JPMorgan Core Plus Bond Fund
Schedule of Portfolio Investments as of May 31, 2024
(Unaudited)
THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
© J.P. Morgan Chase & Co., 2024.
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — 29.8%
|
||
Aerospace & Defense — 0.4%
|
||
Airbus SE (France) 3.95%, 4/10/2047 (a)
|
150
|
123
|
BAE Systems plc (United Kingdom)
|
||
1.90%, 2/15/2031 (a)
|
764
|
617
|
3.00%, 9/15/2050 (a)
|
1,494
|
968
|
Boeing Co. (The)
|
||
2.75%, 2/1/2026
|
1,671
|
1,581
|
2.20%, 2/4/2026
|
1,651
|
1,549
|
3.10%, 5/1/2026
|
1,292
|
1,224
|
2.70%, 2/1/2027
|
5,849
|
5,368
|
6.30%, 5/1/2029 (a)
|
4,760
|
4,799
|
6.39%, 5/1/2031 (a)
|
2,690
|
2,721
|
6.53%, 5/1/2034 (a)
|
6,610
|
6,702
|
6.86%, 5/1/2054 (a)
|
4,070
|
4,128
|
5.93%, 5/1/2060
|
8,800
|
7,762
|
Bombardier, Inc. (Canada) 6.00%, 2/15/2028 (a)
|
5,515
|
5,425
|
BWX Technologies, Inc.
|
||
4.13%, 6/30/2028 (a)
|
675
|
622
|
4.13%, 4/15/2029 (a)
|
3,553
|
3,252
|
L3Harris Technologies, Inc. 5.60%, 7/31/2053
|
2,166
|
2,147
|
Lockheed Martin Corp. 4.50%, 5/15/2036
|
4,859
|
4,523
|
Northrop Grumman Corp. 4.95%, 3/15/2053
|
2,476
|
2,239
|
RTX Corp.
|
||
5.15%, 2/27/2033
|
3,712
|
3,651
|
4.50%, 6/1/2042
|
3,088
|
2,685
|
4.35%, 4/15/2047
|
162
|
134
|
5.38%, 2/27/2053
|
1,882
|
1,787
|
6.40%, 3/15/2054
|
6,210
|
6,770
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a)
|
2,690
|
2,886
|
TransDigm, Inc.
|
||
6.38%, 3/1/2029 (a)
|
2,714
|
2,708
|
6.63%, 3/1/2032 (a)
|
2,712
|
2,720
|
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) (b)
|
7,901
|
1,086
|
|
|
80,177
|
Automobile Components — 0.3%
|
||
Adient Global Holdings Ltd.
|
||
4.88%, 8/15/2026 (a)
|
2,160
|
2,097
|
7.00%, 4/15/2028 (a)
|
2,442
|
2,493
|
Allison Transmission, Inc.
|
||
4.75%, 10/1/2027 (a)
|
243
|
234
|
5.88%, 6/1/2029 (a)
|
3,519
|
3,462
|
3.75%, 1/30/2031 (a)
|
2,873
|
2,489
|
American Axle & Manufacturing, Inc.
|
||
6.50%, 4/1/2027
|
2,146
|
2,134
|
6.88%, 7/1/2028
|
1,379
|
1,369
|
5.00%, 10/1/2029
|
5,315
|
4,839
|
Clarios Global LP
|
||
6.75%, 5/15/2025 (a)
|
2,905
|
2,905
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Automobile Components — continued
|
||
6.25%, 5/15/2026 (a)
|
2,405
|
2,403
|
6.75%, 5/15/2028 (a)
|
688
|
695
|
Cooper-Standard Automotive, Inc.
|
||
13.50% (Blend (Cash 9.00% + PIK 4.50%)), 3/31/2027 (a) (c)
|
6,574
|
7,028
|
10.63% (PIK), 5/15/2027 (a) (c)
|
4,777
|
3,368
|
Dana Financing Luxembourg SARL 5.75%, 4/15/2025 (a)
|
2,001
|
1,991
|
Dana, Inc. 5.63%, 6/15/2028
|
1,903
|
1,841
|
Goodyear Tire & Rubber Co. (The)
|
||
9.50%, 5/31/2025
|
345
|
346
|
5.00%, 7/15/2029
|
5,645
|
5,191
|
5.25%, 4/30/2031
|
5,673
|
5,147
|
5.25%, 7/15/2031
|
3,898
|
3,525
|
Icahn Enterprises LP
|
||
6.38%, 12/15/2025
|
3,924
|
3,921
|
6.25%, 5/15/2026
|
930
|
907
|
5.25%, 5/15/2027
|
1,447
|
1,328
|
|
|
59,713
|
Automobiles — 0.1%
|
||
Ford Motor Co.
|
||
9.63%, 4/22/2030
|
3,537
|
4,098
|
3.25%, 2/12/2032
|
15,255
|
12,538
|
Hyundai Capital America
|
||
1.80%, 10/15/2025 (a)
|
3,990
|
3,785
|
1.50%, 6/15/2026 (a)
|
3,398
|
3,127
|
3.00%, 2/10/2027 (a)
|
3,883
|
3,639
|
2.38%, 10/15/2027 (a)
|
1,088
|
985
|
|
|
28,172
|
Banks — 6.6%
|
||
ABN AMRO Bank NV (Netherlands)
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 6.58%, 10/13/2026 (a) (d)
|
5,000
|
5,046
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (d)
|
6,900
|
6,044
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (d)
|
5,000
|
4,097
|
AIB Group plc (Ireland)
|
||
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (d)
|
2,675
|
2,750
|
(SOFR + 1.91%), 5.87%, 3/28/2035 (a) (d)
|
1,400
|
1,390
|
ANZ New Zealand Int'l Ltd. (New Zealand) 2.55%, 2/13/2030 (a)
|
397
|
345
|
Banco Bilbao Vizcaya Argentaria SA (Spain)
|
||
1.13%, 9/18/2025
|
4,000
|
3,777
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (d) (e) (f) (g)
|
15,925
|
16,992
|
Banco Nacional de Comercio Exterior SNC (Mexico) (US Treasury Yield Curve Rate T Note
Constant Maturity 5 Year + 2.00%),
2.72%, 8/11/2031 (a) (d)
|
2,850
|
2,529
|
Banco Santander SA (Spain)
|
||
5.15%, 8/18/2025
|
200
|
198
|
1.85%, 3/25/2026
|
2,400
|
2,246
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (d)
|
3,000
|
2,741
|
5.59%, 8/8/2028
|
23,000
|
23,134
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (d) (e) (f) (g)
|
16,200
|
17,317
|
6.94%, 11/7/2033
|
3,600
|
3,918
|
Bank of America Corp.
|
||
(SOFR + 1.01%), 1.20%, 10/24/2026 (d)
|
8,252
|
7,761
|
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (d)
|
3,083
|
2,882
|
(3-MONTH CME TERM SOFR + 1.32%), 3.56%, 4/23/2027 (d)
|
8,019
|
7,736
|
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (d)
|
971
|
927
|
(SOFR + 1.99%), 6.20%, 11/10/2028 (d)
|
3,223
|
3,315
|
(3-MONTH CME TERM SOFR + 1.33%), 3.97%, 3/5/2029 (d)
|
266
|
253
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (d)
|
2,369
|
2,356
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (d)
|
12,355
|
10,898
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (d)
|
48,786
|
49,611
|
(3-MONTH CME TERM SOFR + 1.47%), 3.97%, 2/7/2030 (d)
|
11,190
|
10,544
|
(3-MONTH CME TERM SOFR + 1.25%), 2.50%, 2/13/2031 (d)
|
13,198
|
11,322
|
(SOFR + 1.53%), 1.90%, 7/23/2031 (d)
|
14,562
|
11,891
|
(SOFR + 1.37%), 1.92%, 10/24/2031 (d)
|
7,165
|
5,811
|
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (d)
|
4,854
|
4,080
|
(SOFR + 1.32%), 2.69%, 4/22/2032 (d)
|
724
|
609
|
(SOFR + 1.22%), 2.30%, 7/21/2032 (d)
|
21,357
|
17,380
|
(SOFR + 1.91%), 5.29%, 4/25/2034 (d)
|
12,200
|
12,011
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (d)
|
15,410
|
15,757
|
(SOFR + 1.65%), 5.47%, 1/23/2035 (d)
|
37,300
|
37,055
|
6.98%, 3/7/2037
|
1,457
|
1,572
|
(3-MONTH CME TERM SOFR + 1.58%), 4.08%, 4/23/2040 (d)
|
1,491
|
1,265
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (d)
|
8,412
|
5,865
|
(3-MONTH CME TERM SOFR + 3.41%), 4.08%, 3/20/2051 (d)
|
3,398
|
2,717
|
Bank of Ireland Group plc (Ireland)
|
||
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (d) (e) (f) (g) (h)
|
10,400
|
11,463
|
(SOFR + 1.62%), 5.60%, 3/20/2030 (a) (d)
|
4,145
|
4,095
|
Bank of Montreal (Canada) 5.51%, 6/4/2031
|
3,500
|
3,514
|
Bank of New Zealand (New Zealand)
|
||
2.29%, 1/27/2027 (a)
|
889
|
822
|
5.08%, 1/30/2029 (a)
|
1,340
|
1,329
|
Banque Federative du Credit Mutuel SA (France)
|
||
1.60%, 10/4/2026 (a)
|
6,030
|
5,536
|
5.79%, 7/13/2028 (a)
|
6,790
|
6,912
|
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 3.50%), 7.44%, 11/2/2033 (d)
|
17,880
|
19,660
|
BNP Paribas SA (France)
|
||
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (d)
|
558
|
538
|
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (d)
|
442
|
412
|
(SOFR + 1.61%), 1.90%, 9/30/2028 (a) (d)
|
1,000
|
891
|
(SOFR + 1.22%), 2.16%, 9/15/2029 (a) (d)
|
832
|
724
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (a) (d)
|
7,565
|
7,502
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (d)
|
9,425
|
9,384
|
(SOFR + 1.56%), 3.13%, 1/20/2033 (a) (d)
|
2,128
|
1,797
|
(SOFR + 1.88%), 5.74%, 2/20/2035 (a) (d)
|
7,640
|
7,618
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
BPCE SA (France)
|
||
2.38%, 1/14/2025 (a)
|
2,260
|
2,211
|
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (d)
|
3,190
|
3,199
|
4.75%, 7/19/2027 (a)
|
1,625
|
1,596
|
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (d)
|
6,380
|
6,485
|
5.13%, 1/18/2028 (a)
|
17,959
|
17,806
|
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (d)
|
10,690
|
11,107
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (d)
|
2,015
|
1,629
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (d)
|
6,550
|
5,387
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (d)
|
11,360
|
12,237
|
(SOFR + 1.85%), 5.94%, 5/30/2035 (a) (d)
|
6,035
|
6,034
|
CaixaBank SA (Spain)
|
||
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (d)
|
3,445
|
3,508
|
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (d) (e) (f) (g) (h)
|
6,800
|
7,258
|
(EUR Swap Annual 5 Year + 3.55%), 6.25%, 2/23/2033 (d) (h)
|
6,800
|
7,770
|
Citibank NA
|
||
5.80%, 9/29/2028
|
4,000
|
4,103
|
5.57%, 4/30/2034
|
1,710
|
1,734
|
Citigroup, Inc.
|
||
Series M, (3-MONTH CME TERM SOFR + 3.68%), 9.01%, 8/15/2024 (d) (f) (g)
|
1,652
|
1,653
|
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (d) (f) (g)
|
146
|
143
|
6.88%, 6/1/2025
|
627
|
634
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%),
4.00%, 12/10/2025 (d) (f) (g)
|
14,489
|
13,846
|
(SOFR + 2.84%), 3.11%, 4/8/2026 (d)
|
2,427
|
2,374
|
4.30%, 11/20/2026
|
2,427
|
2,368
|
6.63%, 1/15/2028
|
814
|
853
|
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (d)
|
780
|
741
|
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (d)
|
6,742
|
6,351
|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (d) (f) (g)
|
9,835
|
9,813
|
(SOFR + 1.36%), 5.17%, 2/13/2030 (d)
|
12,100
|
11,982
|
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (d)
|
3,495
|
3,287
|
(SOFR + 1.15%), 2.67%, 1/29/2031 (d)
|
2,524
|
2,185
|
(SOFR + 3.91%), 4.41%, 3/31/2031 (d)
|
16,707
|
15,864
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (d)
|
4,854
|
4,141
|
(SOFR + 1.17%), 2.56%, 5/1/2032 (d)
|
18,009
|
14,972
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (d)
|
2,345
|
1,923
|
(SOFR + 2.34%), 6.27%, 11/17/2033 (d)
|
17,840
|
18,704
|
(SOFR + 4.55%), 5.32%, 3/26/2041 (d)
|
6,796
|
6,570
|
Credit Agricole SA (France)
|
||
5.30%, 7/12/2028 (a)
|
24,075
|
24,199
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (d)
|
12,130
|
12,504
|
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (d)
|
4,000
|
3,974
|
Danske Bank A/S (Denmark)
|
||
(3-MONTH SOFR + 1.59%), 3.24%, 12/20/2025 (a) (d)
|
3,300
|
3,251
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (d)
|
2,560
|
2,563
|
DNB Bank ASA (Norway)
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (d)
|
3,590
|
3,389
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (d)
|
1,115
|
1,001
|
Federation des Caisses Desjardins du Quebec (Canada) 5.25%, 4/26/2029 (a)
|
4,886
|
4,856
|
HSBC Holdings plc (United Kingdom)
|
||
(SOFR + 1.54%), 1.65%, 4/18/2026 (d)
|
2,000
|
1,929
|
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (d)
|
1,333
|
1,308
|
(SOFR + 1.57%), 5.89%, 8/14/2027 (d)
|
16,045
|
16,153
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (d)
|
11,902
|
11,792
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (d)
|
28,997
|
25,940
|
(SOFR + 3.35%), 7.39%, 11/3/2028 (d)
|
3,390
|
3,580
|
(SOFR + 1.29%), 2.21%, 8/17/2029 (d)
|
7,121
|
6,236
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (d)
|
28,351
|
26,395
|
(SOFR + 1.52%), 5.73%, 5/17/2032 (d)
|
9,495
|
9,524
|
(SOFR + 1.19%), 2.80%, 5/24/2032 (d)
|
5,629
|
4,717
|
(SOFR + 1.41%), 2.87%, 11/22/2032 (d)
|
9,562
|
7,963
|
(SOFR + 4.25%), 8.11%, 11/3/2033 (d)
|
1,250
|
1,417
|
6.10%, 1/14/2042
|
695
|
743
|
Intesa Sanpaolo SpA (Italy)
|
||
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (d) (e) (f) (g) (h)
|
3,300
|
3,702
|
7.20%, 11/28/2033 (a)
|
11,840
|
12,732
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (d)
|
15,549
|
11,680
|
KBC Group NV (Belgium) (EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (d) (e) (f) (g) (h)
|
10,600
|
12,273
|
KeyCorp (SOFRINDX + 2.42%), 6.40%, 3/6/2035 (d)
|
9,506
|
9,570
|
Lloyds Banking Group plc (United Kingdom)
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (d)
|
1,320
|
1,296
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (d)
|
3,060
|
2,834
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (d)
|
1,110
|
1,107
|
4.38%, 3/22/2028
|
633
|
611
|
(3-MONTH SOFR + 1.21%), 3.57%, 11/7/2028 (d)
|
7,000
|
6,561
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.72%, 6/5/2030 (d)
|
8,950
|
9,001
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (d)
|
1,205
|
1,201
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (d)
|
3,760
|
3,466
|
3.20%, 7/18/2029
|
2,605
|
2,364
|
Series 8NC7, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%),
5.48%, 2/22/2031 (d)
|
2,070
|
2,080
|
3.75%, 7/18/2039
|
3,145
|
2,628
|
Mizuho Financial Group, Inc. (Japan)
|
||
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (d)
|
4,400
|
4,254
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (d)
|
3,490
|
3,533
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (d)
|
1,900
|
1,929
|
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (a) (e)
|
4,616
|
3,784
|
NatWest Group plc (United Kingdom)
|
||
4.80%, 4/5/2026
|
7,263
|
7,172
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (d)
|
9,980
|
10,080
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (d) (e) (f) (g)
|
8,450
|
8,569
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (d)
|
7,179
|
7,184
|
NatWest Markets plc (United Kingdom)
|
||
1.60%, 9/29/2026 (a)
|
3,000
|
2,747
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
5.41%, 5/17/2029 (a)
|
12,115
|
12,079
|
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a)
|
610
|
611
|
PNC Bank NA 2.70%, 10/22/2029
|
4,150
|
3,612
|
PNC Financial Services Group, Inc. (The)
|
||
2.60%, 7/23/2026
|
1,942
|
1,837
|
2.55%, 1/22/2030
|
1,918
|
1,667
|
(SOFR + 0.98%), 2.31%, 4/23/2032 (d)
|
971
|
800
|
(SOFR + 1.95%), 5.94%, 8/18/2034 (d)
|
2,100
|
2,139
|
(SOFR + 2.28%), 6.88%, 10/20/2034 (d)
|
11,680
|
12,659
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (d)
|
3,790
|
3,790
|
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 (e)
|
411
|
406
|
Santander Holdings USA, Inc.
|
||
(SOFR + 2.50%), 6.17%, 1/9/2030 (d)
|
3,315
|
3,337
|
(SOFR + 2.14%), 6.34%, 5/31/2035 (d)
|
5,000
|
5,006
|
Santander UK Group Holdings plc (United Kingdom)
|
||
(SOFR + 2.75%), 6.83%, 11/21/2026 (d)
|
5,279
|
5,355
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (d)
|
11,124
|
10,254
|
(SOFR + 1.48%), 2.90%, 3/15/2032 (d)
|
4,000
|
3,350
|
Societe Generale SA (France)
|
||
4.25%, 4/14/2025 (a)
|
6,820
|
6,708
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (d)
|
11,251
|
10,514
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (d)
|
3,000
|
3,024
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (d)
|
10,679
|
9,868
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (d)
|
3,000
|
3,063
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (a) (d)
|
26,100
|
25,887
|
3.00%, 1/22/2030 (a)
|
1,484
|
1,284
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (d)
|
3,095
|
2,546
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (a) (d)
|
7,025
|
7,026
|
Standard Chartered plc (United Kingdom)
|
||
(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (a) (d)
|
1,000
|
980
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (d)
|
2,520
|
2,349
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (d)
|
1,400
|
1,411
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (d)
|
4,030
|
4,030
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (d)
|
9,999
|
10,629
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (a)
|
2,916
|
2,973
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.20%), 7.02%, 2/8/2030 (a) (d)
|
6,583
|
6,925
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.10%, 1/11/2035 (a) (d)
|
1,978
|
2,016
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (a) (d)
|
7,940
|
7,926
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
||
5.52%, 1/13/2028
|
3,000
|
3,031
|
3.04%, 7/16/2029
|
1,395
|
1,253
|
2.75%, 1/15/2030
|
3,500
|
3,054
|
Sumitomo Mitsui Trust Bank Ltd. (Japan) 4.95%, 9/15/2027 (a)
|
1,642
|
1,625
|
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a)
|
14,707
|
14,751
|
Toronto-Dominion Bank (The) (Canada)
|
||
5.52%, 7/17/2028
|
1,694
|
1,709
|
4.99%, 4/5/2029
|
6,990
|
6,895
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
Truist Financial Corp.
|
||
(SOFR + 2.05%), 6.05%, 6/8/2027 (d)
|
7,816
|
7,874
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (d)
|
6,330
|
6,704
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (d)
|
17,311
|
16,486
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (d)
|
4,385
|
4,399
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (d)
|
3,680
|
3,657
|
UniCredit SpA (Italy)
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (d)
|
690
|
641
|
(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (a) (d)
|
4,300
|
4,420
|
US Bancorp
|
||
(SOFR + 1.56%), 5.38%, 1/23/2030 (d)
|
2,740
|
2,733
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (d)
|
4,160
|
4,154
|
Wachovia Corp.
|
||
6.61%, 10/1/2025
|
1,602
|
1,619
|
7.57%, 8/1/2026 (i)
|
500
|
520
|
Wells Fargo & Co.
|
||
3.00%, 10/23/2026
|
4,854
|
4,604
|
4.30%, 7/22/2027
|
168
|
163
|
(SOFR + 1.07%), 5.71%, 4/22/2028 (d)
|
14,245
|
14,343
|
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (d)
|
8,228
|
7,822
|
(SOFR + 2.10%), 2.39%, 6/2/2028 (d)
|
1,942
|
1,782
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (d)
|
8,999
|
9,050
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (d)
|
17,050
|
17,643
|
(SOFR + 1.50%), 5.20%, 1/23/2030 (d)
|
14,205
|
14,084
|
(3-MONTH CME TERM SOFR + 1.26%), 2.57%, 2/11/2031 (d)
|
6,796
|
5,849
|
(SOFR + 2.02%), 5.39%, 4/24/2034 (d)
|
7,786
|
7,663
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (d)
|
23,826
|
23,719
|
(SOFR + 2.06%), 6.49%, 10/23/2034 (d)
|
8,635
|
9,184
|
(SOFR + 2.53%), 3.07%, 4/30/2041 (d)
|
11,450
|
8,406
|
Westpac Banking Corp. (Australia) 5.54%, 11/17/2028
|
2,500
|
2,548
|
|
|
1,303,045
|
Beverages — 0.1%
|
||
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036
|
7,757
|
7,325
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.38%, 4/15/2038
|
4,854
|
4,384
|
Central American Bottling Corp. (Guatemala) 5.25%, 4/27/2029 (a)
|
2,201
|
2,061
|
Coca-Cola Co. (The) 5.30%, 5/13/2054
|
4,620
|
4,553
|
Coca-Cola Femsa SAB de CV (Mexico)
|
||
2.75%, 1/22/2030
|
624
|
544
|
1.85%, 9/1/2032
|
500
|
383
|
Constellation Brands, Inc. 4.65%, 11/15/2028
|
2,913
|
2,850
|
Keurig Dr Pepper, Inc. 3.43%, 6/15/2027
|
219
|
208
|
Keurig Dr. Pepper, Inc. 2.55%, 9/15/2026
|
493
|
464
|
|
|
22,772
|
Biotechnology — 0.4%
|
||
AbbVie, Inc.
|
||
5.05%, 3/15/2034
|
3,800
|
3,759
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Biotechnology — continued
|
||
4.05%, 11/21/2039
|
24,345
|
21,007
|
5.40%, 3/15/2054
|
2,310
|
2,277
|
5.50%, 3/15/2064
|
3,030
|
2,979
|
Amgen, Inc.
|
||
5.25%, 3/2/2030
|
3,893
|
3,903
|
5.60%, 3/2/2043
|
3,883
|
3,846
|
5.65%, 3/2/2053
|
8,162
|
8,055
|
Biogen, Inc. 2.25%, 5/1/2030
|
10,000
|
8,419
|
CSL Finance plc (Australia) 5.11%, 4/3/2034 (a)
|
9,560
|
9,369
|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)
|
679
|
406
|
Gilead Sciences, Inc.
|
||
1.65%, 10/1/2030
|
3,883
|
3,167
|
5.25%, 10/15/2033
|
7,120
|
7,126
|
4.50%, 2/1/2045
|
6,310
|
5,419
|
5.55%, 10/15/2053
|
2,320
|
2,302
|
Grifols SA (Spain) 4.75%, 10/15/2028 (a)
|
3,140
|
2,732
|
|
|
84,766
|
Broadline Retail — 0.1%
|
||
Amazon.com, Inc. 3.95%, 4/13/2052
|
3,883
|
3,113
|
Go Daddy Operating Co. LLC
|
||
5.25%, 12/1/2027 (a)
|
500
|
487
|
3.50%, 3/1/2029 (a)
|
1,500
|
1,340
|
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a)
|
2,743
|
2,641
|
Nordstrom, Inc. 4.38%, 4/1/2030
|
3,087
|
2,807
|
Shutterfly Finance LLC
|
||
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (c)
|
1,301
|
1,042
|
9.75%, 10/1/2027 (a)
|
155
|
155
|
|
|
11,585
|
Building Products — 0.3%
|
||
Builders FirstSource, Inc.
|
||
4.25%, 2/1/2032 (a)
|
11,398
|
9,954
|
6.38%, 3/1/2034 (a)
|
1,685
|
1,652
|
CRH America Finance, Inc. 3.40%, 5/9/2027 (a)
|
200
|
190
|
EMRLD Borrower LP 6.63%, 12/15/2030 (a)
|
8,783
|
8,798
|
Griffon Corp. 5.75%, 3/1/2028
|
6,859
|
6,630
|
JELD-WEN, Inc. 4.88%, 12/15/2027 (a)
|
3,540
|
3,317
|
Standard Industries, Inc.
|
||
4.75%, 1/15/2028 (a)
|
5,757
|
5,484
|
4.38%, 7/15/2030 (a)
|
6,254
|
5,581
|
3.38%, 1/15/2031 (a)
|
3,064
|
2,557
|
Summit Materials LLC 5.25%, 1/15/2029 (a)
|
5,389
|
5,190
|
Trane Technologies Co. LLC 7.20%, 6/1/2025
|
15
|
15
|
|
|
49,368
|
Capital Markets — 1.9%
|
||
Bank of New York Mellon Corp. (The)
|
||
(SOFR + 1.60%), 6.32%, 10/25/2029 (d)
|
2,500
|
2,606
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Capital Markets — continued
|
||
(SOFR + 1.85%), 6.47%, 10/25/2034 (d)
|
8,610
|
9,273
|
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a)
|
155
|
128
|
Brookfield Finance, Inc. (Canada)
|
||
3.90%, 1/25/2028
|
1,228
|
1,173
|
4.85%, 3/29/2029
|
272
|
268
|
4.70%, 9/20/2047
|
129
|
110
|
Deutsche Bank AG (Germany)
|
||
(SOFR + 2.52%), 7.15%, 7/13/2027 (d)
|
3,980
|
4,080
|
(SOFR + 1.32%), 2.55%, 1/7/2028 (d)
|
3,050
|
2,813
|
(SOFR + 1.59%), 5.71%, 2/8/2028 (d)
|
4,665
|
4,656
|
5.41%, 5/10/2029
|
3,270
|
3,264
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (d)
|
1,955
|
2,029
|
Goldman Sachs Group, Inc. (The)
|
||
(SOFR + 1.08%), 5.80%, 8/10/2026 (d)
|
4,700
|
4,703
|
3.50%, 11/16/2026
|
9,708
|
9,289
|
(SOFR + 0.79%), 1.09%, 12/9/2026 (d)
|
3,049
|
2,846
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (d)
|
4,730
|
4,399
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (d)
|
8,572
|
7,967
|
(SOFR + 1.85%), 3.62%, 3/15/2028 (d)
|
7,466
|
7,120
|
(3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (d)
|
5,902
|
5,620
|
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (d)
|
1,615
|
1,525
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (d) (f) (g)
|
28,595
|
29,379
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (d)
|
26,145
|
27,207
|
(SOFR + 1.27%), 5.73%, 4/25/2030 (d)
|
3,695
|
3,744
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (d)
|
14,008
|
11,692
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (d)
|
14,935
|
12,675
|
(SOFR + 1.55%), 5.85%, 4/25/2035 (d)
|
4,460
|
4,555
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (d)
|
9,863
|
8,371
|
(SOFR + 1.51%), 3.21%, 4/22/2042 (d)
|
2,194
|
1,626
|
(SOFR + 1.63%), 3.44%, 2/24/2043 (d)
|
1,064
|
807
|
Jefferies Financial Group, Inc.
|
||
6.45%, 6/8/2027
|
104
|
106
|
6.25%, 1/15/2036
|
923
|
936
|
Lehman Brothers Holdings, Inc.
|
||
5.75%, 3/2/2015 (b)
|
1,000
|
—
|
8.00%, 8/1/2015 (b)
|
295
|
—
|
Lehman Brothers Holdings, Inc., Escrow 3.60%, 3/13/2009 (b)
|
235
|
—
|
Macquarie Group Ltd. (Australia)
|
||
(3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (a) (d)
|
777
|
762
|
(SOFR + 1.44%), 2.69%, 6/23/2032 (a) (d)
|
389
|
320
|
Morgan Stanley
|
||
5.00%, 11/24/2025
|
821
|
815
|
(SOFR + 1.99%), 2.19%, 4/28/2026 (d)
|
1,204
|
1,167
|
3.13%, 7/27/2026
|
752
|
718
|
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (d)
|
1,348
|
1,278
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (d)
|
6,014
|
5,974
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (d)
|
6,097
|
6,118
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Capital Markets — continued
|
||
(SOFR + 1.45%), 5.17%, 1/16/2030 (d)
|
13,950
|
13,850
|
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (d)
|
3,186
|
3,069
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (d)
|
15,193
|
13,222
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (d)
|
2,418
|
1,925
|
(SOFR + 1.02%), 1.93%, 4/28/2032 (d)
|
3,922
|
3,133
|
(SOFR + 1.29%), 2.94%, 1/21/2033 (d)
|
2,273
|
1,914
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (d)
|
7,854
|
7,773
|
(SOFR + 1.58%), 5.83%, 4/19/2035 (d)
|
4,870
|
4,967
|
(SOFR + 1.36%), 2.48%, 9/16/2036 (d)
|
3,160
|
2,492
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d)
|
3,233
|
3,210
|
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (d)
|
5,267
|
4,719
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (d)
|
5,340
|
3,983
|
(SOFR + 1.43%), 2.80%, 1/25/2052 (d)
|
3,495
|
2,202
|
Nomura Holdings, Inc. (Japan)
|
||
2.65%, 1/16/2025
|
2,856
|
2,798
|
1.85%, 7/16/2025
|
1,300
|
1,244
|
Northern Trust Corp. (3-MONTH SOFR + 1.13%), 3.38%, 5/8/2032 (d)
|
971
|
912
|
Nuveen LLC 4.00%, 11/1/2028 (a)
|
690
|
660
|
S&P Global, Inc.
|
||
2.90%, 3/1/2032
|
6,500
|
5,590
|
3.25%, 12/1/2049
|
5,340
|
3,759
|
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.61%), 6.70%, 3/15/2029 (d) (f)
(g)
|
12,648
|
12,780
|
UBS AG (Switzerland) 7.50%, 2/15/2028
|
688
|
735
|
UBS Group AG (Switzerland)
|
||
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (d)
|
300
|
289
|
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (d)
|
350
|
352
|
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (d)
|
1,890
|
1,753
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (d)
|
19,923
|
18,207
|
4.28%, 1/9/2028 (a)
|
9,976
|
9,554
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (d)
|
11,213
|
10,966
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (d) (e) (f) (g)
|
2,230
|
2,381
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (a) (d)
|
831
|
784
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (a) (d)
|
1,107
|
1,102
|
(3-MONTH SOFR + 1.47%), 3.13%, 8/13/2030 (a) (d)
|
27,883
|
24,871
|
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (d)
|
8,340
|
8,355
|
(SOFR + 3.92%), 6.54%, 8/12/2033 (a) (d)
|
1,126
|
1,186
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (d) (e) (f) (g)
|
2,250
|
2,504
|
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (d)
|
3,950
|
4,786
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.77%), 5.70%, 2/8/2035 (a) (d)
|
7,620
|
7,609
|
4.88%, 5/15/2045
|
975
|
889
|
|
|
382,644
|
Chemicals — 0.4%
|
||
Avient Corp. 7.13%, 8/1/2030 (a)
|
4,223
|
4,294
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)
|
5,086
|
4,909
|
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (a)
|
1,320
|
978
|
Celanese US Holdings LLC 6.38%, 7/15/2032
|
1,950
|
2,004
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Chemicals — continued
|
||
CF Industries, Inc.
|
||
5.15%, 3/15/2034
|
1,748
|
1,672
|
4.95%, 6/1/2043
|
9,931
|
8,746
|
Chemours Co. (The)
|
||
5.75%, 11/15/2028 (a)
|
4,421
|
4,046
|
4.63%, 11/15/2029 (a)
|
4,335
|
3,697
|
EIDP, Inc. 4.80%, 5/15/2033
|
3,680
|
3,560
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
4,539
|
4,130
|
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a)
|
2,251
|
2,373
|
LYB International Finance III LLC 3.38%, 10/1/2040
|
1,942
|
1,430
|
NOVA Chemicals Corp. (Canada)
|
||
5.00%, 5/1/2025 (a)
|
2,359
|
2,328
|
5.25%, 6/1/2027 (a)
|
5,133
|
4,917
|
8.50%, 11/15/2028 (a)
|
1,325
|
1,405
|
4.25%, 5/15/2029 (a)
|
918
|
805
|
9.00%, 2/15/2030 (a)
|
2,090
|
2,211
|
Nutrien Ltd. (Canada)
|
||
2.95%, 5/13/2030
|
1,394
|
1,229
|
4.13%, 3/15/2035
|
497
|
442
|
OCP SA (Morocco) 7.50%, 5/2/2054 (a)
|
4,366
|
4,352
|
Scotts Miracle-Gro Co. (The)
|
||
5.25%, 12/15/2026
|
1,961
|
1,907
|
4.50%, 10/15/2029
|
6,983
|
6,283
|
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a)
|
1,097
|
895
|
Union Carbide Corp. 7.75%, 10/1/2096
|
1,267
|
1,528
|
WR Grace Holdings LLC 4.88%, 6/15/2027 (a)
|
5,476
|
5,259
|
|
|
75,400
|
Commercial Services & Supplies — 0.3%
|
||
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
6,668
|
5,915
|
ADT Security Corp. (The)
|
||
4.13%, 8/1/2029 (a)
|
4,251
|
3,861
|
4.88%, 7/15/2032 (a)
|
5,107
|
4,609
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)
|
3,642
|
3,286
|
Aramark Services, Inc.
|
||
5.00%, 4/1/2025 (a)
|
1,068
|
1,059
|
5.00%, 2/1/2028 (a)
|
3,995
|
3,820
|
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070
|
2,915
|
1,693
|
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a)
|
1,826
|
1,735
|
GFL Environmental, Inc.
|
||
3.75%, 8/1/2025 (a)
|
3,917
|
3,824
|
4.00%, 8/1/2028 (a)
|
5,170
|
4,727
|
4.75%, 6/15/2029 (a)
|
1,942
|
1,808
|
6.75%, 1/15/2031 (a)
|
1,915
|
1,953
|
ILFC E-Capital Trust I (3-MONTH CME TERM SOFR + 1.81%), 7.14%, 12/21/2065 (a) (d)
|
5,178
|
4,147
|
Madison IAQ LLC 4.13%, 6/30/2028 (a)
|
8,706
|
8,067
|
Prime Security Services Borrower LLC
|
||
5.75%, 4/15/2026 (a)
|
4,670
|
4,637
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Commercial Services & Supplies — continued
|
||
6.25%, 1/15/2028 (a)
|
2,110
|
2,071
|
Republic Services, Inc.
|
||
1.45%, 2/15/2031
|
1,952
|
1,541
|
2.38%, 3/15/2033
|
117
|
93
|
Stericycle, Inc. 3.88%, 1/15/2029 (a)
|
5,111
|
4,641
|
Williams Scotsman, Inc.
|
||
4.63%, 8/15/2028 (a)
|
1,940
|
1,811
|
7.38%, 10/1/2031 (a)
|
2,175
|
2,234
|
|
|
67,532
|
Communications Equipment — 0.0% ^
|
||
CommScope Technologies LLC 5.00%, 3/15/2027 (a)
|
1,457
|
597
|
CommScope, Inc.
|
||
6.00%, 3/1/2026 (a)
|
7,416
|
6,619
|
4.75%, 9/1/2029 (a)
|
2,792
|
2,010
|
|
|
9,226
|
Construction & Engineering — 0.1%
|
||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (a)
|
1,631
|
1,218
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
4,218
|
3,919
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)
|
7,860
|
7,284
|
MasTec, Inc.
|
||
4.50%, 8/15/2028 (a)
|
5,048
|
4,764
|
6.63%, 8/15/2029 (a)
|
1,457
|
1,368
|
Weekley Homes LLC 4.88%, 9/15/2028 (a)
|
5,274
|
4,830
|
|
|
23,383
|
Construction Materials — 0.0% ^
|
||
CRH America, Inc. 5.13%, 5/18/2045 (a)
|
1,249
|
1,138
|
Knife River Corp. 7.75%, 5/1/2031 (a)
|
4,428
|
4,609
|
|
|
5,747
|
Consumer Finance — 0.9%
|
||
AerCap Ireland Capital DAC (Ireland)
|
||
6.50%, 7/15/2025
|
398
|
401
|
2.45%, 10/29/2026
|
5,020
|
4,671
|
3.00%, 10/29/2028
|
16,596
|
14,995
|
5.10%, 1/19/2029
|
560
|
552
|
3.30%, 1/30/2032
|
2,900
|
2,470
|
Ally Financial, Inc. 5.75%, 11/20/2025
|
4,689
|
4,668
|
American Express Co.
|
||
2.55%, 3/4/2027
|
1,942
|
1,810
|
(SOFR + 1.00%), 5.10%, 2/16/2028 (d)
|
2,500
|
2,485
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
5.50%, 1/15/2026 (a)
|
2,112
|
2,090
|
2.13%, 2/21/2026 (a)
|
7,990
|
7,479
|
4.25%, 4/15/2026 (a)
|
1,971
|
1,908
|
3.25%, 2/15/2027 (a)
|
2,235
|
2,080
|
2.53%, 11/18/2027 (a)
|
14,148
|
12,627
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Consumer Finance — continued
|
||
6.38%, 5/4/2028 (a)
|
3,660
|
3,711
|
5.75%, 3/1/2029 (a)
|
11,663
|
11,581
|
5.75%, 11/15/2029 (a)
|
34,030
|
33,738
|
Capital One Financial Corp.
|
||
(SOFR + 2.16%), 4.99%, 7/24/2026 (d)
|
505
|
500
|
(SOFR + 0.86%), 1.88%, 11/2/2027 (d)
|
2,093
|
1,912
|
Ford Motor Credit Co. LLC
|
||
4.39%, 1/8/2026
|
3,750
|
3,663
|
6.95%, 6/10/2026
|
1,567
|
1,595
|
4.27%, 1/9/2027
|
1,000
|
961
|
4.13%, 8/17/2027
|
6,869
|
6,514
|
5.11%, 5/3/2029
|
870
|
838
|
7.20%, 6/10/2030
|
920
|
963
|
4.00%, 11/13/2030
|
6,651
|
5,895
|
General Motors Financial Co., Inc.
|
||
5.40%, 5/8/2027
|
2,200
|
2,196
|
3.60%, 6/21/2030
|
7,402
|
6,614
|
5.75%, 2/8/2031
|
2,450
|
2,448
|
2.70%, 6/10/2031
|
2,015
|
1,658
|
5.95%, 4/4/2034
|
3,935
|
3,917
|
Hyundai Capital Services, Inc. (South Korea) 5.13%, 2/5/2029 (a)
|
1,320
|
1,296
|
ILFC E-Capital Trust II (3-MONTH CME TERM SOFR + 2.06%), 7.39%, 12/21/2065 (a) (d)
|
1,790
|
1,457
|
Macquarie Airfinance Holdings Ltd. (United Kingdom) 6.40%, 3/26/2029 (a)
|
1,275
|
1,288
|
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (a)
|
2,995
|
3,025
|
OneMain Finance Corp.
|
||
7.13%, 3/15/2026
|
5,949
|
6,036
|
3.50%, 1/15/2027
|
3,249
|
3,005
|
6.63%, 1/15/2028
|
3,837
|
3,812
|
5.38%, 11/15/2029
|
3,139
|
2,919
|
Volkswagen International Finance NV (Germany) (EUR Swap Annual 10 Year + 3.37%), 3.88%,
6/14/2027 (d) (f) (g) (h)
|
3,400
|
3,528
|
|
|
173,306
|
Consumer Staples Distribution & Retail — 0.2%
|
||
7-Eleven, Inc.
|
||
0.95%, 2/10/2026 (a)
|
1,350
|
1,252
|
1.80%, 2/10/2031 (a)
|
1,078
|
860
|
2.50%, 2/10/2041 (a)
|
3,236
|
2,121
|
2.80%, 2/10/2051 (a)
|
4,126
|
2,466
|
Albertsons Cos., Inc.
|
||
4.63%, 1/15/2027 (a)
|
17,105
|
16,486
|
5.88%, 2/15/2028 (a)
|
1,063
|
1,045
|
3.50%, 3/15/2029 (a)
|
2,130
|
1,900
|
4.88%, 2/15/2030 (a)
|
981
|
918
|
Alimentation Couche-Tard, Inc. (Canada)
|
||
5.27%, 2/12/2034 (a)
|
1,480
|
1,453
|
3.44%, 5/13/2041 (a)
|
437
|
328
|
3.63%, 5/13/2051 (a)
|
491
|
350
|
5.62%, 2/12/2054 (a)
|
1,105
|
1,082
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Consumer Staples Distribution & Retail — continued
|
||
Kroger Co. (The) Series B, 7.70%, 6/1/2029
|
874
|
962
|
Performance Food Group, Inc. 5.50%, 10/15/2027 (a)
|
5,217
|
5,085
|
Rite Aid Corp. 8.00%, 11/15/2026 (a) (b)
|
4,607
|
2,303
|
Sysco Corp. 2.40%, 2/15/2030
|
3,883
|
3,337
|
Target Corp. 4.80%, 1/15/2053
|
1,935
|
1,758
|
|
|
43,706
|
Containers & Packaging — 0.4%
|
||
Ardagh Packaging Finance plc
|
||
4.13%, 8/15/2026 (a)
|
9,786
|
8,321
|
5.25%, 8/15/2027 (a)
|
1,725
|
1,014
|
Ball Corp.
|
||
6.00%, 6/15/2029
|
3,791
|
3,797
|
2.88%, 8/15/2030
|
1,855
|
1,567
|
Berry Global, Inc. 5.80%, 6/15/2031 (a)
|
19,755
|
19,656
|
Canpack SA (Poland) 3.88%, 11/15/2029 (a)
|
4,185
|
3,672
|
Crown Americas LLC 4.75%, 2/1/2026
|
1,801
|
1,768
|
Graphic Packaging International LLC
|
||
4.75%, 7/15/2027 (a)
|
2,157
|
2,089
|
3.50%, 3/15/2028 (a)
|
1,651
|
1,509
|
LABL, Inc. 6.75%, 7/15/2026 (a)
|
4,471
|
4,418
|
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a)
|
9,533
|
9,713
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
6,524
|
6,478
|
Packaging Corp. of America 3.05%, 10/1/2051
|
2,277
|
1,487
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a)
|
6,367
|
5,942
|
Sealed Air Corp. 4.00%, 12/1/2027 (a)
|
1,821
|
1,705
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
3,262
|
2,952
|
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (i)
|
4,613
|
4,548
|
WRKCo, Inc. 4.65%, 3/15/2026
|
2,427
|
2,389
|
|
|
83,025
|
Distributors — 0.0% ^
|
||
American Builders & Contractors Supply Co., Inc.
|
||
4.00%, 1/15/2028 (a)
|
3,883
|
3,616
|
3.88%, 11/15/2029 (a)
|
1,570
|
1,387
|
Ritchie Bros Holdings, Inc. (Canada)
|
||
6.75%, 3/15/2028 (a)
|
845
|
853
|
7.75%, 3/15/2031 (a)
|
2,641
|
2,757
|
|
|
8,613
|
Diversified Consumer Services — 0.1%
|
||
Service Corp. International 5.13%, 6/1/2029
|
4,985
|
4,791
|
University of Miami Series 2022, 4.06%, 4/1/2052
|
3,398
|
2,729
|
University of Southern California Series A, 3.23%, 10/1/2120
|
777
|
461
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a)
|
2,004
|
2,053
|
|
|
10,034
|
Diversified REITs — 0.1%
|
||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)
|
582
|
539
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Diversified REITs — continued
|
||
Safehold GL Holdings LLC 2.80%, 6/15/2031
|
4,854
|
4,036
|
Simon Property Group LP 3.25%, 9/13/2049
|
5,086
|
3,420
|
VICI Properties LP
|
||
3.75%, 2/15/2027 (a)
|
1,753
|
1,660
|
4.63%, 12/1/2029 (a)
|
3,923
|
3,672
|
4.13%, 8/15/2030 (a)
|
559
|
503
|
WP Carey, Inc.
|
||
4.25%, 10/1/2026
|
2,092
|
2,033
|
2.25%, 4/1/2033
|
2,796
|
2,128
|
|
|
17,991
|
Diversified Telecommunication Services — 0.9%
|
||
Altice France SA (France)
|
||
5.13%, 7/15/2029 (a)
|
1,886
|
1,265
|
5.50%, 10/15/2029 (a)
|
2,371
|
1,591
|
AT&T, Inc.
|
||
1.65%, 2/1/2028
|
8,737
|
7,721
|
2.55%, 12/1/2033
|
19,668
|
15,515
|
3.50%, 6/1/2041
|
5,594
|
4,269
|
3.50%, 9/15/2053
|
13,080
|
8,834
|
CCO Holdings LLC
|
||
5.00%, 2/1/2028 (a)
|
5,764
|
5,322
|
5.38%, 6/1/2029 (a)
|
8,636
|
7,736
|
4.75%, 3/1/2030 (a)
|
31,151
|
26,536
|
4.50%, 8/15/2030 (a)
|
14,596
|
12,128
|
4.25%, 2/1/2031 (a)
|
13,735
|
11,071
|
4.75%, 2/1/2032 (a)
|
1,010
|
813
|
4.50%, 5/1/2032
|
2,291
|
1,817
|
Embarq Corp. 8.00%, 6/1/2036
|
3,973
|
1,248
|
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)
|
5,065
|
4,932
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a)
|
13,218
|
12,433
|
Level 3 Financing, Inc.
|
||
4.88%, 6/15/2029 (a)
|
5,541
|
3,319
|
11.00%, 11/15/2029 (a)
|
901
|
924
|
Lumen Technologies, Inc.
|
||
4.13%, 4/15/2029 (a)
|
3,562
|
2,291
|
4.13%, 4/15/2030 (a)
|
9,487
|
6,067
|
NBN Co. Ltd. (Australia) 5.75%, 10/6/2028 (a)
|
2,000
|
2,048
|
Sitios Latinoamerica SAB de CV (Brazil) 5.38%, 4/4/2032 (a)
|
2,279
|
2,092
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
4,475
|
4,726
|
Telecom Italia Capital SA (Italy)
|
||
6.38%, 11/15/2033
|
149
|
132
|
6.38%, 11/15/2033 (a)
|
881
|
851
|
6.00%, 9/30/2034
|
179
|
151
|
6.00%, 9/30/2034 (a)
|
2,780
|
2,666
|
Verizon Communications, Inc.
|
||
2.10%, 3/22/2028
|
1,276
|
1,143
|
4.33%, 9/21/2028
|
2,156
|
2,089
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Diversified Telecommunication Services — continued
|
||
4.02%, 12/3/2029
|
11,662
|
11,005
|
3.40%, 3/22/2041
|
2,355
|
1,802
|
2.99%, 10/30/2056
|
4,360
|
2,659
|
3.70%, 3/22/2061
|
2,325
|
1,640
|
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)
|
5,778
|
5,227
|
|
|
174,063
|
Electric Utilities — 2.6%
|
||
AEP Transmission Co. LLC
|
||
3.15%, 9/15/2049
|
471
|
310
|
Series M, 3.65%, 4/1/2050
|
1,942
|
1,414
|
Series N, 2.75%, 8/15/2051
|
2,427
|
1,459
|
Alabama Power Co.
|
||
6.13%, 5/15/2038
|
865
|
900
|
5.50%, 3/15/2041
|
1,214
|
1,171
|
Series A, 4.30%, 7/15/2048
|
340
|
280
|
Arizona Public Service Co.
|
||
4.70%, 1/15/2044
|
146
|
120
|
4.25%, 3/1/2049
|
971
|
758
|
Baltimore Gas and Electric Co.
|
||
4.25%, 9/15/2048
|
1,360
|
1,099
|
3.20%, 9/15/2049
|
1,432
|
952
|
2.90%, 6/15/2050
|
816
|
509
|
CenterPoint Energy Houston Electric LLC Series AD, 2.90%, 7/1/2050
|
1,942
|
1,241
|
Comision Federal de Electricidad (Mexico) 3.35%, 2/9/2031 (a)
|
11,599
|
9,568
|
Commonwealth Edison Co. 4.00%, 3/1/2048
|
292
|
227
|
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048
|
1,637
|
1,298
|
Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030
|
3,826
|
3,824
|
DTE Electric Co.
|
||
5.20%, 3/1/2034
|
3,400
|
3,362
|
3.95%, 6/15/2042
|
370
|
294
|
Series A, 4.00%, 4/1/2043
|
4,728
|
3,865
|
5.40%, 4/1/2053
|
1,034
|
1,010
|
DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037
|
3,700
|
3,913
|
Duke Energy Carolinas LLC
|
||
4.85%, 1/15/2034
|
7,000
|
6,743
|
3.70%, 12/1/2047
|
971
|
712
|
Duke Energy Florida LLC
|
||
1.75%, 6/15/2030
|
4,223
|
3,476
|
5.90%, 3/1/2033
|
400
|
407
|
6.20%, 11/15/2053
|
1,985
|
2,114
|
Duke Energy Indiana LLC
|
||
Series YYY, 3.25%, 10/1/2049
|
2,170
|
1,459
|
2.75%, 4/1/2050
|
9,897
|
5,981
|
5.40%, 4/1/2053
|
5,189
|
4,915
|
Duke Energy Ohio, Inc.
|
||
5.25%, 4/1/2033
|
9,542
|
9,449
|
4.30%, 2/1/2049
|
1,427
|
1,141
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Duke Energy Progress LLC
|
||
4.10%, 5/15/2042
|
297
|
243
|
3.70%, 10/15/2046
|
195
|
146
|
Edison International
|
||
5.25%, 11/15/2028
|
1,651
|
1,634
|
6.95%, 11/15/2029
|
1,942
|
2,065
|
Electricite de France SA (France)
|
||
5.95%, 4/22/2034 (a)
|
3,435
|
3,461
|
6.90%, 5/23/2053 (a)
|
5,450
|
5,837
|
Emera US Finance LP (Canada) 2.64%, 6/15/2031
|
14,105
|
11,519
|
Enel Finance International NV (Italy) 2.25%, 7/12/2031 (a) (i)
|
9,394
|
7,654
|
Enel SpA (Italy) Series 6.5Y, (EUR Swap Annual 5 Year + 1.72%), 1.38%, 6/8/2027 (d) (f) (g) (h)
|
21,700
|
21,050
|
Entergy Arkansas LLC 5.75%, 6/1/2054
|
840
|
834
|
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%),
7.13%, 12/1/2054 (d)
|
7,370
|
7,339
|
Entergy Louisiana LLC
|
||
3.12%, 9/1/2027
|
729
|
685
|
1.60%, 12/15/2030
|
7,252
|
5,779
|
4.20%, 4/1/2050
|
1,360
|
1,073
|
2.90%, 3/15/2051
|
3,920
|
2,377
|
5.70%, 3/15/2054
|
6,300
|
6,205
|
Entergy Mississippi LLC
|
||
5.00%, 9/1/2033
|
3,252
|
3,141
|
3.85%, 6/1/2049
|
486
|
360
|
3.50%, 6/1/2051
|
1,534
|
1,066
|
5.85%, 6/1/2054
|
2,885
|
2,873
|
Entergy Texas Restoration Funding LLC Series A-2, 3.70%, 12/15/2035
|
2,825
|
2,509
|
Entergy Texas, Inc.
|
||
1.75%, 3/15/2031
|
17,722
|
14,280
|
3.55%, 9/30/2049
|
753
|
531
|
Evergy Metro, Inc. 4.20%, 6/15/2047
|
714
|
570
|
Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038
|
2,080
|
2,072
|
Exelon Corp. 4.95%, 6/15/2035
|
120
|
112
|
FirstEnergy Transmission LLC
|
||
5.45%, 7/15/2044 (a)
|
777
|
732
|
4.55%, 4/1/2049 (a)
|
4,239
|
3,466
|
Florida Power & Light Co.
|
||
5.40%, 9/1/2035
|
583
|
583
|
3.70%, 12/1/2047
|
4,466
|
3,386
|
3.95%, 3/1/2048
|
646
|
510
|
Georgia Power Co. 5.25%, 3/15/2034
|
3,400
|
3,376
|
Interchile SA (Chile) 4.50%, 6/30/2056 (a)
|
3,097
|
2,565
|
Interstate Power and Light Co. 4.10%, 9/26/2028
|
777
|
743
|
ITC Holdings Corp.
|
||
4.95%, 9/22/2027 (a)
|
5,867
|
5,792
|
2.95%, 5/14/2030 (a)
|
3,883
|
3,396
|
5.40%, 6/1/2033 (a)
|
5,973
|
5,882
|
5.65%, 5/9/2034 (a)
|
9,145
|
9,124
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Jersey Central Power & Light Co. 6.15%, 6/1/2037
|
777
|
790
|
Massachusetts Electric Co. 5.90%, 11/15/2039 (a)
|
960
|
951
|
MidAmerican Energy Co. 3.65%, 8/1/2048
|
1,942
|
1,445
|
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a)
|
7,631
|
7,301
|
Mississippi Power Co. 3.95%, 3/30/2028
|
544
|
520
|
Monongahela Power Co. 5.85%, 2/15/2034 (a)
|
9,250
|
9,371
|
Nevada Power Co.
|
||
5.38%, 9/15/2040
|
608
|
576
|
6.00%, 3/15/2054
|
1,510
|
1,534
|
NextEra Energy Capital Holdings, Inc.
|
||
5.75%, 9/1/2025
|
5,430
|
5,439
|
3.55%, 5/1/2027
|
522
|
498
|
5.25%, 2/28/2053
|
1,379
|
1,282
|
5.55%, 3/15/2054
|
2,650
|
2,564
|
NextEra Energy Operating Partners LP 4.25%, 9/15/2024 (a)
|
85
|
84
|
Niagara Mohawk Power Corp. 4.28%, 12/15/2028 (a)
|
631
|
598
|
Northern States Power Co.
|
||
6.20%, 7/1/2037
|
168
|
179
|
2.60%, 6/1/2051
|
1,127
|
672
|
4.50%, 6/1/2052
|
2,602
|
2,198
|
NRG Energy, Inc.
|
||
6.63%, 1/15/2027
|
659
|
658
|
2.45%, 12/2/2027 (a)
|
2,549
|
2,289
|
5.75%, 1/15/2028
|
1,162
|
1,140
|
3.38%, 2/15/2029 (a)
|
4,251
|
3,763
|
5.25%, 6/15/2029 (a)
|
10,013
|
9,551
|
3.63%, 2/15/2031 (a)
|
614
|
526
|
3.88%, 2/15/2032 (a)
|
133
|
114
|
OGE Energy Corp. 5.45%, 5/15/2029
|
3,085
|
3,093
|
Ohio Power Co.
|
||
4.00%, 6/1/2049
|
583
|
443
|
Series R, 2.90%, 10/1/2051
|
6,567
|
4,045
|
Oncor Electric Delivery Co. LLC
|
||
3.10%, 9/15/2049
|
971
|
647
|
5.35%, 10/1/2052
|
534
|
512
|
Pacific Gas and Electric Co.
|
||
3.45%, 7/1/2025
|
1,582
|
1,545
|
2.95%, 3/1/2026
|
1,000
|
954
|
4.65%, 8/1/2028
|
11,889
|
11,437
|
6.10%, 1/15/2029
|
1,282
|
1,308
|
4.55%, 7/1/2030
|
12,496
|
11,799
|
6.40%, 6/15/2033
|
11,604
|
12,045
|
6.95%, 3/15/2034
|
7,015
|
7,564
|
5.80%, 5/15/2034
|
11,605
|
11,577
|
4.20%, 6/1/2041
|
1,622
|
1,278
|
4.60%, 6/15/2043
|
1,894
|
1,542
|
4.25%, 3/15/2046
|
8,491
|
6,431
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
6.75%, 1/15/2053
|
4,025
|
4,253
|
PacifiCorp 4.15%, 2/15/2050
|
4,897
|
3,724
|
Palomino Funding Trust I 7.23%, 5/17/2028 (a)
|
2,000
|
2,085
|
PECO Energy Co. 2.80%, 6/15/2050
|
729
|
458
|
Pepco Holdings LLC 7.45%, 8/15/2032
|
971
|
1,058
|
PG&E Corp.
|
||
5.00%, 7/1/2028
|
6,548
|
6,277
|
5.25%, 7/1/2030
|
2,296
|
2,187
|
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047
|
3,951
|
3,927
|
PG&E Wildfire Recovery Funding LLC
|
||
Series A-2, 4.26%, 6/1/2036
|
1,059
|
982
|
Series A-4, 5.21%, 12/1/2047
|
777
|
741
|
Series A-5, 5.10%, 6/1/2052
|
2,850
|
2,713
|
Pinnacle West Capital Corp. 1.30%, 6/15/2025
|
777
|
741
|
Potomac Electric Power Co. 6.50%, 11/15/2037
|
350
|
386
|
PPL Electric Utilities Corp. 5.25%, 5/15/2053
|
1,384
|
1,320
|
Public Service Co. of Colorado
|
||
4.05%, 9/15/2049
|
2,573
|
1,964
|
2.70%, 1/15/2051
|
3,097
|
1,807
|
Public Service Co. of Oklahoma
|
||
5.25%, 1/15/2033
|
1,292
|
1,259
|
Series G, 6.63%, 11/15/2037
|
1,068
|
1,130
|
Public Service Electric and Gas Co.
|
||
5.80%, 5/1/2037
|
826
|
851
|
5.38%, 11/1/2039
|
404
|
392
|
2.05%, 8/1/2050
|
2,950
|
1,591
|
SCE Recovery Funding LLC
|
||
Series A-1, 4.70%, 6/15/2040
|
1,021
|
982
|
Series A-2, 5.11%, 12/15/2047
|
311
|
295
|
Sigeco Securitization I LLC
|
||
Series A1, 5.03%, 11/15/2036
|
707
|
695
|
Series A2, 5.17%, 5/15/2041
|
298
|
290
|
Southern California Edison Co.
|
||
Series B, 3.65%, 3/1/2028
|
971
|
917
|
5.30%, 3/1/2028
|
14,913
|
14,948
|
5.65%, 10/1/2028
|
3,600
|
3,658
|
2.85%, 8/1/2029
|
1,748
|
1,558
|
5.45%, 6/1/2031
|
3,540
|
3,552
|
Series 06-E, 5.55%, 1/15/2037
|
437
|
429
|
Series 08-A, 5.95%, 2/1/2038
|
277
|
280
|
Series C, 3.60%, 2/1/2045
|
1,233
|
903
|
Series C, 4.13%, 3/1/2048
|
971
|
759
|
Series 20A, 2.95%, 2/1/2051
|
8,553
|
5,335
|
5.88%, 12/1/2053
|
9,757
|
9,742
|
5.75%, 4/15/2054
|
2,060
|
2,029
|
Southern Co. (The) 5.70%, 3/15/2034
|
1,995
|
2,024
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Southwestern Electric Power Co.
|
||
Series N, 1.65%, 3/15/2026
|
2,369
|
2,217
|
5.30%, 4/1/2033
|
2,214
|
2,140
|
Series J, 3.90%, 4/1/2045
|
1,206
|
890
|
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (a)
|
3,287
|
3,006
|
Tucson Electric Power Co.
|
||
4.85%, 12/1/2048
|
583
|
506
|
5.50%, 4/15/2053
|
2,597
|
2,504
|
Union Electric Co.
|
||
5.20%, 4/1/2034
|
2,310
|
2,277
|
4.00%, 4/1/2048
|
1,991
|
1,536
|
3.90%, 4/1/2052
|
1,262
|
968
|
5.25%, 1/15/2054
|
3,765
|
3,506
|
Virginia Electric and Power Co.
|
||
6.35%, 11/30/2037
|
229
|
241
|
8.88%, 11/15/2038
|
651
|
846
|
Virginia Power Fuel Securitization LLC Series A-2, 4.88%, 5/1/2031
|
1,085
|
1,077
|
Vistra Operations Co. LLC
|
||
5.50%, 9/1/2026 (a)
|
3,924
|
3,859
|
5.63%, 2/15/2027 (a)
|
4,331
|
4,262
|
5.00%, 7/31/2027 (a)
|
6,244
|
6,039
|
4.38%, 5/1/2029 (a)
|
3,033
|
2,807
|
4.30%, 7/15/2029 (a)
|
4,854
|
4,547
|
7.75%, 10/15/2031 (a)
|
4,000
|
4,156
|
6.00%, 4/15/2034 (a)
|
28,434
|
28,475
|
Xcel Energy, Inc. 3.40%, 6/1/2030
|
2,185
|
1,957
|
|
|
515,262
|
Electrical Equipment — 0.0% ^
|
||
Eaton Corp. 4.15%, 11/2/2042
|
2,427
|
2,073
|
Regal Rexnord Corp.
|
||
6.30%, 2/15/2030
|
1,181
|
1,209
|
6.40%, 4/15/2033
|
1,654
|
1,702
|
Sensata Technologies BV 5.00%, 10/1/2025 (a)
|
538
|
542
|
Vertiv Group Corp. 4.13%, 11/15/2028 (a)
|
539
|
500
|
|
|
6,026
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
Arrow Electronics, Inc. 4.00%, 4/1/2025
|
634
|
625
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
6,307
|
5,881
|
Corning, Inc. 5.35%, 11/15/2048
|
4,854
|
4,535
|
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a)
|
1,054
|
909
|
|
|
11,950
|
Energy Equipment & Services — 0.1%
|
||
Baker Hughes Holdings LLC
|
||
5.13%, 9/15/2040
|
877
|
834
|
4.08%, 12/15/2047
|
1,864
|
1,491
|
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a)
|
1,895
|
1,990
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Energy Equipment & Services — continued
|
||
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)
|
5,494
|
4,994
|
Halliburton Co.
|
||
4.75%, 8/1/2043
|
263
|
233
|
7.60%, 8/15/2096 (a)
|
267
|
292
|
Nabors Industries, Inc. 7.38%, 5/15/2027 (a)
|
2,655
|
2,649
|
Noble Finance II LLC 8.00%, 4/15/2030 (a)
|
2,780
|
2,868
|
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)
|
2,949
|
2,948
|
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a)
|
754
|
719
|
Transocean, Inc. 8.75%, 2/15/2030 (a)
|
2,268
|
2,366
|
USA Compression Partners LP 6.88%, 9/1/2027
|
3,398
|
3,398
|
Valaris Ltd. 8.38%, 4/30/2030 (a)
|
3,420
|
3,535
|
|
|
28,317
|
Entertainment — 0.3%
|
||
Cinemark USA, Inc.
|
||
5.88%, 3/15/2026 (a)
|
1,546
|
1,523
|
5.25%, 7/15/2028 (a)
|
4,406
|
4,113
|
Live Nation Entertainment, Inc.
|
||
5.63%, 3/15/2026 (a)
|
1,638
|
1,614
|
6.50%, 5/15/2027 (a)
|
7,241
|
7,279
|
4.75%, 10/15/2027 (a)
|
3,883
|
3,679
|
Netflix, Inc. 5.38%, 11/15/2029 (a)
|
8,086
|
8,140
|
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027
|
831
|
797
|
Warnermedia Holdings, Inc.
|
||
4.28%, 3/15/2032
|
14,256
|
12,477
|
5.05%, 3/15/2042
|
12,290
|
10,157
|
WMG Acquisition Corp. 3.88%, 7/15/2030 (a)
|
4,758
|
4,206
|
|
|
53,985
|
Financial Services — 0.3%
|
||
Block, Inc.
|
||
3.50%, 6/1/2031
|
5,263
|
4,508
|
6.50%, 5/15/2032 (a)
|
4,826
|
4,871
|
Boost Newco Borrower LLC 7.50%, 1/15/2031 (a)
|
1,875
|
1,943
|
Fidelity National Information Services, Inc. 4.50%, 8/15/2046
|
1,942
|
1,599
|
Global Payments, Inc. 2.90%, 11/15/2031
|
7,301
|
6,077
|
National Rural Utilities Cooperative Finance Corp. 5.00%, 2/7/2031
|
1,210
|
1,204
|
Nationstar Mortgage Holdings, Inc.
|
||
6.00%, 1/15/2027 (a)
|
5,446
|
5,371
|
5.50%, 8/15/2028 (a)
|
1,425
|
1,360
|
Nationwide Building Society (United Kingdom)
|
||
1.00%, 8/28/2025 (a)
|
555
|
524
|
(SOFR + 1.91%), 6.56%, 10/18/2027 (a) (d)
|
2,650
|
2,702
|
NCR Atleos Corp. 9.50%, 4/1/2029 (a)
|
3,466
|
3,739
|
Petronas Capital Ltd. (Malaysia) 2.48%, 1/28/2032 (a)
|
4,000
|
3,306
|
Rocket Mortgage LLC
|
||
2.88%, 10/15/2026 (a)
|
2,937
|
2,732
|
3.63%, 3/1/2029 (a)
|
2,851
|
2,550
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Financial Services — continued
|
||
3.88%, 3/1/2031 (a)
|
2,370
|
2,049
|
4.00%, 10/15/2033 (a)
|
565
|
469
|
Shell International Finance BV
|
||
3.63%, 8/21/2042
|
6,407
|
5,093
|
4.00%, 5/10/2046
|
2,913
|
2,342
|
Siemens Financieringsmaatschappij NV (Germany) 3.30%, 9/15/2046 (a)
|
2,000
|
1,469
|
Visa, Inc. 2.70%, 4/15/2040
|
1,457
|
1,058
|
|
|
54,966
|
Food Products — 0.2%
|
||
Archer-Daniels-Midland Co. 4.50%, 3/15/2049
|
1,165
|
983
|
Bimbo Bakeries USA, Inc. (Mexico) 6.05%, 1/15/2029 (a)
|
510
|
520
|
Campbell Soup Co. 4.15%, 3/15/2028
|
1,651
|
1,592
|
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a)
|
4,736
|
4,608
|
JBS USA Holding Lux SARL
|
||
3.75%, 12/1/2031
|
2,040
|
1,766
|
3.00%, 5/15/2032
|
5,910
|
4,800
|
6.75%, 3/15/2034 (a)
|
1,080
|
1,135
|
Lamb Weston Holdings, Inc.
|
||
4.88%, 5/15/2028 (a)
|
2,000
|
1,932
|
4.13%, 1/31/2030 (a)
|
2,821
|
2,537
|
4.38%, 1/31/2032 (a)
|
941
|
831
|
Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044
|
971
|
844
|
Post Holdings, Inc.
|
||
5.50%, 12/15/2029 (a)
|
2,680
|
2,553
|
4.63%, 4/15/2030 (a)
|
2,694
|
2,446
|
6.25%, 2/15/2032 (a)
|
1,092
|
1,086
|
Tyson Foods, Inc. 5.70%, 3/15/2034
|
3,660
|
3,638
|
Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (a)
|
6,574
|
5,637
|
|
|
36,908
|
Gas Utilities — 0.1%
|
||
AmeriGas Partners LP
|
||
5.88%, 8/20/2026
|
1,432
|
1,384
|
5.75%, 5/20/2027
|
2,131
|
2,032
|
Atmos Energy Corp.
|
||
5.50%, 6/15/2041
|
1,078
|
1,069
|
4.15%, 1/15/2043
|
565
|
475
|
2.85%, 2/15/2052
|
928
|
576
|
5.75%, 10/15/2052
|
2,083
|
2,126
|
Brooklyn Union Gas Co. (The)
|
||
3.87%, 3/4/2029 (a)
|
1,000
|
929
|
4.27%, 3/15/2048 (a)
|
971
|
730
|
ONE Gas, Inc. 4.50%, 11/1/2048
|
389
|
327
|
Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029
|
777
|
715
|
Southern California Gas Co. Series XX, 2.55%, 2/1/2030
|
695
|
603
|
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a)
|
3,859
|
3,511
|
|
|
14,477
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Ground Transportation — 0.3%
|
||
Avis Budget Car Rental LLC
|
||
5.75%, 7/15/2027 (a)
|
4,145
|
3,979
|
5.38%, 3/1/2029 (a)
|
1,952
|
1,781
|
8.00%, 2/15/2031 (a)
|
2,565
|
2,531
|
Burlington Northern Santa Fe LLC
|
||
7.08%, 5/13/2029
|
98
|
107
|
6.15%, 5/1/2037
|
1,629
|
1,751
|
4.38%, 9/1/2042
|
2,437
|
2,116
|
3.55%, 2/15/2050
|
1,873
|
1,365
|
5.20%, 4/15/2054
|
12,708
|
12,085
|
CSX Corp. 4.50%, 11/15/2052
|
2,000
|
1,708
|
ERAC USA Finance LLC
|
||
5.00%, 2/15/2029 (a)
|
1,500
|
1,490
|
5.20%, 10/30/2034 (a)
|
710
|
698
|
7.00%, 10/15/2037 (a)
|
283
|
318
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (a)
|
971
|
875
|
Hertz Corp. (The) 4.63%, 12/1/2026 (a)
|
6,538
|
5,076
|
Norfolk Southern Corp. 4.05%, 8/15/2052
|
971
|
746
|
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a)
|
2,102
|
1,972
|
SMBC Aviation Capital Finance DAC (Ireland) 5.30%, 4/3/2029 (a)
|
6,840
|
6,757
|
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a)
|
2,913
|
2,909
|
Uber Technologies, Inc. 4.50%, 8/15/2029 (a)
|
2,233
|
2,105
|
Union Pacific Corp. 3.50%, 2/14/2053
|
2,655
|
1,906
|
XPO, Inc.
|
||
6.25%, 6/1/2028 (a)
|
1,772
|
1,767
|
7.13%, 6/1/2031 (a)
|
6,035
|
6,158
|
|
|
60,200
|
Health Care Equipment & Supplies — 0.2%
|
||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
3,528
|
3,320
|
Baxter International, Inc. 3.13%, 12/1/2051
|
3,000
|
1,877
|
Becton Dickinson & Co. 3.70%, 6/6/2027
|
2,427
|
2,324
|
DH Europe Finance II SARL 3.25%, 11/15/2039
|
1,360
|
1,070
|
Hologic, Inc.
|
||
4.63%, 2/1/2028 (a)
|
1,110
|
1,066
|
3.25%, 2/15/2029 (a)
|
4,368
|
3,900
|
Medline Borrower LP
|
||
3.88%, 4/1/2029 (a)
|
11,558
|
10,520
|
6.25%, 4/1/2029 (a)
|
2,693
|
2,693
|
5.25%, 10/1/2029 (a)
|
3,258
|
3,071
|
|
|
29,841
|
Health Care Providers & Services — 1.1%
|
||
Acadia Healthcare Co., Inc.
|
||
5.50%, 7/1/2028 (a)
|
3,921
|
3,813
|
5.00%, 4/15/2029 (a)
|
2,427
|
2,288
|
AdaptHealth LLC 4.63%, 8/1/2029 (a)
|
4,267
|
3,654
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care Providers & Services — continued
|
||
Aetna, Inc.
|
||
4.50%, 5/15/2042
|
218
|
182
|
4.13%, 11/15/2042
|
534
|
423
|
3.88%, 8/15/2047
|
6,691
|
4,906
|
Ascension Health 3.95%, 11/15/2046
|
667
|
549
|
Banner Health 1.90%, 1/1/2031
|
2,368
|
1,950
|
Cencora, Inc. 5.13%, 2/15/2034
|
9,030
|
8,837
|
Children's Hospital Series 2020, 2.93%, 7/15/2050
|
741
|
473
|
Cigna Group (The) 5.13%, 5/15/2031
|
3,480
|
3,443
|
CommonSpirit Health
|
||
1.55%, 10/1/2025
|
1,238
|
1,171
|
2.78%, 10/1/2030
|
1,238
|
1,065
|
3.91%, 10/1/2050
|
1,219
|
919
|
Community Health Systems, Inc.
|
||
5.63%, 3/15/2027 (a)
|
5,789
|
5,483
|
4.75%, 2/15/2031 (a)
|
6,136
|
4,845
|
Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049
|
486
|
345
|
CVS Health Corp.
|
||
4.30%, 3/25/2028
|
1,421
|
1,369
|
5.13%, 2/21/2030
|
4,536
|
4,460
|
5.25%, 2/21/2033
|
4,165
|
4,049
|
DaVita, Inc.
|
||
4.63%, 6/1/2030 (a)
|
4,788
|
4,289
|
3.75%, 2/15/2031 (a)
|
1,882
|
1,579
|
Encompass Health Corp.
|
||
4.50%, 2/1/2028
|
4,985
|
4,709
|
4.75%, 2/1/2030
|
4,989
|
4,618
|
4.63%, 4/1/2031
|
1,366
|
1,235
|
Hackensack Meridian Health, Inc. Series 2020, 2.88%, 9/1/2050
|
1,580
|
1,024
|
Hartford HealthCare Corp. 3.45%, 7/1/2054
|
2,282
|
1,627
|
HCA, Inc.
|
||
4.50%, 2/15/2027
|
19,711
|
19,237
|
5.63%, 9/1/2028
|
4,916
|
4,942
|
3.50%, 9/1/2030
|
1,095
|
980
|
2.38%, 7/15/2031
|
4,819
|
3,931
|
5.60%, 4/1/2034
|
5,000
|
4,957
|
5.50%, 6/15/2047
|
9,800
|
9,099
|
5.25%, 6/15/2049
|
6,985
|
6,196
|
3.50%, 7/15/2051
|
1,273
|
849
|
4.63%, 3/15/2052
|
3,010
|
2,426
|
6.00%, 4/1/2054
|
5,000
|
4,910
|
Memorial Health Services 3.45%, 11/1/2049
|
627
|
458
|
Memorial Sloan-Kettering Cancer Center
|
||
4.13%, 7/1/2052
|
219
|
179
|
Series 2015, 4.20%, 7/1/2055
|
763
|
630
|
Mount Sinai Hospital Series 2017, 3.98%, 7/1/2048
|
647
|
507
|
MultiCare Health System 2.80%, 8/15/2050
|
345
|
204
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care Providers & Services — continued
|
||
MyMichigan Health Series 2020, 3.41%, 6/1/2050
|
928
|
661
|
New York and Presbyterian Hospital (The) 2.61%, 8/1/2060
|
680
|
379
|
NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055
|
1,078
|
737
|
Owens & Minor, Inc.
|
||
4.38%, 12/15/2024
|
1,195
|
1,183
|
6.63%, 4/1/2030 (a)
|
4,466
|
4,246
|
Quest Diagnostics, Inc. 2.95%, 6/30/2030
|
971
|
856
|
Tenet Healthcare Corp.
|
||
6.25%, 2/1/2027
|
486
|
486
|
5.13%, 11/1/2027
|
13,137
|
12,801
|
4.63%, 6/15/2028
|
5,461
|
5,190
|
4.25%, 6/1/2029
|
8,735
|
8,081
|
6.13%, 6/15/2030
|
11,278
|
11,178
|
6.75%, 5/15/2031 (a)
|
4,755
|
4,799
|
Texas Health Resources
|
||
2.33%, 11/15/2050
|
486
|
278
|
4.33%, 11/15/2055
|
1,044
|
873
|
UnitedHealth Group, Inc.
|
||
3.95%, 10/15/2042
|
598
|
495
|
3.75%, 10/15/2047
|
1,088
|
832
|
3.25%, 5/15/2051
|
1,898
|
1,300
|
5.88%, 2/15/2053
|
7,903
|
8,180
|
5.05%, 4/15/2053
|
16,338
|
15,068
|
3.88%, 8/15/2059
|
782
|
581
|
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050
|
942
|
560
|
|
|
211,574
|
Health Care REITs — 0.0% ^
|
||
Healthcare Realty Holdings LP 3.10%, 2/15/2030
|
4,500
|
3,907
|
Healthpeak OP LLC 3.00%, 1/15/2030
|
486
|
429
|
MPT Operating Partnership LP 4.63%, 8/1/2029
|
1,384
|
1,008
|
Sabra Health Care LP 3.20%, 12/1/2031
|
2,194
|
1,808
|
Ventas Realty LP
|
||
3.50%, 2/1/2025
|
435
|
428
|
4.13%, 1/15/2026
|
84
|
82
|
3.25%, 10/15/2026
|
212
|
201
|
3.85%, 4/1/2027
|
600
|
575
|
|
|
8,438
|
Health Care Technology — 0.0% ^
|
||
IQVIA, Inc.
|
||
5.00%, 10/15/2026 (a)
|
2,575
|
2,518
|
5.00%, 5/15/2027 (a)
|
5,377
|
5,223
|
|
|
7,741
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Hotel & Resort REITs — 0.0% ^
|
||
RHP Hotel Properties LP
|
||
4.75%, 10/15/2027
|
7,088
|
6,797
|
7.25%, 7/15/2028 (a)
|
971
|
992
|
|
|
7,789
|
Hotels, Restaurants & Leisure — 0.7%
|
||
1011778 BC ULC (Canada) 4.00%, 10/15/2030 (a)
|
3,237
|
2,817
|
Boyd Gaming Corp. 4.75%, 12/1/2027
|
3,927
|
3,738
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
4,500
|
4,156
|
Caesars Entertainment, Inc.
|
||
4.63%, 10/15/2029 (a)
|
5,655
|
5,109
|
7.00%, 2/15/2030 (a)
|
6,300
|
6,368
|
6.50%, 2/15/2032 (a)
|
4,192
|
4,145
|
Carnival Corp.
|
||
4.00%, 8/1/2028 (a)
|
1,841
|
1,691
|
10.50%, 6/1/2030 (a)
|
1,000
|
1,087
|
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a)
|
7,549
|
8,173
|
Cedar Fair LP
|
||
6.50%, 10/1/2028
|
5,335
|
5,325
|
5.25%, 7/15/2029
|
1,641
|
1,546
|
Hilton Domestic Operating Co., Inc.
|
||
5.38%, 5/1/2025 (a)
|
1,384
|
1,377
|
5.75%, 5/1/2028 (a)
|
855
|
847
|
3.75%, 5/1/2029 (a)
|
3,424
|
3,103
|
4.88%, 1/15/2030
|
2,112
|
1,997
|
4.00%, 5/1/2031 (a)
|
367
|
324
|
3.63%, 2/15/2032 (a)
|
1,423
|
1,207
|
Hilton Worldwide Finance LLC 4.88%, 4/1/2027
|
1,355
|
1,319
|
McDonald's Corp. 5.45%, 8/14/2053
|
1,570
|
1,524
|
MGM Resorts International
|
||
5.75%, 6/15/2025
|
3,920
|
3,910
|
4.63%, 9/1/2026
|
2,015
|
1,955
|
5.50%, 4/15/2027
|
2,876
|
2,828
|
6.50%, 4/15/2032
|
1,675
|
1,638
|
Royal Caribbean Cruises Ltd.
|
||
5.38%, 7/15/2027 (a)
|
2,000
|
1,960
|
8.25%, 1/15/2029 (a)
|
4,413
|
4,645
|
9.25%, 1/15/2029 (a)
|
7,071
|
7,532
|
7.25%, 1/15/2030 (a)
|
7,580
|
7,830
|
6.25%, 3/15/2032 (a)
|
2,095
|
2,085
|
Six Flags Entertainment Corp.
|
||
5.50%, 4/15/2027 (a)
|
2,233
|
2,189
|
6.63%, 5/1/2032 (a)
|
2,416
|
2,418
|
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)
|
534
|
535
|
Starbucks Corp.
|
||
4.90%, 2/15/2031
|
2,140
|
2,107
|
4.80%, 2/15/2033
|
3,087
|
2,996
|
Station Casinos LLC 4.50%, 2/15/2028 (a)
|
2,258
|
2,103
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Hotels, Restaurants & Leisure — continued
|
||
Vail Resorts, Inc. 6.50%, 5/15/2032 (a)
|
4,665
|
4,695
|
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a)
|
2,801
|
2,726
|
Wynn Macau Ltd. (Macau)
|
||
4.88%, 10/1/2024 (a)
|
1,925
|
1,913
|
5.63%, 8/26/2028 (a)
|
2,990
|
2,797
|
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a)
|
10,101
|
9,499
|
Yum! Brands, Inc.
|
||
4.75%, 1/15/2030 (a)
|
781
|
736
|
3.63%, 3/15/2031
|
1,185
|
1,032
|
4.63%, 1/31/2032
|
4,659
|
4,244
|
|
|
130,226
|
Household Durables — 0.1%
|
||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a)
|
4,184
|
4,151
|
Newell Brands, Inc.
|
||
5.70%, 4/1/2026 (i)
|
8,484
|
8,377
|
6.63%, 9/15/2029
|
4,524
|
4,426
|
6.87%, 4/1/2036 (i)
|
4,374
|
3,884
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)
|
9,348
|
8,382
|
|
|
29,220
|
Household Products — 0.1%
|
||
Central Garden & Pet Co.
|
||
5.13%, 2/1/2028
|
520
|
500
|
4.13%, 10/15/2030
|
4,019
|
3,559
|
4.13%, 4/30/2031 (a)
|
724
|
633
|
Energizer Holdings, Inc.
|
||
4.75%, 6/15/2028 (a)
|
4,985
|
4,599
|
4.38%, 3/31/2029 (a)
|
3,782
|
3,362
|
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a)
|
3,791
|
3,789
|
|
|
16,442
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
Calpine Corp.
|
||
5.25%, 6/1/2026 (a)
|
3,171
|
3,133
|
4.50%, 2/15/2028 (a)
|
2,913
|
2,739
|
5.13%, 3/15/2028 (a)
|
3,825
|
3,645
|
Constellation Energy Generation LLC
|
||
3.25%, 6/1/2025
|
578
|
565
|
5.80%, 3/1/2033
|
816
|
829
|
6.25%, 10/1/2039
|
195
|
202
|
5.75%, 10/1/2041
|
6,850
|
6,662
|
5.60%, 6/15/2042
|
8,961
|
8,617
|
6.50%, 10/1/2053
|
11,126
|
11,881
|
5.75%, 3/15/2054
|
4,005
|
3,884
|
|
|
42,157
|
Industrial Conglomerates — 0.0% ^
|
||
Honeywell International, Inc. 5.25%, 3/1/2054
|
4,740
|
4,595
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Industrial REITs — 0.0% ^
|
||
Prologis LP
|
||
1.75%, 7/1/2030
|
2,427
|
1,989
|
3.00%, 4/15/2050
|
4,989
|
3,247
|
2.13%, 10/15/2050
|
1,457
|
782
|
|
|
6,018
|
Insurance — 0.4%
|
||
Aflac, Inc. 3.60%, 4/1/2030
|
2,427
|
2,238
|
AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (a)
|
1,680
|
1,209
|
Aon Corp.
|
||
5.35%, 2/28/2033
|
864
|
851
|
6.25%, 9/30/2040
|
233
|
246
|
Arthur J Gallagher & Co. 5.75%, 7/15/2054
|
2,630
|
2,555
|
Athene Global Funding
|
||
1.45%, 1/8/2026 (a)
|
1,719
|
1,607
|
2.95%, 11/12/2026 (a)
|
4,369
|
4,106
|
Berkshire Hathaway Finance Corp.
|
||
2.50%, 1/15/2051
|
2,190
|
1,324
|
3.85%, 3/15/2052
|
4,281
|
3,291
|
Cincinnati Financial Corp. 6.13%, 11/1/2034
|
1,068
|
1,111
|
CNA Financial Corp. 5.13%, 2/15/2034
|
1,700
|
1,626
|
CNO Global Funding 5.88%, 6/4/2027 (a)
|
6,500
|
6,516
|
F&G Annuities & Life, Inc.
|
||
7.40%, 1/13/2028
|
3,000
|
3,097
|
6.50%, 6/4/2029 (j)
|
4,235
|
4,228
|
F&G Global Funding 1.75%, 6/30/2026 (a)
|
617
|
565
|
Fidelity & Guaranty Life Holdings, Inc. 5.50%, 5/1/2025 (a)
|
5,100
|
5,075
|
Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a)
|
395
|
337
|
Guardian Life Global Funding 5.74%, 10/2/2028 (a)
|
2,000
|
2,048
|
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (a)
|
264
|
218
|
High Street Funding Trust I 4.11%, 2/15/2028 (a)
|
2,000
|
1,879
|
Jackson National Life Global Funding 3.88%, 6/11/2025 (a)
|
2,560
|
2,510
|
Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (a)
|
462
|
336
|
Marsh & McLennan Cos., Inc. 5.45%, 3/15/2053
|
1,583
|
1,532
|
MetLife, Inc.
|
||
6.50%, 12/15/2032
|
680
|
740
|
4.13%, 8/13/2042
|
486
|
402
|
Metropolitan Life Global Funding I
|
||
3.05%, 6/17/2029 (a)
|
1,500
|
1,353
|
5.15%, 3/28/2033 (a)
|
8,975
|
8,843
|
Metropolitan Life Insurance Co. 7.80%, 11/1/2025 (a)
|
1,650
|
1,690
|
New York Life Global Funding 3.00%, 1/10/2028 (a)
|
2,749
|
2,557
|
New York Life Insurance Co. 6.75%, 11/15/2039 (a)
|
295
|
327
|
Northwestern Mutual Global Funding 5.16%, 5/28/2031 (a)
|
4,140
|
4,122
|
Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (a) (d)
|
2,651
|
2,026
|
Principal Financial Group, Inc. 3.70%, 5/15/2029
|
588
|
545
|
Principal Life Global Funding II
|
||
3.00%, 4/18/2026 (a)
|
569
|
544
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Insurance — continued
|
||
5.10%, 1/25/2029 (a)
|
2,650
|
2,624
|
Protective Life Global Funding 1.30%, 9/20/2026 (a)
|
1,500
|
1,365
|
Prudential Financial, Inc. 3.91%, 12/7/2047
|
2,193
|
1,688
|
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)
|
150
|
153
|
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note
Constant Maturity 5 Year + 3.58%), 5.00%,
4/2/2049 (a) (d)
|
400
|
384
|
Teachers Insurance & Annuity Association of America
|
||
4.90%, 9/15/2044 (a)
|
486
|
431
|
4.27%, 5/15/2047 (a)
|
777
|
625
|
W R Berkley Corp. 3.55%, 3/30/2052
|
2,461
|
1,674
|
|
|
80,598
|
Interactive Media & Services — 0.0% ^
|
||
Meta Platforms, Inc. 5.60%, 5/15/2053
|
4,087
|
4,141
|
IT Services — 0.1%
|
||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a)
|
4,937
|
4,309
|
CGI, Inc. (Canada) 1.45%, 9/14/2026
|
3,626
|
3,315
|
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)
|
4,869
|
4,864
|
|
|
12,488
|
Leisure Products — 0.0% ^
|
||
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a)
|
3,165
|
3,154
|
Life Sciences Tools & Services — 0.0% ^
|
||
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a)
|
4,908
|
4,440
|
Machinery — 0.1%
|
||
Chart Industries, Inc. 7.50%, 1/1/2030 (a)
|
8,179
|
8,424
|
Esab Corp. 6.25%, 4/15/2029 (a)
|
2,335
|
2,340
|
Hillenbrand, Inc.
|
||
6.25%, 2/15/2029
|
1,255
|
1,248
|
3.75%, 3/1/2031
|
4,565
|
3,933
|
Parker-Hannifin Corp.
|
||
4.25%, 9/15/2027
|
680
|
661
|
6.25%, 5/15/2038
|
428
|
455
|
Terex Corp. 5.00%, 5/15/2029 (a)
|
2,850
|
2,680
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (a)
|
4,175
|
4,302
|
|
|
24,043
|
Marine Transportation — 0.0% ^
|
||
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a)
|
2,153
|
2,014
|
Media — 1.2%
|
||
Altice Financing SA (Luxembourg) 5.75%, 8/15/2029 (a)
|
2,733
|
2,029
|
Charter Communications Operating LLC
|
||
2.25%, 1/15/2029
|
2,277
|
1,935
|
2.80%, 4/1/2031
|
4,175
|
3,407
|
6.65%, 2/1/2034
|
6,810
|
6,897
|
3.50%, 6/1/2041
|
3,466
|
2,329
|
3.50%, 3/1/2042
|
5,772
|
3,838
|
3.70%, 4/1/2051
|
3,107
|
1,902
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Media — continued
|
||
3.90%, 6/1/2052
|
1,651
|
1,036
|
Clear Channel Outdoor Holdings, Inc.
|
||
5.13%, 8/15/2027 (a)
|
8,147
|
7,696
|
7.75%, 4/15/2028 (a)
|
1,961
|
1,691
|
Comcast Corp.
|
||
1.95%, 1/15/2031
|
3,951
|
3,241
|
5.30%, 6/1/2034
|
3,540
|
3,537
|
4.40%, 8/15/2035
|
3,738
|
3,432
|
3.90%, 3/1/2038
|
12,124
|
10,241
|
3.25%, 11/1/2039
|
10,222
|
7,814
|
3.97%, 11/1/2047
|
1,083
|
844
|
4.00%, 3/1/2048
|
4,990
|
3,920
|
4.00%, 11/1/2049
|
132
|
102
|
3.45%, 2/1/2050
|
4,085
|
2,883
|
2.89%, 11/1/2051
|
1,968
|
1,224
|
5.35%, 5/15/2053
|
23,013
|
21,909
|
2.94%, 11/1/2056
|
18,694
|
11,235
|
2.99%, 11/1/2063
|
1,152
|
673
|
Cox Communications, Inc. 2.95%, 10/1/2050 (a)
|
2,709
|
1,610
|
CSC Holdings LLC
|
||
5.38%, 2/1/2028 (a)
|
14,093
|
9,897
|
6.50%, 2/1/2029 (a)
|
3,959
|
2,679
|
4.50%, 11/15/2031 (a)
|
2,571
|
1,573
|
Directv Financing LLC 5.88%, 8/15/2027 (a)
|
5,942
|
5,580
|
Discovery Communications LLC 4.00%, 9/15/2055
|
2,321
|
1,485
|
DISH DBS Corp.
|
||
5.88%, 11/15/2024
|
10,729
|
10,217
|
5.25%, 12/1/2026 (a)
|
6,014
|
4,789
|
5.75%, 12/1/2028 (a)
|
1,782
|
1,241
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
4,607
|
4,622
|
Gray Television, Inc.
|
||
10.50%, 7/15/2029 (a)
|
1,765
|
1,753
|
4.75%, 10/15/2030 (a)
|
2,049
|
1,166
|
5.38%, 11/15/2031 (a)
|
2,114
|
1,174
|
iHeartCommunications, Inc.
|
||
6.38%, 5/1/2026
|
3,631
|
2,778
|
8.38%, 5/1/2027
|
5,520
|
1,994
|
5.25%, 8/15/2027 (a)
|
4,231
|
2,337
|
Lamar Media Corp.
|
||
3.75%, 2/15/2028
|
923
|
860
|
4.00%, 2/15/2030
|
5,243
|
4,716
|
News Corp. 3.88%, 5/15/2029 (a)
|
2,802
|
2,543
|
Nexstar Media, Inc.
|
||
5.63%, 7/15/2027 (a)
|
9,281
|
8,760
|
4.75%, 11/1/2028 (a)
|
1,369
|
1,207
|
Outfront Media Capital LLC 5.00%, 8/15/2027 (a)
|
3,749
|
3,600
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)
|
4,393
|
2,821
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Media — continued
|
||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)
|
1,209
|
785
|
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a)
|
5,422
|
3,677
|
Sirius XM Radio, Inc.
|
||
5.00%, 8/1/2027 (a)
|
3,087
|
2,932
|
4.00%, 7/15/2028 (a)
|
11,506
|
10,300
|
5.50%, 7/1/2029 (a)
|
9,409
|
8,739
|
4.13%, 7/1/2030 (a)
|
2,672
|
2,240
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
5,660
|
5,181
|
Summer BC Bidco B LLC 5.50%, 10/31/2026 (a)
|
800
|
780
|
TEGNA, Inc.
|
||
4.63%, 3/15/2028
|
3,801
|
3,443
|
5.00%, 9/15/2029
|
4,969
|
4,367
|
Time Warner Cable LLC 7.30%, 7/1/2038
|
326
|
331
|
Univision Communications, Inc.
|
||
4.50%, 5/1/2029 (a)
|
2,309
|
1,972
|
7.38%, 6/30/2030 (a)
|
4,190
|
3,971
|
Videotron Ltd. 5.38%, 6/15/2024 (a)
|
2,969
|
2,963
|
|
|
234,898
|
Metals & Mining — 0.6%
|
||
Alcoa Nederland Holding BV
|
||
5.50%, 12/15/2027 (a)
|
3,465
|
3,425
|
6.13%, 5/15/2028 (a)
|
3,845
|
3,837
|
ATI, Inc. 5.88%, 12/1/2027
|
6,088
|
5,978
|
BHP Billiton Finance USA Ltd. (Australia) 4.90%, 2/28/2033
|
1,942
|
1,895
|
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
2,778
|
2,767
|
Carpenter Technology Corp. 6.38%, 7/15/2028
|
4,422
|
4,415
|
Cleveland-Cliffs, Inc.
|
||
5.88%, 6/1/2027
|
3,585
|
3,552
|
4.63%, 3/1/2029 (a)
|
2,799
|
2,620
|
Corp. Nacional del Cobre de Chile (Chile)
|
||
6.44%, 1/26/2036 (a)
|
3,794
|
3,860
|
6.30%, 9/8/2053 (a)
|
2,634
|
2,576
|
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a)
|
4,906
|
4,660
|
Freeport-McMoRan, Inc.
|
||
4.63%, 8/1/2030
|
12,891
|
12,331
|
5.40%, 11/14/2034
|
2,088
|
2,036
|
Glencore Finance Canada Ltd. (Australia) 6.90%, 11/15/2037 (a)
|
98
|
105
|
Glencore Funding LLC (Australia)
|
||
3.88%, 10/27/2027 (a)
|
3,883
|
3,681
|
2.50%, 9/1/2030 (a)
|
850
|
714
|
2.85%, 4/27/2031 (a)
|
8,941
|
7,531
|
2.63%, 9/23/2031 (a)
|
8,632
|
7,092
|
5.63%, 4/4/2034 (a)
|
25,200
|
24,756
|
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a)
|
3,248
|
3,022
|
Novelis Corp.
|
||
3.25%, 11/15/2026 (a)
|
1,498
|
1,399
|
3.88%, 8/15/2031 (a)
|
750
|
642
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Metals & Mining — continued
|
||
Rio Tinto Finance USA Ltd. (Australia) 5.20%, 11/2/2040
|
1,942
|
1,890
|
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043
|
1,554
|
1,418
|
United States Steel Corp. 6.88%, 3/1/2029
|
2,578
|
2,578
|
Vale Overseas Ltd. (Brazil) 6.13%, 6/12/2033
|
2,390
|
2,390
|
|
|
111,170
|
Mortgage Real Estate Investment Trusts (REITs) — 0.5%
|
||
Arbor Realty Trust, Inc.
|
||
5.00%, 4/30/2026
|
4,854
|
4,526
|
Series QIB, 4.50%, 9/1/2026 (a)
|
18,930
|
17,258
|
Series QIB, 4.50%, 3/15/2027 (a)
|
29,123
|
25,768
|
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a)
|
22,328
|
21,443
|
ReadyCap Holdings LLC Series QIB, 4.50%, 10/20/2026 (a)
|
25,000
|
23,164
|
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a)
|
4,625
|
4,600
|
|
|
96,759
|
Multi-Utilities — 0.4%
|
||
Ameren Corp. 3.50%, 1/15/2031
|
2,321
|
2,080
|
Ameren Illinois Co.
|
||
4.95%, 6/1/2033
|
6,416
|
6,244
|
3.25%, 3/15/2050
|
3,835
|
2,615
|
Berkshire Hathaway Energy Co.
|
||
6.13%, 4/1/2036
|
1,310
|
1,367
|
2.85%, 5/15/2051
|
7,514
|
4,573
|
4.60%, 5/1/2053
|
1,160
|
962
|
Consolidated Edison Co. of New York, Inc.
|
||
Series 06-E, 5.70%, 12/1/2036
|
389
|
391
|
Series 2017, 3.88%, 6/15/2047
|
1,238
|
957
|
Series E, 4.65%, 12/1/2048
|
1,651
|
1,406
|
4.50%, 5/15/2058
|
785
|
639
|
Consumers Energy Co.
|
||
4.63%, 5/15/2033
|
4,626
|
4,415
|
4.35%, 4/15/2049
|
486
|
412
|
4.35%, 8/31/2064
|
477
|
369
|
Dominion Energy, Inc.
|
||
Series F, 5.25%, 8/1/2033
|
763
|
744
|
7.00%, 6/15/2038
|
389
|
423
|
Series C, 4.90%, 8/1/2041
|
45
|
40
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (d)
|
2,750
|
2,839
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (d)
|
4,220
|
4,281
|
DTE Energy Co. 5.10%, 3/1/2029
|
2,800
|
2,762
|
Engie SA (France)
|
||
5.63%, 4/10/2034 (a)
|
4,285
|
4,273
|
5.88%, 4/10/2054 (a)
|
1,884
|
1,832
|
National Grid plc (United Kingdom) 5.42%, 1/11/2034
|
1,800
|
1,757
|
Public Service Enterprise Group, Inc. 5.45%, 4/1/2034
|
1,140
|
1,126
|
Puget Sound Energy, Inc.
|
||
5.76%, 7/15/2040
|
874
|
861
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Multi-Utilities — continued
|
||
2.89%, 9/15/2051
|
1,282
|
791
|
San Diego Gas & Electric Co.
|
||
Series XXX, 3.00%, 3/15/2032
|
4,854
|
4,160
|
6.00%, 6/1/2039
|
486
|
502
|
4.50%, 8/15/2040
|
242
|
214
|
Series UUU, 3.32%, 4/15/2050
|
4,641
|
3,140
|
5.35%, 4/1/2053
|
1,059
|
1,002
|
Sempra (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%,
10/1/2054 (d)
|
12,750
|
12,625
|
Southern Co. Gas Capital Corp. Series 21A, 3.15%, 9/30/2051
|
9,888
|
6,238
|
|
|
76,040
|
Office REITs — 0.0% ^
|
||
Alexandria Real Estate Equities, Inc.
|
||
1.88%, 2/1/2033
|
1,112
|
834
|
5.15%, 4/15/2053
|
1,059
|
934
|
COPT Defense Properties LP 2.25%, 3/15/2026
|
1,505
|
1,417
|
|
|
3,185
|
Oil, Gas & Consumable Fuels — 3.2%
|
||
AI Candelaria Spain SA (Colombia) 7.50%, 12/15/2028 (h)
|
935
|
910
|
Aker BP ASA (Norway)
|
||
2.00%, 7/15/2026 (a)
|
1,123
|
1,042
|
3.10%, 7/15/2031 (a)
|
4,400
|
3,726
|
Antero Midstream Partners LP
|
||
5.75%, 1/15/2028 (a)
|
4,160
|
4,070
|
5.38%, 6/15/2029 (a)
|
5,790
|
5,549
|
Antero Resources Corp.
|
||
7.63%, 2/1/2029 (a)
|
5,289
|
5,448
|
5.38%, 3/1/2030 (a)
|
2,151
|
2,059
|
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (a)
|
593
|
575
|
Ascent Resources Utica Holdings LLC 8.25%, 12/31/2028 (a)
|
5,415
|
5,539
|
Baytex Energy Corp. (Canada) 8.50%, 4/30/2030 (a)
|
5,036
|
5,252
|
Blue Racer Midstream LLC
|
||
6.63%, 7/15/2026 (a)
|
3,170
|
3,167
|
7.00%, 7/15/2029 (a)
|
1,401
|
1,416
|
7.25%, 7/15/2032 (a)
|
976
|
994
|
BP Capital Markets America, Inc.
|
||
2.72%, 1/12/2032
|
20,922
|
17,743
|
4.81%, 2/13/2033
|
4,476
|
4,329
|
4.89%, 9/11/2033
|
3,466
|
3,365
|
3.00%, 2/24/2050
|
5,102
|
3,323
|
2.77%, 11/10/2050
|
3,971
|
2,449
|
2.94%, 6/4/2051
|
5,194
|
3,308
|
3.00%, 3/17/2052
|
2,952
|
1,906
|
BP Capital Markets plc
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (f) (g)
|
2,246
|
2,196
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (f) (g)
|
13,465
|
12,704
|
Buckeye Partners LP 4.13%, 12/1/2027
|
4,311
|
3,998
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
California Resources Corp. 7.13%, 2/1/2026 (a)
|
2,602
|
2,615
|
Cameron LNG LLC 3.70%, 1/15/2039 (a)
|
933
|
753
|
Cheniere Energy Partners LP
|
||
4.50%, 10/1/2029
|
12,297
|
11,686
|
4.00%, 3/1/2031
|
8,788
|
7,920
|
5.75%, 8/15/2034 (a)
|
18,395
|
18,272
|
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a)
|
10,284
|
10,311
|
Chord Energy Corp. 6.38%, 6/1/2026 (a)
|
4,670
|
4,663
|
Civitas Resources, Inc.
|
||
8.38%, 7/1/2028 (a)
|
4,151
|
4,356
|
8.63%, 11/1/2030 (a)
|
3,840
|
4,108
|
8.75%, 7/1/2031 (a)
|
9,670
|
10,324
|
Columbia Pipelines Operating Co. LLC
|
||
6.04%, 11/15/2033 (a)
|
4,775
|
4,867
|
6.50%, 8/15/2043 (a)
|
2,890
|
3,014
|
Comstock Resources, Inc.
|
||
6.75%, 3/1/2029 (a)
|
6,693
|
6,474
|
5.88%, 1/15/2030 (a)
|
1,078
|
994
|
ConocoPhillips Co. 5.55%, 3/15/2054
|
15,910
|
15,670
|
Coterra Energy, Inc. 3.90%, 5/15/2027
|
2,825
|
2,710
|
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a)
|
8,385
|
8,877
|
Diamondback Energy, Inc. 5.40%, 4/18/2034
|
3,320
|
3,273
|
DT Midstream, Inc.
|
||
4.13%, 6/15/2029 (a)
|
4,061
|
3,714
|
4.38%, 6/15/2031 (a)
|
2,602
|
2,337
|
Ecopetrol SA (Colombia) 8.38%, 1/19/2036
|
1,912
|
1,861
|
Enbridge, Inc. (Canada)
|
||
5.63%, 4/5/2034
|
6,665
|
6,625
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (d)
|
8,260
|
8,877
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a)
|
1,961
|
1,999
|
Energian Israel Finance Ltd. (Israel) 4.88%, 3/30/2026 (h)
|
1,840
|
1,745
|
Energy Transfer LP
|
||
5.75%, 2/15/2033
|
1,942
|
1,942
|
5.80%, 6/15/2038
|
5,660
|
5,490
|
5.00%, 5/15/2050
|
4,854
|
4,120
|
Eni SpA (Italy) 5.95%, 5/15/2054 (a)
|
3,530
|
3,490
|
Eni USA, Inc. (Italy) 7.30%, 11/15/2027
|
486
|
513
|
EnLink Midstream LLC
|
||
5.63%, 1/15/2028 (a)
|
3,170
|
3,132
|
5.38%, 6/1/2029
|
701
|
682
|
EnLink Midstream Partners LP
|
||
4.15%, 6/1/2025
|
758
|
745
|
4.85%, 7/15/2026
|
1,617
|
1,581
|
5.60%, 4/1/2044
|
2,344
|
2,058
|
Enterprise Products Operating LLC
|
||
Series H, 6.65%, 10/15/2034
|
4,610
|
5,045
|
Series J, 5.75%, 3/1/2035
|
777
|
776
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%, 8/16/2077 (d)
|
1,457
|
1,392
|
EQM Midstream Partners LP
|
||
4.00%, 8/1/2024
|
2,172
|
2,163
|
6.00%, 7/1/2025 (a)
|
415
|
415
|
4.13%, 12/1/2026
|
2,200
|
2,114
|
6.50%, 7/1/2027 (a)
|
1,942
|
1,958
|
5.50%, 7/15/2028
|
6,786
|
6,654
|
4.50%, 1/15/2029 (a)
|
4,883
|
4,551
|
4.75%, 1/15/2031 (a)
|
4,267
|
3,918
|
Equinor ASA (Norway) 7.15%, 11/15/2025
|
568
|
582
|
Exxon Mobil Corp.
|
||
3.00%, 8/16/2039
|
1,555
|
1,180
|
3.10%, 8/16/2049
|
670
|
457
|
Flex Intermediate Holdco LLC
|
||
3.36%, 6/30/2031 (a)
|
3,502
|
2,880
|
4.32%, 12/30/2039 (a)
|
1,243
|
897
|
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a)
|
1,557
|
1,225
|
Genesis Energy LP
|
||
8.00%, 1/15/2027
|
1,445
|
1,473
|
7.75%, 2/1/2028
|
4,831
|
4,852
|
Gray Oak Pipeline LLC
|
||
2.60%, 10/15/2025 (a)
|
1,798
|
1,722
|
3.45%, 10/15/2027 (a)
|
1,423
|
1,337
|
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a)
|
1,981
|
1,864
|
Gulfport Energy Corp.
|
||
8.00%, 5/17/2026
|
1,948
|
1,974
|
8.00%, 5/17/2026 (a)
|
2,588
|
2,623
|
Harvest Midstream I LP 7.50%, 5/15/2032 (a)
|
3,330
|
3,375
|
Hess Corp. 4.30%, 4/1/2027
|
11,740
|
11,428
|
Hess Midstream Operations LP 5.63%, 2/15/2026 (a)
|
5,417
|
5,383
|
HF Sinclair Corp. 5.88%, 4/1/2026
|
3,426
|
3,436
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (a)
|
9,460
|
9,138
|
Kinder Morgan, Inc. 3.25%, 8/1/2050
|
5,524
|
3,530
|
Kinetik Holdings LP
|
||
6.63%, 12/15/2028 (a)
|
7,264
|
7,341
|
5.88%, 6/15/2030 (a)
|
22,031
|
21,469
|
Leviathan Bond Ltd. (Israel)
|
||
6.13%, 6/30/2025 (h)
|
1,058
|
1,037
|
6.50%, 6/30/2027 (h)
|
1,147
|
1,089
|
6.75%, 6/30/2030 (h)
|
660
|
602
|
Matador Resources Co. 6.50%, 4/15/2032 (a)
|
3,510
|
3,503
|
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a)
|
2,879
|
2,794
|
MPLX LP
|
||
5.50%, 6/1/2034
|
7,150
|
6,993
|
5.20%, 3/1/2047
|
314
|
282
|
4.95%, 3/14/2052
|
1,219
|
1,038
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
NGL Energy Operating LLC
|
||
8.13%, 2/15/2029 (a)
|
1,935
|
1,970
|
8.38%, 2/15/2032 (a)
|
1,935
|
1,971
|
NGPL PipeCo LLC
|
||
3.25%, 7/15/2031 (a)
|
3,030
|
2,574
|
7.77%, 12/15/2037 (a)
|
598
|
684
|
NuStar Logistics LP
|
||
5.75%, 10/1/2025
|
2,011
|
1,999
|
6.00%, 6/1/2026
|
1,299
|
1,287
|
5.63%, 4/28/2027
|
3,651
|
3,596
|
6.38%, 10/1/2030
|
647
|
645
|
Occidental Petroleum Corp. 6.20%, 3/15/2040
|
8,604
|
8,657
|
ONEOK Partners LP 6.65%, 10/1/2036
|
1,423
|
1,492
|
Ovintiv, Inc. 6.25%, 7/15/2033
|
1,776
|
1,823
|
Permian Resources Operating LLC
|
||
7.75%, 2/15/2026 (a)
|
2,070
|
2,088
|
5.88%, 7/1/2029 (a)
|
5,275
|
5,169
|
9.88%, 7/15/2031 (a)
|
1,890
|
2,091
|
7.00%, 1/15/2032 (a)
|
1,950
|
1,992
|
Petroleos Mexicanos (Mexico)
|
||
6.88%, 8/4/2026
|
2,524
|
2,462
|
5.35%, 2/12/2028
|
3,160
|
2,787
|
5.95%, 1/28/2031
|
3,398
|
2,751
|
10.00%, 2/7/2033
|
7,907
|
7,962
|
7.69%, 1/23/2050
|
1,505
|
1,092
|
Phillips 66 4.65%, 11/15/2034
|
971
|
900
|
Pioneer Natural Resources Co. 1.90%, 8/15/2030
|
23,833
|
19,919
|
Raizen Fuels Finance SA (Brazil) 6.45%, 3/5/2034 (a)
|
1,754
|
1,775
|
Range Resources Corp.
|
||
4.88%, 5/15/2025
|
1,532
|
1,519
|
8.25%, 1/15/2029
|
5,886
|
6,115
|
4.75%, 2/15/2030 (a)
|
826
|
766
|
Rockies Express Pipeline LLC
|
||
4.95%, 7/15/2029 (a)
|
3,070
|
2,844
|
4.80%, 5/15/2030 (a)
|
2,250
|
2,055
|
Sabine Pass Liquefaction LLC
|
||
5.63%, 3/1/2025
|
2,913
|
2,907
|
4.50%, 5/15/2030
|
14,148
|
13,513
|
Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025 (a)
|
224
|
212
|
SM Energy Co.
|
||
5.63%, 6/1/2025
|
1,457
|
1,451
|
6.75%, 9/15/2026
|
4,864
|
4,857
|
6.63%, 1/15/2027
|
1,256
|
1,249
|
Southwestern Energy Co.
|
||
5.70%, 1/23/2025 (i)
|
197
|
196
|
8.38%, 9/15/2028
|
2,311
|
2,386
|
5.38%, 2/1/2029
|
5,776
|
5,555
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
5.38%, 3/15/2030
|
2,938
|
2,826
|
4.75%, 2/1/2032
|
574
|
520
|
Sunoco LP
|
||
6.00%, 4/15/2027
|
1,491
|
1,478
|
7.00%, 5/1/2029 (a)
|
1,222
|
1,248
|
4.50%, 5/15/2029
|
5,642
|
5,177
|
7.25%, 5/1/2032 (a)
|
3,235
|
3,312
|
Tallgrass Energy Partners LP
|
||
6.00%, 3/1/2027 (a)
|
3,607
|
3,532
|
5.50%, 1/15/2028 (a)
|
4,820
|
4,597
|
6.00%, 12/31/2030 (a)
|
1,593
|
1,501
|
TotalEnergies Capital International SA (France)
|
||
3.46%, 7/12/2049
|
4,998
|
3,622
|
3.13%, 5/29/2050
|
6,549
|
4,444
|
TotalEnergies Capital SA (France)
|
||
5.49%, 4/5/2054
|
5,910
|
5,842
|
5.64%, 4/5/2064
|
14,350
|
14,287
|
TransCanada PipeLines Ltd. (Canada)
|
||
4.63%, 3/1/2034
|
11,000
|
10,219
|
4.75%, 5/15/2038
|
3,000
|
2,722
|
Valero Energy Corp. 2.15%, 9/15/2027
|
874
|
791
|
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a)
|
6,174
|
5,560
|
Venture Global LNG, Inc.
|
||
8.13%, 6/1/2028 (a)
|
10,247
|
10,472
|
9.50%, 2/1/2029 (a)
|
10,000
|
10,845
|
8.38%, 6/1/2031 (a)
|
4,854
|
5,005
|
Vital Energy, Inc. 7.88%, 4/15/2032 (a)
|
2,045
|
2,076
|
|
|
624,743
|
Passenger Airlines — 0.2%
|
||
American Airlines, Inc.
|
||
5.50%, 4/20/2026 (a)
|
5,622
|
5,569
|
7.25%, 2/15/2028 (a)
|
775
|
774
|
5.75%, 4/20/2029 (a)
|
12,328
|
11,922
|
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024
|
2,916
|
2,895
|
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a)
|
3,808
|
3,811
|
United Airlines Holdings, Inc. 4.88%, 1/15/2025
|
2,176
|
2,160
|
United Airlines Pass-Through Trust Series 2016-2, Class A Shares, 3.10%, 10/7/2028
|
3,982
|
3,556
|
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (a)
|
2,913
|
2,649
|
|
|
33,336
|
Personal Care Products — 0.0% ^
|
||
Edgewell Personal Care Co.
|
||
5.50%, 6/1/2028 (a)
|
4,937
|
4,799
|
4.13%, 4/1/2029 (a)
|
2,054
|
1,870
|
Haleon US Capital LLC 3.38%, 3/24/2027
|
2,616
|
2,490
|
|
|
9,159
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Pharmaceuticals — 0.7%
|
||
Bausch Health Americas, Inc.
|
||
9.25%, 4/1/2026 (a)
|
4,518
|
4,209
|
8.50%, 1/31/2027 (a)
|
5,693
|
4,124
|
Bausch Health Cos., Inc.
|
||
5.50%, 11/1/2025 (a)
|
6,343
|
5,982
|
5.75%, 8/15/2027 (a)
|
5,912
|
4,671
|
4.88%, 6/1/2028 (a)
|
3,433
|
2,515
|
Bristol-Myers Squibb Co.
|
||
5.20%, 2/22/2034
|
12,910
|
12,827
|
4.13%, 6/15/2039
|
5,823
|
5,036
|
2.35%, 11/13/2040
|
3,883
|
2,566
|
3.70%, 3/15/2052
|
6,576
|
4,806
|
5.55%, 2/22/2054
|
17,550
|
17,279
|
3.90%, 3/15/2062
|
3,680
|
2,651
|
6.40%, 11/15/2063
|
640
|
698
|
5.65%, 2/22/2064
|
6,225
|
6,083
|
Eli Lilly & Co.
|
||
5.00%, 2/9/2054
|
5,750
|
5,457
|
4.95%, 2/27/2063
|
2,400
|
2,215
|
Merck & Co., Inc.
|
||
5.00%, 5/17/2053
|
2,112
|
1,975
|
5.15%, 5/17/2063
|
1,641
|
1,549
|
Organon & Co.
|
||
4.13%, 4/30/2028 (a)
|
3,906
|
3,608
|
5.13%, 4/30/2031 (a)
|
5,735
|
5,068
|
Par Pharmaceutical, Inc. 0.00%, 4/1/2027 ‡ (b)
|
4,135
|
—
|
Pfizer Investment Enterprises Pte. Ltd.
|
||
4.75%, 5/19/2033
|
5,034
|
4,867
|
5.30%, 5/19/2053
|
5,170
|
4,943
|
5.34%, 5/19/2063
|
16,746
|
15,736
|
Pfizer, Inc.
|
||
4.10%, 9/15/2038
|
2,913
|
2,562
|
3.90%, 3/15/2039
|
2,874
|
2,441
|
Roche Holdings, Inc. 5.49%, 11/13/2030 (a)
|
14,045
|
14,345
|
Takeda Pharmaceutical Co. Ltd. (Japan)
|
||
3.03%, 7/9/2040
|
1,600
|
1,173
|
3.18%, 7/9/2050
|
750
|
504
|
Wyeth LLC 5.95%, 4/1/2037
|
1,068
|
1,121
|
Zoetis, Inc.
|
||
2.00%, 5/15/2030
|
1,942
|
1,622
|
5.60%, 11/16/2032
|
1,870
|
1,910
|
|
|
144,543
|
Real Estate Management & Development — 0.0% ^
|
||
Kennedy-Wilson, Inc.
|
||
4.75%, 3/1/2029
|
2,994
|
2,546
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Real Estate Management & Development — continued
|
||
5.00%, 3/1/2031
|
1,262
|
1,004
|
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a)
|
603
|
580
|
|
|
4,130
|
Residential REITs — 0.1%
|
||
Camden Property Trust 3.15%, 7/1/2029
|
2,869
|
2,593
|
ERP Operating LP 2.85%, 11/1/2026
|
2,913
|
2,754
|
Essex Portfolio LP 2.65%, 3/15/2032
|
3,160
|
2,581
|
Mid-America Apartments LP 4.20%, 6/15/2028
|
1,258
|
1,215
|
UDR, Inc.
|
||
2.10%, 8/1/2032
|
923
|
714
|
1.90%, 3/15/2033
|
491
|
370
|
|
|
10,227
|
Retail REITs — 0.1%
|
||
NNN REIT, Inc.
|
||
3.60%, 12/15/2026
|
921
|
882
|
4.30%, 10/15/2028
|
777
|
746
|
5.50%, 6/15/2034
|
1,200
|
1,184
|
Realty Income Corp.
|
||
3.25%, 1/15/2031
|
539
|
476
|
1.80%, 3/15/2033
|
1,068
|
798
|
Regency Centers LP 3.70%, 6/15/2030
|
3,743
|
3,420
|
Scentre Group Trust 1 (Australia)
|
||
3.50%, 2/12/2025 (a)
|
1,379
|
1,357
|
3.25%, 10/28/2025 (a)
|
971
|
940
|
Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 4.38%), 4.75%,
9/24/2080 (a) (d)
|
722
|
691
|
|
|
10,494
|
Semiconductors & Semiconductor Equipment — 0.3%
|
||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
5,523
|
5,522
|
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a)
|
1,900
|
1,963
|
Broadcom, Inc. 3.14%, 11/15/2035 (a)
|
12,975
|
10,314
|
Entegris, Inc.
|
||
4.38%, 4/15/2028 (a)
|
2,242
|
2,097
|
3.63%, 5/1/2029 (a)
|
1,631
|
1,449
|
5.95%, 6/15/2030 (a)
|
6,272
|
6,174
|
Intel Corp.
|
||
3.25%, 11/15/2049
|
1,651
|
1,100
|
5.70%, 2/10/2053
|
4,374
|
4,279
|
3.10%, 2/15/2060
|
680
|
410
|
KLA Corp. 3.30%, 3/1/2050
|
761
|
534
|
Marvell Technology, Inc. 2.95%, 4/15/2031
|
2,020
|
1,730
|
NXP BV (China)
|
||
5.00%, 1/15/2033
|
1,457
|
1,411
|
3.25%, 5/11/2041
|
3,684
|
2,672
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
3,241
|
2,960
|
QUALCOMM, Inc. 4.50%, 5/20/2052
|
300
|
259
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Semiconductors & Semiconductor Equipment — continued
|
||
Texas Instruments, Inc.
|
||
3.88%, 3/15/2039
|
1,573
|
1,372
|
4.15%, 5/15/2048
|
292
|
242
|
5.05%, 5/18/2063
|
8,227
|
7,668
|
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031
|
6,873
|
5,786
|
|
|
57,942
|
Software — 0.3%
|
||
Black Knight InfoServ LLC 3.63%, 9/1/2028 (a)
|
2,001
|
1,863
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)
|
5,212
|
4,773
|
Elastic NV 4.13%, 7/15/2029 (a)
|
3,380
|
3,022
|
Intuit, Inc. 5.20%, 9/15/2033
|
6,963
|
6,951
|
Microsoft Corp. 2.50%, 9/15/2050 (a)
|
2,524
|
1,560
|
NCR Voyix Corp.
|
||
5.00%, 10/1/2028 (a)
|
5,387
|
5,041
|
5.13%, 4/15/2029 (a)
|
3,431
|
3,186
|
Oracle Corp.
|
||
2.30%, 3/25/2028
|
5,772
|
5,193
|
4.30%, 7/8/2034
|
551
|
499
|
3.90%, 5/15/2035
|
1,500
|
1,299
|
3.85%, 7/15/2036
|
1,705
|
1,433
|
3.80%, 11/15/2037
|
7,645
|
6,286
|
3.65%, 3/25/2041
|
3,350
|
2,568
|
4.13%, 5/15/2045
|
5,145
|
4,049
|
3.95%, 3/25/2051
|
1,418
|
1,045
|
RingCentral, Inc. 8.50%, 8/15/2030 (a)
|
3,950
|
4,133
|
Roper Technologies, Inc. 1.75%, 2/15/2031
|
1,165
|
932
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)
|
3,049
|
2,986
|
VMware LLC 4.65%, 5/15/2027
|
3,039
|
2,981
|
Workday, Inc. 3.70%, 4/1/2029
|
5,484
|
5,133
|
|
|
64,933
|
Specialized REITs — 0.1%
|
||
American Tower Corp.
|
||
1.45%, 9/15/2026
|
1,403
|
1,283
|
3.10%, 6/15/2050
|
112
|
72
|
Extra Space Storage LP 2.20%, 10/15/2030
|
1,427
|
1,168
|
Iron Mountain, Inc.
|
||
4.88%, 9/15/2027 (a)
|
6,269
|
6,047
|
5.25%, 3/15/2028 (a)
|
962
|
926
|
4.88%, 9/15/2029 (a)
|
1,457
|
1,350
|
5.25%, 7/15/2030 (a)
|
2,515
|
2,351
|
4.50%, 2/15/2031 (a)
|
1,325
|
1,179
|
Public Storage Operating Co. 5.10%, 8/1/2033
|
4,280
|
4,222
|
SBA Communications Corp. 3.13%, 2/1/2029
|
7,191
|
6,327
|
|
|
24,925
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Specialty Retail — 0.4%
|
||
Asbury Automotive Group, Inc.
|
||
4.50%, 3/1/2028
|
3,592
|
3,393
|
4.75%, 3/1/2030
|
1,199
|
1,100
|
Bath & Body Works, Inc.
|
||
5.25%, 2/1/2028
|
747
|
726
|
7.50%, 6/15/2029
|
9,537
|
9,792
|
6.88%, 11/1/2035
|
1,753
|
1,768
|
6.75%, 7/1/2036
|
2,170
|
2,159
|
Gap, Inc. (The) 3.63%, 10/1/2029 (a)
|
5,427
|
4,697
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)
|
3,578
|
3,266
|
Home Depot, Inc. (The)
|
||
3.63%, 4/15/2052
|
2,585
|
1,897
|
3.50%, 9/15/2056
|
5,048
|
3,556
|
Lithia Motors, Inc.
|
||
4.63%, 12/15/2027 (a)
|
394
|
375
|
3.88%, 6/1/2029 (a)
|
3,005
|
2,676
|
4.38%, 1/15/2031 (a)
|
1,612
|
1,420
|
Lowe's Cos., Inc. 5.63%, 4/15/2053
|
5,076
|
4,911
|
O'Reilly Automotive, Inc.
|
||
3.60%, 9/1/2027
|
180
|
171
|
1.75%, 3/15/2031
|
1,212
|
972
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
5,058
|
4,498
|
PetSmart, Inc. 4.75%, 2/15/2028 (a)
|
9,540
|
8,860
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
2,952
|
2,652
|
Staples, Inc.
|
||
7.50%, 4/15/2026 (a)
|
1,498
|
1,498
|
10.75%, 4/15/2027 (a)
|
5,807
|
5,170
|
10.75%, 9/1/2029 (a) (j)
|
8,550
|
8,273
|
|
|
73,830
|
Technology Hardware, Storage & Peripherals — 0.2%
|
||
Apple, Inc.
|
||
3.75%, 11/13/2047
|
971
|
773
|
2.65%, 2/8/2051
|
3,883
|
2,442
|
2.70%, 8/5/2051
|
11,155
|
7,042
|
2.85%, 8/5/2061
|
5,325
|
3,271
|
Seagate HDD Cayman
|
||
4.09%, 6/1/2029
|
3,204
|
2,933
|
3.13%, 7/15/2029
|
2,141
|
1,834
|
8.25%, 12/15/2029 (a)
|
1,624
|
1,737
|
4.13%, 1/15/2031
|
3,545
|
3,112
|
8.50%, 7/15/2031 (a)
|
2,456
|
2,620
|
9.63%, 12/1/2032
|
762
|
863
|
Xerox Holdings Corp. 8.88%, 11/30/2029 (a)
|
3,235
|
3,133
|
|
|
29,760
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Textiles, Apparel & Luxury Goods — 0.0% ^
|
||
Hanesbrands, Inc. 4.88%, 5/15/2026 (a)
|
1,853
|
1,798
|
William Carter Co. (The) 5.63%, 3/15/2027 (a)
|
3,767
|
3,699
|
|
|
5,497
|
Tobacco — 0.5%
|
||
Altria Group, Inc.
|
||
2.45%, 2/4/2032
|
3,883
|
3,121
|
3.40%, 2/4/2041
|
9,538
|
6,831
|
BAT Capital Corp. (United Kingdom)
|
||
3.56%, 8/15/2027
|
1,875
|
1,776
|
2.26%, 3/25/2028
|
267
|
238
|
4.39%, 8/15/2037
|
24,553
|
20,713
|
4.54%, 8/15/2047
|
6,513
|
5,059
|
Philip Morris International, Inc.
|
||
5.38%, 2/15/2033
|
9,368
|
9,291
|
5.63%, 9/7/2033
|
13,190
|
13,299
|
5.25%, 2/13/2034
|
22,160
|
21,705
|
4.38%, 11/15/2041
|
11,926
|
10,040
|
|
|
92,073
|
Trading Companies & Distributors — 0.2%
|
||
Aviation Capital Group LLC
|
||
5.50%, 12/15/2024 (a)
|
546
|
544
|
4.13%, 8/1/2025 (a)
|
1,893
|
1,852
|
4.88%, 10/1/2025 (a)
|
4,078
|
4,015
|
BOC Aviation Ltd. (China) 3.50%, 10/10/2024 (a)
|
370
|
367
|
EquipmentShare.com, Inc. 8.63%, 5/15/2032 (a)
|
4,400
|
4,556
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (a)
|
6,163
|
6,017
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
7,879
|
7,334
|
United Rentals North America, Inc.
|
||
4.88%, 1/15/2028
|
5,314
|
5,115
|
5.25%, 1/15/2030
|
4,025
|
3,864
|
4.00%, 7/15/2030
|
5,825
|
5,221
|
WESCO Distribution, Inc.
|
||
7.25%, 6/15/2028 (a)
|
3,092
|
3,150
|
6.38%, 3/15/2029 (a)
|
4,002
|
4,017
|
6.63%, 3/15/2032 (a)
|
2,110
|
2,120
|
WW Grainger, Inc. 4.60%, 6/15/2045
|
505
|
452
|
|
|
48,624
|
Transportation Infrastructure — 0.0% ^
|
||
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (a)
|
1,262
|
1,236
|
Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a)
|
617
|
513
|
|
|
1,749
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Water Utilities — 0.0% ^
|
||
American Water Capital Corp.
|
||
3.45%, 6/1/2029
|
602
|
557
|
5.15%, 3/1/2034
|
3,400
|
3,356
|
|
|
3,913
|
Wireless Telecommunication Services — 0.2%
|
||
Empresa Nacional de Telecomunicaciones SA (Chile) 3.05%, 9/14/2032 (a)
|
2,001
|
1,597
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
4,493
|
1,831
|
Sprint LLC 7.63%, 3/1/2026
|
1,267
|
1,301
|
T-Mobile USA, Inc.
|
||
2.63%, 2/15/2029
|
11,295
|
10,033
|
3.38%, 4/15/2029
|
14,785
|
13,531
|
5.50%, 1/15/2055
|
1,890
|
1,811
|
United States Cellular Corp. 6.70%, 12/15/2033
|
4,262
|
4,486
|
|
|
34,590
|
Total Corporate Bonds
(Cost $6,312,432)
|
|
5,917,798
|
Mortgage-Backed Securities — 26.1%
|
||
FHLMC
|
|
|
Pool # 1J1380, ARM, 6.31%, 3/1/2036 (k)
|
8
|
9
|
Pool # 1G1861, ARM, 6.54%, 3/1/2036 (k)
|
17
|
17
|
Pool # 1J1393, ARM, 5.82%, 10/1/2036 (k)
|
17
|
18
|
Pool # 1Q0476, ARM, 6.03%, 10/1/2037 (k)
|
50
|
50
|
FHLMC Gold Pools, 15 Year
|
|
|
Pool # G13805, 5.50%, 12/1/2024
|
—
|
—
|
Pool # G14252, 5.50%, 12/1/2024
|
—
|
—
|
Pool # J14494, 4.00%, 2/1/2026
|
68
|
67
|
FHLMC Gold Pools, 20 Year
|
|
|
Pool # C91025, 7.00%, 1/1/2027
|
15
|
15
|
Pool # G30591, 6.00%, 2/1/2028
|
105
|
105
|
Pool # D98914, 4.00%, 1/1/2032
|
1,306
|
1,265
|
Pool # G31099, 4.00%, 1/1/2038
|
6,045
|
5,768
|
FHLMC Gold Pools, 30 Year
|
|
|
Pool # C00496, 7.50%, 2/1/2027
|
—
|
—
|
Pool # G00747, 8.00%, 8/1/2027
|
8
|
8
|
Pool # D86005, 7.00%, 2/1/2028
|
2
|
2
|
Pool # G02210, 7.00%, 12/1/2028
|
14
|
14
|
Pool # C21930, 6.00%, 2/1/2029
|
4
|
4
|
Pool # C00785, 6.50%, 6/1/2029
|
5
|
5
|
Pool # A27201, 6.50%, 3/1/2032
|
27
|
27
|
Pool # A13067, 4.00%, 9/1/2033
|
16
|
15
|
Pool # G60154, 5.00%, 2/1/2034
|
5,106
|
5,047
|
Pool # G60214, 5.00%, 7/1/2035
|
5,213
|
5,154
|
Pool # C02641, 7.00%, 10/1/2036
|
13
|
14
|
Pool # C02660, 6.50%, 11/1/2036
|
28
|
29
|
Pool # G06172, 5.50%, 12/1/2038
|
611
|
614
|
Pool # G06576, 5.00%, 9/1/2040
|
2,753
|
2,714
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # A96733, 4.50%, 2/1/2041
|
4,848
|
4,685
|
Pool # G06493, 4.50%, 5/1/2041
|
226
|
218
|
Pool # G61864, 5.50%, 6/1/2041
|
2,275
|
2,287
|
Pool # Q05956, 4.50%, 2/1/2042
|
745
|
719
|
Pool # Q11285, 3.50%, 9/1/2042
|
1,946
|
1,776
|
Pool # Q12174, 3.50%, 10/1/2042
|
2,247
|
2,051
|
Pool # G07239, 3.00%, 12/1/2042
|
2,292
|
2,019
|
Pool # Q13796, 3.50%, 12/1/2042
|
3,294
|
3,006
|
Pool # Q15767, 3.00%, 2/1/2043
|
1,912
|
1,685
|
Pool # Q33869, 4.00%, 6/1/2045
|
1,789
|
1,645
|
Pool # G61462, 4.00%, 7/1/2045
|
8,406
|
7,881
|
Pool # Q37784, 3.50%, 12/1/2045
|
1,705
|
1,532
|
Pool # Q39092, 4.00%, 2/1/2046
|
2,033
|
1,895
|
Pool # Q39412, 3.50%, 3/1/2046
|
669
|
601
|
Pool # Q40797, 3.50%, 5/1/2046
|
3,134
|
2,814
|
Pool # Q40922, 3.50%, 6/1/2046
|
987
|
886
|
Pool # Q41602, 3.50%, 7/1/2046
|
368
|
330
|
Pool # Q42079, 3.50%, 7/1/2046
|
459
|
412
|
Pool # Q42657, 3.50%, 8/1/2046
|
4,440
|
3,988
|
Pool # Q42656, 4.00%, 8/1/2046
|
439
|
408
|
Pool # Q43241, 3.50%, 9/1/2046
|
3,967
|
3,563
|
Pool # Q43237, 4.00%, 9/1/2046
|
852
|
792
|
Pool # G61565, 4.50%, 4/1/2048
|
12,128
|
11,610
|
Pool # Z40179, 4.00%, 7/1/2048
|
5,021
|
4,646
|
FHLMC Gold Pools, Other
|
|
|
Pool # G20027, 10.00%, 10/1/2030
|
—
|
—
|
Pool # B90491, 7.50%, 1/1/2032
|
62
|
63
|
Pool # U89009, 3.50%, 9/1/2032
|
237
|
225
|
Pool # WN1179, 3.85%, 9/1/2032
|
16,891
|
15,582
|
Pool # U80074, 3.50%, 10/1/2032
|
770
|
732
|
Pool # WA3237, 3.55%, 11/1/2032
|
14,559
|
13,192
|
Pool # WN1167, 4.17%, 10/1/2034
|
19,415
|
18,244
|
Pool # G20028, 7.50%, 12/1/2036
|
78
|
79
|
Pool # U90690, 3.50%, 6/1/2042
|
859
|
772
|
Pool # U90975, 4.00%, 6/1/2042
|
205
|
191
|
Pool # U90230, 4.50%, 9/1/2042
|
824
|
790
|
Pool # U90281, 4.00%, 10/1/2042
|
493
|
459
|
Pool # U92021, 5.00%, 9/1/2043
|
806
|
788
|
Pool # U99076, 4.50%, 12/1/2043
|
2,070
|
1,998
|
Pool # U99084, 4.50%, 2/1/2044
|
1,596
|
1,541
|
Pool # U92996, 3.50%, 6/1/2045
|
184
|
167
|
Pool # U93026, 3.50%, 7/1/2045
|
466
|
423
|
Pool # U99134, 4.00%, 1/1/2046
|
2,273
|
2,117
|
Pool # U93155, 3.50%, 5/1/2046
|
534
|
485
|
Pool # U93158, 3.50%, 6/1/2046
|
309
|
280
|
Pool # U93167, 3.50%, 7/1/2046
|
524
|
468
|
Pool # U93172, 3.50%, 7/1/2046
|
584
|
530
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
FHLMC UMBS, 30 Year
|
|
|
Pool # RA2008, 4.00%, 1/1/2050
|
7,482
|
6,889
|
Pool # SD8089, 2.50%, 7/1/2050
|
36,784
|
30,004
|
Pool # RA3605, 2.50%, 10/1/2050
|
67,731
|
55,274
|
Pool # SD7535, 2.50%, 2/1/2051
|
35,806
|
29,559
|
Pool # QC9443, 2.50%, 10/1/2051
|
19,709
|
16,087
|
Pool # RA6135, 2.50%, 10/1/2051
|
16,219
|
13,239
|
Pool # RA6350, 3.00%, 11/1/2051
|
8,598
|
7,292
|
Pool # SD2968, 2.00%, 12/1/2051 (j)
|
13,895
|
10,823
|
Pool # RA6459, 2.50%, 12/1/2051
|
12,847
|
10,381
|
Pool # QD4350, 3.00%, 1/1/2052
|
22,455
|
19,045
|
Pool # SD3952, 2.50%, 3/1/2052
|
24,442
|
19,943
|
Pool # SD2301, 3.50%, 3/1/2052
|
22,417
|
19,805
|
Pool # SD7554, 2.50%, 4/1/2052
|
17,123
|
14,072
|
Pool # RA7192, 3.50%, 4/1/2052
|
22,612
|
19,842
|
Pool # SD3015, 3.00%, 5/1/2052
|
35,307
|
29,725
|
Pool # SD1293, 4.50%, 7/1/2052
|
21,286
|
19,947
|
Pool # SD1303, 4.50%, 7/1/2052
|
11,989
|
11,239
|
Pool # QE8091, 4.00%, 8/1/2052
|
30,067
|
27,341
|
Pool # SD1794, 4.50%, 8/1/2052
|
17,342
|
16,257
|
Pool # QF3378, 5.00%, 11/1/2052
|
12,360
|
11,966
|
Pool # QF3433, 5.00%, 11/1/2052
|
16,558
|
16,041
|
Pool # QF5369, 5.00%, 12/1/2052
|
16,594
|
16,076
|
Pool # RA8766, 5.00%, 3/1/2053
|
37,268
|
35,898
|
FNMA
|
|
|
Pool # 766610, ARM, 5.93%, 1/1/2034 (k)
|
10
|
9
|
Pool # 823660, ARM, 6.38%, 5/1/2035 (k)
|
39
|
39
|
Pool # 910181, ARM, 6.27%, 3/1/2037 (k)
|
11
|
12
|
Pool # 888304, ARM, 5.78%, 4/1/2037 (k)
|
1
|
1
|
Pool # 888750, ARM, 6.57%, 4/1/2037 (k)
|
21
|
21
|
Pool # 948208, ARM, 7.12%, 7/1/2037 (k)
|
12
|
12
|
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 4.00%, 6/25/2054 (j)
|
52,645
|
47,773
|
FNMA UMBS, 15 Year
|
|
|
Pool # 890231, 5.00%, 7/1/2025
|
13
|
13
|
Pool # CA4723, 3.50%, 11/1/2034
|
4,126
|
3,906
|
FNMA UMBS, 20 Year
|
|
|
Pool # MA0602, 3.50%, 12/1/2030
|
71
|
68
|
Pool # BM3254, 4.00%, 1/1/2038
|
4,687
|
4,461
|
Pool # BM3566, 4.00%, 2/1/2038
|
5,151
|
4,921
|
Pool # CA1234, 4.00%, 2/1/2038
|
1,821
|
1,727
|
Pool # CA1238, 4.00%, 2/1/2038
|
1,901
|
1,805
|
Pool # FS0795, 3.00%, 1/1/2042
|
11,923
|
10,475
|
FNMA UMBS, 30 Year
|
|
|
Pool # 250228, 9.00%, 4/1/2025
|
—
|
—
|
Pool # 328066, 8.50%, 10/1/2025
|
—
|
—
|
Pool # 313692, 8.50%, 12/1/2025
|
—
|
—
|
Pool # 250854, 7.50%, 3/1/2027
|
—
|
—
|
Pool # 251569, 7.00%, 3/1/2028
|
—
|
—
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # 420165, 6.50%, 4/1/2028
|
14
|
14
|
Pool # 455598, 5.50%, 12/1/2028
|
3
|
3
|
Pool # 252570, 6.50%, 7/1/2029
|
6
|
6
|
Pool # 517679, 6.50%, 7/1/2029
|
21
|
22
|
Pool # 323866, 6.50%, 8/1/2029
|
5
|
5
|
Pool # 995656, 7.00%, 6/1/2033
|
62
|
64
|
Pool # AL6168, 5.00%, 9/1/2033
|
2,501
|
2,469
|
Pool # 725229, 6.00%, 3/1/2034
|
427
|
432
|
Pool # AA0918, 5.50%, 9/1/2034
|
77
|
77
|
Pool # 735503, 6.00%, 4/1/2035
|
43
|
43
|
Pool # 745948, 6.50%, 10/1/2036
|
7
|
7
|
Pool # AL0379, 8.00%, 12/1/2036
|
382
|
393
|
Pool # 995149, 6.50%, 10/1/2038
|
21
|
21
|
Pool # 995504, 7.50%, 11/1/2038
|
28
|
29
|
Pool # AC3237, 5.00%, 10/1/2039
|
263
|
259
|
Pool # AC4467, 4.50%, 12/1/2039
|
459
|
443
|
Pool # AE1526, 4.50%, 9/1/2040
|
754
|
727
|
Pool # AE3095, 4.50%, 9/1/2040
|
458
|
442
|
Pool # AE0681, 4.50%, 12/1/2040
|
2,170
|
2,095
|
Pool # AL0038, 5.00%, 2/1/2041
|
2,036
|
2,003
|
Pool # AX5292, 5.00%, 1/1/2042
|
9,423
|
9,275
|
Pool # BM1065, 5.50%, 2/1/2042
|
3,518
|
3,531
|
Pool # AL2059, 4.00%, 6/1/2042
|
7,231
|
6,790
|
Pool # AB7575, 3.00%, 1/1/2043
|
1,632
|
1,431
|
Pool # AR6380, 3.00%, 2/1/2043
|
2,251
|
1,981
|
Pool # 890564, 3.00%, 6/1/2043
|
2,909
|
2,554
|
Pool # AT5907, 4.00%, 6/1/2043
|
4,120
|
3,869
|
Pool # AS0214, 3.50%, 8/1/2043
|
4,865
|
4,421
|
Pool # AL6848, 5.00%, 6/1/2044
|
804
|
791
|
Pool # BA2343, 4.00%, 9/1/2045
|
1,989
|
1,848
|
Pool # BE5080, 3.50%, 4/1/2046
|
5,076
|
4,521
|
Pool # BA1210, 3.50%, 5/1/2046
|
558
|
500
|
Pool # BA7485, 3.50%, 6/1/2046
|
526
|
472
|
Pool # BC2969, 3.50%, 6/1/2046
|
418
|
375
|
Pool # BD1371, 3.50%, 6/1/2046
|
401
|
360
|
Pool # BA7492, 4.00%, 6/1/2046
|
595
|
553
|
Pool # BC9368, 4.00%, 6/1/2046
|
2,388
|
2,201
|
Pool # BD1372, 4.00%, 6/1/2046
|
1,096
|
1,017
|
Pool # BD2956, 3.50%, 7/1/2046
|
4,225
|
3,790
|
Pool # BD5456, 3.50%, 8/1/2046
|
1,615
|
1,449
|
Pool # BM1169, 4.00%, 9/1/2046
|
7,665
|
7,198
|
Pool # BE0280, 3.50%, 10/1/2046
|
1,446
|
1,297
|
Pool # AS8335, 4.50%, 11/1/2046
|
3,904
|
3,742
|
Pool # FS0976, 2.50%, 3/1/2047
|
6,028
|
4,925
|
Pool # BM1906, 4.00%, 5/1/2047
|
4,847
|
4,551
|
Pool # AS9811, 5.00%, 6/1/2047
|
1,358
|
1,334
|
Pool # BH7565, 4.00%, 8/1/2047
|
9,030
|
8,366
|
Pool # BM3500, 4.00%, 9/1/2047
|
3,616
|
3,413
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # CA0346, 4.50%, 9/1/2047
|
5,132
|
4,898
|
Pool # BH6687, 4.00%, 11/1/2047
|
995
|
919
|
Pool # BM3044, 4.00%, 11/1/2047
|
3,115
|
2,886
|
Pool # BE8347, 4.00%, 12/1/2047
|
518
|
479
|
Pool # BJ5254, 4.00%, 12/1/2047
|
3,493
|
3,230
|
Pool # BM3499, 4.00%, 12/1/2047
|
32,350
|
29,913
|
Pool # BH6689, 4.00%, 1/1/2048
|
799
|
737
|
Pool # BJ7311, 4.00%, 1/1/2048
|
14,750
|
13,639
|
Pool # BJ8238, 4.00%, 1/1/2048
|
4,990
|
4,614
|
Pool # BJ8265, 4.00%, 1/1/2048
|
2,894
|
2,670
|
Pool # BK1008, 4.00%, 1/1/2048
|
1,442
|
1,332
|
Pool # BJ4617, 4.00%, 2/1/2048
|
3,242
|
3,045
|
Pool # BJ5772, 4.00%, 2/1/2048
|
3,653
|
3,349
|
Pool # BK1581, 4.00%, 2/1/2048
|
519
|
481
|
Pool # FM0035, 3.50%, 3/1/2048
|
5,587
|
5,011
|
Pool # BJ5803, 4.00%, 3/1/2048
|
2,520
|
2,309
|
Pool # BK1963, 4.00%, 3/1/2048
|
2,292
|
2,152
|
Pool # BM3665, 4.00%, 3/1/2048
|
13,267
|
12,328
|
Pool # BJ5789, 4.50%, 3/1/2048
|
887
|
836
|
Pool # BE2789, 4.00%, 4/1/2048
|
1,086
|
995
|
Pool # CA1710, 4.50%, 5/1/2048
|
2,636
|
2,507
|
Pool # BK5943, 5.00%, 6/1/2048
|
658
|
651
|
Pool # BK4130, 4.50%, 7/1/2048
|
136
|
130
|
Pool # BK6562, 4.50%, 7/1/2048
|
1,178
|
1,116
|
Pool # BK6589, 4.50%, 7/1/2048
|
1,177
|
1,113
|
Pool # BN0133, 4.00%, 8/1/2048
|
1,664
|
1,534
|
Pool # BK9292, 5.00%, 8/1/2048
|
2,442
|
2,417
|
Pool # CA4662, 3.50%, 9/1/2048
|
5,183
|
4,595
|
Pool # BN1312, 4.00%, 9/1/2048
|
6,087
|
5,610
|
Pool # 890863, 5.00%, 9/1/2048
|
12,956
|
13,115
|
Pool # BN0234, 5.00%, 9/1/2048
|
1,356
|
1,341
|
Pool # MA3496, 4.50%, 10/1/2048
|
1,657
|
1,576
|
Pool # BN0861, 5.00%, 10/1/2048
|
1,001
|
984
|
Pool # BK9556, 4.00%, 12/1/2048
|
2,428
|
2,236
|
Pool # BK1176, 5.00%, 1/1/2049
|
1,339
|
1,310
|
Pool # BK8748, 4.50%, 5/1/2049
|
4,694
|
4,436
|
Pool # BO2428, 3.50%, 7/1/2049
|
2,939
|
2,620
|
Pool # BO0592, 4.00%, 7/1/2049
|
544
|
500
|
Pool # CA5702, 2.50%, 5/1/2050
|
23,210
|
19,092
|
Pool # BP6439, 2.50%, 7/1/2050
|
41,974
|
33,970
|
Pool # CA6361, 2.50%, 7/1/2050
|
22,170
|
18,308
|
Pool # CA6708, 2.50%, 8/1/2050
|
13,805
|
11,439
|
Pool # CA6989, 2.50%, 9/1/2050
|
26,830
|
22,114
|
Pool # FM5179, 2.00%, 12/1/2050
|
23,520
|
18,392
|
Pool # FM5173, 2.50%, 12/1/2050
|
24,205
|
19,831
|
Pool # CA8862, 2.50%, 1/1/2051
|
22,604
|
18,545
|
Pool # FM5778, 2.50%, 2/1/2051
|
25,643
|
21,028
|
Pool # BR6358, 2.00%, 3/1/2051
|
8,996
|
7,006
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # BR4928, 2.00%, 4/1/2051
|
82,856
|
64,530
|
Pool # CB0189, 3.00%, 4/1/2051
|
5,783
|
4,914
|
Pool # CB0458, 2.50%, 5/1/2051
|
32,318
|
26,321
|
Pool # CB0674, 2.50%, 5/1/2051
|
21,833
|
17,843
|
Pool # FM7957, 2.50%, 7/1/2051
|
12,092
|
9,883
|
Pool # FS3615, 2.50%, 7/1/2051
|
8,727
|
7,130
|
Pool # FM8336, 2.50%, 8/1/2051
|
19,606
|
16,049
|
Pool # CB1411, 3.00%, 8/1/2051
|
25,394
|
21,578
|
Pool # CB1901, 2.50%, 10/1/2051
|
19,842
|
16,412
|
Pool # FM9195, 2.50%, 10/1/2051
|
11,045
|
9,016
|
Pool # FM9198, 2.50%, 11/1/2051
|
12,044
|
9,880
|
Pool # CB2410, 2.50%, 12/1/2051
|
8,890
|
7,253
|
Pool # CB2411, 2.50%, 12/1/2051
|
16,373
|
13,358
|
Pool # FS4108, 4.00%, 12/1/2051
|
9,318
|
8,487
|
Pool # CB2637, 2.50%, 1/1/2052
|
27,644
|
22,441
|
Pool # FS0196, 2.50%, 1/1/2052
|
29,313
|
23,686
|
Pool # CB2670, 3.00%, 1/1/2052
|
25,097
|
21,154
|
Pool # FS7409, 2.00%, 2/1/2052
|
45,330
|
35,605
|
Pool # BU1322, 2.50%, 2/1/2052
|
12,288
|
9,953
|
Pool # BV2784, 2.50%, 2/1/2052
|
9,300
|
7,525
|
Pool # CB2869, 2.50%, 2/1/2052
|
34,501
|
27,899
|
Pool # FS5670, 2.50%, 2/1/2052
|
13,659
|
11,150
|
Pool # FS5986, 2.50%, 2/1/2052
|
9,546
|
7,795
|
Pool # MA4548, 2.50%, 2/1/2052
|
92,569
|
74,977
|
Pool # FS4533, 2.50%, 3/1/2052
|
7,593
|
6,199
|
Pool # FS7150, 2.50%, 3/1/2052
|
55,314
|
45,190
|
Pool # FS0957, 3.00%, 3/1/2052
|
25,558
|
21,529
|
Pool # FS1954, 3.00%, 3/1/2052
|
26,475
|
22,771
|
Pool # FS7410, 2.00%, 4/1/2052
|
53,169
|
41,595
|
Pool # BV5360, 2.50%, 4/1/2052
|
34,781
|
28,158
|
Pool # FS5499, 2.50%, 4/1/2052
|
21,256
|
17,346
|
Pool # FS1538, 3.00%, 4/1/2052
|
68,656
|
58,349
|
Pool # FS2707, 3.50%, 4/1/2052
|
18,862
|
16,657
|
Pool # CB3378, 4.00%, 4/1/2052
|
12,626
|
11,479
|
Pool # FS1255, 4.00%, 4/1/2052
|
9,144
|
8,522
|
Pool # CB3608, 3.50%, 5/1/2052
|
86,135
|
75,588
|
Pool # FS3577, 3.00%, 7/1/2052
|
26,556
|
22,575
|
Pool # FS2588, 4.50%, 8/1/2052
|
45,692
|
42,834
|
Pool # FS3536, 4.50%, 8/1/2052
|
21,436
|
20,082
|
Pool # FS3829, 4.50%, 9/1/2052
|
5,724
|
5,366
|
Pool # CB4628, 5.00%, 9/1/2052
|
36,229
|
34,906
|
Pool # FS2982, 5.00%, 9/1/2052
|
16,419
|
15,837
|
Pool # BX0098, 5.00%, 10/1/2052
|
12,578
|
12,177
|
Pool # FS3457, 4.50%, 11/1/2052
|
26,727
|
25,039
|
Pool # FS3428, 4.00%, 12/1/2052
|
24,435
|
22,302
|
Pool # CB5907, 5.50%, 3/1/2053
|
18,455
|
18,271
|
Pool # CB6314, 5.00%, 5/1/2053
|
16,272
|
15,698
|
Pool # BY4714, 5.00%, 6/1/2053
|
49,786
|
47,924
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # BY4776, 5.00%, 7/1/2053
|
42,941
|
41,334
|
Pool # BY7130, 6.00%, 9/1/2053
|
19,785
|
19,873
|
Pool # BY9849, 6.00%, 10/1/2053
|
11,241
|
11,291
|
FNMA, 30 Year Pool # CA2171, 4.00%, 8/1/2048
|
10,320
|
9,583
|
FNMA, Other
|
|
|
Pool # AN1302, 2.93%, 1/1/2025
|
3,625
|
3,559
|
Pool # AM9942, 3.09%, 10/1/2025
|
10,678
|
10,348
|
Pool # AN0707, 3.13%, 2/1/2026
|
7,722
|
7,455
|
Pool # AN1222, 2.78%, 4/1/2026
|
6,795
|
6,499
|
Pool # AN1413, 2.49%, 5/1/2026
|
8,820
|
8,380
|
Pool # AN1503, 2.62%, 5/1/2026
|
4,960
|
4,727
|
Pool # AN1221, 2.81%, 5/1/2026
|
3,883
|
3,711
|
Pool # AN1497, 2.61%, 6/1/2026
|
9,826
|
9,339
|
Pool # AN2689, 2.20%, 10/1/2026
|
5,636
|
5,282
|
Pool # AN4000, 3.00%, 12/1/2026
|
2,101
|
2,001
|
Pool # AL6937, 3.80%, 12/1/2026 (k)
|
2,027
|
1,978
|
Pool # AN4917, 3.13%, 3/1/2027
|
12,589
|
11,969
|
Pool # BL3525, 2.60%, 9/1/2027
|
10,534
|
9,802
|
Pool # BL0497, 3.84%, 10/1/2027
|
4,464
|
4,310
|
Pool # AN1449, 2.97%, 4/1/2028
|
5,943
|
5,550
|
Pool # AN2005, 2.73%, 7/1/2028
|
9,574
|
8,798
|
Pool # 387807, 3.55%, 8/1/2028
|
10,989
|
10,442
|
Pool # AN3685, 2.69%, 12/1/2028
|
14,635
|
13,358
|
Pool # AN4004, 3.27%, 12/1/2028
|
8,196
|
7,680
|
Pool # BL1040, 3.81%, 12/1/2028
|
15,532
|
14,830
|
Pool # BL0907, 3.88%, 12/1/2028
|
282
|
268
|
Pool # AN4154, 3.17%, 1/1/2029
|
16,343
|
15,105
|
Pool # AN4349, 3.35%, 1/1/2029
|
8,178
|
7,723
|
Pool # AN4344, 3.37%, 1/1/2029
|
15,406
|
14,499
|
Pool # AN1872, 2.90%, 5/1/2029
|
3,361
|
3,074
|
Pool # AN5677, 3.25%, 6/1/2029
|
8,749
|
8,138
|
Pool # BL3509, 2.66%, 8/1/2029
|
21,795
|
19,666
|
Pool # BL3491, 2.84%, 8/1/2029
|
15,435
|
13,968
|
Pool # BS6621, 3.50%, 9/1/2029
|
10,000
|
9,343
|
Pool # BS5424, 3.42%, 5/1/2030
|
12,726
|
11,790
|
Pool # 387883, 3.78%, 8/1/2030
|
15,890
|
14,993
|
Pool # BS5172, 2.59%, 9/1/2030
|
9,799
|
8,727
|
Pool # AN9293, 3.71%, 9/1/2030
|
24,332
|
22,789
|
Pool # BS5171, 2.51%, 10/1/2030
|
24,458
|
21,324
|
Pool # AN2308, 2.87%, 8/1/2031
|
7,629
|
6,816
|
Pool # AN2625, 2.50%, 10/1/2031
|
10,980
|
9,476
|
Pool # BS3695, 1.67%, 11/1/2031
|
24,318
|
19,348
|
Pool # BL3368, 2.84%, 11/1/2031
|
4,344
|
3,784
|
Pool # BM6857, 1.83%, 12/1/2031 (k)
|
24,930
|
20,233
|
Pool # BS4644, 1.99%, 1/1/2032
|
11,500
|
9,552
|
Pool # BS4654, 2.39%, 3/1/2032
|
7,542
|
6,378
|
Pool # BL6367, 1.82%, 4/1/2032
|
34,236
|
27,862
|
Pool # BL6302, 2.07%, 5/1/2032
|
14,715
|
11,931
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # BS5332, 3.09%, 5/1/2032
|
6,067
|
5,345
|
Pool # BS5452, 3.09%, 5/1/2032
|
23,025
|
20,153
|
Pool # BS5500, 3.13%, 5/1/2032
|
11,164
|
9,864
|
Pool # BS5440, 3.26%, 5/1/2032
|
14,265
|
12,723
|
Pool # AO7654, 3.50%, 5/1/2032
|
841
|
794
|
Pool # AO5230, 3.50%, 6/1/2032
|
515
|
490
|
Pool # AO7057, 3.50%, 6/1/2032
|
402
|
380
|
Pool # AO7746, 3.50%, 6/1/2032
|
92
|
86
|
Pool # BS5928, 3.63%, 6/1/2032
|
5,740
|
5,210
|
Pool # AO8038, 3.50%, 7/1/2032
|
838
|
788
|
Pool # AP0645, 3.50%, 7/1/2032
|
1,194
|
1,135
|
Pool # AP0682, 3.50%, 7/1/2032
|
1,085
|
1,028
|
Pool # AP1314, 3.50%, 8/1/2032
|
1,251
|
1,186
|
Pool # AQ1534, 3.50%, 10/1/2032
|
357
|
338
|
Pool # BS8959, 4.73%, 10/1/2032
|
17,812
|
17,525
|
Pool # BL8708, 1.40%, 11/1/2032
|
8,000
|
6,095
|
Pool # AQ1607, 3.50%, 11/1/2032
|
277
|
262
|
Pool # BS7320, 4.88%, 12/1/2032
|
7,766
|
7,741
|
Pool # 650236, 5.00%, 12/1/2032
|
8
|
8
|
Pool # BS7496, 4.33%, 1/1/2033
|
24,269
|
23,284
|
Pool # BS7484, 4.56%, 1/1/2033
|
48,195
|
46,695
|
Pool # BS7843, 3.90%, 2/1/2033
|
18,570
|
17,212
|
Pool # BS7850, 4.21%, 2/1/2033
|
31,064
|
29,446
|
Pool # BS7675, 4.42%, 2/1/2033
|
12,732
|
12,277
|
Pool # AR7961, 3.50%, 3/1/2033
|
316
|
299
|
Pool # BS1636, 2.25%, 4/1/2033
|
42,227
|
34,444
|
Pool # BS7740, 4.11%, 4/1/2033
|
31,064
|
29,186
|
Pool # BS8141, 4.48%, 4/1/2033
|
14,803
|
14,330
|
Pool # BS8546, 4.37%, 5/1/2033
|
16,163
|
15,514
|
Pool # BS9007, 4.32%, 7/1/2033
|
17,092
|
16,366
|
Pool # BS9089, 4.51%, 7/1/2033
|
14,561
|
14,117
|
Pool # BL3453, 3.16%, 8/1/2033
|
14,260
|
12,364
|
Pool # BS9146, 4.35%, 8/1/2033
|
31,048
|
29,728
|
Pool # BS9305, 4.39%, 8/1/2033
|
11,534
|
11,092
|
Pool # BS3020, 1.96%, 9/1/2033
|
8,251
|
6,410
|
Pool # BS9471, 4.45%, 10/1/2033
|
10,000
|
9,631
|
Pool # BS9182, 4.52%, 10/1/2033
|
13,955
|
13,513
|
Pool # BS4824, 2.50%, 2/1/2034
|
24,628
|
19,947
|
Pool # BZ0430, 4.32%, 2/1/2034
|
23,000
|
21,901
|
Pool # BZ0420, 4.60%, 2/1/2034
|
50,000
|
48,709
|
Pool # BZ0401, 4.52%, 3/1/2034
|
10,500
|
10,162
|
Pool # BS5184, 2.67%, 4/1/2034
|
19,415
|
16,090
|
Pool # BS5271, 2.98%, 4/1/2034
|
1,447
|
1,251
|
Pool # BS6427, 3.75%, 9/1/2034
|
12,918
|
11,688
|
Pool # 886320, 6.50%, 7/1/2036
|
13
|
13
|
Pool # BS2829, 2.14%, 8/1/2036
|
12,096
|
9,284
|
Pool # AO6757, 4.00%, 6/1/2042
|
1,372
|
1,301
|
Pool # MA1125, 4.00%, 7/1/2042
|
897
|
835
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # MA1213, 3.50%, 10/1/2042
|
4,079
|
3,699
|
Pool # MA1283, 3.50%, 12/1/2042
|
631
|
572
|
Pool # MA1328, 3.50%, 1/1/2043
|
2,182
|
1,979
|
Pool # MA1404, 3.50%, 4/1/2043
|
1,161
|
1,053
|
Pool # MA1462, 3.50%, 6/1/2043
|
595
|
539
|
Pool # MA1463, 3.50%, 6/1/2043
|
1,647
|
1,494
|
Pool # MA1510, 4.00%, 7/1/2043
|
1,276
|
1,187
|
Pool # MA1546, 3.50%, 8/1/2043
|
2,634
|
2,388
|
Pool # AU8840, 4.50%, 11/1/2043
|
795
|
760
|
Pool # AV2613, 4.50%, 11/1/2043
|
1,662
|
1,590
|
Pool # MA1711, 4.50%, 12/1/2043
|
1,237
|
1,183
|
Pool # AL6167, 3.50%, 1/1/2044
|
9,145
|
8,293
|
Pool # MA2346, 3.50%, 6/1/2045
|
242
|
220
|
Pool # MA2462, 4.00%, 11/1/2045
|
2,111
|
1,963
|
Pool # MA2482, 4.00%, 12/1/2045
|
2,263
|
2,105
|
Pool # MA2519, 4.00%, 1/1/2046
|
2,224
|
2,057
|
Pool # BC0784, 3.50%, 4/1/2046
|
153
|
138
|
Pool # MA2593, 4.00%, 4/1/2046
|
5,314
|
4,916
|
Pool # MA2631, 4.00%, 5/1/2046
|
5,821
|
5,392
|
Pool # MA2658, 3.50%, 6/1/2046
|
2,031
|
1,842
|
Pool # MA2690, 3.50%, 7/1/2046
|
4,038
|
3,662
|
Pool # BF0533, 2.50%, 11/1/2050
|
17,932
|
14,646
|
Pool # BF0090, 3.50%, 5/1/2056
|
19,684
|
17,250
|
Pool # BF0131, 3.50%, 8/1/2056
|
26,503
|
23,180
|
Pool # BM6734, 4.00%, 8/1/2059
|
11,158
|
10,185
|
Pool # BM7075, 3.00%, 3/1/2061
|
11,766
|
9,780
|
Pool # BF0584, 4.50%, 12/1/2061
|
7,668
|
7,197
|
Pool # BF0617, 2.50%, 3/1/2062
|
36,442
|
28,545
|
Pool # BF0674, 2.50%, 4/1/2062
|
33,138
|
25,947
|
Pool # BF0759, 2.50%, 5/1/2062 (j)
|
49,738
|
38,945
|
Pool # BF0673, 2.50%, 6/1/2062
|
18,562
|
14,534
|
Pool # BF0654, 3.00%, 6/1/2062
|
22,064
|
18,009
|
Pool # BF0655, 3.50%, 6/1/2062
|
17,524
|
15,106
|
Pool # BF0677, 4.00%, 9/1/2062
|
48,317
|
43,315
|
FNMA/FHLMC UMBS, Single Family, 30 Year
|
|
|
TBA, 2.50%, 6/25/2054 (j)
|
682,190
|
550,765
|
TBA, 3.00%, 6/25/2054 (j)
|
95,000
|
79,873
|
TBA, 4.50%, 6/25/2054 (j)
|
10,790
|
10,103
|
GNMA I, 30 Year
|
|
|
Pool # 780481, 7.00%, 12/15/2026
|
—
|
—
|
Pool # 460982, 7.00%, 11/15/2027
|
—
|
—
|
Pool # 460759, 6.50%, 2/15/2028
|
11
|
11
|
Pool # 781118, 6.50%, 10/15/2029
|
11
|
11
|
Pool # 783867, 6.00%, 8/15/2036
|
1,438
|
1,486
|
Pool # AS4934, 4.50%, 5/15/2046
|
666
|
640
|
Pool # AT7538, 4.00%, 7/15/2046
|
3,402
|
3,166
|
Pool # AT7652, 4.00%, 8/15/2046
|
2,124
|
1,977
|
Pool # BM1819, 5.00%, 4/15/2049
|
2,701
|
2,701
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
GNMA II
|
|
|
Pool # CK2783, ARM, 6.70%, 2/20/2072 (k)
|
34,917
|
36,256
|
Pool # CL4592, ARM, 6.56%, 3/20/2072 (k)
|
19,513
|
20,147
|
Pool # CK2802, ARM, 6.65%, 3/20/2072 (k)
|
18,156
|
18,841
|
Pool # CK2795, ARM, 6.69%, 3/20/2072 (k)
|
42,842
|
44,488
|
Pool # CM9946, ARM, 6.71%, 3/20/2072 (k)
|
11,637
|
12,093
|
Pool # CM9934, ARM, 6.73%, 3/20/2072 (k)
|
13,689
|
14,229
|
Pool # CK2792, ARM, 6.74%, 3/20/2072 (k)
|
27,841
|
29,002
|
Pool # CL8122, ARM, 6.76%, 3/20/2072 (k)
|
32,008
|
33,357
|
Pool # CK2804, ARM, 6.67%, 4/20/2072 (k)
|
32,376
|
33,623
|
Pool # BL8377, ARM, 6.73%, 4/20/2072 (k)
|
19,310
|
20,145
|
GNMA II, 30 Year
|
|
|
Pool # 2056, 7.50%, 8/20/2025
|
—
|
—
|
Pool # 2270, 8.00%, 8/20/2026
|
—
|
—
|
Pool # 2285, 8.00%, 9/20/2026
|
5
|
5
|
Pool # 2379, 8.00%, 2/20/2027
|
—
|
—
|
Pool # 2397, 8.00%, 3/20/2027
|
—
|
—
|
Pool # 2445, 8.00%, 6/20/2027
|
2
|
2
|
Pool # 2457, 7.50%, 7/20/2027
|
7
|
7
|
Pool # 2538, 8.00%, 1/20/2028
|
1
|
1
|
Pool # 2581, 8.00%, 4/20/2028
|
—
|
—
|
Pool # 2619, 8.00%, 7/20/2028
|
1
|
1
|
Pool # 2714, 6.50%, 2/20/2029
|
1
|
1
|
Pool # 4901, 8.00%, 9/20/2031
|
127
|
131
|
Pool # 5020, 7.50%, 5/20/2032
|
75
|
77
|
Pool # 738210, 7.00%, 6/20/2032
|
122
|
122
|
Pool # 738062, 6.00%, 11/20/2032
|
184
|
188
|
Pool # 738059, 6.00%, 10/20/2033
|
97
|
99
|
Pool # 738049, 6.00%, 3/20/2035
|
101
|
104
|
Pool # 737987, 6.00%, 4/20/2036
|
16
|
16
|
Pool # 737975, 6.00%, 9/20/2036
|
16
|
16
|
Pool # 5034, 7.00%, 8/20/2038
|
28
|
28
|
Pool # 4245, 6.00%, 9/20/2038
|
41
|
43
|
Pool # 4930, 7.00%, 10/20/2038
|
154
|
157
|
Pool # 4964, 7.00%, 12/20/2038
|
23
|
23
|
Pool # 4872, 7.00%, 1/20/2039
|
177
|
181
|
Pool # 5072, 6.50%, 10/20/2039
|
45
|
46
|
Pool # 5218, 6.50%, 10/20/2039
|
96
|
100
|
Pool # AS8103, 3.50%, 6/20/2046
|
1,195
|
1,077
|
Pool # AS8104, 3.75%, 6/20/2046
|
1,181
|
1,079
|
Pool # AS8105, 4.00%, 6/20/2046
|
912
|
843
|
Pool # AS8106, 3.50%, 7/20/2046
|
1,567
|
1,411
|
Pool # AS8107, 3.75%, 7/20/2046
|
2,155
|
1,971
|
Pool # AY0571, 4.50%, 11/20/2047
|
3,287
|
3,116
|
Pool # BB8791, 4.00%, 12/20/2047
|
3,367
|
3,095
|
Pool # BD6195, 4.00%, 1/20/2048
|
3,309
|
3,042
|
Pool # BE9507, 4.50%, 3/20/2048
|
1,654
|
1,584
|
Pool # BG2382, 4.50%, 3/20/2048
|
1,686
|
1,604
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Mortgage-Backed Securities — continued
|
||
Pool # BA7568, 4.50%, 4/20/2048
|
4,064
|
3,873
|
Pool # BD0512, 5.00%, 4/20/2048
|
2,022
|
1,963
|
Pool # BD0532, 5.00%, 6/20/2048
|
2,843
|
2,760
|
Pool # BG3833, 4.50%, 7/20/2048
|
6,812
|
6,491
|
Pool # BD0549, 5.00%, 8/20/2048
|
2,762
|
2,653
|
Pool # BH9109, 4.50%, 10/20/2048
|
3,862
|
3,661
|
Pool # BJ7085, 5.00%, 12/20/2048
|
2,477
|
2,461
|
Pool # BK7188, 4.50%, 2/20/2049
|
2,288
|
2,191
|
Pool # BK7189, 5.00%, 2/20/2049
|
2,689
|
2,651
|
Pool # BN2622, 4.00%, 6/20/2049
|
6,918
|
6,469
|
Pool # BM9677, 4.50%, 6/20/2049
|
4,807
|
4,631
|
Pool # BM9683, 5.00%, 6/20/2049
|
4,536
|
4,489
|
Pool # BJ1310, 4.50%, 7/20/2049
|
4,344
|
4,235
|
Pool # BO2717, 4.50%, 7/20/2049
|
5,445
|
5,338
|
Pool # BO3146, 4.50%, 7/20/2049
|
2,748
|
2,640
|
Pool # BO3147, 4.50%, 7/20/2049
|
3,039
|
2,887
|
Pool # BO3157, 4.50%, 7/20/2049
|
2,797
|
2,694
|
Pool # BO3158, 4.50%, 7/20/2049
|
1,699
|
1,634
|
Pool # BO3159, 4.50%, 7/20/2049
|
659
|
623
|
Pool # BM9690, 5.00%, 7/20/2049
|
1,120
|
1,110
|
Pool # BM9701, 4.50%, 8/20/2049
|
9,138
|
8,640
|
Pool # MA7534, 2.50%, 8/20/2051
|
31,162
|
25,980
|
Pool # CH2866, 3.50%, 10/20/2051
|
14,961
|
13,591
|
Pool # CH2907, 3.50%, 10/20/2051
|
9,319
|
8,466
|
Pool # CH2908, 3.50%, 10/20/2051
|
3,531
|
3,178
|
Pool # CH2964, 3.50%, 10/20/2051
|
8,307
|
7,588
|
Pool # CJ3728, 3.50%, 11/20/2051
|
998
|
899
|
Pool # 786362, 3.00%, 2/20/2052
|
10,632
|
8,949
|
Pool # CL5064, 3.50%, 3/20/2052
|
14,244
|
12,712
|
Pool # CM2176, 3.50%, 3/20/2052
|
5,139
|
4,679
|
Pool # CL5137, 4.00%, 4/20/2052
|
8,903
|
8,229
|
Pool # MA8200, 4.00%, 8/20/2052
|
25,955
|
23,860
|
Pool # CS4391, 5.50%, 7/20/2053
|
19,280
|
19,125
|
GNMA II, Single Family, 30 Year
|
|
|
TBA, 5.00%, 6/15/2054 (j)
|
260,500
|
252,821
|
TBA, 5.50%, 6/15/2054 (j)
|
154,000
|
152,757
|
Retium-RCAF , 12.35%, 3/25/2025 ‡ (a)
|
3,399
|
3,387
|
Total Mortgage-Backed Securities
(Cost $5,401,877)
|
|
5,168,401
|
Asset-Backed Securities — 14.8%
|
||
ACC, 0.00%, 6/15/2026 ‡
|
24,815
|
1,241
|
ACC Trust
|
|
|
Series 2022-1, Class C, 3.24%, 10/20/2025 (a)
|
10,071
|
5,759
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (a)
|
6,299
|
4,485
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (a)
|
956
|
942
|
Accelerated LLC Series 2021-1H, Class D, 3.58%, 10/20/2040 (a)
|
3,558
|
3,242
|
ACRE Commercial Mortgage Ltd.
|
|
|
Series 2021-FL4, Class B, 6.83%, 12/18/2037 (a) (k)
|
1,570
|
1,527
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-FL4, Class C, 7.18%, 12/18/2037 (a) (k)
|
8,737
|
8,447
|
Air Canada Pass-Through Trust (Canada)
|
|
|
Series 2013-1, Class A, 4.13%, 5/15/2025 (a)
|
2,974
|
2,904
|
Series 2017-1, Class B, 3.70%, 1/15/2026 (a)
|
1,793
|
1,706
|
Series 2015-1, Class A, 3.60%, 3/15/2027 (a)
|
2,417
|
2,283
|
Series 2015-2, Class AA, 3.75%, 12/15/2027 (a)
|
682
|
638
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)
|
6,565
|
5,931
|
Series 2017-1, Class A, 3.55%, 1/15/2030 (a)
|
838
|
745
|
American Airlines Pass-Through Trust
|
|
|
Series 2015-2, Class A, 4.00%, 9/22/2027
|
1,809
|
1,706
|
Series 2016-2, Class AA, 3.20%, 6/15/2028
|
655
|
604
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
852
|
773
|
American Credit Acceptance Receivables Trust
|
|
|
Series 2022-2, Class E, 6.57%, 6/13/2028 (a)
|
11,200
|
11,043
|
Series 2023-4, Class C, 6.99%, 9/12/2030 (a)
|
11,448
|
11,650
|
American Homes 4 Rent Trust
|
|
|
Series 2014-SFR3, Class D, 5.04%, 12/17/2036 (a)
|
4,854
|
4,813
|
Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (a)
|
17,226
|
17,174
|
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (a)
|
1,250
|
1,240
|
Series 2015-SFR2, Class D, 5.04%, 10/17/2052 (a)
|
2,250
|
2,210
|
Series 2015-SFR2, Class E, 6.07%, 10/17/2052 (a)
|
18,085
|
17,985
|
AMSR Trust
|
|
|
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a)
|
29,122
|
28,219
|
Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (a)
|
5,824
|
5,659
|
Series 2020-SFR2, Class G, 4.00%, 7/17/2037 (a)
|
5,339
|
5,099
|
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a)
|
15,566
|
15,070
|
Series 2020-SFR2, Class H, 5.25%, 7/17/2037 (a)
|
19,169
|
18,417
|
Series 2020-SFR3, Class F, 3.55%, 9/17/2037 (a)
|
11,823
|
11,302
|
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 (a)
|
22,327
|
21,017
|
Series 2020-SFR4, Class F, 2.86%, 11/17/2037 (a)
|
19,415
|
18,311
|
Series 2020-SFR5, Class H, 5.00%, 11/17/2037 (a)
|
2,365
|
2,251
|
Series 2021-SFR2, Class F1, 3.28%, 8/17/2038 (a)
|
12,620
|
11,479
|
Series 2021-SFR3, Class E2, 2.43%, 10/17/2038 (a)
|
5,936
|
5,367
|
Series 2019-SFR1, Class F, 3.87%, 1/19/2039 (a)
|
19,114
|
17,803
|
Series 2019-SFR1, Class G, 4.86%, 1/19/2039 (a)
|
7,645
|
7,168
|
Series 2019-SFR1, Class H, 6.04%, 1/19/2039 (a)
|
7,645
|
7,301
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a)
|
12,377
|
11,365
|
Series 2023-SFR1, Class F, 4.00%, 4/17/2040 (a)
|
22,105
|
18,809
|
Aqua Finance Trust
|
|
|
Series 2017-A, Class A, 3.72%, 11/15/2035 (a)
|
27
|
27
|
Series 2019-A, Class B, 3.47%, 7/16/2040 (a)
|
12,420
|
11,591
|
Series 2019-A, Class D, 6.07%, 7/16/2040 (a)
|
3,367
|
3,080
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 (a)
|
4,126
|
3,725
|
Series 2020-AA, Class D, 7.15%, 7/17/2046 (a)
|
3,840
|
3,571
|
AREIT Trust
|
|
|
Series 2021-CRE5, Class C, 7.69%, 11/17/2038 ‡ (a) (k)
|
4,854
|
4,672
|
Series 2021-CRE5, Class D, 8.09%, 11/17/2038 ‡ (a) (k)
|
8,737
|
8,283
|
BankBoston Home Equity Loan Trust Series 1998-1, Class A6, 6.35%, 7/25/2028
|
—
|
—
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (a)
|
18,137
|
17,865
|
Bastion Funding LLC Series 2023-1A, Class B, 8.06%, 4/25/2038 ‡ (a)
|
9,369
|
9,389
|
Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 5.74%, 6/25/2043 (k)
|
94
|
88
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
Series 2024-1, Class D, 6.03%, 11/15/2029
|
10,000
|
9,990
|
Series 2024-2, Class D, 6.30%, 2/15/2030
|
6,000
|
6,015
|
British Airways Pass-Through Trust (United Kingdom)
|
|
|
Series 2013-1, Class A, 4.63%, 6/20/2024 (a)
|
281
|
280
|
Series 2019-1, Class A, 3.35%, 6/15/2029 (a)
|
890
|
828
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)
|
478
|
447
|
Series 2018-1, Class A, 4.13%, 9/20/2031 (a)
|
1,432
|
1,330
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)
|
452
|
405
|
Business Jet Securities LLC
|
|
|
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a)
|
4,091
|
3,847
|
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a)
|
2,805
|
2,721
|
Series 2022-1A, Class C, 6.41%, 6/15/2037 ‡ (a)
|
13,369
|
12,797
|
BXG Receivables Note Trust
|
|
|
Series 2018-A, Class C, 4.44%, 2/2/2034 (a)
|
843
|
822
|
Series 2023-A, Class C, 7.38%, 11/15/2038 (a)
|
24,714
|
24,359
|
Caerus Uinta Abs LLC Series 2023-1A, Class A2, 7.85%, 4/28/2040 ‡ (a)
|
21,262
|
21,385
|
Camden, 8.50%, 9/15/2031 ‡
|
11,033
|
10,568
|
CarNow Auto Receivables Trust Series 2022-1A, Class E, 8.29%, 8/15/2028 (a)
|
11,649
|
11,104
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)
|
5,534
|
4,932
|
CARS-DB4 LP
|
|
|
Series 2020-1A, Class A6, 3.81%, 2/15/2050 (a)
|
4,543
|
3,881
|
Series 2020-1A, Class B2, 4.52%, 2/15/2050 (a)
|
8,698
|
7,963
|
Series 2020-1A, Class B3, 4.95%, 2/15/2050 (a)
|
9,698
|
8,260
|
Carvana Auto Receivables Trust
|
|
|
Series 2019-4A, Class E, 4.70%, 10/15/2026 (a)
|
3,114
|
3,101
|
Series 2022-N1, Class E, 6.01%, 12/11/2028 (a)
|
10,286
|
9,684
|
Series 2023-N4, Class D, 7.22%, 2/11/2030 (a)
|
7,860
|
8,059
|
Cascade MH Asset Trust
|
|
|
Series 2019-MH1, Class B, 5.00%, 11/25/2044 (a) (k)
|
16,503
|
14,649
|
Series 2021-MH1, Class B1, 4.57%, 2/25/2046 (a)
|
2,500
|
2,028
|
Series 2021-MH1, Class B2, 5.57%, 2/25/2046 (a)
|
2,550
|
2,144
|
Series 2022-MH1, Class M, 4.25%, 8/25/2054 (a) (i)
|
14,580
|
11,469
|
Centex Home Equity Loan Trust Series 2001-B, Class A6, 6.36%, 7/25/2032
|
13
|
12
|
CFIN Issuer LLC
|
|
|
Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (a)
|
7,491
|
7,267
|
Series 2022-RTL1, Class AB, 5.00%, 2/16/2026 ‡ (a)
|
7,717
|
7,563
|
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039
|
1,372
|
1,452
|
COOF Securitization Trust Ltd. Series 2014-1, Class A, 2.97%, 6/25/2040 (a) (k)
|
1,478
|
102
|
CoreVest American Finance Trust
|
|
|
Series 2020-2, Class A, 3.38%, 5/15/2052 (a)
|
1,693
|
1,650
|
Series 2020-2, Class B, 4.24%, 5/15/2052 (a) (k)
|
8,101
|
7,757
|
Credit Acceptance Auto Loan Trust
|
|
|
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a)
|
8,323
|
8,180
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
9,708
|
9,857
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a)
|
33,457
|
34,403
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (a)
|
10,000
|
10,113
|
Series 2023-2A, Class C, 7.15%, 9/15/2033 (a)
|
21,842
|
22,247
|
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a)
|
26,700
|
27,583
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a)
|
17,250
|
17,543
|
7.68%, 4/17/2034 ‡
|
38,893
|
38,874
|
Crown Castle Towers LLC, 3.66%, 5/15/2025 (a)
|
2,723
|
2,663
|
CWABS, Inc. Asset-Backed Certificates
|
|
|
Series 2004-1, Class M1, 6.19%, 3/25/2034 (k)
|
23
|
23
|
Series 2004-1, Class M2, 6.26%, 3/25/2034 (k)
|
12
|
12
|
Series 2004-1, Class 3A, 6.00%, 4/25/2034 (k)
|
288
|
269
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 6.34%, 10/25/2034 (k)
|
130
|
128
|
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a)
|
18,735
|
17,276
|
Delta Air Lines Pass-Through Trust
|
|
|
Series 2015-1, Class AA, 3.63%, 7/30/2027
|
2,603
|
2,451
|
Series 2020-1, Class AA, 2.00%, 6/10/2028
|
4,154
|
3,759
|
Diamond Resorts Owner Trust Series 2021-1A, Class D, 3.83%, 11/21/2033 (a)
|
2,923
|
2,677
|
Diversified Abs Phase LLC Series VI, Class A, 7.50%, 11/28/2039 ‡
|
16,570
|
15,975
|
Diversified ABS Phase LLC Series 2024-1A, Class A2, 7.67%, 5/30/2044 (a)
|
20,550
|
20,550
|
DLLAA LLC Series 2023-1A, Class A3, 5.64%, 2/22/2028 (a)
|
11,480
|
11,523
|
DP Lion Holdco LLC
|
|
|
Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡
|
5,743
|
5,771
|
Series 2023-1A, Class B, 12.73%, 11/30/2043 ‡
|
7,189
|
7,252
|
DT Auto Owner Trust
|
|
|
Series 2020-3A, Class D, 1.84%, 6/15/2026 (a)
|
6,893
|
6,757
|
Series 2021-3A, Class E, 2.65%, 9/15/2028 (a)
|
1,475
|
1,385
|
E3 (Cayman Islands) Series 2019-1, Class A, 3.10%, 9/20/2055 ‡ (a)
|
4,720
|
3,968
|
Elara HGV Timeshare Issuer LLC
|
|
|
Series 2019-A, Class C, 3.45%, 1/25/2034 (a)
|
939
|
896
|
Series 2021-A, Class D, 3.32%, 8/27/2035 (a)
|
1,550
|
1,409
|
Exeter Automobile Receivables Trust
|
|
|
Series 2020-2A, Class D, 4.73%, 4/15/2026 (a)
|
533
|
532
|
Series 2020-3A, Class D, 1.73%, 7/15/2026
|
1,666
|
1,659
|
Series 2019-4A, Class E, 3.56%, 10/15/2026 (a)
|
14,185
|
14,123
|
Series 2021-4A, Class E, 4.02%, 1/17/2028 (a)
|
9,500
|
8,996
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (a)
|
33,750
|
31,956
|
Series 2022-3A, Class E, 9.09%, 1/15/2030 (a)
|
34,500
|
34,964
|
Series 2023-5A, Class D, 7.13%, 2/15/2030
|
20,049
|
20,571
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a)
|
12,000
|
11,912
|
Series 2023-2A, Class E, 9.75%, 11/15/2030 (a)
|
6,137
|
6,436
|
Series 2023-3A, Class E, 9.98%, 1/15/2031 (a)
|
10,500
|
11,029
|
Series 2023-4A, Class E, 9.57%, 2/18/2031 (a)
|
11,565
|
12,014
|
FirstKey Homes Trust
|
|
|
Series 2020-SFR1, Class H, PO, , 8/17/2037 ‡ (a)
|
7,000
|
6,270
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a)
|
3,699
|
3,542
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a)
|
21,192
|
20,096
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a)
|
18,930
|
17,900
|
Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (a)
|
9,708
|
8,742
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a)
|
19,967
|
18,011
|
Series 2021-SFR1, Class F2, 3.45%, 8/17/2038 (a)
|
4,000
|
3,578
|
Series 2021-SFR1, Class F3, 3.69%, 8/17/2038 (a)
|
4,000
|
3,542
|
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 (a)
|
16,525
|
15,178
|
Flagship Credit Auto Trust
|
|
|
Series 2019-2, Class D, 3.53%, 5/15/2025 (a)
|
1,155
|
1,152
|
Series 2019-2, Class E, 4.52%, 12/15/2026 (a)
|
5,000
|
4,936
|
Series 2023-2, Class C, 5.81%, 5/15/2029 (a)
|
6,006
|
5,992
|
Series 2022-3, Class E, 7.95%, 10/15/2029 (a)
|
1,500
|
1,429
|
FMC GMSR Issuer Trust
|
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (k)
|
14,562
|
13,451
|
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (k)
|
7,766
|
6,692
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (a) (k)
|
21,942
|
18,869
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (k)
|
40,000
|
39,046
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (a)
|
9,707
|
9,410
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a)
|
22,424
|
21,157
|
Series 2022-GT2, Class A, 7.90%, 7/25/2027 (a)
|
12,377
|
12,461
|
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a)
|
22,327
|
22,251
|
Foundation Finance Trust
|
|
|
Series 2020-1A, Class B, 4.62%, 7/16/2040 (a)
|
1,700
|
1,657
|
Series 2020-1A, Class C, 5.75%, 7/16/2040 (a)
|
4,514
|
4,230
|
Foursight Capital Automobile Receivables Trust
|
|
|
Series 2021-1, Class D, 1.32%, 3/15/2027 (a)
|
836
|
831
|
Series 2021-2, Class D, 1.92%, 9/15/2027 (a)
|
850
|
820
|
FRTKL Series 2021-SFR1, Class F, 3.17%, 9/17/2038 (a)
|
4,272
|
3,808
|
FTF, 8.00%, 8/15/2024 ‡
|
5,772
|
4,675
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class A6, 6.70%, 4/25/2029 (k)
|
101
|
100
|
GLS Auto Receivables Issuer Trust
|
|
|
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a)
|
20,556
|
19,943
|
Series 2023-2A, Class C, 5.69%, 3/15/2029 (a)
|
11,317
|
11,256
|
Series 2022-1A, Class E, 5.64%, 5/15/2029 (a)
|
14,000
|
13,342
|
Series 2023-4A, Class D, 7.18%, 8/15/2029 (a)
|
18,943
|
19,470
|
Series 2023-3A, Class E, 9.27%, 8/15/2030 (a)
|
4,900
|
5,097
|
GLS Auto Select Receivables Trust Series 2023-1A, Class B, 6.09%, 3/15/2029 (a)
|
5,825
|
5,895
|
Goodgreen (Cayman Islands)
|
|
|
Series 2018-1A, Class A, 3.93%, 10/15/2053 ‡ (a) (k)
|
3,854
|
3,477
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (a)
|
21,649
|
20,365
|
Goodgreen Ltd. Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (a)
|
24,693
|
24,436
|
Goodgreen Trust
|
|
|
Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (a)
|
688
|
616
|
Series 2016-1A, Class B, 5.24%, 10/15/2052 ‡ (a)
|
508
|
456
|
Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (a)
|
4,431
|
3,925
|
Granite Park Equipment Leasing LLC Series 2023-1A, Class E, 7.00%, 6/20/2035 (a)
|
9,428
|
8,042
|
Granite Park FX Notes Issuer LLC
|
|
|
Series 2024-1A, Class A, 6.82%, 1/15/2031 ‡
|
15,488
|
15,377
|
Series 2024-1A, Class B, 8.27%, 1/15/2031 ‡
|
6,873
|
6,826
|
GTP Acquisition Partners I LLC, 3.48%, 6/16/2025 (a)
|
3,518
|
3,430
|
Harvest SBA Loan Trust Series 2021-1, Class A, 7.44%, 4/25/2048 (a) (k)
|
590
|
586
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
HERO Funding (Cayman Islands)
|
|
|
Series 2017-3A, Class A1, 3.19%, 9/20/2048 ‡ (a)
|
1,960
|
1,674
|
Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a)
|
1,614
|
1,415
|
HERO Funding II (Cayman Islands) Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (a)
|
320
|
316
|
HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 ‡ (a)
|
2,094
|
1,903
|
HERO Funding Trust
|
|
|
Series 2015-3A, Class A, 4.28%, 9/20/2041 ‡ (a)
|
1,152
|
1,071
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (a)
|
513
|
455
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (a)
|
1,764
|
1,588
|
Series 2017-2A, Class A2, 4.07%, 9/20/2048 ‡ (a)
|
1,876
|
1,664
|
Hertz Vehicle Financing LLC Series 2023-3A, Class A, 5.94%, 2/25/2028 (a)
|
12,360
|
12,377
|
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class D, 9.07%, 4/20/2037 (a) (k)
|
10,652
|
10,352
|
Hilton Grand Vacations Trust
|
|
|
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a)
|
3,008
|
2,866
|
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a)
|
3,607
|
3,564
|
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a)
|
2,513
|
2,500
|
HINNT LLC
|
|
|
Series 2022-A, Class D, 6.50%, 5/15/2041 (a)
|
9,187
|
8,752
|
Series 2022-A, Class E, 8.00%, 5/15/2041 (a)
|
1,464
|
1,406
|
Series 2024-A, Class D, 7.00%, 3/15/2043 (a)
|
5,272
|
5,101
|
Home Partners of America Trust
|
|
|
Series 2021-2, Class F, 3.80%, 12/17/2026 (a)
|
7,208
|
6,442
|
Series 2019-2, Class E, 3.32%, 10/19/2039 (a)
|
8,984
|
8,223
|
Series 2021-3, Class E2, 3.35%, 1/17/2041 (a)
|
13,070
|
11,198
|
HPA Frn, 3.95%, 4/15/2026 ‡
|
31,000
|
30,005
|
Jonah, 7.80%, 11/10/2037 ‡ (a)
|
19,229
|
18,627
|
Jonah Energy Abs LLC Series 2022-1, Class A1, 7.20%, 12/10/2037 ‡ (a)
|
14,350
|
14,229
|
KGS-Alpha SBA COOF Trust
|
|
|
Series 2012-4, Class A, IO, 0.81%, 9/25/2037 (a) (k)
|
1,812
|
32
|
Series 2012-2, Class A, IO, 0.76%, 8/25/2038 (a) (k)
|
1,799
|
31
|
Series 2013-2, Class A, IO, 1.77%, 3/25/2039 (a) (k)
|
1,714
|
53
|
Lendbuzz Securitization Trust Series 2024-1A, Class A2, 6.19%, 8/15/2029 (a)
|
8,000
|
8,017
|
Lendingpoint Asset Securitization Trust
|
|
|
Series 2021-A, Class C, 2.75%, 12/15/2028 (a)
|
3,317
|
3,273
|
Series 2021-B, Class C, 3.21%, 2/15/2029 (a)
|
6,738
|
6,378
|
Series 2022-B, Class C, 8.45%, 10/15/2029 (a)
|
9,627
|
4,059
|
LendingPoint Asset Securitization Trust
|
|
|
Series 2020-REV1, Class C, 7.70%, 10/15/2028 (a)
|
6,417
|
6,309
|
Series 2020-REV1, Class D, 10.00%, 10/15/2028 ‡ (a)
|
7,000
|
4,720
|
Lendingpoint SPE Trust
|
|
|
Series 2020-VFN1, Class A1B, 9.68%, 12/15/2026 ‡ (a) (k)
|
2,621
|
2,589
|
Series 2020-VFN1, Class A2B1, 9.68%, 12/15/2026 ‡ (a) (k)
|
405
|
401
|
Lendmark Funding Trust
|
|
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a)
|
13,000
|
11,368
|
Series 2021-2A, Class D, 4.46%, 4/20/2032 (a)
|
8,700
|
7,407
|
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (a)
|
27,785
|
27,024
|
LFT CRE Ltd.
|
|
|
Series 2021-FL1, Class D, 7.88%, 6/15/2039 (a) (k)
|
13,821
|
13,194
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2021-FL1, Class E, 8.38%, 6/15/2039 (a) (k)
|
12,135
|
11,400
|
LL ABS Trust Series 2022-1A, Class D, 7.83%, 11/15/2029 (a)
|
4,890
|
4,634
|
LP LMS Asset Securitization Trust
|
|
|
8.35%, 10/15/2028 ‡
|
8,911
|
8,682
|
Series 2021-2A, Class C, 3.85%, 1/15/2029 (a)
|
14,000
|
13,533
|
Mariner Finance Issuance Trust
|
|
|
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a)
|
6,985
|
6,957
|
Series 2023-AA, Class E, 11.12%, 10/22/2035 (a)
|
16,200
|
16,314
|
Series 2021-AA, Class E, 5.40%, 3/20/2036 (a)
|
7,600
|
6,556
|
Series 2021-BA, Class E, 4.68%, 11/20/2036 (a)
|
8,500
|
7,120
|
Series 2022-AA, Class D, 9.10%, 10/20/2037 (a)
|
11,215
|
11,428
|
Series 2022-AA, Class E, 10.98%, 10/20/2037 ‡ (a)
|
22,167
|
22,534
|
Marlette Funding Trust Series 2023-2A, Class C, 6.96%, 6/15/2033 (a)
|
6,432
|
6,477
|
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a)
|
15,370
|
15,480
|
Mid-State Capital Corp. Trust
|
|
|
Series 2005-1, Class A, 5.75%, 1/15/2040
|
32
|
31
|
Series 2005-1, Class M1, 6.11%, 1/15/2040
|
733
|
722
|
Series 2006-1, Class A, 5.79%, 10/15/2040 (a)
|
625
|
612
|
Series 2006-1, Class M1, 6.08%, 10/15/2040 (a)
|
758
|
743
|
Series 2006-1, Class M2, 6.74%, 10/15/2040 (a)
|
312
|
309
|
MNR ABS Issuer I LLC
|
|
|
8.95%, 12/15/2038 ‡
|
7,166
|
7,210
|
12.44%, 12/15/2038 ‡
|
23,939
|
24,425
|
Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 7.69%, 3/25/2033 (k)
|
100
|
99
|
MVW LLC
|
|
|
Series 2022-1A, Class D, 7.35%, 11/21/2039 (a)
|
5,749
|
5,537
|
Series 2023-1A, Class D, 8.83%, 10/20/2040 (a)
|
7,773
|
7,716
|
Series 2023-2A, Class D, 9.33%, 11/20/2040 (a)
|
6,646
|
6,688
|
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a)
|
11,112
|
11,023
|
MVW Owner Trust
|
|
|
Series 2019-1A, Class B, 3.00%, 11/20/2036 (a)
|
2,616
|
2,538
|
Series 2019-1A, Class C, 3.33%, 11/20/2036 (a)
|
1,104
|
1,066
|
New Century Home Equity Loan Trust
|
|
|
Series 2003-5, Class AI6, 4.85%, 11/25/2033 (i)
|
187
|
176
|
Series 2005-1, Class M1, 6.11%, 3/25/2035 (k)
|
47
|
47
|
Nissan Auto Lease Trust Series 2023-B, Class A4, 5.61%, 11/15/2027
|
8,975
|
8,978
|
NRZ Excess Spread-Collateralized Notes
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)
|
4,747
|
4,570
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
7,250
|
6,722
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)
|
4,278
|
4,136
|
Octane Receivables Trust
|
|
|
Series 2020-1A, Class D, 5.45%, 3/20/2028 (a)
|
6,217
|
6,198
|
Series 2023-3A, Class D, 7.58%, 9/20/2029 (a)
|
4,640
|
4,786
|
Series 2022-1A, Class E, 7.33%, 12/20/2029 (a)
|
2,000
|
1,924
|
Series 2024-1A, Class C, 5.82%, 5/20/2030 (a)
|
3,500
|
3,485
|
OL SP LLC
|
|
|
Series 2018, Class C, 4.25%, 5/15/2025 ‡
|
188
|
188
|
Series 2018, Class A, 4.16%, 2/9/2030 ‡
|
694
|
693
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2018, Class B, 4.61%, 2/9/2030 ‡
|
217
|
217
|
Oportun Issuance Trust
|
|
|
Series 2022-2, Class C, 9.36%, 10/9/2029 (a)
|
7,815
|
7,857
|
Series 2022-3, Class C, 10.15%, 1/8/2030 (a)
|
7,572
|
7,730
|
Series 2024-1A, Class A, 6.33%, 4/8/2031 (a)
|
9,362
|
9,363
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (a)
|
6,136
|
5,813
|
Series 2021-B, Class C, 3.65%, 5/8/2031 (a)
|
8,214
|
7,866
|
Series 2022-A, Class A, 5.05%, 6/9/2031 (a)
|
11,649
|
11,559
|
Series 2022-A, Class C, 7.40%, 6/9/2031 (a)
|
5,340
|
5,260
|
P Opportunitie Frn, 21.76%, 8/20/2025 ‡ (a)
|
8,194
|
4,917
|
P2 Series 2021 A1, 3.00%, 12/20/2031 ‡ (a)
|
35,000
|
34,615
|
Pagaya AI Technology in Housing Trust Series 2023-1, Class E1, 3.60%, 10/25/2040 (a)
|
26,822
|
22,683
|
Pendoor Proper, Zero Coupon, 2/15/2025 ‡ (a)
|
31,800
|
30,509
|
PMC PLS ESR Issuer LLC Series 2022-PLS1, Class A, 5.11%, 2/25/2027 (a) (i)
|
8,603
|
8,419
|
Post Road Equipment Finance LLC Series 2024-1A, Class E, 8.50%, 12/15/2031 (a)
|
3,250
|
3,107
|
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (i)
|
7,563
|
7,387
|
Pretium Mortgage Credit Partners I LLC
|
|
|
Series 2021-NPL1, Class A2, 4.21%, 9/27/2060 (a) (i)
|
15,119
|
13,812
|
Series 2021-NPL1, Class A1, 5.24%, 9/27/2060 (a) (i)
|
13,535
|
13,396
|
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (i)
|
7,582
|
7,393
|
Progress Residential
|
|
|
Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 (a)
|
9,348
|
8,571
|
Series 2021-SFR1, Class F, 2.76%, 4/17/2038 (a)
|
11,649
|
10,616
|
Progress Residential Trust
|
|
|
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a)
|
21,356
|
19,823
|
Series 2020-SFR3, Class F, 2.80%, 10/17/2027 (a)
|
9,708
|
9,141
|
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a)
|
6,796
|
6,463
|
Series 2020-SFR2, Class GREG, PO, , 6/17/2037 (a)
|
18,874
|
17,260
|
Series 2020-SFR2, Class B, 2.58%, 6/17/2037 (a)
|
11,728
|
11,326
|
Series 2020-SFR2, Class C, 3.08%, 6/17/2037 (a)
|
8,831
|
8,550
|
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 (a)
|
9,374
|
9,125
|
Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 (a)
|
14,707
|
13,528
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a)
|
23,973
|
21,583
|
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (a)
|
19,522
|
18,523
|
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a)
|
11,918
|
11,358
|
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (a)
|
12,578
|
11,114
|
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 (a)
|
3,000
|
2,597
|
PRPM LLC Series 2021-2, Class A1, 5.11%, 3/25/2026 (a) (k)
|
9,876
|
9,791
|
Raisa Funding I LLC, 11.71%, 6/15/2038 ‡
|
8,002
|
8,040
|
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (i)
|
9,906
|
9,626
|
Regional Management Issuance Trust Series 2021-1, Class D, 5.07%, 3/17/2031 (a)
|
2,100
|
1,946
|
Renew (Cayman Islands)
|
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (a)
|
874
|
786
|
Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)
|
497
|
478
|
Series 2017-2A, Class A, 3.22%, 9/22/2053 ‡ (a)
|
9,385
|
8,120
|
Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (a)
|
10,648
|
10,170
|
River Rock SFR Frn, 9.25%, 10/15/2024 ‡ (a)
|
18,070
|
17,708
|
RSFR Series 2020-1, Class PT, 7.21%, 2/17/2025 ‡ (a) (i)
|
28,114
|
26,650
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
RT Fin LLC, 11.71%, 10/15/2043 ‡
|
13,187
|
13,184
|
Santander Drive Auto Receivables Trust
|
|
|
Series 2023-2, Class C, 5.47%, 12/16/2030
|
24,560
|
24,495
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
45,600
|
45,143
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
27,300
|
27,172
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
7,941
|
8,025
|
Santander Revolving Auto Loan Trust
|
|
|
Series 2019-A, Class A, 2.51%, 1/26/2032 (a)
|
31,758
|
31,249
|
Series 2019-A, Class C, 3.00%, 1/26/2032 (a)
|
10,436
|
10,256
|
Series 2019-A, Class D, 3.45%, 1/26/2032 (a)
|
7,281
|
7,164
|
SART Series 2018-1, 4.76%, 6/15/2025 ‡
|
959
|
957
|
SCF Equipment Leasing LLC
|
|
|
Series 2019-2A, Class G, 6.00%, 10/20/2031 ‡ (a)
|
10,662
|
10,625
|
Series 2020-1A, Class G, 6.00%, 4/20/2032 ‡ (a)
|
2,993
|
2,943
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a)
|
19,600
|
19,967
|
Series 2022-1A, Class E, 5.26%, 7/20/2032 (a)
|
3,646
|
3,452
|
Series 2022-1A, Class F, 6.00%, 7/20/2032 (a)
|
7,056
|
6,378
|
Series 2021-1A, Class F, 5.52%, 8/20/2032 (a)
|
40,000
|
38,244
|
Series 2021-1A, Class G, 6.00%, 8/20/2032 ‡ (a)
|
10,116
|
9,512
|
Series 2022-2A, Class E, 6.50%, 6/20/2035 (a)
|
10,909
|
10,273
|
Series 2023-1A, Class E, 7.00%, 7/21/2036 (a)
|
19,500
|
18,553
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.86%,
1/25/2036 (i)
|
129
|
103
|
Sierra Timeshare Receivables Funding LLC
|
|
|
Series 2021-1A, Class D, 3.17%, 11/20/2037 (a)
|
2,020
|
1,909
|
Series 2021-2A, Class D, 3.23%, 9/20/2038 (a)
|
1,014
|
939
|
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a)
|
6,044
|
5,741
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a)
|
4,738
|
4,872
|
Series 2023-1A, Class D, 9.80%, 1/20/2040 (a)
|
3,369
|
3,449
|
Series 2023-2A, Class D, 9.72%, 4/20/2040 (a)
|
4,134
|
4,230
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a)
|
2,702
|
2,718
|
Series 2023-3A, Class D, 9.44%, 9/20/2040 (a)
|
3,669
|
3,721
|
Series 2024-1A, Class D, 8.02%, 1/20/2043 (a)
|
2,083
|
2,079
|
Soundview Home Loan Trust Series 2007-OPT1, Class 2A1, 5.52%, 6/25/2037 (k)
|
699
|
448
|
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030
|
540
|
482
|
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a)
|
5,398
|
5,390
|
Tricolor Auto Securitization Trust Series 2022-1A, Class E, 7.79%, 8/16/2027 (a)
|
5,290
|
5,175
|
Tricon American Homes Trust Series 2019-SFR1, Class F, 3.75%, 3/17/2038 (a)
|
6,796
|
6,479
|
United Airlines Pass-Through Trust
|
|
|
Series 2013-1, Class A, 4.30%, 8/15/2025
|
359
|
352
|
Series 2016-2, Class B, 3.65%, 10/7/2025
|
861
|
833
|
Series 2014-1, Class A, 4.00%, 4/11/2026
|
1,847
|
1,785
|
Series 2014-2, Class A, 3.75%, 9/3/2026
|
307
|
294
|
Series 2016-1, Class AA, 3.10%, 7/7/2028
|
868
|
799
|
Series 2016-2, Class AA, 2.88%, 10/7/2028
|
1,165
|
1,054
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
8,821
|
8,076
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
913
|
823
|
Series 2019-1, Class AA, 4.15%, 8/25/2031
|
1,148
|
1,069
|
Series 2019-1, Class A, 4.55%, 8/25/2031
|
1,369
|
1,306
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Series 2019-2, Class AA, 2.70%, 5/1/2032
|
1,460
|
1,248
|
UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (a)
|
17,711
|
17,640
|
US Auto Funding Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)
|
10,500
|
1,065
|
US Auto Funding Trust Series 2022-1A, Class D, 9.14%, 7/15/2027 ‡ (a)
|
16,000
|
2,400
|
VCAT LLC Series 2021-NPL3, Class A1, 4.74%, 5/25/2051 (a) (i)
|
2,671
|
2,591
|
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a)
|
16,232
|
16,236
|
Veros Auto Receivables Trust Series 2022-1, Class D, 7.23%, 7/16/2029 (a)
|
3,750
|
3,703
|
vMobo, Inc., 9.46%, 7/18/2027 ‡
|
55,000
|
51,453
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (a) (i)
|
10,375
|
10,238
|
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (a) (i)
|
7,349
|
7,243
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 5.24%, 3/27/2051 (a) (i)
|
3,834
|
3,792
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (a) (i)
|
14,015
|
13,824
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (a) (i)
|
8,857
|
8,740
|
Welk Resorts LLC Series 2019-AA, Class C, 3.34%, 6/15/2038 (a)
|
1,443
|
1,363
|
Westgate Resorts LLC
|
|
|
Series 2020-1A, Class C, 6.21%, 3/20/2034 (a)
|
1,076
|
1,071
|
Series 2023-1A, Class C, 7.49%, 12/20/2037 (a)
|
3,142
|
3,120
|
Westlake Automobile Receivables Trust
|
|
|
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a)
|
18,976
|
19,085
|
Series 2023-4A, Class D, 7.19%, 7/16/2029 (a)
|
15,900
|
16,287
|
Ygrene, 11.00%, 5/25/2026 ‡
|
3,000
|
3,000
|
Total Asset-Backed Securities
(Cost $3,065,949)
|
|
2,937,881
|
Commercial Mortgage-Backed Securities — 10.9%
|
||
20 Times Square Trust Series 2018-20TS, Class F, 3.10%, 5/15/2035 (a) (k)
|
23,414
|
17,895
|
Acrc 5.25%, 11/15/2026 ‡ (a)
|
37,333
|
33,555
|
Areit Frn 2.75%, 8/17/2026 ‡ (a) (k)
|
30,000
|
29,250
|
BAMLL Re-REMIC Trust Series 2014-FRR8, Class A, 1.82%, 11/26/2047 (a) (k)
|
11,649
|
11,369
|
BAMLL RE-Remic Trust Series 2014-FRR8, Class C, 0.00%, 11/26/2047 ‡ (a) (k)
|
8,501
|
8,189
|
BANK Series 2019-BN19, Class A3, 3.18%, 8/15/2061
|
9,708
|
8,424
|
BBCCRE Trust Series 2015-GTP, Class A, 3.97%, 8/10/2033 (a)
|
9,126
|
8,787
|
BB-UBS Trust
|
|
|
Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a)
|
13,515
|
13,128
|
Series 2012-SHOW, Class E, 4.03%, 11/5/2036 (a) (k)
|
14,530
|
12,908
|
BMD2 Re-Remic Trust
|
|
|
Series 2019-FRR1, Class 1A1, 7.94%, 5/25/2052 (a) (k)
|
2,851
|
2,851
|
Series 2019-FRR1, Class 1A5, 9.64%, 5/25/2052 (a) (k)
|
1,575
|
1,560
|
BWAY Mortgage Trust Series 2013-1515, Class F, 3.93%, 3/10/2033 (a) (k)
|
4,854
|
4,173
|
BX
|
|
|
Series 2021-MFM1, Class E, 7.68%, 1/15/2034 (a) (k)
|
2,418
|
2,387
|
Series 2021-MFM1, Class F, 8.43%, 1/15/2034 (a) (k)
|
1,488
|
1,465
|
Cascade Funding Mortgage Trust
|
|
|
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 (a)
|
10,678
|
9,848
|
Series 2021-FRR1, Class CK45, 1.33%, 2/28/2025 (a) (k)
|
12,746
|
11,970
|
Series 2021-FRR1, Class CKW1, 0.00%, 1/29/2026 (a)
|
8,737
|
7,486
|
Series 2021-FRR1, Class BK54, 0.00%, 2/28/2026 (a)
|
21,871
|
18,841
|
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a)
|
6,795
|
5,757
|
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a)
|
2,800
|
2,327
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a)
|
12,231
|
7,891
|
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a)
|
11,736
|
7,813
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a)
|
14,852
|
8,851
|
Series 2021-FRR1, Class BK58, 2.43%, 9/29/2029 (a) (k)
|
10,863
|
9,349
|
CFCRE Commercial Mortgage Trust Series 2011-C2, Class D, 5.25%, 12/15/2047 (a) (k)
|
2,696
|
2,495
|
Commercial Mortgage Trust
|
|
|
Series 2018-HOME, Class A, 3.82%, 4/10/2033 (a) (k)
|
23,201
|
21,219
|
Series 2020-CBM, Class D, 3.63%, 2/10/2037 (a) (k)
|
8,494
|
8,154
|
Series 2015-CR24, Class A5, 3.70%, 8/10/2048
|
7,797
|
7,604
|
Series 2015-CR25, Class A4, 3.76%, 8/10/2048
|
6,655
|
6,493
|
Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 (a) (k)
|
8,843
|
1
|
CSAIL Commercial Mortgage Trust Series 2015-C3, Class A4, 3.72%, 8/15/2048
|
11,944
|
11,630
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a)
|
14,756
|
11,027
|
FHLMC
|
|
|
Series K753, Class A2, 4.40%, 10/25/2030
|
23,410
|
22,724
|
Series 2023-MN7, Class M2, 11.02%, 9/25/2043 (a) (k)
|
11,110
|
12,151
|
FHLMC, Multi-Family Structured Credit Risk
|
|
|
Series 2021-MN1, Class M2, 9.07%, 1/25/2051 (a) (k)
|
29,641
|
29,772
|
Series 2021-MN3, Class M1, 7.62%, 11/25/2051 (a) (k)
|
3,598
|
3,533
|
Series 2021-MN3, Class M2, 9.32%, 11/25/2051 (a) (k)
|
3,508
|
3,533
|
Series 2022-MN4, Class M2, 11.82%, 5/25/2052 (a) (k)
|
6,067
|
6,733
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
Series KJ17, Class A2, 2.98%, 11/25/2025
|
6,272
|
6,157
|
Series KS06, Class A2, 2.72%, 7/25/2026
|
9,785
|
9,349
|
Series K065, Class A2, 3.24%, 4/25/2027
|
6,439
|
6,132
|
Series KJ26, Class A2, 2.61%, 7/25/2027
|
13,927
|
13,296
|
Series K070, Class A2, 3.30%, 11/25/2027 (k)
|
5,868
|
5,563
|
Series W5FX, Class AFX, 3.21%, 4/25/2028 (k)
|
9,620
|
8,975
|
Series KL05, Class X1P, IO, 0.89%, 6/25/2029 (k)
|
170,657
|
6,589
|
Series KS11, Class AFX2, 2.65%, 6/25/2029
|
48,537
|
43,716
|
Series K152, Class A2, 3.08%, 1/25/2031
|
8,584
|
7,700
|
Series K128, Class X3, IO, 2.78%, 4/25/2031 (k)
|
12,474
|
1,810
|
Series K142, Class AM, 2.40%, 3/25/2032
|
21,356
|
17,854
|
Series K145, Class A2, 2.58%, 5/25/2032
|
18,119
|
15,352
|
Series K146, Class A2, 2.92%, 6/25/2032
|
13,105
|
11,383
|
Series K-152, Class A2, 3.78%, 11/25/2032 (k)
|
34,000
|
31,313
|
Series K-160, Class A2, 4.50%, 8/25/2033 (k)
|
34,000
|
32,897
|
Series KX04, Class XFX, IO, 1.67%, 1/25/2034 (k)
|
164,162
|
8,560
|
Series K-1515, Class A2, 1.94%, 2/25/2035
|
34,947
|
26,269
|
Series K-1520, Class X3, IO, 3.09%, 4/25/2039 (k)
|
4,320
|
1,040
|
Series K146, Class AM, 2.92%, 6/25/2054
|
12,620
|
10,913
|
Series Q014, Class X, IO, 2.78%, 10/25/2055 (k)
|
21,272
|
3,219
|
FNMA ACES
|
|
|
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (k)
|
3,396
|
3,374
|
Series 2015-M1, Class A2, 2.53%, 9/25/2024
|
7,796
|
7,715
|
Series 2015-M7, Class A2, 2.59%, 12/25/2024
|
6,936
|
6,819
|
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (k)
|
8,995
|
8,844
|
Series 2015-M5, Class A1, 2.86%, 3/25/2025 (k)
|
12,507
|
12,248
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2015-M13, Class A2, 2.70%, 6/25/2025 (k)
|
1,166
|
1,133
|
Series 2016-M6, Class A2, 2.49%, 5/25/2026
|
6,966
|
6,616
|
Series 2016-M7, Class A2, 2.50%, 9/25/2026
|
5,347
|
5,065
|
Series 2017-M1, Class A2, 2.42%, 10/25/2026 (k)
|
7,364
|
6,932
|
Series 2017-M3, Class A2, 2.46%, 12/25/2026 (k)
|
12,104
|
11,357
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (k)
|
5,415
|
5,160
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (k)
|
7,660
|
7,263
|
Series 2018-M2, Class A2, 2.91%, 1/25/2028 (k)
|
25,986
|
24,352
|
Series 2018-M7, Class A2, 3.03%, 3/25/2028 (k)
|
26,546
|
24,933
|
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (k)
|
8,266
|
7,753
|
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (k)
|
20,179
|
19,079
|
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (k)
|
33,421
|
31,700
|
Series 2019-M1, Class A2, 3.55%, 9/25/2028 (k)
|
48,068
|
45,731
|
Series 2020-M38, Class 2A1, 1.59%, 11/25/2028
|
5,314
|
4,713
|
Series 2020-M38, Class X2, IO, 1.98%, 11/25/2028 (k)
|
34,878
|
1,980
|
Series 2017-M5, Class A2, 2.99%, 4/25/2029 (k)
|
16,859
|
15,565
|
Series 2019-M7, Class A2, 3.14%, 4/25/2029
|
15,645
|
14,446
|
Series 2019-M12, Class A2, 2.89%, 6/25/2029 (k)
|
26,476
|
24,158
|
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (k)
|
6,003
|
5,481
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
5,147
|
4,630
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (k)
|
78,186
|
4,389
|
Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (k)
|
13,688
|
12,592
|
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (k)
|
32,285
|
31,134
|
Series 2023-M1S, Class A2, 4.50%, 4/25/2033 (k)
|
6,868
|
6,657
|
Series 2024-M2, Class A2, 3.75%, 8/25/2033
|
56,000
|
50,693
|
FREMF Mortgage Trust
|
|
|
Series 2017-K727, Class C, 3.76%, 7/25/2024 (a) (k)
|
3,106
|
3,085
|
Series 2018-KL2B, Class CB, 3.71%, 1/25/2025 (a) (k)
|
8,477
|
8,158
|
Series 2018-KL3W, Class CW, 4.10%, 8/25/2025 (a) (k)
|
19,415
|
18,326
|
Series 2017-KL1P, Class BP, 3.37%, 10/25/2025 (a) (k)
|
12,894
|
11,866
|
Series 2018-KSL1, Class C, 3.86%, 11/25/2025 ‡ (a) (k)
|
16,536
|
15,942
|
Series 2018-KBX1, Class C, 3.61%, 1/25/2026 (a) (k)
|
7,281
|
6,356
|
Series 2018-KHG1, Class C, 3.82%, 12/25/2027 (a) (k)
|
32,247
|
28,734
|
Series 2018-KW06, Class C, 0.00%, 6/25/2028 (a)
|
12,112
|
9,014
|
Series 2018-KW06, Class X2A, IO, 0.10%, 6/25/2028 (a)
|
125,708
|
316
|
Series 2018-KW06, Class X2B, IO, 0.10%, 6/25/2028 (a)
|
16,149
|
52
|
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a)
|
576,893
|
1,886
|
Series 2018-K82, Class D, PO, 10/25/2028 (a)
|
55,000
|
37,450
|
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a)
|
144,000
|
515
|
Series 2018-K84, Class D, PO, 11/25/2028 (a)
|
63,510
|
41,740
|
Series 2019-KBF3, Class C, 10.19%, 1/25/2029 (a) (k)
|
17,058
|
15,980
|
Series 2019-KL05, Class BHG, 4.37%, 2/25/2029 ‡ (a) (k)
|
3,500
|
3,052
|
Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)
|
11,274
|
9,704
|
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (a)
|
830,138
|
2,925
|
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (a)
|
180,000
|
700
|
Series 2018-KW07, Class C, PO, 10/25/2031 (a)
|
12,620
|
7,878
|
Series 2018-KW07, Class X2A, IO, 0.10%, 10/25/2031 (a)
|
144,063
|
352
|
Series 2018-KW07, Class X2B, IO, 0.10%, 10/25/2031 (a)
|
16,457
|
57
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2019-KW10, Class C, PO, 10/25/2032 (a)
|
24,000
|
14,655
|
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (a)
|
274,821
|
1,034
|
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (a)
|
32,000
|
127
|
Series 2019-KW10, Class B, 3.63%, 10/25/2032 (a) (k)
|
8,902
|
7,822
|
Series 2018-K157, Class C, PO, 9/25/2033 (a)
|
50,000
|
21,683
|
Series 19K-1510, Class C, 0.00%, 1/25/2034 ‡ (a)
|
51,057
|
21,353
|
Series 2014-K39, Class C, 4.05%, 8/25/2047 (a) (k)
|
6,795
|
6,751
|
Series 2014-K40, Class C, 4.05%, 11/25/2047 (a) (k)
|
8,292
|
8,208
|
Series 2015-K45, Class B, 3.60%, 4/25/2048 (a) (k)
|
8,659
|
8,509
|
Series 2015-K46, Class C, 3.70%, 4/25/2048 (a) (k)
|
3,441
|
3,362
|
Series 2015-K48, Class B, 3.65%, 8/25/2048 (a) (k)
|
15,614
|
15,223
|
Series 2015-K51, Class B, 3.95%, 10/25/2048 (a) (k)
|
2,670
|
2,600
|
Series 2016-K55, Class B, 4.17%, 4/25/2049 (a) (k)
|
9,707
|
9,393
|
Series 2016-K56, Class B, 3.95%, 6/25/2049 (a) (k)
|
3,445
|
3,325
|
Series 2017-K68, Class D, PO, 10/25/2049 (a)
|
53,000
|
39,138
|
Series 2017-K69, Class D, PO, 10/25/2049 (a)
|
46,000
|
33,307
|
Series 2017-K69, Class X2B, IO, 0.10%, 10/25/2049 (a)
|
145,000
|
393
|
Series 2017-K68, Class B, 3.84%, 10/25/2049 (a) (k)
|
9,147
|
8,641
|
Series 2016-K59, Class B, 3.58%, 11/25/2049 (a) (k)
|
4,576
|
4,360
|
Series 2017-K61, Class C, 3.70%, 12/25/2049 (a) (k)
|
5,189
|
4,885
|
Series 2017-K63, Class B, 3.88%, 2/25/2050 (a) (k)
|
11,547
|
10,997
|
Series 2017-K63, Class C, 3.88%, 2/25/2050 (a) (k)
|
4,854
|
4,583
|
Series 2018-K74, Class B, 4.09%, 2/25/2051 (a) (k)
|
9,707
|
9,178
|
Series 2018-K81, Class D, PO, 9/25/2051 (a)
|
56,700
|
37,559
|
Series 2019-K92, Class D, PO, 5/25/2052 (a)
|
76,852
|
49,611
|
Series 2020-K116, Class D, PO, 9/25/2052 (a)
|
87,436
|
47,535
|
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (a)
|
920,671
|
3,850
|
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (a)
|
223,000
|
1,003
|
Series 2019-K98, Class B, 3.74%, 10/25/2052 (a) (k)
|
10,678
|
9,759
|
Series 2020-K105, Class D, PO, 3/25/2053 (a)
|
63,425
|
35,956
|
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (a)
|
677,995
|
2,728
|
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (a)
|
153,315
|
677
|
Series 2020-K122, Class D, PO, 1/25/2054 (a)
|
82,132
|
43,856
|
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (a)
|
200,000
|
955
|
FRR Re-REMIC Trust
|
|
|
Series 2018-C1, Class BK43, 2.70%, 2/27/2048 (a) (k)
|
7,766
|
7,451
|
Series 2018-C1, Class AK43, 2.81%, 2/27/2048 (a) (k)
|
4,854
|
4,680
|
GAM Re-REMIC Trust Series 2022-FRR3, Class CK89, PO, 1/27/2052 ‡ (a)
|
8,540
|
5,497
|
GS Mortgage Securities Trust Series 2019-GC38, Class A4, 3.97%, 2/10/2052
|
30,190
|
28,041
|
Hunt Companies Finance Trust, Inc. 7.25%, 2/13/2025 ‡
|
26,750
|
25,597
|
Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a)
|
15,794
|
15,066
|
JPMCC Re-REMIC Trust
|
|
|
Series 2015-FRR2, Class BK39, PO, 8/27/2047 ‡ (a)
|
3,927
|
3,872
|
Series 2015-FRR2, Class AK39, 2.16%, 8/27/2047 (a) (k)
|
10,290
|
10,136
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2005-CB11, Class X1, IO,
0.14%, 8/12/2037 (a) (k)
|
2,170
|
—
|
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 8.03%, 4/15/2038 (a) (k)
|
19,870
|
19,733
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class F, 2.72%, 12/15/2036 (a)
|
40,772
|
23,763
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Multi-Family Connecticut Avenue Securities Trust
|
|
|
Series 2019-01, Class M10, 8.69%, 10/25/2049 (a) (k)
|
27,018
|
26,993
|
Series 2020-01, Class M10, 9.19%, 3/25/2050 (a) (k)
|
49,892
|
50,012
|
Series 2023-01, Class M10, 11.82%, 11/25/2053 (a) (k)
|
53,430
|
58,241
|
NW Re-REMIC TRUST Series 2021-FRR1, Class BK88, 2.65%, 12/18/2051 (a) (k)
|
8,882
|
6,943
|
P -stlb Series 2019-STL B9.25%, 10/11/2026 ‡
|
18,500
|
17,721
|
SBALR Commercial Mortgage Trust
|
|
|
Series 2020-RR1, Class XA, IO, 1.23%, 2/13/2053 (a) (k)
|
59,862
|
3,141
|
Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a)
|
36,086
|
29,473
|
Series RR Trust
|
|
|
Series 2015-1, Class A, PO, 4/26/2048 (a)
|
3,000
|
2,814
|
Series 2015-1, Class B, PO, 4/26/2048 (a)
|
18,444
|
17,207
|
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)
|
69
|
65
|
Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A4, 3.66%, 9/15/2058
|
7,376
|
7,181
|
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.06%, 3/15/2045 (a) (k)
|
6,446
|
5,310
|
Worldwide Plaza Trust Series 2017-WWP, Class A, 3.53%, 11/10/2036 (a)
|
20,227
|
14,711
|
Total Commercial Mortgage-Backed Securities
(Cost $2,270,341)
|
|
2,154,494
|
U.S. Treasury Obligations — 8.7%
|
||
U.S. Treasury Bonds
|
|
|
4.50%, 8/15/2039
|
40,144
|
39,829
|
1.13%, 5/15/2040
|
96,228
|
58,263
|
1.13%, 8/15/2040
|
109,111
|
65,441
|
4.75%, 2/15/2041
|
47,175
|
47,815
|
2.25%, 5/15/2041
|
64,715
|
46,261
|
4.38%, 5/15/2041
|
47,554
|
46,033
|
3.13%, 11/15/2041
|
40,953
|
33,324
|
2.75%, 11/15/2042
|
45,060
|
34,105
|
4.00%, 11/15/2042
|
92,968
|
84,743
|
3.63%, 8/15/2043
|
11,821
|
10,159
|
3.75%, 11/15/2043
|
63,896
|
55,854
|
3.38%, 5/15/2044
|
47,111
|
38,800
|
2.50%, 2/15/2045
|
66,979
|
47,194
|
3.00%, 5/15/2045
|
11,367
|
8,735
|
2.88%, 8/15/2045
|
61,020
|
45,803
|
1.88%, 2/15/2051
|
30,232
|
17,356
|
2.38%, 5/15/2051
|
218,093
|
141,377
|
2.25%, 2/15/2052
|
28,956
|
18,133
|
U.S. Treasury Notes
|
|
|
2.00%, 8/15/2025 (l)
|
11,603
|
11,186
|
1.13%, 10/31/2026 (l)
|
220,745
|
202,577
|
0.50%, 8/31/2027
|
183,364
|
160,709
|
1.25%, 9/30/2028
|
187,558
|
163,490
|
2.38%, 3/31/2029
|
86,583
|
78,598
|
1.88%, 2/15/2032
|
102,743
|
85,341
|
2.75%, 8/15/2032
|
48,885
|
43,059
|
U.S. Treasury STRIPS Bonds
|
|
|
4.87%, 11/15/2033 (m)
|
30,160
|
19,600
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
U.S. Treasury Obligations — continued
|
||
4.77%, 5/15/2040 (m)
|
63,558
|
29,453
|
3.16%, 8/15/2040 (m)
|
37,081
|
16,936
|
3.08%, 8/15/2041 (m)
|
129,383
|
56,031
|
3.98%, 2/15/2042 (m)
|
10,407
|
4,390
|
3.59%, 5/15/2042 (m)
|
18,492
|
7,706
|
3.73%, 11/15/2042 (m)
|
7,625
|
3,095
|
2.35%, 11/15/2043 (m)
|
24,977
|
9,665
|
Total U.S. Treasury Obligations
(Cost $2,117,671)
|
|
1,731,061
|
Collateralized Mortgage Obligations — 3.9%
|
||
Alternative Loan Trust
|
|
|
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025
|
2
|
2
|
Series 2003-J3, Class 2A1, 6.25%, 12/25/2033
|
9
|
9
|
Series 2004-22CB, Class 1A1, 6.00%, 10/25/2034
|
214
|
210
|
Series 2005-23CB, Class A2, 5.50%, 7/25/2035
|
128
|
102
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
483
|
362
|
Series 2005-86CB, Class A11, 5.50%, 2/25/2036
|
289
|
169
|
Series 2006-26CB, Class A9, 6.50%, 9/25/2036
|
115
|
58
|
American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (k)
|
1
|
1
|
Anchor Mortgage Trust
|
|
|
8.23%, 3/25/2031 ‡ (k)
|
12,500
|
12,500
|
10.14%, 3/25/2031 ‡ (k)
|
7,500
|
7,500
|
Banc of America Alternative Loan Trust Series 2004-6, Class 4A1, 5.00%, 7/25/2019
|
9
|
7
|
Banc of America Funding Trust
|
|
|
Series 2005-5, Class 3A5, 5.50%, 8/25/2035
|
599
|
572
|
Series 2005-7, Class 30, PO, 11/25/2035
|
20
|
20
|
Banc of America Mortgage Trust Series 2004-F, Class 1A1, 5.15%, 7/25/2034 (k)
|
39
|
37
|
Bear Stearns ARM Trust Series 2003-7, Class 3A, 6.93%, 10/25/2033 (k)
|
9
|
9
|
Bear Stearns Mortgage Securities, Inc. Series 1997-6, Class 1A, 7.94%, 3/25/2031 (k)
|
—
|
—
|
Chase Mortgage Finance Trust Series 2007-A2, Class 2A1, 5.78%, 6/25/2035 (k)
|
249
|
240
|
CHL Mortgage Pass-Through Trust
|
|
|
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡
|
4
|
2
|
Series 2004-3, Class A25, 5.75%, 4/25/2034
|
60
|
56
|
Series 2004-5, Class 2A9, 5.25%, 5/25/2034
|
64
|
62
|
Series 2005-22, Class 2A1, 4.69%, 11/25/2035 (k)
|
159
|
125
|
Citigroup Mortgage Loan Trust
|
|
|
Series 2004-UST1, Class A3, 6.10%, 8/25/2034 (k)
|
26
|
25
|
Series 2004-HYB4, Class AA, 5.77%, 12/25/2034 (k)
|
17
|
16
|
Credit One, 6.47%, 2/25/2029 ‡
|
30,000
|
29,887
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) Series 2005-7,
Class 5A1, 4.75%, 8/25/2020
|
1
|
—
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
Series 2005-10, Class 6A13, 5.50%, 11/25/2035
|
181
|
65
|
Series 2005-10, Class 10A4, 6.00%, 11/25/2035
|
194
|
46
|
CSMC Trust
|
|
|
Series 2021-JR1, Class A1, 5.47%, 9/27/2066 (a) (k)
|
5,855
|
5,777
|
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (i)
|
13,805
|
13,575
|
CVS Pass-Through Trust
|
|
|
Series 2009, 8.35%, 7/10/2031 (a)
|
205
|
218
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
5.77%, 1/10/2033 (a)
|
265
|
262
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3, Class 4A, PO, 6/25/2035
|
6
|
5
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
Series 2017-2, Class HB, 3.00%, 8/25/2056 (i)
|
12,000
|
8,896
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
8,471
|
7,473
|
Series 2019-3, Class MT, 3.50%, 10/25/2058
|
36,494
|
31,810
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
10,758
|
9,772
|
Series 2019-4, Class MB, 3.00%, 2/25/2059
|
41,684
|
29,651
|
Series 2020-1, Class MB, 2.50%, 8/25/2059
|
31,963
|
21,660
|
Series 2021-1, Class BXS, 12.28%, 9/25/2060 (a) (k)
|
10,200
|
7,896
|
Series 2021-2, Class BXS, 16.63%, 11/25/2060 (a) (k)
|
4,836
|
3,792
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
28,116
|
24,026
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
23,711
|
19,394
|
FHLMC, REMIC
|
|
|
Series 2989, Class TG, 5.00%, 6/15/2025
|
6
|
6
|
Series 3005, Class ED, 5.00%, 7/15/2025
|
17
|
17
|
Series 4030, Class IL, IO, 3.50%, 4/15/2027
|
133
|
3
|
Series 4060, Class TB, 2.50%, 6/15/2027
|
3,574
|
3,442
|
Series 2022, Class PE, 6.50%, 1/15/2028
|
3
|
3
|
Series 2036, Class PG, 6.50%, 1/15/2028
|
25
|
25
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
6
|
—
|
Series 2091, Class PG, 6.00%, 11/15/2028
|
79
|
79
|
Series 2116, Class ZA, 6.00%, 1/15/2029
|
19
|
19
|
Series 2148, Class ZA, 6.00%, 4/15/2029
|
6
|
6
|
Series 2995, Class FT, 5.69%, 5/15/2029 (k)
|
33
|
33
|
Series 2530, Class SK, IF, IO, 2.66%, 6/15/2029 (k)
|
99
|
4
|
Series 2201, Class C, 8.00%, 11/15/2029
|
12
|
12
|
Series 3648, Class CY, 4.50%, 3/15/2030
|
155
|
153
|
Series 3737, Class DG, 5.00%, 10/15/2030
|
18
|
18
|
Series 2293, Class ZA, 6.00%, 3/15/2031
|
27
|
27
|
Series 2310, Class Z, 6.00%, 4/15/2031
|
4
|
4
|
Series 2313, Class LA, 6.50%, 5/15/2031
|
2
|
2
|
Series 2325, Class JO, PO, 6/15/2031
|
24
|
21
|
Series 2330, Class PE, 6.50%, 6/15/2031
|
56
|
57
|
Series 2410, Class QB, 6.25%, 2/15/2032
|
136
|
135
|
Series 2534, Class SI, IF, 6.92%, 2/15/2032 (k)
|
16
|
17
|
Series 2427, Class GE, 6.00%, 3/15/2032
|
277
|
280
|
Series 2430, Class WF, 6.50%, 3/15/2032
|
181
|
185
|
Series 2594, Class IV, IO, 7.00%, 3/15/2032
|
29
|
3
|
Series 2643, Class SA, IF, 10.15%, 3/15/2032 (k)
|
5
|
5
|
Series 2466, Class DH, 6.50%, 6/15/2032
|
20
|
20
|
Series 4146, Class KI, IO, 3.00%, 12/15/2032
|
2,131
|
179
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
117
|
119
|
Series 2557, Class HL, 5.30%, 1/15/2033
|
64
|
63
|
Series 2586, IO, 6.50%, 3/15/2033
|
115
|
10
|
Series 2610, Class UI, IO, 6.50%, 5/15/2033
|
90
|
15
|
Series 2764, Class S, IF, 0.15%, 7/15/2033 (k)
|
14
|
13
|
Series 2656, Class AC, 6.00%, 8/15/2033
|
40
|
40
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2733, Class SB, IF, 3.12%, 10/15/2033 (k)
|
128
|
119
|
Series 3005, Class PV, IF, 4.18%, 10/15/2033 (k)
|
1
|
1
|
Series 2699, Class W, 5.50%, 11/15/2033
|
99
|
100
|
Series 3611, PO, 7/15/2034
|
28
|
24
|
Series 2845, Class QH, 5.00%, 8/15/2034
|
75
|
74
|
Series 2912, Class EH, 5.50%, 1/15/2035
|
404
|
408
|
Series 3059, Class B, 5.00%, 2/15/2035
|
1
|
1
|
Series 2980, Class QB, 6.50%, 5/15/2035
|
14
|
15
|
Series 3031, Class BN, IF, 0.25%, 8/15/2035 (k)
|
188
|
173
|
Series 3117, Class EO, PO, 2/15/2036
|
50
|
43
|
Series 3134, PO, 3/15/2036
|
16
|
13
|
Series 3152, Class MO, PO, 3/15/2036
|
107
|
90
|
Series 3184, Class YO, PO, 3/15/2036
|
224
|
182
|
Series 3138, PO, 4/15/2036
|
18
|
15
|
Series 3187, Class Z, 5.00%, 7/15/2036
|
480
|
476
|
Series 3542, Class TN, IF, 6.00%, 7/15/2036 (k)
|
10
|
10
|
Series 3201, Class IN, IF, IO, 0.81%, 8/15/2036 (k)
|
91
|
5
|
Series 3202, Class HI, IF, IO, 1.21%, 8/15/2036 (k)
|
367
|
27
|
Series 3855, Class AM, 6.50%, 11/15/2036
|
65
|
66
|
Series 3274, Class B, 6.00%, 2/15/2037
|
50
|
51
|
Series 3292, Class DO, PO, 3/15/2037
|
28
|
24
|
Series 3305, Class IW, IF, IO, 1.01%, 4/15/2037 (k)
|
131
|
4
|
Series 3306, Class TC, IF, 7.65%, 4/15/2037 (k)
|
9
|
9
|
Series 3306, Class TB, IF, 8.19%, 4/15/2037 (k)
|
10
|
10
|
Series 3331, PO, 6/15/2037
|
23
|
19
|
Series 3605, Class NC, 5.50%, 6/15/2037
|
276
|
278
|
Series 3383, Class OP, PO, 11/15/2037
|
43
|
36
|
Series 3409, Class DB, 6.00%, 1/15/2038
|
273
|
279
|
Series 3546, Class A, 5.73%, 2/15/2039 (k)
|
29
|
29
|
Series 3531, Class SM, IF, IO, 0.66%, 5/15/2039 (k)
|
11
|
—
|
Series 3572, Class JS, IF, IO, 1.36%, 9/15/2039 (k)
|
36
|
2
|
Series 3592, Class BZ, 5.00%, 10/15/2039
|
1,100
|
1,091
|
Series 3609, Class SA, IF, IO, 0.90%, 12/15/2039 (k)
|
222
|
10
|
Series 3610, Class CA, 4.50%, 12/15/2039
|
102
|
100
|
Series 3653, Class HJ, 5.00%, 4/15/2040
|
47
|
47
|
Series 3677, Class PB, 4.50%, 5/15/2040
|
670
|
654
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (k)
|
87
|
85
|
Series 4796, Class CZ, 4.00%, 5/15/2048
|
11,120
|
10,032
|
Series 4830, Class WZ, 4.00%, 9/15/2048
|
10,880
|
9,810
|
Series 5354, PO, 10/25/2053
|
5,381
|
3,905
|
FHLMC, STRIPS
|
|
|
Series 186, PO, 8/1/2027
|
32
|
30
|
Series 262, Class 35, 3.50%, 7/15/2042
|
1,566
|
1,430
|
Series 279, Class 35, 3.50%, 9/15/2042
|
399
|
364
|
Series 323, Class 300, 3.00%, 1/15/2044
|
1,541
|
1,374
|
Series 334, Class 300, 3.00%, 8/15/2044
|
1,512
|
1,339
|
Series 406, PO, 10/25/2053
|
18,338
|
14,514
|
FHLMC, Structured Pass-Through Certificates, Whole Loan Series T-76, Class 2A, 2.31%,
10/25/2037 (k)
|
174
|
146
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
First Horizon Alternative Mortgage Securities Trust Series 2004-AA3, Class A1, 5.82%,
9/25/2034 (k)
|
32
|
31
|
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.73%, 12/25/2034 (k)
|
43
|
40
|
FNMA Trust, Whole Loan
|
|
|
Series 2003-W3, Class 2A5, 5.36%, 6/25/2042
|
6
|
6
|
Series 2003-W6, Class 1A41, 5.40%, 10/25/2042
|
73
|
73
|
Series 2004-W2, Class 1A, 6.00%, 2/25/2044
|
82
|
81
|
Series 2004-W9, Class 1A3, 6.05%, 2/25/2044
|
162
|
164
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
22
|
22
|
Series 2004-W8, Class 3A, 7.50%, 6/25/2044
|
48
|
48
|
Series 2005-W4, Class 1A1, 6.00%, 8/25/2045
|
90
|
91
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
95,768
|
89,697
|
FNMA, Grantor Trust, Whole Loan
|
|
|
Series 2001-T12, IO, 0.49%, 8/25/2041 (k)
|
6,324
|
37
|
Series 2002-T4, IO, 0.40%, 12/25/2041 (k)
|
14,959
|
133
|
Series 2002-T4, Class A2, 7.00%, 12/25/2041
|
175
|
178
|
Series 2002-T4, Class A4, 9.50%, 12/25/2041
|
308
|
326
|
Series 2002-T19, Class A1, 6.50%, 7/25/2042
|
255
|
261
|
Series 2002-T16, Class A2, 7.00%, 7/25/2042
|
302
|
310
|
Series 2004-T2, Class 1A3, 7.00%, 11/25/2043
|
93
|
95
|
Series 2004-T2, Class 1A4, 7.50%, 11/25/2043
|
95
|
96
|
Series 2004-T1, Class 1A1, 6.00%, 1/25/2044
|
119
|
120
|
Series 2004-T3, Class 14, IO, 0.61%, 2/25/2044 (k)
|
2,155
|
21
|
FNMA, REMIC
|
|
|
Series 1997-20, Class D, 7.00%, 3/17/2027
|
9
|
9
|
Series 1997-11, Class E, 7.00%, 3/18/2027
|
3
|
3
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
2
|
2
|
Series 2012-46, Class KI, IO, 3.50%, 5/25/2027
|
314
|
8
|
Series 1997-42, Class EG, 8.00%, 7/18/2027
|
15
|
15
|
Series 1997-63, Class ZA, 6.50%, 9/18/2027
|
6
|
6
|
Series 2013-13, Class IK, IO, 2.50%, 3/25/2028
|
1,547
|
49
|
Series 1999-47, Class JZ, 8.00%, 9/18/2029
|
59
|
60
|
Series 2000-8, Class Z, 7.50%, 2/20/2030
|
38
|
39
|
Series 2001-36, Class ST, IF, IO, 3.06%, 11/25/2030 (k)
|
50
|
4
|
Series 2001-14, Class Z, 6.00%, 5/25/2031
|
25
|
25
|
Series 2001-16, Class Z, 6.00%, 5/25/2031
|
33
|
32
|
Series 2001-72, Class SB, IF, IO, 2.06%, 12/25/2031 (k)
|
120
|
5
|
Series 2001-81, Class HE, 6.50%, 1/25/2032
|
218
|
223
|
Series 2002-19, Class SC, IF, 4.66%, 3/17/2032 (k)
|
7
|
7
|
Series 2002-56, Class PE, 6.00%, 9/25/2032
|
284
|
287
|
Series 2002-86, Class PG, 6.00%, 12/25/2032
|
186
|
188
|
Series 2012-148, Class IE, IO, 3.00%, 1/25/2033
|
2,145
|
192
|
Series 2003-25, Class KP, 5.00%, 4/25/2033
|
566
|
549
|
Series 2003-22, Class Z, 6.00%, 4/25/2033
|
145
|
146
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
190
|
192
|
Series 2003-64, Class SX, IF, 0.14%, 7/25/2033 (k)
|
11
|
10
|
Series 2003-91, Class SD, IF, 3.44%, 9/25/2033 (k)
|
3
|
2
|
Series 2003-130, Class HZ, 6.00%, 1/25/2034
|
4,909
|
4,975
|
Series 2004-72, Class F, 5.94%, 9/25/2034 (k)
|
32
|
32
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2005-19, Class PB, 5.50%, 3/25/2035
|
1,047
|
1,050
|
Series 2005-42, Class PS, IF, 3.40%, 5/25/2035 (k)
|
2
|
2
|
Series 2005-51, Class MO, PO, 6/25/2035
|
16
|
10
|
Series 2005-53, Class CS, IF, IO, 1.26%, 6/25/2035 (k)
|
119
|
4
|
Series 2005-65, Class KO, PO, 8/25/2035
|
32
|
28
|
Series 2005-72, Class WS, IF, IO, 1.31%, 8/25/2035 (k)
|
60
|
3
|
Series 2005-90, Class ES, IF, 3.28%, 10/25/2035 (k)
|
19
|
19
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
34
|
34
|
Series 2005-106, Class US, IF, 4.63%, 11/25/2035 (k)
|
14
|
14
|
Series 2006-9, Class KZ, 6.00%, 3/25/2036
|
115
|
116
|
Series 2006-22, Class AO, PO, 4/25/2036
|
61
|
52
|
Series 2006-27, Class OB, PO, 4/25/2036
|
493
|
393
|
Series 2006-27, Class OH, PO, 4/25/2036
|
15
|
13
|
Series 2006-20, Class IB, IF, IO, 1.15%, 4/25/2036 (k)
|
110
|
8
|
Series 2011-19, Class ZY, 6.50%, 7/25/2036
|
103
|
107
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
67
|
68
|
Series 2006-110, PO, 11/25/2036
|
57
|
47
|
Series 2006-128, PO, 1/25/2037
|
58
|
48
|
Series 2007-10, Class Z, 6.00%, 2/25/2037
|
17
|
17
|
Series 2007-22, Class SC, IF, IO, 0.64%, 3/25/2037 (k)
|
20
|
—
|
Series 2007-54, Class IB, IF, IO, 0.97%, 6/25/2037 (k)
|
1,871
|
140
|
Series 2007-109, Class YI, IF, IO, 1.01%, 12/25/2037 (k)
|
1,019
|
73
|
Series 2008-91, Class SI, IF, IO, 0.56%, 3/25/2038 (k)
|
211
|
6
|
Series 2010-70, Class SA, IF, IO, 6.00%, 4/25/2038 (k)
|
380
|
55
|
Series 2008-62, Class SM, IF, IO, 0.76%, 7/25/2038 (k)
|
322
|
14
|
Series 2009-29, Class LA, 1.17%, 5/25/2039 (k)
|
182
|
149
|
Series 2009-52, Class PI, IO, 5.00%, 7/25/2039
|
116
|
19
|
Series 2009-112, Class ST, IF, IO, 0.81%, 1/25/2040 (k)
|
197
|
15
|
Series 2009-112, Class SW, IF, IO, 0.81%, 1/25/2040 (k)
|
129
|
8
|
Series 2010-10, Class NT, 5.00%, 2/25/2040
|
467
|
463
|
Series 2010-49, Class SC, IF, 1.78%, 3/25/2040 (k)
|
69
|
61
|
Series 2010-35, Class SB, IF, IO, 0.98%, 4/25/2040 (k)
|
211
|
12
|
Series 2010-129, Class PZ, 4.50%, 11/25/2040
|
1,139
|
1,011
|
Series 2011-126, Class KB, 4.00%, 12/25/2041
|
6,838
|
6,558
|
Series 2016-33, Class JA, 3.00%, 7/25/2045
|
7,218
|
6,577
|
Series 2016-38, Class NA, 3.00%, 1/25/2046
|
5,751
|
5,161
|
Series 2007-71, Class GZ, 6.00%, 7/25/2047
|
88
|
90
|
Series 2019-20, Class H, 3.50%, 5/25/2049
|
5,960
|
5,277
|
FNMA, REMIC Trust, Whole Loan
|
|
|
Series 2002-W7, Class 1, IO, 0.87%, 6/25/2029 (k)
|
2,340
|
45
|
Series 2001-W3, Class A, 7.00%, 9/25/2041 (k)
|
96
|
94
|
Series 2002-W10, IO, 0.89%, 8/25/2042 (k)
|
1,296
|
40
|
Series 2003-W4, Class 2A, 5.35%, 10/25/2042 (k)
|
50
|
49
|
Series 2004-W11, Class 11, IO, 0.35%, 5/25/2044 (k)
|
7,155
|
81
|
FNMA, STRIPS
|
|
|
Series 313, Class 1, PO, 6/25/2031
|
222
|
195
|
Series 380, Class S36, IF, IO, 2.46%, 7/25/2037 (k)
|
66
|
8
|
Series 383, Class 68, IO, 6.50%, 9/25/2037
|
40
|
9
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 383, Class 86, IO, 7.00%, 9/25/2037 (k)
|
25
|
5
|
Series 383, Class 69, IO, 6.50%, 10/25/2037 (k)
|
57
|
10
|
GMACM Mortgage Loan Trust
|
|
|
Series 2003-J10, Class A1, 4.75%, 1/25/2019
|
11
|
10
|
Series 2005-AR3, Class 3A4, 4.14%, 6/19/2035 (k)
|
25
|
23
|
GNMA
|
|
|
Series 2014-60, Class W, 4.12%, 2/20/2029 (k)
|
178
|
174
|
Series 2003-18, Class PG, 5.50%, 3/20/2033
|
230
|
230
|
Series 2003-52, Class SB, IF, 2.04%, 6/16/2033 (k)
|
27
|
26
|
Series 2003-101, Class SK, IF, IO, 1.13%, 10/17/2033 (k)
|
376
|
—
|
Series 2004-2, Class SA, IF, 0.63%, 1/16/2034 (k)
|
110
|
108
|
Series 2004-19, Class KE, 5.00%, 3/16/2034
|
929
|
914
|
Series 2004-86, Class SP, IF, IO, 0.67%, 9/20/2034 (k)
|
101
|
2
|
Series 2004-90, Class SI, IF, IO, 0.67%, 10/20/2034 (k)
|
171
|
7
|
Series 2010-31, Class SK, IF, IO, 0.67%, 11/20/2034 (k)
|
117
|
3
|
Series 2004-105, Class SN, IF, IO, 0.67%, 12/20/2034 (k)
|
405
|
7
|
Series 2005-56, Class IC, IO, 5.50%, 7/20/2035
|
26
|
3
|
Series 2006-26, Class S, IF, IO, 1.07%, 6/20/2036 (k)
|
291
|
9
|
Series 2006-33, Class PK, 6.00%, 7/20/2036
|
94
|
95
|
Series 2009-81, Class A, 5.75%, 9/20/2036
|
51
|
51
|
Series 2007-7, Class EI, IF, IO, 0.77%, 2/20/2037 (k)
|
432
|
16
|
Series 2007-9, Class CI, IF, IO, 0.77%, 3/20/2037 (k)
|
274
|
12
|
Series 2007-17, Class JO, PO, 4/16/2037
|
32
|
27
|
Series 2007-16, Class KU, IF, IO, 1.22%, 4/20/2037 (k)
|
284
|
12
|
Series 2007-22, Class PK, 5.50%, 4/20/2037
|
456
|
457
|
Series 2007-26, Class SC, IF, IO, 0.77%, 5/20/2037 (k)
|
92
|
3
|
Series 2007-24, Class SA, IF, IO, 1.08%, 5/20/2037 (k)
|
425
|
18
|
Series 2009-16, Class SJ, IF, IO, 1.37%, 5/20/2037 (k)
|
432
|
17
|
Series 2008-34, Class OC, PO, 6/20/2037
|
91
|
82
|
Series 2009-106, Class XL, IF, IO, 1.32%, 6/20/2037 (k)
|
139
|
6
|
Series 2009-79, Class OK, PO, 11/16/2037
|
66
|
55
|
Series 2007-67, Class SI, IF, IO, 1.08%, 11/20/2037 (k)
|
87
|
2
|
Series 2008-40, Class SA, IF, IO, 0.97%, 5/16/2038 (k)
|
298
|
15
|
Series 2008-40, Class PS, IF, IO, 1.07%, 5/16/2038 (k)
|
129
|
5
|
Series 2008-50, Class SA, IF, IO, 0.80%, 6/20/2038 (k)
|
640
|
27
|
Series 2008-49, Class PH, 5.25%, 6/20/2038
|
470
|
467
|
Series 2008-55, Class PL, 5.50%, 6/20/2038
|
429
|
428
|
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039
|
177
|
8
|
Series 2009-75, Class IY, IO, 5.50%, 6/20/2039
|
157
|
6
|
Series 2009-72, Class SM, IF, IO, 0.82%, 8/16/2039 (k)
|
155
|
8
|
Series 2010-157, Class OP, PO, 12/20/2040
|
139
|
115
|
Series 2015-157, Class GA, 3.00%, 1/20/2045
|
268
|
247
|
Series 2012-H11, Class FA, 6.14%, 2/20/2062 (k)
|
1,152
|
1,153
|
Series 2012-H18, Class FA, 5.99%, 8/20/2062 (k)
|
202
|
202
|
Series 2013-H04, Class BA, 1.65%, 2/20/2063
|
5
|
5
|
Series 2013-H20, Class FB, 6.44%, 8/20/2063 (k)
|
347
|
349
|
Series 2013-H23, Class FA, 6.74%, 9/20/2063 (k)
|
460
|
464
|
Series 2015-H02, Class HA, 2.50%, 1/20/2065
|
634
|
619
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2015-H04, Class FL, 5.91%, 2/20/2065 (k)
|
3,124
|
3,119
|
Series 2015-H23, Class FB, 5.96%, 9/20/2065 (k)
|
3,495
|
3,491
|
Series 2015-H32, Class FH, 6.10%, 12/20/2065 (k)
|
378
|
379
|
Series 2016-H16, Class FD, 6.11%, 6/20/2066 (k)
|
5,098
|
5,088
|
Series 2016-H17, Class FC, 6.27%, 8/20/2066 (k)
|
3,214
|
3,205
|
Series 2017-H08, Class XI, IO, 1.37%, 3/20/2067 (k)
|
10,728
|
452
|
Series 2017-H11, Class XI, IO, 1.58%, 5/20/2067 (k)
|
28,166
|
1,104
|
Series 2017-H14, Class XI, IO, 0.46%, 6/20/2067 (k)
|
11,204
|
367
|
Series 2017-H14, Class AI, IO, 1.00%, 6/20/2067 (k)
|
13,966
|
771
|
Series 2017-H23, Class FA, 5.92%, 10/20/2067 (k)
|
14,664
|
14,633
|
Series 2019-H09, Class FA, 5.94%, 5/20/2069 (k)
|
9,737
|
9,717
|
Series 2021-H10, Class AF, 6.82%, 6/20/2071 (k)
|
22,998
|
23,535
|
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡
|
2,424
|
2,327
|
Grene Energy Senio, 11.00, 1/25/2026 ‡
|
3,556
|
3,023
|
GSR Mortgage Loan Trust
|
|
|
Series 2003-7F, Class 1A4, 5.25%, 6/25/2033
|
32
|
31
|
Series 2004-6F, Class 2A4, 5.50%, 5/25/2034
|
35
|
34
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034
|
45
|
45
|
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034
|
21
|
20
|
Series 2005-5F, Class 8A1, 5.50%, 6/25/2035 (k)
|
9
|
8
|
Series 2005-5F, Class 8A3, 5.50%, 6/25/2035 (k)
|
5
|
5
|
Headlands Residential LLC Series 2021-RPL1, Class NOTE, 2.49%, 9/25/2026 (a) (k)
|
11,915
|
11,595
|
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 10.82%, 10/25/2034 (a) (k)
|
18,687
|
19,994
|
Impac CMB Trust
|
|
|
Series 2004-10, Class 3A1, 6.14%, 3/25/2035 (k)
|
122
|
114
|
Series 2004-10, Class 3A2, 6.24%, 3/25/2035 (k)
|
80
|
75
|
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033
|
4
|
3
|
JPMorgan Mortgage Trust
|
|
|
Series 2004-S2, Class 5A1, 5.50%, 12/25/2019
|
18
|
16
|
Series 2006-A2, Class 5A3, 6.08%, 11/25/2033 (k)
|
23
|
22
|
Series 2006-A2, Class 4A1, 6.02%, 8/25/2034 (k)
|
57
|
56
|
Series 2004-S1, Class 3A1, 5.50%, 9/25/2034
|
17
|
20
|
Series 2004-S2, Class 4A5, 6.00%, 11/25/2034
|
193
|
169
|
Series 2007-A1, Class 5A2, 5.52%, 7/25/2035 (k)
|
16
|
15
|
LHOME Mortgage Trust
|
|
|
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (i)
|
18,581
|
18,713
|
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (i)
|
16,800
|
17,012
|
Series 2023-RTL4, Class A1, 7.63%, 11/25/2028 (a) (i)
|
29,890
|
30,232
|
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 6.42%, 4/21/2034 (k)
|
15
|
14
|
MASTR Alternative Loan Trust
|
|
|
Series 2004-10, Class 1A1, 4.50%, 9/25/2019
|
2
|
2
|
Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
Series 2005-1, Class 5A1, 5.50%, 1/25/2020
|
—
|
—
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
174
|
164
|
Series 2004-6, Class 6A1, 6.50%, 7/25/2034
|
229
|
220
|
Series 2004-7, Class 30, PO, 8/25/2034
|
17
|
12
|
Series 2004-7, Class 3A1, 6.50%, 8/25/2034
|
11
|
11
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
MASTR Asset Securitization Trust
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡
|
—
|
—
|
Series 2004-6, Class 3A1, 5.25%, 7/25/2019 ‡
|
—
|
—
|
Series 2004-P7, Class A6, 5.50%, 12/27/2033 (a)
|
28
|
23
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (a)
|
9
|
6
|
Merrill Lynch Mortgage Investors Trust
|
|
|
Series 2004-C, Class A2, 6.24%, 7/25/2029 (k)
|
30
|
29
|
Series 2004-D, Class A3, 7.30%, 9/25/2029 (k)
|
14
|
14
|
Mill City Securities Ltd. (Cayman Islands) Series 2021-RS1, Class A2, 3.95%, 4/28/2066 ‡ (a) (k)
|
11,649
|
10,270
|
Morgan Stanley Mortgage Loan Trust
|
|
|
Series 2004-3, Class 4A, 5.65%, 4/25/2034 (k)
|
102
|
99
|
Series 2004-7AR, Class 2A6, 5.78%, 9/25/2034 (k)
|
28
|
27
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (k)
|
65
|
56
|
New Residential Mortgage Loan Trust Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (i)
|
12,965
|
13,059
|
PHH GMSR Frn, 9.00%, 5/25/2025 ‡ (a)
|
22,000
|
21,917
|
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038
|
38
|
37
|
Pnmac jun26, 8.53%, 6/25/2026 ‡
|
11,524
|
11,481
|
Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034
|
35
|
33
|
PRPM LLC Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (a) (i)
|
3,695
|
3,529
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 12.07%, 9/25/2032 (a) (k)
|
12,231
|
13,149
|
RALI Trust Series 2005-QS5, Class A4, 5.75%, 4/25/2035
|
663
|
541
|
Rcfii Baml Frn, 12.35%, 12/25/2024 ‡ (a)
|
81
|
81
|
Residential Asset Securitization Trust
|
|
|
Series 2003-A8, Class A1, 3.75%, 10/25/2018
|
8
|
8
|
Series 2006-A6, Class 2A13, 6.00%, 7/25/2036
|
82
|
43
|
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 ‡ (a)
|
10
|
9
|
Sequoia Mortgage Trust Series 2004-8, Class A2, 6.41%, 9/20/2034 (k)
|
165
|
149
|
Structured Adjustable Rate Mortgage Loan Trust Series 2004-14, Class 1A, 5.95%, 10/25/2034 (k)
|
23
|
21
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
|
|
|
Series 2003-26A, Class 3A5, 6.46%, 9/25/2033 (k)
|
265
|
251
|
Series 2003-37A, Class 1A, 5.65%, 12/25/2033 (k)
|
394
|
377
|
Series 2003-37A, Class 2A, 5.94%, 12/25/2033 (k)
|
31
|
29
|
Towd Point Mortgage Trust
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (a) (i)
|
3,205
|
3,017
|
Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (k)
|
35,217
|
29,361
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)
|
29,122
|
22,886
|
Two Harbors Msr Frn, 7.55%, 10/25/2024 ‡ (a)
|
35,000
|
34,869
|
Vendee Mortgage Trust
|
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
48
|
48
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
211
|
210
|
Series 1999-1, Class 2Z, 6.50%, 1/15/2029
|
34
|
33
|
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (k)
|
22,251
|
21,635
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
Series 2003-AR8, Class A, 5.52%, 8/25/2033 (k)
|
54
|
50
|
Series 2003-AR9, Class 1A6, 5.68%, 9/25/2033 (k)
|
41
|
38
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
112
|
108
|
Series 2004-AR3, Class A1, 5.75%, 6/25/2034 (k)
|
15
|
13
|
Series 2004-AR3, Class A2, 5.75%, 6/25/2034 (k)
|
139
|
124
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2004-AR11, Class A, 5.96%, 10/25/2034 (k)
|
119
|
113
|
Series 2005-AR2, Class 2A21, 6.10%, 1/25/2045 (k)
|
15
|
15
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class
CB7, 5.50%, 6/25/2035
|
236
|
198
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA1, Class
2A, 7.00%, 3/25/2034
|
75
|
74
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
Series 2004-K, Class 1A2, 5.62%, 7/25/2034 (k)
|
33
|
33
|
Series 2004-U, Class A1, 6.36%, 10/25/2034 (k)
|
69
|
65
|
Total Collateralized Mortgage Obligations
(Cost $833,359)
|
|
780,394
|
Loan Assignments — 1.7% (d) (n)
|
||
Automobile Components — 0.0% ^
|
||
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.08%, 1/31/2031
|
6,478
|
6,525
|
Beverages — 0.1%
|
||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%),
8.81%, 3/31/2028
|
7,698
|
7,683
|
Building Products — 0.1%
|
||
Emerson Climate Technologies, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR +
2.50%), 7.83%, 5/31/2030 (o)
|
8,937
|
8,991
|
MIWD Holdco II LLC, 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 3.75%), 8.83%,
3/28/2031
|
3,300
|
3,323
|
Quikrete Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.58%,
3/19/2029
|
5,187
|
5,203
|
|
|
17,517
|
Chemicals — 0.1%
|
||
DuPont Performance, 1st Lien Term Loan B-6 (3-MONTH CME TERM SOFR + 2.00%), 7.33%,
12/20/2029
|
4,778
|
4,795
|
Ineos US Finance LLC, 1st Lien Term Loan B (Luxembourg) (1-MONTH CME TERM SOFR + 3.50%),
8.93%, 2/18/2030
|
5,149
|
5,162
|
|
|
9,957
|
Commercial Services & Supplies — 0.0% ^
|
||
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%, 6/21/2028
|
3,532
|
3,536
|
Construction & Engineering — 0.0% ^
|
||
Zekelman Industries, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.57%,
1/24/2031 (o)
|
5,610
|
5,614
|
Consumer Staples Distribution & Retail — 0.0% ^
|
||
Moran Foods LLC, 1st Lien Super Senior Delayed Term Loan (3-MONTH SOFR + 11.50%),
16.91%, 6/30/2026 ‡
|
28
|
28
|
Moran Foods LLC, 1st Lien Term Loan
|
|
|
(3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡
|
974
|
800
|
(3-MONTH CME TERM SOFR + 2.00%), 12.66%, 6/30/2026 ‡
|
1,202
|
719
|
|
|
1,547
|
Containers & Packaging — 0.0% ^
|
||
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 8.44%,
8/4/2027
|
5,463
|
5,481
|
Diversified Consumer Services — 0.0% ^
|
||
Caliber Collision, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%, 1/30/2031
|
3,700
|
3,726
|
Entertainment — 0.0% ^
|
||
Delta 2 (Lux) SARL, 1st Lien Term Loan B (Luxembourg) (3-MONTH CME TERM SOFR + 2.25%),
7.56%, 1/15/2030
|
2,825
|
2,839
|
Financial Services — 0.1%
|
||
GTCR W Merger Sub LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.31%,
1/31/2031
|
6,062
|
6,078
|
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%), 10.18%, 3/27/2029
|
3,463
|
3,492
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Financial Services — continued
|
||
NorthRiver Midstream, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 7.80%,
8/16/2030
|
4,493
|
4,503
|
OL SP LLC, 1st Lien Term Loan C (1-MONTH SOFR + 4.25%), 4.25%, 5/15/2025
|
1,064
|
1,063
|
|
|
15,136
|
Ground Transportation — 0.0% ^
|
||
First Student Bidco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 8.56%,
7/21/2028
|
3,014
|
3,019
|
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 3.00%), 8.56%,
7/21/2028
|
917
|
918
|
Genesee & Wyoming, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 7.30%,
4/10/2031
|
3,300
|
3,307
|
|
|
7,244
|
Health Care Equipment & Supplies — 0.0% ^
|
||
Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 5/4/2028 (o)
|
902
|
904
|
Medline Borrower LP, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.08%,
10/23/2028
|
2,308
|
2,323
|
|
|
3,227
|
Health Care Providers & Services — 0.1%
|
||
DaVita, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.00%), 7.19%, 8/12/2026
|
6,923
|
6,924
|
Parexel International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.69%,
11/15/2028
|
8,638
|
8,683
|
Syneos Health,Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.00%), 9.31%, 9/27/2030
|
9,925
|
9,926
|
|
|
25,533
|
Hotels, Restaurants & Leisure — 0.0% ^
|
||
Carnival Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 8.07%, 8/8/2027
|
4,697
|
4,723
|
Household Durables — 0.0% ^
|
||
KDC US Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.32%,
8/15/2028
|
3,516
|
3,529
|
Insurance — 0.1%
|
||
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 9.68%, 8/19/2028
|
6,965
|
6,907
|
Hub International Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.57%,
6/20/2030
|
5,175
|
5,208
|
USI, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.55%, 9/27/2030
|
5,302
|
5,309
|
|
|
17,424
|
IT Services — 0.1%
|
||
Ahead DB Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.25%), 9.56%,
2/1/2031
|
1,726
|
1,733
|
MH Sub I LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.25%), 9.58%, 5/3/2028
|
6,125
|
6,132
|
|
|
7,865
|
Leisure Products — 0.0% ^
|
||
FGI Operating Co. LLC, 1st Lien Term Loan (3-MONTH SOFR + 11.00%), 12.00%, 12/31/2024 ‡ (b)
|
140
|
13
|
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%),
10.44%, 12/15/2026
|
2,069
|
2,081
|
Topgolf Callaway, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.33%, 3/15/2030
|
3,241
|
3,255
|
|
|
5,349
|
Machinery — 0.1%
|
||
Alliance Laundry Systems LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%,
3-MONTH CME TERM SOFR + 3.50%),
8.90%, 10/8/2027
|
3,809
|
3,823
|
SPX Flow, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.50%), 9.93%, 4/5/2029
|
3,850
|
3,871
|
|
|
7,694
|
Media — 0.2%
|
||
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR
+ 2.00%), 7.30%, 12/7/2030
|
13,591
|
13,502
|
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR
+ 4.00%), 9.44%, 8/21/2028
|
1,096
|
1,100
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Loan Assignments — continued
|
||
Media — continued
|
||
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.82%, 1/18/2028
|
13,010
|
12,494
|
Outfront Media, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 7.08%,
11/18/2026
|
3,425
|
3,425
|
|
|
30,521
|
Oil, Gas & Consumable Fuels — 0.1%
|
||
Buckeye Partners, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 2.50%, 11/22/2030 (o)
|
7,681
|
7,695
|
Passenger Airlines — 0.1%
|
||
AAdvantage Loyality IP Ltd., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 4.75%),
10.34%, 4/20/2028
|
9,681
|
10,048
|
United Airlines, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.25%), 10.73%,
6/21/2027
|
7,638
|
7,809
|
|
|
17,857
|
Personal Care Products — 0.0% ^
|
||
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.19%,
5/17/2028
|
7,008
|
6,957
|
Pharmaceuticals — 0.0% ^
|
||
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%),
7.16%, 8/1/2027
|
5,271
|
5,263
|
Professional Services — 0.1%
|
||
Brookfield WEC Holdings Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%),
8.08%, 1/27/2031
|
10,740
|
10,792
|
Dun & Bradstreet Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.75%), 8.07%,
1/18/2029
|
7,520
|
7,540
|
KBR, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 7.58%, 1/17/2031
|
6,937
|
6,971
|
|
|
25,303
|
Semiconductors & Semiconductor Equipment — 0.1%
|
||
Brooks Automation, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.95%, 2/1/2029
|
10,363
|
10,376
|
Vertiv Group Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 7.93%, 3/2/2027
|
9,443
|
9,475
|
|
|
19,851
|
Software — 0.2%
|
||
AthenaHealth, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.58%, 2/15/2029
|
3,616
|
3,606
|
Camelot U.S. Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%),
8.08%, 1/31/2031
|
6,650
|
6,651
|
CDK Global, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.58%, 7/6/2029
|
5,310
|
5,351
|
Genesys Cloud Services Holdings, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%),
8.82%, 12/1/2027
|
10,032
|
10,098
|
Ultimate Software Group, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 8.82%,
2/10/2031
|
7,770
|
7,825
|
|
|
33,531
|
Specialty Retail — 0.1%
|
||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.08%,
10/19/2027
|
5,709
|
5,732
|
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.93%,
12/18/2026 (p)
|
1,475
|
1,394
|
Petco Health & Wellness Co., Inc., Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.82%,
3/3/2028
|
6,223
|
5,617
|
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.81%, 12/28/2027
|
1,586
|
1,568
|
|
|
14,311
|
Wireless Telecommunication Services — 0.0% ^
|
||
Iridium Communications, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%),
7.83%, 9/20/2030
|
6,744
|
6,749
|
Total Loan Assignments
(Cost $330,705)
|
|
330,187
|
Foreign Government Securities — 1.0%
|
||
Arab Republic of Egypt
|
|
|
7.60%, 3/1/2029 (h)
|
6,100
|
5,679
|
7.63%, 5/29/2032 (h)
|
3,600
|
3,079
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
7.30%, 9/30/2033 (h)
|
2,500
|
2,054
|
8.50%, 1/31/2047 (h)
|
5,800
|
4,517
|
8.88%, 5/29/2050 (h)
|
3,600
|
2,908
|
Benin Government Bond 7.96%, 2/13/2038 (a)
|
2,340
|
2,195
|
Dominican Republic Government Bond
|
|
|
4.88%, 9/23/2032 (a)
|
1,310
|
1,169
|
6.00%, 2/22/2033 (a)
|
4,043
|
3,914
|
6.00%, 2/22/2033 (h)
|
5,243
|
5,076
|
5.88%, 1/30/2060 (a)
|
3,545
|
2,988
|
Federal Republic of Nigeria
|
|
|
6.50%, 11/28/2027 (h)
|
6,550
|
6,115
|
6.13%, 9/28/2028 (a)
|
2,880
|
2,557
|
7.14%, 2/23/2030 (h)
|
2,700
|
2,377
|
8.75%, 1/21/2031 (h)
|
3,800
|
3,581
|
7.38%, 9/28/2033 (a)
|
2,327
|
1,938
|
Federative Republic of Brazil
|
|
|
4.75%, 1/14/2050
|
4,100
|
2,952
|
7.13%, 5/13/2054
|
6,690
|
6,533
|
Finance Department Government of Sharjah 6.13%, 3/6/2036 (a)
|
5,692
|
5,638
|
Gabonese Republic 6.95%, 6/16/2025 (h)
|
3,800
|
3,582
|
Hashemite Kingdom of Jordan 7.38%, 10/10/2047 (h)
|
4,000
|
3,482
|
Hungary Government Bond
|
|
|
5.50%, 6/16/2034 (a)
|
1,640
|
1,583
|
6.75%, 9/25/2052 (a)
|
1,245
|
1,322
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a)
|
3,500
|
3,754
|
Kingdom of Bahrain
|
|
|
7.00%, 10/12/2028 (h)
|
2,500
|
2,574
|
5.45%, 9/16/2032 (a)
|
1,677
|
1,545
|
Kingdom of Morocco 5.95%, 3/8/2028 (a)
|
1,381
|
1,382
|
Kingdom of Saudi Arabia 5.75%, 1/16/2054 (a)
|
3,700
|
3,570
|
Republic of Angola 8.75%, 4/14/2032 (a)
|
4,086
|
3,649
|
Republic of Colombia
|
|
|
10.38%, 1/28/2033
|
360
|
429
|
7.50%, 2/2/2034
|
1,491
|
1,478
|
8.75%, 11/14/2053
|
7,024
|
7,344
|
Republic of Costa Rica
|
|
|
6.55%, 4/3/2034 (a)
|
4,200
|
4,295
|
7.30%, 11/13/2054 (a)
|
3,925
|
4,108
|
Republic of Cote d'Ivoire
|
|
|
5.75%, 12/31/2032 (h) (i)
|
693
|
646
|
6.13%, 6/15/2033 (h)
|
866
|
770
|
8.25%, 1/30/2037 (a)
|
1,468
|
1,427
|
6.88%, 10/17/2040 (h)
|
EUR3,400
|
3,137
|
Republic of Iraq 5.80%, 1/15/2028 (h)
|
1,900
|
1,802
|
Republic of Panama 7.88%, 3/1/2057
|
2,034
|
2,090
|
Republic of Paraguay
|
|
|
5.00%, 4/15/2026 (h)
|
434
|
427
|
3.85%, 6/28/2033 (a)
|
503
|
435
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
6.00%, 2/9/2036 (a)
|
7,140
|
7,090
|
6.10%, 8/11/2044 (h)
|
1,400
|
1,329
|
5.60%, 3/13/2048 (h)
|
4,589
|
4,050
|
5.40%, 3/30/2050 (h)
|
14,281
|
12,225
|
Republic of Philippines 5.60%, 5/14/2049
|
7,760
|
7,743
|
Republic of Poland
|
|
|
5.13%, 9/18/2034
|
1,388
|
1,354
|
5.50%, 3/18/2054
|
5,700
|
5,464
|
Republic of Senegal 6.75%, 3/13/2048 (h)
|
3,800
|
2,769
|
Republic of South Africa
|
|
|
4.30%, 10/12/2028
|
5,542
|
4,959
|
7.30%, 4/20/2052
|
2,000
|
1,715
|
Republic of Turkey 7.63%, 5/15/2034
|
10,069
|
10,093
|
Romania Government Bond
|
|
|
6.38%, 1/30/2034 (a)
|
3,104
|
3,094
|
7.63%, 1/17/2053 (a)
|
1,600
|
1,735
|
State of Israel Government Bond 5.75%, 3/12/2054
|
5,620
|
5,092
|
Sultanate of Oman Government Bond
|
|
|
6.25%, 1/25/2031 (a)
|
1,193
|
1,223
|
7.00%, 1/25/2051 (a)
|
12,400
|
12,893
|
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a)
|
1,289
|
1,345
|
United Mexican States 6.34%, 5/4/2053
|
1,280
|
1,222
|
Total Foreign Government Securities
(Cost $215,798)
|
|
205,496
|
|
SHARES
(000)
|
|
Common Stocks — 0.1%
|
||
Broadline Retail — 0.0% ^
|
||
Moran Foods Backstop Equity ‡ *
|
5,884
|
59
|
MYT Holding LLC ‡ *
|
935
|
327
|
|
|
386
|
Communications Equipment — 0.0% ^
|
||
Goodman Networks, Inc. ‡ *
|
38
|
—
|
Diversified Telecommunication Services — 0.0% ^
|
||
Windstream Holdings, Inc. ‡ *
|
6
|
78
|
Financial Services — 0.0% ^
|
||
ACC Claims Holdings LLC ‡ * (q)
|
1,551
|
3
|
Health Care Providers & Services — 0.0% ^
|
||
Claire's Stores, Inc. ‡ *
|
2
|
336
|
Endo, Inc. ‡ *
|
44
|
1,255
|
Envision Healthcare Corp. ‡ *
|
4
|
30
|
|
|
1,621
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
Common Stocks — continued
|
||
Media — 0.0% ^
|
||
Clear Channel Outdoor Holdings, Inc. *
|
502
|
724
|
iHeartMedia, Inc., Class A *
|
127
|
117
|
|
|
841
|
Oil, Gas & Consumable Fuels — 0.1%
|
||
Chesapeake Energy Corp.
|
44
|
4,028
|
Gulfport Energy Corp. *
|
29
|
4,681
|
|
|
8,709
|
Pharmaceuticals — 0.0% ^
|
||
Endo, Inc. ‡ * (a)
|
18
|
510
|
Specialty Retail — 0.0% ^
|
||
NMG, Inc. ‡ *
|
11
|
1,332
|
Wireless Telecommunication Services — 0.0% ^
|
||
Intelsat SA (Luxembourg) ‡ *
|
70
|
2,521
|
Total Common Stocks
(Cost $11,912)
|
|
16,001
|
|
PRINCIPAL
AMOUNT
($000)
|
|
Municipal Bonds — 0.1% (r)
|
||
California — 0.1%
|
||
Alameda County Joint Powers Authority, Multiple Capital Projects Series 2010A, Rev.,
7.05%, 12/1/2044
|
200
|
228
|
City of Los Angeles Department of Airports, Federally Taxable Build America Bonds
Direct Payment to Issuer Series 2009C, Rev.,
6.58%, 5/15/2039
|
875
|
932
|
Regents of the University of California, Medical Center Pooled Series 2020N, Rev.,
3.71%, 5/15/2120
|
1,820
|
1,174
|
State of California, Various Purpose GO, 7.35%, 11/1/2039
|
1,980
|
2,288
|
University of California, Taxable Series 2012AD, Rev., 4.86%, 5/15/2112
|
774
|
671
|
Total California
|
|
5,293
|
District of Columbia — 0.0% ^
|
||
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Series
2014A, Rev., 4.81%, 10/1/2114
|
345
|
303
|
Missouri — 0.0% ^
|
||
Health and Educational Facilities Authority of the State of Missouri, The Washington
University Series 2020A, Rev., 3.23%,
5/15/2050
|
3,000
|
2,176
|
New York — 0.0% ^
|
||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series
2010H, Rev., 5.39%, 3/15/2040
|
1,165
|
1,144
|
Port Authority of New York and New Jersey, Consolidated Series 174, Rev., 4.46%, 10/1/2062
|
740
|
646
|
Total New York
|
|
1,790
|
Ohio — 0.0% ^
|
||
American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev.,
7.50%, 2/15/2050
|
1,025
|
1,217
|
Ohio State University (The), General Receipts Series 2011A, Rev., 4.80%, 6/1/2111
|
1,563
|
1,364
|
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114
|
2,000
|
1,935
|
Total Ohio
|
|
4,516
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Municipal Bonds — continued
|
||
Texas — 0.0% ^
|
||
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds Series
2023A-2, Rev., 5.17%, 4/1/2041
|
855
|
848
|
Total Municipal Bonds
(Cost $17,619)
|
|
14,926
|
|
SHARES
(000)
|
|
Convertible Preferred Stocks — 0.0% ^
|
||
Specialty Retail — 0.0% ^
|
||
Claire's Stores, Inc. ‡ *
(Cost $428)
|
2
|
3,444
|
|
PRINCIPAL
AMOUNT
($000)
|
|
Convertible Bonds — 0.0% ^
|
||
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
Gulfport Energy Corp. 10.00% (Cash), 7/8/2024 ‡ * (c) (f) (g)
(Cost $141)
|
—
|
1,711
|
|
SHARES
(000)
|
|
Preferred Stocks — 0.0% ^
|
||
Broadline Retail — 0.0% ^
|
||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
2,070
|
1,342
|
Communications Equipment — 0.0% ^
|
||
Goodman Networks, Inc. ‡ *
|
46
|
—
|
Total Preferred Stocks
(Cost $2,145)
|
|
1,342
|
|
NO. OF
WARRANTS
(000)
|
|
Warrants — 0.0% ^
|
||
Media — 0.0% ^
|
||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ *
(Cost $—)
|
33
|
441
|
|
SHARES
(000)
|
|
Short-Term Investments — 7.9%
|
||
Investment Companies — 7.9%
|
||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.31% (s) (t)
(Cost $1,558,030)
|
1,557,761
|
1,558,073
|
Investment of Cash Collateral from Securities Loaned — 0.0% ^
|
||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.47% (s) (t)
|
120
|
120
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
Short-Term Investments — continued
|
||
Investment of Cash Collateral from Securities Loaned — continued
|
||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.26% (s) (t)
|
428
|
428
|
Total Investment of Cash Collateral from Securities Loaned
(Cost $548)
|
|
548
|
Total Short-Term Investments
(Cost $1,558,578)
|
|
1,558,621
|
Total Investments — 105.0%
(Cost $22,138,955)
|
|
20,822,198
|
Liabilities in Excess of Other Assets — (5.0)%
|
|
(986,709
)
|
NET ASSETS — 100.0%
|
|
19,835,489
|
Percentages indicated are based on net assets.
|
||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
Abbreviations
|
|
ABS
|
Asset-Backed Securities
|
ACES
|
Alternative Credit Enhancement Securities
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2024.
|
CLO
|
Collateralized Loan Obligations
|
CME
|
Chicago Mercantile Exchange
|
CSMC
|
Credit Suisse Mortgage Trust
|
EUR
|
Euro
|
EURIBOR
|
Euro Interbank Offered Rate
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association
|
FRN
|
Floating Rate Note
|
GNMA
|
Government National Mortgage Association
|
GO
|
General Obligation
|
HB
|
High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments
on an underlying pool of mortgages with similar features as those
associated with IO securities. Unlike IO's the owner also has a right to receive a
very small portion of principal. The high interest rates result from taking
interest payments from other classes in the Real Estate Mortgage Investment Conduit
trust and allocating them to the small principal of the HB class.
|
ICE
|
Intercontinental Exchange
|
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 May 31, 2024. 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.
|
PIK
|
Payment In Kind
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
REIT
|
Real Estate Investment Trust
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
Rev.
|
Revenue
|
SCA
|
Limited partnership with share capital
|
SOFR
|
Secured Overnight Financing Rate
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
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.
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
UMBS
|
Uniform Mortgage-Backed Securities
|
USD
|
United States Dollar
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
*
|
Non-income producing security.
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
(b)
|
Defaulted security.
|
|
(c)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
(d)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2024.
|
|
(e)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2024 is $86,649 or 0.44% of the Fund’s net assets
as of May 31, 2024.
|
|
(f)
|
Security is an interest bearing note with preferred security characteristics.
|
|
(g)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon
rate for this security is fixed for a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects
the next call date. The coupon rate shown is the rate in
effect as of May 31, 2024.
|
|
(h)
|
Security exempt from registration pursuant to Regulation S under the Securities Act
of 1933, as amended. Regulation S applies to securities
offerings that are made outside of the United States and do not involve direct selling
efforts in the United States and as such may have
restrictions on resale.
|
|
(i)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2024.
|
|
(j)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
(k)
|
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, 2024.
|
|
(l)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts.
|
|
(m)
|
The rate shown is the effective yield as of May 31, 2024.
|
|
(n)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
(o)
|
All or a portion of this security is unsettled as of May 31, 2024. Unless otherwise
indicated, the coupon rate is undetermined. The coupon
rate shown may not be accrued for the entire position.
|
|
(p)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
(q)
|
The security or a portion of this security is on loan at May 31, 2024. The total value
of securities on loan at May 31, 2024 is $1.
|
|
(r)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
(s)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(t)
|
The rate shown is the current yield as of May 31, 2024.
|
|
Futures contracts outstanding as of May 31, 2024 (amounts in thousands, except number
of contracts):
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
Long Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
4,870
|
09/19/2024
|
USD
|
530,678
|
36
|
U.S. Treasury 10 Year Ultra Note
|
2,167
|
09/19/2024
|
USD
|
243,347
|
(1,037
)
|
U.S. Treasury Ultra Bond
|
5,758
|
09/19/2024
|
USD
|
706,974
|
(10,038
)
|
U.S. Treasury 2 Year Note
|
3,872
|
09/30/2024
|
USD
|
789,162
|
634
|
U.S. Treasury 5 Year Note
|
12,347
|
09/30/2024
|
USD
|
1,308,203
|
1,712
|
|
|
|
|
|
(8,693
)
|
Short Contracts
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(367
)
|
09/19/2024
|
USD
|
(39,992
)
|
(1
)
|
U.S. Treasury 10 Year Ultra Note
|
(35
)
|
09/19/2024
|
USD
|
(3,930
)
|
—
(a)
|
U.S. Treasury Long Bond
|
(201
)
|
09/19/2024
|
USD
|
(23,417
)
|
48
|
U.S. Treasury 5 Year Note
|
(197
)
|
09/30/2024
|
USD
|
(20,873
)
|
(30
)
|
|
|
|
|
|
17
|
|
|
|
|
|
(8,676
)
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
Abbreviations
|
|
USD
|
United States Dollar
|
(a)
|
Amount rounds to less than one thousand.
|
Forward foreign currency exchange contracts outstanding as of May 31, 2024 (amounts
in thousands):
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
EUR
|
62,166
|
USD
|
67,222
|
Morgan Stanley
|
6/5/2024
|
233
|
Total unrealized appreciation
|
233
|
|||||
USD
|
66,754
|
EUR
|
62,166
|
Goldman Sachs International
|
6/5/2024
|
(701
)
|
USD
|
67,306
|
EUR
|
62,166
|
Morgan Stanley
|
7/3/2024
|
(236
)
|
Total unrealized depreciation
|
(937
)
|
|||||
Net unrealized depreciation
|
(704
)
|
Abbreviations
|
|
EUR
|
Euro
|
USD
|
United States Dollar
|
Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection (*) as of May 31, 2024 (amounts in thousands):
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
COUNTERPARTY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
12/20/2027
|
0.37
|
USD32,877
|
232
|
(979
)
|
(747
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD36,400
|
246
|
(1,120
)
|
(874
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD26,300
|
220
|
(851
)
|
(631
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD26,299
|
94
|
(725
)
|
(631
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD13,148
|
28
|
(344
)
|
(316
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD6,574
|
23
|
(181
)
|
(158
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD13,143
|
56
|
(372
)
|
(316
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.41
|
USD6,369
|
68
|
(221
)
|
(153
)
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Morgan Stanley
|
6/20/2028
|
0.41
|
USD3,935
|
34
|
(128
)
|
(94
)
|
|
|
|
|
|
|
|
1,001
|
(4,921
)
|
(3,920
)
|
(*)
|
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.
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
SCHEDULE OF PORTFOLIO INVESTMENTS
(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
|
|
|
|
|
|
|
|
|
|
USD
|
United States Dollar
|
|
|
|
|
|
|
|
|
Summary of total OTC swap contracts outstanding as of May 31, 2024 (amounts in thousands):
|
NET UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
VALUE
($)
|
Liabilities
|
|
|
OTC Credit default swap contracts outstanding - buy protection
|
1,001
|
(3,920
)
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
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.
Equities and other exchange-traded instruments are valued at the last sale price or
official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Certain foreign equity instruments are valued by applying international fair value
factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post-closing,
but prior to the time the NAVs are calculated.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at May 31, 2024.
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).
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO 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
|
$—
|
$2,246,683
|
$691,198
|
$2,937,881
|
Collateralized Mortgage Obligations
|
—
|
624,893
|
155,501
|
780,394
|
Commercial Mortgage-Backed Securities
|
—
|
1,990,466
|
164,028
|
2,154,494
|
Common Stocks
|
|
|
|
|
Broadline Retail
|
—
|
—
|
386
|
386
|
Communications Equipment
|
—
|
—
|
—
(a)
|
—
(a)
|
Diversified Telecommunication Services
|
—
|
—
|
78
|
78
|
Financial Services
|
—
|
—
|
3
|
3
|
Health Care Providers & Services
|
—
|
—
|
1,621
|
1,621
|
Media
|
841
|
—
|
—
|
841
|
Oil, Gas & Consumable Fuels
|
8,709
|
—
|
—
|
8,709
|
Pharmaceuticals
|
—
|
—
|
510
|
510
|
Specialty Retail
|
—
|
—
|
1,332
|
1,332
|
Wireless Telecommunication Services
|
—
|
—
|
2,521
|
2,521
|
Total Common Stocks
|
9,550
|
—
|
6,451
|
16,001
|
Convertible Bonds
|
—
|
—
|
1,711
|
1,711
|
Convertible Preferred Stocks
|
—
|
—
|
3,444
|
3,444
|
Corporate Bonds
|
|
|
|
|
Aerospace & Defense
|
—
|
80,177
|
—
|
80,177
|
Automobile Components
|
—
|
59,713
|
—
|
59,713
|
Automobiles
|
—
|
28,172
|
—
|
28,172
|
Banks
|
—
|
1,303,045
|
—
|
1,303,045
|
Beverages
|
—
|
22,772
|
—
|
22,772
|
Biotechnology
|
—
|
84,766
|
—
|
84,766
|
Broadline Retail
|
—
|
11,585
|
—
|
11,585
|
Building Products
|
—
|
49,368
|
—
|
49,368
|
Capital Markets
|
—
|
382,644
|
—
|
382,644
|
Chemicals
|
—
|
75,400
|
—
|
75,400
|
Commercial Services & Supplies
|
—
|
67,532
|
—
|
67,532
|
Communications Equipment
|
—
|
9,226
|
—
|
9,226
|
Construction & Engineering
|
—
|
23,383
|
—
|
23,383
|
Construction Materials
|
—
|
5,747
|
—
|
5,747
|
Consumer Finance
|
—
|
173,306
|
—
|
173,306
|
Consumer Staples Distribution & Retail
|
—
|
43,706
|
—
|
43,706
|
Containers & Packaging
|
—
|
83,025
|
—
|
83,025
|
Distributors
|
—
|
8,613
|
—
|
8,613
|
Diversified Consumer Services
|
—
|
10,034
|
—
|
10,034
|
Diversified REITs
|
—
|
17,991
|
—
|
17,991
|
Diversified Telecommunication Services
|
—
|
174,063
|
—
|
174,063
|
Electric Utilities
|
—
|
515,262
|
—
|
515,262
|
Electrical Equipment
|
—
|
6,026
|
—
|
6,026
|
Electronic Equipment, Instruments & Components
|
—
|
11,950
|
—
|
11,950
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Energy Equipment & Services
|
$—
|
$28,317
|
$—
|
$28,317
|
Entertainment
|
—
|
53,985
|
—
|
53,985
|
Financial Services
|
—
|
54,966
|
—
|
54,966
|
Food Products
|
—
|
36,908
|
—
|
36,908
|
Gas Utilities
|
—
|
14,477
|
—
|
14,477
|
Ground Transportation
|
—
|
60,200
|
—
|
60,200
|
Health Care Equipment & Supplies
|
—
|
29,841
|
—
|
29,841
|
Health Care Providers & Services
|
—
|
211,574
|
—
|
211,574
|
Health Care REITs
|
—
|
8,438
|
—
|
8,438
|
Health Care Technology
|
—
|
7,741
|
—
|
7,741
|
Hotel & Resort REITs
|
—
|
7,789
|
—
|
7,789
|
Hotels, Restaurants & Leisure
|
—
|
130,226
|
—
|
130,226
|
Household Durables
|
—
|
29,220
|
—
|
29,220
|
Household Products
|
—
|
16,442
|
—
|
16,442
|
Independent Power and Renewable Electricity Producers
|
—
|
42,157
|
—
|
42,157
|
Industrial Conglomerates
|
—
|
4,595
|
—
|
4,595
|
Industrial REITs
|
—
|
6,018
|
—
|
6,018
|
Insurance
|
—
|
80,598
|
—
|
80,598
|
Interactive Media & Services
|
—
|
4,141
|
—
|
4,141
|
IT Services
|
—
|
12,488
|
—
|
12,488
|
Leisure Products
|
—
|
3,154
|
—
|
3,154
|
Life Sciences Tools & Services
|
—
|
4,440
|
—
|
4,440
|
Machinery
|
—
|
24,043
|
—
|
24,043
|
Marine Transportation
|
—
|
2,014
|
—
|
2,014
|
Media
|
—
|
234,898
|
—
|
234,898
|
Metals & Mining
|
—
|
111,170
|
—
|
111,170
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
96,759
|
—
|
96,759
|
Multi-Utilities
|
—
|
76,040
|
—
|
76,040
|
Office REITs
|
—
|
3,185
|
—
|
3,185
|
Oil, Gas & Consumable Fuels
|
—
|
624,743
|
—
|
624,743
|
Passenger Airlines
|
—
|
33,336
|
—
|
33,336
|
Personal Care Products
|
—
|
9,159
|
—
|
9,159
|
Pharmaceuticals
|
—
|
144,543
|
—
(a)
|
144,543
|
Real Estate Management & Development
|
—
|
4,130
|
—
|
4,130
|
Residential REITs
|
—
|
10,227
|
—
|
10,227
|
Retail REITs
|
—
|
10,494
|
—
|
10,494
|
Semiconductors & Semiconductor Equipment
|
—
|
57,942
|
—
|
57,942
|
Software
|
—
|
64,933
|
—
|
64,933
|
Specialized REITs
|
—
|
24,925
|
—
|
24,925
|
Specialty Retail
|
—
|
73,830
|
—
|
73,830
|
Technology Hardware, Storage & Peripherals
|
—
|
29,760
|
—
|
29,760
|
Textiles, Apparel & Luxury Goods
|
—
|
5,497
|
—
|
5,497
|
Tobacco
|
—
|
92,073
|
—
|
92,073
|
Trading Companies & Distributors
|
—
|
48,624
|
—
|
48,624
|
Transportation Infrastructure
|
—
|
1,749
|
—
|
1,749
|
Water Utilities
|
—
|
3,913
|
—
|
3,913
|
Wireless Telecommunication Services
|
—
|
34,590
|
—
|
34,590
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Total Corporate Bonds
|
—
|
5,917,798
|
—
(a)
|
5,917,798
|
Foreign Government Securities
|
$—
|
$205,496
|
$—
|
$205,496
|
Loan Assignments
|
|
|
|
|
Automobile Components
|
—
|
6,525
|
—
|
6,525
|
Beverages
|
—
|
7,683
|
—
|
7,683
|
Building Products
|
—
|
17,517
|
—
|
17,517
|
Chemicals
|
—
|
9,957
|
—
|
9,957
|
Commercial Services & Supplies
|
—
|
3,536
|
—
|
3,536
|
Construction & Engineering
|
—
|
5,614
|
—
|
5,614
|
Consumer Staples Distribution & Retail
|
—
|
—
|
1,547
|
1,547
|
Containers & Packaging
|
—
|
5,481
|
—
|
5,481
|
Diversified Consumer Services
|
—
|
3,726
|
—
|
3,726
|
Entertainment
|
—
|
2,839
|
—
|
2,839
|
Financial Services
|
—
|
15,136
|
—
|
15,136
|
Ground Transportation
|
—
|
7,244
|
—
|
7,244
|
Health Care Equipment & Supplies
|
—
|
3,227
|
—
|
3,227
|
Health Care Providers & Services
|
—
|
25,533
|
—
|
25,533
|
Hotels, Restaurants & Leisure
|
—
|
4,723
|
—
|
4,723
|
Household Durables
|
—
|
3,529
|
—
|
3,529
|
Insurance
|
—
|
17,424
|
—
|
17,424
|
IT Services
|
—
|
7,865
|
—
|
7,865
|
Leisure Products
|
—
|
5,336
|
13
|
5,349
|
Machinery
|
—
|
7,694
|
—
|
7,694
|
Media
|
—
|
30,521
|
—
|
30,521
|
Oil, Gas & Consumable Fuels
|
—
|
7,695
|
—
|
7,695
|
Passenger Airlines
|
—
|
17,857
|
—
|
17,857
|
Personal Care Products
|
—
|
6,957
|
—
|
6,957
|
Pharmaceuticals
|
—
|
5,263
|
—
|
5,263
|
Professional Services
|
—
|
25,303
|
—
|
25,303
|
Semiconductors & Semiconductor Equipment
|
—
|
19,851
|
—
|
19,851
|
Software
|
—
|
33,531
|
—
|
33,531
|
Specialty Retail
|
—
|
14,311
|
—
|
14,311
|
Wireless Telecommunication Services
|
—
|
6,749
|
—
|
6,749
|
Total Loan Assignments
|
—
|
328,627
|
1,560
|
330,187
|
Mortgage-Backed Securities
|
—
|
5,165,014
|
3,387
|
5,168,401
|
Municipal Bonds
|
—
|
14,926
|
—
|
14,926
|
Preferred Stocks
|
—
|
—
|
1,342
|
1,342
|
U.S. Treasury Obligations
|
—
|
1,731,061
|
—
|
1,731,061
|
Warrants
|
—
|
—
|
441
|
441
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
1,558,073
|
—
|
—
|
1,558,073
|
Investment of Cash Collateral from Securities Loaned
|
548
|
—
|
—
|
548
|
Total Short-Term Investments
|
1,558,621
|
—
|
—
|
1,558,621
|
Total Investments in Securities
|
$1,568,171
|
$18,224,964
|
$1,029,063
|
$20,822,198
|
Appreciation in Other Financial Instruments
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$233
|
$—
|
$233
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Futures Contracts
|
$2,430
|
$—
|
$—
|
$2,430
|
Depreciation in Other Financial Instruments
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
—
|
(937
)
|
—
|
(937
)
|
Futures Contracts
|
(11,106
)
|
—
|
—
|
(11,106
)
|
Swaps
|
—
|
(4,921
)
|
—
|
(4,921
)
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$(8,676
)
|
$(5,625
)
|
$—
|
$(14,301
)
|
|
|
(a)
|
Amount rounds to less than one thousand.
|
The following is a summary of investments for which significant unobservable inputs
(level 3) were used in determining fair value:
|
Balance as of
February 29,
2024
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
May 31,
2024
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$726,979
|
$(1,301
)
|
$1,917
|
$84
|
$23,513
|
$(115,971
)
|
$86,488
|
$(30,511
)
|
$—
|
$691,198
|
Collateralized Mortgage Obligations
|
159,575
|
—
|
1,749
|
—
(b)
|
42,000
|
(47,823
)
|
—
|
—
|
—
|
155,501
|
Commercial Mortgage-Backed
Securities
|
122,324
|
—
|
1,353
|
516
|
152
|
(14,099
)
|
18,226
|
—
|
35,556
|
164,028
|
Common Stocks
|
3,811
|
—
|
1,566
|
—
|
1,074
|
—
|
—
|
—
|
—
|
6,451
|
Convertible Bonds
|
1,501
|
—
|
210
|
—
|
—
|
—
|
—
|
—
|
—
|
1,711
|
Convertible Preferred Stocks
|
3,319
|
—
|
125
|
—
|
—
|
—
|
—
|
—
|
—
|
3,444
|
Corporate Bonds
|
44,522
|
(4,335
)
|
5,079
|
(3
)
|
—
|
(9,707
)
|
—
|
—
|
(35,556
)
|
—
(b)
|
Loan Assignments
|
2,693
|
—
|
(53
)
|
36
|
57
|
(19
)
|
—
|
(1,154
)
|
—
|
1,560
|
Mortgage-Backed Securities
|
—
|
—
|
(13
)
|
—
|
4,208
|
(808
)
|
—
|
—
|
—
|
3,387
|
Preferred Stocks
|
1,170
|
—
|
172
|
—
|
—
|
—
|
—
|
—
|
—
|
1,342
|
Warrants
|
441
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
441
|
Total
|
$1,066,335
|
$(5,636
)
|
$12,105
|
$633
|
$71,004
|
$(188,427
)
|
$104,714
|
$(31,665
)
|
$—
|
$1,029,063
|
|
|||||||||
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
(a)
|
Certain Level 3 investments were re-classified between Corporate Bonds and Commercial
Mortgage-Backed Securities.
|
(b)
|
Amount rounds to less than one thousand.
|
The changes in net unrealized appreciation (depreciation) attributable to securities
owned at May 31, 2024, which were valued using significant unobservable inputs (level 3) amounted to $3,066.
There were no significant transfers into or out of level 3 for the period ended May
31, 2024.
The significant unobservable inputs used in the fair value measurement of the Fund's
investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another
input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on
the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples
may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount,
probability of default, yield and default rate may
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
decrease (increase) the fair value measurement. A significant change in the discount
rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
|
Fair Value at
May 31, 2024
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
$284,371
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 30.00% (7.58%)
|
|
|
|
Constant Default Rate
|
0.00% - 60.00% (0.88%)
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
3.60% - 25.00% (8.61%)
|
|
|
|
|
|
Asset-Backed Securities
|
284,371
|
|
|
|
|
104,645
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
7.76% - 23.50% (8.89%)
|
|
|
|
|
|
Collateralized Mortgage
Obligations
|
104,645
|
|
|
|
|
1,711
|
Term of Restructuring
|
Liquidation Preference
|
71.43x (71.43x)
|
|
|
|
|
|
Convertible Bonds
|
1,711
|
|
|
|
|
62
|
Terms of Exchange Offer
|
Expected Recovery
|
$0.00 - $0.01 ($0.01)
|
|
|
|
|
|
Common Stocks
|
62
|
|
|
|
|
-(b
)
|
Terms of Exchange Offer
|
Expected Recovery
|
0.001 ($0.001)
|
|
|
|
|
|
Preferred Stocks
|
-(b
)
|
|
|
|
|
41
|
Terms of Exchange Offer
|
Expected Recovery
|
9.35% - 100.00% (71.69%)
|
|
1,519
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
20.65% - 38.74% (29.21%)
|
|
|
|
|
|
Loan Assignments
|
1,560
|
|
|
|
Total
|
$392,349
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2024, the value of
these investments was $636,714. The inputs for these investments are not readily available
or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
(b)
|
Amount rounds to less than one thousand.
|
B. Investment Transactions with Affiliates— The Fund invested in Underlying Funds advised by the Adviser. An issuer which is
under common control with the Fund may be considered an affiliate. The Fund assumes the
issuers listed in the table below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.
|
|||||||||
For the period ended May 31, 2024
|
|||||||||
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 5.31% (a) (b)
|
$1,483,911
|
$1,590,006
|
$1,515,362
|
$(274
)
|
$(208
)
|
$1,558,073
|
1,557,761
|
$20,807
|
$—
|
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
|
|||||||||
For the period ended May 31, 2024
|
|||||||||
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Securities Lending Money Market
Fund Agency SL Class Shares, 5.47%
(a) (b)
|
$120
|
$—
|
$—
|
$—
|
$—
(c)
|
$120
|
120
|
$2
|
$—
|
JPMorgan U.S. Government Money Market
Fund Class IM Shares, 5.26% (a) (b)
|
428
|
—
|
—
|
—
|
—
|
428
|
428
|
6
|
—
|
Total
|
$1,484,459
|
$1,590,006
|
$1,515,362
|
$(274
)
|
$(208
)
|
$1,558,621
|
|
$20,815
|
$—
|
|
|
(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, 2024.
|
(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.
Notes (1) — (3) below describe the various derivatives used by the Fund.
(1). Futures Contracts— The Fund used currency, index, interest rate, treasury or other financial futures
contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure
to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten
the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying
commodities markets. The purchase of futures contracts will tend to increase the Fund's exposure to positive and negative price fluctuations
in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at
a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future.
Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage
of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or
received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value
of open futures contracts are recorded as change in net unrealized appreciation/depreciation on futures contracts. Securities deposited as
initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
The Fund may be exposed to the risk that the change in the value of the futures contract
may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the
notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter
into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction;
therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish
daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund's futures contracts are not subject to master netting arrangements (the right
to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts— The Fund is exposed to foreign currency risks associated with some or all of the
portfolio investments and used forward foreign currency exchange contracts to hedge
or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts
to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency
on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange
contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based
on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation
or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a
realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward
foreign currency exchange contract with the same counterparty.
The Fund's forward foreign currency exchange contracts are subject to master netting
arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
The Fund may be required to post or receive collateral for non-deliverable forward
foreign currency exchange contracts.
(3). 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.
JPMorgan Core Plus Bond Fund
AS OF May 31, 2024 (Unaudited) (continued)
(Dollar values in thousands)
SCHEDULE OF PORTFOLIO INVESTMENTS
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.