklahoma | 2,009 | |
Oregon — 1.0% | ||
Salem Hospital Facility Authority, Capital Manor Project | ||
Rev., 5.00%, 5/15/2028 | 155 | 156 |
Rev., 4.00%, 5/15/2029 | 130 | 124 |
Rev., 4.00%, 5/15/2047 | 400 | 293 |
Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. Series 2022, Rev., 5.00%, 7/1/2035 | 1,360 | 1,429 |
Yamhill County Hospital Authority, Friendsview, Tax Exempt | ||
Series 2021A, Rev., 5.00%, 11/15/2036 | 305 | 262 |
Series 2021A, Rev., 5.00%, 11/15/2046 | 500 | 380 |
Total Oregon | 2,644 | |
Other — 0.3% | ||
Multi-Family Housing, Bond Pass-Through Certificates, Grand Reserve Apartments Series 8, Rev., 5.95%, 11/1/2023 (b) | 845 | 845 |
Pennsylvania — 5.6% | ||
Allegheny County Higher Education Building Authority, Chatham University Rev., 5.00%, 9/1/2031 | 465 | 473 |
Allegheny County Hospital Development Authority, Pittsburgh Medical Center Series 2019A, Rev., 5.00%, 7/15/2033 | 600 | 656 |
Bucks County Industrial Development Authority, Grand View Hospital Project Rev., 5.00%, 7/1/2032 | 500 | 480 |
Bucks County Water and Sewer Authority | ||
Series 2022A, Rev., AGM, 5.00%, 12/1/2037 | 360 | 404 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2038 | 525 | 585 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2039 | 425 | 471 |
Cambria County General Financing Authority, Mount Aloysius Project Series 2021TT4, Rev., 4.00%, 11/1/2036 | 535 | 491 |
Chester County Industrial Development Authority, Longwood Gardens Project | ||
Rev., 5.00%, 12/1/2035 | 175 | 195 |
Rev., 5.00%, 12/1/2036 | 185 | 205 |
Rev., 5.00%, 12/1/2037 | 200 | 220 |
City of Erie, Higher Education Building Authority, Gannon University Project - AICUP Financing Program | ||
Series 2021TT1, Rev., 4.00%, 5/1/2036 | 100 | 90 |
Series 2021TT1, Rev., 4.00%, 5/1/2041 | 100 | 84 |
Delaware County Authority, Neumann University Rev., 5.00%, 10/1/2023 | 240 | 240 |
Delaware Valley Regional Finance Authority Series 2023A, Rev., 4.00%, 3/1/2035 | 1,000 | 1,040 |
Lancaster Industrial Development Authority, Landis Homes Retirement Community Project | ||
Rev., 4.00%, 7/1/2031 | 390 | 352 |
Rev., 4.00%, 7/1/2037 | 170 | 142 |
Lehigh County Industrial Development Authority, Seven Generation Charter School | ||
Series 2021A, Rev., 4.00%, 5/1/2031 | 340 | 314 |
Series 2021A, Rev., 4.00%, 5/1/2041 | 885 | 698 |
Pennsylvania Economic Development Financing Authority Series 2021, Rev., 4.00%, 7/1/2046 | 750 | 592 |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System Rev., 4.00%, 8/15/2034 | 175 | 179 |
Pennsylvania Housing Finance Agency, Single Family Mortgage | ||
Series 121, Rev., 3.50%, 10/1/2046 | 420 | 415 |
Series 122, Rev., AMT, 4.00%, 10/1/2046 | 155 | 154 |
Philadelphia Authority for Industrial Development, City Service Agreement, Affordable Housing Preservation Programs Project | ||
Rev., AGM, 5.00%, 12/1/2026 | 1,550 | 1,648 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Rev., AGM, 5.00%, 12/1/2027 | 680 | 728 |
Philadelphia Authority for Industrial Development, Electrical and Charter School Project Series 2021A, Rev., 4.00%, 6/1/2031 | 330 | 311 |
Philadelphia Authority for Industrial Development, Holy Family University Project Rev., 5.00%, 9/1/2026 (e) | 775 | 804 |
Philadelphia Authority for Industrial Development, Philadelphia Electrical and Technology Charter School Project Series 2021A, Rev., 4.00%, 6/1/2041 | 175 | 143 |
Philadelphia Authority for Industrial Development, Russell Byers Charter School Project Rev., 5.00%, 5/1/2030 | 1,015 | 1,017 |
Township of Hampton GO, 4.00%, 1/1/2047 | 800 | 769 |
West Cornwall Township Municipal Authority, Lebanon Valley Brethren Home Project | ||
Series 2021A, Rev., 4.00%, 11/15/2029 | 135 | 127 |
Series 2021A, Rev., 4.00%, 11/15/2030 | 190 | 176 |
Series 2021A, Rev., 4.00%, 11/15/2031 | 195 | 179 |
Series 2021A, Rev., 4.00%, 11/15/2036 | 365 | 312 |
Series 2021A, Rev., 4.00%, 11/15/2041 | 370 | 296 |
Total Pennsylvania | 14,990 | |
South Carolina — 0.2% | ||
South Carolina Jobs-Economic Development Authority, Kiawah Life Plan Village, Inc., Project Series 2021A, Rev., 8.75%, 7/1/2025 (c) | 200 | 217 |
South Carolina State Housing Finance and Development Authority | ||
Series 2017A, Rev., 4.00%, 1/1/2047 | 115 | 114 |
Series 2017B, Rev., FHA, GNMA/FNMA/FHLMC, 4.00%, 7/1/2047 | 315 | 313 |
Total South Carolina | 644 | |
South Dakota — 0.6% | ||
South Dakota Housing Development Authority, Homeownership Mortgage | ||
Series 2015D, Rev., 4.00%, 11/1/2045 | 440 | 437 |
Series 2019A, Rev., 4.00%, 5/1/2049 | 1,170 | 1,157 |
Total South Dakota | 1,594 | |
Tennessee — 1.5% | ||
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Green Hills Series 2020A, Rev., 4.00%, 11/1/2038 | 1,305 | 1,103 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Trevecca Nazarene University Project | ||
Series 2021B, Rev., 4.00%, 10/1/2030 | 105 | 101 |
Series 2021B, Rev., 4.00%, 10/1/2031 | 220 | 210 |
Series 2021B, Rev., 4.00%, 10/1/2041 | 850 | 719 |
Metropolitan Nashville Airport Authority (The) Series 2022-B, Rev., AMT, 5.00%, 7/1/2052 | 500 | 517 |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project Series 2019A, Rev., 5.75%, 10/1/2049 | 1,000 | 751 |
Tennessee Housing Development Agency, Residential Finance Program | ||
Series 2B, Rev., AMT, 4.00%, 7/1/2043 | 5 | 5 |
Rev., 3.50%, 1/1/2048 | 650 | 639 |
Total Tennessee | 4,045 | |
Texas — 4.4% | ||
Arlington Higher Education Finance Corp. | ||
Series 2021A, Rev., 5.00%, 8/15/2027 | 100 | 99 |
Series 2021A, Rev., 5.00%, 8/15/2028 | 40 | 40 |
Series 2021A, Rev., 4.00%, 8/15/2029 | 40 | 38 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Texas — continued | ||
Series 2021A, Rev., 4.00%, 8/15/2030 | 40 | 37 |
Series 2021A, Rev., 4.00%, 8/15/2031 | 45 | 41 |
Arlington Higher Education Finance Corp., Newman International Academy | ||
Series 2021A, Rev., 4.00%, 8/15/2031 | 200 | 180 |
Series 2021A, Rev., 5.00%, 8/15/2041 | 300 | 266 |
Baytown Municipal Development District, Baytown Convention Center Hotel, First Lien Series 2021A, Rev., 2.50%, 10/1/2031 | 275 | 232 |
Conroe Local Government Corp., Conroe Convention Center Hotel Series 2021A, Rev., 2.50%, 10/1/2031 | 225 | 187 |
Houston Higher Education Finance Corp., Houston Baptist University Rev., 3.38%, 10/1/2037 | 250 | 211 |
Irving Hospital Authority, Baylor Scott and White Medical Center | ||
Series 2017A, Rev., 5.00%, 10/15/2026 | 250 | 259 |
Series 2017A, Rev., 5.00%, 10/15/2027 | 500 | 518 |
Midtown Redevelopment Authority, Tax Increment Contract | ||
Rev., 4.00%, 1/1/2031 | 365 | 380 |
Rev., 4.00%, 1/1/2032 | 500 | 517 |
New Hope Cultural Education Facilities Finance Corp, Outlook at Windhaven Forefront Living Series 2022B-3, Rev., 4.25%, 10/1/2026 | 1,750 | 1,715 |
New Hope Cultural Education Facilities Finance Corp., Morningside Ministries Project Rev., 4.00%, 1/1/2032 | 420 | 356 |
New Hope Cultural Education Facilities Finance Corp., Westminster Project Rev., 4.00%, 11/1/2055 | 550 | 409 |
Newark Higher Education Finance Corp., The Hughen Center, Inc. | ||
Series 2021A, Rev., PSF-GTD, 5.00%, 8/15/2030 | 180 | 203 |
Series 2021A, Rev., PSF-GTD, 5.00%, 8/15/2031 | 200 | 228 |
Series 2022-A, Rev., PSF-GTD, 5.00%, 8/15/2037 | 250 | 277 |
Series 2022-A, Rev., PSF-GTD, 5.00%, 8/15/2042 | 345 | 373 |
San Antonio Education Facilities Corp., University of The Incarnate Word Series 2021A, Rev., 4.00%, 4/1/2051 | 500 | 403 |
State of Texas, Water Financial Assistance Series 2015D, GO, 5.00%, 5/15/2033 | 450 | 465 |
Tarrant County Cultural Education Facilities Finance Corp., CHRISTUS Health Series A, Rev., 4.00%, 7/1/2053 | 750 | 684 |
Texas State Affordable Housing Corp., Single Family Mortgage, Heroes Home Loan Program Series 2019A, Rev., GNMA COLL, 4.25%, 3/1/2049 | 390 | 388 |
Texas Water Development Board, Water Implementation, Master Trust Rev., 4.00%, 10/15/2045 | 3,000 | 2,953 |
Uptown Development Authority, Tax Increment Contract Rev., 4.00%, 9/1/2033 | 400 | 387 |
Total Texas | 11,846 | |
Utah — 2.3% | ||
Mida Mountain Village Public Infrastructure District, Mountain Village Assessment Area #2 4.00%, 8/1/2030 (c) | 1,000 | 928 |
Military Installation Development Authority, Tax Allocation and Hotel Tax Series 2021A-1, Rev., 4.00%, 6/1/2036 | 250 | 211 |
Utah Associated Municipal Power System, Horse Butte Wind Project Series 2017B, Rev., 5.00%, 9/1/2033 | 1,700 | 1,824 |
Utah Charter School Finance Authority, The Freedom Academy Foundation, St. George Campus Project Series 2021A, Rev., 3.25%, 6/15/2031 (c) | 535 | 474 |
Utah Charter School Finance Authority, Wallace Stegner Academy | ||
Series 2022-A, Rev., 5.25%, 6/15/2032 (c) | 250 | 244 |
Series 2022-A, Rev., 5.63%, 6/15/2042 (c) | 400 | 388 |
Utah Housing Corp., Single Family Mortgage Series D-2, Class III, Rev., FHA, 4.00%, 1/1/2045 | 520 | 517 |
Utah Infrastructure Agency | ||
Rev., 5.00%, 10/15/2027 | 130 | 131 |
Rev., 5.00%, 10/15/2032 | 310 | 318 |
Utah Transit Authority, Sales Tax Series C, Rev., AGM, 5.25%, 6/15/2029 | 970 | 1,088 |
Total Utah | 6,123 | |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Vermont — 1.4% | ||
Vermont Housing Finance Agency, Multiple Purpose Series B, Rev., AMT, 3.75%, 11/1/2045 | 200 | 198 |
Vermont Student Assistance Corp., Education Loan | ||
Series 2016A, Rev., AMT, 5.00%, 6/15/2024 | 1,400 | 1,414 |
Series 2016A, Rev., AMT, 5.00%, 6/15/2025 | 2,150 | 2,193 |
Total Vermont | 3,805 | |
Virginia — 0.4% | ||
Henrico County Economic Development Authority, Westminster Canterbury Richmond | ||
Rev., 3.00%, 10/1/2029 | 500 | 459 |
Rev., 3.00%, 10/1/2030 | 500 | 454 |
Virginia College Building Authority, Education Facilities, Regent University Project Rev., 5.00%, 6/1/2031 | 160 | 165 |
Total Virginia | 1,078 | |
Washington — 3.8% | ||
FYI Properties, State of Washington District Project Rev., 5.00%, 6/1/2039 | 5,000 | 5,304 |
King County Housing Authority, Highland Village Project | ||
Rev., 5.00%, 1/1/2027 | 125 | 132 |
Rev., 5.00%, 1/1/2028 | 125 | 134 |
Rev., 5.00%, 1/1/2029 | 125 | 136 |
Rev., 4.00%, 1/1/2031 | 330 | 335 |
Rev., 4.00%, 1/1/2034 | 500 | 503 |
North Thurston Public Schools GO, 4.00%, 12/1/2036 | 1,000 | 1,032 |
Washington Health Care Facilities Authority, Multi-care Health System Series B, Rev., 5.00%, 8/15/2035 | 1,850 | 1,904 |
Washington Higher Education Facilities Authority, Seattle Pacific University Project Series 2020A, Rev., 5.00%, 10/1/2035 | 710 | 724 |
Washington State Housing Finance Commission, Single Family Program Series 2A-R, Rev., AMT, 3.50%, 12/1/2046 | 65 | 64 |
Total Washington | 10,268 | |
West Virginia — 0.2% | ||
West Virginia Hospital Finance Authority, West Virginia University Health System Obligation Series 2023A, Rev., 5.00%, 6/1/2039 | 500 | 536 |
Wisconsin — 3.4% | ||
Public Finance Authority, Carson Valley Medical Center Series 2021A, Rev., 4.00%, 12/1/2041 | 250 | 204 |
Public Finance Authority, College Achieve Central Charter School Project | ||
Series 2021A, Rev., 5.00%, 6/15/2027 (c) | 260 | 260 |
Series 2021A, Rev., 5.00%, 6/15/2029 (c) | 285 | 282 |
Series 2021A, Rev., 5.00%, 6/15/2031 (c) | 315 | 308 |
Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2041 | 500 | 427 |
Public Finance Authority, Ripple Ranch, LLC Obligate Series 2021A, Rev., 5.25%, 12/1/2051 (c) | 200 | 139 |
Public Finance Authority, Roseman University of Health Sciences Series 2022, Rev., 4.00%, 4/1/2032 (c) | 225 | 212 |
Public Finance Authority, Senior Lien, Grand Hyatt Series 2022A, Rev., 3.75%, 2/1/2032 | 200 | 184 |
Public Finance Authority, The Carmelite System, Inc., Obligated Group Rev., 3.25%, 1/1/2026 | 1,545 | 1,493 |
Public Finance Authority, The Franklin School of Innovation Rev., 5.00%, 1/1/2042 (c) | 145 | 132 |
Public Finance Authority, Viticus Group Project Series 2022A, Rev., 4.00%, 12/1/2031 (c) | 240 | 216 |
Wisconsin Health and Educational Facilities Authority, Agnesian Healthcare, Inc. | ||
Rev., 5.00%, 7/1/2024 | 250 | 254 |
Rev., 5.00%, 7/1/2025 | 250 | 257 |
Wisconsin Health and Educational Facilities Authority, Franciscan Sisters of Christian Charity Sponsored Ministries, Inc. | ||
Series 2017A, Rev., 5.00%, 9/1/2024 (d) | 580 | 591 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Series 2017A, Rev., 5.00%, 9/1/2025 (d) | 235 | 243 |
Series 2017A, Rev., 5.00%, 9/1/2026 (d) | 385 | 406 |
Series 2017A, Rev., 5.00%, 9/1/2027 (d) | 785 | 844 |
Wisconsin Health and Educational Facilities Authority, Marshfield Clinic Health System, Inc. | ||
Series C, Rev., 5.00%, 2/15/2027 | 400 | 415 |
Series C, Rev., 5.00%, 2/15/2029 | 375 | 388 |
Wisconsin Health and Educational Facilities Authority, Milwaukee Regional Medical Center Thermal Service Rev., 5.00%, 4/1/2035 | 1,165 | 1,260 |
Wisconsin Health and Educational Facilities Authority, Three Pillars Senior Living Communities Series 2021A, Rev., 4.00%, 8/15/2041 | 825 | 671 |
Total Wisconsin | 9,186 | |
Wyoming — 0.1% | ||
Wyoming Community Development Authority Series 5, Rev., 4.00%, 12/1/2046 | 360 | 357 |
Total Municipal Bonds (Cost $278,382) | 263,299 | |
SHARES (000) | ||
Short-Term Investments — 0.4% | ||
Investment Companies — 0.4% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (f) (g) (Cost $1,088) | 1,088 | 1,088 |
Total Investments — 98.5% (Cost $279,470) | 264,387 | |
Other Assets Less Liabilities — 1.5% | 3,999 | |
NET ASSETS — 100.0% | 268,386 | |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
CHESLA | Connecticut Higher Education Supplemental Loan Authority |
COLL | Collateral |
COP | Certificate of Participation |
FHA | Federal Housing Administration |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General Obligation |
NATL | Insured by National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
RE | Reinsured |
Rev. | Revenue |
‡ | Value determined using significant unobservable inputs. |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2023. |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(d) | Security is prerefunded or escrowed to maturity. |
(e) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(f) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(g) | The rate shown is the current yield as of May 31, 2023. |
Centrally Cleared Credit default swap contracts outstanding - buy protection(*) as of May 31, 2023 (amounts in thousands):
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.39-V2 | 5.00 | Quarterly | 12/20/2027 | 4.58 | USD10,550 | 384 | (652 ) | (268 ) |
(*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. | ||||||||
(a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. | ||||||||
(b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. | ||||||||
(c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). | ||||||||
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of Investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Fund's investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”), or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values ("NAV") per share as of the report date.
Swaps are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("SOI"):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant observable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | ||||
Alabama | $— | $2,805 | $— | $2,805 |
Alaska | — | 237 | — | 237 |
Arizona | — | 12,745 | — | 12,745 |
California | — | 15,595 | — | 15,595 |
Colorado | — | 8,407 | — | 8,407 |
Connecticut | — | 3,500 | — | 3,500 |
Delaware | — | 2,751 | — | 2,751 |
District of Columbia | — | 5,074 | — | 5,074 |
Florida | — | 31,486 | — | 31,486 |
Georgia | — | 4,262 | — | 4,262 |
Illinois | — | 18,064 | — | 18,064 |
Indiana | — | 6,573 | — | 6,573 |
Iowa | — | 1,781 | — | 1,781 |
Kansas | — | 704 | — | 704 |
Louisiana | — | 2,303 | — | 2,303 |
Maine | — | 808 | — | 808 |
Maryland | — | 2,777 | — | 2,777 |
Massachusetts | — | 11,310 | — | 11,310 |
Michigan | — | 3,543 | — | 3,543 |
Minnesota | — | 7,132 | — | 7,132 |
Mississippi | — | 831 | — | 831 |
Missouri | — | 1,496 | — | 1,496 |
Nebraska | — | 1,778 | — | 1,778 |
Nevada | — | 1,224 | — | 1,224 |
New Hampshire | — | 6,270 | — | 6,270 |
New Jersey | — | 8,074 | — | 8,074 |
New Mexico | — | 761 | — | 761 |
New York | — | 16,596 | — | 16,596 |
North Carolina | — | 1,273 | — | 1,273 |
North Dakota | — | 1,618 | — | 1,618 |
Ohio | — | 11,551 | — | 11,551 |
Oklahoma | — | 2,009 | — (a) | 2,009 |
Oregon | — | 2,644 | — | 2,644 |
Other | — | 845 | — | 845 |
Pennsylvania | — | 14,990 | — | 14,990 |
South Carolina | — | 644 | — | 644 |
South Dakota | — | 1,594 | — | 1,594 |
Tennessee | — | 4,045 | — | 4,045 |
Texas | — | 11,846 | — | 11,846 |
Utah | — | 6,123 | — | 6,123 |
Vermont | — | 3,805 | — | 3,805 |
Virginia | — | 1,078 | — | 1,078 |
Washington | — | 10,268 | — | 10,268 |
West Virginia | — | 536 | — | 536 |
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant observable inputs | Total | |
Wisconsin | $— | $9,186 | $— | $9,186 |
Wyoming | — | 357 | — | 357 |
Total Municipal Bonds | — | 263,299 | — (a) | 263,299 |
Short-Term Investments | ||||
Investment Companies | 1,088 | — | — | 1,088 |
Total Investments in Securities | $1,088 | $263,299 | $— (a) | $264,387 |
Depreciation in Other Financial Instruments | ||||
Swaps | $— | $(652 ) | $— | $(652 ) |
(a) | Amount rounds to less than one thousand. |
B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended May 31, 2023 | |||||||||
Security Description | Value at February 28, 2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at May 31, 2023 | Shares at May 31, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 3.37% (a) (b) | $10,265 | $25,347 | $34,527 | $3 | $— (c) | $1,088 | 1,088 | $89 | $— |
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of May 31, 2023. |
(c) | Amount rounds to less than one thousand. |
C. Derivatives — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.
The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.
JPMorgan Sustainable Municipal Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF May 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
(1). Swaps — The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund's outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund's custodian bank.
The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.
The Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.