JPMorgan Government Bond Fund
Schedule of Portfolio Investments as of November 30, 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 Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — 35.2% | ||
U.S. Treasury Bonds | ||
5.25%, 11/15/2028 | 20,000 | 20,791 |
1.88%, 2/15/2041 | 14,500 | 9,652 |
2.00%, 11/15/2041 | 27,000 | 18,089 |
3.88%, 2/15/2043 | 15,000 | 13,380 |
3.88%, 5/15/2043 | 10,000 | 8,913 |
3.75%, 11/15/2043 | 90,300 | 78,822 |
3.00%, 5/15/2045 | 31,000 | 23,753 |
2.75%, 11/15/2047 | 35,000 | 25,185 |
2.00%, 2/15/2050 | 35,000 | 21,156 |
1.25%, 5/15/2050 | 10,000 | 4,911 |
U.S. Treasury Inflation Indexed Bonds 1.38%, 2/15/2044 | 36,318 | 30,799 |
U.S. Treasury Notes | ||
2.50%, 4/30/2024 | 35,000 | 34,586 |
0.38%, 8/15/2024 | 10,000 | 9,662 |
2.25%, 11/15/2024 | 35,000 | 34,029 |
1.13%, 2/28/2025 | 25,000 | 23,820 |
0.50%, 3/31/2025 | 50,000 | 47,109 |
0.38%, 4/30/2025 | 40,000 | 37,505 |
3.88%, 4/30/2025 | 10,000 | 9,851 |
2.00%, 8/15/2025 | 20,000 | 19,082 |
1.63%, 2/15/2026 | 20,000 | 18,752 |
3.63%, 5/15/2026 | 10,000 | 9,786 |
2.25%, 2/15/2027 | 35,000 | 32,739 |
0.63%, 3/31/2027 | 30,000 | 26,499 |
2.25%, 8/15/2027 | 30,000 | 27,813 |
1.25%, 4/30/2028 | 11,120 | 9,744 |
3.50%, 4/30/2028 | 5,000 | 4,832 |
4.00%, 6/30/2028 | 25,000 | 24,661 |
3.50%, 4/30/2030 | 5,000 | 4,757 |
3.50%, 2/15/2033 | 20,000 | 18,691 |
Total U.S. Treasury Obligations (Cost $736,258) | 649,369 | |
Mortgage-Backed Securities — 26.5% | ||
FHLMC Gold Pools, 20 Year Pool # C90830, 4.50%, 5/1/2024 | 3 | 3 |
FHLMC Gold Pools, 30 Year | ||
Pool # C80091, 6.50%, 1/1/2024 | — | — |
Pool # G00229, 8.50%, 5/1/2024 | — | — |
Pool # C00354, 8.50%, 7/1/2024 | 1 | 1 |
Pool # C00376, 8.00%, 11/1/2024 | 1 | 1 |
Pool # C00414, 7.50%, 8/1/2025 | 1 | 1 |
Pool # D63303, 7.00%, 9/1/2025 | 1 | 1 |
Pool # G00981, 8.50%, 7/1/2028 | 3 | 4 |
Pool # C00742, 6.50%, 4/1/2029 | 32 | 33 |
Pool # C00785, 6.50%, 6/1/2029 | 11 | 12 |
Pool # C47318, 7.00%, 9/1/2029 | 169 | 174 |
Pool # C01292, 6.00%, 2/1/2032 | 15 | 16 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # A16155, 5.50%, 11/1/2033 | 47 | 47 |
Pool # C03589, 4.50%, 10/1/2040 | 298 | 288 |
Pool # Q41177, 3.50%, 6/1/2046 | 11,556 | 10,425 |
Pool # G61334, 4.00%, 3/1/2047 | 2,410 | 2,257 |
Pool # Q54902, 4.00%, 3/1/2048 | 2,677 | 2,486 |
Pool # Q54950, 4.00%, 3/1/2048 | 3,569 | 3,339 |
Pool # Q59727, 4.00%, 11/1/2048 | 4,018 | 3,731 |
FHLMC UMBS, 30 Year | ||
Pool # ZT1593, 3.50%, 1/1/2049 | 954 | 854 |
Pool # RA2484, 3.00%, 6/1/2050 | 4,365 | 3,735 |
Pool # RA2904, 3.00%, 6/1/2050 | 7,120 | 6,083 |
Pool # RA2970, 2.50%, 7/1/2050 | 8,127 | 6,616 |
Pool # QB2020, 2.50%, 8/1/2050 | 5,836 | 4,780 |
Pool # RA5576, 2.50%, 7/1/2051 | 5,275 | 4,319 |
Pool # QC6209, 2.50%, 8/1/2051 | 5,130 | 4,187 |
Pool # QC7451, 2.00%, 9/1/2051 | 12,191 | 9,500 |
Pool # RA7683, 5.00%, 7/1/2052 | 7,142 | 6,885 |
Pool # RA7937, 5.00%, 9/1/2052 | 14,159 | 13,650 |
FNMA | ||
Pool # 620061, ARM, 5.46%, 11/1/2027 (a) | 5 | 5 |
Pool # 89406, ARM, 3.55%, 6/1/2029 (a) | 3 | 3 |
FNMA UMBS, 15 Year | ||
Pool # MA0512, 4.00%, 9/1/2025 | 91 | 91 |
Pool # FM4449, 3.00%, 12/1/2034 | 6,958 | 6,627 |
Pool # CA7114, 2.50%, 9/1/2035 | 14,393 | 13,102 |
FNMA UMBS, 30 Year | ||
Pool # 190257, 7.00%, 2/1/2024 | — | — |
Pool # 250575, 6.50%, 6/1/2026 | 4 | 4 |
Pool # 483802, 5.50%, 2/1/2029 | 62 | 62 |
Pool # 524949, 7.50%, 3/1/2030 | 6 | 6 |
Pool # 545639, 6.50%, 4/1/2032 | 69 | 71 |
Pool # 702435, 5.50%, 5/1/2033 | 431 | 438 |
Pool # 709441, 5.50%, 7/1/2033 | 126 | 128 |
Pool # 730711, 5.50%, 8/1/2033 | 198 | 201 |
Pool # 743127, 5.50%, 10/1/2033 | 188 | 191 |
Pool # 747628, 5.00%, 11/1/2033 | 368 | 369 |
Pool # 753662, 5.50%, 12/1/2033 | 243 | 247 |
Pool # 755615, 5.50%, 1/1/2034 | 271 | 275 |
Pool # 811755, 7.00%, 3/1/2035 | 661 | 690 |
Pool # 845834, 5.50%, 10/1/2035 | 141 | 142 |
Pool # 888201, 5.50%, 2/1/2036 | 70 | 71 |
Pool # 831409, 5.50%, 4/1/2036 | 345 | 350 |
Pool # 867420, 5.50%, 5/1/2036 | 188 | 191 |
Pool # 745802, 6.00%, 7/1/2036 | 357 | 368 |
Pool # 969708, 4.50%, 3/1/2038 | 35 | 34 |
Pool # AE1216, 3.50%, 1/1/2041 | 769 | 703 |
Pool # AE1260, 3.50%, 8/1/2041 | 484 | 435 |
Pool # AB5378, 3.50%, 5/1/2042 | 1,936 | 1,768 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # AO6710, 4.00%, 6/1/2042 | 2,050 | 1,922 |
Pool # AR5147, 3.00%, 3/1/2043 | 1,861 | 1,633 |
Pool # AT8192, 4.00%, 6/1/2043 | 1,286 | 1,204 |
Pool # AS1112, 4.00%, 11/1/2043 | 3,383 | 3,169 |
Pool # BM1109, 4.00%, 10/1/2044 | 2,371 | 2,224 |
Pool # AS4073, 4.00%, 12/1/2044 | 1,499 | 1,399 |
Pool # AL8660, 4.00%, 6/1/2045 | 3,560 | 3,332 |
Pool # AS5648, 3.50%, 7/1/2045 | 1,922 | 1,732 |
Pool # AS6208, 3.50%, 10/1/2045 | 865 | 791 |
Pool # AS6344, 3.50%, 12/1/2045 | 2,099 | 1,894 |
Pool # BM5560, 4.00%, 1/1/2046 | 6,748 | 6,319 |
Pool # AL8030, 4.00%, 2/1/2046 | 2,281 | 2,124 |
Pool # AX5520, 3.00%, 5/1/2046 | 914 | 792 |
Pool # AX5546, 3.00%, 9/1/2046 | 1,223 | 1,068 |
Pool # AX5547, 3.50%, 9/1/2046 | 1,568 | 1,410 |
Pool # BM3744, 4.00%, 3/1/2047 | 6,875 | 6,419 |
Pool # BM1049, 4.00%, 4/1/2047 | 6,364 | 5,914 |
Pool # CA0411, 4.00%, 9/1/2047 | 4,618 | 4,313 |
Pool # CA0861, 3.50%, 11/1/2047 | 3,566 | 3,192 |
Pool # BJ1666, 4.00%, 12/1/2047 | 3,586 | 3,342 |
Pool # BM3477, 4.00%, 1/1/2048 | 3,291 | 3,058 |
Pool # CA1006, 4.00%, 1/1/2048 | 4,198 | 3,902 |
Pool # CA1361, 3.50%, 2/1/2048 | 3,059 | 2,739 |
Pool # BD9074, 3.50%, 3/1/2048 | 1,144 | 1,025 |
Pool # BJ4640, 4.00%, 3/1/2048 | 1,486 | 1,384 |
Pool # BD9078, 4.00%, 4/1/2048 | 2,061 | 1,911 |
Pool # BD9077, 3.50%, 5/1/2048 | 243 | 218 |
Pool # BD9083, 4.00%, 7/1/2048 | 2,290 | 2,126 |
Pool # CA2489, 4.50%, 10/1/2048 | 1,031 | 970 |
Pool # BN7416, 3.50%, 9/1/2049 | 2,244 | 2,006 |
Pool # BO1418, 3.50%, 9/1/2049 | 2,509 | 2,239 |
Pool # BO1427, 3.50%, 9/1/2049 | 2,264 | 2,020 |
Pool # CA4431, 3.50%, 10/1/2049 | 3,544 | 3,164 |
Pool # MA3803, 3.50%, 10/1/2049 | 1,717 | 1,533 |
Pool # FM2014, 3.00%, 11/1/2049 | 7,377 | 6,337 |
Pool # BN0803, 3.50%, 12/1/2049 | 935 | 836 |
Pool # MA3872, 3.50%, 12/1/2049 | 1,693 | 1,511 |
Pool # BN0807, 3.50%, 1/1/2050 | 731 | 653 |
Pool # FM2437, 3.00%, 2/1/2050 | 9,455 | 8,121 |
Pool # CA6144, 2.50%, 6/1/2050 | 12,560 | 10,239 |
Pool # BP7345, 3.00%, 6/1/2050 | 11,696 | 9,972 |
Pool # CA6322, 2.50%, 7/1/2050 | 9,966 | 8,124 |
Pool # CA6361, 2.50%, 7/1/2050 | 5,625 | 4,644 |
Pool # BQ1645, 2.50%, 8/1/2050 | 6,597 | 5,408 |
Pool # BQ1911, 2.00%, 10/1/2050 | 4,209 | 3,324 |
Pool # BQ2999, 2.50%, 10/1/2050 | 6,755 | 5,513 |
Pool # BQ6118, 2.50%, 10/1/2050 | 7,225 | 5,880 |
Pool # FM8787, 2.50%, 10/1/2051 | 16,538 | 13,504 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # CB5131, 5.00%, 11/1/2052 | 13,613 | 13,117 |
Pool # FS3421, 5.00%, 12/1/2052 | 6,695 | 6,455 |
Pool # FS5027, 4.00%, 2/1/2053 | 4,833 | 4,393 |
Pool # BU4029, 5.00%, 6/1/2053 | 13,882 | 13,367 |
FNMA, Other | ||
Pool # AN0571, 3.10%, 1/1/2026 | 6,500 | 6,238 |
Pool # AM7199, 3.30%, 11/1/2026 | 2,897 | 2,764 |
Pool # FN0040, 3.02%, 6/1/2027 (a) | 2,058 | 1,936 |
Pool # AN6800, 2.97%, 9/1/2027 | 3,275 | 3,052 |
Pool # AN6825, 2.80%, 10/1/2027 | 3,855 | 3,565 |
Pool # AN9486, 3.57%, 6/1/2028 | 12,375 | 11,632 |
Pool # 405220, 6.00%, 9/1/2028 | 2 | 2 |
Pool # AN3908, 3.12%, 1/1/2029 | 7,711 | 7,121 |
Pool # BL1950, 3.47%, 3/1/2029 | 12,718 | 11,858 |
Pool # AN8493, 3.30%, 2/1/2030 | 4,605 | 4,161 |
Pool # BM5425, 3.15%, 3/1/2030 (a) | 2,017 | 1,826 |
Pool # BL9023, 1.22%, 11/1/2030 | 20,475 | 16,289 |
Pool # BL4576, 2.70%, 10/1/2031 | 15,000 | 12,748 |
Pool # AN8412, 3.39%, 2/1/2033 | 4,307 | 3,854 |
Pool # AN8464, 3.33%, 3/1/2033 | 6,195 | 5,521 |
Pool # BS3202, 1.94%, 9/1/2033 | 4,785 | 3,769 |
Pool # BL2944, 3.19%, 7/1/2034 | 1,700 | 1,439 |
Pool # BL3288, 2.52%, 9/1/2034 | 12,000 | 9,684 |
Pool # BL4331, 2.41%, 10/1/2034 | 15,423 | 12,382 |
Pool # BS2718, 1.95%, 8/1/2036 | 10,027 | 7,512 |
Pool # BL4215, 2.56%, 9/1/2036 | 6,876 | 5,358 |
Pool # BL7125, 2.04%, 6/1/2037 | 8,150 | 5,874 |
Pool # BF0617, 2.50%, 3/1/2062 | 5,400 | 4,230 |
GNMA I, 30 Year | ||
Pool # 365740, 6.50%, 12/15/2023 | — | — |
Pool # 354747, 6.50%, 2/15/2024 | — | — |
Pool # 362341, 6.50%, 2/15/2024 | — | — |
Pool # 370338, 6.50%, 2/15/2024 | — | — |
Pool # 391552, 7.00%, 3/15/2024 | 3 | 3 |
Pool # 401860, 7.50%, 6/15/2025 | — | — |
Pool # 377557, 8.00%, 7/15/2025 | 1 | 1 |
Pool # 472679, 7.00%, 6/15/2028 | — | — |
Pool # 784010, 4.00%, 3/15/2045 | 369 | 346 |
Pool # 626938, 4.00%, 4/15/2045 | 202 | 188 |
Pool # 784041, 4.00%, 8/15/2045 | 2,519 | 2,358 |
Pool # 784208, 4.00%, 7/15/2046 | 3,522 | 3,287 |
Pool # 784897, 2.50%, 10/15/2049 | 8,377 | 7,098 |
Pool # BU5359, 3.00%, 4/15/2050 | 10,043 | 8,707 |
GNMA II, 30 Year | ||
Pool # 2324, 8.00%, 11/20/2026 | 2 | 2 |
Pool # 2344, 8.00%, 12/20/2026 | 5 | 5 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 2512, 8.00%, 11/20/2027 | 15 | 16 |
Pool # CH2211, 3.50%, 9/20/2051 | 11,351 | 10,006 |
Total Mortgage-Backed Securities (Cost $568,739) | 488,718 | |
Collateralized Mortgage Obligations — 19.8% | ||
FHLMC, REMIC | ||
Series 1633, Class Z, 6.50%, 12/15/2023 | — | — |
Series 1694, Class PK, 6.50%, 3/15/2024 | 1 | 1 |
Series 3798, Class AY, 3.50%, 1/15/2026 | 415 | 406 |
Series 3809, Class BC, 3.50%, 2/15/2026 | 354 | 346 |
Series 3188, Class GE, 6.00%, 7/15/2026 | 187 | 186 |
Series 3926, Class MW, 4.50%, 9/15/2026 | 1,115 | 1,097 |
Series 1999, Class PU, 7.00%, 10/15/2027 | 11 | 11 |
Series 2031, Class PG, 7.00%, 2/15/2028 | 31 | 31 |
Series 2035, Class PC, 6.95%, 3/15/2028 | 92 | 93 |
Series 2064, Class PD, 6.50%, 6/15/2028 | 63 | 64 |
Series 2095, Class PE, 6.00%, 11/15/2028 | 49 | 48 |
Series 4314, Class DY, 3.50%, 3/15/2029 | 1,273 | 1,213 |
Series 4336, Class YB, 3.00%, 5/15/2029 | 1,816 | 1,752 |
Series 2152, Class BD, 6.50%, 5/15/2029 | 19 | 19 |
Series 2162, Class TH, 6.00%, 6/15/2029 | 114 | 114 |
Series 3737, Class DG, 5.00%, 10/15/2030 | 252 | 249 |
Series 3981, Class PA, 3.00%, 4/15/2031 | 1,313 | 1,284 |
Series 2367, Class ME, 6.50%, 10/15/2031 | 124 | 126 |
Series 2647, Class A, 3.25%, 4/15/2032 | 40 | 38 |
Series 2480, Class EJ, 6.00%, 8/15/2032 | 153 | 153 |
Series 4156, Class SB, IF, 4.91%, 1/15/2033 (a) | 604 | 485 |
Series 4170, Class TS, IF, 5.17%, 2/15/2033 (a) | 3,868 | 2,779 |
Series 4186, Class JE, 2.00%, 3/15/2033 | 5,367 | 4,923 |
Series 4188, Class JG, 2.00%, 4/15/2033 | 3,401 | 3,117 |
Series 4206, Class DA, 2.00%, 5/15/2033 | 2,541 | 2,333 |
Series 2611, Class QZ, 5.00%, 5/15/2033 | 1,060 | 1,033 |
Series 2882, Class QD, 4.50%, 7/15/2034 | 23 | 23 |
Series 4429, Class HB, 3.00%, 1/15/2035 | 6,293 | 5,569 |
Series 2915, Class MU, 5.00%, 1/15/2035 | 858 | 852 |
Series 5000, Class CB, 1.25%, 1/25/2035 | 4,362 | 3,749 |
Series 4448, Class DY, 3.00%, 3/15/2035 | 5,542 | 4,994 |
Series 4458, Class BW, 3.00%, 4/15/2035 | 8,487 | 7,834 |
Series 3085, Class VS, IF, 6.97%, 12/15/2035 (a) | 143 | 152 |
Series 3181, Class OP, PO, 7/15/2036 | 545 | 448 |
Series 4867, Class WF, 5.09%, 4/15/2037 (a) | 3,841 | 3,760 |
Series 3413, Class B, 5.50%, 4/15/2037 | 222 | 218 |
Series 3325, Class JL, 5.50%, 6/15/2037 | 1,298 | 1,298 |
Series 3341, Class PE, 6.00%, 7/15/2037 | 913 | 931 |
Series 4365, Class HZ, 3.00%, 1/15/2040 | 3,262 | 2,943 |
Series 3699, Class QH, 5.50%, 7/15/2040 | 689 | 684 |
Series 3772, Class PE, 4.50%, 12/15/2040 | 3,277 | 3,172 |
Series 4047, Class PB, 3.50%, 1/15/2041 | 1,833 | 1,780 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 3927, Class PC, 4.50%, 9/15/2041 | 3,970 | 3,811 |
Series 4002, Class CY, 3.50%, 2/15/2042 | 4,819 | 4,005 |
Series 4039, Class SA, IF, IO, 1.06%, 5/15/2042 (a) | 2,598 | 241 |
Series 4061, Class LB, 3.50%, 6/15/2042 | 3,570 | 2,852 |
Series 4062, Class GY, 4.00%, 6/15/2042 | 6,109 | 5,667 |
Series 4091, Class BQ, 2.00%, 8/15/2042 | 5,000 | 4,086 |
Series 4091, Class PB, 2.00%, 8/15/2042 | 3,673 | 2,799 |
Series 4122, Class PY, 3.00%, 10/15/2042 | 3,000 | 2,516 |
Series 4394, Class PL, 3.50%, 10/15/2044 | 5,000 | 4,301 |
Series 4594, Class GN, 2.50%, 2/15/2045 | 1,770 | 1,571 |
Series 4606, Class KP, 2.50%, 7/15/2046 | 10,542 | 8,902 |
Series 4748, Class HE, 3.00%, 1/15/2048 | 6,567 | 5,478 |
Series 4974, Class PH, 1.50%, 6/25/2048 | 1,270 | 982 |
Series 4933, Class PA, 2.50%, 10/25/2049 | 6,002 | 4,893 |
Series 4925, Class PA, 3.00%, 10/25/2049 | 9,071 | 7,909 |
Series 5072, Class QC, 1.00%, 10/25/2050 | 7,555 | 5,571 |
Series 5190, Class PH, 2.50%, 2/25/2052 | 6,445 | 5,649 |
FHLMC, STRIPS | ||
Series 264, Class 30, 3.00%, 7/15/2042 | 3,131 | 2,794 |
Series 267, Class 30, 3.00%, 8/15/2042 | 1,832 | 1,630 |
Series 406, PO, 10/25/2053 | 9,807 | 7,363 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-54, Class 2A, 6.50%, 2/25/2043 | 954 | 959 |
Series T-56, Class A, PO, 5/25/2043 | 605 | 459 |
Series T-51, Class 1A, 6.50%, 9/25/2043 (a) | 842 | 829 |
FNMA, Grantor Trust, Whole Loan Series 2004-T1, Class 1A2, 6.50%, 1/25/2044 | 128 | 129 |
FNMA, REMIC | ||
Series 1994-51, Class PV, 6.00%, 3/25/2024 | 8 | 8 |
Series 1994-37, Class L, 6.50%, 3/25/2024 | 2 | 2 |
Series 2010-117, Class DY, 4.50%, 10/25/2025 | 1,117 | 1,102 |
Series 2010-155, Class B, 3.50%, 1/25/2026 | 668 | 652 |
Series 1998-58, Class PC, 6.50%, 10/25/2028 | 134 | 134 |
Series 2000-8, Class Z, 7.50%, 2/20/2030 | 58 | 61 |
Series 2002-92, Class FB, 6.09%, 4/25/2030 (a) | 148 | 148 |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 91 | 10 |
Series 2003-67, Class SA, IF, 10.12%, 10/25/2031 (a) | 20 | 21 |
Series 2011-145, Class PB, 3.50%, 1/25/2032 | 7,686 | 7,304 |
Series 2012-100, Class AY, 3.00%, 9/25/2032 | 5,750 | 5,330 |
Series 2013-50, Class YO, PO, 1/25/2033 | 1,893 | 1,487 |
Series 2003-21, Class PZ, 4.50%, 3/25/2033 | 708 | 674 |
Series 2013-106, Class PY, 3.00%, 10/25/2033 | 3,872 | 3,601 |
Series 2013-130, Class GY, 3.50%, 1/25/2034 | 3,699 | 3,373 |
Series 2014-2, Class QB, 3.00%, 2/25/2034 | 2,745 | 2,514 |
Series 2004-46, Class QD, IF, 2.23%, 3/25/2034 (a) | 93 | 87 |
Series 2004-54, Class FL, 5.84%, 7/25/2034 (a) | 285 | 283 |
Series 2015-11, Class AQ, 3.00%, 3/25/2035 | 5,151 | 4,702 |
Series 2005-22, Class EH, 5.00%, 4/25/2035 | 1,419 | 1,393 |
Series 2015-28, Class GB, 3.50%, 5/25/2035 | 4,000 | 3,652 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2015-41, Class AY, 3.00%, 6/25/2035 | 4,653 | 4,096 |
Series 2006-3, Class SB, IF, IO, 1.26%, 7/25/2035 (a) | 327 | 4 |
Series 2015-51, Class LY, 3.00%, 7/25/2035 | 3,317 | 3,059 |
Series 2005-58, Class EP, 5.50%, 7/25/2035 | 115 | 115 |
Series 2015-59, Class EB, 3.00%, 8/25/2035 | 5,195 | 4,782 |
Series 2005-83, Class LA, 5.50%, 10/25/2035 | 197 | 197 |
Series 2015-65, Class LD, 3.50%, 1/25/2036 | 7,057 | 6,451 |
Series 2005-116, Class PC, 6.00%, 1/25/2036 | 776 | 775 |
Series 2006-51, Class FP, 5.79%, 3/25/2036 (a) | 968 | 960 |
Series 2016-28, Class DW, 3.50%, 5/25/2036 | 4,491 | 4,039 |
Series 2006-81, Class FA, 5.79%, 9/25/2036 (a) | 17 | 17 |
Series 2006-110, PO, 11/25/2036 | 188 | 156 |
Series 2007-76, Class PE, 6.00%, 8/25/2037 | 542 | 553 |
Series 2010-47, Class MB, 5.00%, 9/25/2039 | 1,324 | 1,303 |
Series 2010-68, Class EP, 4.50%, 12/25/2039 | 18 | 18 |
Series 2010-11, Class CB, 4.50%, 2/25/2040 | 89 | 85 |
Series 2010-4, Class SL, IF, 10.08%, 2/25/2040 (a) | 46 | 34 |
Series 2012-115, Class ME, 1.75%, 3/25/2042 | 1,703 | 1,528 |
Series 2012-60, Class EP, 3.00%, 4/25/2042 | 776 | 710 |
Series 2012-50, Class HY, 4.00%, 5/25/2042 | 5,566 | 4,757 |
Series 2012-141, Class PB, 2.50%, 12/25/2042 | 3,305 | 2,516 |
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 2,722 | 2,469 |
Series 2013-128, Class AO, PO, 12/25/2043 | 4,251 | 3,241 |
Series 2015-48, Class DE, 3.00%, 10/25/2044 | 11,897 | 10,393 |
Series 2016-45, Class PC, 3.00%, 9/25/2045 | 5,354 | 4,752 |
Series 2016-38, Class NA, 3.00%, 1/25/2046 | 6,214 | 5,522 |
Series 2019-71, Class CA, 2.50%, 7/25/2046 | 11,538 | 10,245 |
Series 2019-38, Class PC, 3.00%, 2/25/2048 | 5,446 | 4,907 |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | 6,231 | 5,456 |
Series 2019-34, Class WA, 3.50%, 8/25/2048 | 5,761 | 5,405 |
Series 2019-42, Class KA, 3.00%, 7/25/2049 | 9,587 | 8,364 |
Series 2019-81, Class JA, 2.50%, 9/25/2049 | 9,797 | 8,133 |
Series 2019-77, Class ZL, 3.00%, 1/25/2050 | 20,857 | 17,750 |
Series 2020-12, Class JC, 2.00%, 3/25/2050 | 19,563 | 15,520 |
FNMA, REMIC Trust, Whole Loan | ||
Series 1999-W4, Class A9, 6.25%, 2/25/2029 | 32 | 32 |
Series 2002-W7, Class A4, 6.00%, 6/25/2029 | 428 | 412 |
Series 2003-W1, Class 1A1, 4.80%, 12/25/2042 (a) | 273 | 256 |
Series 2003-W1, Class 2A, 5.23%, 12/25/2042 (a) | 156 | 148 |
Series 2005-W1, Class 1A2, 6.50%, 10/25/2044 | 874 | 887 |
Series 2009-W1, Class A, 6.00%, 12/25/2049 | 238 | 236 |
FNMA, REMIC, Whole Loan Series 2009-89, Class A1, 5.41%, 5/25/2035 | 11 | 11 |
FNMA, STRIPS Series 278, Class 1, 4.20%, 8/25/2025 (a) | 11 | 11 |
GNMA | ||
Series 2004-27, Class PD, 5.50%, 4/20/2034 | 827 | 821 |
Series 2008-15, Class NB, 4.50%, 2/20/2038 | 196 | 193 |
Series 2008-40, Class SA, IF, IO, 0.96%, 5/16/2038 (a) | 1,130 | 60 |
Series 2009-42, Class TX, 4.50%, 6/20/2039 | 3,135 | 3,064 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2009-69, Class WM, 5.50%, 8/20/2039 | 840 | 827 |
Series 2011-29, Class Z, 5.00%, 5/20/2040 | 12,788 | 12,437 |
Series 2012-126, Class BE, 2.00%, 10/20/2042 | 4,000 | 3,027 |
Series 2019-123, Class MA, 3.00%, 10/20/2049 | 10,715 | 9,171 |
Seasoned Credit Risk Transfer Trust | ||
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | 1,470 | 1,324 |
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 13,069 | 11,341 |
Total Collateralized Mortgage Obligations (Cost $415,465) | 364,812 | |
Commercial Mortgage-Backed Securities — 9.7% | ||
FHLMC Series K753, Class A2, 4.40%, 10/25/2030 | 7,805 | 7,542 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K067, Class A2, 3.19%, 7/25/2027 | 6,558 | 6,193 |
Series K087, Class A1, 3.59%, 10/25/2027 | 4,311 | 4,170 |
Series W5FX, Class AFX, 3.34%, 4/25/2028 (a) | 3,436 | 3,198 |
Series K078, Class A2, 3.85%, 6/25/2028 | 5,779 | 5,548 |
Series K088, Class A2, 3.69%, 1/25/2029 | 8,700 | 8,247 |
Series K158, Class A1, 3.90%, 7/25/2030 | 8,466 | 8,151 |
Series K-1511, Class A1, 3.28%, 10/25/2030 | 8,831 | 8,263 |
Series K149, Class A2, 3.53%, 8/25/2032 | 6,000 | 5,390 |
Series K-1511, Class A3, 3.54%, 3/25/2034 | 10,000 | 8,669 |
Series K-1512, Class A3, 3.06%, 4/25/2034 | 10,000 | 8,280 |
Series Q007, Class APT2, 3.46%, 10/25/2047 (a) | 2,057 | 2,011 |
Series Q013, Class APT2, 1.17%, 5/25/2050 (a) | 9,756 | 8,704 |
FNMA ACES | ||
Series 2017-M3, Class A2, 2.55%, 12/25/2026 (a) | 4,458 | 4,163 |
Series 2017-M4, Class A2, 2.64%, 12/25/2026 (a) | 4,319 | 4,049 |
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (a) | 3,656 | 3,451 |
Series 2018-M4, Class A2, 3.17%, 3/25/2028 (a) | 11,402 | 10,667 |
Series 2018-M8, Class A2, 3.41%, 6/25/2028 (a) | 8,995 | 8,479 |
Series 2019-M1, Class A2, 3.66%, 9/25/2028 (a) | 9,248 | 8,765 |
Series 2019-M5, Class A2, 3.27%, 2/25/2029 | 8,507 | 7,881 |
Series 2022-M2S, Class A2, 3.88%, 8/25/2032 (a) | 4,800 | 4,395 |
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (a) | 6,000 | 5,739 |
Series 2019-M31, Class A2, 2.85%, 4/25/2034 | 5,500 | 4,520 |
Series 2020-M8, Class AL, 2.01%, 3/25/2035 | 17,911 | 13,338 |
Series 2020-M24, Class A3, 1.75%, 1/25/2037 | 15,000 | 11,260 |
Series 2019-M14, Class AL2, 3.07%, 4/25/2048 | 8,114 | 7,126 |
Total Commercial Mortgage-Backed Securities (Cost $202,211) | 178,199 | |
U.S. Government Agency Securities — 3.3% | ||
FFCB Funding Corp. | ||
5.75%, 5/11/2026 | 10,000 | 10,261 |
3.33%, 4/28/2037 | 15,000 | 12,567 |
FNMA 6.25%, 5/15/2029 | 10,000 | 10,861 |
Resolution Funding Corp. STRIPS | ||
DN, 24.97%, 4/15/2028 (b) | 15,000 | 12,269 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Government Agency Securities — continued | ||
DN, 6.54%, 1/15/2030 (b) | 15,700 | 11,718 |
DN, 23.99%, 4/15/2030 (b) | 5,000 | 3,668 |
Total U.S. Government Agency Securities (Cost $64,297) | 61,344 | |
Asset-Backed Securities — 1.4% | ||
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027(Cost $28,864) | 28,796 | 26,752 |
SHARES (000) | ||
Short-Term Investments — 4.0% | ||
Investment Companies — 4.0% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.20% (c) (d) (Cost $73,040) | 73,040 | 73,040 |
Total Investments — 99.9% (Cost $2,088,874) | 1,842,234 | |
Other Assets Less Liabilities — 0.1% | 2,334 | |
NET ASSETS — 100.0% | 1,844,568 | |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2023. |
DN | Discount Notes |
FFCB | Federal Farm Credit Bank |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of November 30, 2023. 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. |
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. |
REMIC | Real Estate Mortgage Investment Conduit |
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. |
UMBS | Uniform Mortgage-Backed Securities |
(a) | 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 November 30, 2023. |
(b) | The rate shown is the effective yield as of November 30, 2023. |
(c) | 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. |
(d) | The rate shown is the current yield as of November 30, 2023. |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 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.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values ("NAV") per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.
•
Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.
•
Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.
•
Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $26,752 | $— | $26,752 |
Collateralized Mortgage Obligations | — | 364,812 | — | 364,812 |
Commercial Mortgage-Backed Securities | — | 178,199 | — | 178,199 |
Mortgage-Backed Securities | — | 488,718 | — | 488,718 |
U.S. Government Agency Securities | — | 61,344 | — | 61,344 |
U.S. Treasury Obligations | — | 649,369 | — | 649,369 |
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF November 30, 2023 (Unaudited) (continued)(Dollar values in thousands)Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment Companies | $73,040 | $— | $— | $73,040 |
Total Investments in Securities | $73,040 | $1,769,194 | $— | $1,842,234 |
There were no significant transfers into or out of level 3 for the period ended November 30, 2023.
B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended November 30, 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 November 30, 2023 | Shares at November 30, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.20% (a) (b) | $123,090 | $294,941 | $344,991 | $— | $— | $73,040 | 73,040 | $2,818 | $— |
(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 November 30, 2023. |