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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05151
J.P. Morgan Mutual Fund Group
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2010 through February 28, 2011
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. | REPORTS TO STOCKHOLDERS. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
J.P. Morgan Income Funds
February 28, 2011
JPMorgan Core Bond Fund
JPMorgan Core Plus Bond Fund
JPMorgan Government Bond Fund
JPMorgan High Yield Fund
JPMorgan Limited Duration Bond Fund
JPMorgan Mortgage-Backed Securities Fund
JPMorgan Short Duration Bond Fund
JPMorgan Short Term Bond Fund II
JPMorgan Treasury & Agency Fund
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CEO’s Letter | 1 | |||
Market Overview | 2 | |||
3 | ||||
5 | ||||
8 | ||||
10 | ||||
12 | ||||
14 | ||||
16 | ||||
18 | ||||
20 | ||||
Schedules of Portfolio Investments | 22 | |||
Financial Statements | 202 | |||
Financial Highlights | 226 | |||
Notes to Financial Statements | 244 | |||
Report of Independent Registered Public Accounting Firm | 269 | |||
Trustees | 270 | |||
Officers | 272 | |||
Schedule of Shareholder Expenses | 273 | |||
Tax Letter | 277 | |||
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
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MARCH 21, 2011 (Unaudited)
Dear Shareholder:
For many investors, the old adage “What’s old is new again,” may be the best way to describe the current economic recovery. While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.
In the U.S., economic momentum and growth appear to be accelerating, helped by pent-up consumer demand, improved balance sheets, and an extension of the Bush-era tax cuts. Additionally, this recovery has seen a sharp rebound in corporate profits. Investors responded enthusiastically to these developments, sending stock markets on an impressive rally, and leading to double-digit gains in 2010.
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“While we are encouraged by recent economic growth, we continue to be reminded of how sensitive the markets and our economy can be to geopolitical risks and other global crises.” |
On the other hand, heightened tensions in the Middle East and renewed concerns about European debt resulted in an increase in market volatility, while the devastating earthquake and tsunami in Japan and the uncertain aftermath is likely to have lingering macroeconomic and market implications.
While positive tailwinds may continue to fuel economic growth, we remain concerned about the scope and potential impact of political unrest and other crises on global markets and economies.
U.S. Treasuries experience broad gains
Investors have continued to focus their investments on fixed income securities, particularly mortgage, investment grade corporate and high yield areas of the market. However, the heightened publicity surrounding the fiscal woes of state and local governments, and the expiration of the Build America Bond Program led many investors away from municipal bonds, which contributed to an increase in market volatility.
The Barclays Capital High Yield Index returned 17.5%, while the Barclays Capital U.S. Aggregate Bond Index returned 4.9%, and the Barclays Capital Emerging Markets Index returned 11.3% for the 12-month period ended February 28, 2011. The Barclays Capital Municipal Index returned 1.7% for the same period.
A late year U.S. stock market rally did little to reverse broad gains experienced by U.S. Treasuries in 2010. Stock market volatility, rising oil prices, and concerns about unrest in the
Middle East generally led to higher prices and lower yields for U.S. Treasuries and other safe haven investments. As of the end of the 12-month period ended February 28, 2011, the yield on the 10-year U.S. Treasury bond declined from 3.6% to 3.4%. Yields on the 30-year U.S. Treasury bond dropped slightly, from 4.6% to 4.5%, while yields on the 2-year U.S. Treasury bond dipped from 0.8% to 0.7% as of the end of the annual reporting period.
Improved economic outlook fuels equity rally
Stocks were supported by improved economic expectations and job growth, as well as the combination of the Federal Reserve’s launch of quantitative easing (QE2) and Congress’ extension of the Bush-era tax cuts. As of the 12-month reporting period ended February 28, 2011, the S&P 500 Index had reached a level of 1,327, an increase of 22.6% from 12 months prior.
Recently, however, risky assets have become more volatile as investors grew concerned about how the disaster in Japan, rising oil prices, and Middle East turmoil will impact the global recovery.
Rely on diversification to prepare for geopolitical risks
While the global economic recovery has demonstrated resiliency, the world is witnessing ongoing turmoil in the Middle East and uncertainty surrounding the fallout from the tragedy in Japan. Additionally, we continue to experience concerns about European sovereign debt.
This environment reminds us of the importance of preparing portfolios for shocks that could not only potentially derail the economic recovery, but also our investment goals. As “uncertainty” is often the only certainty, it makes sense for investors to prepare by maintaining a diversified approach to investing within the context of a balanced portfolio.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued confidence. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO-Investment Management Americas
J.P. Morgan Asset Management
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 1 |
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J.P. Morgan Income Funds
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
Fears about systemic fallout from the European debt crisis weighed on investors’ confidence early in the reporting period, as the market seemed skeptical about the unity of European leaders and concerned about the impact that austerity measures would have on growth in the region. Investors’ appetite for risk started to recover in August 2010 and was supported for the remainder of the reporting period by strong corporate earnings, better-than-expected economic data and returning merger and acquisition activity. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut.
Overall, U.S. Treasury yields finished the reporting period lower, sending the prices for U.S. Treasuries higher (bond prices generally increase when their yields decrease). However, the reporting period was defined by two separate interest rate environments. Rates steadily declined during the first half of the reporting period and then reversed course in the fourth quarter of 2010, continuing this upward momentum through the end of the reporting period. Meanwhile, the breakeven inflation rate, which measures investors’ expectations for inflation, followed a path similar to interest rates. Breakeven inflation rates decreased until September 2010 when surging commodities prices and the declining U.S. dollar led to concerns that rising input and import costs would be passed through to consumers and potentially stoke inflation.
Spread sectors (non U.S. Treasuries) outperformed U.S. Treasuries during the reporting period. Investment grade corporate debt and agency mortgage-backed securities both performed well during the reporting period, while supply/demand continued to be favorable in the non-agency mortgage-backed security market, outweighing concerns about the fundamentals of the housing market. Supply for non-agency mortgage-backed securities continued to decline, while demand was strong due to the sector’s high yield relative to other areas of the fixed income market. This favorable environment helped support the non-agency mortgage market. The high yield securities (also known as junk bonds) market was supported by strong corporate balance sheets, improving corporate revenue and a robust primary issuance market, which provided companies with access to liquidity and the ability to roll over debt at attractive levels.
2 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 5.96% | |||
Barclays Capital U.S. Aggregate Index | 4.93% | |||
Net Assets as of 2/28/2011 (In Thousands) | $19,258,477 | |||
Duration as of 2/28/2011 | 4.5 years |
INVESTMENT OBJECTIVE**
The JPMorgan Core Bond Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s overweight of mortgage securities drove its relative outperformance versus the Barclays Capital U.S. Aggregate Index (“Benchmark”). The Fund’s non-agency residential mortgage-backed securities, which are not represented in the Benchmark, were particularly strong, supported by a favorable supply and demand environment. The Fund’s underweight in the credit sector (corporate and non-corporate debt) hurt relative performance, as this sector performed well during the reporting period. The Fund’s underweight in the commercial mortgage-backed securities (“CMBS”) sector also hurt relative performance, as this sector was supported by a favorable supply/demand environment.
Meanwhile, the Fund’s underweight of U.S. Treasuries benefited the Fund’s relative performance during the reporting period as these securities underperformed other areas of the fixed income market. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also helped the Fund’s relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 38.4 | % | ||
U.S. Treasury Obligations | 27.7 | |||
Corporate Bonds | 13.6 | |||
Mortgage Pass-Through Securities | 11.5 | |||
Asset-Backed Securities | 3.8 | |||
Commercial Mortgage-Backed Securities | 1.9 | |||
U.S. Government Agency Securities | 1.6 | |||
Others (each less than 1.0%) | 0.4 | |||
Short-Term Investments | 1.1 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 3 |
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JPMorgan Core Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/1/92 | |||||||||||||||
Without Sales Charge | 5.75 | % | 6.28 | % | 5.74 | % | ||||||||||
With Sales Charge* | 1.76 | 5.48 | 5.33 | |||||||||||||
CLASS B SHARES | 8/26/96 | |||||||||||||||
Without CDSC | 5.06 | 5.59 | 5.19 | |||||||||||||
With CDSC** | 0.06 | 5.26 | 5.19 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 5.04 | 5.59 | 5.05 | |||||||||||||
With CDSC*** | 4.04 | 5.59 | 5.05 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 5.51 | 6.02 | 5.49 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 6.06 | 6.57 | 6.00 | ||||||||||||
CLASS R6 SHARES**** | 2/22/05 | 6.22 | 6.67 | 6.07 | ||||||||||||
SELECT CLASS SHARES | 6/1/91 | 5.96 | 6.45 | 5.94 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
**** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior class performance for Class R2 Shares have been adjusted to reflect the differences in expenses and sales charges between classes. Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital
U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 9.35% | |||
Barclays Capital U.S. Aggregate Index | 4.93% | |||
Net Assets as of 2/28/2011 (In Thousands) | $2,067,214 | |||
Duration as of 2/28/2011 | 4.8 years |
INVESTMENT OBJECTIVE**
The JPMorgan Core Plus Bond Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s overweight of mortgage securities helped its relative outperformance versus the Barclays Capital U.S. Aggregate Index (“Benchmark”). The Fund’s non-agency residential mortgage-backed securities, which are not represented in the Benchmark, were particularly strong, supported by a favorable supply and demand environment. The Fund’s underweight in the credit sector (corporate and non-corporate debt) hurt relative performance, as this sector performed well during the reporting period. The Fund’s underweight in the commercial mortgage-backed securities (“CMBS”) sector also hurt relative performance, as this sector was supported by a favorable supply/demand environment.
Meanwhile, the Fund’s underweight of U.S. Treasuries benefited the Fund’s relative performance during the reporting period as these securities underperformed other areas of the fixed income market. The Fund’s positioning on the yield curve (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time) also helped the Fund’s relative performance. The Fund was overweight the intermediate part of the yield curve (5-10 years), which performed well during the reporting period.
The Fund also invested a percentage of its assets in high yield bonds (also known as “junk bonds”) and emerging markets debt securities. Both asset classes posted strong returns during the reporting period and contributed to the Fund’s absolute performance and relative performance.
HOW WAS THE FUND POSITIONED?
The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.
As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector.
Among emerging market debt securities, the Fund’s portfolio managers identified what they believed to be attractive investment opportunities in the emerging market corporate credit sector, particularly among higher yielding securities.
The Fund’s high yield portion of the portfolio took specifically targeted credit risk when the Fund’s portfolio managers’ analysis indicated a favorable risk/reward opportunity.
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 36.7 | % | ||
Collateralized Mortgage Obligations | 21.5 | |||
U.S. Treasury Obligations | 17.2 | |||
Mortgage Pass-Through Securities | 4.2 | |||
Commercial Mortgage-Backed Securities | 3.2 | |||
Loan Participations & Assignments | 3.0 | |||
Asset-Backed Securities | 2.7 | |||
Foreign Government Securities | 1.5 | |||
U.S. Government Agency Securities | 1.2 | |||
Others (each less than 1.0%) | 1.8 | |||
Short-Term Investment | 7.0 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 5 |
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JPMorgan Core Plus Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||
Without Sales Charge | 9.23 | % | 6.40 | % | 5.68 | % | ||||||||||
With Sales Charge* | 5.08 | 5.59 | 5.27 | |||||||||||||
CLASS B SHARES | 5/31/95 | |||||||||||||||
Without CDSC | 8.60 | 5.79 | 5.19 | |||||||||||||
With CDSC** | 3.60 | 5.47 | 5.19 | |||||||||||||
CLASS C SHARES | 5/30/00 | |||||||||||||||
Without CDSC | 8.63 | 5.81 | 5.07 | |||||||||||||
With CDSC*** | 7.63 | 5.81 | 5.07 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 8.93 | 6.09 | 5.35 | ||||||||||||
CLASS R6 SHARES**** | 2/22/05 | 9.60 | 6.86 | 6.05 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 6/19/09 | 9.63 | 6.68 | 5.94 | ||||||||||||
SELECT CLASS SHARES | 3/5/93 | 9.35 | 6.62 | 5.91 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
**** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective September 15, 2007, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.
Returns shown for Class R2, Class R6 and Institutional Class Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior class performance for Class R2 Shares have been adjusted to reflect the differences in expenses and sales charges between classes. Class R6, Institutional Class, and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Plus Bond Fund, the Barclays Capital
U.S. Aggregate Index and the Lipper Intermediate Investment Grade Debt Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Aggregate Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Intermediate Investment Grade Debt Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Aggregate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) passthroughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Lipper Intermediate Investment Grade Debt Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
6 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 7 |
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FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 4.97% | |||
Barclays Capital U.S. Government Bond Index | 3.53% | |||
Net Assets as of 2/28/2011 (In Thousands) | $1,490,255 | |||
Duration as of 2/28/2011 | 5.6 years |
INVESTMENT OBJECTIVE**
The JPMorgan Government Bond Fund (the “Fund”) seeks a high level of current income with liquidity and safety of principal.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s assets were invested in securities issued or guaranteed by the U.S. government and its agencies. Among these investments, the Fund’s agency mortgage-backed securities generally had duration of 5 years or less, while the Fund’s U.S. Treasury and agency securities generally had duration of 7 to 9 years. Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase/decrease in price as interest rates go down/up versus bonds with shorter duration. Interest rates declined during the first half of the reporting period and the Fund benefited from the relatively longer duration of its Treasury and agency holdings. When interest rates increased during the second half of the reporting period, the longer duration of the Fund’s U.S. Treasury and agency holdings detracted from the Fund’s performance. However, the Fund’s mortgage-backed securities and investments in Treasury Inflation Protected Securities (TIPS) helped offset the losses from the longer duration of the Fund’s treasury and agency holdings and contributed to the Fund’s outperformance versus the Barclays Capital U.S. Government Bond Index.
Modestly detracting from performance was the Fund’s investment in a money market fund, as the yields available from this short-term instrument were low during the reporting period. This investment was used to manage Fund flows during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. These securities were generally held over time, typically resulting in low turnover. During the reporting period, the Fund’s portfolio managers did not make significant adjustments to the positioning of the Fund.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 43.2 | % | ||
U.S. Treasury Obligations | 23.8 | |||
U.S. Government Agency Securities | 17.2 | |||
Mortgage Pass-Through Securities | 7.7 | |||
Short-Term Investment | 8.1 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
8 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||
Without Sales Charge | 4.69 | % | 5.59 | % | 5.33 | % | ||||||||||
With Sales Charge* | 0.74 | 4.77 | 4.93 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 3.92 | 4.82 | 4.76 | |||||||||||||
With CDSC** | (1.08 | ) | 4.49 | 4.76 | ||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 4.02 | 4.84 | 4.61 | |||||||||||||
With CDSC*** | 3.02 | 4.84 | 4.61 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 4.45 | 5.31 | 5.09 | ||||||||||||
SELECT CLASS SHARES | 2/8/93 | 4.97 | 5.86 | 5.59 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns shown for Class R2 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses and sales charges between classes.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Government Bond Fund, the Barclays Capital U.S. Government Bond Index and the Lipper General U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Government Bond Index does not include expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper General U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees.
These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Government Bond Index is an unmanaged index composed of securities issued by the U.S. Government. The Lipper General U.S. Government Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 9 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 17.44% | |||
Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index | 17.34% | |||
Net Assets as of 2/28/2011 (In Thousands) | $9,562,722 | |||
Duration as of 2/28/2011 | 4.9 years |
INVESTMENT OBJECTIVE**
The JPMorgan High Yield Fund (the “Fund”) seeks a high level of current income by investing primarily in a diversified portfolio of debt securities that are rated below investment grade or unrated. Capital appreciation is a secondary objective.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The high yield securities (also known as junk bonds) market was supported by strong corporate balance sheets, improving corporate revenue and a robust primary issuance market, which provided companies with access to liquidity and the ability to roll over debt at attractive levels. The Fund outperformed the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”) for the twelve months ended February 28, 2011.
At the industry level, the Fund’s security selection in the chemicals sector contributed to relative performance, helped by the Fund’s investments in performing and non-performing bonds and loan assignments of firms that were trading at distressed levels or emerging from a reorganization. The Fund’s security selection in the consumer cyclical sector also contributed to relative performance, as many of the Fund’s holdings benefited from the economic recovery.
The Fund’s security selection in the communication sector detracted from relative performance. The communication sector includes media companies and many of the Fund’s holdings underperformed. The Fund’s underweight in the outperforming finance sector also detracted from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund took specifically targeted credit risk when the Fund’s portfolio managers’ analysis indicated a favorable risk/reward opportunity.
As of the end of the reporting period, the Fund was underweight in the Ba and Ca-D rated sectors and overweight in the B, Baa, Caa and Not Rated (“NR”) sectors. The Fund continued
to hold issues in the NR sector that are loans and bonds of companies going through financial restructuring, referred to as total return securities. However, the Fund exited many of its strongly performing total return and equity-like securities, using the proceeds to add to, in their view, more attractive investments among Ba and B rated securities. As a result, the Fund’s exposure to Caa and Not Rated securities was lower than the previous reporting period.
As of the end of the reporting period, the Fund’s allocation to loan assignments was approximately 13.8%. These investments are not held in the Benchmark and underperformed the broader high yield securities market as investors preferred higher yielding securities during the reporting period. However, the Fund’s portfolio managers believed that the greatest risk in the high yield securities market was deteriorating credit fundamentals of issuers and believed that loan assignments offer attractive downside protection from this risk due to their seniority over subordinated debt. In addition, the Fund’s portfolio managers believed that loan assignments offer the potential for upside return in a rising interest rate environment.
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 80.8 | % | ||
Loan Participations & Assignments | 13.8 | |||
Common Stocks | 1.0 | |||
Others (each less than 1.0%) | 0.6 | |||
Short-Term Investment | 3.8 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2011. The Fund’s composition is subject to change. |
10 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/13/98 | |||||||||||||||
Without Sales Charge | 17.22 | % | 8.73 | % | 8.17 | % | ||||||||||
With Sales Charge* | 12.83 | 7.91 | 7.76 | |||||||||||||
CLASS B SHARES | 11/13/98 | |||||||||||||||
Without CDSC | 16.40 | 8.02 | 7.62 | |||||||||||||
With CDSC** | 11.40 | 7.73 | 7.62 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 16.45 | 8.02 | 7.45 | |||||||||||||
With CDSC*** | 15.45 | 8.02 | 7.45 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 16.82 | 8.43 | 7.85 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 17.45 | 9.05 | 8.45 | ||||||||||||
CLASS R6 SHARES**** | 2/22/05 | 17.59 | 9.09 | 8.48 | ||||||||||||
SELECT CLASS SHARES | 11/13/98 | 17.44 | 9.02 | 8.44 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
**** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Effective September 14, 2009, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed using the current strategies.
Returns shown for Class R2, Class R5 and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R2, Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan High Yield Fund, the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index and the Lipper High Current Yield Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper High Current Yield
Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. The Lipper High Current Yield Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 11 |
Table of Contents
JPMorgan Limited Duration Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 9.05% | |||
Barclays Capital 1-3 Year U.S. Government/Credit Bond Index | 1.98% | |||
Net Assets as of 2/28/2011 (In Thousands) | $397,293 | |||
Duration as of 2/28/2011 | 1.8 years |
INVESTMENT OBJECTIVE**
The JPMorgan Limited Duration Bond Fund (the “Fund”) seeks a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund invested a large percentage of its assets in mortgage-backed securities, which helped the Fund significantly outperform the Barclays Capital 1-3 Year U.S. Government/Credit Bond Index. The Fund’s non-agency mortgage-backed securities were supported by a favorable supply/demand environment, which outweighed investors’ concerns about the fundamentals of the housing market. The Fund also invested in sub-prime mortgage-backed securities, focusing on securities in upper level tranches with higher credit protection, which the Fund’s portfolio managers believed had attractive risk-adjusted yields. These investments also performed strongly during the reporting period.
The Fund’s portfolio managers used a money market fund during the reporting period to maintain a high degree of liquidity for the Fund. This modestly detracted from performance, as the yields available from this short-term instrument were low during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. These securities were generally held over time, typically resulting in low turnover. During the reporting period, the Fund’s portfolio managers did not make significant adjustments to the positioning of the Fund.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 44.4 | % | ||
Mortgage Pass-Through Securities | 17.7 | |||
Asset-Backed Securities | 12.5 | |||
Commercial Mortgage-Backed Securities | 2.7 | |||
Corporate Bonds | 0.4 | |||
Short-Term Investment | 22.3 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
12 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 3/10/93 | |||||||||||||||
Without Sales Charge | 8.78 | % | 3.27 | % | 3.17 | % | ||||||||||
With Sales Charge* | 6.39 | 2.81 | 2.93 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 8.29 | 2.77 | 2.86 | |||||||||||||
With CDSC** | 5.29 | 2.77 | 2.86 | |||||||||||||
CLASS C SHARES | 11/1/01 | 8.20 | 2.76 | 2.63 | ||||||||||||
CLASS R6 SHARES*** | 2/22/05 | 9.25 | 3.74 | 3.55 | ||||||||||||
SELECT CLASS SHARES | 2/2/93 | 9.05 | 3.54 | 3.42 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
*** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns shown for Class C and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior performance for Class C Shares has been adjusted to reflect the differences in expenses and sales charges between classes. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Limited Duration Bond Fund, the Barclay’s Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or sales charges associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S.
Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/Credit Bond is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. The Fund’s Lipper Index changed to Lipper Short U.S. Government Funds Index because Lipper recategorized the Fund. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 13 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 7.71% | |||
Barclays Capital U.S. MBS Index | 4.12% | |||
Net Assets as of 2/28/2011 (In Thousands) | $2,223,028 | |||
Duration as of 2/28/2011 | 3.5 years |
INVESTMENT OBJECTIVE**
The JPMorgan Mortgage-Backed Securities Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund invested in both agency collateralized mortgage obligations (CMOs) and non-agency CMOs, while the Barclays Capital U.S. MBS Index (the “Benchmark”) consisted almost entirely of agency securities. On a risk-adjusted basis, the Fund’s non-agency securities and agency inverse floaters (a bond or other type of debt whose coupon rate has an inverse relationship to short-term interest rates) performed well and benefited the Fund relative to the Benchmark.
Meanwhile, the Fund invested a small percentage of its assets in U.S. Treasury securities, mostly on the intermediate part of the yield curve (7-10 year portion). The yield curve shows the relationship between yields and maturity dates for a set of similar bonds, usually U.S. Treasuries, at a given point in time. These investments contributed to performance as yields for U.S. Treasuries declined during the reporting period and their prices increased. Bond prices are inversely related to changes in yield (bond prices generally increase when yields decline and decline when yields increase).
To help manage fund flows, the Fund also held a small portion of its net assets in a money market fund. This was a modest drag on performance as the yields available from this short-term instrument were low during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s primary strategy continued to be security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund’s portfolio managers found attractive investment opportunities, in their view, among collateralized-mortgage obligations.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 72.2 | % | ||
Mortgage Pass-Through Securities | 20.4 | |||
U.S. Treasury Obligations | 2.6 | |||
Asset-Backed Securities | 2.0 | |||
Commercial Mortgage-Backed Securities | 1.0 | |||
U.S. Government Agency Securities | 0.5 | |||
Short-Term Investment | 1.3 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
14 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 8/18/00 | |||||||||||||||
Without Sales Charge | 7.39 | % | 7.22 | % | 6.36 | % | ||||||||||
With Sales Charge* | 3.34 | 6.40 | 5.96 | |||||||||||||
CLASS R6 SHARES** | 2/22/05 | 7.97 | 7.65 | 6.71 | ||||||||||||
SELECT CLASS SHARES | 8/18/00 | 7.71 | 7.48 | 6.60 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns shown for Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mortgage-Backed Securities Fund, the Barclays Capital U.S. MBS Index and the Lipper U.S. Mortgage Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital U.S. MBS Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the
Lipper U.S. Mortgage Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index includes fixed-rate and hybrid adjustable rate mortgage (ARM) pass-through securities. The Lipper U.S. Mortgage Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 15 |
Table of Contents
JPMorgan Short Duration Bond Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 2.20% | |||
Barclays Capital 1-3 Year U.S. Government/Credit Bond Index | 1.98% | |||
Net Assets as of 2/28/2011 (In Thousands) | $10,310,671 | |||
Duration as of 2/28/2011 | 1.8 years |
INVESTMENT OBJECTIVE**
The JPMorgan Short Duration Bond Fund (the “Fund”) seeks current income consistent with preservation of capital through investments in high- and medium-grade fixed income securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s outperformance versus the Barclays Capital 1-3 Year U.S. Government/Credit Bond Index (the “Benchmark”) was driven by its underweight of U.S. Treasury securities in favor of outperforming spread sectors (non-U.S. Treasuries). The Fund held corporate, mortgage-backed, commercial mortgage-backed and asset-backed securities and benefited as spreads narrowed in these sectors (bond prices generally increase when spreads narrow) during the reporting period. Investments in longer duration (3 to 5 years) agency securities also benefited the Fund as interest rates declined during the reporting period. Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund’s duration was in line with the Benchmark during the reporting period.
In addition, the Fund’s portfolio managers employed a “barbell strategy,” allocating a portion of the Fund’s assets (roughly 15-20%) between ultra short duration bonds (generally 1 year and under) and bonds that have a duration in the 3 to 5 year range. Generally, the longer-term end of the barbell allows investors to lock into relatively attractive long-term interest rates, while the shorter-term end of the barbell may provide investors with the opportunity to invest elsewhere if the bond market takes a downturn.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 30.2 | % | ||
U.S. Government Agency Securities | 22.0 | |||
Corporate Bonds | 15.4 | |||
Collateralized Mortgage Obligations | 10.6 | |||
Asset-Backed Securities | 8.7 | |||
Mortgage Pass-Through Securities | 7.9 | |||
Commercial Mortgage-Backed Securities | 2.2 | |||
Foreign Government Securities | 0.2 | |||
Short-Term Investment | 2.8 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2011. The Fund’s composition is subject to change. |
16 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 1.94 | % | 4.11 | % | 3.71 | % | ||||||||||
With Sales Charge* | (0.34 | ) | 3.64 | 3.48 | ||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 1.48 | 3.60 | 3.40 | |||||||||||||
With CDSC** | (1.52 | ) | 3.60 | 3.40 | ||||||||||||
CLASS C SHARES | 11/1/01 | 1.51 | 3.59 | 3.17 | ||||||||||||
CLASS R6 SHARES*** | 2/22/05 | 2.54 | 4.63 | 4.13 | ||||||||||||
SELECT CLASS SHARES | 9/4/90 | 2.20 | 4.36 | 3.96 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
*** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns shown for Class C and Class R6 Shares prior to their inception are based on the performance of Select Class Shares, the original class offered. Prior performance for Class C Shares has been adjusted to reflect the differences in expenses and sales charges between classes. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Short Duration Bond Fund, the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the
securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government/ Credit Bond Index is an unmanaged index of investment grade government and corporate bonds with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 17 |
Table of Contents
JPMorgan Short Term Bond Fund II
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 1.68% | |||
Barclays Capital 1-3 Year U.S. Government Bond Index | 1.53% | |||
Net Assets as of 2/28/2011 (In Thousands) | $84,603 | |||
Duration as of 2/28/2011 | 1.8 years |
INVESTMENT OBJECTIVE**
The JPMorgan Short Term Bond Fund II (the “Fund”) seeks a high level of income, consistent with preservation of capital.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s outperformance versus the Barclays Capital 1-3 Year U.S. Government Bond Index (the “Benchmark”) was driven by its underweight of U.S. Treasury securities in favor of outperforming spread sectors (non-U.S. Treasuries). The Fund held corporate, mortgage-backed, commercial mortgage-backed and asset-backed securities and benefited as spreads narrowed in these sectors (bond prices generally increase when spreads narrow) during the reporting period. Investments in longer duration (3 to 5 years) agency securities also benefited the Fund as interest rates declined during the reporting period. Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund’s duration was slightly shorter than the Benchmark during the reporting period.
In addition, the Fund’s portfolio managers employed a “barbell strategy,” allocating a portion of the Fund’s assets (roughly 10-15%) between ultra short duration bonds (generally 1 year and under) and bonds that have a duration in the 3 to 5 year range. Generally, the longer-term end of the barbell allows investors to lock into relatively attractive long-term interest rates, while the shorter-term end of the barbell may provide investors with the opportunity to invest elsewhere if the bond market takes a downturn.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 33.2 | % | ||
Corporate Bonds | 26.4 | |||
U.S. Government Agency Securities | 25.4 | |||
Asset-Backed Securities | 6.8 | |||
Collateralized Mortgage Obligations | 5.3 | |||
Mortgage Pass-Through Securities | 1.2 | |||
Others (each less than 1.0%) | 0.5 | |||
Short-Term Investment | 1.2 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
18 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/6/96 | |||||||||||||||
Without Sales Charge | 1.54 | % | 1.22 | % | 2.01 | % | ||||||||||
With Sales Charge* | (0.71 | ) | 0.76 | 1.78 | ||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||
Without Sales Charge | 1.26 | 0.97 | 1.76 | |||||||||||||
With Sales Charge** | (0.21 | ) | 0.67 | 1.61 | ||||||||||||
SELECT CLASS SHARES | 11/30/90 | 1.68 | 1.48 | 2.27 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Sales charge for Class M Shares is 1.50%. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Short Term Bond Fund II, the Barclays Capital 1–3 Year U.S. Government Bond Index and the Lipper Short U.S. Government Funds Index from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestments of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–3 Year U.S. Government Bond Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the
expenses charged by the Fund. The Barclays Capital 1–3 Year U.S. Government Bond Index is an unmanaged index composed of securities in the U.S. Government Bond Index with maturities of one to three years. The Lipper Short U.S. Government Funds Index is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 19 |
Table of Contents
JPMorgan Treasury & Agency Fund
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 28, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 1.40% | |||
Barclays Capital 1-5 Year U.S. Treasury Index | 2.37% | |||
Net Assets as of 2/28/2011 (In Thousands) | $471,869 | |||
Duration as of 2/28/2011 | 2.0 years |
INVESTMENT OBJECTIVE**
The JPMorgan Treasury & Agency Fund (the “Fund”) seeks a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s shorter duration hurt its relative performance versus the Barclays Capital 1-5 Year U.S. Treasury Index (“Benchmark”). Duration is a weighted measure of the length of time (stated in years) that a bond will pay out and is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with shorter duration will experience a smaller increase/decrease in price as interest rates go down/up versus bonds with longer duration. The Fund had a shorter duration than the Benchmark during the reporting period, which hurt its relative performance as interest rates finished the twelve months ended February 28, 2011 lower despite an upward move in the second half of the reporting period.
The Fund held a small position in Treasury Inflation Protected Securities (TIPS), which had a positive impact on relative
performance as the market’s expectations for inflation increased during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. The Fund invested in U.S. Treasury securities as well as U.S. agency securities, which are not held in the Benchmark.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 76.2 | % | ||
U.S. Government Agency Securities | 22.6 | |||
Short-Term Investment | 1.2 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2011. The Fund’s composition is subject to change. |
20 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2011 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 1/20/97 | |||||||||||||||
Without Sales Charge | 1.15 | % | 3.96 | % | 3.84 | % | ||||||||||
With Sales Charge* | (1.13 | ) | 3.50 | 3.60 | ||||||||||||
CLASS B SHARES | 1/20/97 | |||||||||||||||
Without CDSC | 0.63 | 3.43 | 3.53 | |||||||||||||
With CDSC** | (2.37 | ) | 3.43 | 3.53 | ||||||||||||
SELECT CLASS SHARES | 1/20/97 | 1.40 | 4.22 | 4.10 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (2/28/01 TO 2/28/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Treasury & Agency Fund, the Barclays Capital 1–5 Year U.S. Treasury Index, the Barclays Capital 1–3 Year U.S. Treasury Index and the Lipper Short U.S. Treasury Funds Average from February 28, 2001 to February 28, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Barclays Capital 1–5 Year U.S. Treasury Index and the Barclays Capital 1–3 Year U.S. Treasury Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Short U.S. Treasury Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Fund. The Barclays Capital 1–5 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury issued securities with maturities
of one to five years. The Barclays Capital 1–3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities with maturities of one to three years. The Lipper Short U.S. Treasury Funds Average is an index based on total returns of certain groups of mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 21 |
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 3.8% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
15,100 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 15,138 | ||||||
23,041 | Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 23,127 | ||||||
Ally Auto Receivables Trust, | ||||||||
3,000 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 3,043 | ||||||
5,605 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,653 | ||||||
10,410 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 10,394 | ||||||
5,804 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 5,753 | ||||||
5,977 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 5,954 | ||||||
9,750 | Series 2011-1, Class A2, 0.810%, 10/15/13 | 9,750 | ||||||
4,100 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 4,099 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
596 | Series 2006-BG, Class A4, 5.210%, 09/06/13 | 602 | ||||||
433 | Series 2008-AF, Class A3, 5.680%, 12/12/12 | 437 | ||||||
2,670 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 2,849 | ||||||
3,000 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 3,047 | ||||||
1,436 | Series 2010-1, Class A2, 0.970%, 01/15/13 | 1,436 | ||||||
2,190 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 2,208 | ||||||
8,000 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 7,986 | ||||||
14,000 | Series 2010-4, Class A2, 0.960%, 05/08/14 | 14,016 | ||||||
3,375 | Series 2010-4, Class A3, 1.270%, 04/08/15 | 3,372 | ||||||
8,400 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 8,398 | ||||||
3,400 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 3,398 | ||||||
693 | Ameriquest Mortgage Securities, Inc., | 690 | ||||||
12,138 | Arch Bay Asset-Backed Securities, | 12,109 | ||||||
13,500 | Asset-Backed Funding Certificates, | 13,578 | ||||||
Bank of America Auto Trust, | ||||||||
10,568 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 10,673 | ||||||
3,235 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 3,350 | ||||||
8,290 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 8,358 | ||||||
5,481 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 5,520 | ||||||
5,810 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 5,847 | ||||||
4,255 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,330 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
6,480 | Series 2010-2, Class A2, 0.910%, 10/15/12 | 6,488 | ||||||
5,110 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 5,149 | ||||||
7,795 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 7,882 | ||||||
1,613 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 1,229 | ||||||
4,645 | CarMax Auto Owner Trust, | 4,680 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
3,619 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 3,487 | ||||||
4,250 | Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34 | 3,775 | ||||||
13,652 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 13,087 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
2,929 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 2,973 | ||||||
2,965 | Series 2009-B, Class A2, 1.150%, 11/08/11 | 2,968 | ||||||
16,500 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 16,503 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
8,282 | Series 2002-C2, Class C2, 6.950%, 02/18/14 | 8,716 | ||||||
950 | Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,114 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
7,694 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 7,714 | ||||||
5,350 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 5,432 | ||||||
2,334 | Citifinancial Mortgage Securities, Inc., | 2,287 | ||||||
1,780 | Citigroup Mortgage Loan Trust, Inc., | 1,622 | ||||||
CNH Equipment Trust, | ||||||||
2,841 | Series 2008-B, Class A4A, 5.600%, 11/17/14 | 2,924 | ||||||
266 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 269 | ||||||
1,813 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 1,824 | ||||||
8,600 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 8,662 | ||||||
16,000 | Series 2010-C, Class A3, 1.170%, 05/15/15 | 15,985 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
816 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 | 537 | ||||||
11 | Series 2004-1, Class 3A, VAR, 0.542%, 04/25/34 | 9 | ||||||
1,290 | Series 2004-1, Class M1, VAR, 0.762%, 03/25/34 | 1,060 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,060 | Series 2004-1, Class M2, VAR, 0.812%, 03/25/34 | 903 | ||||||
1,065 | Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 | 806 | ||||||
653 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.572%, 11/25/35 | 621 | ||||||
1,088 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 778 | ||||||
2,400 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 2,636 | ||||||
1,400 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, | 1,297 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
5,028 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 5,093 | ||||||
5,000 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 5,295 | ||||||
5,530 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 5,591 | ||||||
16,000 | GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15 | 16,609 | ||||||
1,115 | GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 1,021 | ||||||
230 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.341%, 03/25/36 | 186 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
2,184 | Series 2009-3, Class A2, 0.940%, 04/15/12 | 2,184 | ||||||
5,140 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 5,176 | ||||||
5,250 | Series 2010-1, Class A2, 0.830%, 11/15/13 | 5,252 | ||||||
5,904 | Series 2010-1, Class A3, 1.160%, 02/15/15 | 5,899 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
3,904 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 3,943 | ||||||
3,500 | Series 2009-2, Class A4, 4.430%, 07/15/15 | 3,671 | ||||||
2,576 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 2,602 | ||||||
4,200 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 4,351 | ||||||
5,200 | Series 2011-1, Class A4, 1.800%, 04/17/17 | 5,198 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
3,298 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 3,035 | ||||||
2,687 | Series 2005-2, Class M2, VAR, 0.752%, 01/20/35 | 2,357 | ||||||
5,720 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 5,300 | ||||||
2,550 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 2,419 | ||||||
9,000 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 9,211 | ||||||
1,080 | Series 2007-1, Class AS, VAR, 0.462%, 03/20/36 | 1,005 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
13,540 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 12,518 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 2,525 | ||||||
4,590 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,585 | ||||||
6,300 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 6,210 | ||||||
5,675 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 5,675 | ||||||
4,680 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 4,679 | ||||||
1,613 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.461%, 03/25/36 | 1,029 | ||||||
John Deere Owner Trust, | ||||||||
1,774 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 1,789 | ||||||
5,156 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 5,184 | ||||||
15,140 | LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) | 15,105 | ||||||
18,464 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.611%, 07/25/34 (e) | 17,879 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
5,600 | Series 2004-1, Class M1, VAR, 1.011%, 02/25/34 | 4,809 | ||||||
1,500 | Series 2004-3, Class M1, VAR, 0.831%, 07/25/34 | 1,268 | ||||||
1,414 | Series 2006-8, Class 2A2, VAR, 0.352%, 09/25/36 | 539 | ||||||
2,011 | Series 2006-WL2, Class 2A3, VAR, 0.461%, 01/25/36 | 1,650 | ||||||
4,776 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 5,019 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
3,000 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 3,028 | ||||||
6,000 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 6,051 | ||||||
2,383 | Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 1.011%, 01/25/35 | 2,355 | ||||||
45,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.261%, 12/26/22 (e) | 45,183 | ||||||
13,249 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.614%, 12/07/20 | 13,263 | ||||||
4,000 | New Century Home Equity Loan Trust, | 3,917 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
7,420 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 7,411 | ||||||
4,740 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 4,704 | ||||||
273 | Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.101%, 02/25/33 | 231 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 23 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
PennyMac Loan Trust, | ||||||||
7,465 | Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) | 7,446 | ||||||
14,000 | Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e) | 13,996 | ||||||
20,748 | Real Estate Asset Trust, Series 2011-1A, | 20,798 | ||||||
100 | Renaissance Home Equity Loan Trust, | 57 | ||||||
Residential Asset Securities Corp., | ||||||||
78 | Series 2002-KS4, Class AIIB, VAR, 0.762%, 07/25/32 | 43 | ||||||
105 | Series 2003-KS5, Class AIIB, VAR, 0.842%, 07/25/33 | 66 | ||||||
125 | Series 2003-KS9, Class A2B, VAR, 0.902%, 11/25/33 | 66 | ||||||
2,047 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 1,766 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
8,830 | Series 2010-3, Class A2, 0.930%, 06/17/13 | 8,832 | ||||||
6,100 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 6,103 | ||||||
1,200 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 1,213 | ||||||
5,000 | Structured Asset Investment Loan Trust, | 4,675 | ||||||
Structured Asset Securities Corp., | ||||||||
3,133 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 3,159 | ||||||
1,216 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 1,153 | ||||||
4,458 | Series 2004-6XS, Class A5A, SUB, 5.530%, 03/25/34 | 4,349 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
12,510 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 12,496 | ||||||
11,810 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 11,744 | ||||||
4,585 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 4,585 | ||||||
337 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 350 | ||||||
USAA Auto Owner Trust, | ||||||||
7,684 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 7,736 | ||||||
3,080 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 3,166 | ||||||
24 | Volkswagen Auto Loan Enhanced Trust, | 24 | ||||||
World Omni Auto Receivables Trust, | ||||||||
991 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 1,003 | ||||||
7,045 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 7,180 | ||||||
Total Asset-Backed Securities | 722,542 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 38.2% | |||||||
Agency CMO — 25.2% |
| |||||||
Federal Home Loan Bank, | ||||||||
1,388 | Series 2000-0606, Class Y, 5.270%, 12/28/12 | 1,462 | ||||||
25,144 | Series 2000-1067, Class 1, 5.300%, 06/15/12 | 26,373 | ||||||
13,362 | Series TQ-2015, Class A, 5.065%, 10/20/15 | 14,331 | ||||||
Federal Home Loan Mortgage Corp. —Government National Mortgage Association, | ||||||||
589 | Series 8, Class ZA, 7.000%, 03/25/23 | 651 | ||||||
366 | Series 24, Class ZE, 6.250%, 11/25/23 | 407 | ||||||
2,649 | Series 29, Class L, 7.500%, 04/25/24 | 2,775 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
96 | Series 11, Class D, 9.500%, 07/15/19 | 104 | ||||||
27 | Series 22, Class C, 9.500%, 04/15/20 | 30 | ||||||
42 | Series 23, Class F, 9.600%, 04/15/20 | 47 | ||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 2 | ||||||
17 | Series 46, Class B, 7.800%, 09/15/20 | 20 | ||||||
9 | Series 47, Class F, 10.000%, 06/15/20 | 10 | ||||||
— | (h) | Series 85, Class C, 8.600%, 01/15/21 | — | (h) | ||||
31 | Series 99, Class Z, 9.500%, 01/15/21 | 35 | ||||||
89 | Series 114, Class H, 6.950%, 01/15/21 | 98 | ||||||
— | (h) | Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 | 15 | |||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
16 | Series 1065, Class J, 9.000%, 04/15/21 | 18 | ||||||
10 | Series 1079, Class S, HB, IF, 32.937%, 05/15/21 | 17 | ||||||
27 | Series 1084, Class F, VAR, 1.262%, 05/15/21 | 27 | ||||||
19 | Series 1084, Class S, HB, IF, 43.819%, 05/15/21 | 36 | ||||||
26 | Series 1116, Class I, 5.500%, 08/15/21 | 28 | ||||||
77 | Series 1144, Class KB, 8.500%, 09/15/21 | 87 | ||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 3 | |||||
1 | Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 | 25 | ||||||
61 | Series 1206, Class IA, 7.000%, 03/15/22 | 68 | ||||||
79 | Series 1250, Class J, 7.000%, 05/15/22 | 93 | ||||||
198 | Series 1343, Class LA, 8.000%, 08/15/22 | 231 | ||||||
79 | Series 1343, Class LB, 7.500%, 08/15/22 | 95 | ||||||
126 | Series 1370, Class JA, VAR, 1.463%, 09/15/22 | 126 | ||||||
123 | Series 1455, Class WB, IF, 4.519%, 12/15/22 | 117 | ||||||
1,183 | Series 1466, Class PZ, 7.500%, 02/15/23 | 1,327 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
18 | Series 1470, Class F, VAR, 2.508%, 02/15/23 | 18 | ||||||
212 | Series 1491, Class I, 7.500%, 04/15/23 | 244 | ||||||
687 | Series 1498, Class I, VAR, 1.463%, 04/15/23 | 687 | ||||||
880 | Series 1502, Class PX, 7.000%, 04/15/23 | 889 | ||||||
114 | Series 1505, Class Q, 7.000%, 05/15/23 | 127 | ||||||
485 | Series 1518, Class G, IF, 8.748%, 05/15/23 | 598 | ||||||
90 | Series 1541, Class M, HB, IF, 21.553%, 07/15/23 | 133 | ||||||
431 | Series 1541, Class O, VAR, 2.840%, 07/15/23 | 447 | ||||||
24 | Series 1570, Class F, VAR, 3.008%, 08/15/23 | 25 | ||||||
921 | Series 1573, Class PZ, 7.000%, 09/15/23 | 1,022 | ||||||
536 | Series 1591, Class PV, 6.250%, 10/15/23 | 571 | ||||||
36 | Series 1595, Class D, 7.000%, 10/15/13 | 37 | ||||||
111 | Series 1596, Class D, 6.500%, 10/15/13 | 111 | ||||||
51 | Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 | 80 | ||||||
25 | Series 1607, Class SA, IF, 19.312%, 10/15/13 | 29 | ||||||
3,043 | Series 1608, Class L, 6.500%, 09/15/23 | 3,439 | ||||||
1,217 | Series 1609, Class LG, IF, 16.656%, 11/15/23 | 1,496 | ||||||
1,076 | Series 1642, Class PJ, 6.000%, 11/15/23 | 1,130 | ||||||
455 | Series 1658, Class GZ, 7.000%, 01/15/24 | 479 | ||||||
16 | Series 1671, Class L, 7.000%, 02/15/24 | 19 | ||||||
21 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 26 | ||||||
24 | Series 1686, Class SH, IF, 18.534%, 02/15/24 | 40 | ||||||
379 | Series 1695, Class EB, 7.000%, 03/15/24 | 421 | ||||||
71 | Series 1699, Class FC, VAR, 0.912%, 03/15/24 | 72 | ||||||
462 | Series 1700, Class GA, PO, 02/15/24 | 401 | ||||||
2,029 | Series 1706, Class K, 7.000%, 03/15/24 | 2,335 | ||||||
35 | Series 1709, Class FA, VAR, 2.570%, 03/15/24 | 36 | ||||||
1,273 | Series 1720, Class PL, 7.500%, 04/15/24 | 1,458 | ||||||
1,511 | Series 1737, Class L, 6.000%, 06/15/24 | 1,642 | ||||||
167 | Series 1745, Class D, 7.500%, 08/15/24 | 192 | ||||||
1,095 | Series 1798, Class F, 5.000%, 05/15/23 | 1,170 | ||||||
23 | Series 1807, Class G, 9.000%, 10/15/20 | 25 | ||||||
248 | Series 1829, Class ZB, 6.500%, 03/15/26 | 277 | ||||||
26 | Series 1844, Class E, 6.500%, 10/15/13 | 28 | ||||||
1,621 | Series 1863, Class Z, 6.500%, 07/15/26 | 1,791 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
58 | Series 1865, Class D, PO, 02/15/24 | 40 | ||||||
154 | Series 1890, Class H, 7.500%, 09/15/26 | 176 | ||||||
440 | Series 1899, Class ZE, 8.000%, 09/15/26 | 500 | ||||||
969 | Series 1927, Class PH, 7.500%, 01/15/27 | 1,090 | ||||||
972 | Series 1927, Class ZA, 6.500%, 01/15/27 | 984 | ||||||
25 | Series 1935, Class FL, VAR, 1.012%, 02/15/27 | 25 | ||||||
338 | Series 1963, Class Z, 7.500%, 01/15/27 | 380 | ||||||
50 | Series 1970, Class PG, 7.250%, 07/15/27 | 56 | ||||||
970 | Series 1981, Class Z, 6.000%, 05/15/27 | 1,071 | ||||||
608 | Series 1983, Class Z, 6.500%, 12/15/23 | 671 | ||||||
397 | Series 1987, Class PE, 7.500%, 09/15/27 | 457 | ||||||
578 | Series 2019, Class Z, 6.500%, 12/15/27 | 669 | ||||||
211 | Series 2025, Class PE, 6.300%, 01/15/13 | 211 | ||||||
2,162 | Series 2033, Class J, 5.600%, 06/15/23 | 2,329 | ||||||
249 | Series 2033, Class SN, HB, IF, 24.659%, 03/15/24 | 122 | ||||||
671 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 139 | ||||||
1,815 | Series 2040, Class PE, 7.500%, 03/15/28 | 2,086 | ||||||
733 | Series 2054, Class PV, 7.500%, 05/15/28 | 765 | ||||||
181 | Series 2055, Class OE, 6.500%, 05/15/13 | 181 | ||||||
250 | Series 2056, Class TD, 6.500%, 05/15/18 | 274 | ||||||
1,099 | Series 2063, Class PG, 6.500%, 06/15/28 | 1,132 | ||||||
184 | Series 2064, Class TE, 7.000%, 06/15/28 | 209 | ||||||
750 | Series 2070, Class C, 6.000%, 07/15/28 | 828 | ||||||
2,255 | Series 2075, Class PH, 6.500%, 08/15/28 | 2,607 | ||||||
2,413 | Series 2075, Class PM, 6.250%, 08/15/28 | 2,566 | ||||||
586 | Series 2086, Class GB, 6.000%, 09/15/28 | 620 | ||||||
806 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 172 | ||||||
2,463 | Series 2095, Class PE, 6.000%, 11/15/28 | 2,704 | ||||||
582 | Series 2102, Class TC, 6.000%, 12/15/13 | 611 | ||||||
315 | Series 2102, Class TU, 6.000%, 12/15/13 | 331 | ||||||
3,498 | Series 2106, Class ZD, 6.000%, 12/15/28 | 3,798 | ||||||
6,633 | Series 2110, Class PG, 6.000%, 01/15/29 | 7,206 | ||||||
1,332 | Series 2115, Class PE, 6.000%, 01/15/14 | 1,384 | ||||||
1,323 | Series 2125, Class JZ, 6.000%, 02/15/29 | 1,414 | ||||||
2,710 | Series 2126, Class CB, 6.250%, 02/15/29 | 2,929 | ||||||
156 | Series 2132, Class SB, HB, IF, 29.423%, 03/15/29 | 234 | ||||||
113 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 17 | ||||||
37 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 3 | ||||||
85 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 18 | ||||||
279 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 62 | ||||||
4,234 | Series 2169, Class TB, 7.000%, 06/15/29 | 5,001 | ||||||
1,668 | Series 2172, Class QC, 7.000%, 07/15/29 | 1,853 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 25 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
1,059 | Series 2176, Class OJ, 7.000%, 08/15/29 | 1,198 | ||||||
5 | Series 2196, Class TL, 7.500%, 11/15/29 | 6 | ||||||
859 | Series 2201, Class C, 8.000%, 11/15/29 | 1,041 | ||||||
2,333 | Series 2208, Class PG, 7.000%, 01/15/30 | 2,635 | ||||||
423 | Series 2209, Class TC, 8.000%, 01/15/30 | 481 | ||||||
1,293 | Series 2210, Class Z, 8.000%, 01/15/30 | 1,482 | ||||||
392 | Series 2224, Class CB, 8.000%, 03/15/30 | 475 | ||||||
433 | Series 2230, Class Z, 8.000%, 04/15/30 | 493 | ||||||
359 | Series 2234, Class PZ, 7.500%, 05/15/30 | 403 | ||||||
307 | Series 2247, Class Z, 7.500%, 08/15/30 | 348 | ||||||
796 | Series 2256, Class MC, 7.250%, 09/15/30 | 940 | ||||||
1,450 | Series 2259, Class ZM, 7.000%, 10/15/30 | 1,614 | ||||||
36 | Series 2261, Class ZY, 7.500%, 10/15/30 | 40 | ||||||
106 | Series 2262, Class Z, 7.500%, 10/15/30 | 119 | ||||||
1,319 | Series 2271, Class PC, 7.250%, 12/15/30 | 1,558 | ||||||
2,571 | Series 2283, Class K, 6.500%, 12/15/23 | 2,768 | ||||||
729 | Series 2296, Class PD, 7.000%, 03/15/31 | 823 | ||||||
3,850 | Series 2301, Class PA, 6.000%, 10/15/13 | 3,990 | ||||||
281 | Series 2306, Class K, PO, 05/15/24 | 248 | ||||||
673 | Series 2306, Class SE, IF, IO, 7.180%, 05/15/24 | 126 | ||||||
501 | Series 2313, Class LA, 6.500%, 05/15/31 | 543 | ||||||
1,107 | Series 2325, Class PM, 7.000%, 06/15/31 | 1,222 | ||||||
1,895 | Series 2332, Class ZH, 7.000%, 07/15/31 | 2,048 | ||||||
280 | Series 2333, Class HC, 6.000%, 07/15/31 | 280 | ||||||
2,229 | Series 2344, Class QG, 6.000%, 08/15/16 | 2,394 | ||||||
10,631 | Series 2344, Class ZD, 6.500%, 08/15/31 | 11,619 | ||||||
1,151 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 1,258 | ||||||
919 | Series 2345, Class NE, 6.500%, 08/15/31 | 980 | ||||||
1,122 | Series 2345, Class PQ, 6.500%, 08/15/16 | 1,193 | ||||||
398 | Series 2347, Class VP, 6.500%, 03/15/20 | 412 | ||||||
1,362 | Series 2351, Class PZ, 6.500%, 08/15/31 | 1,470 | ||||||
2,965 | Series 2353, Class TD, 6.000%, 09/15/16 | 3,163 | ||||||
935 | Series 2355, Class BP, 6.000%, 09/15/16 | 1,003 | ||||||
299 | Series 2359, Class PM, 6.000%, 09/15/16 | 317 | ||||||
2,394 | Series 2359, Class ZB, 8.500%, 06/15/31 | 2,733 | ||||||
1,534 | Series 2360, Class PG, 6.000%, 09/15/16 | 1,652 | ||||||
265 | Series 2363, Class PF, 6.000%, 09/15/16 | 285 | ||||||
793 | Series 2366, Class MD, 6.000%, 10/15/16 | 853 | ||||||
882 | Series 2367, Class ME, 6.500%, 10/15/31 | 963 | ||||||
1,117 | Series 2388, Class FB, VAR, 0.866%, 01/15/29 | 1,124 | ||||||
2,383 | Series 2391, Class QR, 5.500%, 12/15/16 | 2,579 | ||||||
672 | Series 2394, Class MC, 6.000%, 12/15/16 | 724 | ||||||
1,117 | Series 2399, Class OH, 6.500%, 01/15/32 | 1,223 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,847 | Series 2399, Class TH, 6.500%, 01/15/32 | 2,021 | ||||||
2,039 | Series 2410, Class NG, 6.500%, 02/15/32 | 2,239 | ||||||
1,130 | Series 2410, Class OE, 6.375%, 02/15/32 | 1,233 | ||||||
2,549 | Series 2410, Class QS, IF, 18.809%, 02/15/32 | 3,182 | ||||||
715 | Series 2410, Class QX, IF, IO, 8.384%, 02/15/32 | 130 | ||||||
2,517 | Series 2412, Class SP, IF, 15.568%, 02/15/32 | 3,024 | ||||||
2,326 | Series 2420, Class XK, 6.500%, 02/15/32 | 2,543 | ||||||
1,269 | Series 2423, Class MC, 7.000%, 03/15/32 | 1,397 | ||||||
1,636 | Series 2423, Class MT, 7.000%, 03/15/32 | 1,801 | ||||||
1,966 | Series 2423, Class TB, 6.500%, 03/15/32 | 2,147 | ||||||
633 | Series 2425, Class OB, 6.000%, 03/15/17 | 669 | ||||||
2,828 | Series 2430, Class WF, 6.500%, 03/15/32 | 3,128 | ||||||
3,540 | Series 2434, Class TC, 7.000%, 04/15/32 | 3,922 | ||||||
7,040 | Series 2434, Class ZA, 6.500%, 04/15/32 | 7,796 | ||||||
1,797 | Series 2435, Class CJ, 6.500%, 04/15/32 | 2,007 | ||||||
2,678 | Series 2435, Class VH, 6.000%, 07/15/19 | 2,730 | ||||||
1,432 | Series 2436, Class MC, 7.000%, 04/15/32 | 1,584 | ||||||
740 | Series 2441, Class GF, 6.500%, 04/15/32 | 818 | ||||||
1,578 | Series 2444, Class ES, IF, IO, 7.684%, 03/15/32 | 308 | ||||||
1,318 | Series 2450, Class GZ, 7.000%, 05/15/32 | 1,466 | ||||||
1,029 | Series 2450, Class SW, IF, IO, 7.734%, 03/15/32 | 200 | ||||||
2,706 | Series 2455, Class GK, 6.500%, 05/15/32 | 2,995 | ||||||
475 | Series 2458, Class QE, 5.500%, 06/15/17 | 514 | ||||||
2,054 | Series 2458, Class ZM, 6.500%, 06/15/32 | 2,258 | ||||||
2,184 | Series 2463, Class CE, 6.000%, 06/15/17 | 2,350 | ||||||
1,783 | Series 2466, Class DH, 6.500%, 06/15/32 | 1,960 | ||||||
2,716 | Series 2466, Class PG, 6.500%, 04/15/32 | 2,876 | ||||||
1,400 | Series 2466, Class PH, 6.500%, 06/15/32 | 1,563 | ||||||
2,145 | Series 2474, Class NR, 6.500%, 07/15/32 | 2,367 | ||||||
5,804 | Series 2475, Class S, IF, IO, 7.734%, 02/15/32 | 1,052 | ||||||
88 | Series 2480, Class PV, 6.000%, 07/15/11 | 89 | ||||||
3,510 | Series 2484, Class LZ, 6.500%, 07/15/32 | 4,057 | ||||||
314 | Series 2488, Class WS, IF, 16.135%, 08/15/17 | 384 | ||||||
5,753 | Series 2500, Class MC, 6.000%, 09/15/32 | 6,281 | ||||||
815 | Series 2508, Class AQ, 5.500%, 10/15/17 | 888 | ||||||
4,073 | Series 2512, Class PG, 5.500%, 10/15/22 | 4,474 | ||||||
467 | Series 2513, Class YO, PO, 02/15/32 | 466 | ||||||
1,927 | Series 2515, Class DE, 4.000%, 03/15/32 | 2,000 | ||||||
1,526 | Series 2515, Class MG, 4.000%, 09/15/17 | 1,591 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
975 | Series 2518, Class PX, 5.500%, 09/15/13 | 1,022 | ||||||
50 | Series 2519, Class BT, 8.500%, 09/15/31 | 50 | ||||||
1,807 | Series 2535, Class BK, 5.500%, 12/15/22 | 1,975 | ||||||
3,973 | Series 2537, Class TE, 5.500%, 12/15/17 | 4,317 | ||||||
1,858 | Series 2543, Class LX, 5.000%, 12/15/17 | 1,985 | ||||||
5,462 | Series 2543, Class YX, 6.000%, 12/15/32 | 5,986 | ||||||
3,640 | Series 2544, Class HC, 6.000%, 12/15/32 | 3,971 | ||||||
3,565 | Series 2549, Class ZG, 5.000%, 01/15/18 | 3,776 | ||||||
3,763 | Series 2552, Class ME, 6.000%, 01/15/33 | 4,129 | ||||||
63 | Series 2565, Class MB, 6.000%, 05/15/30 | 63 | ||||||
1,904 | Series 2567, Class QD, 6.000%, 02/15/33 | 2,087 | ||||||
15,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 16,274 | ||||||
2,094 | Series 2571, Class FY, VAR, 1.016%, 12/15/32 | 2,119 | ||||||
376 | Series 2571, Class SK, HB, IF, 33.354%, 09/15/23 | 628 | ||||||
1,235 | Series 2571, Class SY, IF, 17.962%, 12/15/32 | 1,627 | ||||||
2,580 | Series 2574, Class HP, 5.000%, 02/15/18 | 2,758 | ||||||
8,791 | Series 2575, Class ME, 6.000%, 02/15/33 | 9,643 | ||||||
1,416 | Series 2586, Class HD, 5.500%, 03/15/23 | 1,525 | ||||||
1,666 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 347 | ||||||
507 | Series 2591, Class WI, IO, 5.500%, 02/15/30 | 3 | ||||||
3,118 | Series 2594, Class VQ, 6.000%, 08/15/20 | 3,202 | ||||||
1,420 | Series 2595, Class HC, 5.500%, 04/15/23 | 1,563 | ||||||
2,051 | Series 2596, Class QG, 6.000%, 03/15/33 | 2,264 | ||||||
1,560 | Series 2597, Class AD, 6.500%, 03/15/32 | 1,640 | ||||||
603 | Series 2597, Class DS, IF, IO, 7.284%, 02/15/33 | 39 | ||||||
1,114 | Series 2599, Class DS, IF, IO, 6.734%, 02/15/33 | 48 | ||||||
3,491 | Series 2610, Class DS, IF, IO, 6.834%, 03/15/33 | 173 | ||||||
2,673 | Series 2611, Class SH, IF, IO, 7.384%, 10/15/21 | 109 | ||||||
1,680 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,739 | ||||||
3,835 | Series 2617, Class GR, 4.500%, 05/15/18 | 4,074 | ||||||
167 | Series 2619, Class HR, 3.500%, 11/15/31 | 171 | ||||||
515 | Series 2619, Class IM, IO, 5.000%, 10/15/21 | 13 | ||||||
6,097 | Series 2626, Class NS, IF, IO, 6.284%, 06/15/23 | 573 | ||||||
549 | Series 2628, Class WA, 4.000%, 07/15/28 | 556 | ||||||
2,170 | Series 2629, Class BY, IO, 4.500%, 03/15/18 | 166 | ||||||
2,368 | Series 2630, Class S, IF, IO, 6.884%, 01/15/17 | 74 | ||||||
8,558 | Series 2631, Class LC, 4.500%, 06/15/18 | 9,086 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
7,815 | Series 2631, Class SA, IF, 14.363%, 06/15/33 | 9,066 | ||||||
14,389 | Series 2636, Class Z, 4.500%, 06/15/18 | 15,252 | ||||||
1,760 | Series 2637, Class SA, IF, IO, 5.834%, 06/15/18 | 177 | ||||||
920 | Series 2638, Class DS, IF, 8.334%, 07/15/23 | 942 | ||||||
586 | Series 2638, Class SA, IF, IO, 6.834%, 11/15/16 | 13 | ||||||
1,232 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 141 | ||||||
6,456 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 537 | ||||||
124 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | 2 | ||||||
798 | Series 2640, Class VE, 3.250%, 07/15/22 | 820 | ||||||
763 | Series 2642, Class SL, IF, 6.670%, 07/15/33 | 776 | ||||||
79 | Series 2643, Class HI, IO, 4.500%, 12/15/16 | — | (h) | |||||
500 | Series 2646, Class SH, IF, 13.350%, 07/15/33 | 516 | ||||||
3,113 | Series 2649, Class QE, 4.500%, 08/15/17 | 3,175 | ||||||
830 | Series 2650, Class PO, PO, 12/15/32 | 773 | ||||||
3,887 | Series 2650, Class SO, PO, 12/15/32 | 3,613 | ||||||
14,646 | Series 2651, Class VZ, 4.500%, 07/15/18 | 15,518 | ||||||
4,595 | Series 2655, Class EO, PO, 02/15/33 | 4,170 | ||||||
2,282 | Series 2658, Class PE, 4.500%, 11/15/16 | 2,335 | ||||||
962 | Series 2667, Class SW, IF, 6.545%, 01/15/18 | 973 | ||||||
715 | Series 2668, Class S, IF, 11.468%, 09/15/33 | 723 | ||||||
2,298 | Series 2668, Class SB, IF, 6.964%, 10/15/15 | 2,334 | ||||||
2,408 | Series 2671, Class S, IF, 14.271%, 09/15/33 | 2,771 | ||||||
3,598 | Series 2672, Class ME, 5.000%, 11/15/22 | 3,858 | ||||||
494 | Series 2672, Class SJ, IF, 6.919%, 09/15/16 | 506 | ||||||
11,345 | Series 2675, Class CK, 4.000%, 09/15/18 | 11,956 | ||||||
789 | Series 2676, Class TS, IF, 15.695%, 01/15/32 | 855 | ||||||
8,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 8,557 | ||||||
3,067 | Series 2682, Class YS, IF, 8.610%, 10/15/33 | 2,917 | ||||||
11 | Series 2683, Class VA, 5.500%, 02/15/21 | 11 | ||||||
18,000 | Series 2684, Class PO, PO, 01/15/33 | 15,913 | ||||||
93 | Series 2684, Class SN, HB, IF, 26.921%, 10/15/33 | 105 | ||||||
1,685 | Series 2684, Class TO, PO, 10/15/33 | 1,543 | ||||||
548 | Series 2686, Class GB, 5.000%, 05/15/20 | 556 | ||||||
1,161 | Series 2686, Class NS, IF, IO, 7.334%, 10/15/21 | 57 | ||||||
13,027 | Series 2690, Class SJ, IF, 8.751%, 10/15/33 | 12,311 | ||||||
2,500 | Series 2691, Class ND, 5.000%, 10/15/28 | 2,543 | ||||||
1,246 | Series 2691, Class SE, IF, 9.173%, 12/15/28 | 1,289 | ||||||
1,120 | Series 2691, Class SM, IF, 8.751%, 10/15/33 | 1,067 | ||||||
1,530 | Series 2691, Class WS, IF, 8.601%, 10/15/33 | 1,450 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 27 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
2,543 | Series 2692, Class SC, IF, 12.755%, 07/15/33 | 2,679 | ||||||
561 | Series 2694, Class SQ, IF, 8.610%, 10/15/33 | 531 | ||||||
1,740 | Series 2695, Class DE, 4.000%, 01/15/17 | 1,783 | ||||||
2,352 | Series 2695, Class OB, PO, 10/15/33 | 2,064 | ||||||
526 | Series 2696, Class CO, PO, 10/15/18 | 434 | ||||||
79 | Series 2696, Class SM, IF, 13.669%, 12/15/26 | 80 | ||||||
497 | Series 2697, Class LE, 4.500%, 11/15/20 | 506 | ||||||
2,203 | Series 2698, Class SV, IF, 8.601%, 11/15/33 | 2,079 | ||||||
4,646 | Series 2700, Class S, IF, 8.601%, 11/15/33 | 4,527 | ||||||
1,791 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,915 | ||||||
1,351 | Series 2705, Class SC, IF, 8.601%, 11/15/33 | 1,271 | ||||||
2,166 | Series 2705, Class SD, IF, 8.658%, 11/15/33 | 2,006 | ||||||
7,400 | Series 2707, Class QE, 4.500%, 11/15/18 | 7,910 | ||||||
5,000 | Series 2709, Class PG, 5.000%, 11/15/23 | 5,296 | ||||||
2,240 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,416 | ||||||
4,480 | Series 2716, Class UN, 4.500%, 12/15/23 | 4,715 | ||||||
2,202 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,266 | ||||||
3,346 | Series 2725, Class OP, PO, 10/15/33 | 2,921 | ||||||
17,303 | Series 2727, Class BS, IF, 8.676%, 01/15/34 | 16,547 | ||||||
53 | Series 2727, Class PO, PO, 01/15/34 | 52 | ||||||
10,505 | Series 2733, Class SB, IF, 7.771%, 10/15/33 | 11,358 | ||||||
2,047 | Series 2743, Class HD, 4.500%, 08/15/17 | 2,121 | ||||||
5,000 | Series 2743, Class HE, 4.500%, 02/15/19 | 5,325 | ||||||
691 | Series 2744, Class FE, VAR, 0.000% 02/15/34 | 672 | ||||||
312 | Series 2744, Class PD, 5.500%, 08/15/33 | 319 | ||||||
2,535 | Series 2744, Class PE, 5.500%, 02/15/34 | 2,774 | ||||||
6,112 | Series 2744, Class TU, 5.500%, 05/15/32 | 6,589 | ||||||
3,151 | Series 2748, Class KO, PO, 10/15/23 | 2,924 | ||||||
106 | Series 2754, Class JG, 4.500%, 03/15/33 | 107 | ||||||
1,546 | Series 2755, Class PA, PO, 02/15/29 | 1,527 | ||||||
2,173 | Series 2755, Class SA, IF, 13.669%, 05/15/30 | 2,437 | ||||||
3,857 | Series 2758, Class AO, PO, 03/15/19 | 3,576 | ||||||
197 | Series 2762, Class LO, PO, 03/15/34 | 195 | ||||||
321 | Series 2764, Class UC, 5.000%, 05/15/27 | 324 | ||||||
160 | Series 2766, Class SX, IF, 15.720%, 03/15/34 | 161 | ||||||
405 | Series 2771, Class FG, VAR, 0.000%, 03/15/34 | 348 | ||||||
1,481 | Series 2776, Class SK, IF, 8.676%, 04/15/34 | 1,416 | ||||||
5,800 | Series 2777, Class KO, PO, 02/15/33 | 5,276 | ||||||
2,584 | Series 2778, Class US, IF, IO, 6.934%, 06/15/33 | 148 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
518 | Series 2780, Class JG, 4.500%, 04/15/19 | 546 | ||||||
1,000 | Series 2780, Class SY, IF, 15.915%, 11/15/33 | 1,238 | ||||||
5,672 | Series 2802, Class OH, 6.000%, 05/15/34 | 6,266 | ||||||
1,063 | Series 2809, Class UB, 4.000%, 09/15/17 | 1,091 | ||||||
2,000 | Series 2809, Class UC, 4.000%, 06/15/19 | 2,100 | ||||||
996 | Series 2812, Class AB, 4.500%, 10/15/18 | 1,038 | ||||||
4,407 | Series 2812, Class NO, PO, 10/15/33 | 3,493 | ||||||
6,350 | Series 2827, Class QE, 5.500%, 03/15/33 | 6,803 | ||||||
142 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 146 | ||||||
3,346 | Series 2835, Class BO, PO, 12/15/28 | 3,222 | ||||||
617 | Series 2835, Class QO, PO, 12/15/32 | 536 | ||||||
659 | Series 2840, Class JO, PO, 06/15/23 | 632 | ||||||
834 | Series 2863, Class JA, 4.500%, 09/15/19 | 862 | ||||||
2,000 | Series 2864, Class GB, 4.000%, 09/15/19 | 2,102 | ||||||
764 | Series 2865, Class GO, PO, 10/15/33 | 757 | ||||||
96 | Series 2890, Class DO, PO, 11/15/34 | 95 | ||||||
1,466 | Series 2897, Class EO, PO, 10/15/31 | 1,453 | ||||||
1,727 | Series 2903, Class UZ, 5.500%, 07/15/31 | 1,783 | ||||||
2,721 | Series 2903, Class Z, 5.000%, 12/15/24 | 2,817 | ||||||
7,872 | Series 2921, Class MD, 5.000%, 06/15/33 | 8,353 | ||||||
520 | Series 2925, Class MW, VAR, 0.000% 01/15/35 | 517 | ||||||
2,079 | Series 2929, Class MS, HB, IF, 26.991%, 02/15/35 | 2,846 | ||||||
15,680 | Series 2934, Class EC, PO, 02/15/20 | 14,623 | ||||||
995 | Series 2934, Class EN, PO, 02/15/18 | 975 | ||||||
4,671 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 558 | ||||||
3,284 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 384 | ||||||
1,777 | Series 2945, Class SA, IF, 11.816%, 03/15/20 | 2,016 | ||||||
2,319 | Series 2965, Class GD, 4.500%, 04/15/20 | 2,472 | ||||||
1,518 | Series 2967, Class S, HB, IF, 32.363%, 04/15/25 | 2,225 | ||||||
10,244 | Series 2968, Class EH, 6.000%, 04/15/35 | 11,349 | ||||||
4,287 | Series 2981, Class FA, VAR, 0.666%, 05/15/35 | 4,251 | ||||||
3,784 | Series 2988, Class AF, VAR, 0.566%, 06/15/35 | 3,748 | ||||||
1,612 | Series 2988, Class GS, IF, 15.961%, 06/15/35 | 1,797 | ||||||
188 | Series 2988, Class SD, IF, 15.836%, 03/15/35 | 203 | ||||||
906 | Series 2989, Class PO, PO, 06/15/23 | 869 | ||||||
1,772 | Series 2990, Class GO, PO, 02/15/35 | 1,431 | ||||||
5,355 | Series 2990, Class LK, VAR, 0.636%, 10/15/34 | 5,359 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
4,334 | Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 | 5,887 | ||||||
1,998 | Series 2990, Class WP, IF, 16.342%, 06/15/35 | 2,416 | ||||||
4,879 | Series 2991, Class EG, 5.500%, 11/15/34 | 5,120 | ||||||
5,000 | Series 2992, Class LB, 5.000%, 06/15/20 | 5,374 | ||||||
11,244 | Series 2995, Class FK, VAR, 0.516%, 05/15/34 | 11,228 | ||||||
1,202 | Series 2996, Class SL, IF, 15.108%, 06/15/35 | 1,330 | ||||||
6,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 6,311 | ||||||
4,500 | Series 2999, Class ND, 4.500%, 07/15/20 | 4,738 | ||||||
588 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | 56 | ||||||
348 | Series 3014, Class OD, PO, 08/15/35 | 304 | ||||||
824 | Series 3022, Class SX, IF, 16.211%, 08/15/25 | 1,012 | ||||||
1,990 | Series 3029, Class SO, PO, 09/15/35 | 1,684 | ||||||
203 | Series 3034, Class FB, VAR, 0.000% 09/15/35 | 190 | ||||||
4,871 | Series 3042, Class PF, VAR, 0.516%, 08/15/35 | 4,858 | ||||||
191 | Series 3044, Class GU, VAR, 0.000% 10/15/35 | 189 | ||||||
221 | Series 3044, Class VO, PO, 10/15/35 | 199 | ||||||
2,505 | Series 3047, Class OB, 5.500%, 12/15/33 | 2,651 | ||||||
21,221 | Series 3049, Class XF, VAR, 0.616%, 05/15/33 | 21,168 | ||||||
1,965 | Series 3051, Class DP, HB, IF, 26.859%, 10/15/25 | 2,646 | ||||||
206 | Series 3058, Class YO, PO, 10/15/35 | 188 | ||||||
1,788 | Series 3064, Class OB, 5.500%, 07/15/29 | 1,856 | ||||||
1,726 | Series 3064, Class SG, IF, 19.114%, 11/15/35 | 2,164 | ||||||
6,564 | Series 3065, Class DF, VAR, 0.646%, 04/15/35 | 6,568 | ||||||
1,009 | Series 3068, Class AO, PO, 01/15/35 | 966 | ||||||
4,435 | Series 3077, Class TO, PO, 04/15/35 | 3,917 | ||||||
1,286 | Series 3100, Class MA, VAR, 2.514%, 12/15/35 | 1,161 | ||||||
7,456 | Series 3101, Class UZ, 6.000%, 01/15/36 | 8,189 | ||||||
7,989 | Series 3102, Class FB, VAR, 0.566%, 01/15/36 | 7,975 | ||||||
867 | Series 3102, Class HS, HB, IF, 23.592%, 01/15/36 | 1,177 | ||||||
9,346 | Series 3117, Class AO, PO, 02/15/36 | 8,385 | ||||||
1,904 | Series 3117, Class EO, PO, 02/15/36 | 1,641 | ||||||
1,844 | Series 3117, Class OK, PO, 02/15/36 | 1,595 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
5,711 | Series 3122, Class OH, PO, 03/15/36 | 5,025 | ||||||
5,342 | Series 3122, Class OP, PO, 03/15/36 | 4,784 | ||||||
123 | Series 3122, Class ZB, 6.000%, 03/15/36 | 115 | ||||||
759 | Series 3134, Class PO, PO, 03/15/36 | 661 | ||||||
5,304 | Series 3137, Class XP, 6.000%, 04/15/36 | 5,817 | ||||||
4,193 | Series 3138, Class PO, PO, 04/15/36 | 3,740 | ||||||
10,690 | Series 3147, Class PO, PO, 04/15/36 | 9,395 | ||||||
691 | Series 3149, Class SO, PO, 05/15/36 | 529 | ||||||
2,470 | Series 3151, Class PO, PO, 05/15/36 | 2,129 | ||||||
5,050 | Series 3153, Class EO, PO, 05/15/36 | 4,528 | ||||||
3,000 | Series 3162, Class OB, 6.000%, 11/15/30 | 3,098 | ||||||
2,400 | Series 3164, Class MG, 6.000%, 06/15/36 | 2,611 | ||||||
7,595 | Series 3171, Class MO, PO, 06/15/36 | 6,534 | ||||||
1,281 | Series 3174, Class PX, 5.000%, 06/15/17 | 1,375 | ||||||
3,550 | Series 3179, Class OA, PO, 07/15/36 | 3,073 | ||||||
3,701 | Series 3181, Class AZ, 6.500%, 07/15/36 | 4,110 | ||||||
8,432 | Series 3184, Class OA, PO, 02/15/33 | 7,878 | ||||||
483 | Series 3186, Class MT, IF, 4.666%, 07/15/36 | 473 | ||||||
7,300 | Series 3189, Class PC, 6.000%, 08/15/35 | 7,979 | ||||||
3,715 | Series 3194, Class SA, IF, IO, 6.834%, 07/15/36 | 510 | ||||||
7,030 | Series 3195, Class PD, 6.500%, 07/15/36 | 7,775 | ||||||
13,250 | Series 3200, Class AY, 5.500%, 08/15/36 | 14,162 | ||||||
32,671 | Series 3202, Class HI, IF, IO, 6.384%, 08/15/36 | 5,007 | ||||||
1,542 | Series 3213, Class OA, PO, 09/15/36 | 1,319 | ||||||
1,236 | Series 3218, Class AO, PO, 09/15/36 | 1,122 | ||||||
7,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 7,663 | ||||||
12,026 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 2,329 | ||||||
3,419 | Series 3225, Class EO, PO, 10/15/36 | 2,986 | ||||||
5,091 | Series 3232, Class ST, IF, IO, 6.434%, 10/15/36 | 722 | ||||||
1,375 | Series 3233, Class OP, PO, 05/15/36 | 1,186 | ||||||
10 | Series 3245, Class MO, PO, 11/15/36 | 9 | ||||||
682 | Series 3253, Class A, 5.000%, 08/15/20 | 717 | ||||||
22,780 | Series 3253, Class PO, PO, 12/15/21 | 21,662 | ||||||
1,439 | Series 3256, Class PO, PO, 12/15/36 | 1,262 | ||||||
2,862 | Series 3260, Class CS, IF, IO, 5.874%, 01/15/37 | 364 | ||||||
1,355 | Series 3261, Class OA, PO, 01/15/37 | 1,193 | ||||||
421 | Series 3263, Class TP, VAR, 0.000% 08/15/35 | 419 | ||||||
9,000 | Series 3266, Class D, 5.000%, 01/15/22 | 9,712 | ||||||
53 | Series 3269, Class WF, VAR, 0.000% 01/15/37 | 51 | ||||||
8,200 | Series 3274, Class B, 6.000%, 02/15/37 | 9,050 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 29 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
2,171 | Series 3274, Class JO, PO, 02/15/37 | 1,897 | ||||||
5,960 | Series 3275, Class FL, VAR, 0.706%, 02/15/37 | 5,920 | ||||||
5,500 | Series 3284, Class CB, 5.000%, 03/15/22 | 5,869 | ||||||
3,136 | Series 3286, Class PO, PO, 03/15/37 | 2,737 | ||||||
5,210 | Series 3290, Class SB, IF, IO, 6.184%, 03/15/37 | 667 | ||||||
3,000 | Series 3302, Class UT, 6.000%, 04/15/37 | 3,264 | ||||||
4,490 | Series 3305, Class MG, IF, 2.486%, 07/15/34 | 4,172 | ||||||
6,258 | Series 3315, Class HZ, 6.000%, 05/15/37 | 6,741 | ||||||
365 | Series 3318, Class AO, PO, 05/15/37 | 323 | ||||||
5,000 | Series 3329, Class JD, 6.000%, 06/15/36 | 5,450 | ||||||
3,500 | Series 3329, Class WK, 6.000%, 12/15/31 | 3,667 | ||||||
2,592 | Series 3331, Class PO, PO, 06/15/37 | 2,262 | ||||||
4,000 | Series 3334, Class MC, 5.000%, 04/15/33 | 4,130 | ||||||
4,328 | Series 3344, Class SL, IF, IO, 6.334%, 07/15/37 | 588 | ||||||
638 | Series 3356, Class PA, 6.000%, 11/15/26 | 640 | ||||||
3,347 | Series 3369, Class VA, 6.000%, 07/15/18 | 3,614 | ||||||
1,551 | Series 3371, Class FA, VAR, 0.866%, 09/15/37 | 1,554 | ||||||
2,425 | Series 3373, Class TO, PO, 04/15/37 | 2,111 | ||||||
18,228 | Series 3383, Class SA, IF, IO, 6.184%, 11/15/37 | 2,596 | ||||||
23,264 | Series 3387, Class SA, IF, IO, 6.154%, 11/15/37 | 2,992 | ||||||
3,045 | Series 3389, Class DQ, 5.750%, 10/15/35 | 3,275 | ||||||
6,283 | Series 3398, Class PO, PO, 01/15/36 | 5,676 | ||||||
24,078 | Series 3404, Class SC, IF, IO, 5.734%, 01/15/38 | 2,694 | ||||||
1,358 | Series 3422, Class SE, IF, 16.786%, 02/15/38 | 1,626 | ||||||
11,891 | Series 3424, Class PI, IF, IO, 6.534%, 04/15/38 | 1,740 | ||||||
14,320 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 219 | ||||||
26,313 | Series 3437, Class AI, IO, 1.335%, 09/15/11 | 133 | ||||||
570 | Series 3443, Class SY, IF, 9.000%, 03/15/37 | 582 | ||||||
14,500 | Series 3453, Class B, 5.500%, 05/15/38 | 15,619 | ||||||
8,438 | Series 3455, Class SE, IF, IO, 5.934%, 06/15/38 | 1,147 | ||||||
2,405 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,605 | ||||||
7,038 | Series 3461, Class Z, 6.000%, 06/15/38 | 7,693 | ||||||
14,794 | Series 3481, Class SJ, IF, IO, 5.584%, 08/15/38 | 1,812 | ||||||
7,500 | Series 3493, Class LA, 4.000%, 10/15/23 | 7,761 | ||||||
6,500 | Series 3501, Class CB, 5.500%, 01/15/39 | 7,002 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
13,930 | Series 3505, Class SA, IF, IO, 5.734%, 01/15/39 | 1,456 | ||||||
3,280 | Series 3510, Class OD, PO, 02/15/37 | 2,904 | ||||||
13,488 | Series 3511, Class SA, IF, IO, 5.734%, 02/15/39 | 1,461 | ||||||
2,419 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 455 | ||||||
3,462 | Series 3523, Class SD, IF, 18.932%, 06/15/36 | 4,225 | ||||||
608 | Series 3531, Class MZ, 4.500%, 05/15/39 | 609 | ||||||
18,896 | Series 3531, Class SA, IF, IO, 6.034%, 05/15/39 | 2,381 | ||||||
12,428 | Series 3531, Class SM, IF, IO, 5.834%, 05/15/39 | 1,648 | ||||||
4,846 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 5,161 | ||||||
14,799 | Series 3549, Class FA, VAR, 1.466%, 07/15/39 | 14,698 | ||||||
6,759 | Series 3564, Class JA, 4.000%, 01/15/18 | 7,120 | ||||||
5,750 | Series 3607, Class AO, PO, 04/15/36 | 4,308 | ||||||
10,538 | Series 3607, Class BO, PO, 04/15/36 | 7,896 | ||||||
6,113 | Series 3607, Class EO, PO, 02/15/33 | 5,548 | ||||||
7,886 | Series 3607, Class OP, PO, 07/15/37 | 6,374 | ||||||
5,540 | Series 3607, Class TO, PO, 10/15/39 | 4,873 | ||||||
18,886 | Series 3608, Class SC, IF, IO, 5.984%, 12/15/39 | 2,274 | ||||||
13,236 | Series 3611, Class PO, PO, 07/15/34 | 11,585 | ||||||
4,600 | Series 3632, Class BS, IF, 16.614%, 02/15/40 | 5,079 | ||||||
2,734 | Series 3645, Class KZ, 5.500%, 08/15/36 | 2,889 | ||||||
6,800 | Series 3654, Class DC, 5.000%, 04/15/30 | 6,975 | ||||||
4,039 | Series 3654, Class VB, 5.500%, 10/15/27 | 4,330 | ||||||
3,946 | Series 3659, Class VE, 5.000%, 03/15/26 | 4,174 | ||||||
12,448 | Series 3666, Class VA, 5.500%, 12/15/22 | 13,623 | ||||||
25,774 | Series 3680, Class MA, 4.500%, 07/15/39 | 26,805 | ||||||
19,454 | Series 3687, Class MA, 4.500%, 02/15/37 | 20,490 | ||||||
10,534 | Series 3688, Class CU, VAR, 6.819%, 11/15/21 | 11,487 | ||||||
32,945 | Series 3688, Class GT, VAR, 7.155%, 11/15/46 | 36,478 | ||||||
91,693 | Series 3704, Class CT, 7.000%, 12/15/36 | 102,042 | ||||||
42,307 | Series 3704, Class DT, 7.500%, 11/15/36 | 47,724 | ||||||
38,945 | Series 3704, Class ET, 7.500%, 12/15/36 | 44,007 | ||||||
22,834 | Series 3740, Class SB, IF, IO, 5.734%, 10/15/40 | 3,604 | ||||||
23,732 | Series 3740, Class SC, IF, IO, 5.734%, 10/15/40 | 3,677 | ||||||
31,599 | Series 3756, Class IP, IO, 4.000%, 08/15/35 | 4,775 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
41,595 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 6,746 | ||||||
34,634 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 5,924 | ||||||
24,798 | Series 3760, Class NI, IO, 4.000%, 10/15/37 | 3,956 | ||||||
19,829 | Series 3779, Class IH, IO, 4.000%, 11/15/34 | 2,877 | ||||||
13,000 | Series 3800, Class AI, IO, 4.000%, 11/15/29 | 2,150 | ||||||
86,989 | Series 3802, Class LS, IF, IO, 4.533%, 01/15/40 | 6,905 | ||||||
18,603 | Series R007, Class ZA, 6.000%, 05/15/36 | 20,167 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
7 | Series 134, Class B, IO, 9.000%, 04/01/22 | 2 | ||||||
5,262 | Series 197, Class PO, PO, 04/01/28 | 4,468 | ||||||
13,706 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 2,634 | ||||||
11,194 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 2,149 | ||||||
21,695 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 4,136 | ||||||
71,076 | Series 239, Class S30, IF, IO, 7.434%, 08/15/36 | 10,461 | ||||||
6,778 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 662 | ||||||
4,290 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 431 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
1,305 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 | 1,529 | ||||||
5,718 | Series T-42, Class A5, 7.500%, 02/25/42 | 6,739 | ||||||
3,938 | Series T-48, Class 1A, VAR, 6.511%, 07/25/33 | 4,652 | ||||||
863 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 995 | ||||||
5,319 | Series T-54, Class 2A, 6.500%, 02/25/43 | 6,149 | ||||||
1,846 | Series T-54, Class 3A, 7.000%, 02/25/43 | 2,066 | ||||||
13,017 | Series T-56, Class A5, 5.231%, 05/25/43 (f) (i) | 13,778 | ||||||
1,525 | Series T-57, Class 1A3, 7.500%, 07/25/43 | 1,792 | ||||||
569 | Series T-57, Class 1AP, PO, 07/25/43 | 461 | ||||||
7,268 | Series T-58, Class 4A, 7.500%, 09/25/43 | 8,683 | ||||||
686 | Series T-58, Class APO, PO, 09/25/43 | 572 | ||||||
7,108 | Series T-59, Class 1A2, 7.000%, 10/25/43 | 8,201 | ||||||
781 | Series T-59, Class 1AP, PO, 10/25/43 | 616 | ||||||
35,577 | Series T-76, Class 2A, VAR, 4.785%, 10/25/37 | 35,730 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
2,656 | Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39 | 2,969 | ||||||
3,523 | Series 2001-T10, Class A2, 7.500%, 12/25/41 | 4,115 | ||||||
2,924 | Series 2001-T3, Class A1, 7.500%, 11/25/40 | 3,430 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
3,317 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 3,804 | ||||||
1,543 | Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 1,702 | ||||||
7,845 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 8,786 | ||||||
4,672 | Series 2004-T2, Class 2A, VAR, 4.142%, 07/25/43 | 4,750 | ||||||
11,338 | Series 2004-T3, Class 1A2, 6.500%, 02/25/44 | 13,081 | ||||||
4,226 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 4,906 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
22 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 25 | ||||||
91 | Series 1989-70, Class G, 8.000%, 10/25/19 | 106 | ||||||
43 | Series 1989-78, Class H, 9.400%, 11/25/19 | 49 | ||||||
39 | Series 1989-83, Class H, 8.500%, 11/25/19 | 45 | ||||||
44 | Series 1989-89, Class H, 9.000%, 11/25/19 | 51 | ||||||
23 | Series 1990-1, Class D, 8.800%, 01/25/20 | 26 | ||||||
11 | Series 1990-7, Class B, 8.500%, 01/25/20 | 12 | ||||||
13 | Series 1990-60, Class K, 5.500%, 06/25/20 | 14 | ||||||
20 | Series 1990-63, Class H, 9.500%, 06/25/20 | 22 | ||||||
14 | Series 1990-93, Class G, 5.500%, 08/25/20 | 15 | ||||||
— | (h) | Series 1990-94, Class H, HB, 505.000%, 08/25/20 | 1 | |||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 6 | |||||
101 | Series 1990-102, Class J, 6.500%, 08/25/20 | 110 | ||||||
84 | Series 1990-120, Class H, 9.000%, 10/25/20 | 95 | ||||||
10 | Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 | 15 | ||||||
1 | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 7 | ||||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
26 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 27 | ||||||
29 | Series 1991-42, Class S, IF, 17.183%, 05/25/21 | 37 | ||||||
4 | Series 1992-101, Class J, 7.500%, 06/25/22 | 4 | ||||||
708 | Series 1992-117, Class MA, 8.000%, 07/25/22 | 798 | ||||||
121 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 131 | ||||||
135 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 146 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 31 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
852 | Series 1992-150, Class M, 8.000%, 09/25/22 | 1,039 | ||||||
281 | Series 1992-163, Class M, 7.750%, 09/25/22 | 315 | ||||||
414 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 463 | ||||||
198 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 222 | ||||||
506 | Series 1993-25, Class J, 7.500%, 03/25/23 | 567 | ||||||
77 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 92 | ||||||
1,232 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 1,362 | ||||||
431 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 476 | ||||||
4,627 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 5,131 | ||||||
207 | Series 1993-62, Class SA, IF, 17.015%, 04/25/23 | 280 | ||||||
2,650 | Series 1993-99, Class Z, 7.000%, 07/25/23 | 3,150 | ||||||
118 | Series 1993-122, Class M, 6.500%, 07/25/23 | 129 | ||||||
2,426 | Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 | 2,883 | ||||||
3,642 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 4,182 | ||||||
106 | Series 1993-165, Class SD, IF, 11.657%, 09/25/23 | 131 | ||||||
132 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 150 | ||||||
114 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 116 | ||||||
191 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 210 | ||||||
89 | Series 1993-179, Class SB, HB, IF, 23.152%, 10/25/23 | 115 | ||||||
59 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 76 | ||||||
3,627 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 4,000 | ||||||
1,468 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 1,619 | ||||||
270 | Series 1993-199, Class FA, VAR, 0.831%, 10/25/23 | 271 | ||||||
171 | Series 1993-205, Class H, PO, 09/25/23 | 147 | ||||||
202 | Series 1993-220, Class SG, IF, 15.437%, 11/25/13 | 235 | ||||||
128 | Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 | 160 | ||||||
255 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 272 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
70 | Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 | 70 | ||||||
252 | Series 1993-247, Class FE, VAR, 1.281%, 12/25/23 | 256 | ||||||
308 | Series 1993-247, Class SA, HB, IF, 24.332%, 12/25/23 | 408 | ||||||
117 | Series 1993-247, Class SU, IF, 11.442%, 12/25/23 | 148 | ||||||
993 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 1,055 | ||||||
1,517 | Series 1993-257, Class C, PO, 06/25/23 | 1,504 | ||||||
19 | Series 1994-9, Class E, PO, 11/25/23 | 16 | ||||||
1,018 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,149 | ||||||
4,858 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 5,334 | ||||||
5,986 | Series 1994-62, Class PK, 7.000%, 04/25/24 | 6,712 | ||||||
3,425 | Series 1994-63, Class PK, 7.000%, 04/25/24 | 3,915 | ||||||
141 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 160 | ||||||
373 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 421 | ||||||
1,839 | Series 1996-14, Class SE, IF, IO, 7.330%, 08/25/23 | 340 | ||||||
78 | Series 1996-27, Class FC, VAR, 0.781%, 03/25/17 | 78 | ||||||
1,478 | Series 1996-48, Class Z, 7.000%, 11/25/26 | 1,640 | ||||||
185 | Series 1996-59, Class J, 6.500%, 08/25/22 | 203 | ||||||
246 | Series 1996-59, Class K, 6.500%, 07/25/23 | 253 | ||||||
386 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 18 | ||||||
1,389 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 66 | ||||||
272 | Series 1997-27, Class J, 7.500%, 04/18/27 | 299 | ||||||
296 | Series 1997-29, Class J, 7.500%, 04/20/27 | 328 | ||||||
1,016 | Series 1997-32, Class PG, 6.500%, 04/25/27 | 1,146 | ||||||
1,181 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 1,312 | ||||||
272 | �� | Series 1997-42, Class EN, 7.250%, 07/18/27 | 283 | |||||
107 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 119 | ||||||
1,611 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 1,780 | ||||||
456 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 97 | ||||||
69 | Series 1998-4, Class C, PO, 04/25/23 | 61 | ||||||
1,211 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 1,331 | ||||||
354 | Series 1998-43, Class SA, IF, IO, 15.907%, 04/25/23 | 130 | ||||||
537 | Series 1998-66, Class SB, IF, IO, 7.889%, 12/25/28 | 115 | ||||||
321 | Series 1999-17, Class C, 6.350%, 04/25/29 | 355 | ||||||
2,283 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 2,493 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
595 | Series 1999-38, Class SK, IF, IO, 7.788%, 08/25/23 | 98 | ||||||
165 | Series 1999-52, Class NS, HB, IF, 22.648%, 10/25/23 | 224 | ||||||
429 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 483 | ||||||
2,310 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 2,593 | ||||||
690 | Series 2000-20, Class SA, IF, IO, 8.839%, 07/25/30 | 171 | ||||||
103 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 22 | ||||||
928 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 1,005 | ||||||
535 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 559 | ||||||
356 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 396 | ||||||
1,312 | Series 2001-7, Class PR, 6.000%, 03/25/16 | 1,379 | ||||||
1,337 | Series 2001-10, Class PR, 6.000%, 04/25/16 | 1,403 | ||||||
1,055 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 1,174 | ||||||
111 | Series 2001-31, Class VD, 6.000%, 05/25/31 | 111 | ||||||
2,661 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 512 | ||||||
1,817 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 2,020 | ||||||
2,244 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 2,495 | ||||||
654 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 728 | ||||||
473 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 526 | ||||||
5,658 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 6,271 | ||||||
660 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 730 | ||||||
304 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 336 | ||||||
997 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 1,071 | ||||||
5,000 | Series 2001-60, Class PX, 6.000%, 11/25/31 | 5,488 | ||||||
1,354 | Series 2001-60, Class QS, HB, IF, 23.585%, 09/25/31 | 1,892 | ||||||
3,450 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 3,836 | ||||||
1,074 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 1,156 | ||||||
1,825 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 1,962 | ||||||
245 | Series 2001-72, Class SX, IF, 16.857%, 12/25/31 | 303 | ||||||
5,791 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 6,232 | ||||||
676 | Series 2001-80, Class PE, 6.000%, 07/25/29 | 692 | ||||||
189 | Series 2001-81, Class LO, PO, 01/25/32 | 173 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,644 | Series 2002-1, Class G, 7.000%, 07/25/23 | 1,824 | ||||||
881 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 931 | ||||||
586 | Series 2002-1, Class SA, HB, IF, 24.338%, 02/25/32 | 831 | ||||||
252 | Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 | 354 | ||||||
1,535 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 1,644 | ||||||
4,141 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 4,451 | ||||||
2,840 | Series 2002-5, Class PK, 6.000%, 02/25/22 | 3,155 | ||||||
730 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 785 | ||||||
2,348 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 2,522 | ||||||
816 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 881 | ||||||
3,163 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 154 | ||||||
54 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 65 | ||||||
11,394 | Series 2002-15, Class ZA, 6.000%, 04/25/32 | 12,475 | ||||||
3,917 | Series 2002-16, Class PG, 6.000%, 04/25/17 | 4,250 | ||||||
5,599 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 5,902 | ||||||
721 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 775 | ||||||
147 | Series 2002-21, Class LO, PO, 04/25/32 | 125 | ||||||
1,974 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 2,170 | ||||||
2,678 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 2,909 | ||||||
3,629 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 4,011 | ||||||
1,464 | Series 2002-31, Class S, IF, 18.692%, 05/25/17 | 1,847 | ||||||
1,803 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 1,993 | ||||||
8,376 | Series 2002-38, Class QE, 6.000%, 06/25/17 | 9,001 | ||||||
1,114 | Series 2002-42, Class C, 6.000%, 07/25/17 | 1,204 | ||||||
4,475 | Series 2002-48, Class GH, 6.500%, 08/25/32 | 4,922 | ||||||
5,000 | Series 2002-54, Class PG, 6.000%, 09/25/22 | 5,499 | ||||||
579 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 631 | ||||||
7,920 | Series 2002-56, Class UC, 5.500%, 09/25/17 | 8,607 | ||||||
3,030 | Series 2002-57, Class AE, 5.500%, 09/25/17 | 3,288 | ||||||
768 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 819 | ||||||
861 | Series 2002-71, Class AP, 5.000%, 11/25/32 | 915 | ||||||
7,025 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 7,494 | ||||||
1,044 | Series 2002-77, Class S, IF, 14.004%, 12/25/32 | 1,197 | ||||||
15,726 | Series 2002-78, Class Z, 5.500%, 12/25/32 | 17,063 | ||||||
8,942 | Series 2002-81, Class JO, PO, 04/25/32 | 8,541 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 33 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
2,024 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 2,239 | ||||||
1,743 | Series 2002-84, Class VB, 5.500%, 04/25/15 | 1,878 | ||||||
1,397 | Series 2002-90, Class A1, 6.500%, 06/25/42 | 1,612 | ||||||
242 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 16 | ||||||
6,216 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 6,793 | ||||||
1,408 | Series 2003-9, Class NZ, 6.500%, 02/25/33 | 1,554 | ||||||
1,660 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 282 | ||||||
4,550 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 4,498 | ||||||
6,153 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 6,428 | ||||||
753 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 775 | ||||||
1,400 | Series 2003-32, Class KC, 5.000%, 05/25/18 | 1,505 | ||||||
6,382 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 1,335 | ||||||
2,614 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 2,861 | ||||||
2,256 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 2,481 | ||||||
640 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 694 | ||||||
1,199 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 1,321 | ||||||
1,017 | Series 2003-35, Class EA, PO, 05/25/33 | 885 | ||||||
751 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 139 | ||||||
1,960 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 2,136 | ||||||
2,800 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 3,100 | ||||||
1,092 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 1,124 | ||||||
1,760 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 75 | ||||||
2,715 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,932 | ||||||
1,371 | Series 2003-52, Class SX, HB, IF, 22.165%, 10/25/31 | 1,918 | ||||||
4,284 | Series 2003-56, Class AZ, 5.500%, 08/25/31 | 4,548 | ||||||
137 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 139 | ||||||
2,923 | Series 2003-64, Class SX, IF, 13.100%, 07/25/33 | 3,178 | ||||||
5,000 | Series 2003-67, Class TJ, 4.750%, 07/25/18 | 5,352 | ||||||
146 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 149 | ||||||
191 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 195 | ||||||
3,917 | Series 2003-71, Class DS, IF, 7.120%, 08/25/33 | 3,683 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
18,256 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 3,622 | ||||||
5,000 | Series 2003-73, Class HC, 5.500%, 08/25/33 | 5,322 | ||||||
3,838 | Series 2003-73, Class HF, VAR, 0.712%, 01/25/31 | 3,848 | ||||||
567 | Series 2003-74, Class SH, IF, 9.699%, 08/25/33 | 559 | ||||||
2,523 | Series 2003-76, Class SH, IF, 13.677%, 09/25/31 | 2,870 | ||||||
7,685 | Series 2003-80, Class SY, IF, IO, 7.388%, 06/25/23 | 829 | ||||||
7,000 | Series 2003-81, Class HC, 4.750%, 09/25/18 | 7,472 | ||||||
1,580 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,684 | ||||||
1,990 | Series 2003-82, Class VB, 5.500%, 08/25/33 | 2,171 | ||||||
8,876 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 9,464 | ||||||
1,114 | Series 2003-91, Class BL, 5.000%, 02/25/29 | 1,115 | ||||||
1,395 | Series 2003-91, Class SD, IF, 12.064%, 09/25/33 | 1,528 | ||||||
894 | Series 2003-91, Class XT, 4.500%, 12/25/17 | 901 | ||||||
843 | Series 2003-92, Class GA, 4.500%, 09/25/18 | 884 | ||||||
230 | Series 2003-92, Class SH, IF, 9.178%, 09/25/18 | 237 | ||||||
18,027 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 20,133 | ||||||
2,742 | Series 2003-106, Class US, IF, 8.683%, 11/25/23 | 2,715 | ||||||
7,068 | Series 2003-116, Class SB, IF, IO, 7.338%, 11/25/33 | 1,357 | ||||||
7,081 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 7,291 | ||||||
2,240 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 2,409 | ||||||
1,177 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 1,221 | ||||||
3,300 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 3,485 | ||||||
1,295 | Series 2003-130, Class SX, IF, 11.128%, 01/25/34 | 1,430 | ||||||
1,262 | Series 2003-131, Class SK, IF, 15.677%, 01/25/34 | 1,498 | ||||||
641 | Series 2003-132, Class OA, PO, 08/25/33 | 558 | ||||||
5,895 | Series 2004-3, Class BE, 4.000%, 02/25/19 | 6,185 | ||||||
4,472 | Series 2004-4, Class QI, IF, IO, 6.838%, 06/25/33 | 666 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
3,326 | Series 2004-4, Class QM, IF, 13.677%, 06/25/33 | 3,803 | ||||||
3,087 | Series 2004-10, Class SC, HB, IF, 27.554%, 02/25/34 | 4,365 | ||||||
2,318 | Series 2004-14, Class SD, IF, 8.683%, 03/25/34 | 2,190 | ||||||
4,433 | Series 2004-17, Class H, 5.500%, 04/25/34 | 4,573 | ||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,047 | ||||||
1,977 | Series 2004-21, Class CO, PO, 04/25/34 | 1,739 | ||||||
507 | Series 2004-22, Class A, 4.000%, 04/25/19 | 527 | ||||||
3,275 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 3,614 | ||||||
4,773 | Series 2004-25, Class SA, IF, 18.806%, 04/25/34 | 5,941 | ||||||
8,100 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 8,431 | ||||||
7,421 | Series 2004-28, Class PF, VAR, 0.662%, 03/25/34 | 7,460 | ||||||
11,404 | Series 2004-36, Class FA, VAR, 0.662%, 05/25/34 | 11,464 | ||||||
2,157 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 2,380 | ||||||
4,876 | Series 2004-36, Class SA, IF, 18.806%, 05/25/34 | 6,090 | ||||||
1,739 | Series 2004-36, Class SN, IF, 13.677%, 07/25/33 | 1,996 | ||||||
8,090 | Series 2004-46, Class EP, PO, 03/25/34 | 7,024 | ||||||
4,400 | Series 2004-46, Class HS, IF, IO, 5.739%, 05/25/30 | 278 | ||||||
1,145 | Series 2004-46, Class QB, HB, IF, 22.954%, 05/25/34 | 1,592 | ||||||
1,025 | Series 2004-46, Class SK, IF, 15.781%, 05/25/34 | 1,227 | ||||||
1,278 | Series 2004-51, Class SY, IF, 13.717%, 07/25/34 | 1,461 | ||||||
1,400 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,476 | ||||||
1,271 | Series 2004-59, Class BG, PO, 12/25/32 | 1,110 | ||||||
1,737 | Series 2004-61, Class CO, PO, 10/25/31 | 1,726 | ||||||
300 | Series 2004-61, Class SH, HB, IF, 22.942%, 11/25/32 | 434 | ||||||
903 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 1,005 | ||||||
5,000 | Series 2004-65, Class EY, 5.500%, 08/25/24 | 5,475 | ||||||
12,000 | Series 2004-72, Class CB, 4.000%, 09/25/19 | 12,541 | ||||||
1,184 | Series 2004-74, Class SW, IF, 14.974%, 11/25/31 | 1,428 | ||||||
2,251 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 2,371 | ||||||
4,380 | Series 2004-79, Class S, IF, 19.081%, 08/25/32 | 5,300 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,454 | Series 2004-79, Class SP, IF, 19.081%, 11/25/34 | 1,787 | ||||||
2,000 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 2,102 | ||||||
9,600 | Series 2004-81, Class JG, 5.000%, 11/25/24 | 10,188 | ||||||
1,137 | Series 2004-89, Class EA, IF, 12.744%, 01/25/34 | 1,270 | ||||||
1,739 | Series 2004-92, Class BX, 5.500%, 09/25/34 | 1,890 | ||||||
404 | Series 2004-92, Class JO, PO, 12/25/34 | 402 | ||||||
2,120 | Series 2004-101, Class HD, 5.000%, 01/25/20 | 2,286 | ||||||
1,434 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 1,495 | ||||||
5,600 | Series 2005-16, Class LE, 5.500%, 07/25/33 | 6,088 | ||||||
4,918 | Series 2005-25, Class PF, VAR, 0.611%, 04/25/35 | 4,886 | ||||||
658 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 683 | ||||||
1,338 | Series 2005-40, Class ZM, 5.000%, 05/25/35 | 1,381 | ||||||
1,180 | Series 2005-42, Class PS, IF, 16.346%, 05/25/35 | 1,437 | ||||||
1,291 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 1,297 | ||||||
75 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 76 | ||||||
448 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 484 | ||||||
4,939 | Series 2005-56, Class S, IF, IO, 6.449%, 07/25/35 | 839 | ||||||
2,299 | Series 2005-56, Class TP, IF, 17.366%, 08/25/33 | 2,804 | ||||||
1,679 | Series 2005-57, Class CD, HB, IF, 24.144%, 01/25/35 | 2,253 | ||||||
544 | Series 2005-57, Class DC, HB, IF, 20.925%, 12/25/34 | 680 | ||||||
7,587 | Series 2005-57, Class EG, VAR, 0.561%, 03/25/35 | 7,584 | ||||||
1,000 | Series 2005-59, Class SU, HB, IF, 24.193%, 06/25/35 | 1,446 | ||||||
1,304 | Series 2005-66, Class SG, IF, 16.721%, 07/25/35 | 1,596 | ||||||
8,500 | Series 2005-67, Class EY, 5.500%, 08/25/25 | 9,305 | ||||||
1,500 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,620 | ||||||
6,665 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 7,288 | ||||||
2,500 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 2,667 | ||||||
7,300 | Series 2005-72, Class SB, IF, 16.221%, 08/25/35 | 8,838 | ||||||
2,016 | Series 2005-73, Class PS, IF, 16.046%, 08/25/35 | 2,443 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 35 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
9,280 | Series 2005-73, Class ZB, 5.500%, 08/25/35 | 9,281 | ||||||
1,725 | Series 2005-74, Class CP, HB, IF, 23.791%, 05/25/35 | 2,383 | ||||||
7,515 | Series 2005-74, Class CS, IF, 19.301%, 05/25/35 | 9,368 | ||||||
5,167 | Series 2005-74, Class SK, IF, 19.411%, 05/25/35 | 6,458 | ||||||
8,439 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 9,198 | ||||||
236 | Series 2005-86, Class GB, 5.000%, 10/25/35 | 239 | ||||||
2,595 | Series 2005-88, Class QO, PO, 11/25/33 | 2,539 | ||||||
2,726 | Series 2005-90, Class ES, IF, 16.221%, 10/25/35 | 3,317 | ||||||
1,609 | Series 2005-90, Class PO, PO, 09/25/35 | 1,475 | ||||||
6,170 | Series 2005-93, Class MF, VAR, 0.511%, 08/25/34 | 6,153 | ||||||
64 | Series 2005-98, Class GO, PO, 11/25/35 | 63 | ||||||
13,920 | Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 | 19,283 | ||||||
5,959 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 6,263 | ||||||
1,000 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 1,115 | ||||||
15,028 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 15,792 | ||||||
17,500 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 19,029 | ||||||
5,659 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 6,014 | ||||||
2,982 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 3,131 | ||||||
2,840 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 3,119 | ||||||
1,485 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,605 | ||||||
35,000 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 35,916 | ||||||
22,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 23,928 | ||||||
9,876 | Series 2005-123, Class FG, VAR, 0.712%, 07/25/34 | 9,858 | ||||||
4,000 | Series 2006-7, Class TC, 6.000%, 09/25/33 | 4,336 | ||||||
6,579 | Series 2006-8, Class JZ, 5.500%, 03/25/36 | 6,915 | ||||||
1,347 | Series 2006-11, Class PS, HB, IF, 23.608%, 03/25/36 | 1,857 | ||||||
6,579 | Series 2006-12, Class BZ, 5.500%, 03/25/36 | 6,920 | ||||||
2,582 | Series 2006-15, Class OT, PO, 01/25/36 | 2,462 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
4,699 | Series 2006-16, Class FC, VAR, 0.561%, 03/25/36 | 4,684 | ||||||
6,579 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 6,984 | ||||||
1,146 | Series 2006-16, Class OA, PO, 03/25/36 | 997 | ||||||
2,579 | Series 2006-22, Class AO, PO, 04/25/36 | 2,207 | ||||||
3,702 | Series 2006-23, Class FK, VAR, 0.511%, 04/25/36 | 3,693 | ||||||
2,061 | Series 2006-23, Class KO, PO, 04/25/36 | 1,793 | ||||||
5,469 | Series 2006-27, Class OH, PO, 04/25/36 | 4,923 | ||||||
1,189 | Series 2006-33, Class LS, HB, IF, 28.973%, 05/25/36 | 1,739 | ||||||
2,000 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,177 | ||||||
2,488 | Series 2006-42, Class CF, VAR, 0.712%, 06/25/36 | 2,491 | ||||||
4,200 | Series 2006-43, Class DO, PO, 06/25/36 | 3,715 | ||||||
651 | Series 2006-43, Class G, 6.500%, 09/25/33 | 666 | ||||||
1,549 | Series 2006-43, Class PO, PO, 06/25/36 | 1,341 | ||||||
3,658 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,938 | ||||||
14,930 | Series 2006-44, Class FP, VAR, 0.662%, 06/25/36 | 14,832 | ||||||
2,613 | Series 2006-44, Class GO, PO, 06/25/36 | 2,245 | ||||||
8,350 | Series 2006-44, Class P, PO, 12/25/33 | 7,363 | ||||||
3,562 | Series 2006-46, Class FW, VAR, 0.662%, 06/25/36 | 3,562 | ||||||
570 | Series 2006-46, Class SW, HB, IF, 23.240%, 06/25/36 | 754 | ||||||
2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 2,177 | ||||||
9,712 | Series 2006-50, Class JO, PO, 06/25/36 | 8,610 | ||||||
13,872 | Series 2006-50, Class PS, PO, 06/25/36 | 12,329 | ||||||
14,426 | Series 2006-53, Class US, IF, IO, 6.319%, 06/25/36 | 2,013 | ||||||
7,599 | Series 2006-56, Class PF, VAR, 0.611%, 07/25/36 | 7,588 | ||||||
1,046 | Series 2006-58, Class AP, PO, 07/25/36 | 911 | ||||||
2,800 | Series 2006-58, Class FL, VAR, 0.721%, 07/25/36 | 2,805 | ||||||
10,296 | Series 2006-58, Class IG, IF, IO, 6.258%, 07/25/36 | 1,305 | ||||||
1,631 | Series 2006-58, Class PO, PO, 07/25/36 | 1,412 | ||||||
419 | Series 2006-59, Class CO, PO, 08/25/35 | 394 | ||||||
4,978 | Series 2006-59, Class QO, PO, 01/25/33 | 4,477 | ||||||
1,273 | Series 2006-60, Class AK, HB, IF, 27.754%, 07/25/36 | 1,870 | ||||||
7,349 | Series 2006-60, Class DO, PO, 04/25/35 | 6,551 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
1,281 | Series 2006-62, Class PS, HB, IF, 38.331%, 07/25/36 | 2,101 | ||||||
9,473 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 11,237 | ||||||
3,068 | Series 2006-65, Class QO, PO, 07/25/36 | 2,658 | ||||||
3,556 | Series 2006-66, Class NV, 6.500%, 02/25/24 | 3,744 | ||||||
15,130 | Series 2006-71, Class ZL, 6.000%, 07/25/36 | 17,107 | ||||||
5,540 | Series 2006-72, Class GO, PO, 08/25/36 | 4,902 | ||||||
1,541 | Series 2006-72, Class TO, PO, 08/25/36 | 1,353 | ||||||
827 | Series 2006-75, Class CM, 6.500%, 12/25/33 | 842 | ||||||
10,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 11,719 | ||||||
2,692 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 2,979 | ||||||
2,878 | Series 2006-79, Class DF, VAR, 0.611%, 08/25/36 | 2,888 | ||||||
2,260 | Series 2006-79, Class DO, PO, 08/25/36 | 1,955 | ||||||
1,972 | Series 2006-79, Class OP, PO, 08/25/36 | 1,703 | ||||||
1,339 | Series 2006-85, Class MZ, 6.500%, 09/25/36 | 1,483 | ||||||
2,281 | Series 2006-86, Class OB, PO, 09/25/36 | 1,938 | ||||||
2,154 | Series 2006-90, Class AO, PO, 09/25/36 | 1,898 | ||||||
1,251 | Series 2006-94, Class GK, HB, IF, 31.942%, 10/25/26 | 1,980 | ||||||
2,154 | Series 2006-95, Class SG, HB, IF, 25.154%, 10/25/36 | 3,091 | ||||||
610 | Series 2006-109, Class PO, PO, 11/25/36 | 532 | ||||||
7,023 | Series 2006-110, Class PO, PO, 11/25/36 | 6,131 | ||||||
2,318 | Series 2006-111, Class EO, PO, 11/25/36 | 2,020 | ||||||
3,493 | Series 2006-113, Class PO, PO, 07/25/36 | 3,227 | ||||||
560 | Series 2006-115, Class ES, HB, IF, 25.514%, 12/25/36 | 819 | ||||||
1,919 | Series 2006-115, Class OK, PO, 12/25/36 | 1,656 | ||||||
19,723 | Series 2006-117, Class GS, IF, IO, 6.388%, 12/25/36 | 2,969 | ||||||
5,521 | Series 2006-118, Class A1, VAR, 0.322%, 12/25/36 | 5,409 | ||||||
17,921 | Series 2006-118, Class A2, VAR, 0.322%, 12/25/36 | 17,567 | ||||||
2,935 | Series 2006-119, Class PO, PO, 12/25/36 | 2,591 | ||||||
1,300 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,408 | ||||||
1,478 | Series 2006-128, Class PO, PO, 01/25/37 | 1,264 | ||||||
7,306 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 1,121 | ||||||
724 | Series 2007-1, Class SD, HB, IF, 37.431%, 02/25/37 | 1,119 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
398 | Series 2007-2, Class FA, VAR, 0.461%, 02/25/37 | 395 | ||||||
8,856 | Series 2007-7, Class SG, IF, IO, 6.239%, 08/25/36 | 1,704 | ||||||
8,107 | Series 2007-10, Class FD, VAR, 0.511%, 02/25/37 | 8,001 | ||||||
29,077 | Series 2007-14, Class ES, IF, IO, 6.179%, 03/25/37 | 4,155 | ||||||
2,697 | Series 2007-14, Class OP, PO, 03/25/37 | 2,329 | ||||||
5,047 | Series 2007-14, Class QD, 5.500%, 11/25/35 | 5,486 | ||||||
2,150 | Series 2007-15, Class NO, PO, 03/25/22 | 1,974 | ||||||
16,547 | Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 | 16,477 | ||||||
2,133 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 254 | ||||||
1,750 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,903 | ||||||
4,431 | Series 2007-29, Class SG, HB, IF, 21.795%, 04/25/37 | 5,878 | ||||||
15,589 | Series 2007-35, Class SI, IF, IO, 5.839%, 04/25/37 | 1,680 | ||||||
2,474 | Series 2007-42, Class AO, PO, 05/25/37 | 2,275 | ||||||
11,000 | Series 2007-42, Class B, 6.000%, 05/25/37 | 12,060 | ||||||
5,988 | Series 2007-43, Class FL, VAR, 0.561%, 05/25/37 | 5,959 | ||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,572 | ||||||
26,620 | Series 2007-53, Class SH, IF, IO, 5.839%, 06/25/37 | 3,469 | ||||||
34,632 | Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 | 34,673 | ||||||
4,853 | Series 2007-54, Class WI, IF, IO, 5.839%, 06/25/37 | 645 | ||||||
42,387 | Series 2007-60, Class AX, IF, IO, 6.888%, 07/25/37 | 7,007 | ||||||
3,619 | Series 2007-62, Class SE, IF, 15.846%, 07/25/37 | 4,277 | ||||||
5,515 | Series 2007-64, Class FB, VAR, 0.631%, 07/25/37 | 5,541 | ||||||
41,105 | Series 2007-65, Class KI, IF, IO, 6.359%, 07/25/37 | 5,262 | ||||||
1,073 | Series 2007-65, Class PA, 6.000%, 03/25/31 | 1,095 | ||||||
7,123 | Series 2007-67, Class PO, PO, 07/25/37 | 6,242 | ||||||
3,669 | Series 2007-70, Class Z, 5.500%, 07/25/37 | 4,154 | ||||||
44,132 | Series 2007-72, Class EK, IF, IO, 6.139%, 07/25/37 | 5,544 | ||||||
1,830 | Series 2007-75, Class EO, PO, 01/25/36 | 1,666 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 37 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
5,478 | Series 2007-76, Class AZ, 5.500%, 08/25/37 | 5,730 | ||||||
3,718 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 3,958 | ||||||
8,109 | Series 2007-77, Class FG, VAR, 0.762%, 03/25/37 | 8,130 | ||||||
2,000 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 2,171 | ||||||
4,601 | Series 2007-78, Class PE, 6.000%, 08/25/37 | 4,987 | ||||||
2,000 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 2,113 | ||||||
4,576 | Series 2007-79, Class SB, HB, IF, 23.058%, 08/25/37 | 5,737 | ||||||
4,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 4,347 | ||||||
943 | Series 2007-83, Class PA, 6.000%, 03/25/29 | 946 | ||||||
4,464 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 4,866 | ||||||
1,808 | Series 2007-85, Class SL, IF, 15.496%, 09/25/37 | 2,100 | ||||||
10,360 | Series 2007-88, Class VI, IF, IO, 6.279%, 09/25/37 | 1,520 | ||||||
10,879 | Series 2007-91, Class ES, IF, IO, 6.199%, 10/25/37 | 1,534 | ||||||
3,198 | Series 2007-92, Class YA, 6.500%, 06/25/37 | 3,505 | ||||||
5,330 | Series 2007-92, Class YS, IF, IO, 5.519%, 06/25/37 | 607 | ||||||
3,964 | Series 2007-97, Class FC, VAR, 0.762%, 07/25/37 | 3,974 | ||||||
8,019 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 1,627 | ||||||
2,057 | Series 2007-97, Class MS, IF, 14.187%, 12/25/31 | 2,228 | ||||||
2,565 | Series 2007-98, Class FB, VAR, 0.712%, 06/25/37 | 2,386 | ||||||
3,646 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 3,929 | ||||||
21,235 | Series 2007-100, Class SM, IF, IO, 6.189%, 10/25/37 | 3,090 | ||||||
75,673 | Series 2007-101, Class A2, VAR, 0.510%, 06/27/36 | 75,153 | ||||||
6,232 | Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 | 6,499 | ||||||
10,665 | Series 2007-108, Class AN, VAR, 8.687%, 11/25/37 | 13,361 | ||||||
2,741 | Series 2007-108, Class SA, IF, IO, 6.099%, 12/25/37 | 357 | ||||||
27,945 | Series 2007-109, Class AI, IF, IO, 6.139%, 12/25/37 | 3,418 | ||||||
6,180 | Series 2007-112, Class MJ, 6.500%, 12/25/37 | 6,818 | ||||||
13,276 | Series 2007-112, Class SA, IF, IO, 6.189%, 12/25/37 | 1,942 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
47,000 | Series 2007-114, Class A6, VAR, 0.460%, 10/27/37 | 46,923 | ||||||
24,304 | Series 2007-116, Class HI, IO, VAR, 6.323%, 01/25/38 | 2,134 | ||||||
620 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 62 | ||||||
25,767 | Series 2008-1, Class BI, IF, IO, 5.649%, 02/25/38 | 2,933 | ||||||
25,638 | Series 2008-4, Class SD, IF, IO, 5.739%, 02/25/38 | 3,194 | ||||||
6,285 | Series 2008-10, Class XI, IF, IO, 5.969%, 03/25/38 | 816 | ||||||
12,483 | Series 2008-16, Class IS, IF, IO, 5.938%, 03/25/38 | 1,669 | ||||||
2,482 | Series 2008-18, Class SP, IF, 13.477%, 03/25/38 | 2,786 | ||||||
9,587 | Series 2008-20, Class SA, IF, IO, 6.729%, 03/25/38 | 1,480 | ||||||
18,394 | Series 2008-24, Class PF, VAR, 0.912%, 02/25/38 | 18,418 | ||||||
8,389 | Series 2008-27, Class SN, IF, IO, 6.639%, 04/25/38 | 1,353 | ||||||
2,728 | Series 2008-28, Class QS, IF, 19.915%, 04/25/38 | 3,503 | ||||||
14,060 | Series 2008-32, Class SA, IF, IO, 6.589%, 04/25/38 | 2,148 | ||||||
21,153 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 132 | ||||||
37,992 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 582 | ||||||
2,214 | Series 2008-42, Class AO, PO, 09/25/36 | 1,948 | ||||||
516 | Series 2008-44, Class PO, PO, 05/25/38 | 458 | ||||||
12,407 | Series 2008-46, Class HI, IO, VAR, 6.659%, 06/25/38 | 1,155 | ||||||
6,278 | Series 2008-47, Class SI, IF, IO, 6.239%, 06/25/23 | 704 | ||||||
2,649 | Series 2008-53, Class CA, 5.000%, 07/25/23 | 2,849 | ||||||
6,151 | Series 2008-53, Class CI, IF, IO, 6.938%, 07/25/38 | 912 | ||||||
28,866 | Series 2008-55, Class S, IF, IO, 7.338%, 07/25/28 | 4,230 | ||||||
5,607 | Series 2008-56, Class AC, 5.000%, 07/25/38 | 5,936 | ||||||
801 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 63 | ||||||
1,500 | Series 2008-60, Class JC, 5.000%, 07/25/38 | 1,556 | ||||||
2,778 | Series 2008-61, Class BH, 4.500%, 07/25/23 | 2,847 | ||||||
3,778 | Series 2008-61, Class CB, 5.000%, 07/25/23 | 4,042 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
282 | Series 2008-66, Class GD, 6.000%, 06/25/30 | 294 | ||||||
8,654 | Series 2008-76, Class GF, VAR, 0.912%, 09/25/23 | 8,774 | ||||||
20,861 | Series 2008-80, Class SA, IF, IO, 5.588%, 09/25/38 | 2,412 | ||||||
10,102 | Series 2008-81, Class SB, IF, IO, 5.588%, 09/25/38 | 1,197 | ||||||
1,523 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 1,562 | ||||||
13,889 | Series 2009-6, Class GS, IF, IO, 6.289%, 02/25/39 | 1,574 | ||||||
8,501 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 949 | ||||||
10,696 | Series 2009-15, Class MI, IO, 5.000%, 03/25/24 | 1,029 | ||||||
16,544 | Series 2009-17, Class QS, IF, IO, 6.388%, 03/25/39 | 2,169 | ||||||
4,067 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 469 | ||||||
1,136 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,256 | ||||||
9,137 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 1,422 | ||||||
10,000 | Series 2009-59, Class HB, 5.000%, 08/25/39 | 10,373 | ||||||
1,074 | Series 2009-63, Class P, 5.000%, 03/25/37 | 1,116 | ||||||
9,279 | Series 2009-69, Class WA, VAR, 6.024%, 09/25/39 | 10,222 | ||||||
7,038 | Series 2009-70, Class CO, PO, 01/25/37 | 6,023 | ||||||
17,605 | Series 2009-84, Class WS, IF, IO, 5.639%, 10/25/39 | 1,924 | ||||||
34,073 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 6,324 | ||||||
36,502 | Series 2009-86, Class OT, PO, 10/25/37 | 31,583 | ||||||
33,856 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 2,915 | ||||||
18,145 | Series 2009-99, Class SC, IF, IO, 5.919%, 12/25/39 | 2,433 | ||||||
9,821 | Series 2009-99, Class WA, VAR, 6.296%, 12/25/39 | 11,024 | ||||||
19,778 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 20,819 | ||||||
23,983 | Series 2009-112, Class ST, IF, IO, 5.988%, 01/25/40 | 2,826 | ||||||
3,701 | Series 2009-113, Class AO, PO, 01/25/40 | 3,203 | ||||||
3,334 | Series 2010-1, Class WA, VAR, 6.130%, 02/25/40 | 3,677 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
8,457 | Series 2010-16, Class WA, VAR, 6.428%, 03/25/40 | 9,371 | ||||||
7,284 | Series 2010-16, Class WB, VAR, 6.237%, 03/25/40 | 8,076 | ||||||
23,275 | Series 2010-35, Class SB, IF, IO, 6.158%, 04/25/40 | 3,114 | ||||||
3,000 | Series 2010-35, Class SJ, IF, 16.795%, 04/25/40 | 3,280 | ||||||
2,019 | Series 2010-39, Class OT, PO, 10/25/35 | 1,772 | ||||||
18,644 | Series 2010-42, Class S, IF, IO, 6.139%, 05/25/40 | 2,091 | ||||||
2,134 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,152 | ||||||
2,825 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 3,013 | ||||||
18,104 | Series 2010-49, Class SC, IF, 12.137%, 03/25/40 | 19,723 | ||||||
9,760 | Series 2010-58, Class MB, 5.500%, 06/25/40 | 10,528 | ||||||
63,994 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 67,127 | ||||||
2,000 | Series 2010-102, Class PN, 5.000%, 09/25/40 | 2,064 | ||||||
13,443 | Series 2010-103, Class SB, IF, IO, 5.839%, 11/25/49 | 1,894 | ||||||
71,382 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 76,264 | ||||||
19,500 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 20,635 | ||||||
39,216 | Series 2010-125, Class SA, IF, IO, 4.178%, 11/25/40 | 3,741 | ||||||
47,981 | Series 2010-133, Class A, 5.500%, 05/25/38 | 51,459 | ||||||
22,151 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 22,859 | ||||||
19,539 | Series 2011-2, Class WA, VAR, 5.716%, 02/25/51 | 20,955 | ||||||
2,985 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 3,373 | ||||||
18 | Series G-14, Class L, 8.500%, 06/25/21 | 22 | ||||||
1 | Series G-17, Class S, HB, VAR, 1,051.957%, 06/25/21 | 24 | ||||||
90 | Series G-18, Class Z, 8.750%, 06/25/21 | 109 | ||||||
24 | Series G-22, Class G, 6.000%, 12/25/16 | 26 | ||||||
82 | Series G-28, Class S, IF, 14.819%, 09/25/21 | 112 | ||||||
140 | Series G-35, Class M, 8.750%, 10/25/21 | 158 | ||||||
27 | Series G-51, Class SA, HB, IF, 22.348%, 12/25/21 | 38 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 39 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
25 | Series G92-15, Class Z, 7.000%, 01/25/22 | 25 | ||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 1,698.030%, 05/25/22 | 48 | |||||
632 | Series G92-35, Class E, 7.500%, 07/25/22 | 699 | ||||||
— | (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 7 | |||||
57 | Series G92-42, Class Z, 7.000%, 07/25/22 | 63 | ||||||
1,937 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 2,362 | ||||||
883 | Series G92-45, Class Z, 6.000%, 08/25/22 | 949 | ||||||
57 | Series G92-52, Class FD, VAR, 0.302%, 09/25/22 | 56 | ||||||
774 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 861 | ||||||
58 | Series G92-59, Class F, VAR, 2.208%, 10/25/22 | 59 | ||||||
116 | Series G92-61, Class Z, 7.000%, 10/25/22 | 127 | ||||||
88 | Series G92-62, Class B, PO, 10/25/22 | 80 | ||||||
396 | Series G93-1, Class KA, 7.900%, 01/25/23 | 446 | ||||||
149 | Series G93-5, Class Z, 6.500%, 02/25/23 | 164 | ||||||
117 | Series G93-14, Class J, 6.500%, 03/25/23 | 127 | ||||||
269 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 268 | ||||||
257 | Series G93-27, Class FD, VAR, 1.161%, 08/25/23 | 260 | ||||||
63 | Series G93-37, Class H, PO, 09/25/23 | 54 | ||||||
169 | Series G95-1, Class C, 8.800%, 01/25/25 | 192 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
8 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 2 | ||||||
5 | Series 50, Class 2, IO, 10.500%, 03/01/19 | 1 | ||||||
61 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 13 | ||||||
35 | Series 265, Class 2, 9.000%, 03/01/24 | 41 | ||||||
1,052 | Series 329, Class 1, PO, 01/01/33 | 910 | ||||||
3,419 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 313 | ||||||
4,807 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 445 | ||||||
2,432 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 266 | ||||||
1,606 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 287 | ||||||
5,526 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 1,080 | ||||||
688 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 68 | ||||||
3,880 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 755 | ||||||
5,121 | Series 383, Class 33, IO, 6.000%, 01/01/38 | 999 | ||||||
1,495 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 256 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2,885 | Series 2003-W1, Class 1A1, VAR, 6.500%, 12/25/42 | 3,329 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
682 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 778 | ||||||
2,814 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 3,246 | ||||||
1,720 | Series 2003-W2, Class 2A9, 5.900%, 07/25/42 | 1,895 | ||||||
601 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 693 | ||||||
6,498 | Series 2003-W6, Class 3A, 6.500%, 09/25/42 | 7,163 | ||||||
7,648 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 9,089 | ||||||
1,447 | Series 2003-W8, Class 3F1, VAR, 0.662%, 05/25/42 | 1,439 | ||||||
8,461 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 9,784 | ||||||
2,684 | Series 2004-W2, Class 2A2 7.000%, 02/25/44 | 3,190 | ||||||
2,468 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 2,804 | ||||||
6,800 | Series 2004-W10, Class A6, 5.750%, 08/25/34 | 7,335 | ||||||
8,014 | Series 2004-W15, Class 2AF, VAR, 0.511%, 08/25/44 | 7,878 | ||||||
4,681 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 5,401 | ||||||
44,258 | Series 2005-W3, Class 2AF, VAR, 0.482%, 03/25/45 | 43,945 | ||||||
3,597 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 4,025 | ||||||
29,308 | Series 2006-W2, Class 1AF1, VAR, 0.482%, 02/25/36 | 29,105 | ||||||
6,466 | Series 2006-W2, Class 2A, VAR, 3.282%, 11/25/35 | 6,632 | ||||||
6,779 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 7,375 | ||||||
62,935 | Series 2007-W1, Class 1AF1, VAR, 0.521%, 11/25/46 | 62,131 | ||||||
4,814 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 5,554 | ||||||
3,185 | Series 2007-W5, Class PO, PO, 06/25/37 | 2,711 | ||||||
3,366 | Series 2007-W7, Class 1A4, HB, IF, 37.611%, 07/25/37 | 5,053 | ||||||
986 | Series 2007-W10, Class 2A, VAR, 6.192%, 08/25/47 | 1,081 | ||||||
35,825 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 39,463 | ||||||
1,622 | Government National Mortgage Association, Series 1994-3, Class PQ, 7.488%, 07/16/24 | 1,711 |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
1,581 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 1,787 | ||||||
5,791 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 6,703 | ||||||
344 | Series 1995-3, Class DQ, 8.050%, 06/16/25 | 389 | ||||||
86 | Series 1995-7, Class CQ, 7.500%, 09/16/25 | 96 | ||||||
1,348 | Series 1996-16, Class E, 7.500%, 08/16/26 | 1,514 | ||||||
1,000 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 1,117 | ||||||
217 | Series 1997-11, Class D, 7.500%, 07/20/27 | 245 | ||||||
654 | Series 1998-26, Class K, 7.500%, 09/17/25 | 741 | ||||||
4,968 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 5,449 | ||||||
4,583 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 5,099 | ||||||
645 | Series 1999-30, Class S, IF, IO, 8.335%, 08/16/29 | 101 | ||||||
32 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 | 38 | ||||||
539 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 588 | ||||||
967 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 1,100 | ||||||
426 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 479 | ||||||
5,091 | Series 1999-44, Class ZC, 8.500%, 12/16/29 | 6,099 | ||||||
790 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 898 | ||||||
1,030 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 1,139 | ||||||
396 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 450 | ||||||
5,091 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 5,771 | ||||||
577 | Series 2000-12, Class ST, HB, IF, 38.200%, 02/16/30 | 1,065 | ||||||
1,391 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 1,514 | ||||||
387 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 414 | ||||||
4,561 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 5,212 | ||||||
791 | Series 2000-26, Class TZ, 8.500%, 09/20/30 | 898 | ||||||
213 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 241 | ||||||
41 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 52 | ||||||
646 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 740 | ||||||
184 | Series 2000-34, Class SG, IF, IO, 8.267%, 10/20/30 | 37 | ||||||
365 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 401 | ||||||
54 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 12 | ||||||
1,282 | Series 2000-37, Class B, 8.000%, 12/20/30 | 1,462 | ||||||
225 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 257 | ||||||
351 | Series 2001-4, Class SJ, IF, IO, 7.887%, 01/19/30 | 74 | ||||||
300 | Series 2001-6, Class SD, IF, IO, 8.285%, 03/16/31 | 58 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,192 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 1,291 | ||||||
1,785 | Series 2001-8, Class Z, 6.500%, 03/20/31 | 1,986 | ||||||
2,542 | Series 2001-22, Class PS, HB, IF, 20.322%, 03/17/31 | 3,527 | ||||||
63 | Series 2001-32, Class WA, IF, 19.468%, 07/20/31 | 93 | ||||||
490 | Series 2001-35, Class SA, IF, IO, 7.985%, 08/16/31 | 104 | ||||||
386 | Series 2001-36, Class S, IF, IO, 7.785%, 08/16/31 | 86 | ||||||
4,500 | Series 2001-53, Class PB, 6.500%, 11/20/31 | 5,082 | ||||||
3,282 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 3,483 | ||||||
462 | Series 2002-3, Class SP, IF, IO, 7.125%, 01/16/32 | 90 | ||||||
942 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 1,083 | ||||||
2,063 | Series 2002-24, Class AG, IF, IO, 7.685%, 04/16/32 | 408 | ||||||
189 | Series 2002-24, Class SB, IF, 11.528%, 04/16/32 | 226 | ||||||
267 | Series 2002-31, Class S, IF, IO, 8.435%, 01/16/31 | 64 | ||||||
4,919 | Series 2002-31, Class SE, IF, IO, 7.235%, 04/16/30 | 824 | ||||||
2,282 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 2,536 | ||||||
79 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 93 | ||||||
9,070 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 10,339 | ||||||
2,741 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 3,173 | ||||||
1,012 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 1,111 | ||||||
4,548 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 5,042 | ||||||
183 | Series 2002-51, Class SG, HB, IF, 31.360%, 04/20/31 | 296 | ||||||
3,061 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 3,396 | ||||||
1,339 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 1,486 | ||||||
2,548 | Series 2002-69, Class PO, PO, 02/20/32 | 2,474 | ||||||
624 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 636 | ||||||
2,536 | Series 2002-70, Class PS, IF, IO, 7.437%, 08/20/32 | 312 | ||||||
1,411 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,565 | ||||||
154 | Series 2002-88, Class VA, 6.000%, 12/20/17 | 154 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 41 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
1,189 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 79 | ||||||
1,209 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 1,279 | ||||||
875 | Series 2003-8, Class PO, PO, 01/16/32 | 850 | ||||||
2,412 | Series 2003-11, Class SK, IF, IO, 7.435%, 02/16/33 | 419 | ||||||
1,014 | Series 2003-12, Class SP, IF, IO, 7.437%, 02/20/33 | 185 | ||||||
409 | Series 2003-24, Class PO, PO, 03/16/33 | 356 | ||||||
5,380 | Series 2003-25, Class PZ, 5.500%, 04/20/33 | 5,688 | ||||||
841 | Series 2003-34, Class TO, PO, 02/16/32 | 823 | ||||||
1,960 | Series 2003-40, Class TC, 7.500%, 03/20/33 | 2,099 | ||||||
3,156 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 3,568 | ||||||
1,120 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 1,258 | ||||||
2,072 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 2,304 | ||||||
1,627 | Series 2003-52, Class AP, PO, 06/16/33 | 1,448 | ||||||
3,196 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 3,699 | ||||||
591 | Series 2003-60, Class NS, IF, 15.918%, 07/16/33 | 664 | ||||||
5,456 | Series 2003-75, Class ZX, 6.000%, 09/16/33 | 6,034 | ||||||
1,757 | Series 2003-76, Class LS, IF, IO, 6.937%, 09/20/31 | 162 | ||||||
275 | Series 2003-90, Class PO, PO, 10/20/33 | 235 | ||||||
3,802 | Series 2003-97, Class SA, IF, IO, 6.285%, 11/16/33 | 654 | ||||||
19 | Series 2003-98, Class PC, 5.000%, 02/20/29 | 19 | ||||||
3,485 | Series 2003-112, Class SA, IF, IO, 6.285%, 12/16/33 | 565 | ||||||
20,000 | Series 2003-112, Class TS, IF, IO, 6.687%, 10/20/32 | 3,118 | ||||||
999 | Series 2003-114, Class SH, IF, 14.219%, 11/17/32 | 1,170 | ||||||
10,704 | Series 2004-11, Class SW, IF, IO, 5.237%, 02/20/34 | 1,201 | ||||||
5,568 | Series 2004-15, Class SA, IF, 18.939%, 12/20/32 | 6,633 | ||||||
799 | Series 2004-27, Class VJ, 6.000%, 02/20/15 | 812 | ||||||
1,217 | Series 2004-28, Class S, IF, 18.934%, 04/16/34 | 1,558 | ||||||
3,430 | Series 2004-34, Class JO, PO, 02/20/34 | 3,347 | ||||||
3,846 | Series 2004-46, Class PO, PO, 06/20/34 | 3,393 | ||||||
5,364 | Series 2004-49, Class Z, 6.000%, 06/20/34 | 6,032 | ||||||
2,087 | Series 2004-68, Class PO, PO, 05/20/31 | 2,043 | ||||||
2,109 | Series 2004-71, Class SB, HB, IF, 28.173%, 09/20/34 | 3,102 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,109 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 2,249 | ||||||
1,831 | Series 2004-73, Class AE, IF, 14.311%, 08/17/34 | 2,154 | ||||||
10,269 | Series 2004-73, Class JL, IF, IO, 6.285%, 09/16/34 | 1,821 | ||||||
1,440 | Series 2004-83, Class AP, IF, 13.684%, 10/16/34 | 1,685 | ||||||
901 | Series 2004-85, Class PO, PO, 01/17/33 | 870 | ||||||
1,255 | Series 2004-87, Class SB, IF, 7.368%, 03/17/33 | 1,267 | ||||||
1,126 | Series 2004-89, Class LS, HB, IF, 23.413%, 10/16/34 | 1,531 | ||||||
23,457 | Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 | 3,041 | ||||||
10,570 | Series 2004-96, Class SC, IF, IO, 5.817%, 11/20/34 | 1,363 | ||||||
11,523 | Series 2005-3, Class SB, IF, IO, 5.837%, 01/20/35 | 1,480 | ||||||
16,907 | Series 2005-3, Class SK, IF, IO, 6.487%, 01/20/35 | 2,561 | ||||||
1,379 | Series 2005-6, Class GS, IF, 12.974%, 12/20/32 | 1,611 | ||||||
4,997 | Series 2005-7, Class JM, IF, 16.141%, 05/18/34 | 6,091 | ||||||
17,563 | Series 2005-17, Class SL, IF, IO, 6.437%, 07/20/34 | 2,708 | ||||||
2,458 | Series 2005-35, Class FL, VAR, 0.613%, 03/20/32 | 2,428 | ||||||
2,069 | Series 2005-44, Class SP, IF, 11.674%, 10/20/34 | 2,308 | ||||||
1,949 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 331 | ||||||
293 | Series 2005-65, Class SA, HB, IF, 21.736%, 08/20/35 | 327 | ||||||
626 | Series 2005-66, Class SP, IF, 19.951%, 08/16/35 | 789 | ||||||
8,086 | Series 2005-68, Class DP, IF, 15.798%, 06/17/35 | 9,869 | ||||||
36,895 | Series 2005-68, Class KI, IF, IO, 6.037%, 09/20/35 | 4,755 | ||||||
6,695 | Series 2005-69, Class SY, IF, IO, 6.487%, 11/20/33 | 1,092 | ||||||
2,692 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 2,865 | ||||||
1,703 | Series 2005-82, Class PO, PO, 10/20/35 | 1,493 | ||||||
3,538 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 550 | ||||||
1,412 | Series 2005-93, Class JO, PO, 03/20/31 | 1,397 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
3,349 | Series 2006-16, Class OP, PO, 03/20/36 | 2,973 | ||||||
3,987 | Series 2006-20, Class QA, 5.750%, 02/20/36 | 4,326 | ||||||
5,384 | Series 2006-33, Class Z, 6.500%, 07/20/36 | 6,201 | ||||||
854 | Series 2006-34, Class PO, PO, 07/20/36 | 751 | ||||||
1,049 | Series 2006-38, Class SW, IF, IO, 6.237%, 06/20/36 | 137 | ||||||
5,623 | Series 2006-38, Class ZK, 6.500%, 08/20/36 | 6,264 | ||||||
13,000 | Series 2006-40, Class VB, 6.000%, 11/20/26 | 13,697 | ||||||
1,908 | Series 2006-57, Class PZ, 5.565%, 10/20/36 | 2,019 | ||||||
5,916 | Series 2006-59, Class SD, IF, IO, 6.437%, 10/20/36 | 812 | ||||||
12,590 | Series 2006-65, Class SA, IF, IO, 6.537%, 11/20/36 | 1,642 | ||||||
9,302 | Series 2007-9, Class CI, IF, IO, 5.937%, 03/20/37 | 1,071 | ||||||
15,468 | Series 2007-9, Class DI, IF, IO, 6.247%, 03/20/37 | 2,003 | ||||||
18,849 | Series 2007-17, Class AF, VAR, 0.465%, 04/16/37 | 18,700 | ||||||
13,440 | Series 2007-17, Class JI, IF, IO, 6.545%, 04/16/37 | 1,949 | ||||||
5,214 | Series 2007-17, Class JO, PO, 04/16/37 | 4,631 | ||||||
6,879 | Series 2007-19, Class SD, IF, IO, 5.937%, 04/20/37 | 810 | ||||||
4,109 | Series 2007-25, Class FN, VAR, 0.565%, 05/16/37 | 4,071 | ||||||
16,524 | Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 | 1,929 | ||||||
36,020 | Series 2007-26, Class SW, IF, IO, 5.937%, 05/20/37 | 4,221 | ||||||
11,040 | Series 2007-27, Class SD, IF, IO, 5.937%, 05/20/37 | 1,302 | ||||||
1,251 | Series 2007-28, Class BO, PO, 05/20/37 | 1,099 | ||||||
13,526 | Series 2007-35, Class PO, PO, 06/16/37 | 11,945 | ||||||
1,200 | Series 2007-35, Class TO, PO, 04/20/35 | 1,179 | ||||||
2,100 | Series 2007-36, Class HO, PO, 06/16/37 | 1,880 | ||||||
9,002 | Series 2007-36, Class SE, IF, IO, 6.205%, 06/16/37 | 1,141 | ||||||
12,343 | Series 2007-36, Class SJ, IF, IO, 5.987%, 06/20/37 | 1,453 | ||||||
9,315 | Series 2007-40, Class SD, IF, IO, 6.487%, 07/20/37 | 1,324 | ||||||
16,666 | Series 2007-40, Class SN, IF, IO, 6.417%, 07/20/37 | 1,991 | ||||||
22,392 | Series 2007-42, Class SC, IF, IO, 6.487%, 07/20/37 | 3,166 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
14,332 | Series 2007-45, Class QA, IF, IO, 6.377%, 07/20/37 | 2,022 | ||||||
3,391 | Series 2007-49, Class NO, PO, 12/20/35 | 3,275 | ||||||
4,969 | Series 2007-50, Class AI, IF, IO, 6.512%, 08/20/37 | 667 | ||||||
8,598 | Series 2007-53, Class ES, IF, IO, 6.287%, 09/20/37 | 1,260 | ||||||
3,495 | Series 2007-53, Class SW, IF, 19.416%, 09/20/37 | 4,329 | ||||||
12,965 | Series 2007-57, Class PO, PO, 03/20/37 | 11,427 | ||||||
12,941 | Series 2007-57, Class QA, IF, IO, 6.237%, 10/20/37 | 1,664 | ||||||
13,205 | Series 2007-67, Class SI, IF, IO, 6.247%, 11/20/37 | 1,695 | ||||||
6,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 6,431 | ||||||
10,470 | Series 2007-71, Class SB, IF, IO, 6.437%, 07/20/36 | 1,307 | ||||||
11,312 | Series 2007-72, Class US, IF, IO, 6.287%, 11/20/37 | 1,555 | ||||||
12,490 | Series 2007-73, Class MI, IF, IO, 5.737%, 11/20/37 | 1,463 | ||||||
7,409 | Series 2007-74, Class SL, IF, IO, 6.275%, 11/16/37 | 1,148 | ||||||
24,389 | Series 2007-76, Class SB, IF, IO, 6.237%, 11/20/37 | 3,142 | ||||||
18,124 | Series 2007-79, Class SY, IF, IO, 6.287%, 12/20/37 | 2,505 | ||||||
13,921 | Series 2007-82, Class SA, IF, IO, 6.267%, 12/20/37 | 1,854 | ||||||
1,327 | Series 2008-7, Class SK, IF, 19.161%, 11/20/37 | 1,628 | ||||||
1,842 | Series 2008-7, Class SP, IF, 12.874%, 10/20/37 | 2,033 | ||||||
3,796 | Series 2008-17, Class IO, IO, 5.500%, 02/20/38 | 595 | ||||||
3,644 | Series 2008-20, Class PO, PO, 09/20/37 | 3,268 | ||||||
1,866 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 225 | ||||||
8,165 | Series 2008-25, Class SB, IF, IO, 6.637%, 03/20/38 | 1,084 | ||||||
4,036 | Series 2008-29, Class PO, PO, 02/17/33 | 3,693 | ||||||
18,281 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 2,437 | ||||||
5,612 | Series 2008-33, Class XS, IF, IO, 7.435%, 04/16/38 | 770 | ||||||
6,000 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 6,435 | ||||||
15,281 | Series 2008-36, Class SH, IF, IO, 6.037%, 04/20/38 | 1,774 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 43 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
31,045 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 5,110 | ||||||
13,297 | Series 2008-41, Class SA, IF, IO, 6.077%, 05/20/38 | 1,634 | ||||||
1,633 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 1,744 | ||||||
3,500 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 3,867 | ||||||
4,816 | Series 2008-55, Class SA, IF, IO, 5.937%, 06/20/38 | 566 | ||||||
19,684 | Series 2008-60, Class CS, IF, IO, 5.887%, 07/20/38 | 2,357 | ||||||
3,519 | Series 2008-60, Class PO, PO, 01/20/38 | 3,267 | ||||||
1,804 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 1,974 | ||||||
10,798 | Series 2008-69, Class QD, 5.750%, 07/20/38 | 11,754 | ||||||
7,677 | Series 2008-71, Class SC, IF, IO, 5.737%, 08/20/38 | 903 | ||||||
19,692 | Series 2008-76, Class US, IF, IO, 5.637%, 09/20/38 | 2,077 | ||||||
8,808 | Series 2008-79, Class CS, IF, 6.537%, 06/20/35 | 8,528 | ||||||
36,769 | Series 2008-81, Class S, IF, IO, 5.937%, 09/20/38 | 4,200 | ||||||
17,071 | Series 2008-93, Class AS, IF, IO, 5.437%, 12/20/38 | 1,860 | ||||||
36,816 | Series 2008-95, Class DS, IF, IO, 7.037%, 12/20/38 | 5,318 | ||||||
10,776 | Series 2008-96, Class SL, IF, IO, 5.737%, 12/20/38 | 1,243 | ||||||
11,787 | Series 2009-6, Class SA, IF, IO, 5.835%, 02/16/39 | 1,344 | ||||||
11,457 | Series 2009-6, Class SH, IF, IO, 5.777%, 02/20/39 | 1,352 | ||||||
18,054 | Series 2009-10, Class SA, IF, IO, 5.687%, 02/20/39 | 1,987 | ||||||
6,514 | Series 2009-10, Class SL, IF, IO, 6.235%, 03/16/34 | 778 | ||||||
13,275 | Series 2009-11, Class SC, IF, IO, 5.885%, 02/16/39 | 1,612 | ||||||
4,986 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 742 | ||||||
10,058 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 1,528 | ||||||
32,170 | Series 2009-22, Class SA, IF, IO, 6.007%, 04/20/39 | 3,593 | ||||||
17,611 | Series 2009-24, Class DS, IF, IO, 6.037%, 03/20/39 | 1,837 | ||||||
8,656 | Series 2009-25, Class SE, IF, IO, 7.337%, 09/20/38 | 1,251 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
17,831 | Series 2009-31, Class ST, IF, IO, 6.087%, 03/20/39 | 2,042 | ||||||
21,463 | Series 2009-31, Class TS, IF, IO, 6.037%, 03/20/39 | 2,389 | ||||||
5,243 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 1,051 | ||||||
5,328 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 852 | ||||||
14,323 | Series 2009-35, Class SN, IF, IO, 6.135%, 12/16/38 | 1,734 | ||||||
27,369 | Series 2009-42, Class SC, IF, IO, 5.817%, 06/20/39 | 3,232 | ||||||
19,033 | Series 2009-43, Class SA, IF, IO, 5.687%, 06/20/39 | 2,128 | ||||||
11,233 | Series 2009-44, Class MV, 6.000%, 04/20/20 | 12,379 | ||||||
4,038 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 4,416 | ||||||
39,148 | Series 2009-64, Class SN, IF, IO, 5.835%, 07/16/39 | 4,534 | ||||||
6,840 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 999 | ||||||
24,661 | Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 | 2,975 | ||||||
3,070 | Series 2009-75, Class MN, 5.500%, 09/20/39 | 3,279 | ||||||
17,357 | Series 2009-79, Class OK, PO, 11/16/37 | 15,207 | ||||||
36,487 | Series 2009-81, Class SB, IF, IO, 5.827%, 09/20/39 | 3,991 | ||||||
16,791 | Series 2009-83, Class TS, IF, IO, 5.837%, 08/20/39 | 1,793 | ||||||
4,754 | Series 2009-89, Class VA, 5.000%, 07/20/20 | 5,078 | ||||||
62,291 | Series 2009-102, Class SM, IF, IO, 6.135%, 06/16/39 | 7,567 | ||||||
3,924 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 4,437 | ||||||
24,094 | Series 2009-106, Class AS, IF, IO, 6.135%, 11/16/39 | 3,152 | ||||||
89,500 | Series 2009-106, Class ST, IF, IO, 5.737%, 02/20/38 | 9,498 | ||||||
6,433 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 7,061 | ||||||
8,160 | Series 2010-14, Class AO, PO, 12/20/32 | 7,225 | ||||||
3,086 | Series 2010-14, Class AO, PO, 11/20/35 | 2,721 | ||||||
4,500 | Series 2010-14, Class CO, PO, 08/20/35 | 3,261 | ||||||
1,365 | Series 2010-14, Class EO, PO, 06/16/33 | 1,320 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
41,891 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 45,324 | ||||||
5,695 | Series 2010-41, Class WA, VAR, 5.863%, 10/20/33 | 6,246 | ||||||
3,629 | Series 2010-103, Class WA, VAR, 5.768%, 08/20/34 | 3,965 | ||||||
4,641 | Series 2010-129, Class AW, VAR, 6.153%, 04/20/37 | 5,333 | ||||||
33,233 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 37,103 | ||||||
22,380 | Series 2010-157, Class OP, PO, 12/20/40 | 17,004 | ||||||
NCUA Guaranteed Notes, | ||||||||
73,262 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 71,245 | ||||||
33,199 | Series 2010-R3, Class 1A, VAR, 0.823%, 12/08/20 | 33,355 | ||||||
11,107 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 10,861 | ||||||
Vendee Mortgage Trust, | ||||||||
12,961 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 14,753 | ||||||
2,531 | Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 | 2,710 | ||||||
9,063 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 10,041 | ||||||
3,593 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 4,047 | ||||||
1,681 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,893 | ||||||
4,978 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 5,722 | ||||||
3,427 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,937 | ||||||
4,847,486 | ||||||||
Non-Agency CMO — 13.0% | ||||||||
7,000 | AAM ACE Resecuritization Trust, | 6,589 | ||||||
266 | ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 | 268 | ||||||
American General Mortgage Loan Trust, | ||||||||
961 | Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e) | 960 | ||||||
4,097 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 4,398 | ||||||
24,489 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 25,656 | ||||||
16,389 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 17,344 | ||||||
33,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 34,102 | ||||||
13,350 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 13,870 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
8,500 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 | 3,988 | ||||||
ASG Resecuritization Trust, | ||||||||
8,362 | Series 2009-1, Class A60, VAR, 5.348%, 06/26/37 (e) | 8,466 | ||||||
23,982 | Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) | 24,568 | ||||||
45,047 | Series 2009-3, Class A65, VAR, 5.374%, 03/26/37 (e) | 45,748 | ||||||
25,901 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 26,290 | ||||||
6,279 | Series 2009-5, Class A50, VAR, 5.588%, 02/28/37 (e) | 6,357 | ||||||
11,905 | Series 2010-1, Class A85, VAR, 0.661%, 02/27/36 (e) | 11,369 | ||||||
19,741 | Series 2010-2, Class A60, VAR, 5.134%, 01/28/37 (e) | 19,741 | ||||||
22,238 | Series 2010-3, Class 2A22, VAR, 0.440%, 10/28/36 (e) | 21,904 | ||||||
13,215 | Series 2010-4, Class 1A22, VAR, 0.410%, 07/28/36 (e) (f) (i) | 12,753 | ||||||
6,045 | Series 2010-4, Class 2A20, VAR, 0.392%, 11/28/36 (e) | 5,924 | ||||||
14,839 | Series 2011-1, Class 1A85, 4.000%, 09/28/35 (e) | 14,839 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
434 | Series 2003-1, Class APO, PO, 02/25/33 | 290 | ||||||
4,898 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 | 5,058 | ||||||
7,932 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 8,039 | ||||||
9,194 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 9,345 | ||||||
9,526 | Series 2003-11, Class 1A1, 6.000%, 01/25/34 | 9,545 | ||||||
7,581 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 7,585 | ||||||
1,025 | Series 2003-11, Class PO, PO, 01/25/34 | 723 | ||||||
2,679 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 2,827 | ||||||
2,897 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 2,938 | ||||||
559 | Series 2004-6, Class 15PO, PO, 07/25/19 | 402 | ||||||
�� | 1,626 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,678 | |||||
4,347 | Series 2004-8, Class 3A1, 5.500%, 09/25/19 | 4,453 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 45 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
1,402 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,288 | ||||||
4,562 | Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 | 921 | ||||||
Banc of America Funding Corp., | ||||||||
1,457 | Series 2004-1, Class PO, PO, 03/25/34 | 1,166 | ||||||
1,920 | Series 2004-2, Class 1CB1, 5.750%, 09/20/34 | 1,906 | ||||||
4,241 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 4,302 | ||||||
4,544 | Series 2004-C, Class 1A1, VAR, 5.012%, 12/20/34 | 4,651 | ||||||
2,186 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 2,135 | ||||||
1,992 | Series 2005-7, Class 30PO, PO, 11/25/35 | 1,153 | ||||||
924 | Series 2005-8, Class 30PO, PO, 01/25/36 | 515 | ||||||
3,704 | Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 | 3,659 | ||||||
2,352 | Series 2006-1, Class XPO, PO, 01/25/36 | 1,435 | ||||||
5,194 | Series 2010-R4, Class 5A1, VAR, 0.411%, 07/26/36 (e) | 5,036 | ||||||
17,496 | Series 2010-R5, Class 5A6, VAR, 0.561%, 05/26/37 (e) | 16,884 | ||||||
2,819 | Series 2010-R7, Class A1, VAR, 0.441%, 06/25/46 (e) (f) (i) | 2,766 | ||||||
19,358 | Series 2010-R11A, Class 1A6, VAR, 5.460%, 08/26/35 (e) | 19,978 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
10,000 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 10,252 | ||||||
4,564 | Series 2003-3, Class 2A1, VAR, 0.812%, 05/25/18 | 4,398 | ||||||
1,186 | Series 2003-5, Class 3A1, 7.500%, 02/25/31 | 1,244 | ||||||
2,159 | Series 2003-6, Class 2A1, VAR, 0.712%, 08/25/18 | 2,083 | ||||||
294 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 304 | ||||||
795 | Series 2003-8, Class APO, PO, 11/25/33 | 580 | ||||||
1,628 | Series 2003-C, Class 3A1, VAR, 2.966%, 04/25/33 | 1,665 | ||||||
5,007 | Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33 | 4,816 | ||||||
488 | Series 2004-1, Class APO, PO, 02/25/34 | 357 | ||||||
5,977 | Series 2004-3, Class 15IO, IO, VAR, 0.235%, 04/25/19 | 30 | ||||||
446 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 | 446 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
16,500 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 16,948 | ||||||
303 | Series 2004-4, Class APO, PO, 05/25/34 | 229 | ||||||
3,766 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 3,717 | ||||||
2,366 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 2,415 | ||||||
970 | Series 2004-6, Class 2A7, 5.500%, 07/25/34 | 1,005 | ||||||
1,751 | Series 2004-6, Class APO, PO, 07/25/34 | 1,259 | ||||||
114 | Series 2004-8, Class 5PO, PO, 05/25/32 | 87 | ||||||
651 | Series 2004-8, Class XPO, PO, 10/25/34 | 490 | ||||||
2,524 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 2,643 | ||||||
231 | Series 2004-9, Class 3PO, PO, 09/25/32 | 174 | ||||||
3,017 | Series 2004-J, Class 3A1, VAR, 5.095%, 11/25/34 | 2,854 | ||||||
6,916 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 7,043 | ||||||
BCAP LLC Trust, | ||||||||
12,814 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 13,006 | ||||||
18,004 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 18,094 | ||||||
4,880 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 4,856 | ||||||
21,766 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 22,719 | ||||||
6,912 | Series 2009-RR14, Class 3A2, VAR, 2.894%, 08/26/35 (e) | 6,566 | ||||||
3,280 | Series 2009-RR14, Class 4A1, VAR, 4.724%, 03/26/36 (e) | 3,270 | ||||||
3,230 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 3,242 | ||||||
6,020 | Series 2010-RR4, Class 2A1, VAR, 1.011%, 06/26/37 (e) | 5,779 | ||||||
6,810 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 6,818 | ||||||
13,476 | Series 2010-RR5, Class 2A5, VAR, 5.183%, 04/26/37 (e) | 13,375 | ||||||
9,301 | Series 2010-RR6, Class 22A3, VAR, 5.640%, 06/26/36 (e) | 9,301 | ||||||
6,094 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 6,056 | ||||||
11,851 | Series 2010-RR7, Class 15A1, VAR, 1.061%, 01/26/36 (e) | 11,081 | ||||||
13,589 | Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) | 12,841 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
22,020 | Series 2010-RR7, Class 1A5, VAR, 3.051%, 04/26/35 (e) | 22,244 | ||||||
48,484 | Series 2010-RR7, Class 2A1, VAR, 5.452%, 07/26/45 (e) | 48,362 | ||||||
9,311 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 9,519 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
4,703 | Series 2003-2, Class A5, VAR, 2.601%, 01/25/33 (e) | 4,738 | ||||||
520 | Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 513 | ||||||
7,860 | Series 2004-2, Class 14A, VAR, 5.138%, 05/25/34 | 8,171 | ||||||
17,293 | Series 2005-5, Class A1, VAR, 2.290%, 08/25/35 | 16,647 | ||||||
12,243 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 11,327 | ||||||
7,526 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.762%, 03/25/35 | 6,598 | ||||||
Cendant Mortgage Corp., | ||||||||
1,366 | Series 2003-8, Class 1P, PO, 10/25/33 | 827 | ||||||
409 | Series 2004-1, Class P, PO, 02/25/34 | 248 | ||||||
Chase Mortgage Finance Corp., | ||||||||
4,740 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 4,871 | ||||||
1,438 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 1,479 | ||||||
861 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 885 | ||||||
2,888 | Series 2003-S9, Class AP, PO, 10/25/18 | 2,427 | ||||||
6,780 | Series 2007-A1, Class 2A1, VAR, 2.887%, 02/25/37 | 6,854 | ||||||
1,271 | Series 2007-A1, Class 7A1, VAR, 2.930%, 02/25/37 | 1,272 | ||||||
3,776 | Series 2007-A1, Class 9A1, VAR, 3.597%, 02/25/37 | 3,840 | ||||||
2,664 | Series 2007-A2, Class 1A1, VAR, 2.884%, 07/25/37 | 2,621 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
225 | Series 1993-14, Class A3, VAR, 1.461%, 11/25/23 | 220 | ||||||
1,728 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 1,764 | ||||||
3,890 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 3,975 | ||||||
8,979 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 9,402 | ||||||
1,178 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 1,191 | ||||||
2,114 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 2,126 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
5,000 | Series 2006-4, Class 1A2, 6.000%, 08/25/36 | 4,796 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
5,102 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 5,326 | ||||||
600 | Series 2003-1, Class 2A6, PO, 10/25/33 | 388 | ||||||
656 | Series 2003-1, Class PO2, PO, 10/25/33 | 461 | ||||||
532 | Series 2003-1, Class PO3, PO, 09/25/33 | 379 | ||||||
64 | Series 2003-1, Class WPO1, PO, 06/25/16 | 62 | ||||||
680 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 687 | ||||||
2,661 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 2,751 | ||||||
591 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 487 | ||||||
409 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 346 | ||||||
3,488 | Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 | 3,597 | ||||||
663 | Series 2005-1, Class 2A1A, VAR, 2.751%, 04/25/35 | 451 | ||||||
5,215 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 5,215 | ||||||
1,910 | Series 2005-5, Class 1A2, VAR, 2.714%, 08/25/35 | 1,264 | ||||||
28,551 | Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 | 27,980 | ||||||
4,903 | Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) | 4,535 | ||||||
16,680 | Series 2009-10, Class 1A1, VAR, 2.712%, 09/25/33 (e) | 16,931 | ||||||
13,346 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 13,379 | ||||||
13,000 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 13,650 | ||||||
7,190 | Series 2010-7, Class 10A1, VAR, 2.739%, 02/25/35 (e) | 7,155 | ||||||
7,260 | Series 2010-7, Class 4A1, VAR, 1.260%, 09/25/37 (e) | 7,164 | ||||||
6,752 | Series 2010-10, Class 2A1, VAR, 2.720%, 02/25/36 (e) | 6,668 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
2,434 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 2,408 | ||||||
487 | Series 2002-12, Class PO, PO, 11/25/32 | 338 | ||||||
3,825 | Series 2002-18, Class M, 6.000%, 02/25/33 | 3,349 | ||||||
638 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 500 | ||||||
10,659 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 10,703 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 47 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
2,630 | Series 2004-14T2, Class A5, 5.500%, 08/25/34 | 2,561 | ||||||
8,790 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 8,857 | ||||||
1,279 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 1,301 | ||||||
10,302 | Series 2005-1CB, Class 1A6, IF, IO, 6.838%, 03/25/35 | 1,312 | ||||||
19,729 | Series 2005-20CB, Class 3A8, IF, IO, 4.489%, 07/25/35 | 2,180 | ||||||
22,729 | Series 2005-22T1, Class A2, IF, IO, 4.808%, 06/25/35 | 2,379 | ||||||
399 | Series 2005-26CB, Class A10, IF, 12.576%, 07/25/35 | 399 | ||||||
7,841 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 6,349 | ||||||
201 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 201 | ||||||
327 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 298 | ||||||
72,898 | Series 2005-37T1, Class A2, IF, IO, 4.789%, 09/25/35 | 8,869 | ||||||
9,300 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 7,965 | ||||||
39,311 | Series 2005-54CB, Class 1A2, IF, IO, 4.588%, 11/25/35 | 3,459 | ||||||
278 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 274 | ||||||
3,417 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 2,833 | ||||||
16,850 | Series 2005-J1, Class 1A4, IF, IO, 4.839%, 02/25/35 | 1,730 | ||||||
8,000 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) | 3,360 | ||||||
1,500 | Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i) | 188 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
499 | Series 2002-18, Class PO, PO, 11/25/32 | 388 | ||||||
2,443 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 2,544 | ||||||
4,958 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 4,737 | ||||||
1,904 | Series 2003-29, Class A1, 5.500%, 08/25/33 | 1,966 | ||||||
567 | Series 2003-34, Class A11, 5.250%, 09/25/33 | 567 | ||||||
4,213 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 4,285 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
8,723 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 8,566 | ||||||
1,120 | Series 2003-44, Class A9, PO, 10/25/33 | 883 | ||||||
8,772 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 8,905 | ||||||
285 | Series 2003-J13, Class PO, PO, 01/25/34 | 174 | ||||||
2,299 | Series 2003-J7, Class 4A3, IF, 9.435%, 08/25/18 | 2,175 | ||||||
8,580 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 8,960 | ||||||
402 | Series 2004-7, Class 2A1, VAR, 2.392%, 06/25/34 | 377 | ||||||
9,205 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 9,391 | ||||||
737 | Series 2004-HYB1, Class 2A, VAR, 2.889%, 05/20/34 | 668 | ||||||
2,896 | Series 2004-HYB3, Class 2A, VAR, 2.649%, 06/20/34 | 2,468 | ||||||
1,919 | Series 2004-HYB6, Class A3, VAR, 3.089%, 11/20/34 | 1,679 | ||||||
1,146 | Series 2004-J6, Class 2A1, 4.750%, 07/25/14 | 1,171 | ||||||
789 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 814 | ||||||
1,152 | Series 2005-14, Class A2, 5.500%, 07/25/35 | 1,186 | ||||||
1,000 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 980 | ||||||
7,053 | Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 | 5,670 | ||||||
330 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 237 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
12,795 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 12,923 | ||||||
9,794 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 9,855 | ||||||
7,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 6,900 | ||||||
11,297 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 11,466 | ||||||
7,840 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 8,153 | ||||||
31,293 | Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) | 31,098 | ||||||
9,945 | Series 2010-12R, Class 14A1, VAR, 4.500%, 09/26/46 (e) | 10,007 | ||||||
7,703 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 7,798 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
1,699 | Series 2010-14R, Class 1A1, VAR, 1.012%, 11/26/37 (e) | 1,698 | ||||||
8,698 | Series 2010-15R, Class 7A1, VAR, 5.340%, 10/26/37 (e) | 8,807 | ||||||
3,010 | Series 2010-15R, Class 7A2, VAR, 5.340%, 10/26/37 (e) | 2,761 | ||||||
12,611 | Series 2010-17R, Class 5A1, VAR, 3.500%, 07/26/36 (e) | 12,484 | ||||||
49,600 | Series 2011-1R, Class A1, VAR, 1.260%, 02/27/47 (e) | 49,600 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
81 | Series 1997-2, Class A, 7.500%, 06/25/20 (e) | 83 | ||||||
2,190 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,904 | ||||||
3,538 | Series 2003-23, Class 1P, PO, 10/25/33 | 2,122 | ||||||
3,289 | Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 3,384 | ||||||
685 | Series 2003-25, Class 2A1, 4.500%, 10/25/18 | 697 | ||||||
6,579 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 6,442 | ||||||
3,184 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 3,229 | ||||||
1,517 | Series 2003-AR15, Class 3A1, VAR, 2.811%, 06/25/33 | 1,503 | ||||||
4,242 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 4,496 | ||||||
4,853 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 5,029 | ||||||
195 | Series 2004-5, Class 5P, PO, 08/25/19 | 164 | ||||||
6,178 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 6,483 | ||||||
3,500 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 3,558 | ||||||
1,677 | Series 2005-4, Class 3A24, IF, 18.122%, 06/25/35 | 1,665 | ||||||
1,060 | Series 2005-9, Class AP, PO, 10/25/35 | 665 | ||||||
7,992 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 1,022 | ||||||
558 | Series 2005-10, Class AP, PO, 11/25/35 | 299 | ||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, | ||||||||
2,839 | Series 2005-1, Class 2A1, VAR, 5.602%, 02/25/20 | 2,882 | ||||||
3,979 | Series 2005-3, Class 1A1, VAR, 5.295%, 06/25/20 | 3,771 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
Deutsche Mortgage Securities, Inc., | ||||||||
282 | Series 2004-1, Class 2APO, PO, 10/25/18 | 235 | ||||||
7,660 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 7,682 | ||||||
16,191 | Series 2010-RS2, Class A1, VAR, 1.510%, 06/28/47 (e) | 16,196 | ||||||
First Boston Mortgage Securities Corp. 1987 STRIPS, | ||||||||
30 | Series C, Class PO, PO, 04/25/17 | 29 | ||||||
53 | Series C, Class IO, IO, 10.965%, 04/25/17 | 8 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
3,365 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 2,596 | ||||||
26,211 | Series 2007-FA4, Class 1A2, IF, IO, 5.389%, 08/25/37 | 3,843 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
330 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 340 | ||||||
3,716 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 3,822 | ||||||
3,155 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 2,929 | ||||||
2,590 | Series 2004-AR2, Class 2A1, VAR, 2.880%, 05/25/34 | 2,506 | ||||||
2,239 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 | 2,216 | ||||||
798 | Series 2004-AR7, Class 2A2, VAR, 2.742%, 02/25/35 | 736 | ||||||
7,062 | Series 2005-AR1, Class 2A2, VAR, 2.801%, 04/25/35 | 6,940 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
14,940 | Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 | 15,046 | ||||||
9,540 | Series 2003-AR2, Class 2A4, VAR, 3.318%, 12/19/33 | 9,615 | ||||||
1,382 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 1,449 | ||||||
12,976 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 12,824 | ||||||
814 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 823 | ||||||
829 | Series 2004-J5, Class A2, VAR, 0.662%, 01/25/35 | 826 | ||||||
7,796 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 8,088 | ||||||
4,831 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 4,901 | ||||||
1,731 | Series 2005-AR3, Class 3A3, VAR, 3.225%, 06/19/35 | 1,689 | ||||||
5,000 | Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 | 4,051 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 49 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
11,017 | Series 2010-1, Class A, 4.250%, 07/25/40 (e) | 11,164 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
1,405 | Series 2004-4, Class 1AF, VAR, 0.662%, 06/25/34 (e) | 1,202 | ||||||
2,590 | Series 2005-RP2, Class 1AF, VAR, 0.611%, 03/25/35 (e) | 2,225 | ||||||
GSR Mortgage Loan Trust, | ||||||||
1,591 | Series 2003-3F, Class 4A3, 5.750%, 04/25/33 | 1,510 | ||||||
1,081 | Series 2003-6F, Class A2, VAR, 0.662%, 09/25/32 | 1,014 | ||||||
5,775 | Series 2004-9, Class 5A5, VAR, 3.827%, 08/25/34 | 5,743 | ||||||
3,476 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 3,681 | ||||||
475 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 488 | ||||||
974 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 957 | ||||||
172 | Series 2004-15F, Class AP, PO, 12/25/34 | 114 | ||||||
4,119 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 4,150 | ||||||
9,632 | Series 2005-5F, Class 8A3, VAR, 0.762%, 06/25/35 | 8,821 | ||||||
9,181 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 8,423 | ||||||
542 | Series 2005-AR6, Class 3A1, VAR, 2.763%, 09/25/35 | 496 | ||||||
4,000 | Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 3,634 | ||||||
11,334 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 10,248 | ||||||
322 | Series 2006-2F, Class 2A15, 5.750%, 02/25/36 | 321 | ||||||
13,000 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 12,350 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
2,494 | Series 2003-2, Class A1, 5.500%, 08/25/33 | 2,557 | ||||||
117 | Series 2004-3, Class 1A4, VAR, 1.061%, 11/25/34 | 113 | ||||||
20,172 | Series 2006-2, Class 2A1, VAR, 0.611%, 08/25/36 | 18,715 | ||||||
33,139 | Indymac Index Mortgage Loan Trust, | 290 | ||||||
JP Morgan Mortgage Trust, | ||||||||
2,020 | Series 2004-A3, Class 4A1, VAR, 4.290%, 07/25/34 | 2,038 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
4,259 | Series 2004-A4, Class 1A1, VAR, 4.533%, 09/25/34 | 4,372 | ||||||
3,546 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 3,668 | ||||||
7,550 | Series 2005-A1, Class 3A4, VAR, 5.012%, 02/25/35 | 7,410 | ||||||
4,414 | Series 2005-A1, Class 5A1, VAR, 4.478%, 02/25/35 | 4,515 | ||||||
48,800 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 48,604 | ||||||
3,104 | Series 2006-A2, Class 5A3, VAR, 2.974%, 11/25/33 | 3,130 | ||||||
6,952 | Series 2006-A3, Class 6A1, VAR, 2.994%, 08/25/34 | 6,587 | ||||||
4,320 | Series 2007-A1, Class 5A1, VAR, 2.968%, 07/25/35 | 4,084 | ||||||
1,728 | Series 2007-A1, Class 5A2, VAR, 2.968%, 07/25/35 | 1,670 | ||||||
JP Morgan Reremic, | ||||||||
8,594 | Series 2009-6, Class 4A1, VAR, 6.000%, 09/26/36 (e) | 8,970 | ||||||
9,612 | Series 2010-4, Class 7A1, VAR, 4.305%, 08/26/35 (e) | 9,682 | ||||||
Lehman Mortgage Trust, | ||||||||
2,931 | Series 2006-2, Class 1A1, VAR, 6.448%, 04/25/36 | 2,916 | ||||||
2,129 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 1,759 | ||||||
10,000 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 7,600 | ||||||
LVII Resecuritization Trust, | ||||||||
14,096 | Series 2009-2, Class A3, VAR, 2.898%, 09/27/37 (e) | 13,779 | ||||||
20,000 | Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e) | 19,600 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
1,839 | Series 2004-3, Class 4A2, VAR, 2.287%, 04/25/34 | 1,679 | ||||||
3,989 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 3,899 | ||||||
15,791 | Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 15,889 | ||||||
778 | Series 2004-15, Class 3A1, VAR, 3.278%, 12/25/34 | 660 | ||||||
MASTR Alternative Loans Trust, | ||||||||
5,665 | Series 2003-9, Class 2A1, 6.000%, 12/25/33 | 5,693 | ||||||
872 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 864 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
2,110 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 2,202 | ||||||
6,306 | Series 2004-3, Class 3A1, 6.000%, 04/25/34 | 6,522 | ||||||
1,266 | Series 2004-6, Class 30PO, PO, 07/25/34 | 868 | ||||||
691 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 706 | ||||||
1,085 | Series 2004-7, Class 30PO, PO, 08/25/34 | 778 | ||||||
3,334 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 3,398 | ||||||
1,256 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,279 | ||||||
4,187 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 4,064 | ||||||
MASTR Asset Securitization Trust, | ||||||||
938 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 957 | ||||||
594 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 601 | ||||||
1,888 | Series 2003-2, Class 2A10, 4.500%, 03/25/18 | 1,911 | ||||||
524 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 542 | ||||||
1,113 | Series 2003-9, Class 15PO, PO, 10/25/18 | 936 | ||||||
894 | Series 2003-9, Class 2A7, 5.500%, 10/25/33 | 920 | ||||||
621 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 631 | ||||||
640 | Series 2003-12, Class 30PO, PO, 12/25/33 | 383 | ||||||
1,744 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 1,772 | ||||||
399 | Series 2004-1, Class 30PO, PO, 02/25/34 | 272 | ||||||
5,028 | Series 2004-4, Class 1A6, 5.250%, 12/26/33 | 5,245 | ||||||
243 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 251 | ||||||
640 | Series 2004-6, Class 15PO, PO, 05/25/19 | 519 | ||||||
2,524 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 2,585 | ||||||
475 | Series 2004-8, Class PO, PO, 08/25/19 | 393 | ||||||
1,408 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 1,391 | ||||||
273 | Series 2004-10, Class 5A1, VAR, 0.662%, 11/25/34 | 273 | ||||||
4,755 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 5,048 | ||||||
2,300 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 2,105 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
MASTR Reperforming Loan Trust, | ||||||||
22,051 | Series 2005-2, Class 1A1F, VAR, 0.611%, 05/25/35 (e) | 18,269 | ||||||
2,491 | Series 2006-2, Class 1A1, VAR, 5.476%, 05/25/36 (e) | 2,216 | ||||||
7,432 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 5,053 | ||||||
433 | Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.442%, 05/25/35 | 412 | ||||||
Mellon Residential Funding Corp., | ||||||||
10,071 | Series 2000-TBC2, Class A1, VAR, 0.746%, 06/15/30 | 9,923 | ||||||
2,390 | Series 2000-TBC3, Class A1, VAR, 0.706%, 12/15/30 | 2,277 | ||||||
5,771 | Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.484%, 06/25/37 | 5,280 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
2,681 | Series 2003-A5, Class 2A6, VAR, 2.528%, 08/25/33 | 2,581 | ||||||
4,499 | Series 2004-A4, Class A2, VAR, 2.786%, 08/25/34 | 4,532 | ||||||
8,111 | Series 2005-A2, Class A1, VAR, 2.624%, 02/25/35 | 7,478 | ||||||
132 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 147 | ||||||
7,136 | Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 6,957 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
3,182 | Series 2003-E, Class A1, VAR, 0.571%, 10/25/28 | 2,997 | ||||||
4,988 | Series 2004-C, Class A2, VAR, 0.765%, 07/25/29 | 4,783 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
10,615 | Series 2004-3, Class 4A, VAR, 5.653%, 04/25/34 | 11,280 | ||||||
3,205 | Series 2004-9, Class 4A, VAR, 5.423%, 11/25/19 | 3,271 | ||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,180.500%, 04/20/21 | 28 | |||||
2,526 | MortgageIT Trust, Series 2005-1, | 1,961 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
1,503 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 1,548 | ||||||
487 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 513 | ||||||
150 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 158 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 51 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
66 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 68 | ||||||
1,519 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 1,538 | ||||||
Paine Webber CMO Trust, | ||||||||
7 | Series H, Class 4, 8.750%, 04/01/18 | 8 | ||||||
27 | Series P, Class 4, 8.500%, 08/01/19 | 31 | ||||||
4,917 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 5,184 | ||||||
RBSSP Resecuritization Trust, | ||||||||
8,105 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 8,543 | ||||||
6,565 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 6,630 | ||||||
7,820 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 8,094 | ||||||
7,494 | Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) | 7,592 | ||||||
8,365 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 8,619 | ||||||
22,602 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 23,821 | ||||||
8,604 | Series 2009-12, Class 3A1, VAR, 0.501%, 12/25/35 (e) | 8,331 | ||||||
4,441 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 4,496 | ||||||
2,942 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 2,991 | ||||||
7,865 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 7,905 | ||||||
4,807 | Series 2010-4, Class 2A1, SUB, 5.749%, 11/26/35 (e) | 4,964 | ||||||
10,900 | Series 2010-9, Class 1A1, VAR, 0.446%, 07/26/37 (e) (f) (i) | 9,817 | ||||||
11,016 | Series 2010-9, Class 3A1, VAR, 5.000%, 10/26/34 (e) | 11,236 | ||||||
26,500 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 26,301 | ||||||
4,733 | Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) | 4,792 | ||||||
Residential Accredit Loans, Inc., | ||||||||
2,061 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 2,107 | ||||||
913 | Series 2002-QS16, Class A3, IF, 16.076%, 10/25/17 | 994 | ||||||
3,708 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 3,769 | ||||||
3,031 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 2,986 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
1,798 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 1,729 | ||||||
884 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 875 | ||||||
2,461 | Series 2003-QS12, Class A2A, IF, IO, 7.338%, 06/25/18 | 338 | ||||||
749 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 80 | ||||||
5,969 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 6,071 | ||||||
7,546 | Series 2003-QS15, Class A7, 5.500%, 08/25/33 | 7,416 | ||||||
1,789 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,846 | ||||||
13,365 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 13,966 | ||||||
1,640 | Series 2003-QS3, Class A2, IF, 15.925%, 02/25/18 | 1,768 | ||||||
1,682 | Series 2003-QS3, Class A8, IF, IO, 7.338%, 02/25/18 | 197 | ||||||
4,564 | Series 2003-QS9, Class A3, IF, IO, 7.288%, 05/25/18 | 652 | ||||||
11,045 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 9,647 | ||||||
873 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 874 | ||||||
3,000 | Series 2005-QA6, Class A32, VAR, 5.501%, 05/25/35 | 2,161 | ||||||
562 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 394 | ||||||
Residential Asset Securitization Trust, | ||||||||
1,874 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 1,604 | ||||||
196 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 203 | ||||||
3,811 | Series 2003-A8, Class A5, 4.250%, 10/25/18 | 3,613 | ||||||
22,209 | Series 2005-A2, Class A4, IF, IO, 4.789%, 03/25/35 | 2,673 | ||||||
2,932 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,900 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
1,680 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,715 | ||||||
759 | Series 2003-S14, Class A4, PO, 07/25/18 | 726 | ||||||
2,059 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 2,113 | ||||||
2,930 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 2,998 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
352 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 292 | ||||||
2,439 | Series 2005-S1, Class 2A1, 4.750%, 02/25/20 | 2,509 | ||||||
2,177 | Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 | 1,676 | ||||||
126 | Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 90 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
9,493 | Series 2003-HYB1, Class A, VAR, 3.199%, 09/25/33 | 9,672 | ||||||
349 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 257 | ||||||
Sequoia Mortgage Trust, | ||||||||
3,153 | Series 2004-8, Class A1, VAR, 0.612%, 09/20/34 | 2,925 | ||||||
4,920 | Series 2004-8, Class A2, VAR, 0.830%, 09/20/34 | 4,515 | ||||||
1,482 | Series 2004-10, Class A1A, VAR, 0.572%, 11/20/34 | 1,398 | ||||||
5,945 | Series 2004-12, Class A3, VAR, 0.780%, 01/20/35 | 5,160 | ||||||
Station Place Securitization Trust, | ||||||||
50,000 | Series 2010-1, Class A, VAR, 1.263%, 12/20/42 | 50,000 | ||||||
5,250 | Series 2010-1, Class M1, VAR, 2.013%, 12/20/42 | 5,250 | ||||||
4,200 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 | 4,095 | ||||||
Structured Asset Securities Corp., | ||||||||
1,248 | Series 2002-17, Class B1, VAR, 6.095%, 09/25/32 | 1,235 | ||||||
130 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 96 | ||||||
1,162 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 1,198 | ||||||
7,422 | Series 2003-16, Class A3, VAR, 0.762%, 06/25/33 | 7,156 | ||||||
610 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 625 | ||||||
6,156 | Series 2003-29, Class 1A1, 4.750%, 09/25/18 | 6,295 | ||||||
1,375 | Series 2003-30, Class 1A1, 5.500%, 10/25/33 | 1,437 | ||||||
2,299 | Series 2003-30, Class 3A2, VAR, 0.762%, 10/25/33 | 2,237 | ||||||
1,236 | Series 2003-32, Class 1A1, VAR, 5.190%, 11/25/33 | 1,266 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
1,412 | Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 | 586 | ||||||
8,808 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 8,965 | ||||||
9,921 | Series 2003-37A, Class 2A, VAR, 5.012%, 12/25/33 | 10,270 | ||||||
3,962 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 | 4,002 | ||||||
17,500 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 17,432 | ||||||
5,792 | Series 2004-4XS, Class 1A5, SUB, 5.490%, 02/25/34 | 5,850 | ||||||
3,361 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 3,307 | ||||||
2,082 | Series 2005-RF3, Class 1A, VAR, 0.611%, 06/25/35 (e) | 1,694 | ||||||
2,904 | Thornburg Mortgage Securities Trust, | 2,702 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
4,667 | Series 2003-AR7, Class A7, VAR, 2.674%, 08/25/33 | 4,670 | ||||||
24,144 | Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 | 23,952 | ||||||
4,357 | Series 2003-AR9, Class 2A, VAR, 2.780%, 09/25/33 | 4,413 | ||||||
6,000 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 6,191 | ||||||
1,121 | Series 2003-S10, Class A2, 5.000%, 10/25/18 | 1,169 | ||||||
545 | Series 2003-S10, Class A6, PO, 10/25/18 | 540 | ||||||
6,920 | Series 2003-S11, Class 2A5, IF, 16.331%, 11/25/33 | 7,269 | ||||||
2,714 | Series 2003-S13, Class 23A1, VAR, 0.812%, 12/25/18 | 2,617 | ||||||
1,843 | Series 2003-S4, Class 2A10, VAR, 16.743%, 06/25/33 | 2,072 | ||||||
4,261 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 4,303 | ||||||
1,946 | Series 2003-S8, Class A5, 4.500%, 09/25/18 | 1,983 | ||||||
1,621 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,670 | ||||||
20,646 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 20,667 | ||||||
692 | Series 2003-S9, Class P, PO, 10/25/33 | 494 | ||||||
5,990 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 5,896 | ||||||
7,697 | Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 | 7,577 | ||||||
3,179 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 3,345 | ||||||
3,421 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 3,585 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 53 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
1,406 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 1,461 | ||||||
1,403 | Series 2004-S1, Class 1A3, VAR, 0.662%, 03/25/34 | 1,408 | ||||||
9,848 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 9,842 | ||||||
5,595 | Series 2004-S3, Class 1A5, 5.000%, 07/25/34 | 5,792 | ||||||
664 | Series 2006-AR10, Class 2P, VAR, 0.000% 09/25/36 | 385 | ||||||
2,000 | Series 2006-AR8, Class 1A2, VAR, 5.659%, 08/25/46 | 1,370 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
6,519 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 6,160 | ||||||
452 | Series 2005-1, Class CP, PO, 03/25/35 | 290 | ||||||
25,173 | Series 2005-2, Class 1A4, IF, IO, 4.789%, 04/25/35 | 2,062 | ||||||
6,948 | Series 2005-2, Class 2A3, IF, IO, 4.739%, 04/25/35 | 927 | ||||||
7,673 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 6,723 | ||||||
8,390 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 1,364 | ||||||
2,139 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,891 | ||||||
905 | Series 2006-1, Class 3A2, 5.750%, 02/25/36 | 784 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
93 | Series 2002-MS12, Class A, 6.500%, 05/25/32 | 97 | ||||||
1,148 | Series 2003-MS5, Class 1A4, VAR, 0.762%, 03/25/18 | 1,133 | ||||||
133 | Series 2003-MS7, Class P, PO, 03/25/33 | 104 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
450 | Series 2003-1, Class APO, PO, 09/25/33 | 345 | ||||||
1,280 | Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 | 1,038 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
961 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 993 | ||||||
2,565 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 2,565 | ||||||
821 | Series 2003-11, Class 1APO, PO, 10/25/18 | 689 | ||||||
2,746 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 2,789 | ||||||
14,675 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 15,108 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
343 | Series 2003-15, Class APO, PO, 12/25/18 | 282 | ||||||
946 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 968 | ||||||
1,366 | Series 2003-J, Class 2A5, VAR, 4.426%, 10/25/33 | 1,394 | ||||||
16,719 | Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 | 16,847 | ||||||
641 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 659 | ||||||
2,240 | Series 2003-L, Class 2A1, VAR, 4.517%, 11/25/33 | 2,276 | ||||||
2,435 | Series 2004-4, Class A9, 5.500%, 05/25/34 | 2,561 | ||||||
1,212 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 1,230 | ||||||
1,423 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,489 | ||||||
1,704 | Series 2004-8, Class APO, PO, 08/25/19 | 1,396 | ||||||
5,110 | Series 2004-B, Class A1, VAR, 4.930%, 02/25/34 | 5,311 | ||||||
3,595 | Series 2004-BB, Class A4, VAR, 2.746%, 01/25/35 | 3,611 | ||||||
4,089 | Series 2004-E, Class A8, VAR, 4.866%, 05/25/34 | 4,132 | ||||||
8,950 | Series 2004-EE, Class 2A1, VAR, 2.853%, 12/25/34 | 8,758 | ||||||
6,088 | Series 2004-EE, Class 2A2, VAR, 2.853%, 12/25/34 | 6,196 | ||||||
8,583 | Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 | 8,573 | ||||||
2,802 | Series 2004-EE, Class 3A2, VAR, 2.952%, 12/25/34 | 2,852 | ||||||
10,510 | Series 2004-I, Class 1A1, VAR, 2.892%, 07/25/34 | 10,972 | ||||||
10,127 | Series 2004-P, Class 2A1, VAR, 2.910%, 09/25/34 | 10,260 | ||||||
6,098 | Series 2004-V, Class 1A1, VAR, 2.862%, 10/25/34 | 6,075 | ||||||
7,822 | Series 2004-V, Class 1A2, VAR, 2.862%, 10/25/34 | 7,882 | ||||||
6,905 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 7,114 | ||||||
6,183 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 6,459 | ||||||
3,235 | Series 2005-14, Class 1A1, 5.500%, 12/25/35 | 3,404 | ||||||
1,206 | Series 2005-14, Class 2APO, PO, 12/25/35 | 660 | ||||||
5,403 | Series 2005-AR8, Class 2A1, VAR, 2.849%, 06/25/35 | 5,376 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Non-Agency CMO — Continued | ||||||||
1,550 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,475 | ||||||
11,000 | Series 2007-9, Class 1A8, 5.500%, 07/25/37 | 11,079 | ||||||
9,374 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 8,940 | ||||||
2,518,622 | ||||||||
Total Collateralized Mortgage Obligations | 7,366,108 | |||||||
| Commercial Mortgage-Backed Securities — 1.9% | |||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
5,000 | Series 2005-1, Class AJ, VAR, 5.157%, 11/10/42 | 5,290 | ||||||
5,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 5,247 | ||||||
10,625 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 10,980 | ||||||
2,500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 2,686 | ||||||
9,426 | Series 2005-6, Class ASB, VAR, 5.195%, 09/10/47 | 9,977 | ||||||
2,855 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 3,065 | ||||||
7,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 7,650 | ||||||
11,500 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 12,486 | ||||||
2,500 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 2,669 | ||||||
9,500 | Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.620%, 06/24/50 (e) | 10,255 | ||||||
33,000 | BCRR Trust, Series 2010-LEAF, Class 35A, 4.230%, 11/22/33 (e) | 33,444 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
3,696 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 3,848 | ||||||
8,560 | Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 9,337 | ||||||
1,072 | Series 2006-PW14, Class A1, 5.044%, 12/11/38 | 1,084 | ||||||
283,940 | Series 2006-PW14, Class X1, IO, VAR, 0.219%, 12/11/38 (e) | 4,786 | ||||||
2,700 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 2,923 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
7,200 | Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 7,546 | ||||||
789 | Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 | 790 | ||||||
4,700 | Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 5,062 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
6,300 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 6,728 | ||||||
2,150 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.659%, 03/15/39 | 2,330 | ||||||
1,700 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 1,767 | ||||||
16,232 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 16,527 | ||||||
38,412 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 38,402 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
395 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 400 | ||||||
14,000 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 14,900 | ||||||
3,500 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 3,659 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
7,300 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 7,879 | ||||||
194,958 | Series 2006-GG8, Class X, IO, VAR, 0.652%, 11/10/39 (e) | 4,386 | ||||||
5,500 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 5,654 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
473,564 | Series 2006-CB15, Class X1, IO, VAR, 0.086%, 06/12/43 | 3,389 | ||||||
1,600 | Series 2006-LDP8, Class A4, 5.399%, 05/15/45 | 1,721 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5,000 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 5,371 | ||||||
1,470 | Series 2006-C4, Class A4, VAR, 5.883%, 06/15/38 | 1,620 | ||||||
218,334 | Series 2007-C2, Class XW, IO, VAR, 0.558%, 02/15/40 | 4,936 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
2,500 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 2,698 | ||||||
3,325 | Series 2005-LC1, Class AJ, VAR, 5.331%, 01/12/44 | 3,367 | ||||||
5,988 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 6,257 | ||||||
2,200 | Series 2006-C1, Class A4, VAR, 5.659%, 05/12/39 | 2,412 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 55 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued | |||||||
4,950 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, | 5,358 | ||||||
12,855 | Morgan Stanley, 3.000%, 07/17/56 | 12,891 | ||||||
Morgan Stanley Capital I, | ||||||||
2,899 | Series 2004-RR, Class F4, VAR, 6.000%, 04/28/39 (e) | 2,906 | ||||||
179 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 180 | ||||||
128,911 | Series 2007-HQ13, Class X1, IO, VAR, 0.466%, 12/15/44 (e) | 2,640 | ||||||
24 | Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39 | 25 | ||||||
26,000 | Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 27,631 | ||||||
2,000 | Multi Security Asset Trust, Series 2005-RR4A, Class A3, 5.000%, 11/28/35 (e) | 2,023 | ||||||
27,950 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 | 30,398 | ||||||
8,143 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 | 8,165 | ||||||
Total Commercial Mortgage-Backed Securities | 365,745 | |||||||
| Corporate Bonds — 13.5% |
| ||||||
Consumer Discretionary — 0.9% |
| |||||||
Auto Components — 0.0% (g) |
| |||||||
3,335 | Johnson Controls, Inc., 4.250%, 03/01/21 | 3,321 | ||||||
Automobiles — 0.0% (g) |
| |||||||
3,600 | Daimler Finance North America LLC, 7.300%, 01/15/12 | 3,801 | ||||||
Broadcasting & Cable TV — 0.1% |
| |||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., | ||||||||
5,600 | 4.600%, 02/15/21 | 5,480 | ||||||
12,465 | 6.000%, 08/15/40 | 12,195 | ||||||
17,675 | ||||||||
Hotels, Restaurants & Leisure — 0.0% (g) |
| |||||||
2,025 | McDonald’s Corp., 4.300%, 03/01/13 | 2,147 | ||||||
Household Durables — 0.0% (g) |
| |||||||
3,000 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 2,975 | ||||||
Media — 0.7% |
| |||||||
CBS Corp., | ||||||||
750 | 5.500%, 05/15/33 | 683 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
1,426 | 5.750%, 04/15/20 | 1,516 | ||||||
5,025 | 7.875%, 07/30/30 | 5,860 | ||||||
1,500 | 8.875%, 05/15/19 | 1,892 | ||||||
Comcast Cable Communications Holdings, Inc., | ||||||||
6,417 | 8.375%, 03/15/13 | 7,278 | ||||||
5,250 | 9.455%, 11/15/22 | 7,159 | ||||||
Comcast Cable Communications LLC, | ||||||||
2,200 | 7.125%, 06/15/13 | 2,464 | ||||||
1,000 | 8.875%, 05/01/17 | 1,246 | ||||||
Comcast Cable Holdings LLC, | ||||||||
7,039 | 9.800%, 02/01/12 | 7,600 | ||||||
1,800 | 10.125%, 04/15/22 | 2,478 | ||||||
Comcast Corp., | ||||||||
2,574 | 5.500%, 03/15/11 | 2,579 | ||||||
1,300 | 5.900%, 03/15/16 | 1,445 | ||||||
1,000 | 6.500%, 01/15/17 | 1,142 | ||||||
4,600 | 6.500%, 11/15/35 | 4,851 | ||||||
Cox Communications, Inc., | ||||||||
2,600 | 5.450%, 12/15/14 | 2,871 | ||||||
1,300 | 8.375%, 03/01/39 (e) | 1,663 | ||||||
2,650 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 2,955 | ||||||
3,365 | Historic TW, Inc., 9.150%, 02/01/23 | 4,381 | ||||||
5,102 | NBC Universal, Inc., 5.950%, 04/01/41 (e) | 5,024 | ||||||
News America Holdings, Inc., | ||||||||
1,100 | 8.000%, 10/17/16 | 1,343 | ||||||
1,050 | 8.875%, 04/26/23 | 1,352 | ||||||
News America, Inc., | ||||||||
2,500 | 6.200%, 12/15/34 | 2,578 | ||||||
1,500 | 6.900%, 08/15/39 | 1,678 | ||||||
1,965 | 7.250%, 05/18/18 | 2,350 | ||||||
4,400 | 7.300%, 04/30/28 | 4,891 | ||||||
3,000 | 7.625%, 11/30/28 | 3,455 | ||||||
TCI Communications, Inc., | ||||||||
1,337 | 7.125%, 02/15/28 | 1,500 | ||||||
426 | 8.750%, 08/01/15 | 520 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
2,150 | 4.700%, 10/15/19 | 2,260 | ||||||
1,125 | 5.950%, 07/15/13 | 1,244 | ||||||
Time Warner Cable, Inc., | ||||||||
1,700 | 5.850%, 05/01/17 | 1,872 | ||||||
4,600 | 5.875%, 11/15/40 | 4,368 | ||||||
4,550 | 6.750%, 07/01/18 | 5,224 | ||||||
2,000 | 6.750%, 06/15/39 | 2,129 | ||||||
2,450 | 7.300%, 07/01/38 | 2,760 | ||||||
1,590 | 8.250%, 02/14/14 | 1,860 |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
2,150 | 8.250%, 04/01/19 | 2,647 | ||||||
1,785 | 8.750%, 02/14/19 | 2,253 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
2,020 | 8.375%, 03/15/23 | 2,539 | ||||||
6,500 | 8.375%, 07/15/33 | 8,069 | ||||||
2,165 | 10.150%, 05/01/12 | 2,380 | ||||||
Time Warner, Inc., | ||||||||
3,125 | 6.200%, 03/15/40 | 3,184 | ||||||
3,825 | 7.625%, 04/15/31 | 4,520 | ||||||
1,255 | 7.700%, 05/01/32 | 1,497 | ||||||
3,190 | Viacom, Inc., 6.250%, 04/30/16 | 3,660 | ||||||
137,220 | ||||||||
Multiline Retail — 0.0% (g) |
| |||||||
1,000 | Kohl’s Corp., 6.250%, 12/15/17 | 1,149 | ||||||
Target Corp., | ||||||||
2,100 | 6.000%, 01/15/18 | 2,414 | ||||||
1,900 | 7.000%, 01/15/38 | 2,304 | ||||||
5,867 | ||||||||
Specialty Retail — 0.1% |
| |||||||
4,600 | Home Depot, Inc., 5.400%, 03/01/16 | 5,120 | ||||||
3,500 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 4,156 | ||||||
1,775 | Staples, Inc., 9.750%, 01/15/14 | 2,144 | ||||||
11,420 | ||||||||
Total Consumer Discretionary | 184,426 | |||||||
Consumer Staples — 0.5% |
| |||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch Cos., Inc., | ||||||||
1,000 | 5.500%, 01/15/18 | 1,101 | ||||||
1,100 | 5.750%, 04/01/36 | 1,131 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
800 | 7.200%, 01/15/14 (e) | 916 | ||||||
7,050 | 7.750%, 01/15/19 (e) | 8,740 | ||||||
Coca-Cola Co. (The), | ||||||||
1,550 | 3.625%, 03/15/14 | 1,645 | ||||||
1,550 | 4.875%, 03/15/19 | 1,680 | ||||||
1,650 | Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 | 1,769 | ||||||
2,780 | Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 | 2,904 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
2,150 | 5.300%, 10/28/15 | 2,389 | ||||||
3,600 | 5.500%, 04/01/13 | 3,907 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Beverages — Continued |
| |||||||
3,975 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 4,224 | ||||||
231 | PepsiCo, Inc., 7.900%, 11/01/18 | 293 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
1,900 | 5.500%, 08/15/13 (e) | 2,078 | ||||||
850 | 6.500%, 07/01/16 (e) | 977 | ||||||
33,754 | ||||||||
Food & Staples Retailing — 0.0% (g) |
| |||||||
2,000 | CVS Caremark Corp., 6.125%, 09/15/39 | 2,076 | ||||||
Kroger Co. (The), | ||||||||
924 | 5.400%, 07/15/40 | 875 | ||||||
2,225 | 7.500%, 01/15/14 | 2,549 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,820 | 4.550%, 05/01/13 | 1,955 | ||||||
1,200 | 5.250%, 09/01/35 | 1,192 | ||||||
1,050 | 6.200%, 04/15/38 | 1,169 | ||||||
700 | 7.550%, 02/15/30 | 894 | ||||||
10,710 | ||||||||
Food Products — 0.3% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
2,125 | 5.875%, 05/15/13 | 2,264 | ||||||
4,760 | 8.500%, 06/15/19 | 5,654 | ||||||
605 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 624 | ||||||
Cargill, Inc., | ||||||||
1,650 | 5.200%, 01/22/13 (e) | 1,769 | ||||||
1,550 | 6.000%, 11/27/17 (e) | 1,742 | ||||||
900 | 6.375%, 06/01/12 (e) | 956 | ||||||
2,850 | 7.350%, 03/06/19 (e) | 3,442 | ||||||
1,270 | General Mills, Inc., 6.000%, 02/15/12 | 1,335 | ||||||
Kellogg Co., | ||||||||
1,500 | 4.250%, 03/06/13 | 1,588 | ||||||
2,600 | 5.125%, 12/03/12 | 2,778 | ||||||
Kraft Foods, Inc., | ||||||||
5,888 | 5.375%, 02/10/20 | 6,263 | ||||||
4,250 | 6.125%, 02/01/18 | 4,776 | ||||||
2,000 | 6.125%, 08/23/18 | 2,248 | ||||||
8,705 | 6.500%, 08/11/17 | 10,000 | ||||||
1,000 | 6.750%, 02/19/14 | 1,135 | ||||||
1,600 | 6.875%, 02/01/38 | 1,795 | ||||||
2,700 | 6.875%, 01/26/39 | 3,030 | ||||||
1,200 | 7.000%, 08/11/37 | 1,363 | ||||||
52,762 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 57 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Household Products — 0.0% (g) |
| |||||||
500 | Kimberly-Clark Corp., 7.500%, 11/01/18 | 625 | ||||||
2,262 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 2,882 | ||||||
1,000 | Procter & Gamble Co., 5.500%, 02/01/34 | 1,066 | ||||||
4,573 | ||||||||
Total Consumer Staples | 101,799 | |||||||
Energy — 0.8% |
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
Halliburton Co., | ||||||||
750 | 6.150%, 09/15/19 | 860 | ||||||
5,050 | 7.450%, 09/15/39 | 6,399 | ||||||
6,750 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 7,431 | ||||||
14,690 | ||||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
2,655 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 3,162 | ||||||
Anadarko Petroleum Corp., | ||||||||
405 | 5.750%, 06/15/14 | 445 | ||||||
8,500 | 7.625%, 03/15/14 | 9,732 | ||||||
1,100 | 8.700%, 03/15/19 | 1,359 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
1,380 | 3.125%, 03/10/12 | 1,411 | ||||||
5,500 | 3.875%, 03/10/15 | 5,762 | ||||||
9,100 | 5.250%, 11/07/13 | 9,880 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
400 | 5.900%, 02/01/18 | 453 | ||||||
2,000 | 6.750%, 02/01/39 | 2,291 | ||||||
5,100 | Chevron Corp., 4.950%, 03/03/19 | 5,691 | ||||||
1,040 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 1,280 | ||||||
ConocoPhillips, | ||||||||
1,500 | 5.200%, 05/15/18 | 1,652 | ||||||
2,000 | 5.750%, 02/01/19 | 2,267 | ||||||
1,450 | 6.000%, 01/15/20 | 1,664 | ||||||
1,450 | 6.500%, 02/01/39 | 1,683 | ||||||
900 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 932 | ||||||
2,750 | EnCana Corp., (Canada), 6.500%, 05/15/19 | 3,230 | ||||||
5,400 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 5,036 | ||||||
EOG Resources, Inc., | ||||||||
5,300 | 4.100%, 02/01/21 | 5,126 | ||||||
1,800 | 6.875%, 10/01/18 | 2,127 | ||||||
1,155 | Husky Energy, Inc., (Canada), 6.150%, 06/15/19 | 1,272 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
1,230 | Kerr-McGee Corp., 6.950%, 07/01/24 | 1,380 | ||||||
Marathon Oil Corp., | ||||||||
2,819 | 5.900%, 03/15/18 | 3,195 | ||||||
2,800 | 6.000%, 10/01/17 | 3,196 | ||||||
1,150 | PC Financial Partnership, 5.000%, 11/15/14 | 1,250 | ||||||
Petro-Canada, (Canada), | ||||||||
2,549 | 6.050%, 05/15/18 | 2,893 | ||||||
3,200 | 6.800%, 05/15/38 | 3,592 | ||||||
2,045 | Pioneer Natural Resources Co., 5.875%, 07/15/16 | 2,135 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
2,330 | 1.875%, 03/25/13 | 2,377 | ||||||
994 | 3.100%, 06/28/15 | 1,021 | ||||||
2,330 | 4.000%, 03/21/14 | 2,493 | ||||||
3,000 | 4.300%, 09/22/19 | 3,101 | ||||||
8,580 | 4.375%, 03/25/20 | 8,899 | ||||||
6,000 | 6.375%, 12/15/38 | 6,846 | ||||||
2,950 | Statoil ASA, (Norway), 3.125%, 08/17/17 | 2,933 | ||||||
Suncor Energy, Inc., (Canada), | ||||||||
1,900 | 6.100%, 06/01/18 | 2,162 | ||||||
900 | 6.850%, 06/01/39 | 1,022 | ||||||
475 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 582 | ||||||
Tosco Corp., | ||||||||
300 | 7.800%, 01/01/27 | 373 | ||||||
3,500 | 8.125%, 02/15/30 | 4,499 | ||||||
Total Capital S.A., (France), | ||||||||
10,000 | 2.300%, 03/15/16 | 9,727 | ||||||
2,218 | 4.125%, 01/28/21 | 2,201 | ||||||
2,800 | XTO Energy, Inc., 5.750%, 12/15/13 | 3,150 | ||||||
135,482 | ||||||||
Total Energy | 150,172 | |||||||
Financials — 8.0% |
| |||||||
Capital Markets — 1.8% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
8,000 | 2.950%, 06/18/15 | 8,161 | ||||||
2,500 | 3.100%, 01/15/15 | 2,572 | ||||||
3,750 | 4.600%, 01/15/20 | 3,910 | ||||||
1,000 | 5.125%, 08/27/13 | 1,093 | ||||||
BlackRock, Inc., | ||||||||
3,245 | 3.500%, 12/10/14 | 3,406 | ||||||
9,294 | 5.000%, 12/10/19 | 9,777 |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued |
| |||||||
10,200 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 10,022 | ||||||
1,600 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 1,745 | ||||||
Credit Suisse USA, Inc., | ||||||||
1,200 | 4.875%, 01/15/15 | 1,299 | ||||||
1,803 | 5.125%, 01/15/14 | 1,958 | ||||||
15,099 | 6.125%, 11/15/11 | 15,687 | ||||||
2,500 | FMR LLC, 6.450%, 11/15/39 (e) | 2,468 | ||||||
2,095 | Goldman Sachs Capital I, 6.345%, 02/15/34 | 2,052 | ||||||
1,000 | Goldman Sachs Group LP, 8.000%, 03/01/13 (e) | 1,108 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
7,300 | 3.700%, 08/01/15 | 7,401 | ||||||
2,694 | 4.750%, 07/15/13 | 2,868 | ||||||
3,185 | 5.150%, 01/15/14 | 3,440 | ||||||
3,810 | 5.250%, 10/15/13 | 4,128 | ||||||
4,201 | 5.375%, 03/15/20 | 4,316 | ||||||
10 | 5.700%, 09/01/12 | 11 | ||||||
12,900 | 5.950%, 01/18/18 | 14,005 | ||||||
1,875 | 6.000%, 06/15/20 | 2,010 | ||||||
650 | 6.150%, 04/01/18 | 712 | ||||||
7,470 | 6.250%, 09/01/17 | 8,295 | ||||||
9,056 | 6.600%, 01/15/12 | 9,518 | ||||||
1,600 | 6.750%, 10/01/37 | 1,640 | ||||||
24,430 | 7.500%, 02/15/19 | 28,796 | ||||||
Jefferies Group, Inc., | ||||||||
3,075 | 3.875%, 11/09/15 | 3,060 | ||||||
2,750 | 5.500%, 03/15/16 | 2,882 | ||||||
5,600 | 6.450%, 06/08/27 | 5,605 | ||||||
6,925 | 8.500%, 07/15/19 | 8,195 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
151 | 3.950%, 11/10/09 (d) | 38 | ||||||
3,480 | 4.800%, 03/13/14 (d) | 883 | ||||||
800 | 5.750%, 05/17/13 (d) | 203 | ||||||
3,000 | 6.000%, 07/19/12 (d) | 761 | ||||||
3,962 | 6.625%, 01/18/12 (d) | 1,006 | ||||||
450 | 6.750%, 12/28/17 (d) | — | (h) | |||||
219 | 7.875%, 11/01/09 (d) | 56 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
10,015 | 6.250%, 01/14/21 (e) | 10,240 | ||||||
6,992 | 7.300%, 08/01/14 (e) | 7,800 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
700 | 5.000%, 01/15/15 | 745 | ||||||
3,723 | 5.450%, 07/15/14 | 4,010 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
1,000 | 5.700%, 05/02/17 | 1,040 | ||||||
6,929 | 6.150%, 04/25/13 | 7,486 | ||||||
17,586 | 6.400%, 08/28/17 | 19,324 | ||||||
6,348 | 6.875%, 04/25/18 | 7,141 | ||||||
Morgan Stanley, | ||||||||
6,626 | 4.000%, 07/24/15 | 6,784 | ||||||
4,263 | 4.200%, 11/20/14 | 4,426 | ||||||
2,711 | 4.750%, 04/01/14 | 2,834 | ||||||
9,078 | 5.300%, 03/01/13 | 9,679 | ||||||
5,200 | 5.450%, 01/09/17 | 5,483 | ||||||
7,503 | 5.500%, 07/24/20 | 7,581 | ||||||
8,050 | 5.625%, 09/23/19 | 8,269 | ||||||
1,300 | 5.750%, 08/31/12 | 1,384 | ||||||
5,800 | 6.000%, 05/13/14 | 6,346 | ||||||
3,294 | 6.000%, 04/28/15 | 3,607 | ||||||
1,070 | 6.250%, 08/28/17 | 1,169 | ||||||
4,425 | 6.625%, 04/01/18 | 4,892 | ||||||
10,300 | 6.750%, 04/15/11 | 10,377 | ||||||
2,000 | 7.300%, 05/13/19 | 2,279 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
10,600 | 4.125%, 01/19/16 | 10,553 | ||||||
2,828 | 5.000%, 03/04/15 | 2,954 | ||||||
6,114 | 6.700%, 03/04/20 | 6,587 | ||||||
887 | Northern Trust Corp., 5.500%, 08/15/13 | 977 | ||||||
1,250 | State Street Corp., 4.300%, 05/30/14 | 1,349 | ||||||
UBS AG, (Switzerland), | ||||||||
2,927 | 2.250%, 08/12/13 | 2,959 | ||||||
13,050 | 3.875%, 01/15/15 | 13,399 | ||||||
2,000 | 4.875%, 08/04/20 | 2,019 | ||||||
2,400 | 5.750%, 04/25/18 | 2,608 | ||||||
1,025 | 5.875%, 12/20/17 | 1,122 | ||||||
352,510 | ||||||||
Commercial Banks — 2.4% |
| |||||||
2,930 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 2,974 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
6,200 | 3.250%, 03/01/16 (e) | 6,175 | ||||||
2,867 | 4.875%, 01/12/21 (e) | 2,916 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
8,206 | 1.650%, 10/29/15 (e) | 7,843 | ||||||
3,630 | 2.375%, 12/17/13 | 3,707 | ||||||
3,441 | 3.400%, 01/22/15 | 3,561 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 59 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
4,367 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 4,545 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
3,800 | 2.375%, 01/13/14 | 3,819 | ||||||
9,400 | 2.500%, 01/23/13 | 9,558 | ||||||
8,375 | 2.500%, 09/21/15 (e) | 8,214 | ||||||
3,858 | 3.900%, 04/07/15 | 3,982 | ||||||
1,100 | 5.000%, 09/22/16 | 1,167 | ||||||
4,500 | 5.125%, 01/08/20 | 4,597 | ||||||
5,500 | 5.200%, 07/10/14 | 5,945 | ||||||
3,700 | 6.050%, 12/04/17 (e) | 3,830 | ||||||
500 | 6.750%, 05/22/19 | 562 | ||||||
BB&T Corp., | ||||||||
2,350 | 3.375%, 09/25/13 | 2,456 | ||||||
10,800 | 3.850%, 07/27/12 | 11,211 | ||||||
6,250 | 3.950%, 04/29/16 | 6,474 | ||||||
2,750 | 4.900%, 06/30/17 | 2,859 | ||||||
1,650 | 6.850%, 04/30/19 | 1,912 | ||||||
Branch Banking & Trust Co., | ||||||||
598 | 4.875%, 01/15/13 | 632 | ||||||
4,650 | 5.625%, 09/15/16 | 5,126 | ||||||
1,500 | Cadets Trust, 4.800%, 07/15/13 (e) (f) (i) | 1,572 | ||||||
37,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 37,407 | ||||||
1,250 | Comerica Bank, 5.200%, 08/22/17 | 1,330 | ||||||
1,960 | Comerica, Inc., 3.000%, 09/16/15 | 1,952 | ||||||
Credit Suisse, (Switzerland), | ||||||||
2,700 | 3.450%, 07/02/12 | 2,786 | ||||||
3,290 | 4.375%, 08/05/20 | 3,207 | ||||||
2,995 | 5.000%, 05/15/13 | 3,210 | ||||||
6,300 | 5.300%, 08/13/19 | 6,641 | ||||||
2,000 | 5.500%, 05/01/14 | 2,199 | ||||||
4,000 | Credit Suisse AG, (Switzerland), 5.400%, 01/14/20 | 4,053 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
7,800 | 3.250%, 01/11/16 | 7,822 | ||||||
3,520 | 3.875%, 08/18/14 | 3,685 | ||||||
10,218 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 9,810 | ||||||
1,450 | Fifth Third Bancorp, 5.450%, 01/15/17 | 1,518 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
4,624 | 3.500%, 06/28/15 (e) | 4,708 | ||||||
5,961 | 4.125%, 08/12/20 (e) | 5,731 | ||||||
10,000 | 4.750%, 01/19/21 (e) | 10,012 | ||||||
6,805 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 7,226 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
3,150 | KeyBank N.A., 5.500%, 09/17/12 | 3,344 | ||||||
1,650 | KeyCorp, 6.500%, 05/14/13 | 1,807 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
4,500 | 6.625%, 12/04/17 | 5,089 | ||||||
6,250 | VAR, 1.803%, 04/01/13 | 6,239 | ||||||
2,750 | Marshall & Ilsley Corp., 5.350%, 04/01/11 | 2,758 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
18,650 | 2.500%, 01/08/13 (e) | 19,023 | ||||||
7,800 | 2.750%, 09/28/15 (e) | 7,729 | ||||||
3,455 | 3.750%, 03/02/15 (e) | 3,579 | ||||||
8,677 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 8,686 | ||||||
4,000 | National City Bank, 5.800%, 06/07/17 | 4,406 | ||||||
5,000 | Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) | 4,971 | ||||||
2,000 | PNC Bank N.A., 6.875%, 04/01/18 | 2,281 | ||||||
PNC Funding Corp., | ||||||||
1,015 | 3.000%, 05/19/14 | 1,041 | ||||||
4,534 | 4.375%, 08/11/20 | 4,538 | ||||||
5,700 | 5.125%, 02/08/20 | 6,041 | ||||||
1,200 | 5.250%, 11/15/15 | 1,293 | ||||||
1,230 | 5.625%, 02/01/17 | 1,325 | ||||||
4,100 | 6.700%, 06/10/19 | 4,775 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
2,340 | 2.125%, 10/13/15 | 2,260 | ||||||
12,700 | 3.200%, 03/11/15 (e) | 12,913 | ||||||
6,900 | 4.500%, 01/11/21 | 6,913 | ||||||
2,450 | SouthTrust Bank, 7.690%, 05/15/25 | 2,717 | ||||||
SunTrust Banks, Inc., | ||||||||
4,015 | 5.250%, 11/05/12 | 4,233 | ||||||
1,000 | 6.000%, 09/11/17 | 1,076 | ||||||
2,021 | 6.375%, 04/01/11 | 2,030 | ||||||
505 | 7.250%, 03/15/18 | 566 | ||||||
9,045 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 8,919 | ||||||
U.S. Bancorp, | ||||||||
4,680 | 2.000%, 06/14/13 | 4,761 | ||||||
4,299 | 2.875%, 11/20/14 | 4,408 | ||||||
1,400 | 7.500%, 06/01/26 | 1,550 | ||||||
690 | U.S. Bank N.A., 6.300%, 02/04/14 | 772 | ||||||
Wachovia Bank N.A., | ||||||||
4,700 | 5.000%, 08/15/15 | 5,046 | ||||||
15,190 | 6.000%, 11/15/17 | 17,022 | ||||||
2,700 | 6.600%, 01/15/38 | 3,049 | ||||||
4,430 | VAR, 0.632%, 03/15/16 | 4,216 |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
Wachovia Corp., | ||||||||
2,130 | 4.875%, 02/15/14 | 2,258 | ||||||
8,400 | 5.500%, 05/01/13 | 9,111 | ||||||
3,050 | 5.750%, 06/15/17 | 3,401 | ||||||
11,100 | 5.750%, 02/01/18 | 12,342 | ||||||
Wells Fargo & Co., | ||||||||
16,700 | 3.750%, 10/01/14 | 17,586 | ||||||
8,185 | 5.625%, 12/11/17 | 9,072 | ||||||
Wells Fargo Bank N.A., | ||||||||
970 | 4.750%, 02/09/15 | 1,026 | ||||||
2,000 | 5.750%, 05/16/16 | 2,210 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
4,800 | 4.200%, 02/27/15 | 5,052 | ||||||
10,711 | 4.875%, 11/19/19 | 11,167 | ||||||
463,535 | ||||||||
Consumer Finance — 0.5% |
| |||||||
4,900 | American Express Centurion Bank, 6.000%, 09/13/17 | 5,456 | ||||||
American Express Credit Corp., | ||||||||
9,100 | 5.875%, 05/02/13 | 9,867 | ||||||
5,650 | 7.300%, 08/20/13 | 6,363 | ||||||
1,479 | American General Finance Corp., 5.375%, 10/01/12 | 1,455 | ||||||
2,060 | American Honda Finance Corp., 2.375%, 03/18/13 (e) | 2,088 | ||||||
11,599 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 14,650 | ||||||
Capital One Financial Corp., | ||||||||
1,175 | 5.700%, 09/15/11 | 1,206 | ||||||
3,105 | 6.250%, 11/15/13 | 3,443 | ||||||
5,300 | 6.750%, 09/15/17 | 6,117 | ||||||
2,970 | 7.375%, 05/23/14 | 3,423 | ||||||
HSBC Finance Corp., | ||||||||
311 | 4.750%, 07/15/13 | 331 | ||||||
2,000 | 5.000%, 06/30/15 | 2,142 | ||||||
1,600 | 5.250%, 01/15/14 | 1,710 | ||||||
200 | 5.500%, 01/19/16 | 218 | ||||||
2,251 | 6.375%, 10/15/11 | 2,329 | ||||||
1,078 | 6.375%, 11/27/12 | 1,165 | ||||||
4,500 | 7.000%, 05/15/12 | 4,791 | ||||||
308 | 7.350%, 11/27/32 | 315 | ||||||
1,700 | VAR, 0.553%, 01/15/14 | 1,659 | ||||||
John Deere Capital Corp., | ||||||||
450 | 4.500%, 04/03/13 | 480 | ||||||
4,750 | 5.250%, 10/01/12 | 5,077 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — Continued |
| |||||||
2,437 | SLM Corp., 5.375%, 01/15/13 | 2,530 | ||||||
5,538 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 5,706 | ||||||
2,002 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 2,014 | ||||||
1,750 | Washington Mutual Finance Corp., 6.875%, 05/15/11 | 1,771 | ||||||
86,306 | ||||||||
Diversified Financial Services — 1.9% |
| |||||||
9,250 | Associates Corp. of North America, 6.950%, 11/01/18 | 10,421 | ||||||
18,700 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 19,591 | ||||||
Bank of America Corp., | ||||||||
5,500 | 4.900%, 05/01/13 | 5,826 | ||||||
6,500 | 5.625%, 10/14/16 | 7,002 | ||||||
6,730 | 5.625%, 07/01/20 | 7,000 | ||||||
5,340 | 5.650%, 05/01/18 | 5,644 | ||||||
4,635 | 5.750%, 12/01/17 | 4,955 | ||||||
5,000 | 6.500%, 08/01/16 | 5,610 | ||||||
3,000 | 7.375%, 05/15/14 | 3,416 | ||||||
7,420 | Bank of America N.A., 5.300%, 03/15/17 | 7,733 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
1,600 | 5.400%, 03/29/17 | 1,794 | ||||||
1,150 | 5.500%, 04/01/14 | 1,278 | ||||||
2,750 | 6.500%, 04/01/19 | 3,261 | ||||||
Caterpillar Financial Services Corp., | ||||||||
1,900 | 4.900%, 08/15/13 | 2,061 | ||||||
1,000 | 5.450%, 04/15/18 | 1,119 | ||||||
900 | 5.500%, 03/15/16 | 1,008 | ||||||
4,800 | 6.200%, 09/30/13 | 5,382 | ||||||
3,500 | 7.050%, 10/01/18 | 4,263 | ||||||
600 | 7.150%, 02/15/19 | 735 | ||||||
Citigroup, Inc., | ||||||||
3,800 | 4.587%, 12/15/15 | 3,964 | ||||||
1,500 | 4.700%, 05/29/15 | 1,576 | ||||||
3,400 | 4.750%, 05/19/15 | 3,589 | ||||||
3,929 | 5.375%, 08/09/20 | 4,073 | ||||||
2,400 | 5.500%, 04/11/13 | 2,573 | ||||||
1,000 | 5.500%, 02/15/17 | 1,053 | ||||||
5,286 | 5.625%, 08/27/12 | 5,561 | ||||||
1,575 | 6.000%, 12/13/13 | 1,723 | ||||||
13,500 | 6.000%, 08/15/17 | 14,793 | ||||||
7,525 | 6.010%, 01/15/15 | 8,258 | ||||||
5,350 | 6.125%, 11/21/17 | 5,902 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 61 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
3,675 | 6.375%, 08/12/14 | 4,100 | ||||||
2,850 | 8.125%, 07/15/39 | 3,614 | ||||||
9,075 | 8.500%, 05/22/19 | 11,260 | ||||||
CME Group, Inc., | ||||||||
7,200 | 5.400%, 08/01/13 | 7,900 | ||||||
700 | 5.750%, 02/15/14 | 779 | ||||||
1,225 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,382 | ||||||
400 | Diageo Investment Corp., 9.000%, 08/15/11 | 415 | ||||||
2,728 | ERAC USA Finance LLC, 2.250%, 01/10/14 (e) | 2,724 | ||||||
General Electric Capital Corp., | ||||||||
4,131 | 2.250%, 11/09/15 | 4,002 | ||||||
11,000 | 4.375%, 09/16/20 | 10,685 | ||||||
16,000 | 5.250%, 10/19/12 | 17,023 | ||||||
1,787 | 5.300%, 02/11/21 | 1,836 | ||||||
1,500 | 5.400%, 02/15/17 | 1,633 | ||||||
2,000 | 5.500%, 06/04/14 | 2,190 | ||||||
10,250 | 5.500%, 01/08/20 | 10,941 | ||||||
7,400 | 5.625%, 09/15/17 | 8,104 | ||||||
25,675 | 5.625%, 05/01/18 | 27,924 | ||||||
26,603 | 5.875%, 02/15/12 | 27,929 | ||||||
1,900 | 5.875%, 01/14/38 | 1,906 | ||||||
4,700 | 5.900%, 05/13/14 | 5,224 | ||||||
24,792 | 6.000%, 06/15/12 | 26,367 | ||||||
5,300 | 6.000%, 08/07/19 | 5,860 | ||||||
5,941 | 6.750%, 03/15/32 | 6,622 | ||||||
900 | 6.875%, 01/10/39 | 1,019 | ||||||
2,625 | VAR, 0.423%, 04/10/12 | 2,627 | ||||||
3,500 | VAR, 0.483%, 02/15/17 | 3,300 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
530 | 2.625%, 09/16/12 | 543 | ||||||
3,550 | 4.750%, 03/01/14 | 3,836 | ||||||
2,155 | 10.375%, 11/01/18 | 2,957 | ||||||
2,400 | Textron Financial Corp., 5.400%, 04/28/13 | 2,532 | ||||||
358,398 | ||||||||
Insurance — 1.0% |
| |||||||
ACE INA Holdings, Inc., | ||||||||
3,636 | 2.600%, 11/23/15 | 3,581 | ||||||
2,000 | 5.600%, 05/15/15 | 2,213 | ||||||
2,118 | Aflac, Inc., 6.450%, 08/15/40 | 2,182 | ||||||
5,000 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 5,413 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
American International Group, Inc., | ||||||||
3,284 | 4.250%, 05/15/13 | 3,403 | ||||||
2,800 | 5.450%, 05/18/17 | 2,915 | ||||||
1,425 | 5.600%, 10/18/16 | 1,505 | ||||||
AON Financial Services, | ||||||||
2,012 | 3.500%, 09/30/15 | 2,019 | ||||||
1,668 | 6.250%, 09/30/40 | 1,727 | ||||||
5,641 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 5,923 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
3,000 | 2.450%, 12/15/15 | 2,987 | ||||||
3,500 | 4.000%, 04/15/12 | 3,627 | ||||||
3,800 | 4.600%, 05/15/13 | 4,064 | ||||||
750 | 5.000%, 08/15/13 | 817 | ||||||
11,700 | 5.400%, 05/15/18 | 12,955 | ||||||
1,300 | 5.750%, 01/15/40 | 1,373 | ||||||
1,130 | Chubb Corp. (The), 5.750%, 05/15/18 | 1,267 | ||||||
CNA Financial Corp., | ||||||||
6,800 | 5.850%, 12/15/14 | 7,347 | ||||||
5,063 | 5.875%, 08/15/20 | 5,269 | ||||||
Jackson National Life Global Funding, | ||||||||
3,400 | 5.375%, 05/08/13 (e) | 3,676 | ||||||
4,115 | 6.125%, 05/30/12 (e) | 4,348 | ||||||
2,980 | Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e) | 3,167 | ||||||
MassMutual Global Funding II, | ||||||||
2,714 | 2.300%, 09/28/15 (e) | 2,630 | ||||||
1,628 | 2.875%, 04/21/14 (e) | 1,687 | ||||||
5,150 | 3.625%, 07/16/12 (e) | 5,326 | ||||||
815 | MetLife, Inc., 6.817%, 08/15/18 | 957 | ||||||
Metropolitan Life Global Funding I, | ||||||||
9,335 | 2.500%, 01/11/13 (e) | 9,512 | ||||||
8,000 | 2.875%, 09/17/12 (e) | 8,181 | ||||||
3,235 | 3.125%, 01/11/16 (e) | 3,213 | ||||||
3,000 | 5.125%, 04/10/13 (e) | 3,212 | ||||||
2,497 | 5.200%, 09/18/13 (e) | 2,705 | ||||||
1,450 | 5.750%, 07/25/11 (e) | 1,477 | ||||||
1,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 1,064 | ||||||
Nationwide Financial Services, | ||||||||
1,130 | 5.900%, 07/01/12 | 1,177 | ||||||
1,661 | 6.250%, 11/15/11 | 1,720 | ||||||
4,990 | Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) | 5,949 |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued |
| |||||||
New York Life Global Funding, | ||||||||
3,000 | 3.000%, 05/04/15 (e) | 3,045 | ||||||
5,910 | 4.650%, 05/09/13 (e) | 6,321 | ||||||
5,914 | 5.375%, 09/15/13 (e) | 6,490 | ||||||
Pacific Life Global Funding, | ||||||||
4,000 | 5.000%, 05/15/17 (e) | 4,081 | ||||||
2,500 | 5.150%, 04/15/13 (e) | 2,660 | ||||||
1,600 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 2,108 | ||||||
6,400 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 6,973 | ||||||
Principal Life Global Funding I, | ||||||||
1,600 | 5.050%, 03/15/15 (e) | 1,683 | ||||||
11,236 | 6.250%, 02/15/12 (e) | 11,648 | ||||||
Principal Life Income Funding Trusts, | ||||||||
5,900 | 5.100%, 04/15/14 | 6,339 | ||||||
1,010 | 5.150%, 06/17/11 | 1,024 | ||||||
2,215 | 5.300%, 12/14/12 | 2,374 | ||||||
2,900 | 5.300%, 04/24/13 | 3,118 | ||||||
4,955 | Protective Life Secured Trusts, 4.000%, 04/01/11 | 4,970 | ||||||
1,070 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 | 1,186 | ||||||
3,200 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 3,521 | ||||||
890 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 955 | ||||||
199,084 | ||||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
CommonWealth REIT, | ||||||||
7,010 | 5.875%, 09/15/20 | 7,145 | ||||||
3,890 | 6.650%, 01/15/18 | 4,148 | ||||||
6,185 | HCP, Inc., 5.375%, 02/01/21 | 6,322 | ||||||
Simon Property Group LP, | ||||||||
450 | 4.200%, 02/01/15 | 474 | ||||||
1,300 | 4.375%, 03/01/21 | 1,287 | ||||||
1,775 | 5.625%, 08/15/14 | 1,953 | ||||||
1,100 | 5.650%, 02/01/20 | 1,199 | ||||||
2,120 | 6.100%, 05/01/16 | 2,408 | ||||||
3,675 | 6.125%, 05/30/18 | 4,136 | ||||||
1,645 | 6.750%, 05/15/14 | 1,850 | ||||||
6,277 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 7,178 | ||||||
38,100 | ||||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
8,600 | Countrywide Financial Corp., 6.250%, 05/15/16 | 9,213 | ||||||
6,270 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 | 6,282 | ||||||
24,170 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 24,312 | ||||||
39,807 | ||||||||
Total Financials | 1,537,740 | |||||||
Health Care — 0.2% |
| |||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc., | ||||||||
1,188 | 4.500%, 03/15/20 | 1,217 | ||||||
4,500 | 4.950%, 10/01/41 | 4,154 | ||||||
1,975 | 5.700%, 02/01/19 | 2,216 | ||||||
3,541 | 5.750%, 03/15/40 | 3,679 | ||||||
11,266 | ||||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
Baxter International, Inc., | ||||||||
1,150 | 4.000%, 03/01/14 | 1,223 | ||||||
500 | 4.625%, 03/15/15 | 545 | ||||||
700 | Becton Dickinson and Co., 5.000%, 05/15/19 | 752 | ||||||
2,520 | ||||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
2,158 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 2,140 | ||||||
WellPoint, Inc., | ||||||||
492 | 5.875%, 06/15/17 | 555 | ||||||
340 | 7.000%, 02/15/19 | 404 | ||||||
3,099 | ||||||||
Pharmaceuticals — 0.1% |
| |||||||
350 | Abbott Laboratories, 6.150%, 11/30/37 | 390 | ||||||
3,200 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 3,581 | ||||||
1,095 | Eli Lilly & Co., 3.550%, 03/06/12 | 1,125 | ||||||
GlaxoSmithKline Capital, Inc., | ||||||||
1,000 | 4.375%, 04/15/14 | 1,075 | ||||||
3,100 | 4.850%, 05/15/13 | 3,354 | ||||||
2,100 | 6.375%, 05/15/38 | 2,393 | ||||||
1,040 | Merck & Co., Inc., 6.000%, 09/15/17 | 1,203 | ||||||
790 | Wyeth, 6.450%, 02/01/24 | 935 | ||||||
14,056 | ||||||||
Total Health Care | 30,941 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 63 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Industrials — 0.4% |
| |||||||
Aerospace & Defense — 0.0% (g) |
| |||||||
Boeing Co. (The), | ||||||||
250 | 3.500%, 02/15/15 | 261 | ||||||
500 | 4.875%, 02/15/20 | 536 | ||||||
1,500 | Honeywell International, Inc., 5.300%, 03/01/18 | 1,666 | ||||||
Lockheed Martin Corp., | ||||||||
1,000 | 4.250%, 11/15/19 | 1,010 | ||||||
3,993 | 5.720%, 06/01/40 (e) | 4,078 | ||||||
407 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) | 416 | ||||||
5 | United Technologies Corp., 6.100%, 05/15/12 | 5 | ||||||
7,972 | ||||||||
Airlines — 0.1% |
| |||||||
1,681 | American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 | 1,673 | ||||||
573 | Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 | 624 | ||||||
4,196 | Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 | 4,374 | ||||||
4,550 | Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 4,630 | ||||||
11,301 | ||||||||
Building Products — 0.0% (g) |
| |||||||
800 | Masco Corp., 5.850%, 03/15/17 | 810 | ||||||
Commercial Services & Supplies — 0.1% |
| |||||||
2,850 | Allied Waste North America, Inc., 6.875%, 06/01/17 | 3,099 | ||||||
Pitney Bowes, Inc., | ||||||||
4,300 | 4.875%, 08/15/14 | 4,523 | ||||||
7,170 | 5.000%, 03/15/15 | 7,560 | ||||||
1,700 | 5.600%, 03/15/18 | 1,770 | ||||||
Waste Management, Inc., | ||||||||
1,885 | 4.750%, 06/30/20 | 1,934 | ||||||
1,365 | 7.375%, 03/11/19 | 1,647 | ||||||
800 | 7.750%, 05/15/32 | 992 | ||||||
21,525 | ||||||||
Industrial Conglomerates — 0.0% (g) |
| |||||||
550 | Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 | 643 | ||||||
1,350 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 1,523 | ||||||
2,650 | Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 | 3,428 | ||||||
5,594 | ||||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 0.0% (g) |
| |||||||
2,650 | Eaton Corp., 5.600%, 05/15/18 | 2,941 | ||||||
775 | Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 | 831 | ||||||
350 | PACCAR, Inc., 6.375%, 02/15/12 | 368 | ||||||
775 | Parker Hannifin Corp., 5.500%, 05/15/18 | 866 | ||||||
5,006 | ||||||||
Road & Rail — 0.2% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
1,418 | 3.600%, 09/01/20 | 1,351 | ||||||
3,660 | 5.650%, 05/01/17 | 4,097 | ||||||
1,675 | 5.750%, 03/15/18 | 1,880 | ||||||
600 | 6.700%, 08/01/28 | 664 | ||||||
700 | 6.750%, 07/15/11 | 717 | ||||||
1,300 | 7.000%, 02/01/14 | 1,484 | ||||||
1,300 | 7.290%, 06/01/36 | 1,532 | ||||||
CSX Corp., | ||||||||
1,700 | 6.250%, 04/01/15 | 1,932 | ||||||
850 | 6.300%, 03/15/12 | 894 | ||||||
700 | 7.375%, 02/01/19 | 849 | ||||||
400 | Erac USA Finance Co., 6.375%, 10/15/17 (e) | 449 | ||||||
2,579 | Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 | 2,819 | ||||||
Norfolk Southern Corp., | ||||||||
299 | 5.590%, 05/17/25 | 320 | ||||||
871 | 5.640%, 05/17/29 | 922 | ||||||
326 | 7.250%, 02/15/31 | 401 | ||||||
135 | 7.700%, 05/15/17 | 165 | ||||||
34 | 7.800%, 05/15/27 | 43 | ||||||
2,690 | Ryder System, Inc., 3.600%, 03/01/16 | 2,669 | ||||||
Union Pacific Corp., | ||||||||
175 | 4.875%, 01/15/15 | 190 | ||||||
1,800 | 5.650%, 05/01/17 | 2,020 | ||||||
1,700 | 5.700%, 08/15/18 | 1,912 | ||||||
1,000 | 5.780%, 07/15/40 | 1,051 | ||||||
3,000 | 7.000%, 02/01/16 | 3,524 | ||||||
United Parcel Service of America, Inc., | ||||||||
2,350 | 8.375%, 04/01/20 | 3,083 | ||||||
600 | SUB, 8.375%, 04/01/30 | 756 | ||||||
35,724 | ||||||||
Total Industrials | 87,932 | |||||||
Information Technology — 0.5% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
Cisco Systems, Inc., | ||||||||
1,500 | 5.500%, 02/22/16 | 1,693 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Communications Equipment — Continued |
| |||||||
4,660 | 5.500%, 01/15/40 | 4,640 | ||||||
4,990 | 5.900%, 02/15/39 | 5,251 | ||||||
11,584 | ||||||||
Computers & Peripherals — 0.2% |
| |||||||
Dell, Inc., | ||||||||
6,526 | 2.300%, 09/10/15 | 6,407 | ||||||
570 | 5.650%, 04/15/18 | 625 | ||||||
1,900 | 7.100%, 04/15/28 | 2,155 | ||||||
Hewlett-Packard Co., | ||||||||
650 | 2.950%, 08/15/12 | 669 | ||||||
1,000 | 4.500%, 03/01/13 | 1,065 | ||||||
1,900 | 4.750%, 06/02/14 | 2,067 | ||||||
2,525 | 5.400%, 03/01/17 | 2,824 | ||||||
4,400 | 6.125%, 03/01/14 | 4,935 | ||||||
International Business Machines Corp., | ||||||||
3,950 | 5.700%, 09/14/17 | 4,510 | ||||||
660 | 6.220%, 08/01/27 | 770 | ||||||
4,500 | 7.625%, 10/15/18 | 5,689 | ||||||
450 | 8.000%, 10/15/38 | 617 | ||||||
32,333 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
855 | 3.375%, 11/01/15 | 844 | ||||||
4,635 | 6.000%, 04/01/20 | 4,769 | ||||||
5,270 | 6.875%, 07/01/13 | 5,753 | ||||||
2,000 | 7.500%, 01/15/27 | 2,112 | ||||||
13,478 | ||||||||
IT Services — 0.0% (g) |
| |||||||
HP Enterprise Services LLC, | ||||||||
2,950 | 6.000%, 08/01/13 | 3,262 | ||||||
2,420 | 7.450%, 10/15/29 | 3,048 | ||||||
6,310 | ||||||||
Office Electronics — 0.0% (g) |
| |||||||
Xerox Corp., | ||||||||
3,200 | 6.750%, 02/01/17 | 3,689 | ||||||
310 | 8.250%, 05/15/14 | 362 | ||||||
4,051 | ||||||||
Software — 0.1% |
| |||||||
850 | Intuit, Inc., 5.750%, 03/15/17 | 935 | ||||||
Microsoft Corp., | ||||||||
7,590 | 1.625%, 09/25/15 | 7,366 | ||||||
1,214 | 4.500%, 10/01/40 | 1,090 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
Oracle Corp., | ||||||||
5,300 | 5.000%, 07/08/19 | 5,708 | ||||||
2,320 | 5.250%, 01/15/16 | 2,589 | ||||||
3,400 | 5.750%, 04/15/18 | 3,824 | ||||||
1,950 | 6.500%, 04/15/38 | 2,202 | ||||||
23,714 | ||||||||
Total Information Technology | 91,470 | |||||||
Materials — 0.3% |
| |||||||
Chemicals — 0.3% |
| |||||||
850 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 888 | ||||||
Dow Chemical Co. (The), | ||||||||
4,831 | 4.250%, 11/15/20 | 4,656 | ||||||
1,670 | 4.850%, 08/15/12 | 1,758 | ||||||
650 | 6.000%, 10/01/12 | 699 | ||||||
1,345 | 7.375%, 11/01/29 | 1,628 | ||||||
2,600 | 8.550%, 05/15/19 | 3,297 | ||||||
3,706 | E.l. du Pont de Nemours & Co., 1.950%, 01/15/16 | 3,578 | ||||||
EI Du Pont de Nemours & Co., | ||||||||
125 | 4.125%, 03/06/13 | 132 | ||||||
500 | 4.875%, 04/30/14 | 546 | ||||||
2,150 | 4.900%, 01/15/41 | 2,022 | ||||||
3,800 | 6.000%, 07/15/18 | 4,346 | ||||||
3,750 | Monsanto Co., 7.375%, 08/15/12 | 4,093 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
1,450 | 4.875%, 03/01/13 | 1,551 | ||||||
3,800 | 6.500%, 05/15/19 | 4,411 | ||||||
PPG Industries, Inc., | ||||||||
1,144 | 5.500%, 11/15/40 | 1,127 | ||||||
2,150 | 5.750%, 03/15/13 | 2,328 | ||||||
1,800 | 6.650%, 03/15/18 | 2,100 | ||||||
2,100 | 9.000%, 05/01/21 | 2,724 | ||||||
Praxair, Inc., | ||||||||
850 | 4.375%, 03/31/14 | 909 | ||||||
1,900 | 4.625%, 03/30/15 | 2,050 | ||||||
480 | 5.200%, 03/15/17 | 529 | ||||||
1,295 | 5.250%, 11/15/14 | 1,450 | ||||||
1,800 | Union Carbide Corp., 7.750%, 10/01/96 | 1,872 | ||||||
48,694 | ||||||||
Metals & Mining — 0.0% (g) |
| |||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
1,280 | 3.500%, 11/02/20 | 1,203 | ||||||
1,585 | 8.950%, 05/01/14 | 1,919 | ||||||
3,122 | ||||||||
Total Materials | 51,816 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 65 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Telecommunication Services — 0.8% |
| |||||||
Diversified Telecommunication Services — 0.8% |
| |||||||
270 | AT&T Corp., 8.000%, 11/15/31 | 343 | ||||||
AT&T, Inc., | ||||||||
8,300 | 4.950%, 01/15/13 | 8,883 | ||||||
1,120 | 5.100%, 09/15/14 | 1,232 | ||||||
10,603 | 5.350%, 09/01/40 (e) | 9,723 | ||||||
2,925 | 5.500%, 02/01/18 | 3,213 | ||||||
1,300 | 5.600%, 05/15/18 | 1,436 | ||||||
2,295 | 5.625%, 06/15/16 | 2,571 | ||||||
7,200 | 6.300%, 01/15/38 | 7,476 | ||||||
500 | 6.800%, 05/15/36 | 550 | ||||||
BellSouth Corp., | ||||||||
1,330 | 5.200%, 09/15/14 | 1,464 | ||||||
1,000 | 6.550%, 06/15/34 | 1,049 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
1,687 | 6.300%, 12/15/15 | 1,817 | ||||||
1,200 | 7.000%, 10/01/25 | 1,334 | ||||||
2,300 | 7.000%, 12/01/95 | 2,385 | ||||||
British Telecommunications plc, (United Kingdom), | ||||||||
5,000 | 5.150%, 01/15/13 | 5,336 | ||||||
2,800 | 5.950%, 01/15/18 | 3,108 | ||||||
300 | 9.875%, 12/15/30 | 416 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
4,200 | 4.875%, 07/08/14 | 4,530 | ||||||
785 | 5.250%, 07/22/13 | 851 | ||||||
2,025 | 6.000%, 07/08/19 | 2,290 | ||||||
200 | 8.750%, 06/15/30 | 262 | ||||||
1,000 | France Telecom S.A., (France), 8.500%, 03/01/31 | 1,357 | ||||||
GTE Corp., | ||||||||
17,200 | 6.840%, 04/15/18 | 20,089 | ||||||
1,000 | 8.750%, 11/01/21 | 1,296 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
4,360 | 4.950%, 09/30/14 | 4,480 | ||||||
2,300 | 5.250%, 11/15/13 | 2,403 | ||||||
2,650 | 6.175%, 06/18/14 | 2,821 | ||||||
2,125 | 6.999%, 06/04/18 | 2,281 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
2,258 | 5.462%, 02/16/21 | 2,292 | ||||||
4,000 | 5.855%, 02/04/13 | 4,270 | ||||||
1,500 | 5.877%, 07/15/19 | 1,577 | ||||||
3,250 | 6.221%, 07/03/17 | 3,539 | ||||||
1,011 | TELUS Corp., (Canada), 8.000%, 06/01/11 | 1,030 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
Verizon Communications, Inc., | ||||||||
2,175 | 5.500%, 02/15/18 | 2,372 | ||||||
250 | 5.550%, 02/15/16 | 279 | ||||||
1,443 | 5.850%, 09/15/35 | 1,452 | ||||||
4,400 | 7.350%, 04/01/39 | 5,222 | ||||||
1,500 | 8.750%, 11/01/18 | 1,936 | ||||||
6,498 | Verizon Florida LLC, 6.125%, 01/15/13 | 6,976 | ||||||
8,025 | Verizon Global Funding Corp., 7.750%, 12/01/30 | 9,849 | ||||||
Verizon Maryland, Inc., | ||||||||
2,363 | 6.125%, 03/01/12 | 2,484 | ||||||
3,100 | 7.150%, 05/01/23 | 3,327 | ||||||
900 | Verizon New England, Inc., 4.750%, 10/01/13 | 957 | ||||||
880 | Verizon New York, Inc., 7.375%, 04/01/32 | 993 | ||||||
5,232 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 6,074 | ||||||
2,788 | Verizon Virginia, Inc., 4.625%, 03/15/13 | 2,951 | ||||||
152,576 | ||||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
1,500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 1,658 | ||||||
3,220 | New Cingular Wireless Services, Inc., 8.125%, 05/01/12 | 3,491 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
5,125 | 5.000%, 09/15/15 | 5,568 | ||||||
753 | 5.450%, 06/10/19 | 826 | ||||||
11,543 | ||||||||
Total Telecommunication Services | 164,119 | |||||||
Utilities — 1.1% |
| |||||||
Electric Utilities — 0.8% |
| |||||||
700 | Alabama Power Co., 6.125%, 05/15/38 | 769 | ||||||
1,110 | Arizona Public Service Co., 4.650%, 05/15/15 | 1,173 | ||||||
Carolina Power & Light Co., | ||||||||
2,177 | 5.125%, 09/15/13 | 2,376 | ||||||
2,000 | 5.300%, 01/15/19 | 2,210 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
3,100 | 5.750%, 01/15/14 | 3,407 | ||||||
3,725 | 7.000%, 03/01/14 | 4,245 | ||||||
3,450 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 4,139 | ||||||
1,550 | Columbus Southern Power Co., 6.050%, 05/01/18 | 1,756 |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
925 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 1,031 | ||||||
3,078 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 3,236 | ||||||
Duke Energy Carolinas LLC, | ||||||||
1,991 | 4.300%, 06/15/20 | 2,027 | ||||||
1,400 | 5.100%, 04/15/18 | 1,529 | ||||||
1,795 | 5.625%, 11/30/12 | 1,934 | ||||||
1,816 | 6.250%, 01/15/12 | 1,906 | ||||||
1,875 | Duke Energy Corp., 3.950%, 09/15/14 | 1,975 | ||||||
Duke Energy Indiana, Inc., | ||||||||
2,260 | 3.750%, 07/15/20 | 2,183 | ||||||
3,100 | 6.350%, 08/15/38 | 3,471 | ||||||
6,030 | Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) | 6,055 | ||||||
Exelon Generation Co. LLC, | ||||||||
6,000 | 4.000%, 10/01/20 | 5,585 | ||||||
1,857 | 5.750%, 10/01/41 | 1,743 | ||||||
Florida Power & Light Co., | ||||||||
500 | 5.950%, 10/01/33 | 546 | ||||||
1,000 | 5.950%, 02/01/38 | 1,094 | ||||||
Florida Power Corp., | ||||||||
500 | 4.800%, 03/01/13 | 533 | ||||||
1,125 | 5.650%, 06/15/18 | 1,274 | ||||||
700 | 6.400%, 06/15/38 | 796 | ||||||
FPL Group Capital, Inc., | ||||||||
900 | 5.350%, 06/15/13 | 970 | ||||||
1,200 | 6.000%, 03/01/19 | 1,331 | ||||||
1,600 | 7.875%, 12/15/15 | 1,911 | ||||||
Georgia Power Co., | ||||||||
1,423 | 4.750%, 09/01/40 | 1,295 | ||||||
400 | 5.950%, 02/01/39 | 429 | ||||||
1,100 | 6.000%, 11/01/13 | 1,230 | ||||||
1,085 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 1,283 | ||||||
300 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 361 | ||||||
230 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 235 | ||||||
700 | MidAmerican Energy Co., 5.300%, 03/15/18 | 774 | ||||||
Nevada Power Co., | ||||||||
367 | 5.375%, 09/15/40 | 355 | ||||||
950 | 6.500%, 08/01/18 | 1,094 | ||||||
1,825 | 7.125%, 03/15/19 | 2,170 | ||||||
1,625 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 1,711 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
2,560 | Nisource Finance Corp., 6.150%, 03/01/13 | 2,776 | ||||||
2,500 | Northern States Power Co., 6.250%, 06/01/36 | 2,847 | ||||||
2,400 | Ohio Power Co., 5.750%, 09/01/13 | 2,622 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
820 | 5.950%, 09/01/13 | 901 | ||||||
3,000 | 6.800%, 09/01/18 | 3,483 | ||||||
Pacific Gas & Electric Co., | ||||||||
1,980 | 5.625%, 11/30/17 | 2,215 | ||||||
750 | 8.250%, 10/15/18 | 971 | ||||||
PacifiCorp, | ||||||||
250 | 5.500%, 01/15/19 | 279 | ||||||
2,850 | 5.650%, 07/15/18 | 3,203 | ||||||
125 | 6.900%, 11/15/11 | 131 | ||||||
900 | Peco Energy Co., 5.350%, 03/01/18 | 996 | ||||||
1,320 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,524 | ||||||
Progress Energy, Inc., | ||||||||
3,778 | 4.400%, 01/15/21 | 3,759 | ||||||
730 | 6.050%, 03/15/14 | 813 | ||||||
1,480 | 7.750%, 03/01/31 | 1,849 | ||||||
PSEG Power LLC, | ||||||||
2,411 | 5.125%, 04/15/20 | 2,484 | ||||||
2,190 | 5.500%, 12/01/15 | 2,396 | ||||||
1,255 | 8.625%, 04/15/31 | 1,593 | ||||||
Public Service Co. of Colorado, | ||||||||
1,160 | 3.200%, 11/15/20 | 1,085 | ||||||
275 | 5.800%, 08/01/18 | 313 | ||||||
Public Service Co. of Oklahoma, | ||||||||
1,964 | 4.400%, 02/01/21 | 1,951 | ||||||
3,350 | 6.625%, 11/15/37 | 3,722 | ||||||
Public Service Electric & Gas Co., | ||||||||
825 | 5.300%, 05/01/18 | 915 | ||||||
1,138 | 5.375%, 11/01/39 | 1,142 | ||||||
5,300 | 6.330%, 11/01/13 | 5,959 | ||||||
Southern California Edison Co., | ||||||||
1,200 | 4.150%, 09/15/14 | 1,291 | ||||||
1,400 | 5.500%, 08/15/18 | 1,576 | ||||||
1,650 | 5.750%, 03/15/14 | 1,846 | ||||||
645 | 5.950%, 02/01/38 | 705 | ||||||
2,450 | 6.050%, 03/15/39 | 2,717 | ||||||
580 | Southern Co., 4.150%, 05/15/14 | 614 | ||||||
1,000 | Southwestern Public Service Co., 8.750%, 12/01/18 | 1,256 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 67 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
Spectra Energy Capital LLC, | ||||||||
2,900 | 5.500%, 03/01/14 | 3,154 | ||||||
350 | 5.668%, 08/15/14 | 385 | ||||||
3,645 | 6.250%, 02/15/13 | 3,961 | ||||||
3,850 | 8.000%, 10/01/19 | 4,656 | ||||||
Virginia Electric and Power Co., | ||||||||
2,550 | 5.100%, 11/30/12 | 2,726 | ||||||
4,600 | 5.400%, 04/30/18 | 5,098 | ||||||
800 | 5.950%, 09/15/17 | 918 | ||||||
152,974 | ||||||||
Gas Utilities — 0.1% |
| |||||||
1,700 | AGL Capital Corp., 4.450%, 04/15/13 | 1,784 | ||||||
1,530 | ANR Pipeline Co., 9.625%, 11/01/21 | 2,115 | ||||||
Atmos Energy Corp., | ||||||||
320 | 5.125%, 01/15/13 | 337 | ||||||
690 | 8.500%, 03/15/19 | 866 | ||||||
530 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 596 | ||||||
1,037 | Southern California Gas Co., 4.800%, 10/01/12 | 1,099 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
1,515 | 4.000%, 06/15/13 | 1,605 | ||||||
1,500 | 6.200%, 10/15/37 | 1,602 | ||||||
1,900 | 6.500%, 08/15/18 | 2,219 | ||||||
2,650 | 7.125%, 01/15/19 | 3,211 | ||||||
2,100 | 7.250%, 08/15/38 | 2,499 | ||||||
17,933 | ||||||||
Multi-Utilities — 0.2% |
| |||||||
Dominion Resources, Inc., | ||||||||
590 | 6.000%, 11/30/17 | 665 | ||||||
1,879 | 6.250%, 06/30/12 | 1,997 | ||||||
1,200 | 7.000%, 06/15/38 | 1,414 | ||||||
1,600 | 8.875%, 01/15/19 | 2,058 | ||||||
4,650 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 | 5,213 | ||||||
1,625 | MidAmerican Funding LLC, 5.750%, 04/01/18 | 1,829 | ||||||
1,550 | PG&E Corp., 5.750%, 04/01/14 | 1,702 | ||||||
Sempra Energy, | ||||||||
1,500 | 6.000%, 10/15/39 | 1,554 | ||||||
2,300 | 6.150%, 06/15/18 | 2,608 | ||||||
900 | 6.500%, 06/01/16 | 1,031 | ||||||
2,760 | 8.900%, 11/15/13 | 3,223 | ||||||
1,550 | 9.800%, 02/15/19 | 2,062 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — Continued |
| |||||||
Wisconsin Electric Power Co., | ||||||||
1,400 | 6.000%, 04/01/14 | 1,573 | ||||||
1,295 | 6.250%, 12/01/15 | 1,496 | ||||||
601 | Xcel Energy, Inc., 4.700%, 05/15/20 | 622 | ||||||
29,047 | ||||||||
Water Utilities — 0.0% (g) |
| |||||||
American Water Capital Corp., | ||||||||
2,025 | 6.085%, 10/15/17 | 2,281 | ||||||
3,740 | 6.593%, 10/15/37 | 3,920 | ||||||
6,201 | ||||||||
Total Utilities | 206,155 | |||||||
Total Corporate Bonds | 2,606,570 | |||||||
| Foreign Government Securities — 0.2% | |||||||
3,040 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 3,104 | ||||||
Province of Ontario, (Canada), | ||||||||
5,500 | 2.700%, 06/16/15 | 5,620 | ||||||
12,250 | 2.950%, 02/05/15 | 12,671 | ||||||
560 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 | 722 | ||||||
United Mexican States, (Mexico), | ||||||||
2,035 | 5.875%, 01/15/14 | 2,239 | ||||||
3,398 | 6.375%, 01/16/13 | 3,721 | ||||||
850 | 6.625%, 03/03/15 | 971 | ||||||
4,881 | 7.500%, 04/08/33 | 5,979 | ||||||
2,925 | 8.300%, 08/15/31 | 3,890 | ||||||
Total Foreign Government Securities | 38,917 | |||||||
| Mortgage Pass-Through Securities — 11.4% | |||||||
Federal Home Loan Mortgage Corp., |
| |||||||
105 | ARM, 2.256%, 07/01/19 | 109 | ||||||
231 | ARM, 2.360%, 01/01/27 | 241 | ||||||
1,026 | ARM, 2.480%, 12/01/33 | 1,074 | ||||||
1,967 | ARM, 2.500%, 01/01/35 | 2,050 | ||||||
93 | ARM, 2.528%, 04/01/30 | 98 | ||||||
5,132 | ARM, 2.594%, 05/01/33 | 5,372 | ||||||
64 | ARM, 2.625%, 07/01/26 | 68 | ||||||
234 | ARM, 2.627%, 09/01/32 | 246 | ||||||
1,921 | ARM, 2.629%, 04/01/34 | 1,998 | ||||||
991 | ARM, 2.632%, 08/01/35 | 1,041 | ||||||
1,291 | ARM, 2.667%, 02/01/36 | 1,355 | ||||||
3,604 | ARM, 2.713%, 09/01/34 | 3,781 |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
2,551 | ARM, 2.724%, 12/01/35 | 2,672 | ||||||
1,545 | ARM, 3.497%, 07/01/37 | 1,623 | ||||||
875 | ARM, 3.621%, 01/01/37 | 917 | ||||||
6,286 | ARM, 3.642%, 03/01/36 | 6,630 | ||||||
1,046 | ARM, 3.779%, 11/01/36 | 1,101 | ||||||
6,289 | ARM, 5.078%, 09/01/36 | 6,616 | ||||||
3,844 | ARM, 5.287%, 05/01/38 | 4,066 | ||||||
6,665 | ARM, 5.516%, 05/01/36 | 7,004 | ||||||
6,829 | ARM, 5.523%, 05/01/36 | 7,259 | ||||||
6,219 | ARM, 5.539%, 03/01/36 | 6,415 | ||||||
4,563 | ARM, 5.621%, 04/01/38 | 4,833 | ||||||
2,341 | ARM, 5.672%, 04/01/37 | 2,492 | ||||||
7,771 | ARM, 5.707%, 05/01/37 | 8,220 | ||||||
5,107 | ARM, 5.715%, 02/01/37 | 5,403 | ||||||
6,596 | ARM, 5.718%, 06/01/37 | 7,050 | ||||||
4,103 | ARM, 5.727%, 05/01/37 | 4,353 | ||||||
3,276 | ARM, 5.750%, 06/01/36 | 3,501 | ||||||
4,710 | ARM, 5.759%, 01/01/37 | 4,959 | ||||||
2,782 | ARM, 5.771%, 05/01/37 | 2,964 | ||||||
2,240 | ARM, 5.776%, 07/01/36 | 2,359 | ||||||
3,411 | ARM, 5.804%, 10/01/36 | 3,591 | ||||||
4,709 | ARM, 5.836%, 11/01/36 | 4,989 | ||||||
1,755 | ARM, 5.837%, 05/01/36 | 1,825 | ||||||
1,072 | ARM, 5.858%, 05/01/37 | 1,134 | ||||||
280 | ARM, 5.865%, 02/01/37 | 297 | ||||||
4,085 | ARM, 5.899%, 04/01/37 | 4,324 | ||||||
1,806 | ARM, 5.942%, 04/01/37 | 1,927 | ||||||
17,786 | ARM, 6.005%, 11/01/36 | 18,981 | ||||||
2,399 | ARM, 6.017%, 03/01/37 | 2,535 | ||||||
13,446 | ARM, 6.018%, 06/01/36 | 14,395 | ||||||
1,084 | ARM, 6.024%, 02/01/37 | 1,145 | ||||||
11,403 | ARM, 6.026%, 12/01/36 | 12,065 | ||||||
3,602 | ARM, 6.037%, 10/01/36 | 3,789 | ||||||
624 | ARM, 6.100%, 12/01/36 | 658 | ||||||
1,857 | ARM, 6.135%, 05/01/37 | 1,977 | ||||||
10,557 | ARM, 6.152%, 12/01/36 | 11,141 | ||||||
1,594 | ARM, 6.187%, 03/01/37 | 1,682 | ||||||
839 | ARM, 6.227%, 10/01/36 | 881 | ||||||
15,491 | ARM, 6.230%, 09/01/36 - 03/01/37 | 16,262 | ||||||
7,050 | ARM, 6.270%, 02/01/37 | 7,496 | ||||||
8,244 | ARM, 6.294%, 10/01/36 | 8,640 | ||||||
4,201 | ARM, 6.306%, 05/01/37 | 4,481 | ||||||
11,515 | ARM, 6.345%, 12/01/36 | 12,165 | ||||||
3,983 | ARM, 6.373%, 10/01/36 | 4,185 | ||||||
1,324 | ARM, 6.405%, 02/01/37 | 1,421 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,478 | ARM, 6.422%, 12/01/36 | 1,585 | ||||||
1,280 | ARM, 6.481%, 11/01/37 | 1,372 | ||||||
2,939 | ARM, 6.510%, 10/01/36 | 3,103 | ||||||
972 | ARM, 6.564%, 08/01/36 | 1,024 | ||||||
1,973 | ARM, 6.634%, 07/01/36 | 2,071 | ||||||
4,301 | ARM, 6.674%, 10/01/36 | 4,507 | ||||||
5,085 | ARM, 6.680%, 11/01/36 | 5,457 | ||||||
13,621 | ARM, 6.721%, 08/01/36 | 14,297 | ||||||
2,560 | ARM, 6.743%, 08/01/36 | 2,688 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
5,626 | 4.000%, 04/01/14 - 05/01/19 | 5,834 | ||||||
3,610 | 4.500%, 08/01/18 - 10/01/18 | 3,819 | ||||||
17,861 | 5.000%, 10/01/17 - 12/01/18 | 19,125 | ||||||
15,685 | 5.500%, 06/01/17 - 02/01/24 | 16,947 | ||||||
19,326 | 6.000%, 10/01/17 - 03/01/22 | 21,065 | ||||||
6,543 | 6.500%, 07/01/16 - 03/01/22 | 7,137 | ||||||
77 | 7.000%, 09/01/12 - 04/01/17 | 83 | ||||||
49 | 7.500%, 07/01/11 - 11/01/15 | 52 | ||||||
40 | 8.500%, 11/01/15 | 45 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
6,525 | 5.500%, 01/01/23 - 11/01/23 | 7,031 | ||||||
485 | 6.000%, 12/01/22 | 535 | ||||||
3,178 | 6.500%, 12/01/13 - 01/01/28 | 3,538 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
5,333 | 4.000%, 10/01/33 | 5,317 | ||||||
113,838 | 5.000%, 01/01/34 - 08/01/40 | 119,478 | ||||||
12,535 | 5.500%, 10/01/33 - 12/01/36 | 13,474 | ||||||
4,383 | 6.000%, 10/01/29 - 12/01/36 | 4,811 | ||||||
22,578 | 6.500%, 08/01/29 - 03/01/38 | 25,547 | ||||||
5,607 | 7.000%, 04/01/22 - 02/01/37 | 6,399 | ||||||
13,677 | 7.500%, 08/01/25 - 09/01/38 | 15,570 | ||||||
53 | 8.000%, 07/01/20 - 11/01/24 | 62 | ||||||
148 | 8.500%, 07/01/28 | 176 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
19,025 | 7.500%, 01/01/32 - 12/01/36 | 21,996 | ||||||
11,054 | 10.000%, 10/01/30 | 13,052 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
16,405 | 5.500%, 04/01/18 | 17,371 | ||||||
2,693 | 6.000%, 11/01/36 | 2,912 | ||||||
44,233 | 6.500%, 12/01/35 - 06/01/37 | 48,104 | ||||||
1,319 | 7.000%, 07/01/29 - 08/01/47 | 1,486 | ||||||
2,256 | 10.000%, 03/17/26 | 2,608 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 69 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
31 | 12.000%, 08/01/15 - 07/01/19 | 35 | ||||||
Federal National Mortgage Association, |
| |||||||
815 | ARM, 1.695%, 08/01/34 | 833 | ||||||
1,612 | ARM, 1.936%, 09/01/33 | 1,658 | ||||||
10,237 | ARM, 2.034%, 01/01/35 | 10,650 | ||||||
683 | ARM, 2.041%, 02/01/35 | 712 | ||||||
71 | ARM, 2.079%, 03/01/19 | 73 | ||||||
1,711 | ARM, 2.244%, 05/01/35 | 1,772 | ||||||
6,488 | ARM, 2.270%, 01/01/36 | 6,698 | ||||||
1,672 | ARM, 2.374%, 03/01/35 | 1,754 | ||||||
236 | ARM, 2.390%, 07/01/34 | 247 | ||||||
2,450 | ARM, 2.430%, 07/01/35 | 2,573 | ||||||
378 | ARM, 2.438%, 01/01/34 | 395 | ||||||
461 | ARM, 2.445%, 08/01/35 | 480 | ||||||
879 | ARM, 2.457%, 04/01/34 | 915 | ||||||
1,376 | ARM, 2.460%, 11/01/33 | 1,443 | ||||||
238 | ARM, 2.477%, 05/01/35 | 250 | ||||||
2,383 | ARM, 2.529%, 01/01/36 | 2,505 | ||||||
973 | ARM, 2.622%, 10/01/34 | 1,018 | ||||||
1,571 | ARM, 2.628%, 06/01/36 | 1,649 | ||||||
1,062 | ARM, 2.637%, 09/01/35 | 1,118 | ||||||
1,164 | ARM, 2.645%, 08/01/33 | 1,221 | ||||||
2,368 | ARM, 2.678%, 06/01/34 | 2,477 | ||||||
769 | ARM, 2.746%, 08/01/34 | 809 | ||||||
195 | ARM, 2.787%, 09/01/34 | 205 | ||||||
653 | ARM, 2.926%, 08/01/34 | 684 | ||||||
14 | ARM, 2.951%, 01/01/19 | 15 | ||||||
718 | ARM, 3.043%, 02/01/36 | 751 | ||||||
20,527 | ARM, 3.054%, 03/01/36 | 21,468 | ||||||
748 | ARM, 3.060%, 09/01/33 | 785 | ||||||
15 | ARM, 3.098%, 06/01/26 | 15 | ||||||
2,632 | ARM, 3.158%, 04/01/35 | 2,755 | ||||||
151 | ARM, 3.194%, 01/01/36 | 157 | ||||||
302 | ARM, 3.328%, 09/01/27 | 305 | ||||||
10 | ARM, 3.538%, 08/01/19 | 11 | ||||||
286 | ARM, 3.983%, 03/01/29 | 294 | ||||||
705 | ARM, 4.475%, 11/01/34 | 742 | ||||||
1,031 | ARM, 4.647%, 11/01/34 | 1,077 | ||||||
939 | ARM, 5.050%, 01/01/34 | 990 | ||||||
881 | ARM, 5.075%, 01/01/35 | 928 | ||||||
1,871 | ARM, 5.149%, 10/01/34 | 1,966 | ||||||
1,466 | ARM, 5.200%, 09/01/36 | 1,543 | ||||||
5,431 | ARM, 5.282%, 01/01/38 | 5,768 | ||||||
3,840 | ARM, 5.362%, 10/01/35 | 4,077 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
2,519 | ARM, 5.409%, 11/01/37 | 2,672 | ||||||
1,609 | ARM, 5.510%, 01/01/37 | 1,702 | ||||||
3,377 | ARM, 5.540%, 07/01/37 | 3,594 | ||||||
1,975 | ARM, 5.541%, 08/01/36 | 2,080 | ||||||
1,810 | ARM, 5.579%, 08/01/36 | 1,938 | ||||||
2,499 | ARM, 5.586%, 12/01/36 | 2,638 | ||||||
2,838 | ARM, 5.590%, 06/01/36 | 2,994 | ||||||
3,548 | ARM, 5.684%, 11/01/36 | 3,744 | ||||||
34,004 | ARM, 5.696%, 01/01/23 - 04/01/37 | 36,427 | ||||||
2,999 | ARM, 5.739%, 02/01/37 | 3,168 | ||||||
9,004 | ARM, 5.741%, 08/01/37 | 9,582 | ||||||
2,823 | ARM, 5.751%, 09/01/36 | 2,978 | ||||||
15,212 | ARM, 5.783%, 12/01/37 | 16,152 | ||||||
9,863 | ARM, 5.850%, 12/01/36 | 10,437 | ||||||
531 | ARM, 5.851%, 07/01/37 | 562 | ||||||
9,952 | ARM, 5.855%, 10/01/36 - 11/01/36 | 10,491 | ||||||
2,984 | ARM, 5.876%, 07/01/36 | 3,155 | ||||||
1,686 | ARM, 5.916%, 05/01/36 | 1,749 | ||||||
2,885 | ARM, 5.933%, 09/01/37 | 3,102 | ||||||
11,912 | ARM, 5.937%, 07/01/37 | 12,585 | ||||||
4,062 | ARM, 5.938%, 10/01/36 | 4,295 | ||||||
3,249 | ARM, 5.957%, 09/01/37 | 3,480 | ||||||
1,284 | ARM, 5.965%, 09/01/37 | 1,358 | ||||||
3,271 | ARM, 5.989%, 09/01/37 | 3,467 | ||||||
5,714 | ARM, 6.032%, 08/01/36 | 6,039 | ||||||
2,740 | ARM, 6.070%, 07/01/37 | 2,910 | ||||||
10,070 | ARM, 6.109%, 09/01/36 | 10,791 | ||||||
8,978 | ARM, 6.167%, 11/01/37 | 9,497 | ||||||
1,915 | ARM, 6.177%, 09/01/37 | 2,058 | ||||||
5,494 | ARM, 6.193%, 08/01/36 | 5,924 | ||||||
8,252 | ARM, 6.224%, 06/01/36 | 8,636 | ||||||
3,116 | ARM, 6.225%, 10/01/36 | 3,284 | ||||||
3,726 | ARM, 6.279%, 02/01/37 | 3,960 | ||||||
1,735 | ARM, 6.293%, 09/01/36 | 1,818 | ||||||
2,417 | ARM, 6.550%, 01/01/37 | 2,603 | ||||||
6,759 | ARM, 6.632%, 09/01/36 | 7,103 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
719 | 3.500%, 04/01/19 | 741 | ||||||
11,391 | 4.000%, 07/01/18 - 12/01/20 | 11,925 | ||||||
41,943 | 4.500%, 05/01/18 - 12/01/19 | 44,385 | ||||||
36,711 | 5.000%, 12/01/16 - 10/01/19 | 39,403 | ||||||
41,913 | 5.500%, 02/01/18 - 07/01/20 | 45,429 | ||||||
71,442 | 6.000%, 06/01/16 - 07/01/24 | 78,212 | ||||||
11,309 | 6.500%, 04/01/11 - 02/01/24 | 12,424 | ||||||
1,367 | 7.000%, 03/01/17 - 11/01/17 | 1,498 |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
134 | 7.500%, 10/01/12 - 03/01/17 | 144 | ||||||
75 | 8.000%, 11/01/12 - 11/01/15 | 79 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
52,012 | 6.000%, 02/01/14 - 09/01/29 | 56,643 | ||||||
10,401 | 6.500%, 05/01/22 - 08/01/26 | 11,533 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
292 | 6.000%, 09/01/33 | 322 | ||||||
552 | 6.500%, 03/01/29 | 627 | ||||||
82 | 7.000%, 02/01/33 | 94 | ||||||
120 | 8.000%, 06/01/28 | 139 | ||||||
112 | 8.500%, 08/01/27 - 02/01/30 | 131 | ||||||
172 | 9.000%, 05/01/18 - 12/01/30 | 197 | ||||||
42 | 9.500%, 12/01/18 | 49 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
1,939 | 4.000%, 12/01/33 | 1,936 | ||||||
3,878 | 4.500%, 11/01/33 - 09/01/34 | 3,989 | ||||||
81,133 | 5.000%, 06/01/33 - 08/01/40 | 85,403 | ||||||
97,410 | 5.500%, 11/01/32 - 12/01/39 | 104,807 | ||||||
48,146 | 6.000%, 12/01/28 - 04/01/38 | 52,854 | ||||||
153,601 | 6.500%, 11/01/29 - 10/01/38 | 172,601 | ||||||
71,892 | 7.000%, 04/01/17 - 01/01/39 | 82,392 | ||||||
42,937 | 7.500%, 11/01/22 - 04/01/39 | 49,512 | ||||||
2,015 | 8.000%, 03/01/21 - 01/01/38 | 2,342 | ||||||
55 | 8.500%, 07/01/24 - 06/01/25 | 64 | ||||||
7 | 9.000%, 04/01/26 | 7 | ||||||
45 | 9.500%, 07/01/28 | 53 | ||||||
21 | 10.000%, 02/01/24 | 24 | ||||||
37 | 12.500%, 01/01/16 | 38 | ||||||
Federal National Mortgage Association, Other, | ||||||||
6,500 | 3.350%, 11/01/20 | 6,178 | ||||||
1,992 | 3.600%, 09/01/20 | 1,930 | ||||||
29,815 | 3.621%, 09/01/20 | 28,730 | ||||||
4,977 | 3.658%, 10/01/20 | 4,800 | ||||||
3,643 | 3.680%, 09/01/20 | 3,554 | ||||||
3,990 | 3.823%, 12/01/20 | 3,887 | ||||||
10,000 | 3.980%, 11/01/16 | 10,322 | ||||||
3,108 | 4.000%, 09/01/13 - 04/01/20 | 3,186 | ||||||
4,000 | 4.061%, 01/01/21 | 3,950 | ||||||
8,500 | 4.130%, 11/01/19 | 8,560 | ||||||
32,000 | 4.201%, 07/01/20 | 32,450 | ||||||
4,968 | 4.443%, 08/01/20 | 5,108 | ||||||
806 | 4.500%, 11/01/14 | 855 | ||||||
23,619 | 4.514%, 04/01/20 | 24,243 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
11,895 | 4.515%, 02/01/20 | 12,236 | ||||||
61,500 | 4.546%, 02/01/20 | 63,368 | ||||||
13,000 | 4.640%, 01/01/21 | 13,439 | ||||||
23,801 | 4.681%, 12/01/19 | 24,701 | ||||||
802 | 5.000%, 12/01/32 | 841 | ||||||
17,796 | 5.500%, 03/01/17 - 06/01/39 | 18,830 | ||||||
24,537 | 6.000%, 02/01/36 - 11/01/48 | 26,437 | ||||||
8,344 | 6.500%, 04/01/36 - 05/01/37 | 9,132 | ||||||
6,619 | 7.000%, 02/01/36 - 01/01/38 | 7,490 | ||||||
473 | 7.500%, 10/01/37 | 539 | ||||||
2,573 | 8.000%, 11/01/37 | 2,933 | ||||||
226 | 10.890%, 04/15/19 | 255 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
322 | 6.000%, 03/20/28 | 355 | ||||||
2,258 | 7.000%, 08/20/38 | 2,571 | ||||||
215 | 7.500%, 02/20/28 - 09/20/28 | 249 | ||||||
412 | 8.000%, 12/20/25 - 10/20/28 | 482 | ||||||
197 | 8.500%, 03/20/25 - 05/20/25 | 234 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
190 | 6.000%, 10/15/17 | 208 | ||||||
240 | 6.500%, 06/15/17 - 12/15/17 | 263 | ||||||
7 | 7.500%, 02/15/12 - 03/15/12 | 7 | ||||||
455 | 8.000%, 01/15/16 | 496 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
12,872 | 5.500%, 04/15/33 - 09/15/34 | 14,052 | ||||||
463 | 6.000%, 11/15/28 | 512 | ||||||
9,192 | 6.500%, 01/15/24 - 12/15/35 | 10,383 | ||||||
14,444 | 7.000%, 08/15/23 - 04/15/37 | 16,396 | ||||||
4,048 | 7.500%, 11/15/22 - 10/15/37 | 4,654 | ||||||
96 | 8.000%, 05/15/22 - 08/15/28 | 112 | ||||||
39 | 8.500%, 03/15/17 - 11/15/17 | 44 | ||||||
73 | 9.000%, 08/15/16 - 11/15/24 | 85 | ||||||
4,512 | 9.500%, 01/15/17 - 12/15/25 | 5,314 | ||||||
38 | 12.000%, 11/15/19 | 42 | ||||||
Total Mortgage Pass-Through Securities | 2,198,738 | |||||||
| Municipal Bonds — 0.1% | |||||||
Illinois — 0.0% (g) | ||||||||
5,450 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 4,373 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 71 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Municipal Bonds — Continued | |||||||
New York — 0.1% |
| |||||||
2,500 | New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 | 2,360 | ||||||
10,400 | Port Authority of New York & New Jersey, Construction 164, Rev., 5.647%, 11/01/40 | 9,990 | ||||||
12,350 | ||||||||
Ohio — 0.0% (g) |
| |||||||
11,600 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 12,082 | ||||||
Total Municipal Bonds | 28,805 | |||||||
| Supranational — 0.0% (g) | |||||||
720 | Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $719) | 777 | ||||||
| U.S. Government Agency Securities — 1.6% | |||||||
Federal Farm Credit Bank, | ||||||||
5,000 | 1.875%, 12/07/12 | 5,105 | ||||||
10,000 | 5.125%, 11/15/18 | 11,156 | ||||||
11,916 | Federal Home Loan Bank, 4.720%, 09/20/12 | 12,465 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
38,500 | 4.125%, 12/21/12 | 40,847 | ||||||
4,000 | 5.125%, 11/17/17 | 4,512 | ||||||
25,500 | 5.500%, 08/23/17 | 29,327 | ||||||
1,260 | 5.750%, 01/15/12 | 1,318 | ||||||
Federal National Mortgage Association, | ||||||||
45,000 | Zero Coupon, 07/05/14 | 42,089 | ||||||
26,500 | Zero Coupon, 06/01/17 | 21,544 | ||||||
26,700 | 5.000%, 05/11/17 | 29,964 | ||||||
33,400 | 5.375%, 06/12/17 | 38,143 | ||||||
1,190 | 5.500%, 03/15/11 | 1,193 | ||||||
2,735 | 6.125%, 03/15/12 | 2,895 | ||||||
11,500 | Federal National Mortgage Association Interest Strip, 11/15/21 | 7,208 | ||||||
Financing Corp. Fico, | ||||||||
16,800 | Zero Coupon, 04/05/19 | 12,596 | ||||||
13,200 | Zero Coupon, 09/26/19 | 9,629 | ||||||
Tennessee Valley Authority, | ||||||||
2,935 | 4.625%, 09/15/60 | 2,724 | ||||||
1,195 | 5.250%, 09/15/39 | 1,252 | ||||||
9,500 | 5.500%, 07/18/17 | 10,877 | ||||||
Tennessee Valley Authority STRIP, | ||||||||
7,506 | 01/15/19 | 5,540 | ||||||
12,000 | 05/01/19 | 8,698 | ||||||
Total U.S. Government Agency Securities | 299,082 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 27.6% | |||||||
U.S. Treasury Bonds, | ||||||||
3,100 | 4.500%, 02/15/36 | 3,141 | ||||||
650 | 5.250%, 11/15/28 | 736 | ||||||
3,500 | 5.375%, 02/15/31 | 4,023 | ||||||
12,350 | 5.500%, 08/15/28 | 14,380 | ||||||
4,300 | 6.000%, 02/15/26 | 5,267 | ||||||
2,050 | 6.125%, 11/15/27 | 2,548 | ||||||
1,000 | 6.250%, 08/15/23 | 1,248 | ||||||
4,750 | 6.375%, 08/15/27 | 6,050 | ||||||
7,550 | 6.500%, 11/15/26 | 9,708 | ||||||
5,100 | 6.625%, 02/15/27 | 6,643 | ||||||
6,800 | 6.750%, 08/15/26 | 8,944 | ||||||
14,620 | 7.125%, 02/15/23 | 19,490 | ||||||
24,490 | 7.250%, 08/15/22 (m) | 32,885 | ||||||
155,592 | 7.500%, 11/15/16 (m) | 198,283 | ||||||
8,717 | 7.875%, 02/15/21 (m) | 12,069 | ||||||
8,000 | 8.000%, 11/15/21 | 11,229 | ||||||
137,482 | 8.125%, 08/15/19 | 189,693 | ||||||
16,650 | 8.125%, 05/15/21 | 23,450 | ||||||
48,180 | 8.500%, 02/15/20 | 68,359 | ||||||
48,690 | 8.750%, 05/15/17 (m) | 66,207 | ||||||
17,400 | 8.750%, 05/15/20 | 25,109 | ||||||
64,589 | 8.750%, 08/15/20 | 93,558 | ||||||
287,175 | 8.875%, 08/15/17 (m) | 395,135 | ||||||
69,368 | 8.875%, 02/15/19 | 98,779 | ||||||
21,500 | 9.000%, 11/15/18 | 30,684 | ||||||
9,594 | 9.875%, 11/15/15 (m) | 13,031 | ||||||
11,250 | 10.625%, 08/15/15 | 15,501 | ||||||
3,650 | 11.250%, 02/15/15 (m) | 5,005 | ||||||
10,109 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 (m) | 17,528 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
1,000 | 2.000%, 04/15/12 | 1,128 | ||||||
12,000 | 2.000%, 01/15/14 | 15,472 | ||||||
2,000 | 2.000%, 07/15/14 | 2,548 | ||||||
141,755 | 2.375%, 04/15/11 | 157,520 | ||||||
U.S. Treasury Notes, | ||||||||
10,000 | 1.250%, 02/15/14 | 10,025 | ||||||
8,050 | 1.375%, 09/15/12 | 8,160 | ||||||
20,060 | 1.375%, 10/15/12 | 20,335 | ||||||
15,990 | 1.375%, 11/15/12 | 16,209 | ||||||
2,700 | 1.375%, 02/15/13 | 2,737 | ||||||
15,000 | 1.750%, 04/15/13 | 15,318 | ||||||
20,500 | 1.750%, 03/31/14 | 20,839 | ||||||
12,000 | 1.875%, 02/28/14 | 12,252 |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued | |||||||
35,980 | 2.125%, 12/31/15 | 36,078 | ||||||
5,475 | 2.250%, 11/30/17 | 5,305 | ||||||
26,600 | 2.375%, 10/31/14 | 27,423 | ||||||
6,000 | 2.375%, 02/28/15 | 6,165 | ||||||
25,000 | 2.375%, 03/31/16 | 25,242 | ||||||
10,000 | 2.500%, 06/30/17 | 9,931 | ||||||
5,000 | 2.625%, 06/30/14 | 5,211 | ||||||
121,450 | 2.625%, 07/31/14 | 126,545 | ||||||
239,500 | 2.625%, 12/31/14 | 248,799 | ||||||
19,000 | 2.625%, 02/29/16 | 19,444 | ||||||
36,325 | 2.625%, 04/30/16 | 37,071 | ||||||
26,000 | 2.625%, 01/31/18 | 25,710 | ||||||
170,925 | 2.750%, 05/31/17 | 172,474 | ||||||
42,090 | 2.750%, 12/31/17 | 42,028 | ||||||
169,500 | 3.125%, 10/31/16 | 176,068 | ||||||
20,000 | 3.125%, 01/31/17 | 20,708 | ||||||
144,765 | 3.125%, 04/30/17 | 149,425 | ||||||
252,792 | 3.125%, 05/15/19 | 253,601 | ||||||
241,700 | 3.250%, 12/31/16 | 252,104 | ||||||
76,500 | 3.250%, 03/31/17 | 79,608 | ||||||
5,000 | 3.500%, 02/15/18 | 5,225 | ||||||
77,000 | 4.250%, 11/15/17 | 84,291 | ||||||
62,060 | 4.500%, 05/15/17 | 69,008 | ||||||
9,500 | 4.625%, 02/15/17 | 10,640 | ||||||
136,865 | 4.750%, 08/15/17 | 154,187 | ||||||
U.S. Treasury STRIPS, | ||||||||
4,575 | 08/15/11 | 4,571 | ||||||
239 | 02/15/12 | 238 | ||||||
399 | 08/15/12 | 396 | ||||||
26,132 | 11/15/12 | 25,859 | ||||||
17,062 | 02/15/13 | 16,814 | ||||||
31,374 | 08/15/13 | 30,630 | ||||||
10,750 | 11/15/13 | 10,446 | ||||||
89,776 | 02/15/14 (m) | 86,639 | ||||||
73,063 | 05/15/14 (m) | 69,981 | ||||||
57,062 | 08/15/14 (m) | 54,268 | ||||||
33,961 | 11/15/14 | 32,017 | ||||||
40,209 | 02/15/15 (m) | 37,593 | ||||||
9,895 | 05/15/15 | 9,165 | ||||||
15,750 | 08/15/15 | 14,467 | ||||||
4,941 | 08/15/15 | 4,532 | ||||||
7,010 | 11/15/15 | 6,374 | ||||||
38,361 | 11/15/15 | 34,826 | ||||||
94,812 | 02/15/16 (m) | 85,086 | ||||||
32,950 | 05/15/16 | 29,229 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
44,427 | 08/15/16 | 38,894 | ||||||
14,200 | 11/15/16 | 12,324 | ||||||
46,981 | 11/15/16 | 40,680 | ||||||
105,058 | 02/15/17 | 89,802 | ||||||
24,158 | 05/15/17 | 20,479 | ||||||
42,303 | 08/15/17 | 35,363 | ||||||
90,980 | 11/15/17 | 75,111 | ||||||
33,450 | 02/15/18 | 27,276 | ||||||
15,500 | 05/15/18 | 12,495 | ||||||
41,786 | 08/15/18 | 33,293 | ||||||
11,475 | 02/15/19 | 8,945 | ||||||
11,897 | 02/15/19 | 9,240 | ||||||
105,365 | 05/15/19 | 80,744 | ||||||
182,720 | 08/15/19 | 138,120 | ||||||
11,000 | 02/15/20 | 8,082 | ||||||
4,550 | 05/15/20 | 3,308 | ||||||
92,400 | 05/15/20 | 66,839 | ||||||
103,900 | 08/15/20 | 74,086 | ||||||
8,550 | 11/15/20 | 6,018 | ||||||
1,000 | 02/15/21 | 694 | ||||||
31,800 | 08/15/21 | 21,409 | ||||||
55,600 | 11/15/21 | 36,836 | ||||||
17,208 | 02/15/22 | 11,237 | ||||||
7,869 | 02/15/23 | 4,842 | ||||||
1,200 | 02/15/24 | 697 | ||||||
7,000 | 05/15/24 | 4,008 | ||||||
5,925 | 08/15/24 | 3,341 | ||||||
20,400 | 11/15/24 | 11,321 | ||||||
5,800 | 02/15/25 | 3,172 | ||||||
2,700 | 05/15/25 | 1,454 | ||||||
16,000 | 08/15/25 | 8,488 | ||||||
7,300 | 02/15/26 | 3,757 | ||||||
22,300 | 05/15/26 | 11,307 | ||||||
25,050 | 11/15/26 | 12,318 | ||||||
10,800 | 02/15/27 | 5,239 | ||||||
28,300 | 05/15/27 | 13,534 | ||||||
31,300 | 08/15/27 | 14,759 | ||||||
24,650 | 11/15/27 | 11,454 | ||||||
37,050 | 02/15/28 | 16,972 | ||||||
9,300 | 05/15/28 | 4,199 | ||||||
5,900 | 08/15/28 | 2,630 | ||||||
800 | 11/15/28 | 352 | ||||||
20,115 | 02/15/29 | 8,747 | ||||||
3,200 | 05/15/29 | 1,372 | ||||||
2,800 | 08/15/29 | 1,184 | ||||||
9,120 | 11/15/29 | 3,805 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 73 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued | |||||||
40,600 | 02/15/30 | 16,700 | ||||||
18,000 | 05/15/30 | 7,301 | ||||||
6,500 | 08/15/30 | 2,601 | ||||||
12,100 | 02/15/31 | 4,721 | ||||||
5,300 | 05/15/31 | 2,041 | ||||||
14,125 | 08/15/31 | 5,369 | ||||||
7,700 | 11/15/31 | 2,891 | ||||||
9,425 | 02/15/32 | 3,493 | ||||||
1,700 | 08/15/32 | 614 | ||||||
5,000 | 11/15/32 | 1,776 | ||||||
2,875 | 08/15/33 | 983 | ||||||
1,050 | 05/15/34 | 345 | ||||||
2,100 | 11/15/34 | 673 | ||||||
10,500 | 02/15/35 | 3,324 | ||||||
1,700 | 08/15/35 | 524 | ||||||
1,175 | 05/15/36 | 348 | ||||||
Total U.S. Treasury Obligations | 5,310,579 | |||||||
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stock — 0.0% (g) |
| ||||||
Utilities — 0.0% (g) |
| |||||||
Independent Power Producers & |
| |||||||
— | (h) | Dynegy, Inc. | 1 | |||||
| Short-Term Investments— 1.1% |
| ||||||
Investment Companies — 1.1% |
| |||||||
220,223 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 220,223 | ||||||
1 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1 | ||||||
Total Investment Companies | 220,224 | |||||||
Total Short-Term Investments | 220,224 | |||||||
Total Investments —99.4% | 19,158,088 | |||||||
Other Assets in Excess of | 100,389 | |||||||
NET ASSETS — 100.0% | $ | 19,258,477 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — 2.7% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
1,280 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,283 | ||||||
2,773 | Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 2,784 | ||||||
Ally Auto Receivables Trust, | ||||||||
1,465 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 1,478 | ||||||
565 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 560 | ||||||
355 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 355 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1,510 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 1,611 | ||||||
270 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 272 | ||||||
Ameriquest Mortgage Securities, Inc., | ||||||||
1,429 | Series 2003-5, Class A6, SUB, 4.541%, 04/25/33 | 1,289 | ||||||
677 | Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 674 | ||||||
37 | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13 | 32 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
903 | Series 2003-SD2, Class 2A, VAR, 3.163%, 06/25/43 | 885 | ||||||
1,411 | Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 1,075 | ||||||
Centex Home Equity, | ||||||||
549 | Series 2001-B, Class A6, 6.360%, 07/25/32 | 552 | ||||||
435 | Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 409 | ||||||
135 | Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32 | 128 | ||||||
1,040 | Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 1,030 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
609 | Series 2003-5, Class 1A4, 4.396%, 02/25/30 | 606 | ||||||
713 | Series 2003-6, Class 1A4, 4.499%, 11/25/34 | 710 | ||||||
1,372 | Citibank Credit Card Issuance Trust, | 1,609 | ||||||
966 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33 | 947 | ||||||
2,067 | CNH Equipment Trust, Series 2010-A, | 2,082 | ||||||
Countrywide Asset-Backed Certificates, |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
8 | Series 2004-1, Class 3A, VAR, 0.542%, 04/25/34 | 6 | ||||||
590 | Series 2004-1, Class M1, VAR, 0.762%, 03/25/34 | 485 | ||||||
480 | Series 2004-1, Class M2, VAR, 0.812%, 03/25/34 | 409 | ||||||
1,539 | Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 | 1,165 | ||||||
230 | Series 2004-13, Class MV8, VAR, 1.961%, 01/25/35 (f) (i) | 14 | ||||||
354 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 253 | ||||||
99 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 94 | ||||||
635 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 697 | ||||||
3,000 | Distressed Asset Portfolio I, LLC, 3.500%, 12/31/15 (f) (i) | 3,000 | ||||||
1,817 | Equity One ABS, Inc., Series 2003-2, Class M1, VAR, 5.050%, 09/25/33 | 1,671 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
76 | Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25 | 80 | ||||||
138 | Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25 | 138 | ||||||
1,916 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF9, Class A3, VAR, 0.542%, 10/25/35 | 1,869 | ||||||
1,421 | GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29 | 1,494 | ||||||
6 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 0.521%, 11/25/35 | 6 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
244 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 225 | ||||||
977 | Series 2005-2, Class M1, VAR, 0.722%, 01/20/35 | 909 | ||||||
977 | Series 2005-2, Class M2, VAR, 0.752%, 01/20/35 | 857 | ||||||
361 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 334 | ||||||
874 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 829 | ||||||
437 | Series 2006-3, Class A2F, SUB, 5.660%, 03/20/36 | 439 | ||||||
1,075 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 1,122 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 75 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — Continued |
| ||||||
250 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 256 | ||||||
1,455 | Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36 | 1,480 | ||||||
1,105 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 1,022 | ||||||
1,539 | Lake Country Mortgage Loan Trust, | 1,490 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
375 | Series 2004-1, Class M3, VAR, 1.312%, 02/25/34 | 327 | ||||||
20 | Series 2004-2, Class B, VAR, 3.761%, 06/25/34 (e) (f) (i) | 4 | ||||||
56 | Series 2004-5, Class M6, VAR, 2.761%, 09/25/34 (f) (i) | 7 | ||||||
1,144 | Morgan Stanley ABS Capital I, | 749 | ||||||
New Century Home Equity Loan Trust, | ||||||||
1,000 | Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 979 | ||||||
610 | Series 2005-1, Class M1, VAR, 0.712%, 03/25/35 | 479 | ||||||
2,400 | Park Place Securities, Inc., | 2,236 | ||||||
2,100 | Residential Asset Securities Corp., | 1,967 | ||||||
680 | Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28 | 674 | ||||||
1,435 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 1,238 | ||||||
99 | Soundview Home Equity Loan Trust, | 87 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
2,500 | Series 2003-BC10, Class A4, VAR, 1.262%, 10/25/33 | 2,149 | ||||||
1,500 | Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 | 1,402 | ||||||
42 | Structured Asset Securities Corp., | 38 | ||||||
211 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 219 | ||||||
1,500 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 1,477 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
295 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 303 | ||||||
Total Asset-Backed Securities | 55,050 | |||||||
| Collateralized Mortgage Obligations — 21.6% |
| ||||||
Agency CMO — 13.3% |
| |||||||
694 | Federal Home Loan Bank, Series 2000-0606, Class Y, 5.270%, 12/28/12 | 731 | ||||||
Federal Home Loan Mortgage Corp. — Government National Mortgage Association, | ||||||||
214 | Series 23, Class KZ, 6.500%, 11/25/23 | 240 | ||||||
1,539 | Series 24, Class J, 6.250%, 11/25/23 | 1,655 | ||||||
276 | Series 31, Class Z, 8.000%, 04/25/24 | 311 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
34 | Series 11, Class D, 9.500%, 07/15/19 | 36 | ||||||
20 | Series 38, Class D, 9.500%, 05/15/20 | 23 | ||||||
9 | Series 81, Class A, 8.125%, 11/15/20 | 11 | ||||||
24 | Series 84, Class F, 9.200%, 10/15/20 | 27 | ||||||
12 | Series 109, Class I, 9.100%, 01/15/21 | 14 | ||||||
4 | Series 198, Class Z, 8.500%, 09/15/22 | 4 | ||||||
— | (h) | Series 1254, Class N, 8.000%, 04/15/22 | — | (h) | ||||
160 | Series 1316, Class Z, 8.000%, 06/15/22 | 180 | ||||||
57 | Series 1343, Class LB, 7.500%, 08/15/22 | 68 | ||||||
2 | Series 1351, Class TF, HB, 1,010.000%, 08/15/22 | 41 | ||||||
110 | Series 1456, Class Z, 7.500%, 01/15/23 | 124 | ||||||
805 | Series 1543, Class VN, 7.000%, 07/15/23 | 912 | ||||||
16 | Series 1556, Class H, 6.500%, 08/15/13 | 17 | ||||||
420 | Series 1577, Class PV, 6.500%, 09/15/23 | 453 | ||||||
55 | Series 1595, Class D, 7.000%, 10/15/13 | 57 | ||||||
1,266 | Series 1611, Class Z, 6.500%, 11/15/23 | 1,394 | ||||||
1,366 | Series 1628, Class LZ, 6.500%, 12/15/23 | 1,500 | ||||||
625 | Series 1630, Class PK, 6.000%, 11/15/23 | 686 | ||||||
1,000 | Series 1671, Class I, 7.000%, 02/15/24 | 1,130 | ||||||
16 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 20 | ||||||
111 | Series 1695, Class G, HB, IF, 24.659%, 03/15/24 | 169 | ||||||
68 | Series 1710, Class GB, HB, IF, 37.152%, 04/15/24 | 117 | ||||||
286 | Series 1911, Class SD, IF, IO, 10.169%, 07/15/23 | 87 | ||||||
151 | Series 2022, Class PE, 6.500%, 01/15/28 | 167 | ||||||
1,079 | Series 2033, Class K, 6.050%, 08/15/23 | 1,115 | ||||||
893 | Series 2036, Class PG, 6.500%, 01/15/28 | 920 | ||||||
310 | Series 2055, Class OE, 6.500%, 05/15/13 | 310 | ||||||
135 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 29 |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,103 | Series 2091, Class PG, 6.000%, 11/15/28 | 3,353 | ||||||
215 | Series 2148, Class ZA, 6.000%, 04/15/29 | 231 | ||||||
391 | Series 2201, Class C, 8.000%, 11/15/29 | 474 | ||||||
115 | Series 2261, Class ZY, 7.500%, 10/15/30 | 129 | ||||||
1,103 | Series 2293, Class ZA, 6.000%, 03/15/31 | 1,211 | ||||||
124 | Series 2297, Class NB, 6.000%, 03/15/16 | 131 | ||||||
176 | Series 2310, Class Z, 6.000%, 04/15/31 | 189 | ||||||
67 | Series 2313, Class LA, 6.500%, 05/15/31 | 73 | ||||||
563 | Series 2325, Class JO, PO, 06/15/31 | 508 | ||||||
1,548 | Series 2330, Class PE, 6.500%, 06/15/31 | 1,656 | ||||||
462 | Series 2344, Class QG, 6.000%, 08/15/16 | 496 | ||||||
558 | Series 2345, Class PQ, 6.500%, 08/15/16 | 594 | ||||||
414 | Series 2368, Class TG, 6.000%, 10/15/16 | 443 | ||||||
880 | Series 2394, Class MC, 6.000%, 12/15/16 | 948 | ||||||
329 | Series 2399, Class PG, 6.000%, 01/15/17 | 354 | ||||||
300 | Series 2410, Class QB, 6.250%, 02/15/32 | 338 | ||||||
842 | Series 2430, Class WF, 6.500%, 03/15/32 | 931 | ||||||
894 | Series 2466, Class DH, 6.500%, 06/15/32 | 983 | ||||||
2,528 | Series 2530, Class SK, IF, IO, 7.834%, 06/15/29 | 448 | ||||||
303 | Series 2534, Class SI, HB, IF, 20.369%, 02/15/32 | 441 | ||||||
2,000 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,192 | ||||||
2,890 | Series 2545, Class SQ, IF, IO, 7.334%, 05/15/17 | 170 | ||||||
817 | Series 2557, Class HL, 5.300%, 01/15/33 | 884 | ||||||
1,864 | Series 2586, Class IO, IO, 6.500%, 03/15/33 | 377 | ||||||
1,816 | Series 2587, Class XS, IF, IO, 7.384%, 09/15/17 | 127 | ||||||
533 | Series 2594, Class IV, IO, 7.000%, 03/15/32 | 111 | ||||||
141 | Series 2602, Class BX, 3.500%, 12/15/22 | 145 | ||||||
1,716 | Series 2610, Class UI, IO, 6.500%, 05/15/33 | 368 | ||||||
1,515 | Series 2613, Class H, 4.500%, 05/15/18 | 1,613 | ||||||
2,000 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,124 | ||||||
77 | Series 2630, Class KX, 4.050%, 06/15/18 | 77 | ||||||
1,506 | Series 2630, Class S, IF, IO, 6.884%, 01/15/17 | 47 | ||||||
4,342 | Series 2636, Class Z, 4.500%, 06/15/18 | 4,603 | ||||||
3,488 | Series 2641, Class SK, IF, IO, 6.884%, 01/15/18 | 322 | ||||||
152 | Series 2643, Class SA, HB, IF, 43.773%, 03/15/32 | 276 | ||||||
194 | Series 2650, Class PO, PO, 12/15/32 | 180 | ||||||
194 | Series 2650, Class SO, PO, 12/15/32 | 181 | ||||||
586 | Series 2656, Class AC, 6.000%, 08/15/33 | 641 | ||||||
1,375 | Series 2656, Class PE, 4.500%, 07/15/18 | 1,453 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
1,134 | Series 2658, Class A, 4.500%, 08/15/18 | 1,172 | ||||||
479 | Series 2668, Class SB, IF, 6.964%, 10/15/15 | 487 | ||||||
631 | Series 2686, Class GB, 5.000%, 05/15/20 | 641 | ||||||
757 | Series 2695, Class OB, PO, 10/15/33 | 664 | ||||||
1,268 | Series 2701, Class ST, IF, IO, 6.734%, 08/15/21 | 62 | ||||||
1,428 | Series 2707, Class KA, 4.500%, 11/15/18 | 1,521 | ||||||
695 | Series 2707, Class KJ, 5.000%, 11/15/18 | 741 | ||||||
5,000 | Series 2708, Class N, 4.000%, 11/15/18 | 5,264 | ||||||
173 | Series 2717, Class BA, 6.000%, 11/15/30 | 176 | ||||||
705 | Series 2733, Class SB, IF, 7.771%, 10/15/33 | 762 | ||||||
1,050 | Series 2736, Class PD, 5.000%, 03/15/32 | 1,112 | ||||||
263 | Series 2755, Class SA, IF, 13.669%, 05/15/30 | 294 | ||||||
1,264 | Series 2756, Class NA, 5.000%, 02/15/24 | 1,357 | ||||||
2,000 | Series 2764, Class OE, 4.500%, 03/15/19 | 2,136 | ||||||
360 | Series 2764, Class S, IF, 13.086%, 07/15/33 | 392 | ||||||
240 | Series 2776, Class SK, IF, 8.676%, 04/15/34 | 230 | ||||||
985 | Series 2779, Class SM, IF, IO, 6.884%, 10/15/18 | 80 | ||||||
174 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 178 | ||||||
1,000 | Series 2845, Class QH, 5.000%, 08/15/34 | 959 | ||||||
1,540 | Series 2864, Class NB, 5.500%, 07/15/33 | 1,689 | ||||||
4,033 | Series 2864, Class NS, IF, IO, 6.834%, 09/15/34 | 565 | ||||||
1,610 | Series 2888, Class IN, IO, 5.000%, 10/15/18 | 77 | ||||||
1,502 | Series 2912, Class EH, 5.500%, 01/15/35 | 1,611 | ||||||
178 | Series 2915, Class SY, IF, 15.585%, 01/15/35 | 182 | ||||||
511 | Series 2931, Class GA, 5.000%, 11/15/28 | 521 | ||||||
134 | Series 2980, Class QB, 6.500%, 05/15/35 | 148 | ||||||
325 | Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 | 442 | ||||||
4,212 | Series 2994, Class SC, IF, IO, 5.334%, 02/15/33 | 388 | ||||||
753 | Series 2995, Class FT, VAR, 0.516%, 05/15/29 | 751 | ||||||
457 | Series 3005, Class PV, IF, 12.311%, 10/15/33 | 521 | ||||||
485 | Series 3006, Class XD, IF, IO, 6.334%, 07/15/35 | 8 | ||||||
1,287 | Series 3028, Class ME, 5.000%, 02/15/34 | 1,356 | ||||||
504 | Series 3031, Class BN, HB, IF, 20.833%, 08/15/35 | 568 | ||||||
982 | Series 3059, Class B, 5.000%, 02/15/35 | 1,033 | ||||||
1,000 | Series 3064, Class OG, 5.500%, 06/15/34 | 1,088 | ||||||
168 | Series 3068, Class AO, PO, 01/15/35 | 161 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 77 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,409 | Series 3080, Class TZ, 5.500%, 02/15/33 | 2,536 | ||||||
952 | Series 3117, Class EO, PO, 02/15/36 | 821 | ||||||
467 | Series 3134, Class PO, PO, 03/15/36 | 407 | ||||||
552 | Series 3138, Class PO, PO, 04/15/36 | 492 | ||||||
1,505 | Series 3151, Class PD, 6.000%, 11/15/34 | 1,629 | ||||||
1,241 | Series 3152, Class MO, PO, 03/15/36 | 1,095 | ||||||
1,800 | Series 3189, Class PC, 6.000%, 08/15/35 | 1,967 | ||||||
4,943 | Series 3201, Class IN, IF, IO, 5.984%, 08/15/36 | 779 | ||||||
6,126 | Series 3202, Class HI, IF, IO, 6.384%, 08/15/36 | 939 | ||||||
785 | Series 3219, Class OD, 6.000%, 06/15/33 | 845 | ||||||
53 | Series 3269, Class WF, VAR, 0.000%, 01/15/37 | 51 | ||||||
2,000 | Series 3274, Class B, 6.000%, 02/15/37 | 2,207 | ||||||
1,087 | Series 3292, Class DO, PO, 03/15/37 | 946 | ||||||
5,854 | Series 3305, Class IW, IF, IO, 6.184%, 04/15/37 | 814 | ||||||
364 | Series 3306, Class TB, IF, 3.016%, 04/15/37 | 343 | ||||||
321 | Series 3306, Class TC, IF, 2.476%, 04/15/37 | 298 | ||||||
648 | Series 3331, Class PO, PO, 06/15/37 | 565 | ||||||
1,550 | Series 3336, Class GD, 5.000%, 04/15/36 | 1,639 | ||||||
5,225 | Series 3369, Class SB, IF, IO, 6.154%, 09/15/37 | 647 | ||||||
2,585 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 46 | ||||||
2,486 | Series 3531, Class SM, IF, IO, 5.834%, 05/15/39 | 330 | ||||||
495 | Series 3542, Class TN, IF, 6.000%, 07/15/36 | 476 | ||||||
661 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 704 | ||||||
1,395 | Series 3572, Class JS, IF, IO, 6.534%, 09/15/39 | 201 | ||||||
1,086 | Series 3605, Class NC, 5.500%, 06/15/37 | 1,153 | ||||||
3,223 | Series 3609, Class SA, IF, IO, 6.074%, 12/15/39 | 624 | ||||||
885 | Series 3611, Class PO, PO, 07/15/34 | 774 | ||||||
1,850 | Series 3620, Class TV, 5.500%, 12/15/20 | 1,995 | ||||||
1,026 | Series 3688, Class GT, VAR, 7.155%, 11/15/46 | 1,136 | ||||||
721 | Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27 | 622 | ||||||
943 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | 947 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
60,228 | Series 2001-T12, Class IO, IO, VAR, 0.539%, 08/25/41 | 1,308 | ||||||
1,313 | Series 2002-T19, Class A1, 6.500%, 07/25/42 | 1,447 | ||||||
107,406 | Series 2002-T4, Class IO, IO, VAR, 0.443%, 12/25/41 | 885 | ||||||
746 | Series 2004-T2, Class 1A3, 7.000%, 11/25/43 | 826 | ||||||
891 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 998 | ||||||
12,227 | Series 2004-T3, Class 1IO4, IO, VAR, 0.599%, 02/25/44 | 223 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
4,668 | Series 203, Class 2, IO, 8.000%, 02/01/23 | 1,011 | ||||||
788 | Series 266, Class 2, IO, 7.500%, 08/01/24 | 156 | ||||||
1,406 | Series 348, Class 30, IO, 5.500%, 12/01/18 | 163 | ||||||
1,359 | Series 348, Class 31, IO, VAR, 5.500%, 12/01/18 | 159 | ||||||
1,114 | Series 356, Class 42, IO, 5.500%, 12/01/19 | 138 | ||||||
2,684 | Series 380, Class S36, IF, IO, 7.639%, 07/25/37 | 390 | ||||||
1,454 | Series 383, Class 68, IO, 6.500%, 09/01/37 | 255 | ||||||
2,258 | Series 383, Class 69, IO, VAR, 6.500%, 10/01/37 | 417 | ||||||
659 | Series 383, Class 86, IO, VAR, 7.000%, 09/01/37 | 102 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
16 | Series 1988-13, Class C, 9.300%, 05/25/18 | 19 | ||||||
153 | Series 1989-72, Class E, 9.350%, 10/25/19 | 175 | ||||||
6 | Series 1989-98, Class H, 11.500%, 12/25/19 | 7 | ||||||
8 | Series 1990-1, Class D, 8.800%, 01/25/20 | 9 | ||||||
11 | Series 1990-110, Class H, 8.750%, 09/25/20 | 12 | ||||||
8 | Series 1990-117, Class E, 8.950%, 10/25/20 | 9 | ||||||
88 | Series 1991-141, Class PZ, 8.000%, 10/25/21 | 100 | ||||||
43 | Series 1992-31, Class M, 7.750%, 03/25/22 | 52 | ||||||
49 | Series 1992-79, Class Z, 9.000%, 06/25/22 | 55 | ||||||
35 | Series 1992-101, Class J, 7.500%, 06/25/22 | 37 | ||||||
448 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 501 |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
522 | Series 1992-200, Class SK, HB, IF, 21.576%, 11/25/22 | 764 | ||||||
37 | Series 1993-23, Class PZ, 7.500%, 03/25/23 | 42 | ||||||
292 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 324 | ||||||
159 | Series 1993-60, Class Z, 7.000%, 05/25/23 | 176 | ||||||
349 | Series 1993-79, Class PL, 7.000%, 06/25/23 | 387 | ||||||
546 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 627 | ||||||
276 | Series 1993-149, Class M, 7.000%, 08/25/23 | 306 | ||||||
1,048 | Series 1993-160, Class ZA, 6.500%, 09/25/23 | 1,160 | ||||||
96 | Series 1993-165, Class SA, IF, 19.159%, 09/25/23 | 131 | ||||||
10 | Series 1993-205, Class H, PO, 09/25/23 | 9 | ||||||
90 | Series 1993-247, Class SM, HB, IF, 24.179%, 12/25/23 | 136 | ||||||
99 | Series 1993-255, Class E, 7.100%, 12/25/23 | 110 | ||||||
120 | Series 1993-257, Class C, PO, 06/25/23 | 119 | ||||||
203 | Series 1994-1, Class L, 6.500%, 01/25/14 | 214 | ||||||
2,757 | Series 1994-23, Class PX, 6.000%, 08/25/23 | 3,037 | ||||||
137 | Series 1994-65, Class PK, PO, 04/25/24 | 121 | ||||||
421 | Series 1995-4, Class Z, 7.500%, 10/25/22 | 481 | ||||||
649 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 732 | ||||||
62 | Series 1996-59, Class K, 6.500%, 07/25/23 | 64 | ||||||
145 | Series 1997-11, Class E, 7.000%, 03/18/27 | 161 | ||||||
531 | Series 1997-20, Class D, 7.000%, 03/17/27 | 593 | ||||||
63 | Series 1997-27, Class J, 7.500%, 04/18/27 | 69 | ||||||
1,541 | Series 1997-37, Class SM, IF, IO, 7.719%, 12/25/22 | 327 | ||||||
500 | Series 1997-42, Class EG, 8.000%, 07/18/27 | 610 | ||||||
901 | Series 1997-63, Class ZA, 6.500%, 09/18/27 | 995 | ||||||
767 | Series 1998-66, Class FB, VAR, 0.611%, 12/25/28 | 768 | ||||||
1,429 | Series 1999-47, Class JZ, 8.000%, 09/18/29 | 1,742 | ||||||
435 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 489 | ||||||
693 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 750 | ||||||
213 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 222 | ||||||
1,037 | Series 2001-14, Class Z, 6.000%, 05/25/31 | 1,136 | ||||||
1,242 | Series 2001-16, Class Z, 6.000%, 05/25/31 | 1,361 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
828 | Series 2001-36, Class ST, IF, IO, 8.238%, 11/25/30 | 146 | ||||||
3,156 | Series 2001-72, Class SB, IF, IO, 7.238%, 12/25/31 | 563 | ||||||
634 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 684 | ||||||
219 | Series 2002-19, Class SC, IF, 13.713%, 03/17/32 | 266 | ||||||
575 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 626 | ||||||
640 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 683 | ||||||
273 | Series 2002-73, Class AN, 5.000%, 11/25/17 | 291 | ||||||
488 | Series 2003-8, Class QD, 5.000%, 09/25/16 | 495 | ||||||
2,082 | Series 2003-14, Class EH, IF, IO, 7.338%, 03/25/18 | 252 | ||||||
1,100 | Series 2003-17, Class EQ, 5.500%, 03/25/23 | 1,196 | ||||||
1,000 | Series 2003-18, Class GT, 5.000%, 03/25/18 | 1,078 | ||||||
2,574 | Series 2003-30, Class IP, IO, 5.750%, 08/25/32 | 240 | ||||||
2,000 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,160 | ||||||
67 | Series 2003-60, Class DA, 4.250%, 06/25/21 | 68 | ||||||
1,369 | Series 2003-64, Class KS, IF, 9.309%, 07/25/18 | 1,496 | ||||||
391 | Series 2003-64, Class SX, IF, 13.100%, 07/25/33 | 425 | ||||||
1,110 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 1,150 | ||||||
2,000 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 2,132 | ||||||
67 | Series 2003-91, Class SD, IF, 12.064%, 09/25/33 | 73 | ||||||
1,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 1,065 | ||||||
2,000 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 2,117 | ||||||
3,182 | Series 2003-109, Class TS, IF, IO, 6.838%, 08/25/22 | 329 | ||||||
475 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 493 | ||||||
9,247 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 9,766 | ||||||
1,000 | Series 2004-8, Class GD, 4.500%, 10/25/32 | 1,051 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 79 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,047 | ||||||
113 | Series 2004-22, Class A, 4.000%, 04/25/19 | 118 | ||||||
1,000 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,054 | ||||||
652 | Series 2004-72, Class F, VAR, 0.762%, 09/25/34 | 654 | ||||||
474 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 | 18 | ||||||
1,000 | Series 2004-101, Class PD, 5.000%, 06/25/30 | 1,053 | ||||||
200 | Series 2005-42, Class PS, IF, 16.346%, 05/25/35 | 243 | ||||||
995 | Series 2005-51, Class MO, PO, 06/25/35 | 884 | ||||||
3,594 | Series 2005-53, Class CS, IF, IO, 6.438%, 06/25/35 | 605 | ||||||
2,275 | Series 2005-59, Class PC, 5.500%, 03/25/31 | 2,400 | ||||||
583 | Series 2005-65, Class KO, PO, 08/25/35 | 540 | ||||||
6,800 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 7,345 | ||||||
6,386 | Series 2005-72, Class WS, IF, IO, 6.488%, 08/25/35 | 809 | ||||||
1,407 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,533 | ||||||
443 | Series 2005-90, Class ES, IF, 16.221%, 10/25/35 | 539 | ||||||
1,094 | Series 2005-97, Class B, 5.500%, 11/25/35 | 1,176 | ||||||
466 | Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 | 645 | ||||||
594 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 642 | ||||||
438 | Series 2006-2, Class IG, IO, 6.000%, 06/25/32 | 6 | ||||||
2,812 | Series 2006-20, Class IB, IF, IO, 6.329%, 04/25/36 | 486 | ||||||
716 | Series 2006-22, Class AO, PO, 04/25/36 | 613 | ||||||
775 | Series 2006-27, Class OH, PO, 04/25/36 | 697 | ||||||
1,208 | Series 2006-46, Class LI, IO, 6.000%, 02/25/34 | 67 | ||||||
1,375 | Series 2006-59, Class QO, PO, 01/25/33 | 1,237 | ||||||
1,162 | Series 2006-61, Class AP, 6.000%, 08/25/35 | 1,249 | ||||||
59 | Series 2006-74, Class UT, IF, 10.500%, 08/25/36 | 60 | ||||||
2,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 2,790 | ||||||
1,902 | Series 2006-110, Class PO, PO, 11/25/36 | 1,660 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
429 | Series 2006-114, Class DS, VAR, 0.000%, 12/25/36 | 360 | ||||||
185 | Series 2006-115, Class OM, PO, 12/25/36 | 174 | ||||||
672 | Series 2006-128, Class PO, PO, 01/25/37 | 575 | ||||||
855 | Series 2007-10, Class Z, 6.000%, 02/25/37 | 925 | ||||||
2,559 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 305 | ||||||
1,990 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 2,085 | ||||||
937 | Series 2007-68, Class IA, IO, 6.500%, 06/25/37 | 191 | ||||||
1,600 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 1,691 | ||||||
559 | Series 2007-100, Class SM, IF, IO, 6.189%, 10/25/37 | 81 | ||||||
6,817 | Series 2008-62, Class SM, IF, IO, 5.938%, 07/25/38 | 983 | ||||||
852 | Series 2008-68, Class VK, 5.500%, 03/25/27 | 926 | ||||||
1,075 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 1,169 | ||||||
20,084 | Series 2008-91, Class SI, IF, IO, 5.739%, 03/25/38 | 2,393 | ||||||
1,497 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 139 | ||||||
1,432 | Series 2009-17, Class AI, IO, 5.000%, 03/25/24 | 157 | ||||||
3,496 | Series 2009-23, Class MI, IO, 4.500%, 04/25/24 | 338 | ||||||
1,616 | Series 2009-29, Class LA, VAR, 4.951%, 05/25/39 | 1,603 | ||||||
3,583 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 557 | ||||||
1,605 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 1,713 | ||||||
9,246 | Series 2009-112, Class ST, IF, IO, 5.988%, 01/25/40 | 1,090 | ||||||
6,078 | Series 2009-112, Class SW, IF, IO, 5.988%, 01/25/40 | 716 | ||||||
1,381 | Series 2010-10, Class NT, 5.000%, 02/25/40 | 1,438 | ||||||
1,859 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 1,984 | ||||||
13,413 | Series 2010-35, Class SB, IF, IO, 6.158%, 04/25/40 | 1,795 | ||||||
3,277 | Series 2010-43, Class CI, IO, 4.500%, 02/25/25 | 318 | ||||||
280 | Series 2010-45, Class PO, PO, 05/25/40 | 261 |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,590 | Series 2010-49, Class SC, IF, 12.137%, 03/25/40 | 1,733 | ||||||
1,083 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 1,136 | ||||||
1,668 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 1,782 | ||||||
1,970 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 2,226 | ||||||
35 | Series G-29, Class O, 8.500%, 09/25/21 | 38 | ||||||
47 | Series G92-15, Class Z, 7.000%, 01/25/22 | 47 | ||||||
22 | Series G92-30, Class Z, 7.000%, 06/25/22 | 24 | ||||||
47 | Series G92-62, Class B, PO, 10/25/22 | 43 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
1,003 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 1,160 | ||||||
14,230 | Series 2002-W10, Class IO, IO, VAR, 0.980%, 08/25/42 | 448 | ||||||
23,665 | Series 2002-W7, Class IO1, IO, VAR, 0.927%, 06/25/29 | 772 | ||||||
47 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 | 50 | ||||||
426 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 491 | ||||||
653 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 | 698 | ||||||
48,271 | Series 2004-W11, Class 1IO1, IO, VAR, 0.352%, 05/25/44 | 562 | ||||||
283 | Series 2004-W2, Class 1A3F, VAR, 0.611%, 02/25/44 | 280 | ||||||
361 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 429 | ||||||
1,053 | Series 2004-W6, Class 3A4, 6.500%, 07/25/34 | 1,176 | ||||||
830 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 943 | ||||||
1,250 | Series 2004-W9, Class 1A3, 6.050%, 02/25/44 | 1,431 | ||||||
1,548 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,733 | ||||||
Government National Mortgage Association, | ||||||||
192 | Series 1997-7, Class ZA, 9.000%, 05/16/27 | 220 | ||||||
218 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 244 | ||||||
2,870 | Series 1999-15, Class S, IF, IO, 7.935%, 05/16/29 | 524 | ||||||
49 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 57 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
530 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 603 | ||||||
330 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 375 | ||||||
251 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 283 | ||||||
194 | Series 2001-63, Class SI, HB, IF, 21.275%, 05/20/26 | 5 | ||||||
2,762 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 3,290 | ||||||
2,077 | Series 2002-13, Class QA, IF, IO, 7.785%, 02/16/32 | 389 | ||||||
1,195 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 1,362 | ||||||
67 | Series 2002-47, Class HM, 6.000%, 07/16/32 | 73 | ||||||
7,385 | Series 2002-68, Class SC, IF, IO, 5.435%, 10/16/32 | 1,012 | ||||||
1,880 | Series 2002-84, Class PH, 6.000%, 11/16/32 | 2,060 | ||||||
996 | Series 2003-4, Class TI, IO, 5.500%, 05/16/31 | 44 | ||||||
316 | Series 2003-52, Class SB, IF, 11.087%, 06/16/33 | 341 | ||||||
916 | Series 2003-79, Class PV, 5.500%, 10/20/23 | 1,003 | ||||||
6,000 | Series 2003-101, Class SK, IF, IO, 6.296%, 10/17/33 | 988 | ||||||
240 | Series 2004-2, Class SA, IF, 19.580%, 01/16/34 | 285 | ||||||
8,482 | Series 2004-59, Class SG, IF, IO, 6.237%, 07/20/34 | 1,192 | ||||||
62 | Series 2004-73, Class AE, IF, 14.311%, 08/17/34 | 73 | ||||||
4,077 | Series 2004-86, Class SP, IF, IO, 5.837%, 09/20/34 | 505 | ||||||
2,815 | Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 | 365 | ||||||
5,039 | Series 2004-105, Class SN, IF, IO, 5.837%, 12/20/34 | 655 | ||||||
8,382 | Series 2005-3, Class SD, IF, IO, 5.837%, 01/20/31 | 587 | ||||||
6,540 | Series 2005-48, Class CS, IF, IO, 6.037%, 04/20/33 | 581 | ||||||
523 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 89 | ||||||
9,753 | Series 2006-23, Class S, IF, IO, 6.237%, 01/20/36 | 1,215 | ||||||
7,207 | Series 2006-26, Class S, IF, IO, 6.237%, 06/20/36 | 795 | ||||||
723 | Series 2006-59, Class PC, 5.500%, 04/20/35 | 786 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 81 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
8,840 | Series 2007-7, Class EI, IF, IO, 5.937%, 02/20/37 | 1,036 | ||||||
3,984 | Series 2007-9, Class CI, IF, IO, 5.937%, 03/20/37 | 459 | ||||||
6,951 | Series 2007-16, Class KU, IF, IO, 6.387%, 04/20/37 | 988 | ||||||
486 | Series 2007-17, Class JO, PO, 04/16/37 | 432 | ||||||
1,000 | Series 2007-22, Class PK, 5.500%, 04/20/37 | 1,068 | ||||||
8,150 | Series 2007-24, Class SA, IF, IO, 6.247%, 05/20/37 | 1,103 | ||||||
2,589 | Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 | 302 | ||||||
1,849 | Series 2007-67, Class SI, IF, IO, 6.247%, 11/20/37 | 237 | ||||||
561 | Series 2008-29, Class PO, PO, 02/17/33 | 513 | ||||||
226 | Series 2008-34, Class OC, PO, 06/20/37 | 142 | ||||||
2,174 | Series 2008-40, Class PS, IF, IO, 6.235%, 05/16/38 | 329 | ||||||
4,107 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 676 | ||||||
587 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 627 | ||||||
11,912 | Series 2008-50, Class SA, IF, IO, 5.967%, 06/20/38 | 1,381 | ||||||
1,980 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 596 | ||||||
7,618 | Series 2009-16, Class SJ, IF, IO, 6.537%, 05/20/37 | 1,012 | ||||||
4,309 | Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 | 520 | ||||||
293 | Series 2009-75, Class IY, IO, 5.500%, 06/20/39 | 102 | ||||||
6,317 | Series 2009-77, Class CS, IF, IO, 6.735%, 06/16/38 | 893 | ||||||
1,265 | Series 2009-79, Class OK, PO, 11/16/37 | 1,108 | ||||||
2,699 | Series 2009-83, Class TS, IF, IO, 5.837%, 08/20/39 | 288 | ||||||
4,430 | Series 2009-106, Class XL, IF, IO, 6.487%, 06/20/37 | 606 | ||||||
6,290 | Series 2010-4, Class SB, IF, IO, 6.235%, 08/16/39 | 802 | ||||||
940 | Series 2010-14, Class DO, PO, 03/20/36 | 888 | ||||||
1,135 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 1,228 | ||||||
1,635 | Series 2010-31, Class SK, IF, IO, 5.837%, 11/20/34 | 213 | ||||||
1,636 | Series 2010-157, Class OP, PO, 12/20/40 | 1,243 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
NCUA Guaranteed Notes, | ||||||||
3,912 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 3,804 | ||||||
518 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 507 | ||||||
Vendee Mortgage Trust, | ||||||||
1,212 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,365 | ||||||
3,181 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,655 | ||||||
435 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 504 | ||||||
276,164 | ||||||||
Non-Agency CMO — 8.3% | ||||||||
ABN Amro Mortgage Corp., | ||||||||
812 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 827 | ||||||
378 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 388 | ||||||
Adjustable Rate Mortgage Trust, | ||||||||
1,646 | Series 2005-4, Class 7A2, VAR, 0.492%, 08/25/35 | 1,549 | ||||||
314 | Series 2005-5, Class 6A21, VAR, 0.492%, 09/25/35 | 265 | ||||||
American General Mortgage Loan Trust, | ||||||||
1,639 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,759 | ||||||
2,540 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 2,661 | ||||||
3,000 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 3,073 | ||||||
4,943 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 | 2,319 | ||||||
302 | ASG Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) | 309 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
685 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 686 | ||||||
726 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 738 | ||||||
Banc of America Funding Corp., | ||||||||
1,500 | Series 2005-5, Class 3A5, 5.500%, 08/25/35 | 1,261 | ||||||
515 | Series 2005-7, Class 30PO, PO, 11/25/35 | 298 | ||||||
2,095 | Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 | 2,070 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
2,030 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 2,081 | ||||||
945 | Series 2003-4, Class 1B1, 5.500%, 06/25/33 | 878 |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
525 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 542 | ||||||
432 | Series 2004-2, Class 2A4, 5.500%, 03/25/34 | 406 | ||||||
3,593 | Series 2004-3, Class 2A1, 5.500%, 04/25/34 | 3,676 | ||||||
1,458 | Series 2004-5, Class 3A3, 5.000%, 06/25/19 | 1,526 | ||||||
608 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 621 | ||||||
742 | Series 2004-7, Class 2A2, 5.750%, 08/25/34 | 762 | ||||||
284 | Series 2004-8, Class XPO, PO, 10/25/34 | 214 | ||||||
18 | Series 2004-11, Class 15PO, PO, 01/25/20 | 15 | ||||||
995 | Series 2004-F, Class 1A1, VAR, 2.767%, 07/25/34 | 932 | ||||||
257 | Series 2005-1, Class 15PO, PO, 02/25/20 | 203 | ||||||
504 | Series 2005-1, Class 1A17, 5.500%, 02/25/35 | 493 | ||||||
1,695 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 1,726 | ||||||
229 | Series 2005-10, Class 15PO, PO, 11/25/20 | 181 | ||||||
360 | Series 2005-11, Class 15PO, PO, 12/25/20 | 286 | ||||||
323 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 325 | ||||||
BCAP LLC Trust, | ||||||||
517 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 525 | ||||||
1,699 | Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) | 1,605 | ||||||
1,639 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 1,675 | ||||||
1,731 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 1,738 | ||||||
347 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 342 | ||||||
9 | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 7.131%, 03/25/31 | 10 | ||||||
514 | Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.250%, 10/25/33 | 526 | ||||||
Chase Mortgage Finance Corp., | ||||||||
587 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 603 | ||||||
742 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 762 | ||||||
1,294 | Series 2004-S1, Class M, VAR, 5.091%, 02/25/19 | 1,263 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
Citicorp Mortgage Securities, Inc., | ||||||||
846 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 864 | ||||||
1,100 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,151 | ||||||
940 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 945 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
114 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 97 | ||||||
227 | Series 2004-HYB4, Class AA, VAR, 0.592%, 12/25/34 | 209 | ||||||
308 | Community Program Loan Trust, | 311 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
451 | Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 463 | ||||||
1,838 | Series 2004-16CB, Class 2A2, 5.000%, 08/25/19 | 1,838 | ||||||
439 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 443 | ||||||
1,558 | Series 2004-22CB, Class 1A1, 6.000%, 10/25/34 | 1,608 | ||||||
1,605 | Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35 | 1,627 | ||||||
573 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 583 | ||||||
800 | Series 2005-23CB, Class A2, 5.500%, 07/25/35 | 682 | ||||||
5,500 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 4,710 | ||||||
2,000 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 1,563 | ||||||
315 | Series 2005-J6, Class 2A1, 5.500%, 07/25/25 | 310 | ||||||
96 | Series 2005-J7, Class 1A9, 5.500%, 07/25/35 | 60 | ||||||
513 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 382 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
317 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 329 | ||||||
1,164 | Series 2003-40, Class A3, 4.500%, 10/25/18 | 1,179 | ||||||
1,293 | Series 2003-50, Class A1, 5.000%, 11/25/18 | 1,334 | ||||||
212 | Series 2003-J7, Class 2A13, 5.000%, 08/25/33 | 206 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 83 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
1,203 | Series 2004-3, Class A25, 5.750%, 04/25/34 | 1,159 | ||||||
2,728 | Series 2004-4, Class A13, 5.250%, 05/25/34 | 2,835 | ||||||
1,395 | Series 2004-5, Class 2A9, 5.250%, 05/25/34 | 1,460 | ||||||
9 | Series 2005-13, Class A1, 5.500%, 06/25/35 | 9 | ||||||
500 | Series 2005-13, Class A2, 5.500%, 06/25/35 | 501 | ||||||
1,380 | Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 | 1,110 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
889 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 897 | ||||||
1,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,380 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
398 | Series 2003-29, Class 8A1, 6.000%, 11/25/18 | 406 | ||||||
3,548 | Series 2004-4, Class 5A4, IF, IO, 7.288%, 08/25/34 | 460 | ||||||
1,000 | Series 2005-1, Class 1A16, 5.500%, 02/25/35 | 749 | ||||||
694 | Series 2005-7, Class 5A1, 4.750%, 08/25/20 | 705 | ||||||
480 | Series 2005-10, Class 10A4, 6.000%, 11/25/35 | 302 | ||||||
881 | Series 2005-10, Class 6A13, 5.500%, 11/25/35 | 754 | ||||||
223 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35 | 129 | ||||||
736 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.338%, 09/25/34 | 695 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
276 | Series 2003-8, Class 1A43, PO, 10/25/33 | 208 | ||||||
289 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 | 286 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
2,673 | Series 2003-J10, Class A1, 4.750%, 01/25/19 | 2,761 | ||||||
654 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 679 | ||||||
325 | Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 | 263 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
GSR Mortgage Loan Trust, | ||||||||
559 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 549 | ||||||
970 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 1,027 | ||||||
740 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 753 | ||||||
3,485 | Series 2005-2F, Class 1A5, 5.500%, 03/25/35 | 3,479 | ||||||
1,000 | Series 2007-2F, Class 2A7, 5.750%, 02/25/37 | 948 | ||||||
Impac CMB Trust, | ||||||||
1,661 | Series 2004-10, Class 3A1, VAR, 0.961%, 03/25/35 | 1,355 | ||||||
1,007 | Series 2004-10, Class 3A2, VAR, 1.061%, 03/25/35 | 489 | ||||||
30 | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33 | 31 | ||||||
JP Morgan Mortgage Trust, | ||||||||
2,456 | Series 2004-S1, Class 3A1, 5.500%, 09/25/34 | 2,551 | ||||||
1,416 | Series 2004-S2, Class 4A5, 6.000%, 11/25/34 | 1,392 | ||||||
1,518 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 1,483 | ||||||
1,430 | Series 2005-A2, Class 5A2, VAR, 4.295%, 04/25/35 | 1,435 | ||||||
2,017 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 2,009 | ||||||
385 | Series 2006-A2, Class 5A3, VAR, 2.974%, 11/25/33 | 389 | ||||||
432 | Series 2007-A1, Class 5A2, VAR, 2.968%, 07/25/35 | 417 | ||||||
1,159 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.305%, 08/26/35 (e) | 1,168 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
491 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 479 | ||||||
414 | Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 417 | ||||||
MASTR Alternative Loans Trust, | ||||||||
759 | Series 2003-7, Class 4A3, 8.000%, 11/25/18 | 777 | ||||||
353 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 357 | ||||||
992 | Series 2003-9, Class 5A1, 4.500%, 12/25/18 | 1,016 |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
1,331 | Series 2004-6, Class 6A1, 6.500%, 07/25/34 | 1,397 | ||||||
208 | Series 2004-7, Class 30PO, PO, 08/25/34 | 149 | ||||||
101 | Series 2004-7, Class 3A1, 6.500%, 08/25/34 | 104 | ||||||
1,000 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 1,020 | ||||||
1,760 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,792 | ||||||
458 | Series 2004-11, Class 8A3, 5.500%, 11/25/19 | 437 | ||||||
80 | Series 2005-1, Class 5A1, 5.500%, 01/25/20 | 82 | ||||||
MASTR Asset Securitization Trust, | ||||||||
110 | Series 2003-6, Class 8A1, 5.500%, 07/25/33 | 112 | ||||||
648 | Series 2003-10, Class 3A1, 5.500%, 11/25/33 | 682 | ||||||
256 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 264 | ||||||
414 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 421 | ||||||
151 | Series 2004-6, Class 15PO, PO, 05/25/19 | 122 | ||||||
1,095 | Series 2004-6, Class 3A1, 5.250%, 07/25/19 | 1,120 | ||||||
542 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 563 | ||||||
241 | Series 2004-8, Class PO, PO, 08/25/19 | 199 | ||||||
434 | Series 2004-10, Class 1A1, 4.500%, 10/25/19 | 447 | ||||||
1,981 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 2,104 | ||||||
363 | MASTR Resecuritization Trust, | 247 | ||||||
1,683 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.542%, 08/25/35 | 1,535 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
1,139 | Series 2004-C, Class A2, VAR, 0.765%, 07/25/29 | 1,092 | ||||||
858 | Series 2004-D, Class A3, VAR, 2.231%, 08/25/29 | 830 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
1,698 | Series 2004-3, Class 4A, VAR, 5.653%, 04/25/34 | 1,805 | ||||||
583 | Series 2004-7AR, Class 2A6, VAR, 2.598%, 09/25/34 | 548 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
447 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.581%, 02/25/35 | 347 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
375 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 380 | ||||||
1,293 | Series 2005-AR1, Class 1A1, VAR, 2.786%, 02/25/35 | 1,030 | ||||||
Paine Webber CMO Trust, | ||||||||
11 | Series H, Class 4, 8.750%, 04/01/18 | 12 | ||||||
11 | Series L, Class 4, 8.950%, 07/01/18 | 12 | ||||||
894 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 943 | ||||||
Residential Accredit Loans, Inc., | ||||||||
1,047 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,065 | ||||||
546 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 547 | ||||||
4,000 | Series 2005-QS5, Class A4, 5.750%, 04/25/35 | 3,247 | ||||||
471 | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 359 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
960 | Series 2004-S4, Class 2A7, 4.500%, 04/25/19 | 970 | ||||||
544 | Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 | 419 | ||||||
4,063 | Series 2006-S1, Class 1A8, 5.750%, 01/25/36 | 3,620 | ||||||
358 | Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18 | 373 | ||||||
110 | SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) | 114 | ||||||
1,673 | Sequoia Mortgage Trust, Series 2004-8, Class A2, VAR, 0.830%, 09/20/34 | 1,535 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
685 | Series 2004-14, Class 1A, VAR, 2.830%, 10/25/34 | 589 | ||||||
617 | Series 2005-5, Class A1, VAR, 0.492%, 05/25/35 | 579 | ||||||
287 | Series 2005-5, Class A2, VAR, 0.492%, 05/25/35 | 268 | ||||||
Structured Asset Securities Corp., | ||||||||
146 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 149 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 85 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
4,678 | Series 2003-26A, Class 3A5, VAR, 2.604%, 09/25/33 | 4,361 | ||||||
939 | Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 | 390 | ||||||
789 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 803 | ||||||
807 | Series 2003-37A, Class 2A, VAR, 5.012%, 12/25/33 | 836 | ||||||
630 | Series 2004-7, Class 2A1, VAR, 5.363%, 05/25/24 | 654 | ||||||
1,764 | Series 2005-5, Class 2A1, 5.500%, 04/25/35 | 1,806 | ||||||
573 | Thornburg Mortgage Securities Trust, Series 2006-5, Class A1, VAR, 0.381%, 10/25/46 | 567 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
657 | Series 2002-S4, Class A4, 6.500%, 10/19/29 | 683 | ||||||
462 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 474 | ||||||
985 | Series 2003-AR8, Class A, VAR, 2.717%, 08/25/33 | 1,000 | ||||||
717 | Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 | 711 | ||||||
208 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 | 221 | ||||||
300 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 295 | ||||||
842 | Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 | 828 | ||||||
718 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 753 | ||||||
714 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 741 | ||||||
1,774 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 1,773 | ||||||
205 | Series 2005-AR2, Class 2A21, VAR, 0.592%, 01/25/45 | 174 | ||||||
1,822 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,597 | ||||||
2,131 | Washington Mutual MSC Mortgage Pass-Through Certificates, | 2,233 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
486 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 502 | ||||||
172 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 178 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
382 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 382 | ||||||
701 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 720 | ||||||
393 | Series 2003-17, Class 2A9, PO, 01/25/34 | 265 | ||||||
423 | Series 2003-18, Class A1, 5.500%, 12/25/33 | 433 | ||||||
881 | Series 2003-F, Class A1, VAR, 4.831%, 06/25/33 | 909 | ||||||
310 | Series 2003-J, Class 2A5, VAR, 4.426%, 10/25/33 | 317 | ||||||
910 | Series 2003-M, Class A1, VAR, 4.690%, 12/25/33 | 942 | ||||||
611 | Series 2004-B, Class A1, VAR, 4.930%, 02/25/34 | 636 | ||||||
320 | Series 2004-DD, Class 2A8, VAR, 2.745%, 01/25/35 | 229 | ||||||
467 | Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 | 467 | ||||||
644 | Series 2004-EE, Class 3A2, VAR, 2.952%, 12/25/34 | 655 | ||||||
1,529 | Series 2004-K, Class 1A2, VAR, 4.463%, 07/25/34 | 1,583 | ||||||
149 | Series 2004-Q, Class 1A3, VAR, 4.879%, 09/25/34 | 140 | ||||||
555 | Series 2004-Q, Class 2A2, VAR, 4.695%, 09/25/34 | 479 | ||||||
552 | Series 2004-U, Class A1, VAR, 2.920%, 10/25/34 | 552 | ||||||
635 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 651 | ||||||
2,175 | Series 2005-9, Class 2A10, 5.250%, 10/25/35 | 1,941 | ||||||
954 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 996 | ||||||
182 | Series 2005-AR13, Class A1, VAR, 5.270%, 05/25/35 | 182 | ||||||
170,971 | ||||||||
Total Collateralized Mortgage Obligations (Cost $425,838) | 447,135 | |||||||
| Commercial Mortgage-Backed Securities — 3.3% | |||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
1,730 | Series 2005-1, Class AJ, VAR, 5.157%, 11/10/42 | 1,830 | ||||||
1,050 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 1,102 | ||||||
2,435 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 2,516 | ||||||
1,050 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 1,128 |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
1,944 | Series 2005-6, Class ASB, VAR, 5.195%, 09/10/47 | 2,057 | ||||||
485 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 521 | ||||||
3,010 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 3,290 | ||||||
1,005 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 1,091 | ||||||
2,056 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 2,195 | ||||||
Banc of America Large Loan, Inc., | ||||||||
500 | Series 2009-UB1, Class A4A, VAR, 5.620%, 06/24/50 (e) | 540 | ||||||
1,234 | Series 2010-HLTN, Class HLTN, VAR, 2.016%, 11/15/15 (e) | 1,187 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
482 | Series 2004-T14, Class A3, 4.800%, 01/12/41 | 496 | ||||||
640 | Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41 | 686 | ||||||
2,570 | Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 2,803 | ||||||
75 | Series 2006-PW12, Class A4, VAR, 5.722%, 09/11/38 | 82 | ||||||
250 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 271 | ||||||
1,973 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 2,068 | ||||||
1,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class AM, VAR, 5.222%, 07/15/44 | 1,582 | ||||||
1,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.659%, 03/15/39 | 1,084 | ||||||
2,321 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 2,412 | ||||||
2,180 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 2,284 | ||||||
1,025 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 1,030 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
132 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 133 | ||||||
645 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 687 | ||||||
2,330 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 2,436 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
GS Mortgage Securities Corp. II, | ||||||||
465 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 502 | ||||||
793 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 815 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
2,000 | Series 2005-CB13, Class A4, VAR, 5.280%, 01/12/43 | 2,140 | ||||||
200 | Series 2005-LDP2, Class AM, 4.780%, 07/15/42 | 209 | ||||||
1,000 | Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44 | 1,071 | ||||||
94,713 | Series 2006-CB15, Class X1, IO, VAR, 0.086%, 06/12/43 | 678 | ||||||
285 | Series 2006-CB17, Class A4, 5.429%, 12/12/43 | 305 | ||||||
620 | Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43 | 666 | ||||||
160 | Series 2006-LDP7, Class A4, VAR, 5.875%, 04/15/45 | 175 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
405 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 435 | ||||||
1,060 | Series 2006-C4, Class A4, VAR, 5.883%, 06/15/38 | 1,168 | ||||||
560 | Series 2006-C6, Class A4, 5.372%, 09/15/39 | 602 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
1,425 | Series 2005-CKI1, Class AM, VAR, 5.241%, 11/12/37 | 1,509 | ||||||
1,750 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 1,888 | ||||||
1,750 | Series 2005-LC1, Class AJ, VAR, 5.331%, 01/12/44 | 1,772 | ||||||
2,000 | Series 2005-LC1, Class AM, VAR, 5.272%, 01/12/44 | 2,111 | ||||||
1,755 | Series 2006-C1, Class A4, VAR, 5.659%, 05/12/39 | 1,925 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
1,725 | Series 2006-1, Class A4, VAR, 5.431%, 02/12/39 | 1,867 | ||||||
250 | Series 2006-4, Class A3, VAR, 5.172%, 12/12/49 | 266 | ||||||
Morgan Stanley Capital I, | ||||||||
645 | Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52 | 693 | ||||||
204 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 204 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 87 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
1,575 | Series 2006-T23, Class AM, VAR, 5.806%, 08/12/41 | 1,710 | ||||||
785 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35 | 825 | ||||||
3,000 | Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 3,188 | ||||||
1,290 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 | 1,403 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
1,587 | Series 2004-C15, Class A2, 4.039%, 10/15/41 | 1,591 | ||||||
193 | Series 2005-C16, Class AJ, VAR, 4.896%, 10/15/41 | 200 | ||||||
170 | Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 | 182 | ||||||
1,500 | Series 2005-C21, Class AM, VAR, 5.203%, 10/15/44 | 1,603 | ||||||
250 | Series 2006-C25, Class A4, VAR, 5.738%, 05/15/43 | 273 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $62,457) | 67,487 | |||||||
| Convertible Bond — 0.1% | |||||||
Materials — 0.1% | ||||||||
Construction Materials — 0.1% | ||||||||
665 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 844 | ||||||
| Corporate Bonds — 36.9% | |||||||
Consumer Discretionary — 5.7% | ||||||||
Auto Components — 0.1% | ||||||||
531 | Goodyear Tire & Rubber Co. (The), 10.500%, 05/15/16 | 605 | ||||||
890 | Johnson Controls, Inc., 5.700%, 03/01/41 | 908 | ||||||
1,513 | ||||||||
Automobiles — 0.4% | ||||||||
2,000 | Daimler Finance North America LLC, 7.300%, 01/15/12 | 2,111 | ||||||
400 | Ford Motor Co., 9.215%, 09/15/21 | 462 | ||||||
Motors Liquidation Co., | ||||||||
120 | 5.250%, 03/06/32 | 926 | ||||||
385 | 6.250%, 07/15/33 | 3,023 | ||||||
21 | 7.250%, 04/15/41 | 159 | ||||||
1 | 7.250%, 07/15/41 | 4 | ||||||
42 | 7.250%, 02/15/52 | 311 | ||||||
55 | 7.375%, 05/15/48 | 412 | ||||||
1 | 7.375%, 10/01/51 | 10 | ||||||
2,500 | 7.700%, 04/15/16 (d) | 794 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Automobiles — Continued | ||||||||
250 | Navistar International Corp., 8.250%, 11/01/21 | 277 | ||||||
8,489 | ||||||||
Broadcasting & Cable TV — 0.7% | ||||||||
2,004 | Adelphia Communications Corp., 9.375%, 11/15/09 (d) | 30 | ||||||
80 | Cablevision Systems Corp., 8.000%, 04/15/20 | 87 | ||||||
350 | CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16 | 424 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
1,075 | 7.000%, 01/15/19 | 1,094 | ||||||
425 | 7.000%, 01/15/19 (e) | 431 | ||||||
1,000 | 7.250%, 10/30/17 | 1,050 | ||||||
125 | 7.875%, 04/30/18 | 134 | ||||||
330 | 8.125%, 04/30/20 | 356 | ||||||
1,280 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 1,354 | ||||||
DISH DBS Corp., | ||||||||
400 | 7.000%, 10/01/13 | 430 | ||||||
730 | 7.125%, 02/01/16 | 779 | ||||||
475 | 7.875%, 09/01/19 | 515 | ||||||
847 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 900 | ||||||
1,675 | Sirius XM Radio, Inc., 9.750%, 09/01/15 (e) | 1,895 | ||||||
1,750 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 1,877 | ||||||
2,020 | Videotron Ltee, (Canada), 9.125%, 04/15/18 | 2,267 | ||||||
1,000 | Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19 | 1,134 | ||||||
14,757 | ||||||||
Distributors — 0.2% | ||||||||
2,360 | AmeriGas Partners LP/AmeriGas Finance Corp., 6.500%, 05/20/21 | 2,431 | ||||||
450 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) | 445 | ||||||
2,876 | ||||||||
Diversified Consumer Services — 0.3% | ||||||||
750 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) | 752 | ||||||
500 | Mac-Gray Corp., 7.625%, 08/15/15 | 506 | ||||||
Service Corp. International, | ||||||||
495 | 7.000%, 06/15/17 | 527 |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued | |||||||
Diversified Consumer Services — Continued | ||||||||
700 | 7.000%, 05/15/19 | 723 | ||||||
�� | 2,073 | 7.625%, 10/01/18 | 2,255 | |||||
Stewart Enterprises, Inc., | ||||||||
165 | 3.125%, 07/15/14 | 167 | ||||||
1,863 | 6.250%, 02/15/13 | 1,863 | ||||||
6,793 | ||||||||
Gaming — 0.8% | ||||||||
2,502 | Chukchansi Economic Development Authority, 8.000%, 11/15/13 (e) | 1,877 | ||||||
Mashantucket Western Pequot Tribe, | ||||||||
250 | 5.912%, 09/01/21 (d) (e) | 113 | ||||||
1,010 | 8.500%, 11/15/15 (d) (e) | 101 | ||||||
500 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 575 | ||||||
MGM Resorts International, | ||||||||
1,000 | 6.875%, 04/01/16 | 935 | ||||||
3,675 | 10.000%, 11/01/16 (e) | 3,905 | ||||||
825 | 11.375%, 03/01/18 | 936 | ||||||
1,750 | Peninsula Gaming LLC, 8.375%, 08/15/15 | 1,877 | ||||||
1,210 | Pinnacle Entertainment, Inc., 8.625%, 08/01/17 | 1,328 | ||||||
1,750 | Seminole Hard Rock Entertainment, Inc., VAR, 2.802%, 03/15/14 (e) | 1,706 | ||||||
150 | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e) | 159 | ||||||
350 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 362 | ||||||
2,000 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) | 1,360 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
625 | 7.750%, 08/15/20 | 661 | ||||||
165 | 7.875%, 11/01/17 | 176 | ||||||
350 | 7.875%, 05/01/20 | 371 | ||||||
16,442 | ||||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
700 | AMC Entertainment, Inc., 8.750%, 06/01/19 | 752 | ||||||
500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 545 | ||||||
1,500 | CityCenter Holdings LLC/CityCenter Finance Corp., PIK, 11.500%, 01/15/17 (e) | 1,567 | ||||||
Host Hotels & Resorts LP, | ||||||||
750 | 6.875%, 11/01/14 | 776 | ||||||
436 | 7.125%, 11/01/13 | 442 | ||||||
225 | Landry’s Restaurants, Inc., 11.625%, 12/01/15 | 244 | ||||||
500 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 520 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Hotels, Restaurants & Leisure — Continued |
| |||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
7 | 6.875%, 12/01/13 | 8 | ||||||
400 | 7.000%, 06/15/13 | 429 | ||||||
338 | 7.250%, 06/15/16 | 363 | ||||||
1,608 | 11.875%, 07/15/15 | 1,994 | ||||||
1,750 | Speedway Motorsports, Inc., 6.750%, 02/01/19 (e) | 1,776 | ||||||
255 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 | 291 | ||||||
455 | Vail Resorts, Inc., 6.750%, 02/15/14 | 461 | ||||||
10,168 | ||||||||
Household Durables — 0.3% |
| |||||||
175 | American Standard Americas, 10.750%, 01/15/16 (e) | 186 | ||||||
1,225 | D.R. Horton, Inc., 5.625%, 01/15/16 | 1,243 | ||||||
KB Home, | ||||||||
1,000 | 5.750%, 02/01/14 | 1,016 | ||||||
615 | 5.875%, 01/15/15 | 614 | ||||||
1,875 | Lennar Corp., 6.950%, 06/01/18 | 1,870 | ||||||
420 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 417 | ||||||
750 | Standard Pacific Corp., 8.375%, 05/15/18 (e) | 795 | ||||||
6,141 | ||||||||
Internet & Catalog Retail — 0.0% (g) |
| |||||||
400 | NetFlix, Inc., 8.500%, 11/15/17 | 453 | ||||||
Leisure Equipment & Products — 0.1% |
| |||||||
250 | Da-Lite Screen Co., Inc., 12.500%, 04/01/15 | 280 | ||||||
1,440 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 1,469 | ||||||
118 | FGI Holding Co., Inc., PIK, 11.250%, 10/01/15 (e) | 116 | ||||||
750 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 761 | ||||||
2,626 | ||||||||
Media — 1.4% |
| |||||||
600 | Belo Corp., 8.000%, 11/15/16 | 652 | ||||||
500 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 509 | ||||||
125 | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e) | 131 | ||||||
CBS Corp., | ||||||||
200 | 7.875%, 07/30/30 | 233 | ||||||
160 | 8.875%, 05/15/19 | 202 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
360 | 9.250%, 12/15/17 | 400 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 89 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued | |||||||
Media — Continued |
| |||||||
650 | 9.250%, 12/15/17 | 723 | ||||||
240 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 327 | ||||||
1,500 | Comcast Cable Holdings LLC, 9.800%, 02/01/12 | 1,619 | ||||||
Comcast Corp., | ||||||||
850 | 5.900%, 03/15/16 | 945 | ||||||
240 | 6.300%, 11/15/17 | 272 | ||||||
CSC Holdings LLC, | ||||||||
900 | 7.625%, 07/15/18 | 990 | ||||||
139 | 7.875%, 02/15/18 | 155 | ||||||
2,669 | DigitalGlobe, Inc., 10.500%, 05/01/14 | 3,033 | ||||||
Gannett Co., Inc., | ||||||||
500 | 6.375%, 09/01/15 (e) | 520 | ||||||
750 | 7.125%, 09/01/18 (e) | 763 | ||||||
500 | 8.750%, 11/15/14 | 574 | ||||||
245 | 9.375%, 11/15/17 | 279 | ||||||
1,000 | Historic TW, Inc., 9.150%, 02/01/23 | 1,302 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
700 | 7.250%, 10/15/20 (e) | 719 | ||||||
1,225 | 8.500%, 11/01/19 (e) | 1,345 | ||||||
1,000 | Intelsat Subsidiary Holding Co. S.A., (Bermuda), 8.500%, 01/15/13 | 1,006 | ||||||
350 | Interpublic Group of Cos., Inc. (The), 10.000%, 07/15/17 | 414 | ||||||
750 | Lamar Media Corp., 6.625%, 08/15/15 | 767 | ||||||
500 | Media General, Inc., 11.750%, 02/15/17 | 552 | ||||||
475 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 511 | ||||||
810 | NBC Universal, Inc., 5.950%, 04/01/41 (e) | 798 | ||||||
News America Holdings, Inc., | ||||||||
800 | 7.750%, 01/20/24 | 933 | ||||||
147 | 8.875%, 04/26/23 | 189 | ||||||
News America, Inc., | ||||||||
600 | 6.750%, 01/09/38 | 646 | ||||||
200 | 7.850%, 03/01/39 | 242 | ||||||
135 | Salem Communications Corp., 9.625%, 12/15/16 | 148 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
280 | 4.700%, 10/15/19 | 294 | ||||||
410 | 5.950%, 07/15/13 | 453 | ||||||
200 | 6.500%, 07/15/18 | 233 | ||||||
335 | Time Warner Cable, Inc., 7.300%, 07/01/38 | 377 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
415 | 8.375%, 03/15/23 | 522 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Media — Continued | ||||||||
1,445 | 8.375%, 07/15/33 | 1,794 | ||||||
750 | 10.150%, 05/01/12 | 824 | ||||||
850 | Valassis Communications, Inc., 6.625%, 02/01/21 (e) | 839 | ||||||
50 | Viacom, Inc., 6.875%, 04/30/36 | 56 | ||||||
500 | Walt Disney Co. (The), 5.875%, 12/15/17 | 574 | ||||||
1,303 | WMG Acquisition Corp., 9.500%, 06/15/16 | 1,388 | ||||||
29,253 | ||||||||
Multiline Retail — 0.3% | ||||||||
2,050 | HSN, Inc., 11.250%, 08/01/16 | 2,339 | ||||||
QVC, Inc., | ||||||||
75 | 7.125%, 04/15/17 (e) | 80 | ||||||
75 | 7.375%, 10/15/20 (e) | 80 | ||||||
2,050 | 7.500%, 10/01/19 (e) | 2,188 | ||||||
1,770 | Sears Holdings Corp., 6.625%, 10/15/18 (e) | 1,726 | ||||||
310 | Target Corp., 7.000%, 01/15/38 | 376 | ||||||
6,789 | ||||||||
Specialty Retail — 0.6% | ||||||||
1,000 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 1,075 | ||||||
500 | Brown Shoe Co., Inc., 8.750%, 05/01/12 | 505 | ||||||
951 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 1,129 | ||||||
Ltd. Brands, Inc., | ||||||||
375 | 7.000%, 05/01/20 | 397 | ||||||
1,600 | 8.500%, 06/15/19 | 1,832 | ||||||
1,950 | NBC Acquisition Corp., SUB, 11.000%, 03/15/13 | 878 | ||||||
Nebraska Book Co., Inc., | ||||||||
1,014 | 8.625%, 03/15/12 | 913 | ||||||
102 | 10.000%, 12/01/11 | 103 | ||||||
600 | Rent-A-Center, Inc., 6.625%, 11/15/20 (e) | 593 | ||||||
750 | Sally Holdings LLC/Sally Capital, Inc., 9.250%, 11/15/14 | 787 | ||||||
200 | Staples, Inc., 9.750%, 01/15/14 | 242 | ||||||
1,000 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 1,054 | ||||||
2,000 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 2,175 | ||||||
11,683 | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) |
| |||||||
120 | Phillips-Van Heusen Corp., 7.375%, 05/15/20 | 128 | ||||||
Total Consumer Discretionary | 118,111 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Staples — 1.7% |
| |||||||
Beverages — 0.4% |
| |||||||
Anheuser-Busch Cos., Inc., | ||||||||
325 | 5.500%, 01/15/18 | 358 | ||||||
550 | 5.750%, 04/01/36 | 565 | ||||||
280 | 7.550%, 10/01/30 | 337 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
160 | 6.875%, 11/15/19 (e) | 190 | ||||||
280 | 7.200%, 01/15/14 (e) | 321 | ||||||
275 | 7.750%, 01/15/19 (e) | 341 | ||||||
528 | Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 | 566 | ||||||
Constellation Brands, Inc., | ||||||||
330 | 7.250%, 09/01/16 | 355 | ||||||
1,000 | 7.250%, 05/15/17 | 1,075 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
575 | 5.300%, 10/28/15 | 639 | ||||||
325 | 5.500%, 04/01/13 | 352 | ||||||
1,000 | Diageo Investment Corp., 7.450%, 04/15/35 | 1,259 | ||||||
PepsiCo, Inc., | ||||||||
800 | 3.750%, 03/01/14 | 850 | ||||||
70 | 7.900%, 11/01/18 | 89 | ||||||
1,235 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 1,351 | ||||||
8,648 | ||||||||
Food & Staples Retailing — 0.7% |
| |||||||
CVS Caremark Corp., | ||||||||
225 | 5.750%, 06/01/17 | 250 | ||||||
555 | 6.125%, 09/15/39 | 576 | ||||||
1,710 | Ingles Markets, Inc., 8.875%, 05/15/17 | 1,838 | ||||||
Kroger Co. (The), | ||||||||
215 | 6.400%, 08/15/17 | 247 | ||||||
712 | 7.500%, 04/01/31 | 848 | ||||||
300 | 7.700%, 06/01/29 | 362 | ||||||
Rite Aid Corp., | ||||||||
64 | 7.500%, 03/01/17 | 65 | ||||||
6,000 | 9.500%, 06/15/17 | 5,520 | ||||||
2,000 | SUPERVALU, Inc., 8.000%, 05/01/16 | 1,990 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,500 | 3.625%, 07/08/20 | 1,458 | ||||||
160 | 5.250%, 09/01/35 | 159 | ||||||
1,000 | 6.200%, 04/15/38 | 1,113 | ||||||
260 | 7.550%, 02/15/30 | 332 | ||||||
14,758 | ||||||||
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Food Products — 0.4% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
370 | 5.875%, 05/15/13 | 394 | ||||||
655 | 8.500%, 06/15/19 | 778 | ||||||
148 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 153 | ||||||
Cargill, Inc., | ||||||||
200 | 6.000%, 11/27/17 (e) | 224 | ||||||
1,000 | 7.350%, 03/06/19 (e) | 1,208 | ||||||
135 | ConAgra Foods, Inc., 7.000%, 04/15/19 | 154 | ||||||
185 | Del Monte Corp., 6.750%, 02/15/15 | 188 | ||||||
220 | Dole Food Co., Inc., 8.000%, 10/01/16 (e) | 235 | ||||||
153 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 153 | ||||||
641 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 750 | ||||||
Kraft Foods, Inc., | ||||||||
810 | 6.125%, 02/01/18 | 910 | ||||||
335 | 6.500%, 08/11/17 | 385 | ||||||
575 | 6.875%, 02/01/38 | 645 | ||||||
Smithfield Foods, Inc., | ||||||||
409 | 7.750%, 05/15/13 | 445 | ||||||
134 | 10.000%, 07/15/14 | 158 | ||||||
6,780 | ||||||||
Household Products — 0.2% | ||||||||
Jarden Corp., | ||||||||
895 | 7.500%, 05/01/17 | 952 | ||||||
100 | 7.500%, 01/15/20 | 106 | ||||||
1,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 | 1,164 | ||||||
808 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 1,029 | ||||||
1,350 | Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e) | 1,387 | ||||||
567 | Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19 | 637 | ||||||
5,275 | ||||||||
Tobacco — 0.0% (g) | ||||||||
250 | Alliance One International, Inc., 10.000%, 07/15/16 | 258 | ||||||
Total Consumer Staples | 35,719 | |||||||
Energy — 3.1% | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
405 | American Petroleum Tankers LLC/AP Tankers Co., 10.250%, 05/01/15 (e) | 424 | ||||||
720 | Baker Hughes, Inc., 5.125%, 09/15/40 | 687 | ||||||
120 | Basic Energy Services, Inc., 7.750%, 02/15/19 (e) | 124 | ||||||
200 | Calfrac Holdings LP, 7.500%, 12/01/20 (e) | 205 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 91 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Energy Equipment & Services — Continued | ||||||||
70 | Diamond Offshore Drilling, Inc., 5.875%, 05/01/19 | 77 | ||||||
470 | Exterran Holdings, Inc., 7.250%, 12/01/18 (e) | 482 | ||||||
1,200 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 | 1,234 | ||||||
Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), | ||||||||
300 | 10.000%, 01/15/18 | 314 | ||||||
250 | 11.750%, 05/27/14 | 279 | ||||||
Halliburton Co., | ||||||||
500 | 7.450%, 09/15/39 | 633 | ||||||
700 | 8.750%, 02/15/21 | 911 | ||||||
161 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) | 167 | ||||||
1,000 | Key Energy Services, Inc., 8.375%, 12/01/14 | 1,087 | ||||||
80 | Parker Drilling Co., 9.125%, 04/01/18 | 86 | ||||||
550 | PHI, Inc., 8.625%, 10/15/18 | 576 | ||||||
360 | Precision Drilling Corp., (Canada), 6.625%, 11/15/20 (e) | 372 | ||||||
155 | Pride International, Inc., 6.875%, 08/15/20 | 173 | ||||||
700 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 690 | ||||||
100 | Sevan Marine ASA, (Norway), 12.000%, 08/10/15 (e) | 107 | ||||||
2,110 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 2,323 | ||||||
280 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 293 | ||||||
11,244 | ||||||||
Oil, Gas & Consumable Fuels — 2.6% | ||||||||
175 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 208 | ||||||
462 | Alon Refining Krotz Springs, Inc., 13.500%, 10/15/14 | 479 | ||||||
750 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 | 780 | ||||||
Anadarko Petroleum Corp., | ||||||||
300 | 6.375%, 09/15/17 | 334 | ||||||
350 | 6.950%, 06/15/19 | 398 | ||||||
125 | 7.625%, 03/15/14 | 143 | ||||||
100 | 7.950%, 06/15/39 | 118 | ||||||
225 | 8.700%, 03/15/19 | 278 | ||||||
175 | Apache Corp., 6.900%, 09/15/18 | 210 | ||||||
190 | Arch Coal, Inc., 7.250%, 10/01/20 | 202 | ||||||
1,500 | Bill Barrett Corp., 9.875%, 07/15/16 | 1,680 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
1,835 | 3.875%, 03/10/15 | 1,923 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
515 | 4.750%, 03/10/19 | 536 | ||||||
325 | 5.250%, 11/07/13 | 353 | ||||||
330 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 | 357 | ||||||
Chesapeake Energy Corp., | ||||||||
950 | 6.125%, 02/15/21 | 969 | ||||||
520 | 6.500%, 08/15/17 | 558 | ||||||
285 | 6.875%, 08/15/18 | 303 | ||||||
250 | 9.500%, 02/15/15 | 310 | ||||||
450 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 518 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
450 | 8.250%, 12/15/17 | 490 | ||||||
500 | 8.500%, 12/15/19 | 551 | ||||||
Comstock Resources, Inc., | ||||||||
400 | 7.750%, 04/01/19 | 400 | ||||||
1,000 | 8.375%, 10/15/17 | 1,041 | ||||||
425 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 523 | ||||||
ConocoPhillips, | ||||||||
275 | 5.750%, 02/01/19 | 312 | ||||||
750 | 6.500%, 02/01/39 | 871 | ||||||
410 | 7.000%, 03/30/29 | 489 | ||||||
300 | ConocoPhillips Holding Co., 6.950%, 04/15/29 | 362 | ||||||
Consol Energy, Inc., | ||||||||
300 | 8.000%, 04/01/17 | 325 | ||||||
250 | 8.250%, 04/01/20 | 276 | ||||||
160 | Continental Resources, Inc., 7.125%, 04/01/21 | 170 | ||||||
180 | Copano Energy LLC/Copano Energy Finance Corp., 8.125%, 03/01/16 | 187 | ||||||
Denbury Resources, Inc., | ||||||||
525 | 6.375%, 08/15/21 | 530 | ||||||
924 | 8.250%, 02/15/20 | 1,028 | ||||||
270 | Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31 | 348 | ||||||
100 | Ecopetrol S.A., (Colombia), 7.625%, 07/23/19 | 116 | ||||||
El Paso Corp., | ||||||||
1,900 | 6.875%, 06/15/14 | 2,076 | ||||||
150 | 7.000%, 06/15/17 | 168 | ||||||
150 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 166 | ||||||
Encana Corp., (Canada), | ||||||||
150 | 6.500%, 05/15/19 | 176 | ||||||
215 | 6.625%, 08/15/37 | 237 |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
1,210 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 1,128 | ||||||
EOG Resources, Inc., | ||||||||
1,700 | 4.100%, 02/01/21 | 1,644 | ||||||
200 | 6.875%, 10/01/18 | 237 | ||||||
200 | Eskom Holdings Ltd., (South Africa), 5.750%, 01/26/21 (e) | 200 | ||||||
825 | Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.625%, 06/15/20 | 897 | ||||||
500 | Forest Oil Corp., 7.250%, 06/15/19 | 518 | ||||||
Frontier Oil Corp., | ||||||||
175 | 6.875%, 11/15/18 | 183 | ||||||
1,000 | 8.500%, 09/15/16 | 1,085 | ||||||
220 | Hilcorp Energy I LP/Hilcorp Finance Co., 7.625%, 04/15/21 (e) | 232 | ||||||
650 | Holly Corp., 9.875%, 06/15/17 | 723 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
675 | 6.250%, 03/01/15 | 666 | ||||||
150 | 8.250%, 03/15/18 (e) | 162 | ||||||
Inergy LP/Inergy Finance Corp., | ||||||||
240 | 6.875%, 08/01/21 (e) | 245 | ||||||
550 | 7.000%, 10/01/18 (e) | 570 | ||||||
KazMunayGas National Co., (Kazakhstan), | ||||||||
745 | 6.375%, 04/09/21 (e) | 763 | ||||||
220 | Reg. S., 8.375%, 07/02/13 | 243 | ||||||
135 | Reg. S., 9.125%, 07/02/18 | 163 | ||||||
170 | Reg. S., 11.750%, 01/23/15 | 212 | ||||||
410 | Marathon Oil Corp., 6.000%, 10/01/17 | 468 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., | ||||||||
415 | 6.750%, 11/01/20 | 425 | ||||||
500 | 8.750%, 04/15/18 | 548 | ||||||
Newfield Exploration Co., | ||||||||
750 | 6.875%, 02/01/20 | 797 | ||||||
890 | 7.125%, 05/15/18 | 950 | ||||||
225 | Patriot Coal Corp., 8.250%, 04/30/18 | 241 | ||||||
Pemex Project Funding Master Trust, (Mexico), | ||||||||
258 | 5.750%, 03/01/18 | 270 | ||||||
40 | 6.625%, 06/15/35 | 40 | ||||||
57 | 6.625%, 06/15/35 | 57 | ||||||
638 | Penn Virginia Corp., 10.375%, 06/15/16 | 716 | ||||||
325 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 346 | ||||||
Petro-Canada, (Canada), | ||||||||
400 | 6.800%, 05/15/38 | 449 | ||||||
335 | 7.875%, 06/15/26 | 408 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
279 | Petroleos de Venezuela S.A., (Venezuela), 8.500%, 11/02/17 (e) | 190 | ||||||
125 | Petronas Capital Ltd., (Malaysia), 5.250%, 08/12/19 | 134 | ||||||
130 | Pioneer Drilling Co., 9.875%, 03/15/18 | 142 | ||||||
Pioneer Natural Resources Co., | ||||||||
150 | 6.650%, 03/15/17 | 162 | ||||||
1,075 | 7.500%, 01/15/20 | 1,207 | ||||||
115 | Plains All American Pipelines LP, 6.500%, 05/01/18 | 129 | ||||||
150 | Plains Exploration & Production Co., 7.625%, 04/01/20 | 163 | ||||||
1,315 | QEP Resources, Inc., 6.875%, 03/01/21 | 1,377 | ||||||
Range Resources Corp., | ||||||||
45 | 6.750%, 08/01/20 | 47 | ||||||
25 | 7.250%, 05/01/18 | 27 | ||||||
1,000 | 7.500%, 05/15/16 | 1,045 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
1,030 | 1.875%, 03/25/13 | 1,051 | ||||||
679 | 3.100%, 06/28/15 | 697 | ||||||
500 | 4.300%, 09/22/19 | 517 | ||||||
390 | SM Energy Co., 6.625%, 02/15/19 (e) | 394 | ||||||
375 | Southern Star Central Corp., 6.750%, 03/01/16 | 383 | ||||||
435 | StatoilHydro ASA, (Norway), 7.150%, 11/15/25 | 533 | ||||||
815 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 | 926 | ||||||
1,000 | Swift Energy Co., 7.125%, 06/01/17 | 1,020 | ||||||
120 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 147 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
400 | 6.875%, 02/01/21 (e) | 396 | ||||||
295 | 7.875%, 10/15/18 (e) | 311 | ||||||
640 | Tosco Corp., 8.125%, 02/15/30 | 823 | ||||||
1,900 | Total Capital S.A., (France), 2.300%, 03/15/16 | 1,848 | ||||||
278 | Union Pacific Resources Group, Inc., 7.150%, 05/15/28 | 292 | ||||||
Western Refining, Inc., | ||||||||
1,282 | 11.250%, 06/15/17 (e) | 1,449 | ||||||
250 | VAR, 10.750%, 06/15/14 (e) | 270 | ||||||
750 | Whiting Petroleum Corp., 6.500%, 10/01/18 | 778 | ||||||
53,543 | ||||||||
Total Energy | 64,787 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 93 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Financials — 11.9% |
| |||||||
Capital Markets — 1.8% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
525 | 2.950%, 06/18/15 | 536 | ||||||
440 | 4.300%, 05/15/14 | 474 | ||||||
530 | 4.600%, 01/15/20 | 553 | ||||||
978 | BlackRock, Inc., 5.000%, 12/10/19 | 1,029 | ||||||
1,000 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 983 | ||||||
750 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 818 | ||||||
220 | Citigroup Funding, Inc., 13.300%, 10/02/13 (e) | 216 | ||||||
1,690 | Credit Suisse USA, Inc., 6.125%, 11/15/11 | 1,756 | ||||||
1,000 | FMR LLC, 4.750%, 03/01/13 (e) | 1,045 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
596 | 3.700%, 08/01/15 | 604 | ||||||
650 | 5.150%, 01/15/14 | 702 | ||||||
780 | 5.250%, 10/15/13 | 845 | ||||||
819 | 5.375%, 03/15/20 | 841 | ||||||
450 | 5.750%, 10/01/16 | 492 | ||||||
2,100 | 5.950%, 01/18/18 | 2,280 | ||||||
127 | 6.000%, 06/15/20 | 136 | ||||||
115 | 6.250%, 09/01/17 | 128 | ||||||
2,000 | 6.600%, 01/15/12 | 2,102 | ||||||
965 | 6.750%, 10/01/37 | 989 | ||||||
180 | 7.500%, 02/15/19 | 212 | ||||||
Jefferies Group, Inc., | ||||||||
950 | 6.250%, 01/15/36 | 877 | ||||||
140 | 6.450%, 06/08/27 | 140 | ||||||
880 | 8.500%, 07/15/19 | 1,041 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
235 | 3.600%, 03/13/09 (d) | 59 | ||||||
1,000 | 5.750%, 05/17/13 (d) | 254 | ||||||
950 | 6.500%, 07/19/17 (d) | — | (h) | |||||
750 | 6.875%, 07/17/37 (d) | — | (h) | |||||
295 | 8.500%, 08/01/15 (d) | 75 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
639 | 6.250%, 01/14/21 (e) | 653 | ||||||
2,125 | 7.300%, 08/01/14 (e) | 2,371 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
900 | 5.700%, 05/02/17 | 936 | ||||||
1,710 | 6.875%, 04/25/18 | 1,924 | ||||||
Morgan Stanley, | ||||||||
198 | 4.000%, 07/24/15 | 203 | ||||||
505 | 4.200%, 11/20/14 | 524 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Capital Markets — Continued |
| |||||||
1,690 | 5.300%, 03/01/13 | 1,802 | ||||||
243 | 5.500%, 07/24/20 | 246 | ||||||
810 | 5.625%, 01/09/12 | 844 | ||||||
310 | 5.625%, 09/23/19 | 318 | ||||||
150 | 6.000%, 05/13/14 | 164 | ||||||
1,315 | 6.000%, 04/28/15 | 1,440 | ||||||
320 | 6.250%, 08/28/17 | 349 | ||||||
1,250 | 6.625%, 04/01/18 | 1,382 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
500 | 5.000%, 03/04/15 | 522 | ||||||
757 | 6.700%, 03/04/20 | 816 | ||||||
740 | Northern Trust Co. (The), 5.850%, 11/09/17 | 823 | ||||||
113 | Northern Trust Corp., 5.500%, 08/15/13 | 124 | ||||||
200 | State Street Corp., 4.300%, 05/30/14 | 216 | ||||||
UBS AG, (Switzerland), | ||||||||
305 | 2.250%, 08/12/13 | 308 | ||||||
650 | 3.875%, 01/15/15 | 668 | ||||||
900 | 5.750%, 04/25/18 | 978 | ||||||
450 | 5.875%, 12/20/17 | 493 | ||||||
37,291 | ||||||||
Commercial Banks — 3.6% |
| |||||||
705 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 716 | ||||||
Bank of America Corp., | ||||||||
735 | 3.125%, 06/15/12 | 760 | ||||||
500 | 5.625%, 07/01/20 | 520 | ||||||
695 | 5.650%, 05/01/18 | 735 | ||||||
1,500 | 6.975%, 03/07/37 | 1,607 | ||||||
1,005 | 7.375%, 05/15/14 | 1,144 | ||||||
500 | 7.800%, 09/15/16 | 570 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
1,082 | 1.650%, 10/29/15 (e) | 1,034 | ||||||
614 | 3.400%, 01/22/15 | 636 | ||||||
679 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 707 | ||||||
250 | Bankers Trust Corp., 7.250%, 10/15/11 | 260 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
1,615 | 2.500%, 01/23/13 | 1,642 | ||||||
1,280 | 5.125%, 01/08/20 | 1,307 | ||||||
980 | 6.050%, 12/04/17 (e) | 1,015 | ||||||
305 | 6.750%, 05/22/19 | 343 | ||||||
125 | VAR, 5.926%, 12/15/16 (e) (x) | 115 | ||||||
575 | VAR, 7.434%, 12/15/17 (e) (x) | 562 | ||||||
BB&T Corp., | ||||||||
500 | 3.850%, 07/27/12 | 519 |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
1,250 | 3.950%, 04/29/16 | 1,295 | ||||||
500 | 4.900%, 06/30/17 | 520 | ||||||
1,000 | 6.500%, 08/01/11 | 1,023 | ||||||
150 | 6.850%, 04/30/19 | 174 | ||||||
1,750 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 1,849 | ||||||
2,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 2,260 | ||||||
1,225 | Capital One Capital V, 10.250%, 08/15/39 | 1,331 | ||||||
500 | Capital One Capital VI, 8.875%, 05/15/40 | 531 | ||||||
Capital One Financial Corp., | ||||||||
500 | 6.250%, 11/15/13 | 554 | ||||||
485 | 6.750%, 09/15/17 | 560 | ||||||
690 | 7.375%, 05/23/14 | 795 | ||||||
1,045 | Comerica Bank, 5.200%, 08/22/17 | 1,112 | ||||||
185 | Comerica, Inc., 3.000%, 09/16/15 | 184 | ||||||
1,000 | Countrywide Capital III, 8.050%, 06/15/27 | 1,044 | ||||||
700 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 | 701 | ||||||
Credit Suisse, (Switzerland), | ||||||||
2,375 | 5.000%, 05/15/13 | 2,546 | ||||||
285 | 5.500%, 05/01/14 | 313 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
1,475 | 2.375%, 01/11/13 | 1,500 | ||||||
375 | 3.875%, 08/18/14 | 392 | ||||||
674 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 647 | ||||||
500 | Fifth Third Bancorp, 5.450%, 01/15/17 | 524 | ||||||
395 | HSBC Bank, 6.000%, 08/09/17 | 433 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
927 | 4.125%, 08/12/20 (e) | 891 | ||||||
650 | 4.750%, 01/19/21 (e) | 651 | ||||||
700 | KeyBank N.A., 5.700%, 08/15/12 | 739 | ||||||
725 | KeyCorp, 6.500%, 05/14/13 | 794 | ||||||
1,250 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 1,414 | ||||||
370 | Marshall & Ilsley Corp., 5.350%, 04/01/11 | 371 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
3,010 | 2.500%, 01/08/13 (e) | 3,070 | ||||||
255 | 3.750%, 03/02/15 (e) | 264 | ||||||
1,420 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 1,421 | ||||||
1,500 | National City Bank, 4.625%, 05/01/13 | 1,589 | ||||||
500 | NB Capital Trust II, 7.830%, 12/15/26 | 505 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Banks — Continued |
| |||||||
PNC Funding Corp., | ||||||||
1,115 | 3.000%, 05/19/14 | 1,144 | ||||||
1,057 | 4.375%, 08/11/20 | 1,058 | ||||||
625 | 5.250%, 11/15/15 | 674 | ||||||
625 | 5.625%, 02/01/17 | 673 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
2,150 | 3.200%, 03/11/15 (e) | 2,186 | ||||||
1,045 | 4.500%, 01/11/21 | 1,047 | ||||||
200 | Regions Financial Corp., 6.375%, 05/15/12 | 205 | ||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, (Russia), | ||||||||
195 | 7.175%, 05/16/13 | 210 | ||||||
300 | 9.000%, 06/11/14 | 341 | ||||||
225 | Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e) | 246 | ||||||
2,500 | SunTrust Banks, Inc., 6.000%, 02/15/26 | 2,421 | ||||||
2,500 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 2,465 | ||||||
2,000 | U.S. Bancorp, 7.500%, 06/01/26 | 2,214 | ||||||
500 | UnionBanCal Corp., 5.250%, 12/16/13 | 539 | ||||||
Wachovia Bank N.A., | ||||||||
2,110 | 5.600%, 03/15/16 | 2,306 | ||||||
750 | 6.000%, 11/15/17 | 840 | ||||||
750 | 6.600%, 01/15/38 | 847 | ||||||
500 | Wachovia Capital Trust III, VAR, 5.800%, 04/04/11 (x) | 455 | ||||||
Wachovia Corp., | ||||||||
760 | 5.500%, 05/01/13 | 824 | ||||||
1,555 | 5.750%, 02/01/18 | 1,729 | ||||||
515 | SUB, 7.574%, 08/01/26 | 605 | ||||||
Wells Fargo & Co., | ||||||||
1,025 | 3.750%, 10/01/14 | 1,080 | ||||||
1,665 | 5.625%, 12/11/17 | 1,845 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
670 | 4.200%, 02/27/15 | 705 | ||||||
942 | 4.875%, 11/19/19 | 982 | ||||||
73,830 | ||||||||
Consumer Finance — 0.8% |
| |||||||
1,500 | Ally Financial, Inc., 6.250%, 12/01/17 (e) | 1,566 | ||||||
475 | American Express Co., 7.250%, 05/20/14 | 543 | ||||||
American Express Credit Corp., | ||||||||
2,225 | 5.875%, 05/02/13 | 2,412 | ||||||
1,100 | 7.300%, 08/20/13 | 1,239 | ||||||
1,750 | American General Finance Corp., 6.900%, 12/15/17 | 1,571 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 95 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued |
| |||||||
American Honda Finance Corp., | ||||||||
375 | 2.375%, 03/18/13 (e) | 380 | ||||||
810 | 4.625%, 04/02/13 (e) | 858 | ||||||
835 | 7.625%, 10/01/18 (e) | 1,026 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
325 | 5.750%, 02/01/21 | 321 | ||||||
125 | 6.625%, 08/15/17 | 133 | ||||||
3,000 | 8.125%, 01/15/20 | 3,424 | ||||||
HSBC Finance Corp., | ||||||||
1,000 | 5.000%, 06/30/15 | 1,071 | ||||||
500 | 6.375%, 11/27/12 | 540 | ||||||
400 | 7.350%, 11/27/32 | 409 | ||||||
John Deere Capital Corp., | ||||||||
230 | 5.250%, 10/01/12 | 246 | ||||||
515 | 5.350%, 04/03/18 | 566 | ||||||
670 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 690 | ||||||
662 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 666 | ||||||
17,661 | ||||||||
Diversified Financial Services — 2.4% |
| |||||||
2,465 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 2,536 | ||||||
1,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 1,048 | ||||||
Block Financial LLC, | ||||||||
500 | 5.125%, 10/30/14 | 512 | ||||||
500 | 7.875%, 01/15/13 | 537 | ||||||
3,000 | Capmark Financial Group, Inc., 3.158%, 05/10/10 (d) | 1,395 | ||||||
1,500 | Cardtronics, Inc., 8.250%, 09/01/18 | 1,628 | ||||||
Caterpillar Financial Services Corp., | ||||||||
800 | 4.850%, 12/07/12 | 854 | ||||||
850 | 5.450%, 04/15/18 | 952 | ||||||
500 | CIT Group, Inc., 7.000%, 05/01/15 | 507 | ||||||
500 | Citigroup Capital XXI, VAR, 8.300%, 12/21/57 | 515 | ||||||
Citigroup, Inc., | ||||||||
1,117 | 4.587%, 12/15/15 | 1,165 | ||||||
291 | 5.375%, 08/09/20 | 302 | ||||||
1,550 | 5.500%, 02/15/17 | 1,633 | ||||||
510 | 6.000%, 12/13/13 | 558 | ||||||
1,350 | 6.000%, 08/15/17 | 1,479 | ||||||
865 | 6.010%, 01/15/15 | 949 | ||||||
260 | 6.375%, 08/12/14 | 290 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Financial Services — Continued |
| |||||||
645 | 6.875%, 06/01/25 | 706 | ||||||
1,115 | 7.000%, 12/01/25 | 1,230 | ||||||
1,260 | 8.500%, 05/22/19 | 1,564 | ||||||
CME Group, Inc., | ||||||||
1,500 | 5.400%, 08/01/13 | 1,646 | ||||||
200 | 5.750%, 02/15/14 | 222 | ||||||
CNG Holdings, Inc., | ||||||||
175 | 12.250%, 02/15/15 (e) | 196 | ||||||
1,000 | 13.750%, 08/15/15 (e) | 1,125 | ||||||
Deluxe Corp., | ||||||||
58 | 5.125%, 10/01/14 | 58 | ||||||
1,075 | 7.375%, 06/01/15 | 1,121 | ||||||
General Electric Capital Corp., | ||||||||
294 | 5.300%, 02/11/21 | 302 | ||||||
1,115 | 5.625%, 05/01/18 | 1,213 | ||||||
5,760 | 5.875%, 02/15/12 | 6,047 | ||||||
3,370 | 5.875%, 01/14/38 | 3,381 | ||||||
130 | 5.900%, 05/13/14 | 144 | ||||||
1,000 | 6.000%, 06/15/12 | 1,064 | ||||||
1,100 | 6.750%, 03/15/32 | 1,226 | ||||||
145 | 6.875%, 01/10/39 | 164 | ||||||
445 | VAR, 0.383%, 08/15/11 | 445 | ||||||
1,400 | ILFC E-Capital Trust I, VAR, 5.960%, 12/21/65 (e) | 1,181 | ||||||
600 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 522 | ||||||
International Lease Finance Corp., | ||||||||
320 | 8.625%, 09/15/15 (e) | 361 | ||||||
1,820 | 8.750%, 03/15/17 (e) | 2,079 | ||||||
600 | 8.875%, 09/01/17 | 684 | ||||||
900 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 893 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
385 | 4.750%, 03/01/14 | 416 | ||||||
400 | 7.250%, 03/01/12 | 426 | ||||||
170 | 10.375%, 11/01/18 | 233 | ||||||
100 | Nile Finance Ltd., (Cayman Islands), Reg. S., 5.250%, 08/05/15 | 95 | ||||||
160 | Northern Tier Energy LLC/Northern Tier Finance Corp., 10.500%, 12/01/17 (e) | 179 | ||||||
2,500 | SquareTwo Financial Corp., 11.625%, 04/01/17 (e) | 2,506 | ||||||
505 | Textron Financial Corp., 5.400%, 04/28/13 | 533 | ||||||
180 | Ukreximbank Via Biz Finance PL, (Ukraine), Reg. S., 8.375%, 04/27/15 | 186 |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
1,510 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 1,504 | ||||||
100 | Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e) | 111 | ||||||
50,623 | ||||||||
FDIC Guaranteed Securities (~) — 0.1% |
| |||||||
735 | Citigroup, Inc., 2.875%, 12/09/11 | 750 | ||||||
750 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 776 | ||||||
1,526 | ||||||||
Insurance — 2.0% |
| |||||||
1,310 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 1,449 | ||||||
558 | Aflac, Inc., 6.450%, 08/15/40 | 575 | ||||||
190 | Allstate Corp. (The), 7.450%, 05/16/19 | 228 | ||||||
1,132 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 1,225 | ||||||
American International Group, Inc., | ||||||||
435 | 5.600%, 10/18/16 | 459 | ||||||
1,000 | VAR, 8.175%, 05/15/58 | 1,098 | ||||||
AON Corp., | ||||||||
191 | 3.500%, 09/30/15 | 192 | ||||||
240 | 6.250%, 09/30/40 | 248 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
1,000 | 5.400%, 05/15/18 | 1,107 | ||||||
500 | 5.750%, 01/15/40 | 528 | ||||||
315 | Chubb Corp. (The), 5.750%, 05/15/18 | 353 | ||||||
642 | CNA Financial Corp., 5.875%, 08/15/20 | 668 | ||||||
1,950 | Crum & Forster Holdings Corp., 7.750%, 05/01/17 | 2,045 | ||||||
Genworth Financial, Inc., | ||||||||
100 | 7.200%, 02/15/21 | 101 | ||||||
1,800 | VAR, 6.150%, 11/15/66 | 1,415 | ||||||
2,000 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) | 2,080 | ||||||
1,950 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 2,108 | ||||||
Liberty Mutual Group, Inc., | ||||||||
1,525 | 7.800%, 03/15/37 (e) | 1,525 | ||||||
2,250 | VAR, 10.750%, 06/15/58 (e) | 2,931 | ||||||
MassMutual Global Funding II, | ||||||||
382 | 2.300%, 09/28/15 (e) | 370 | ||||||
600 | 3.625%, 07/16/12 (e) | 621 | ||||||
160 | MetLife, Inc., 6.750%, 06/01/16 | 186 | ||||||
Metropolitan Life Global Funding I, | ||||||||
190 | 5.125%, 04/10/13 (e) | 204 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Insurance — Continued |
| |||||||
875 | 5.200%, 09/18/13 (e) | 948 | ||||||
600 | 5.750%, 07/25/11 (e) | 611 | ||||||
315 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 335 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
1,465 | 7.875%, 04/01/33 (e) | 1,524 | ||||||
1,400 | 9.375%, 08/15/39 (e) | 1,669 | ||||||
New York Life Global Funding, | ||||||||
250 | 3.000%, 05/04/15 (e) | 254 | ||||||
1,680 | 4.650%, 05/09/13 (e) | 1,797 | ||||||
Pacific Life Global Funding, | ||||||||
400 | 5.000%, 05/15/17 (e) | 408 | ||||||
770 | 5.150%, 04/15/13 (e) | 819 | ||||||
1,000 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 1,318 | ||||||
800 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 872 | ||||||
175 | Principal Financial Group, Inc., 8.875%, 05/15/19 | 223 | ||||||
300 | Principal Life Global Funding I, 5.250%, 01/15/13 (e) | 317 | ||||||
Principal Life Income Funding Trusts, | ||||||||
185 | 5.150%, 06/17/11 | 187 | ||||||
1,165 | 5.300%, 12/14/12 | 1,249 | ||||||
1,025 | 5.300%, 04/24/13 | 1,102 | ||||||
1,100 | Protective Life Secured Trusts, 4.000%, 04/01/11 | 1,103 | ||||||
205 | Prudential Financial, Inc., 7.375%, 06/15/19 | 244 | ||||||
405 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 | 449 | ||||||
2,550 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 2,806 | ||||||
700 | Travelers Property Casualty Corp., 7.750%, 04/15/26 | 863 | ||||||
40,814 | ||||||||
Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
390 | Aviv Healthcare Properties LP, 7.750%, 02/15/19 (e) | 407 | ||||||
655 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 675 | ||||||
1,250 | Colonial Realty LP, 6.250%, 06/15/14 | 1,321 | ||||||
CommonWealth REIT, | ||||||||
1,865 | 5.875%, 09/15/20 | 1,901 | ||||||
375 | 6.250%, 08/15/16 | 404 | ||||||
300 | 6.650%, 01/15/18 | 320 | ||||||
3,000 | Developers Diversified Realty Corp., 7.875%, 09/01/20 | 3,513 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 97 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
500 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 551 | ||||||
2,300 | First Industrial LP, 6.420%, 06/01/14 | 2,296 | ||||||
750 | Forest City Enterprises, Inc., 7.625%, 06/01/15 | 727 | ||||||
500 | HCP, Inc., 5.375%, 02/01/21 | 511 | ||||||
525 | Host Hotels & Resorts, Inc., 6.000%, 11/01/20 | 526 | ||||||
3,000 | Rouse Co. LP (The), 5.375%, 11/26/13 | 3,015 | ||||||
1,500 | Senior Housing Properties Trust, 6.750%, 04/15/20 | 1,602 | ||||||
Simon Property Group LP, | ||||||||
340 | 5.625%, 08/15/14 | 374 | ||||||
492 | 5.650%, 02/01/20 | 536 | ||||||
915 | 6.100%, 05/01/16 | 1,039 | ||||||
675 | 6.125%, 05/30/18 | 760 | ||||||
310 | 6.750%, 05/15/14 | 349 | ||||||
788 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 901 | ||||||
21,728 | ||||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
525 | Countrywide Financial Corp., 6.250%, 05/15/16 | 563 | ||||||
3,065 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 3,083 | ||||||
3,646 | ||||||||
Total Financials | 247,119 | |||||||
Health Care — 1.7% |
| |||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc., | ||||||||
150 | 5.700%, 02/01/19 | 168 | ||||||
618 | 5.750%, 03/15/40 | 642 | ||||||
400 | 6.900%, 06/01/38 | 481 | ||||||
1,250 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 1,375 | ||||||
2,666 | ||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
500 | Accellent, Inc., 8.375%, 02/01/17 | 530 | ||||||
Baxter International, Inc., | ||||||||
250 | 4.000%, 03/01/14 | 266 | ||||||
550 | 4.625%, 03/15/15 | 599 | ||||||
Becton Dickinson and Co., | ||||||||
100 | 5.000%, 05/15/19 | 107 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
400 | 6.000%, 05/15/39 | 445 | ||||||
1,947 | ||||||||
Health Care Providers & Services — 0.9% |
| |||||||
115 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 124 | ||||||
400 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 424 | ||||||
DaVita, Inc., | ||||||||
600 | 6.375%, 11/01/18 | 608 | ||||||
600 | 6.625%, 11/01/20 | 608 | ||||||
1,000 | FMC Finance III S.A., (Luxembourg), 6.875%, 07/15/17 | 1,054 | ||||||
350 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 | 353 | ||||||
500 | Fresenius Medical Care U.S. Finance, Inc., 5.750%, 02/15/21 (e) | 484 | ||||||
HCA, Inc., | ||||||||
750 | 7.250%, 09/15/20 | 809 | ||||||
200 | 8.500%, 04/15/19 | 224 | ||||||
160 | 9.125%, 11/15/14 | 168 | ||||||
440 | 9.250%, 11/15/16 | 475 | ||||||
2,028 | Health Management Associates, Inc., 6.125%, 04/15/16 | 2,058 | ||||||
800 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 (e) | 819 | ||||||
305 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 302 | ||||||
1,755 | Omega Healthcare Investors, Inc., 6.750%, 10/15/22 (e) | 1,773 | ||||||
Omnicare, Inc., | ||||||||
30 | 6.875%, 12/15/15 | 31 | ||||||
2,350 | 7.750%, 06/01/20 | 2,509 | ||||||
Roche Holdings, Inc., | ||||||||
1,000 | 5.000%, 03/01/14 (e) | 1,094 | ||||||
1,220 | 6.000%, 03/01/19 (e) | 1,394 | ||||||
1,395 | Tenet Healthcare Corp., 8.875%, 07/01/19 | 1,587 | ||||||
250 | Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16 | 262 | ||||||
1,550 | WellPoint, Inc., 6.800%, 08/01/12 | 1,672 | ||||||
18,832 | ||||||||
Pharmaceuticals — 0.6% | ||||||||
400 | Abbott Laboratories, 6.150%, 11/30/37 | 446 | ||||||
504 | AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12 | 540 | ||||||
225 | Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16 | 237 |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Pharmaceuticals — Continued |
| |||||||
200 | Giant Funding Corp., 8.250%, 02/01/18 (e) | 206 | ||||||
920 | GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38 | 1,049 | ||||||
1,000 | Merck & Co., Inc., 6.550%, 09/15/37 | 1,183 | ||||||
Mylan, Inc., | ||||||||
300 | 7.625%, 07/15/17 (e) | 329 | ||||||
899 | 7.875%, 07/15/20 (e) | 1,005 | ||||||
Novartis Capital Corp., | ||||||||
435 | 4.125%, 02/10/14 | 466 | ||||||
335 | 4.400%, 04/24/20 | 348 | ||||||
250 | Pfizer, Inc., 6.200%, 03/15/19 | 290 | ||||||
215 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 | 235 | ||||||
Valeant Pharmaceuticals International, | ||||||||
250 | 6.750%, 10/01/17 (e) | 259 | ||||||
900 | 6.875%, 12/01/18 (e) | 936 | ||||||
375 | 7.000%, 10/01/20 (e) | 387 | ||||||
Wyeth, | ||||||||
2,350 | 5.500%, 02/01/14 | 2,607 | ||||||
555 | 5.500%, 02/15/16 | 623 | ||||||
11,146 | ||||||||
Total Health Care | 34,591 | |||||||
Industrials — 3.6% | ||||||||
Aerospace & Defense — 0.7% | ||||||||
Alliant Techsystems, Inc., | ||||||||
100 | 6.750%, 04/01/16 | 103 | ||||||
600 | 6.875%, 09/15/20 | 621 | ||||||
BAE Systems Holdings, Inc., | ||||||||
850 | 5.200%, 08/15/15 (e) | 909 | ||||||
145 | 6.375%, 06/01/19 (e) | 162 | ||||||
725 | BE Aerospace, Inc., 6.875%, 10/01/20 | 756 | ||||||
Bombardier, Inc., (Canada), | ||||||||
1,075 | 7.500%, 03/15/18 (e) | 1,156 | ||||||
450 | 7.750%, 03/15/20 (e) | 488 | ||||||
1,940 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) | 1,542 | ||||||
Esterline Technologies Corp., | ||||||||
1,000 | 6.625%, 03/01/17 | 1,035 | ||||||
250 | 7.000%, 08/01/20 | 262 | ||||||
167 | Hexcel Corp., 6.750%, 02/01/15 | 171 | ||||||
250 | ITT Corp., 6.125%, 05/01/19 | 282 | ||||||
210 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 237 | ||||||
952 | Lockheed Martin Corp., 5.720%, 06/01/40 (e) | 972 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Aerospace & Defense — Continued | ||||||||
1,900 | McDonnell Douglas Corp., 9.750%, 04/01/12 | 2,081 | ||||||
750 | Moog, Inc., 6.250%, 01/15/15 | 757 | ||||||
643 | Spirit Aerosystems, Inc., 6.750%, 12/15/20 | 659 | ||||||
266 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) | 272 | ||||||
Triumph Group, Inc., | ||||||||
232 | 8.000%, 11/15/17 | 250 | ||||||
575 | 8.625%, 07/15/18 | 634 | ||||||
13,349 | ||||||||
Air Freight & Logistics — 0.0% (g) |
| |||||||
1,000 | Federal Express Corp., 9.650%, 06/15/12 | 1,104 | ||||||
Airlines — 0.5% |
| |||||||
245 | American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19 | 294 | ||||||
250 | Continental Airlines 2001-1 Pass-Through Trust, 6.503%, 06/15/11 | 252 | ||||||
2,276 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 2,288 | ||||||
710 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 714 | ||||||
376 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 | 398 | ||||||
1,184 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 1,196 | ||||||
Delta Air Lines, Inc., | ||||||||
1,500 | 4.950%, 05/23/19 | 1,526 | ||||||
225 | 7.111%, 09/18/11 | 232 | ||||||
77 | 8.021%, 08/10/22 | 80 | ||||||
74 | 8.954%, 08/10/14 | 77 | ||||||
44 | 9.500%, 09/15/14 (e) | 48 | ||||||
541 | 9.750%, 12/17/16 | 585 | ||||||
610 | 10.000%, 12/05/14 (d) (e) (f) (i) | 183 | ||||||
666 | Northwest Airlines, Inc., 7.027%, 11/01/19 | 693 | ||||||
1,355 | UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19 (e) | 1,314 | ||||||
236 | UAL 2009-1 Pass-Through Trust, 10.400%, 11/01/16 | 274 | ||||||
10,154 | ||||||||
Building Products — 0.2% |
| |||||||
Building Materials Corp of America, | ||||||||
750 | 6.875%, 08/15/18 (e) | 769 | ||||||
700 | 7.000%, 02/15/20 (e) | 738 | ||||||
Masco Corp., | ||||||||
1,000 | 6.125%, 10/03/16 | 1,023 | ||||||
2,000 | 7.125%, 03/15/20 | 2,083 | ||||||
4,613 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 99 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Services & Supplies — 0.6% |
| |||||||
875 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 976 | ||||||
450 | Cenveo Corp., 8.875%, 02/01/18 | 452 | ||||||
990 | Clean Harbors, Inc., 7.625%, 08/15/16 | 1,052 | ||||||
Corrections Corp. of America, | ||||||||
572 | 6.250%, 03/15/13 | 573 | ||||||
1,050 | 6.750%, 01/31/14 | 1,067 | ||||||
1,720 | Covanta Holding Corp., 7.250%, 12/01/20 | 1,806 | ||||||
FTI Consulting, Inc., | ||||||||
290 | 6.750%, 10/01/20 (e) | 290 | ||||||
1,750 | 7.750%, 10/01/16 | 1,835 | ||||||
271 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 291 | ||||||
Geo Group, Inc. (The), | ||||||||
234 | 6.625%, 02/15/21 (e) | 235 | ||||||
818 | 7.750%, 10/15/17 | 872 | ||||||
1,673 | Pitney Bowes, Inc., 5.250%, 01/15/37 | 1,716 | ||||||
Power Sector Assets & Liabilities Management, (Philippines), | ||||||||
130 | 7.250%, 05/27/19 (e) | 149 | ||||||
100 | 7.390%, 12/02/24 (e) | 115 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
1,145 | 6.125%, 11/15/13 (d) (f) (i) | 57 | ||||||
1,160 | 6.500%, 08/01/27 (d) (f) (i) | 58 | ||||||
265 | 9.750%, 01/15/15 (d) (f) (i) | 13 | ||||||
11,557 | ||||||||
Construction & Engineering — 0.3% |
| |||||||
1,450 | Dycom Investments, Inc., 7.125%, 01/15/21 (e) | 1,481 | ||||||
1,150 | New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e) | 1,176 | ||||||
158 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14 | 166 | ||||||
1,725 | Tutor Perini Corp., 7.625%, 11/01/18 (e) | 1,787 | ||||||
United Rentals North America, Inc., | ||||||||
650 | 9.250%, 12/15/19 | 736 | ||||||
100 | 10.875%, 06/15/16 | 116 | ||||||
5,462 | ||||||||
Electrical Equipment — 0.1% |
| |||||||
Belden, Inc., | ||||||||
500 | 7.000%, 03/15/17 | 508 | ||||||
250 | 9.250%, 06/15/19 | 277 | ||||||
185 | International Wire Group, Inc., 9.750%, 04/15/15 (e) | 198 | ||||||
457 | Valmont Industries, Inc., 6.875%, 05/01/14 | 466 | ||||||
1,449 | ||||||||
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Industrial Conglomerates — 0.1% |
| |||||||
215 | Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 | 251 | ||||||
Siemens Financieringsmaatschappij N.V., (Netherlands), | ||||||||
1,830 | 5.750%, 10/17/16 (e) | 2,065 | ||||||
300 | 6.125%, 08/17/26 (e) | 336 | ||||||
2,652 | ||||||||
Machinery — 0.3% |
| |||||||
310 | Altra Holdings, Inc., 8.125%, 12/01/16 | 331 | ||||||
3,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 3,165 | ||||||
550 | Eaton Corp., 5.600%, 05/15/18 | 610 | ||||||
225 | Ingersoll-Rand Co., (Bermuda), 7.200%, 06/01/25 | 241 | ||||||
110 | PACCAR, Inc., 6.375%, 02/15/12 | 116 | ||||||
440 | Parker Hannifin Corp., 6.250%, 05/15/38 | 498 | ||||||
SPX Corp., | ||||||||
1,500 | 6.875%, 09/01/17 (e) | 1,612 | ||||||
250 | 7.625%, 12/15/14 | 274 | ||||||
320 | Titan International, Inc., 7.875%, 10/01/17 (e) | 342 | ||||||
7,189 | ||||||||
Marine — 0.2% |
| |||||||
832 | General Maritime Corp., 12.000%, 11/15/17 | 763 | ||||||
125 | Navios Maritime Holdings, Inc./Navios Maritime Finance II U.S., Inc., 8.125%, 02/15/19 (e) | 125 | ||||||
1,250 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 1,350 | ||||||
SCF Capital Ltd., (Russia), | ||||||||
200 | 5.375%, 10/27/17 (e) | 196 | ||||||
200 | Reg. S., 5.375%, 10/27/17 | 195 | ||||||
750 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 763 | ||||||
3,392 | ||||||||
Road & Rail — 0.6% |
| |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
270 | 8.250%, 01/15/19 | 286 | ||||||
1,300 | 9.625%, 03/15/18 | 1,453 | ||||||
643 | Burlington Northern and Santa Fe Railway Co. 2000 Pass-Through Trust, 7.908%, 01/15/20 | 744 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
220 | 5.650%, 05/01/17 | 246 |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
1,150 | 6.700%, 08/01/28 | 1,273 | ||||||
280 | Canadian Pacific Ltd., (Canada), 9.450%, 08/01/21 | 376 | ||||||
165 | Canadian Pacific Railway Co., (Canada), 7.250%, 05/15/19 | 196 | ||||||
1,075 | CSX Corp., 7.375%, 02/01/19 | 1,304 | ||||||
Erac USA Finance Co., | ||||||||
250 | 6.375%, 10/15/17 (e) | 281 | ||||||
800 | 6.700%, 06/01/34 (e) | 828 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
375 | 6.625%, 12/15/20 (e) | 383 | ||||||
352 | 7.375%, 06/01/14 | 367 | ||||||
1,683 | RailAmerica, Inc., 9.250%, 07/01/17 | 1,864 | ||||||
576 | Ryder System, Inc., 3.600%, 03/01/16 | 572 | ||||||
390 | Union Pacific Corp., 7.000%, 02/01/16 | 458 | ||||||
235 | United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30 | 296 | ||||||
10,927 | ||||||||
Transportation Services — 0.0% (g) | ||||||||
750 | Wabtec Corp., 6.875%, 07/31/13 | 788 | ||||||
Total Industrials | 72,636 | |||||||
Information Technology — 1.2% | ||||||||
Communications Equipment — 0.1% | ||||||||
540 | Brightstar Corp., 9.500%, 12/01/16 (e) | 578 | ||||||
Cisco Systems, Inc., | ||||||||
500 | 5.500%, 01/15/40 | 498 | ||||||
375 | 5.900%, 02/15/39 | 395 | ||||||
135 | Nokia OYJ, (Finland), 5.375%, 05/15/19 | 139 | ||||||
1,610 | ||||||||
Computers & Peripherals — 0.4% | ||||||||
Dell, Inc., | ||||||||
981 | 2.300%, 09/10/15 | 963 | ||||||
1,000 | 7.100%, 04/15/28 | 1,134 | ||||||
Hewlett-Packard Co., | ||||||||
80 | 2.950%, 08/15/12 | 82 | ||||||
500 | 5.400%, 03/01/17 | 559 | ||||||
250 | 5.500%, 03/01/18 | 279 | ||||||
International Business Machines Corp., | ||||||||
770 | 5.875%, 11/29/32 | 853 | ||||||
650 | 7.000%, 10/30/25 | 804 | ||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
230 | 6.875%, 05/01/20 (e) | 225 | ||||||
2,000 | 7.750%, 12/15/18 (e) | 2,050 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Computers & Peripherals — Continued | ||||||||
1,000 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 1,044 | ||||||
7,993 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
250 | 6.000%, 04/01/20 | 257 | ||||||
769 | 6.875%, 07/01/13 | 839 | ||||||
100 | 7.500%, 01/15/27 | 106 | ||||||
50 | Intcomex, Inc., 13.250%, 12/15/14 (e) | 53 | ||||||
750 | Sanmina-SCI Corp., VAR, 3.052%, 06/15/14 (e) | 739 | ||||||
1,994 | ||||||||
Internet Software & Services — 0.0% (g) |
| |||||||
225 | Equinix, Inc., 8.125%, 03/01/18 | 244 | ||||||
IT Services — 0.3% |
| |||||||
Fidelity National Information Services, Inc., | ||||||||
106 | 7.625%, 07/15/17 | 117 | ||||||
831 | 7.875%, 07/15/20 | 922 | ||||||
First Data Corp., | ||||||||
209 | 8.250%, 01/15/21 (e) | 208 | ||||||
600 | 8.875%, 08/15/20 (e) | 657 | ||||||
47 | 9.875%, 09/24/15 | 47 | ||||||
670 | 12.625%, 01/15/21 (e) | 702 | ||||||
900 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 995 | ||||||
3,860 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (e) | 3,571 | ||||||
7,219 | ||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
415 | Advanced Micro Devices, Inc., 8.125%, 12/15/17 | 442 | ||||||
1,280 | Amkor Technology, Inc., 7.375%, 05/01/18 | 1,342 | ||||||
375 | Freescale Semiconductor, Inc., 9.250%, 04/15/18 (e) | 418 | ||||||
NXP B.V./NXP Funding LLC, (Netherlands), | ||||||||
125 | 7.875%, 10/15/14 | 131 | ||||||
375 | VAR, 3.053%, 10/15/13 | 373 | ||||||
150 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 164 | ||||||
2,870 | ||||||||
Software — 0.2% |
| |||||||
115 | Intuit, Inc., 5.750%, 03/15/17 | 127 | ||||||
595 | Microsoft Corp., 4.500%, 10/01/40 | 534 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 101 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Software — Continued |
| |||||||
Oracle Corp., | ||||||||
1,000 | 5.250%, 01/15/16 | 1,116 | ||||||
241 | 5.375%, 07/15/40 (e) | 235 | ||||||
1,030 | 6.500%, 04/15/38 | 1,163 | ||||||
3,175 | ||||||||
Total Information Technology | 25,105 | |||||||
Materials — 3.3% |
| |||||||
Chemicals — 0.7% |
| |||||||
275 | Celanese US Holdings LLC, 6.625%, 10/15/18 (e) | 287 | ||||||
CF Industries, Inc., | ||||||||
300 | 6.875%, 05/01/18 | 331 | ||||||
340 | 7.125%, 05/01/20 | 382 | ||||||
360 | Chemtura Corp., 7.875%, 09/01/18 (e) | 384 | ||||||
242 | Dow Chemical Co. (The), 4.250%, 11/15/20 | 233 | ||||||
EI du Pont de Nemours & Co., | ||||||||
721 | 1.950%, 01/15/16 | 696 | ||||||
410 | 3.250%, 01/15/15 | 425 | ||||||
1,175 | 4.900%, 01/15/41 | 1,105 | ||||||
130 | 5.000%, 07/15/13 | 141 | ||||||
Lyondell Chemical Co., | ||||||||
562 | 8.000%, 11/01/17 (e) | 633 | ||||||
1,537 | 11.000%, 05/01/18 | 1,763 | ||||||
525 | Monsanto Co., 7.375%, 08/15/12 | 573 | ||||||
385 | Nalco Co., 6.625%, 01/15/19 (e) | 398 | ||||||
190 | Polymer Group, Inc., 7.750%, 02/01/19 (e) | 198 | ||||||
775 | PolyOne Corp., 7.375%, 09/15/20 | 822 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
450 | 4.875%, 03/01/13 | 481 | ||||||
753 | 7.750%, 05/31/11 | 767 | ||||||
200 | PPG Industries, Inc., 9.000%, 05/01/21 | 260 | ||||||
Praxair, Inc., | ||||||||
1,535 | 4.625%, 03/30/15 | 1,656 | ||||||
375 | 5.200%, 03/15/17 | 413 | ||||||
650 | 5.250%, 11/15/14 | 728 | ||||||
200 | Rhodia S.A., (France), 6.875%, 09/15/20 (e) | 205 | ||||||
1,305 | Union Carbide Corp., 7.750%, 10/01/96 | 1,357 | ||||||
14,238 | ||||||||
Construction Materials — 0.0% (g) |
| |||||||
75 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 78 | ||||||
Containers & Packaging — 0.6% |
| |||||||
900 | Ardagh Packaging Finance plc, (Ireland), 7.375%, 10/15/17 (e) | 958 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Containers & Packaging — Continued |
| |||||||
Ball Corp., | ||||||||
1,465 | 5.750%, 05/15/21 | 1,436 | ||||||
1,500 | 6.750%, 09/15/20 | 1,571 | ||||||
125 | 7.125%, 09/01/16 | 137 | ||||||
125 | 7.375%, 09/01/19 | 136 | ||||||
220 | Berry Plastics Corp., 8.250%, 11/15/15 | 236 | ||||||
2,000 | Constar International, Inc., VAR, 0.000%, 02/15/12 (d) | 917 | ||||||
600 | Graphic Packaging International, Inc., 7.875%, 10/01/18 | 645 | ||||||
1,000 | Packaging Dynamics Finance Corp., 10.000%, 05/01/16 (e) | 1,060 | ||||||
376 | Plastipak Holdings, Inc., 8.500%, 12/15/15 (e) | 393 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
1,000 | 6.875%, 02/15/21 (e) | 1,002 | ||||||
675 | 7.125%, 04/15/19 (e) | 692 | ||||||
700 | 7.750%, 10/15/16 (e) | 746 | ||||||
500 | Sealed Air Corp., 7.875%, 06/15/17 | 557 | ||||||
700 | Silgan Holdings, Inc., 7.250%, 08/15/16 | 756 | ||||||
900 | Solo Cup Co., 10.500%, 11/01/13 | 918 | ||||||
12,160 | ||||||||
Metals & Mining — 0.7% |
| |||||||
375 | AK Steel Corp., 7.625%, 05/15/20 | 383 | ||||||
106 | Arch Western Finance LLC, 6.750%, 07/01/13 | 107 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
570 | 4.800%, 04/15/13 | 614 | ||||||
575 | 5.400%, 03/29/17 | 645 | ||||||
1,110 | 5.500%, 04/01/14 | 1,234 | ||||||
120 | 6.500%, 04/01/19 | 142 | ||||||
1,086 | California Steel Industries, Inc., 6.125%, 03/15/14 | 1,081 | ||||||
230 | Corp. Nacional del Cobre de Chile, (Chile), 7.500%, 01/15/19 | 279 | ||||||
1,500 | Edgen Murray Corp., 12.250%, 01/15/15 | 1,433 | ||||||
150 | FMG Resources August 2006 Pty Ltd., (Australia), 7.000%, 11/01/15 (e) | 156 | ||||||
255 | Freeport-McMoRan Copper & Gold, Inc., 8.250%, 04/01/15 | 267 | ||||||
Novelis, Inc., (Canada), | ||||||||
650 | 8.375%, 12/15/17 (e) | 716 | ||||||
475 | 8.750%, 12/15/20 (e) | 524 | ||||||
1,510 | Nucor Corp., 6.400%, 12/01/37 | 1,727 | ||||||
450 | Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e) | 480 |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Metals & Mining — Continued |
| |||||||
538 | Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20 | 506 | ||||||
270 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) | 294 | ||||||
Steel Dynamics, Inc., | ||||||||
1,500 | 6.750%, 04/01/15 | 1,534 | ||||||
10 | 7.750%, 04/15/16 | 10 | ||||||
United States Steel Corp., | ||||||||
474 | 6.050%, 06/01/17 | 482 | ||||||
280 | 7.000%, 02/01/18 | 292 | ||||||
1,500 | 7.375%, 04/01/20 | 1,586 | ||||||
982 | Wolverine Tube, Inc., 15.000%, 03/31/12 (d) | 373 | ||||||
14,865 | ||||||||
Paper & Forest Products — 1.3% |
| |||||||
900 | AbitibiBowater, Inc., 10.250%, 10/15/18 (e) | 1,008 | ||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
14,926 | 6.000%, 06/20/13 (d) | 149 | ||||||
7,648 | 8.375%, 04/01/15 (d) | 77 | ||||||
Abitibi-Consolidated, Inc., (Canada), | ||||||||
1,999 | 7.500%, 06/15/11 (d) | 20 | ||||||
1,199 | 7.500%, 04/01/28 (d) | 12 | ||||||
730 | 8.850%, 08/01/30 (d) | 7 | ||||||
2,300 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 2,380 | ||||||
1,000 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 1,103 | ||||||
Cascades, Inc., (Canada), | ||||||||
1,100 | 7.750%, 12/15/17 | 1,151 | ||||||
400 | 7.875%, 01/15/20 | 417 | ||||||
700 | Clearwater Paper Corp., 7.125%, 11/01/18 (e) | 726 | ||||||
Domtar Corp., | ||||||||
126 | 7.125%, 08/15/15 | 139 | ||||||
950 | 10.750%, 06/01/17 | 1,216 | ||||||
Georgia-Pacific LLC, | ||||||||
1,000 | 5.400%, 11/01/20 (e) | 995 | ||||||
172 | 7.000%, 01/15/15 (e) | 178 | ||||||
875 | 7.125%, 01/15/17 (e) | 929 | ||||||
1,200 | 7.750%, 11/15/29 | 1,332 | ||||||
400 | 8.250%, 05/01/16 (e) | 451 | ||||||
1,154 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) (f) (i) | 78 | ||||||
NewPage Corp., | ||||||||
3,250 | 10.000%, 05/01/12 | 2,145 | ||||||
5,150 | 11.375%, 12/31/14 | 5,137 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Paper & Forest Products — Continued |
| |||||||
P.H. Glatfelter Co., | ||||||||
2,000 | 7.125%, 05/01/16 | 2,045 | ||||||
1,000 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 1,155 | ||||||
1,650 | Potlatch Corp., 7.500%, 11/01/19 | 1,749 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
1,640 | 8.000%, 03/15/17 (d) (f) (i) | 111 | ||||||
2,656 | 8.375%, 07/01/12 (d) (f) (i) | 179 | ||||||
750 | Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 | 827 | ||||||
Weyerhaeuser Co., | ||||||||
350 | 7.375%, 10/01/19 | 393 | ||||||
750 | 7.375%, 03/15/32 | 816 | ||||||
26,925 | ||||||||
Total Materials | 68,266 | |||||||
Telecommunication Services — 2.0% |
| |||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
31 | AT&T Corp., 8.000%, 11/15/31 | 39 | ||||||
AT&T, Inc., | ||||||||
1,030 | 5.350%, 09/01/40 (e) | 945 | ||||||
220 | 5.600%, 05/15/18 | 243 | ||||||
465 | 5.800%, 02/15/19 | 520 | ||||||
1,500 | 6.300%, 01/15/38 | 1,557 | ||||||
BellSouth Corp., | ||||||||
1,285 | 5.200%, 09/15/14 | 1,415 | ||||||
100 | 6.875%, 10/15/31 | 110 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
451 | 6.300%, 12/15/15 | 486 | ||||||
330 | 7.000%, 12/01/95 | 342 | ||||||
Cincinnati Bell, Inc., | ||||||||
800 | 8.250%, 10/15/17 | 808 | ||||||
145 | 8.750%, 03/15/18 | 139 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
100 | 6.750%, 08/20/18 | 117 | ||||||
1,000 | 8.750%, 06/15/30 | 1,311 | ||||||
Frontier Communications Corp., | ||||||||
785 | 7.125%, 03/15/19 | 816 | ||||||
15 | 7.875%, 04/15/15 | 17 | ||||||
1,165 | 8.125%, 10/01/18 | 1,294 | ||||||
15 | 8.250%, 04/15/17 | 16 | ||||||
215 | 8.500%, 04/15/20 | 239 | ||||||
15 | 8.750%, 04/15/22 | 17 | ||||||
800 | GTE Corp., 6.840%, 04/15/18 | 934 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 103 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
2,750 | Level 3 Communications, Inc., 11.875%, 02/01/19 (e) | 2,702 | ||||||
Qwest Communications International, Inc., | ||||||||
1,000 | 7.125%, 04/01/18 | 1,073 | ||||||
90 | 8.000%, 10/01/15 | 98 | ||||||
Qwest Corp., | ||||||||
1,000 | 6.500%, 06/01/17 | 1,100 | ||||||
250 | 8.875%, 03/15/12 | 268 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
562 | 5.250%, 11/15/13 | 587 | ||||||
190 | 7.721%, 06/04/38 | 197 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
138 | 5.462%, 02/16/21 | 140 | ||||||
600 | 5.855%, 02/04/13 | 641 | ||||||
80 | 5.877%, 07/15/19 | 84 | ||||||
480 | TELUS Corp., (Canada), 8.000%, 06/01/11 | 489 | ||||||
Verizon Communications, Inc., | ||||||||
585 | 6.900%, 04/15/38 | 664 | ||||||
75 | 7.350%, 04/01/39 | 89 | ||||||
Verizon Global Funding Corp., | ||||||||
820 | 7.750%, 12/01/30 | 1,006 | ||||||
290 | 7.750%, 06/15/32 | 357 | ||||||
2,000 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 2,322 | ||||||
Virgin Media Secured Finance plc, (United Kingdom), | ||||||||
1,500 | 5.250%, 01/15/21 (e) | 1,518 | ||||||
2,400 | 6.500%, 01/15/18 | 2,628 | ||||||
Windstream Corp., | ||||||||
525 | 8.125%, 08/01/13 | 578 | ||||||
125 | 8.125%, 09/01/18 | 134 | ||||||
1,250 | 8.625%, 08/01/16 | 1,322 | ||||||
29,362 | ||||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
450 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 497 | ||||||
140 | Cricket Communications, Inc., 7.750%, 05/15/16 | 148 | ||||||
75 | MetroPCS Wireless, Inc., 7.875%, 09/01/18 | 79 | ||||||
805 | New Cingular Wireless Services, Inc., 8.125%, 05/01/12 | 873 | ||||||
2,750 | Nextel Communications, Inc., 7.375%, 08/01/15 | 2,757 | ||||||
NII Capital Corp., | ||||||||
365 | 8.875%, 12/15/19 | 403 | ||||||
185 | 10.000%, 08/15/16 | 210 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Wireless Telecommunication Services — Continued |
| |||||||
240 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 | 284 | ||||||
SBA Telecommunications, Inc., | ||||||||
1,050 | 8.000%, 08/15/16 | 1,145 | ||||||
500 | 8.250%, 08/15/19 | 551 | ||||||
800 | Sprint Capital Corp., 8.750%, 03/15/32 | 832 | ||||||
125 | Sprint Nextel Corp., 8.375%, 08/15/17 | 138 | ||||||
900 | Vimpel Communications Via VIP Finance Ireland Ltd., OJSC, (Ireland), 7.748%, 02/02/21 (e) | 930 | ||||||
870 | Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 | 945 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
775 | 7.250%, 02/15/18 (e) | 800 | ||||||
275 | 11.750%, 07/15/17 (e) | 316 | ||||||
10,908 | ||||||||
Total Telecommunication Services | 40,270 | |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.7% |
| |||||||
AES Eastern Energy LP, | ||||||||
514 | 9.000%, 01/02/17 | 442 | ||||||
2,000 | 9.670%, 01/02/29 | 1,700 | ||||||
505 | Alabama Power Co., 6.125%, 05/15/38 | 554 | ||||||
Carolina Power & Light Co., | ||||||||
90 | 5.300%, 01/15/19 | 100 | ||||||
500 | 6.300%, 04/01/38 | 568 | ||||||
1,000 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 1,099 | ||||||
100 | Centrais Eletricas Brasileiras S.A., (Brazil), 6.875%, 07/30/19 (e) | 110 | ||||||
300 | Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39 | 304 | ||||||
925 | Consumers Energy Co., 6.700%, 09/15/19 | 1,096 | ||||||
80 | Dubai Electricity & Water Authority, (United Arab Emirates), 8.500%, 04/22/15 (e) | 85 | ||||||
Duke Energy Carolinas LLC, | ||||||||
780 | 4.300%, 06/15/20 | 794 | ||||||
200 | 5.250%, 01/15/18 | 220 | ||||||
500 | 5.625%, 11/30/12 | 539 | ||||||
1,100 | 6.050%, 04/15/38 | 1,203 | ||||||
500 | 6.250%, 01/15/12 | 525 | ||||||
280 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 270 | ||||||
1,200 | Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) | 1,205 | ||||||
115 | Florida Power Corp., 5.650%, 06/15/18 | 130 |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
Georgia Power Co., | ||||||||
386 | 4.750%, 09/01/40 | 351 | ||||||
562 | 5.250%, 12/15/15 | 625 | ||||||
140 | 5.950%, 02/01/39 | 150 | ||||||
164 | Homer City Funding LLC, 8.137%, 10/01/19 | 158 | ||||||
2,000 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 2,170 | ||||||
988 | Massachusetts Electric Co., 5.900%, 11/15/39 (e) | 1,045 | ||||||
860 | MidAmerican Energy Co., 5.300%, 03/15/18 | 951 | ||||||
810 | Midamerican Funding LLC, 6.750%, 03/01/11 | 810 | ||||||
Nevada Power Co., | ||||||||
446 | 5.375%, 09/15/40 | 432 | ||||||
600 | 7.125%, 03/15/19 | 713 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
275 | 5.350%, 06/15/13 | 297 | ||||||
265 | 7.875%, 12/15/15 | 316 | ||||||
300 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 316 | ||||||
Nisource Finance Corp., | ||||||||
1,470 | 6.400%, 03/15/18 | 1,650 | ||||||
150 | 6.800%, 01/15/19 | 173 | ||||||
Northern States Power Co., | ||||||||
173 | 5.350%, 11/01/39 | 176 | ||||||
765 | 6.250%, 06/01/36 | 871 | ||||||
1,010 | Pacific Gas & Electric Co., 5.625%, 11/30/17 | 1,130 | ||||||
Pacificorp, | ||||||||
1,900 | 5.750%, 04/01/37 | 1,979 | ||||||
250 | 7.240%, 08/16/23 | 291 | ||||||
Peco Energy Co., | ||||||||
1,880 | 5.350%, 03/01/18 | 2,080 | ||||||
500 | 5.950%, 11/01/11 | 518 | ||||||
360 | Potomac Electric Power Co., 6.500%, 11/15/37 | 416 | ||||||
50 | Progress Energy, Inc., 6.050%, 03/15/14 | 56 | ||||||
1,121 | PSEG Power LLC, 5.125%, 04/15/20 | 1,155 | ||||||
Public Service Co. of Colorado, | ||||||||
198 | 3.200%, 11/15/20 | 185 | ||||||
35 | 6.500%, 08/01/38 | 41 | ||||||
200 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 226 | ||||||
Public Service Co. of Oklahoma, | ||||||||
88 | 5.150%, 12/01/19 | 93 | ||||||
1,100 | 6.625%, 11/15/37 | 1,223 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Electric Utilities — Continued |
| |||||||
Public Service Electric & Gas Co., | ||||||||
350 | 2.700%, 05/01/15 | 353 | ||||||
155 | 5.300%, 05/01/18 | 172 | ||||||
416 | 5.375%, 11/01/39 | 417 | ||||||
San Diego Gas & Electric Co., | ||||||||
249 | 4.500%, 08/15/40 | 223 | ||||||
500 | 6.000%, 06/01/39 | 555 | ||||||
Southern California Edison Co., | ||||||||
450 | 5.550%, 01/15/37 | 466 | ||||||
285 | 5.950%, 02/01/38 | 311 | ||||||
145 | Spectra Energy Capital LLC, 7.500%, 09/15/38 | 170 | ||||||
120 | Union Electric Co., 8.450%, 03/15/39 | 166 | ||||||
Virginia Electric and Power Co., | ||||||||
235 | 6.350%, 11/30/37 | 266 | ||||||
670 | 8.875%, 11/15/38 | 970 | ||||||
35,610 | ||||||||
Gas Utilities — 0.2% | ||||||||
250 | ANR Pipeline Co., 9.625%, 11/01/21 | 346 | ||||||
600 | Atmos Energy Corp., 5.125%, 01/15/13 | 632 | ||||||
570 | CenterPoint Energy Resources Corp., 6.625%, 11/01/37 | 629 | ||||||
155 | EQT Corp., 8.125%, 06/01/19 | 184 | ||||||
325 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e) | 333 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
1,505 | 4.000%, 06/15/13 | 1,594 | ||||||
1,000 | 6.200%, 10/15/37 | 1,068 | ||||||
4,786 | ||||||||
Independent Power Producers & Energy Traders — 0.6% |
| |||||||
1,700 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 1,844 | ||||||
Dynegy Holdings, Inc., | ||||||||
105 | 7.625%, 10/15/26 | 70 | ||||||
4,770 | 7.750%, 06/01/19 | 3,446 | ||||||
750 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 | 729 | ||||||
Edison Mission Energy, | ||||||||
2,000 | 7.000%, 05/15/17 | 1,625 | ||||||
800 | 7.200%, 05/15/19 | 636 | ||||||
500 | 7.750%, 06/15/16 | 447 | ||||||
290 | FPL Energy National Wind, 6.125%, 03/25/19 (e) | 275 | ||||||
327 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 316 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 105 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Independent Power Producers & Energy Traders — Continued |
| |||||||
789 | Midwest Generation LLC, 8.560%, 01/02/16 | 816 | ||||||
2,012 | Mirant Mid Atlantic LLC, 9.125%, 06/30/17 | 2,194 | ||||||
130 | North American Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.875%, 06/01/16 (e) | 147 | ||||||
335 | NRG Energy, Inc., 7.375%, 02/01/16 | 347 | ||||||
363 | Ormat Funding Corp., 8.250%, 12/30/20 | 359 | ||||||
235 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 132 | ||||||
13,383 | ||||||||
Multi-Utilities — 0.1% |
| |||||||
400 | Dominion Resources, Inc., 7.000%, 06/15/38 | 471 | ||||||
160 | DTE Energy Co., 7.625%, 05/15/14 | 183 | ||||||
Sempra Energy, | ||||||||
255 | 6.150%, 06/15/18 | 289 | ||||||
75 | 6.500%, 06/01/16 | 86 | ||||||
220 | 8.900%, 11/15/13 | 257 | ||||||
420 | 9.800%, 02/15/19 | 559 | ||||||
1,845 | ||||||||
Water Utilities — 0.1% |
| |||||||
925 | American Water Capital Corp., 6.085%, 10/15/17 | 1,042 | ||||||
Total Utilities | 56,666 | |||||||
Total Corporate Bonds | 763,270 | |||||||
| Foreign Government Securities — 1.5% |
| ||||||
100 | Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e) | 108 | ||||||
150 | Citigroup Funding, Inc., CLN, 11.000%, 07/24/20 (linked to Colombian Government Bond, 11.000%, 07/24/20; credit rating BBB+), (Colombia), 11.000%, 07/27/20 (f) (i) | 136 | ||||||
100 | Citigroup Funding, Inc., CLN, 14.250%, 06/19/13 (linked to Indonesia Government Bond, 14.250%, 06/15/13; credit rating BB+), (Indonesia) (e) (f) (i) | 99 | ||||||
130 | Citigroup Funding, Inc., CLN, 14.990%, 03/13/13 (linked to Government of Ghana 3-Year Bond, 14.990%, 03/11/13; credit rating B), (Ghana) (e) (f) (i) | 132 | ||||||
60 | Credit Suisse First Boston International for CJSC The EXIM of Ukraine, (Ukraine), 7.650%, 09/07/11 | 60 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
100 | Deutsche Bank AG, London Branch, CLN, 14.275%, 12/22/13 (linked to Indonesia Government Bond, 14.275%, 12/22/13; credit rating BB+), (Indonesia) (e) (f) (i) | 136 | ||||||
Federal Republic of Brazil, (Brazil), | ||||||||
BRL | 340 | 6.000%, 05/15/13 | 412 | |||||
70 | 7.125%, 01/20/37 | 83 | ||||||
673 | 8.000%, 01/15/18 | 789 | ||||||
140 | 8.250%, 01/20/34 | 183 | ||||||
90 | 8.750%, 02/04/25 | 121 | ||||||
300 | 8.875%, 04/15/24 | 405 | ||||||
380 | 11.000%, 08/17/40 | 511 | ||||||
299 | 12.250%, 03/06/30 | 529 | ||||||
126 | Government of Belize, (Belize), Reg. S., SUB, 6.000%, 02/20/29 | 107 | ||||||
Government of Ukraine, (Ukraine), | ||||||||
510 | 6.580%, 11/21/16 (e) | 503 | ||||||
300 | 6.875%, 09/23/15 (e) | 304 | ||||||
110 | IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24 | 121 | ||||||
Petroleos de Venezuela S.A., (Venezuela), | ||||||||
25 | 5.250%, 04/12/17 | 14 | ||||||
215 | 5.375%, 04/12/27 | 99 | ||||||
200 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 204 | ||||||
655 | Province of Nova Scotia, (Canada), 9.250%, 03/01/20 | 891 | ||||||
Province of Ontario, (Canada), | ||||||||
780 | 2.700%, 06/16/15 | 797 | ||||||
1,635 | 2.950%, 02/05/15 | 1,691 | ||||||
300 | Province of Quebec, (Canada), 6.350%, 01/30/26 | 356 | ||||||
320 | Provincia de Cordoba, (Argentina), 12.375%, 08/17/17 (e) | 332 | ||||||
Republic of Argentina, (Argentina), | ||||||||
ARS | 634 | VAR, 0.000%, 12/31/33 | 259 | |||||
455 | VAR, 1.683%, 08/03/12 (d) | 109 | ||||||
50 | SUB, 2.500%, 12/31/38 | 21 | ||||||
734 | SUB, 2.500%, 12/31/38 | 304 | ||||||
35 | 7.000%, 09/12/13 | 36 | ||||||
110 | 8.280%, 12/31/33 | 93 | ||||||
775 | 8.750%, 06/02/17 | 782 | ||||||
100 | Republic of Belarus, (Belarus), 8.750%, 08/03/15 | 98 | ||||||
Republic of Colombia, (Colombia), | ||||||||
100 | 7.375%, 09/18/37 | 118 | ||||||
COP | 144,000 | 7.750%, 04/14/21 | 80 |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Foreign Government Securities — Continued |
| ||||||
440 | 8.125%, 05/21/24 | 554 | ||||||
140 | 10.375%, 01/28/33 | 207 | ||||||
Republic of Croatia, (Croatia), | ||||||||
200 | 6.625%, 07/14/20 (e) | 205 | ||||||
190 | Reg. S., 6.625%, 07/14/20 | 196 | ||||||
100 | Republic of Ecuador, (Ecuador), Reg. S., 9.375%, 12/15/15 | 99 | ||||||
365 | Republic of Egypt, (Egypt), 5.750%, 04/29/20 (e) | 338 | ||||||
Republic of El Salvador, (El Salvador), | ||||||||
180 | Reg. S., 7.650%, 06/15/35 | 181 | ||||||
140 | Reg. S., 8.250%, 04/10/32 | 153 | ||||||
110 | Republic of Ghana, (Ghana), Reg. S., 8.500%, 10/04/17 | 119 | ||||||
501 | Republic of Hungary, (Hungary), 6.250%, 01/29/20 | 512 | ||||||
Republic of Indonesia, (Indonesia), | ||||||||
645 | Reg. S., 6.750%, 03/10/14 | 712 | ||||||
50 | Reg. S., 7.750%, 01/17/38 | 60 | ||||||
340 | Reg. S., 8.500%, 10/12/35 | 438 | ||||||
350 | 11.625%, 03/04/19 (e) | 505 | ||||||
250 | Republic of Iraq, (Iraq), Reg. S., 5.800%, 01/15/28 | 219 | ||||||
Republic of Lithuania, (Lithuania), | ||||||||
650 | 5.125%, 09/14/17 (e) | 637 | ||||||
130 | Reg. S., 5.125%, 09/14/17 | 127 | ||||||
160 | Reg. S., 6.750%, 01/15/15 | 172 | ||||||
200 | Republic of Nigeria, (Nigeria), 6.750%, 01/28/21 (e) | 196 | ||||||
Republic of Panama, (Panama), | ||||||||
280 | 7.250%, 03/15/15 | 324 | ||||||
150 | 8.875%, 09/30/27 | 203 | ||||||
460 | 9.375%, 04/01/29 | 644 | ||||||
Republic of Peru, (Peru), | ||||||||
PEN | 940 | Reg. S., 6.900%, 08/12/37 | 339 | |||||
PEN | 440 | Reg. S., 6.950%, 08/12/31 | 160 | |||||
430 | 7.350%, 07/21/25 | 519 | ||||||
290 | 8.375%, 05/03/16 | 357 | ||||||
218 | 8.750%, 11/21/33 | 299 | ||||||
88 | 9.875%, 02/06/15 | 110 | ||||||
Republic of Philippines, (Philippines), | ||||||||
170 | 4.000%, 01/15/21 | 162 | ||||||
100 | 9.500%, 02/02/30 | 142 | ||||||
170 | 9.875%, 01/15/19 | 231 | ||||||
570 | 10.625%, 03/16/25 | 859 | ||||||
93 | Republic of Serbia, (Serbia), Reg. S., SUB, 6.750%, 11/01/24 | 93 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Republic of South Africa, (South Africa), | ||||||||
100 | 5.500%, 03/09/20 | 105 | ||||||
110 | 5.875%, 05/30/22 | 117 | ||||||
125 | 6.875%, 05/27/19 | 144 | ||||||
ZAR | 2,985 | 13.500%, 09/15/15 | 522 | |||||
370 | Republic of Sri Lanka, (Sri Lanka), 6.250%, 10/04/20 (e) | 364 | ||||||
Republic of Turkey, (Turkey), | ||||||||
500 | 6.750%, 04/03/18 | 549 | ||||||
395 | 7.250%, 03/15/15 | 444 | ||||||
637 | 7.250%, 03/05/38 | 682 | ||||||
100 | 7.500%, 07/14/17 | 114 | ||||||
110 | 7.500%, 11/07/19 | 126 | ||||||
125 | 9.500%, 01/15/14 | 146 | ||||||
Republic of Uruguay, (Uruguay), | ||||||||
UYU | 1,800 | 4.763%, 06/26/37 | 123 | |||||
UYU | 3,000 | 5.572%, 04/05/27 | 230 | |||||
420 | 7.625%, 03/21/36 | 493 | ||||||
170 | 8.000%, 11/18/22 | 209 | ||||||
Republic of Venezuela, (Venezuela), | ||||||||
684 | Reg. S., 5.750%, 02/26/16 | 485 | ||||||
525 | Reg. S., 6.000%, 12/09/20 | 300 | ||||||
400 | Reg. S., 7.750%, 10/13/19 | 264 | ||||||
660 | Reg. S., 9.000%, 05/07/23 | 439 | ||||||
252 | Reg. S., 12.750%, 08/23/22 | 213 | ||||||
Russian Federation, (Russia), | ||||||||
2,031 | Reg. S., SUB, 7.500%, 03/31/30 | 2,351 | ||||||
RUB | 5,000 | 7.850%, 03/10/18 (e) | 173 | |||||
United Mexican States, (Mexico), | ||||||||
MXN | 380 | 4.563%, 11/22/35 | 155 | |||||
640 | 5.625%, 01/15/17 | 706 | ||||||
200 | 5.875%, 02/17/14 | 220 | ||||||
498 | 5.950%, 03/19/19 | 554 | ||||||
MXN | 3,900 | 8.000%, 12/17/15 | 339 | |||||
Total Foreign Government Securities | 31,662 | |||||||
| Mortgage Pass-Through Securities — 4.3% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
840 | ARM, 3.642%, 03/01/36 | 886 | ||||||
443 | ARM, 5.539%, 03/01/36 | 457 | ||||||
141 | ARM, 5.970%, 05/01/37 | 149 | ||||||
792 | ARM, 6.002%, 10/01/37 | 837 | ||||||
399 | ARM, 6.249%, 10/01/36 | 417 | ||||||
227 | ARM, 6.342%, 08/01/36 | 238 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 107 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
2,102 | 4.000%, 08/01/18 - 05/01/19 | 2,190 | ||||||
1,093 | 4.500%, 10/01/18 | 1,157 | ||||||
138 | 5.000%, 05/01/18 | 148 | ||||||
848 | 5.500%, 01/01/21 | 922 | ||||||
889 | 6.000%, 11/01/21 | 971 | ||||||
576 | 6.500%, 07/01/14 | 610 | ||||||
16 | 7.000%, 05/01/11 - 06/01/11 | 16 | ||||||
103 | 7.500%, 05/01/11 - 01/01/17 | 113 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
1,687 | 6.500%, 11/01/22 - 03/01/26 | 1,868 | ||||||
426 | 7.000%, 01/01/27 | 485 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
493 | 4.000%, 09/01/33 | 491 | ||||||
173 | 6.000%, 02/01/29 | 190 | ||||||
1,430 | 6.500%, 01/01/24 - 11/01/36 | 1,610 | ||||||
1,350 | 7.000%, 09/01/24 - 10/01/36 (m) | 1,539 | ||||||
155 | 7.500%, 10/01/19 - 10/01/30 | 173 | ||||||
165 | 8.000%, 08/01/27 - 03/01/30 | 196 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
2,895 | 7.500%, 01/01/32 - 12/01/36 | 3,348 | ||||||
663 | 10.000%, 10/01/30 | 783 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
194 | 7.000%, 12/01/14 - 03/01/16 | 208 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
5 | 7.500%, 02/01/17 | 6 | ||||||
8 | 12.000%, 08/01/15 - 07/01/19 | 9 | ||||||
— | (h) | 13.000%, 06/01/14 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
252 | ARM, 2.438%, 01/01/34 | 264 | ||||||
357 | ARM, 2.477%, 05/01/35 | 374 | ||||||
25 | ARM, 2.750%, 10/01/33 | 26 | ||||||
130 | ARM, 5.096%, 04/01/37 | 137 | ||||||
622 | ARM, 5.651%, 03/01/37 | 659 | ||||||
807 | ARM, 5.653%, 04/01/37 | 853 | ||||||
1,877 | ARM, 5.696%, 01/01/23 | 2,016 | ||||||
443 | ARM, 5.875%, 07/01/37 | 470 | ||||||
482 | ARM, 6.000%, 02/01/37 | 514 | ||||||
211 | ARM, 6.070%, 07/01/37 | 224 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
6,439 | 3.500%, 09/01/18 - 07/01/19 | 6,643 | ||||||
4,131 | 4.000%, 07/01/18 - 12/01/18 | 4,324 | ||||||
469 | 4.500%, 07/01/18 | 496 | ||||||
2,538 | 5.000%, 05/01/18 - 11/01/18 | 2,729 | ||||||
1,410 | 5.500%, 08/01/17 - 07/01/20 | 1,526 | ||||||
2,588 | 6.000%, 01/01/14 - 08/01/22 | 2,837 | ||||||
77 | 6.500%, 05/01/13 | 85 | ||||||
— | (h) | 7.000%, 03/01/15 | — | (h) | ||||
5 | 7.500%, 02/01/12 | 5 | ||||||
28 | 8.000%, 01/01/16 | 29 | ||||||
3 | 8.500%, 11/01/11 | 3 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,980 | 3.500%, 12/01/30 | 1,925 | ||||||
2,526 | 6.000%, 04/01/24 - 08/01/27 | 2,769 | ||||||
1,140 | 6.500%, 11/01/18 | 1,257 | ||||||
340 | Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34 | 366 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
547 | 5.500%, 12/01/28 - 07/01/29 | 591 | ||||||
2,146 | 6.000%, 04/01/35 - 08/01/37 | 2,366 | ||||||
4,341 | 6.500%, 04/01/28 - 10/01/38 | 4,871 | ||||||
2,317 | 7.000%, 03/01/28 - 04/01/37 | 2,659 | ||||||
998 | 7.500%, 09/01/25 - 11/01/38 | 1,146 | ||||||
— | (h) | 8.000%, 08/01/22 | — | (h) | ||||
75 | 8.500%, 10/01/25 - 12/01/25 | 88 | ||||||
5 | 9.000%, 01/01/19 - 04/01/25 | 6 | ||||||
26 | 12.500%, 01/01/16 | 27 | ||||||
Federal National Mortgage Association, Other, | ||||||||
2,478 | 4.515%, 02/01/20 | 2,549 | ||||||
3,000 | 4.546%, 02/01/20 | 3,091 | ||||||
2,000 | 4.640%, 01/01/21 | 2,068 | ||||||
1,781 | 5.000%, 12/01/32 - 08/01/33 | 1,870 | ||||||
1,172 | 5.500%, 09/01/17 | 1,262 | ||||||
548 | 6.500%, 04/01/36 - 07/01/36 | 612 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
3,766 | 6.000%, 04/20/36 - 09/20/36 | 4,143 | ||||||
21 | 6.500%, 02/20/29 | 23 | ||||||
5,211 | 7.000%, 10/20/38 - 01/20/39 | 5,960 | ||||||
111 | 7.500%, 08/20/25 - 07/20/27 | 129 | ||||||
1,225 | 8.000%, 08/20/26 - 09/20/31 | 1,437 | ||||||
1,294 | Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23 | 1,435 |
SEE NOTES TO FINANCIAL STATEMENTS.
108 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
511 | 6.500%, 02/15/28 - 10/15/29 | 581 | ||||||
169 | 7.000%, 01/15/23 - 02/15/28 | 195 | ||||||
155 | 7.250%, 07/15/21 - 01/15/28 | 177 | ||||||
93 | 7.500%, 10/15/22 - 09/15/29 | 107 | ||||||
8 | 7.750%, 02/15/27 | 9 | ||||||
4 | 8.500%, 11/15/25 | 5 | ||||||
130 | 9.000%, 04/15/16 - 01/15/25 | 149 | ||||||
5 | 10.000%, 11/15/20 | 6 | ||||||
2 | 13.000%, 01/15/15 | 2 | ||||||
Total Mortgage Pass-Through Securities | 88,112 | |||||||
| Municipal Bonds — 0.5% | |||||||
California — 0.1% | ||||||||
1,000 | Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39 | 981 | ||||||
Illinois — 0.1% | ||||||||
780 | Railsplitter Tobacco Settlement Authority, Rev., 5.250%, 06/01/21 | 758 | ||||||
1,960 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 1,573 | ||||||
2,331 | ||||||||
New York — 0.2% | ||||||||
900 | New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.375%, 06/15/43 | 913 | ||||||
New York State Dormitory Authority, State Personal Taxable General Purpose, Build America Bonds, | ||||||||
560 | Series H, Rev., 5.289%, 03/15/33 | 543 | ||||||
1,165 | Series H, Rev., 5.389%, 03/15/40 | 1,099 | ||||||
1,450 | Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40 | 1,393 | ||||||
3,948 | ||||||||
Ohio — 0.1% | ||||||||
1,040 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 1,083 | ||||||
Oklahoma — 0.0% (g) | ||||||||
900 | Oklahoma City Water Utilities Trust, Water & Sewer, Rev., 5.375%, 07/01/40 | 951 | ||||||
Washington — 0.0% (g) | ||||||||
900 | City of Seattle, Light & Power Imrovement, Series A, Rev., 5.250%, 02/01/33 | 930 | ||||||
Total Municipal Bonds | 10,224 | |||||||
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Supranational — 0.0% (g) | |||||||
330 | Eurasian Development Bank, (Kazakhstan), Reg. S., 7.375%, 09/29/14 | 361 | ||||||
| U.S. Government Agency Securities — 1.2% | |||||||
1,500 | Federal Home Loan Bank System, 1.750%, 12/14/12 | 1,527 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
915 | 2.500%, 04/23/14 | 945 | ||||||
635 | 5.250%, 04/18/16 | 720 | ||||||
385 | 6.750%, 09/15/29 | 486 | ||||||
Federal National Mortgage Association, | ||||||||
7,360 | Zero Coupon, 06/01/17 | 5,983 | ||||||
3,505 | 1.375%, 04/28/11 | 3,512 | ||||||
1,995 | 1.750%, 03/23/11 | 1,997 | ||||||
825 | 5.000%, 05/11/17 | 926 | ||||||
1,500 | 5.625%, 07/15/37 | 1,676 | ||||||
1,000 | 8.200%, 03/10/16 | 1,266 | ||||||
1,000 | Federal National Mortgage Association Interest Strip, 11/15/21 | 627 | ||||||
Financing Corp. Fico, | ||||||||
1,285 | Zero Coupon, 04/05/19 | 963 | ||||||
500 | Zero Coupon, 09/26/19 | 365 | ||||||
462 | New Valley Generation II, 5.572%, 05/01/20 | 490 | ||||||
669 | New Valley Generation III, 4.929%, 01/15/21 | 693 | ||||||
Tennessee Valley Authority, | ||||||||
902 | 4.625%, 09/15/60 | 837 | ||||||
869 | 5.250%, 09/15/39 | 910 | ||||||
500 | Tennessee Valley Authority Principal Strip, Zero Coupon, 11/01/25 | 241 | ||||||
Total U.S. Government Agency Securities | 24,164 | |||||||
| U.S. Treasury Obligations — 17.3% |
| ||||||
U.S. Treasury Bonds, | ||||||||
85 | 3.500%, 02/15/39 | 72 | ||||||
555 | 4.375%, 02/15/38 | 548 | ||||||
5,000 | 4.500%, 02/15/36 | 5,066 | ||||||
3,890 | 4.500%, 05/15/38 | 3,917 | ||||||
2,500 | 5.250%, 02/15/29 | 2,831 | ||||||
1,000 | 5.500%, 08/15/28 | 1,164 | ||||||
2,340 | 6.000%, 02/15/26 | 2,866 | ||||||
5,000 | 6.250%, 08/15/23 | 6,240 | ||||||
4,250 | 6.375%, 08/15/27 | 5,414 | ||||||
7,600 | 7.125%, 02/15/23 | 10,132 | ||||||
7,200 | 7.250%, 08/15/22 | 9,668 | ||||||
20,000 | 7.500%, 11/15/16 | 25,488 | ||||||
4,800 | 7.500%, 11/15/24 | 6,662 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 109 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
2,625 | 7.875%, 02/15/21 | 3,634 | ||||||
1,937 | 8.125%, 08/15/19 | 2,673 | ||||||
13,600 | 8.125%, 05/15/21 | 19,155 | ||||||
10,000 | 8.125%, 08/15/21 | 14,127 | ||||||
5,000 | 8.500%, 02/15/20 | 7,094 | ||||||
3,500 | 8.750%, 05/15/17 | 4,759 | ||||||
6,000 | 8.750%, 08/15/20 | 8,691 | ||||||
24,560 | 8.875%, 08/15/17 (m) | 33,793 | ||||||
2,834 | 8.875%, 02/15/19 | 4,036 | ||||||
5,000 | 9.000%, 11/15/18 (m) | 7,136 | ||||||
1,000 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 | 1,734 | ||||||
U.S. Treasury Notes, | ||||||||
3,225 | 0.875%, 04/30/11 | 3,229 | ||||||
50 | 1.000%, 08/31/11 (k) | 50 | ||||||
90 | 1.000%, 10/31/11 | 91 | ||||||
4,000 | 1.375%, 09/15/12 | 4,055 | ||||||
6,625 | 1.375%, 10/15/12 | 6,716 | ||||||
5,275 | 1.375%, 11/15/12 | 5,347 | ||||||
10,000 | 1.875%, 06/15/12 | 10,194 | ||||||
225 | 2.250%, 05/31/14 | 232 | ||||||
11,000 | 2.250%, 11/30/17 | 10,658 | ||||||
100 | 2.375%, 03/31/16 | 101 | ||||||
2,780 | 2.625%, 02/29/16 | 2,845 | ||||||
130 | 2.625%, 04/30/16 | 132 | ||||||
12,290 | 2.750%, 05/31/17 | 12,401 | ||||||
1,000 | 3.125%, 10/31/16 | 1,039 | ||||||
10,654 | 3.125%, 05/15/19 | 10,688 | ||||||
2,250 | 3.250%, 03/31/17 | 2,341 | ||||||
320 | 4.000%, 02/15/15 | 349 | ||||||
7,860 | 4.750%, 08/15/17 | 8,855 | ||||||
U.S. Treasury STRIPS, | ||||||||
308 | 05/15/14 | 295 | ||||||
2,000 | 11/15/14 | 1,885 | ||||||
2,425 | 11/15/15 | 2,201 | ||||||
6,980 | 05/15/16 | 6,192 | ||||||
6,916 | 02/15/17 | 5,912 | ||||||
5,991 | 05/15/17 | 5,079 | ||||||
12,248 | 08/15/17 | 10,239 | ||||||
19,170 | 11/15/17 | 15,826 | ||||||
6,000 | 02/15/18 | 4,893 | ||||||
1,606 | 08/15/18 | 1,279 | ||||||
185 | 08/15/19 | 140 | ||||||
5,185 | 11/15/20 | 3,649 | ||||||
22,000 | 11/15/21 | 14,575 | ||||||
5,000 | 08/15/22 | 3,173 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
5,000 | 11/15/22 | 3,122 | ||||||
4,000 | 08/15/24 | 2,256 | ||||||
5,000 | 11/15/24 | 2,775 | ||||||
2,900 | 02/15/25 | 1,586 | ||||||
2,550 | 02/15/27 | 1,237 | ||||||
8,000 | 11/15/27 | 3,717 | ||||||
2,615 | 02/15/28 | 1,198 | ||||||
Total U.S. Treasury Obligations | 357,452 | |||||||
SHARES | ||||||||
| Common Stocks — 0.7% |
| ||||||
Consumer Discretionary — 0.1% | ||||||||
Leisure Equipment & Products — 0.0% (g) |
| |||||||
31 | True Temper Holdings Corp., Inc. (a) (f) (i) | 248 | ||||||
Media — 0.1% |
| |||||||
46 | Charter Communications, Inc., Class A (a) | 2,119 | ||||||
Total Consumer Discretionary | 2,367 | |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
40 | Eurofresh, Inc., ADR (a) (f) (i) | 30 | ||||||
Household Products — 0.0% (g) |
| |||||||
2 | Spectrum Brands Holdings, Inc. (a) | 66 | ||||||
Total Consumer Staples | 96 | |||||||
Industrials — 0.0% (g) |
| |||||||
Airlines — 0.0% (g) |
| |||||||
1 | Delta Air Lines, Inc. (a) | 11 | ||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
3 | Quad/Graphics, Inc. (a) | 125 | ||||||
Total Industrials | 136 | |||||||
Information Technology — 0.1% |
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
695 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (f) (i) | 1,688 | ||||||
Materials — 0.5% |
| |||||||
Chemicals — 0.1% |
| |||||||
53 | LyondellBasell Industries N.V., (Netherlands), Class A (a) | 2,025 | ||||||
Construction Materials — 0.1% |
| |||||||
264 | U.S. Concrete, Inc. (a) | 2,643 | ||||||
Paper & Forest Products — 0.3% |
| |||||||
198 | AbitibiBowater, Inc., (Canada) (a) | 5,547 | ||||||
Total Materials | 10,215 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
110 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — Continued |
| ||||||
Telecommunication Services — 0.0% (g) |
| |||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
4 | AboveNet, Inc. | 290 | ||||||
— | (h) | XO Holdings, Inc. (a) | — | (h) | ||||
290 | ||||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
— | (h) | Sprint Nextel Corp. (a) | — | (h) | ||||
Total Telecommunication Services | 290 | |||||||
Utilities — 0.0% (g) |
| |||||||
Independent Power Producers & Energy |
| |||||||
1 | NRG Energy, Inc. (a) | 20 | ||||||
Total Common Stocks | 14,812 | |||||||
| Preferred Stocks — 0.5% |
| ||||||
Consumer Discretionary — 0.2% |
| |||||||
Automobiles — 0.1% |
| |||||||
35 | General Motors Co., 4.750%, 12/01/13 | 1,781 | ||||||
Household Durables — 0.1% |
| |||||||
153 | M/I Homes, Inc., Series A, 9.750%, 03/15/12 (a) (x) | 2,838 | ||||||
Total Consumer Discretionary | 4,619 | |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
— | (h) | Eurofresh, Inc., ADR (a) (f) (i) | 56 | |||||
Financials — 0.3% |
| |||||||
Commercial Banks — 0.1% |
| |||||||
20 | CoBank ACB, 7.000%, 04/01/11 (e) (f) (i) (x) | 937 | ||||||
10 | CoBank ACB, Series C, 11.000%, 07/01/13 (e) (x) | 567 | ||||||
15 | CoBank ACB, Series D, 11.000%, 10/01/14 (f) (i) (x) | 847 | ||||||
2,351 | ||||||||
Consumer Finance — 0.2% |
| |||||||
3 | Ally Financial, Inc., 7.000%, 12/31/11 (e) (x) | 3,027 | ||||||
14 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 390 | ||||||
3,417 | ||||||||
Total Financials | 5,768 | |||||||
Total Preferred Stocks | 10,443 | |||||||
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — 3.0% |
| ||||||
Consumer Discretionary — 1.3% |
| |||||||
Automobiles — 0.0% (g) |
| |||||||
Ford Motor Co., Tranche B1 Term Loan, | ||||||||
759 | VAR, 3.020%, 12/15/13 | 758 | ||||||
330 | VAR, 3.020%, 12/15/13 | 330 | ||||||
64 | VAR, 3.020%, 12/15/13 | 63 | ||||||
1,151 | ||||||||
Gaming — 0.5% |
| |||||||
2,050 | CCM Merger, Inc., Term Loan, 03/01/17^ | 2,076 | ||||||
CCM Merger, Inc., Term Loan B, | ||||||||
2,068 | VAR, 8.500%, 07/13/12 | 2,068 | ||||||
565 | VAR, 8.500%, 07/13/12 | 565 | ||||||
269 | VAR, 8.500%, 07/13/12 | 269 | ||||||
4,000 | Harrah’s Entertainment Operating Co., Inc., Term B-2 Loan, VAR, 3.303%, 01/28/15 | 3,707 | ||||||
29 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan A, VAR, 5.000%, 11/25/13 | 29 | ||||||
193 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan B, VAR, 5.000%, 11/25/13 | 192 | ||||||
427 | Isle of Capri Casinos, Inc., Initial Term Loan, VAR, 5.000%, 11/25/13 | 426 | ||||||
Sugarhouse HSP Gaming, Term Loan B, | ||||||||
4 | VAR, 11.250%, 09/23/14 | 4 | ||||||
53 | VAR, 11.250%, 09/23/14 | 54 | ||||||
551 | VAR, 11.250%, 09/23/14 | 560 | ||||||
9,950 | ||||||||
Media — 0.5% |
| |||||||
1,000 | Bresnan Communications, Term Loan B, VAR, 4.500%, 12/15/17 | 1,006 | ||||||
499 | Cengage Learning Acquisitions, Term Loan, VAR, 2.550%, 07/03/14 | 479 | ||||||
1,633 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.912%, 01/29/16 | 1,492 | ||||||
401 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 402 | ||||||
1,467 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 1,471 | ||||||
1,750 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 1,854 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
63 | VAR, 9.000%, 10/24/14 | 48 | ||||||
559 | VAR, 9.000%, 10/24/14 | 431 | ||||||
549 | VAR, 9.000%, 10/24/14 | 423 | ||||||
63 | VAR, 9.000%, 10/24/14 | 48 | ||||||
59 | VAR, 9.000%, 10/24/14 | 46 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 111 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Media — Continued |
| |||||||
441 | Univision Communications, Inc., Initial Term Loan, VAR, 2.512%, 09/29/14 | 428 | ||||||
Vertis, Inc., 1st Lien Term Loan, | ||||||||
2,621 | VAR, 11.750%, 12/20/15 | 2,621 | ||||||
129 | VAR, 11.750%, 12/20/15 | 129 | ||||||
10,878 | ||||||||
Specialty Retail — 0.1% |
| |||||||
739 | Claire’s Stores, Term Loan B, VAR, 5.000%, 05/29/14 | 719 | ||||||
725 | Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/11/18 | 726 | ||||||
Leslie’s Poolmart, Term Loan B, | ||||||||
373 | VAR, 6.000%, 11/21/16 | 377 | ||||||
2 | VAR, 6.000%, 11/21/16 | 2 | ||||||
1,824 | ||||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
Claire’s Stores, Term Loan B, | ||||||||
2,880 | VAR, 3.012%, 05/29/14 | 2,803 | ||||||
604 | VAR, 3.054%, 05/29/14 | 587 | ||||||
3,390 | ||||||||
Total Consumer Discretionary | 27,193 | |||||||
Consumer Staples — 0.1% |
| |||||||
Food Products — 0.0% (g) |
| |||||||
Bolthouse Farms, 1st Lien Term Loan, | ||||||||
143 | VAR, 5.500%, 02/11/16 | 144 | ||||||
1 | VAR, 5.750%, 02/11/16 | — | (h) | |||||
144 | ||||||||
Household Products — 0.0% (g) |
| |||||||
750 | Spectrum Brands, 1st Term Loan, 06/01/16^ | 757 | ||||||
Personal Products — 0.1% |
| |||||||
500 | NBTY, Inc., 1st Lien Term Loan, 10/01/17^ | 502 | ||||||
715 | NBTY, Inc., Term Loan B, VAR, 6.250%, 09/21/16 | 722 | ||||||
1,224 | ||||||||
Total Consumer Staples | 2,125 | |||||||
Energy — 0.0% (g) |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
275 | Equipower Resource Holdings, 1st Lien Term Loan, VAR, 5.750%, 01/26/18 | 277 | ||||||
Oil, Gas & Consumable Fuels — 0.0% (g) |
| |||||||
300 | Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16 | 304 | ||||||
Total Energy | 581 | |||||||
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Financials — 0.6% |
| |||||||
Capital Markets — 0.1% |
| |||||||
2,220 | Pinafore LLC, Term Loan B1, VAR, 4.250%, 09/29/16 | 2,232 | ||||||
Consumer Finance — 0.0% (g) |
| |||||||
450 | American General Finance Corp., Term Loan B, VAR, 7.250%, 04/21/15 | 454 | ||||||
Diversified Financial Services — 0.5% |
| |||||||
11,427 | Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d) | 5,675 | ||||||
850 | Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d) | 419 | ||||||
Clarke American Corp., Term Loan B, | ||||||||
563 | VAR, 2.762%, 06/30/14 | 536 | ||||||
410 | VAR, 2.762%, 06/30/14 | 390 | ||||||
769 | VAR, 2.803%, 06/30/14 | 731 | ||||||
895 | VAR, 2.803%, 06/30/14 | 851 | ||||||
340 | VAR, 2.803%, 06/30/14 | 324 | ||||||
8,926 | ||||||||
Insurance — 0.0% (g) |
| |||||||
89 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/04/14 | 90 | ||||||
Thrift & Mortgage Finance — 0.0% (g) |
| |||||||
38 | Ocwen Financial Corp., Initial Term Loan, VAR, 9.000%, 07/29/15 | 37 | ||||||
Total Financials | 11,739 | |||||||
Health Care — 0.0% (g) |
| |||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
175 | Inventive Health, Term Loan, 08/04/16^ | 176 | ||||||
Pharmaceuticals — 0.0% (g) |
| |||||||
Axcan Intermediate Holdings, Inc., Term Loan, | ||||||||
214 | VAR, 5.500%, 02/10/17 | 214 | ||||||
37 | VAR, 5.500%, 02/10/17 | 36 | ||||||
250 | ||||||||
Total Health Care | 426 | |||||||
Industrials — 0.4% |
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
2,000 | Ozborn-Hessey Logistics, 2nd Lien Term Loan, VAR, 10.500%, 10/16/16 | 2,030 | ||||||
Airlines — 0.1% |
| |||||||
Delta Airlines, Inc., 1st Lien Credit Linked Deposit, | ||||||||
143 | VAR, 0.094%, 04/30/12 | 139 | ||||||
827 | VAR, 2.264%, 04/30/12 | 802 | ||||||
941 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
112 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Building Products — 0.1% |
| |||||||
290 | Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.203%, 02/07/14 | 245 | ||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||
5 | VAR, 2.533%, 02/07/14 | 4 | ||||||
2,507 | VAR, 2.554%, 02/07/14 | 2,119 | ||||||
2,368 | ||||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
425 | Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16 | 429 | ||||||
Electrical Equipment — 0.1% |
| |||||||
25 | Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16 | 24 | ||||||
395 | Electrical Components International, Inc., Term Loan, VAR, 6.750%, 01/25/17 | 396 | ||||||
Generac Power Systems, Term Loan, | ||||||||
203 | VAR, 2.760%, 11/10/13 | 203 | ||||||
1,145 | VAR, 2.803%, 11/10/13 | 1,142 | ||||||
1,765 | ||||||||
Road & Rail — 0.0% (g) |
| |||||||
472 | Swift Transportation Co., Term Loan, VAR, 6.000%, 12/21/16 | 474 | ||||||
Total Industrials | 8,007 | |||||||
Information Technology — 0.2% |
| |||||||
Communications Equipment — 0.0% (g) |
| |||||||
400 | Syniverse Holdings, Inc., Term Loan B, VAR, 5.250%, 12/22/17 | 404 | ||||||
Internet Software & Services — 0.0% (g) |
| |||||||
Savvis Communications Corp., Term Loan B, | ||||||||
495 | VAR, 6.750%, 08/04/16 | 500 | ||||||
3 | VAR, 6.750%, 08/04/16 | 3 | ||||||
503 | ||||||||
IT Services — 0.2% |
| |||||||
891 | CompuCom Systems, Term Loan, VAR, 3.770%, 08/23/14 (f) (i) | 867 | ||||||
998 | EVERTEC, Inc., Term Loan B, VAR, 7.000%, 09/30/16 | 1,006 | ||||||
812 | First Data Corp., Initial Tranche B-1, VAR, 3.012%, 09/24/14 | 767 | ||||||
559 | First Data Corp., Initial Tranche B-3, VAR, 3.011%, 09/24/14 | 528 | ||||||
3,168 | ||||||||
Total Information Technology | 4,075 | |||||||
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Materials — 0.1% |
| |||||||
Chemicals — 0.1% |
| |||||||
272 | AZ Chem U.S., Inc., Term Loan, VAR, 6.750%, 11/18/16 | 275 | ||||||
1,420 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.553%, 05/15/14 | 1,415 | ||||||
300 | Nexeo Solutions, Initial Term Loan, 07/31/17^ | 301 | ||||||
Styron, 1st Lien Term Loan, | ||||||||
539 | VAR, 6.000%, 07/31/17 | 543 | ||||||
1 | VAR, 6.000%, 07/31/17 | 2 | ||||||
475 | Univar Inc., Term Loan B, 06/01/17^ | 477 | ||||||
Total Materials | 3,013 | |||||||
Utilities — 0.3% |
| |||||||
Independent Power Producers & Energy Traders — 0.3% |
| |||||||
1,481 | New Development Holdings LLC, Term Loan, VAR, 7.000%, 07/03/17 | 1,495 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | ||||||||
965 | VAR, 3.764%, 10/10/14 | 812 | ||||||
1,360 | VAR, 3.803%, 10/10/14 | 1,144 | ||||||
94 | VAR, 3.803%, 10/10/14 | 79 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, | ||||||||
1,887 | VAR, 3.764%, 10/10/14 | 1,584 | ||||||
77 | VAR, 3.803%, 10/10/14 | 65 | ||||||
21 | VAR, 3.803%, 10/10/14 | 17 | ||||||
Total Utilities | 5,196 | |||||||
Total Loan Participations & Assignments | 62,355 | |||||||
| Short-Term Investment — 7.0% |
| ||||||
Investment Company — 7.0% |
| |||||||
145,512 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) | 145,512 | ||||||
Total Investments —100.6% | 2,078,883 | |||||||
Liabilities in Excess of | (11,669 | ) | ||||||
NET ASSETS — 100.0% | $ | 2,067,214 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 113 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amount in thousands, except number of contracts)
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 02/28/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
9 | 10 Year U.S. Treasury Note | 06/21/11 | 1,071 | — | (h) | |||||||||||
6 | 30 Year U.S. Treasury Bond | 06/21/11 | 722 | 1 | ||||||||||||
2 | 2 Year U.S. Treasury Note | 06/30/11 | 437 | — | (h) | |||||||||||
Short Futures Outstanding | ||||||||||||||||
(2 | ) | 5 Year U.S. Treasury Note | 06/30/11 | (234 | ) | — | (h) | |||||||||
1 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
CONTRACTS TO BUY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 02/28/11 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
5,000,000 | RUB | Deutsche Bank AG | 03/10/11 | 172 | 173 | 1 | ||||||||||||||||||
2,290,000 | ZAR | Citibank, N.A. | 03/16/11 | 313 | 328 | 15 | ||||||||||||||||||
100,000 | ZAR | Deutsche Bank AG | 03/16/11 | 14 | 14 | — | (h) | |||||||||||||||||
499 | 515 | 16 | ||||||||||||||||||||||
CONTRACTS TO SELL | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 02/28/11 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||||
2,025,000 | ZAR | Barclays Bank plc | 03/16/11 | 292 | 290 | 2 | ||||||||||||||||||
365,000 | ZAR | Deutsche Bank AG | 03/16/11 | 54 | 52 | 2 | ||||||||||||||||||
346 | 342 | 4 | ||||||||||||||||||||||
Credit Default Swap—Sell Protection [1]
Corporate Issuer:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND RECEIVES FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT SPREAD AS OF 2/28/11 [2] | NOTIONAL AMOUNT [3] | VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [4] | ||||||||||||||||
Goldman Sachs Capital Management: | ||||||||||||||||||||||
FSA Global Funding Ltd, 6.110%, 06/29/15 | 1.950% quarterly | 3/20/2013 | 4.841 | % | 1,000 | (51 | ) | — |
[1] | The Fund, as a seller of credit protection, receives periodic payments and any upfront premium from the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[2] | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occuring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater liklihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
[3] | The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event. |
[4] | Upfront premiums generally related to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
SEE NOTES TO FINANCIAL STATEMENTS.
114 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 41.6% |
| ||||||
Agency CMO — 41.6% |
| |||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
113 | Series 1343, Class LA, 8.000%, 08/15/22 | 132 | ||||||
754 | Series 1367, Class K, 5.500%, 09/15/22 | 816 | ||||||
146 | Series 1591, Class E, 10.000%, 10/15/23 | 162 | ||||||
1,264 | Series 1633, Class Z, 6.500%, 12/15/23 | 1,361 | ||||||
1,681 | Series 1694, Class PK, 6.500%, 03/15/24 | 1,815 | ||||||
7,106 | Series 1785, Class A, 6.000%, 10/15/23 | 7,343 | ||||||
388 | Series 1999, Class PU, 7.000%, 10/15/27 | 440 | ||||||
704 | Series 2031, Class PG, 7.000%, 02/15/28 | 783 | ||||||
1,946 | Series 2035, Class PC, 6.950%, 03/15/28 | 1,975 | ||||||
1,623 | Series 2064, Class PD, 6.500%, 06/15/28 (m) | 1,673 | ||||||
1,452 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,594 | ||||||
502 | Series 2152, Class BD, 6.500%, 05/15/29 | 545 | ||||||
3,185 | Series 2162, Class TH, 6.000%, 06/15/29 | 3,496 | ||||||
256 | Series 2345, Class PQ, 6.500%, 08/15/16 | 272 | ||||||
1,500 | Series 2367, Class ME, 6.500%, 10/15/31 | 1,638 | ||||||
3,847 | Series 2480, Class EJ, 6.000%, 08/15/32 | 4,199 | ||||||
6,000 | Series 2562, Class PG, 5.000%, 01/15/18 | 6,437 | ||||||
3,266 | Series 2571, Class PV, 5.500%, 01/15/14 | 3,455 | ||||||
3,609 | Series 2580, Class QM, 5.000%, 10/15/31 | 3,724 | ||||||
2,944 | Series 2611, Class QZ, 5.000%, 05/15/33 | 3,043 | ||||||
6,025 | Series 2630, Class KS, 4.000%, 01/15/17 | 6,176 | ||||||
752 | Series 2647, Class A, 3.250%, 04/15/32 | 768 | ||||||
4,334 | Series 2651, Class VZ, 4.500%, 07/15/18 | 4,593 | ||||||
9,000 | Series 2656, Class BG, 5.000%, 10/15/32 | 9,622 | ||||||
10,000 | Series 2684, Class PD, 5.000%, 03/15/29 | 10,164 | ||||||
2,500 | Series 2688, Class DG, 4.500%, 10/15/23 | 2,622 | ||||||
8,588 | Series 2727, Class PE, 4.500%, 07/15/32 | 9,054 | ||||||
3,890 | Series 2749, Class TD, 5.000%, 06/15/21 | 4,009 | ||||||
6,000 | Series 2773, Class TB, 4.000%, 04/15/19 | 6,243 | ||||||
3,847 | Series 2780, Class TD, 5.000%, 04/15/28 | 3,883 | ||||||
7,450 | Series 2841, Class AT, 4.000%, 08/15/19 | 7,743 | ||||||
2,781 | Series 2882, Class QD, 4.500%, 07/15/34 | 2,923 | ||||||
6,342 | Series 2915, Class MU, 5.000%, 01/15/35 | 6,553 | ||||||
3,968 | Series 2927, Class GA, 5.500%, 10/15/34 | 4,343 | ||||||
2,291 | Series 2929, Class PC, 5.000%, 01/15/28 | 2,311 | ||||||
5,500 | Series 2931, Class QD, 4.500%, 02/15/20 | 5,855 | ||||||
10,212 | Series 2976, Class HP, 4.500%, 01/15/33 | 10,696 | ||||||
10,600 | Series 3036, Class ND, 5.000%, 05/15/34 (m) | 11,179 | ||||||
3,520 | Series 3045, Class HN, 4.500%, 09/15/33 | 3,690 | ||||||
2,609 | Series 3085, Class VS, HB, IF, 27.657%, 12/15/35 | 3,808 | ||||||
4,446 | Series 3114, Class KB, 5.000%, 09/15/27 | 4,519 | ||||||
5,846 | Series 3181, Class OP, PO, 07/15/36 | 5,055 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
4,500 | Series 3188, Class GE, 6.000%, 07/15/26 | 4,768 | ||||||
17,602 | Series 3325, Class JL, 5.500%, 06/15/37 | 19,091 | ||||||
6,000 | Series 3341, Class PE, 6.000%, 07/15/37 | 6,541 | ||||||
7,000 | Series 3413, Class B, 5.500%, 04/15/37 | 7,075 | ||||||
6,000 | Series 3544, Class PC, 5.000%, 05/15/37 | 6,258 | ||||||
4,000 | Series 3699, Class QH, 5.500%, 07/15/40 | 4,279 | ||||||
28,366 | Series 3737, Class DG, 5.000%, 10/15/30 | 30,273 | ||||||
7,000 | Series 3798, Class AY, 3.500%, 01/15/26 | 6,405 | ||||||
5,000 | Series 3809, Class BC, 3.500%, 02/15/26 | 4,650 | ||||||
107 | Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23 | 20 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
2,659 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 3,002 | ||||||
3,071 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,550 | ||||||
1,251 | Series T-56, Class APO, PO, 05/25/43 (f) (i) | 864 | ||||||
1,899 | Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 2,095 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
3,919 | Series 278, Class 1, VAR, 1.302%, 08/01/25 | 3,642 | ||||||
1,675 | Series 278, Class 3, VAR, 1.285%, 11/01/23 | 1,544 | ||||||
2,684 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 239 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
149 | Series 1988-16, Class B, 9.500%, 06/25/18 (m) | 168 | ||||||
82 | Series 1990-57, Class J, 7.000%, 05/25/20 (m) | 87 | ||||||
351 | Series 1993-110, Class H, 6.500%, 05/25/23 | 405 | ||||||
273 | Series 1993-146, Class E, PO, 05/25/23 | 243 | ||||||
4,740 | Series 1993-155, Class PJ, 7.000%, 09/25/23 | 5,260 | ||||||
52 | Series 1993-205, Class H, PO, 09/25/23 | 44 | ||||||
75 | Series 1993-217, Class H, PO, 08/25/23 | 64 | ||||||
58 | Series 1993-228, Class G, PO, 09/25/23 | 50 | ||||||
1,637 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,847 | ||||||
3,015 | Series 1994-43, Class PJ, 6.350%, 12/25/23 | 3,070 | ||||||
5,831 | Series 1994-51, Class PV, 6.000%, 03/25/24 | 6,402 | ||||||
1,742 | Series 1994-62, Class PJ, 7.000%, 01/25/24 | 1,774 | ||||||
3,198 | Series 1998-58, Class PC, 6.500%, 10/25/28 | 3,497 | ||||||
580 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 652 | ||||||
2,078 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 400 | ||||||
726 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 777 | ||||||
1,216 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 1,295 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 115 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued | |||||||
Agency CMO — Continued |
| |||||||
6,502 | Series 2002-73, Class OE, 5.000%, 11/25/17 | 6,969 | ||||||
2,047 | Series 2002-92, Class FB, VAR, 0.912%, 04/25/30 | 2,064 | ||||||
7,162 | Series 2003-21, Class PZ, 4.500%, 03/25/33 | 7,255 | ||||||
7,001 | Series 2003-35, Class MD, 5.000%, 11/25/16 | 7,098 | ||||||
703 | Series 2003-67, Class SA, HB, IF, 43.800%, 10/25/31 | 1,335 | ||||||
5,000 | Series 2003-74, Class VL, 5.500%, 11/25/22 | 5,425 | ||||||
20,000 | Series 2003-81, Class MC, 5.000%, 12/25/32 (m) | 21,337 | ||||||
5,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 5,323 | ||||||
10,000 | Series 2003-128, Class DY, 4.500%, 01/25/24 (m) | 10,526 | ||||||
16,000 | Series 2004-7, Class JK, 4.000%, 02/25/19 | 16,796 | ||||||
3,935 | Series 2004-46, Class QD, HB, IF, 22.954%, 03/25/34 | 5,422 | ||||||
4,385 | Series 2004-54, Class FL, VAR, 0.662%, 07/25/34 | 4,407 | ||||||
8,511 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 9,206 | ||||||
2,355 | Series 2005-16, Class LC, 5.500%, 05/25/28 | 2,393 | ||||||
7,805 | Series 2005-22, Class EH, 5.000%, 04/25/35 | 8,070 | ||||||
2,944 | Series 2005-29, Class AK, 4.500%, 04/25/35 | 3,097 | ||||||
5,693 | Series 2005-58, Class EP, 5.500%, 07/25/35 | 6,247 | ||||||
7,000 | Series 2005-62, Class DX, 5.000%, 05/25/34 | 7,432 | ||||||
5,391 | Series 2005-83, Class LA, 5.500%, 10/25/35 | 5,914 | ||||||
5,498 | Series 2005-116, Class PC, 6.000%, 01/25/36 | 6,056 | ||||||
16,770 | Series 2006-3, Class SB, IF, IO, 6.438%, 07/25/35 | 2,631 | ||||||
29,157 | Series 2006-51, Class FP, VAR, 0.611%, 03/25/36 | 29,127 | ||||||
1,309 | Series 2006-69, Class SP, IF, 14.460%, 05/25/30 | 1,477 | ||||||
433 | Series 2006-81, Class FA, VAR, 0.611%, 09/25/36 | 434 | ||||||
5,853 | Series 2006-110, Class PO, PO, 11/25/36 | 5,109 | ||||||
7,773 | Series 2007-76, Class PE, 6.000%, 08/25/37 | 8,418 | ||||||
1,920 | Series 2009-89, Class A1, 5.410%, 05/25/35 | 2,123 | ||||||
1,983 | Series 2010-4, Class SL, IF, 10.999%, 02/25/40 | 1,977 | ||||||
7,518 | Series 2010-11, Class CB, 4.500%, 02/25/40 | 7,195 | ||||||
6,000 | Series 2010-47, Class MB, 5.000%, 09/25/39 | 6,185 | ||||||
4,274 | Series 2010-155, Class B, 3.500%, 01/25/26 | 3,819 | ||||||
30 | Series G92-35, Class EB, 7.500%, 07/25/22 | 33 | ||||||
333 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 406 | ||||||
Federal National Mortgage Association Whole Loan, |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
506 | Series 1999-W4, Class A9, 6.250%, 02/25/29 | 539 | ||||||
3,958 | Series 2002-W7, Class A4, 6.000%, 06/25/29 | 4,360 | ||||||
1,416 | Series 2003-W1, Class 1A1, VAR, 6.500%, 12/25/42 | 1,633 | ||||||
676 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 772 | ||||||
5,719 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 6,169 | ||||||
5,283 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 6,096 | ||||||
5,336 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 5,877 | ||||||
Government National Mortgage Association, | ||||||||
887 | Series 1998-22, Class PD, 6.500%, 09/20/28 | 966 | ||||||
509 | Series 1999-17, Class L, 6.000%, 05/20/29 | 554 | ||||||
5,138 | Series 2001-10, Class PE, 6.500%, 03/16/31 | 5,686 | ||||||
5,838 | Series 2001-64, Class PB, 6.500%, 12/20/31 | 6,352 | ||||||
47,272 | Series 2003-59, Class XA, IO, VAR, 1.768%, 06/16/34 | 2,269 | ||||||
3,285 | Series 2004-27, Class PD, 5.500%, 04/20/34 | 3,546 | ||||||
2,375 | Series 2004-62, Class VA, 5.500%, 07/20/15 | 2,516 | ||||||
14,079 | Series 2005-28, Class AJ, 5.500%, 04/20/35 | 15,251 | ||||||
13,616 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 2,241 | ||||||
28,693 | Series 2009-42, Class TX, 4.500%, 06/20/39 | 28,774 | ||||||
8,884 | Series 2009-52, Class MA, 5.000%, 11/20/36 | 9,421 | ||||||
4,752 | Series 2009-69, Class WM, 5.500%, 08/20/39 | 5,038 | ||||||
Total Collateralized Mortgage Obligations | 620,409 | |||||||
| Mortgage Pass-Through Securities — 7.4% | |||||||
Federal Home Loan Mortgage Corp., | ||||||||
282 | ARM, 2.360%, 01/01/27 | 294 | ||||||
33 | ARM, 2.528%, 04/01/30 | 35 | ||||||
22 | ARM, 2.821%, 02/01/19 | 23 | ||||||
15 | ARM, 2.907%, 07/01/30 | 15 | ||||||
101 | ARM, 3.152%, 08/01/18 | 105 | ||||||
38 | ARM, 3.159%, 03/01/18 | 39 | ||||||
4 | ARM, 3.394%, 01/01/20 | 4 | ||||||
45 | ARM, 3.500%, 06/01/18 | 45 | ||||||
132 | ARM, 3.564%, 01/01/21 | 133 | ||||||
68 | ARM, 3.742%, 11/01/18 | 69 | ||||||
3,356 | ARM, 5.996%, 03/01/37 | 3,547 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
614 | 5.000%, 12/01/13 - 12/01/16 | 652 | ||||||
507 | 6.000%, 04/01/14 | 552 |
SEE NOTES TO FINANCIAL STATEMENTS.
116 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
722 | 6.500%, 12/01/12 - 06/01/14 | 765 | ||||||
— | (h) | 7.000%, 12/01/14 | — | (h) | ||||
1,695 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24 | 1,787 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
1,988 | 5.500%, 11/01/33 | 2,143 | ||||||
388 | 6.000%, 02/01/32 | 427 | ||||||
1,522 | 6.500%, 01/01/24 - 07/01/29 | 1,723 | ||||||
1,710 | 7.000%, 08/01/25 - 09/01/29 (m) | 1,980 | ||||||
100 | 7.500%, 09/01/24 - 08/01/25 | 116 | ||||||
124 | 8.000%, 11/01/24 - 09/01/25 | 146 | ||||||
244 | 8.500%, 05/01/24 - 07/01/28 | 290 | ||||||
7 | 9.000%, 10/01/17 - 11/01/21 | 8 | ||||||
— | (h) | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
312 | ARM, 2.758%, 07/01/17 - 08/01/41 | 317 | ||||||
173 | ARM, 2.875%, 08/01/30 | 177 | ||||||
120 | ARM, 2.930%, 11/01/40 | 124 | ||||||
45 | ARM, 2.964%, 06/01/20 | 46 | ||||||
54 | ARM, 2.966%, 06/01/29 | 55 | ||||||
58 | ARM, 3.000%, 06/01/17 - 09/01/17 | 59 | ||||||
7 | ARM, 3.154%, 07/01/27 | 7 | ||||||
104 | ARM, 3.225%, 09/01/14 | 104 | ||||||
56 | ARM, 3.372%, 10/01/14 | 56 | ||||||
211 | ARM, 3.375%, 06/01/15 - 01/01/29 | 216 | ||||||
23 | ARM, 3.434%, 10/01/16 | 24 | ||||||
10 | ARM, 3.575%, 11/01/16 | 10 | ||||||
124 | ARM, 3.714%, 09/01/27 | 123 | ||||||
205 | ARM, 3.778%, 08/01/19 | 215 | ||||||
40 | ARM, 3.825%, 08/01/19 | 41 | ||||||
30 | ARM, 5.921%, 04/01/19 | 31 | ||||||
22 | ARM, 6.000%, 12/01/18 | 23 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
15,911 | 4.000%, 04/01/19 - 09/01/25 | 16,418 | ||||||
3,190 | 4.500%, 03/01/19 | 3,378 | ||||||
2,323 | 5.500%, 11/01/16 - 03/01/18 | 2,512 | ||||||
148 | 6.000%, 04/01/13 - 08/01/14 | 157 | ||||||
55 | 8.000%, 11/01/12 | 57 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,547 | 5.000%, 11/01/23 | 1,649 | ||||||
1,924 | 6.000%, 03/01/22 | 2,126 | ||||||
73 | 7.500%, 06/01/14 - 07/01/14 | 81 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
3,607 | 4.500%, 03/01/38 | 3,681 | ||||||
5,783 | 5.000%, 11/01/33 | 6,155 | ||||||
36,723 | 5.500%, 02/01/29 - 05/01/36 (m) | 39,676 | ||||||
5,077 | 6.000%, 07/01/36 | 5,617 | ||||||
1,005 | 6.500%, 06/01/26 - 04/01/32 | 1,138 | ||||||
5,978 | 7.000%, 02/01/24 - 03/01/35 | 6,895 | ||||||
230 | 7.500%, 03/01/30 - 04/01/30 | 266 | ||||||
201 | 10.000%, 10/01/16 - 11/01/21 | 222 | ||||||
173 | Federal National Mortgage Association, Other, 6.000%, 09/01/28 | 191 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
389 | 8.000%, 11/20/26 - 11/20/27 | 454 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
59 | 6.000%, 10/15/23 | 65 | ||||||
1,285 | 6.500%, 05/15/23 - 02/15/24 (m) | 1,460 | ||||||
493 | 7.000%, 12/15/22 - 06/15/28 | 566 | ||||||
608 | 7.500%, 02/15/22 - 02/15/28 | 704 | ||||||
268 | 8.000%, 07/15/22 - 08/15/26 | 313 | ||||||
622 | 9.000%, 06/15/16 - 11/15/24 | 727 | ||||||
35 | 9.500%, 08/15/16 - 12/15/20 | 39 | ||||||
Total Mortgage Pass-Through Securities | 111,073 | |||||||
| U.S. Government Agency Securities — 16.6% |
| ||||||
12,824 | Federal Farm Credit Bank, 5.750%, 12/07/28 | 14,371 | ||||||
Federal National Mortgage Association, | ||||||||
25,000 | Zero Coupon, 10/09/19 | 16,679 | ||||||
10,000 | 6.250%, 05/15/29 | 11,988 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
34,750 | 11/15/20 | 23,100 | ||||||
8,000 | 05/15/23 | 4,572 | ||||||
9,200 | 05/29/26 | 4,398 | ||||||
26,153 | Financing Corp., Principal STRIPS, 12/06/18 | 19,999 | ||||||
Residual Funding Corp., Principal STRIPS, | ||||||||
34,520 | 10/15/19 | 25,446 | ||||||
90,500 | 07/15/20 | 63,389 | ||||||
10,000 | 01/15/30 | 4,066 | ||||||
5,000 | 04/15/30 | 2,006 | ||||||
Resolution Funding Corp. Interest STRIPS, | ||||||||
50,000 | 07/15/20 | 34,850 | ||||||
15,000 | 04/15/28 | 6,511 | ||||||
14,740 | Tennessee Valley Authority Principal STRIPS, 12/15/17 | 11,597 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 117 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
4,500 | Tennessee Valley Authority STRIPS, 07/15/16 | 3,809 | ||||||
Total U.S. Government Agency Securities | 246,781 | |||||||
| U.S. Treasury Obligations — 22.9% |
| ||||||
U.S. Treasury Bonds, | ||||||||
20,000 | 5.250%, 11/15/28 | 22,644 | ||||||
20,000 | 5.250%, 02/15/29 | 22,650 | ||||||
2,500 | 7.125%, 02/15/23 | 3,333 | ||||||
13,140 | 7.250%, 05/15/16 | 16,432 | ||||||
3,935 | 7.250%, 08/15/22 | 5,284 | ||||||
3,635 | 8.000%, 11/15/21 | 5,102 | ||||||
3,190 | 8.875%, 08/15/17 | 4,389 | ||||||
1,020 | 9.000%, 11/15/18 | 1,456 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
25,000 | 1.375%, 07/15/18 | 27,028 | ||||||
1,450 | 1.625%, 01/15/15 | 1,802 | ||||||
U.S. Treasury Notes, | ||||||||
50,000 | 2.625%, 08/15/20 | 47,000 | ||||||
50,000 | 2.625%, 11/15/20 | 46,781 | ||||||
25,000 | 3.750%, 11/15/18 | 26,385 | ||||||
2,085 | 3.875%, 02/15/13 | 2,217 | ||||||
6,430 | 4.250%, 08/15/13 | 6,958 | ||||||
25,000 | 4.250%, 11/15/17 | 27,367 | ||||||
2,015 | 4.750%, 05/15/14 | 2,240 | ||||||
1,020 | 4.750%, 08/15/17 | 1,149 | ||||||
U.S. Treasury STRIPS, | ||||||||
5,845 | 02/15/15 | 5,465 | ||||||
1,655 | 05/15/15 | 1,533 | ||||||
1,900 | 08/15/15 | 1,745 | ||||||
600 | 08/15/15 | 550 | ||||||
8,810 | 11/15/15 | 7,998 | ||||||
1,190 | 05/15/16 | 1,056 | ||||||
72,500 | 05/15/20 | 52,701 | ||||||
Total U.S. Treasury Obligations | 341,265 | |||||||
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 7.8% |
| ||||||
Investment Company — 7.8% |
| |||||||
116,197 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 116,197 | ||||||
Total Investments —96.3% | 1,435,725 | |||||||
Other Assets in Excess of Liabilities — 3.7% | 54,530 | |||||||
NET ASSETS — 100.0% | $ | 1,490,255 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
118 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 0.1% |
| ||||||
460 | Countrywide Asset-Backed Certificates, | 28 | ||||||
GSAA Trust, | ||||||||
63 | Series 2005-15, Class 2A1, VAR, 0.352%, 01/25/36 | 63 | ||||||
230 | Series 2006-3, Class A1, VAR, 0.341%, 03/25/36 | 186 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
137 | Series 2004-2, Class B, VAR, 3.761%, 06/25/34 (e) (f) (i) | 27 | ||||||
112 | Series 2004-5, Class M6, VAR, 2.761%, 09/25/34 (f) (i) | 13 | ||||||
7,000 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 6,892 | ||||||
Total Asset-Backed Securities | 7,209 | |||||||
| Convertible Bond — 0.0% (g) |
| ||||||
Materials — 0.0% (g) |
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
1,839 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 2,335 | ||||||
| Corporate Bonds — 81.2% |
| ||||||
Consumer Discretionary — 21.4% |
| |||||||
Auto Components — 0.2% |
| |||||||
Affinia Group Holdings, Inc., | ||||||||
8,450 | 9.000%, 11/30/14 (m) | 8,619 | ||||||
3,947 | 10.750%, 08/15/16 (e) | 4,499 | ||||||
51 | ArvinMeritor, Inc., 8.750%, 03/01/12 | 54 | ||||||
4,850 | Exide Technologies, 8.625%, 02/01/18 (e) | 5,171 | ||||||
1,225 | Stoneridge, Inc., 9.500%, 10/15/17 (e) | 1,354 | ||||||
3,750 | Tenneco, Inc., 7.750%, 08/15/18 | 4,036 | ||||||
23,733 | ||||||||
Automobiles — 1.5% |
| |||||||
Ford Holdings LLC, | ||||||||
37,822 | 9.300%, 03/01/30 (m) | 45,309 | ||||||
7,750 | 9.375%, 03/01/20 | 8,927 | ||||||
Ford Motor Co., | ||||||||
325 | 7.500%, 08/01/26 | 340 | ||||||
4,545 | 7.750%, 06/15/43 | 4,710 | ||||||
3,425 | 8.900%, 01/15/32 | 4,027 | ||||||
3,529 | 9.215%, 09/15/21 | 4,072 | ||||||
6,228 | 9.980%, 02/15/47 | 7,547 | ||||||
Motors Liquidation Co., | ||||||||
50 | 1.500%, 06/01/49 | 382 | ||||||
973 | 5.250%, 03/06/32 | 7,520 | ||||||
953 | 6.250%, 07/15/33 | 7,486 |
PRINCIPAL AMOUNT ($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Automobiles — Continued |
| |||||||
10,255 | 6.750%, 05/01/28 (d) | 3,230 | ||||||
246 | 7.250%, 04/15/41 | 1,834 | ||||||
284 | 7.250%, 07/15/41 | 2,123 | ||||||
548 | 7.250%, 02/15/52 | 4,089 | ||||||
404 | 7.375%, 05/15/48 | 3,016 | ||||||
6,000 | 7.375%, 05/23/48 (d) | 1,890 | ||||||
47 | 7.375%, 10/01/51 | 348 | ||||||
9,300 | 7.400%, 09/01/25 (d) | 2,941 | ||||||
25,800 | 7.700%, 04/15/16 (d) | 8,191 | ||||||
12,550 | 8.100%, 06/15/24 (d) | 3,985 | ||||||
20,000 | 8.250%, 07/15/23 (d) | 6,400 | ||||||
34,006 | 8.375%, 07/15/33 (d) | 11,307 | ||||||
3,415 | VAR, 0.000%, 03/15/36 (d) | 598 | ||||||
3,000 | Navistar International Corp., 8.250%, 11/01/21 | 3,323 | ||||||
143,595 | ||||||||
Broadcasting & Cable TV — 3.0% |
| |||||||
Adelphia Communications Corp., | ||||||||
1,075 | 7.750%, 01/15/09 (d) | 16 | ||||||
1,450 | 8.125%, 07/15/03 (d) | 22 | ||||||
3,175 | 9.375%, 11/15/09 (d) | 48 | ||||||
3,500 | 10.875%, 10/01/10 (d) | 53 | ||||||
Cablevision Systems Corp., | ||||||||
5,110 | 8.000%, 04/15/20 | 5,570 | ||||||
3,075 | 8.625%, 09/15/17 | 3,444 | ||||||
16,275 | CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16 | 19,713 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
8,000 | 7.000%, 01/15/19 | 8,140 | ||||||
5,665 | 7.000%, 01/15/19 (e) | 5,750 | ||||||
21,925 | 7.250%, 10/30/17 | 23,021 | ||||||
3,045 | 7.875%, 04/30/18 | 3,251 | ||||||
13,906 | 8.125%, 04/30/20 | 15,001 | ||||||
41,203 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 43,572 | ||||||
6,150 | Charter Communications Operating LLC/Charter Communications Operating Capital, 10.875%, 09/15/14 (e) | 6,911 | ||||||
CSC Holdings LLC, | ||||||||
4,329 | 7.875%, 02/15/18 | 4,827 | ||||||
6,205 | 8.625%, 02/15/19 | 7,151 | ||||||
DISH DBS Corp., | ||||||||
4,120 | 7.000%, 10/01/13 | 4,429 | ||||||
2,000 | 7.125%, 02/01/16 | 2,135 | ||||||
10,840 | 7.875%, 09/01/19 | 11,748 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 119 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Broadcasting & Cable TV — Continued |
| |||||||
24,115 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 25,622 | ||||||
Sirius XM Radio, Inc., | ||||||||
7,494 | 8.750%, 04/01/15 (e) | 8,309 | ||||||
10,090 | 9.750%, 09/01/15 (e) | 11,415 | ||||||
18,940 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 20,313 | ||||||
9,570 | Videotron Ltee, (Canada), 6.875%, 01/15/14 (m) | 9,702 | ||||||
Virgin Media Finance plc, (United Kingdom), | ||||||||
12,275 | 8.375%, 10/15/19 | 13,917 | ||||||
12,555 | 9.125%, 08/15/16 | 13,402 | ||||||
17,217 | XM Satellite Radio, Inc., 13.000%, 08/01/13 (e) | 20,531 | ||||||
288,013 | ||||||||
Distributors — 0.3% |
| |||||||
30,055 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) | 29,755 | ||||||
Diversified Consumer Services — 0.8% |
| |||||||
3,000 | Carriage Services, Inc., 7.875%, 01/15/15 | 3,045 | ||||||
21,575 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m) | 21,629 | ||||||
6,075 | Mac-Gray Corp., 7.625%, 08/15/15 | 6,151 | ||||||
Service Corp. International, | ||||||||
925 | 6.750%, 04/01/15 | 978 | ||||||
3,000 | 6.750%, 04/01/16 | 3,188 | ||||||
11,755 | 7.000%, 06/15/17 (m) | 12,519 | ||||||
6,630 | 7.000%, 05/15/19 | 6,845 | ||||||
3,850 | 7.625%, 10/01/18 | 4,187 | ||||||
4,000 | 8.000%, 11/15/21 | 4,380 | ||||||
Stewart Enterprises, Inc., | ||||||||
6,435 | 3.125%, 07/15/14 | 6,515 | ||||||
5,625 | 3.375%, 07/15/16 | 5,541 | ||||||
74,978 | ||||||||
Gaming — 3.4% |
| |||||||
Chukchansi Economic Development Authority, | ||||||||
13,768 | 8.000%, 11/15/13 (e) | 10,326 | ||||||
12,450 | VAR, 3.943%, 11/15/12 (e) | 9,369 | ||||||
CityCenter Holdings LLC/CityCenter Finance Corp., | ||||||||
12,175 | 7.625%, 01/15/16 (e) | 12,693 | ||||||
25,720 | PIK, 11.500%, 01/15/17 (e) | 26,877 | ||||||
2,575 | FireKeepers Development Authority, 13.875%, 05/01/15 (e) | 3,067 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Gaming — Continued |
| |||||||
17,550 | Harrah’s Operating Co., Inc., 11.250%, 06/01/17 | 19,919 | ||||||
16,388 | Isle of Capri Casinos, Inc., 7.000%, 03/01/14 (m) | 16,244 | ||||||
7,500 | Mandalay Resort Group, 7.625%, 07/15/13 | 7,444 | ||||||
Mashantucket Western Pequot Tribe, | ||||||||
3,982 | 5.912%, 09/01/21 (d) (e) | 1,808 | ||||||
9,770 | 8.500%, 11/15/15 (d) (e) | 977 | ||||||
11,725 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 13,484 | ||||||
MGM Resorts International, | ||||||||
1,671 | 5.875%, 02/27/14 | 1,600 | ||||||
57 | 6.625%, 07/15/15 | 54 | ||||||
7,340 | 7.500%, 06/01/16 | 7,065 | ||||||
10,020 | 7.625%, 01/15/17 | 9,607 | ||||||
5,000 | 9.000%, 03/15/20 (e) | 5,462 | ||||||
20,375 | 10.000%, 11/01/16 (e) | 21,648 | ||||||
3,850 | 10.375%, 05/15/14 | 4,312 | ||||||
1,500 | 11.125%, 11/15/17 | 1,729 | ||||||
16,400 | 11.375%, 03/01/18 | 18,614 | ||||||
4,600 | 13.000%, 11/15/13 | 5,509 | ||||||
Peninsula Gaming LLC, | ||||||||
12,630 | 8.375%, 08/15/15 (e) | 13,545 | ||||||
15,265 | 10.750%, 08/15/17 (e) | 16,868 | ||||||
Pinnacle Entertainment, Inc., | ||||||||
4,212 | 8.625%, 08/01/17 | 4,623 | ||||||
3,850 | 8.750%, 05/15/20 | 4,105 | ||||||
San Pasqual Casino, | ||||||||
11,459 | 8.000%, 09/15/13 (e) | 11,488 | ||||||
17,800 | Seminole Hard Rock Entertainment, Inc., VAR, 2.802%, 03/15/14 (e) | 17,355 | ||||||
3,600 | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e) | 3,820 | ||||||
9,085 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 9,403 | ||||||
16,700 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m) | 11,356 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
10,250 | 7.750%, 08/15/20 | 10,839 | ||||||
1,250 | 7.875%, 11/01/17 | 1,335 | ||||||
16,251 | 7.875%, 05/01/20 | 17,226 | ||||||
319,771 | ||||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
11,800 | AMC Entertainment, Inc., 8.750%, 06/01/19 (m) | 12,670 |
SEE NOTES TO FINANCIAL STATEMENTS.
120 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Hotels, Restaurants & Leisure — Continued |
| |||||||
43,112 | Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN, VAR, 2.016%, 11/15/15 (e) | 41,481 | ||||||
2,150 | Burger King Corp., 9.875%, 10/15/18 | 2,295 | ||||||
6,650 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 9.125%, 08/01/18 (e) | 7,249 | ||||||
4,500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 4,905 | ||||||
23,200 | CKE Restaurants, Inc., 11.375%, 07/15/18 | 26,042 | ||||||
8,693 | Dave & Buster’s, Inc., 11.000%, 06/01/18 | 9,736 | ||||||
7,670 | DineEquity, Inc., 9.500%, 10/30/18 (e) | 8,303 | ||||||
4,750 | Dunkin Finance Corp., 9.625%, 12/01/18 (e) | 4,809 | ||||||
Host Hotels & Resorts LP, | ||||||||
1,050 | 6.875%, 11/01/14 | 1,087 | ||||||
397 | 7.125%, 11/01/13 | 402 | ||||||
5,000 | 9.000%, 05/15/17 | 5,613 | ||||||
4,415 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 4,382 | ||||||
Landry’s Restaurants, Inc., | ||||||||
20,173 | 11.625%, 12/01/15 (e) | 21,888 | ||||||
2,550 | O’Charley’s, Inc., 9.000%, 11/01/13 | 2,591 | ||||||
3,250 | Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp., 8.875%, 04/15/17 (e) | 3,315 | ||||||
7,940 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 8,258 | ||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
1,000 | 7.000%, 06/15/13 | 1,072 | ||||||
6,666 | 7.250%, 06/15/16 | 7,166 | ||||||
11,820 | 11.875%, 07/15/15 (m) | 14,657 | ||||||
Speedway Motorsports, Inc., | ||||||||
2,250 | 6.750%, 02/01/19 (e) | 2,284 | ||||||
7,500 | 8.750%, 06/01/16 | 8,240 | ||||||
2,750 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 | 3,135 | ||||||
Universal City Development Partners Ltd./UCDP Finance, Inc., | ||||||||
4,150 | 8.875%, 11/15/15 | 4,534 | ||||||
15,415 | 10.875%, 11/15/16 | 17,303 | ||||||
6,101 | Wendy’s/Arby’s Restaurants LLC, 10.000%, 07/15/16 | 6,787 | ||||||
230,204 | ||||||||
Household Durables — 0.8% |
| |||||||
3,250 | American Standard Americas, 10.750%, 01/15/16 (e) | 3,453 | ||||||
353 | D.R. Horton, Inc., 5.625%, 09/15/14 | 367 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Durables — Continued |
| |||||||
19,535 | K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 21,171 | ||||||
Lennar Corp., | ||||||||
1,800 | 5.600%, 05/31/15 | 1,769 | ||||||
24,313 | 6.950%, 06/01/18 | 24,252 | ||||||
1,386 | M/I Homes, Inc., 8.625%, 11/15/18 (e) | 1,410 | ||||||
Standard Pacific Corp., | ||||||||
1,925 | 8.375%, 05/15/18 | 2,040 | ||||||
6,995 | 8.375%, 05/15/18 (e) | 7,415 | ||||||
14,250 | 8.375%, 01/15/21 (e) | 15,034 | ||||||
3,340 | 10.750%, 09/15/16 | 3,925 | ||||||
80,836 | ||||||||
Internet & Catalog Retail — 0.1% |
| |||||||
9,185 | Affinion Group, Inc., 7.875%, 12/15/18 (e) | 8,795 | ||||||
Leisure Equipment & Products — 0.9% |
| |||||||
10,100 | Da-Lite Screen Co., Inc., 12.500%, 04/01/15 | 11,312 | ||||||
43,349 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 44,216 | ||||||
11,050 | FGI Holding Co., Inc., PIK, 11.250%, 10/01/15 (e) | 10,829 | ||||||
11,440 | Icon Health & Fitness, 11.875%, 10/15/16 (e) | 12,069 | ||||||
5,350 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 5,431 | ||||||
83,857 | ||||||||
Media — 4.5% |
| |||||||
12,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 12,570 | ||||||
4,150 | Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., 10.500%, 08/15/14 | 4,129 | ||||||
15,400 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 15,670 | ||||||
3,500 | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e) | 3,675 | ||||||
4,750 | Cengage Learning Acquisitions, Inc., 10.500%, 01/15/15 (e) | 4,928 | ||||||
28,915 | Clear Channel Communications, Inc., 9.000%, 03/01/21 (e) | 29,385 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
4,500 | 9.250%, 12/15/17 | 4,995 | ||||||
18,210 | 9.250%, 12/15/17 | 20,259 | ||||||
16,438 | DigitalGlobe, Inc., 10.500%, 05/01/14 | 18,678 | ||||||
4,485 | Entravision Communications Corp., 8.750%, 08/01/17 | 4,844 | ||||||
5,900 | Fisher Communications, Inc., 8.625%, 09/15/14 | 6,062 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 121 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
Gannett Co., Inc., | ||||||||
2,325 | 6.375%, 09/01/15 (e) | 2,418 | ||||||
4,510 | 7.125%, 09/01/18 (e) | 4,589 | ||||||
4,950 | 8.750%, 11/15/14 | 5,680 | ||||||
8,236 | 9.375%, 11/15/17 | 9,369 | ||||||
4,714 | 10.000%, 04/01/16 | 5,515 | ||||||
21,525 | Intelsat Intermediate Holding Co. S.A., (Luxembourg), SUB, 9.500%, 02/01/15 (m) | 22,251 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
8,640 | 7.250%, 10/15/20 (e) | 8,877 | ||||||
5,250 | 8.500%, 11/01/19 (e) | 5,762 | ||||||
12,725 | 11.250%, 06/15/16 | 13,616 | ||||||
54,939 | Intelsat Luxembourg S.A., (Luxembourg), PIK, 12.500%, 02/04/17 | 60,982 | ||||||
Intelsat Subsidiary Holding Co. S.A., (Bermuda), | ||||||||
7,250 | 8.875%, 01/15/15 | 7,468 | ||||||
6,240 | 8.875%, 01/15/15 (e) | 6,396 | ||||||
Lamar Media Corp., | ||||||||
1,175 | 6.625%, 08/15/15 | 1,204 | ||||||
1,147 | 6.625%, 08/15/15 | 1,173 | ||||||
1,000 | 7.875%, 04/15/18 | 1,075 | ||||||
925 | LBI Media, Inc., 8.500%, 08/01/17 (e) | 774 | ||||||
17,240 | McClatchy Co. (The), 11.500%, 02/15/17 | 19,567 | ||||||
22,525 | Media General, Inc., 11.750%, 02/15/17 | 24,890 | ||||||
6,950 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 7,471 | ||||||
Nexstar Broadcasting, Inc., | ||||||||
1,498 | 7.000%, 01/15/14 | 1,461 | ||||||
4,562 | PIK, 7.000%, 01/15/14 | 4,425 | ||||||
4,850 | Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 04/15/17 | 5,262 | ||||||
1,605 | Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc., SUB, 11.375%, 04/01/13 | 1,613 | ||||||
Nielsen Finance LLC/Nielsen Finance Co., | ||||||||
8,705 | 7.750%, 10/15/18 (e) | 9,412 | ||||||
2,466 | 11.500%, 05/01/16 | 2,904 | ||||||
5,880 | ProQuest LLC/ProQuest Notes Co., 9.000%, 10/15/18 (e) | 6,086 | ||||||
3,750 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 | 3,900 | ||||||
3,783 | Radio One, Inc., 12.500%, 05/24/16 (e) | 3,943 | ||||||
Sinclair Television Group, Inc., | ||||||||
1,000 | 8.375%, 10/15/18 (e) | 1,058 | ||||||
1,524 | 9.250%, 11/01/17 (e) | 1,722 | ||||||
13,862 | Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15 | 15,560 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
2,150 | Univision Communications, Inc., 8.500%, 05/15/21 (e) | 2,241 | ||||||
7,750 | Valassis Communications, Inc., 6.625%, 02/01/21 (e) | 7,653 | ||||||
WMG Acquisition Corp., | ||||||||
19,378 | 7.375%, 04/15/14 | 18,918 | ||||||
6,239 | 9.500%, 06/15/16 | 6,644 | ||||||
3,964 | WMG Holdings Corp., SUB, 9.500%, 12/15/14 | 3,994 | ||||||
431,068 | ||||||||
Multiline Retail — 0.9% |
| |||||||
11,445 | HSN, Inc., 11.250%, 08/01/16 | 13,062 | ||||||
QVC, Inc., | ||||||||
2,425 | 7.125%, 04/15/17 (e) | 2,589 | ||||||
2,425 | 7.375%, 10/15/20 (e) | 2,570 | ||||||
14,550 | 7.500%, 10/01/19 (e) | 15,532 | ||||||
53,650 | Sears Holdings Corp., 6.625%, 10/15/18 (e) | 52,309 | ||||||
86,062 | ||||||||
Specialty Retail — 2.4% |
| |||||||
9,150 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 9,836 | ||||||
4,118 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 (e) | 4,324 | ||||||
10,780 | Claire’s Escrow Corp., 8.875%, 03/15/19 (e) | 10,820 | ||||||
2,715 | Express LLC/Express Finance Corp., 8.750%, 03/01/18 | 2,922 | ||||||
24,097 | General Nutrition Centers, Inc., PIK, 5.750%, 03/15/14 | 24,052 | ||||||
11,600 | Giraffe Acquisition Corp., 9.125%, 12/01/18 (e) | 11,832 | ||||||
Michael’s Stores, Inc., | ||||||||
16,815 | 7.750%, 11/01/18 (e) | 17,361 | ||||||
12,665 | 11.375%, 11/01/16 | 13,837 | ||||||
48,074 | SUB, 0.000%, 11/01/16 | 48,915 | ||||||
10,165 | NBC Acquisition Corp., SUB, 11.000%, 03/15/13 | 4,574 | ||||||
Nebraska Book Co., Inc., | ||||||||
11,853 | 8.625%, 03/15/12 | 10,668 | ||||||
3,907 | 10.000%, 12/01/11 | 3,951 | ||||||
11,850 | Penske Auto Group, Inc., 7.750%, 12/15/16 (m) | 12,235 | ||||||
10,700 | PEP Boys - Manny, Moe & Jack, 7.500%, 12/15/14 (m) | 10,941 | ||||||
2,400 | Petco Animal Supplies, Inc., 9.250%, 12/01/18 (e) | 2,592 | ||||||
1,800 | Rent-A-Center, Inc., 6.625%, 11/15/20 (e) | 1,777 | ||||||
19,420 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 20,464 |
SEE NOTES TO FINANCIAL STATEMENTS.
122 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
9,950 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 10,821 | ||||||
6,138 | Toys R Us, Inc., 7.875%, 04/15/13 (m) | 6,568 | ||||||
228,490 | ||||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
2,805 | Broder Brothers Co., PIK, 12.000%, 10/15/13 (e) (f) (i) | 2,735 | ||||||
17,391 | Quiksilver, Inc., 6.875%, 04/15/15 (m) | 17,260 | ||||||
19,995 | ||||||||
Total Consumer Discretionary | 2,049,152 | |||||||
Consumer Staples — 3.6% |
| |||||||
Beverages — 0.3% |
| |||||||
Constellation Brands, Inc., | ||||||||
2,900 | 7.250%, 09/01/16 | 3,118 | ||||||
10,375 | 7.250%, 05/15/17 | 11,153 | ||||||
6,240 | 8.375%, 12/15/14 | 7,020 | ||||||
Cott Beverages, Inc., | ||||||||
1,120 | 8.125%, 09/01/18 | 1,205 | ||||||
1,000 | 8.375%, 11/15/17 | 1,078 | ||||||
23,574 | ||||||||
Food & Staples Retailing — 1.5% | ||||||||
22,665 | Ingles Markets, Inc., 8.875%, 05/15/17 (m) | 24,365 | ||||||
Rite Aid Corp., | ||||||||
24,990 | 7.500%, 03/01/17 (m) | 25,146 | ||||||
10,000 | 9.500%, 06/15/17 | 9,200 | ||||||
13,400 | 9.750%, 06/12/16 | 15,092 | ||||||
9,050 | 10.250%, 10/15/19 | 9,967 | ||||||
8,750 | 10.375%, 07/15/16 | 9,406 | ||||||
5,875 | Stater Brothers Holdings, 7.750%, 04/15/15 | 6,128 | ||||||
SUPERVALU, Inc., | ||||||||
13,000 | 7.500%, 11/15/14 | 13,032 | ||||||
33,850 | 8.000%, 05/01/16 | 33,681 | ||||||
146,017 | ||||||||
Food Products — 1.0% | ||||||||
13,510 | Blue Merger Sub, Inc., 7.625%, 02/15/19 (e) | 13,645 | ||||||
Chiquita Brands International, Inc., | ||||||||
5,272 | 7.500%, 11/01/14 (m) | 5,364 | ||||||
904 | 8.875%, 12/01/15 | 934 | ||||||
Dean Foods Co., | ||||||||
500 | 6.900%, 10/15/17 | 462 | ||||||
2,000 | 7.000%, 06/01/16 | 1,900 | ||||||
Dole Food Co., Inc., | ||||||||
350 | 8.000%, 10/01/16 (e) | 373 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — Continued | ||||||||
6,300 | 13.875%, 03/15/14 | 7,710 | ||||||
2,246 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 2,246 | ||||||
12,754 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 14,922 | ||||||
1,000 | Michael Foods, Inc., 9.750%, 07/15/18 (e) | 1,095 | ||||||
7,045 | Pilgrim’s Pride Corp., 7.875%, 12/15/18 (e) | 6,922 | ||||||
6,350 | Simmons Foods, Inc., 10.500%, 11/01/17 (e) | 6,842 | ||||||
Smithfield Foods, Inc., | ||||||||
3,980 | 7.750%, 05/15/13 | 4,328 | ||||||
8,285 | 7.750%, 07/01/17 | 8,969 | ||||||
3,792 | 10.000%, 07/15/14 | 4,474 | ||||||
12,014 | Tyson Foods, Inc., 7.350%, 04/01/16 (m) | 13,501 | ||||||
93,687 | ||||||||
Household Products — 0.3% | ||||||||
4,910 | Armored Autogroup, Inc., 9.250%, 11/01/18 (e) | 5,094 | ||||||
4,000 | Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e) | 4,110 | ||||||
Spectrum Brands Holdings, Inc., | ||||||||
5,000 | 9.500%, 06/15/18 (e) | 5,600 | ||||||
19,814 | PIK, 12.000%, 08/28/19 | 22,291 | ||||||
37,095 | ||||||||
Personal Products — 0.2% | ||||||||
18,695 | American Achievement Corp., 10.875%, 04/15/16 (e) | 18,788 | ||||||
Tobacco — 0.3% | ||||||||
20,705 | Alliance One International, Inc., 10.000%, 07/15/16 | 21,378 | ||||||
7,000 | Vector Group Ltd., 11.000%, 08/15/15 | 7,315 | ||||||
28,693 | ||||||||
Total Consumer Staples | 347,854 | |||||||
Energy — 10.4% | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
3,000 | Basic Energy Services, Inc., 7.750%, 02/15/19 (e) | 3,112 | ||||||
9,815 | Calfrac Holdings LP, 7.500%, 12/01/20 (e) | 10,060 | ||||||
7,343 | Exterran Holdings, Inc., 7.250%, 12/01/18 (e) | 7,527 | ||||||
Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), | ||||||||
18,840 | 10.000%, 01/15/18 | 19,688 | ||||||
12,568 | 11.750%, 05/27/14 | 14,045 | ||||||
9,047 | Global Geophysical Services, Inc., 10.500%, 05/01/17 | 9,771 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 123 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Energy Equipment & Services — Contineud | ||||||||
13,530 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m) | 14,071 | ||||||
14,493 | Key Energy Services, Inc., 8.375%, 12/01/14 | 15,761 | ||||||
7,670 | Parker Drilling Co., 9.125%, 04/01/18 | 8,245 | ||||||
13,500 | PHI, Inc., 8.625%, 10/15/18 | 14,141 | ||||||
9,845 | Precision Drilling Corp., (Canada), 6.625%, 11/15/20 (e) | 10,165 | ||||||
4,250 | Pride International, Inc., 6.875%, 08/15/20 | 4,739 | ||||||
16,200 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 15,957 | ||||||
Sevan Marine ASA, (Norway), | ||||||||
2,100 | 12.000%, 08/10/15 (e) | 2,236 | ||||||
12,000 | VAR, 3.443%, 05/14/13 (e) | 10,800 | ||||||
7,125 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 7,455 | ||||||
167,773 | ||||||||
Oil, Gas & Consumable Fuels — 8.7% | ||||||||
4,432 | Alon Refining Krotz Springs, Inc., 13.500%, 10/15/14 | 4,598 | ||||||
14,075 | Alta Mesa Holdings/Alta Mesa Finance Services Corp., 9.625%, 10/15/18 (e) | 14,251 | ||||||
1,650 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 | 1,716 | ||||||
8,270 | AmeriGas Partners LP/AmeriGas Finance Corp., 6.500%, 05/20/21 | 8,518 | ||||||
7,975 | Anadarko Petroleum Corp., 6.375%, 09/15/17 | 8,889 | ||||||
9,767 | Antero Resources Finance Corp., 9.375%, 12/01/17 | 10,548 | ||||||
3,645 | Arch Coal, Inc., 7.250%, 10/01/20 | 3,873 | ||||||
41,857 | Bill Barrett Corp., 9.875%, 07/15/16 (m) | 46,880 | ||||||
17,920 | Brigham Exploration Co., 8.750%, 10/01/18 (e) | 19,891 | ||||||
10,930 | Carrizo Oil & Gas, Inc., 8.625%, 10/15/18 (e) | 11,613 | ||||||
Chesapeake Energy Corp., | ||||||||
23,725 | 6.125%, 02/15/21 | 24,200 | ||||||
2,100 | 6.625%, 08/15/20 | 2,205 | ||||||
7,560 | 6.875%, 08/15/18 | 8,051 | ||||||
8,120 | 6.875%, 11/15/20 | 8,648 | ||||||
6,880 | 7.250%, 12/15/18 | 7,585 | ||||||
2,400 | 7.625%, 07/15/13 | 2,676 | ||||||
10,775 | 9.500%, 02/15/15 | 13,361 | ||||||
18,587 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 21,375 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
11,455 | 8.250%, 12/15/17 | 12,457 | ||||||
8,310 | 8.500%, 12/15/19 | 9,162 | ||||||
36,622 | Comstock Resources, Inc., 8.375%, 10/15/17 | 38,133 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
Consol Energy, Inc., | ||||||||
9,055 | 8.000%, 04/01/17 | 9,825 | ||||||
7,000 | 8.250%, 04/01/20 | 7,717 | ||||||
3,575 | Continental Resources, Inc., 7.125%, 04/01/21 | 3,807 | ||||||
Copano Energy LLC/Copano Energy Finance Corp., | ||||||||
2,830 | 7.750%, 06/01/18 | 2,943 | ||||||
1,627 | 8.125%, 03/01/16 | 1,694 | ||||||
Denbury Resources, Inc., | ||||||||
6,300 | 6.375%, 08/15/21 | 6,363 | ||||||
13,993 | 8.250%, 02/15/20 | 15,567 | ||||||
El Paso Corp., | ||||||||
4,950 | 6.500%, 09/15/20 (e) | 5,092 | ||||||
4,305 | 6.875%, 06/15/14 (m) | 4,705 | ||||||
950 | 7.000%, 06/15/17 | 1,062 | ||||||
3,869 | 7.250%, 06/01/18 | 4,376 | ||||||
776 | 7.875%, 06/15/12 | 818 | ||||||
4,750 | El Paso Performance-Linked Trust, 7.750%, 07/15/11 (e) | 4,838 | ||||||
4,800 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 5,296 | ||||||
2,000 | Encore Acquisition Co., 9.500%, 05/01/16 | 2,260 | ||||||
5,500 | Energy XXI Gulf Coast, Inc., 7.750%, 06/15/19 (e) | 5,555 | ||||||
3,750 | Ferrellgas LP/Ferrellgas Finance Corp., 9.125%, 10/01/17 | 4,144 | ||||||
21,450 | Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.625%, 06/15/20 | 23,327 | ||||||
7,475 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 | 7,690 | ||||||
11,260 | Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 (e) | 12,105 | ||||||
Forest Oil Corp., | ||||||||
35,123 | 7.250%, 06/15/19 (m) | 36,352 | ||||||
8,165 | 8.500%, 02/15/14 | 9,084 | ||||||
Frontier Oil Corp., | ||||||||
4,250 | 6.875%, 11/15/18 | 4,441 | ||||||
7,355 | 8.500%, 09/15/16 | 7,980 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
9,718 | 7.625%, 04/15/21 (e) | 10,253 | ||||||
3,465 | 8.000%, 02/15/20 (e) | 3,716 | ||||||
7,270 | Holly Corp., 9.875%, 06/15/17 | 8,088 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
11,575 | 6.250%, 03/01/15 (m) | 11,430 | ||||||
5,700 | 8.250%, 03/15/18 (e) | 6,142 |
SEE NOTES TO FINANCIAL STATEMENTS.
124 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
Inergy LP/Inergy Finance Corp., | ||||||||
10,525 | 6.875%, 08/01/21 (e) | 10,762 | ||||||
14,000 | 7.000%, 10/01/18 (e) | 14,507 | ||||||
10,000 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.750%, 11/01/20 | 10,250 | ||||||
Newfield Exploration Co., | ||||||||
6,180 | 6.625%, 09/01/14 | 6,319 | ||||||
8,075 | 6.875%, 02/01/20 | 8,580 | ||||||
3,675 | 7.125%, 05/15/18 | 3,923 | ||||||
NFR Energy LLC/NFR Energy Finance Corp., | ||||||||
28,141 | 9.750%, 02/15/17 (e) | 28,422 | ||||||
7,500 | Patriot Coal Corp., 8.250%, 04/30/18 | 8,025 | ||||||
16,777 | Penn Virginia Corp., 10.375%, 06/15/16 (m) | 18,832 | ||||||
6,550 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 6,976 | ||||||
182 | Petroleum Development Corp., 12.000%, 02/15/18 | 206 | ||||||
15,175 | Pioneer Drilling Co., 9.875%, 03/15/18 | 16,541 | ||||||
Pioneer Natural Resources Co., | ||||||||
2,499 | 5.875%, 07/15/16 | 2,609 | ||||||
6,635 | 6.650%, 03/15/17 | 7,168 | ||||||
4,950 | 6.875%, 05/01/18 | 5,374 | ||||||
15,897 | 7.500%, 01/15/20 | 17,849 | ||||||
Plains Exploration & Production Co., | ||||||||
5,040 | 7.625%, 04/01/20 | 5,481 | ||||||
7,475 | 10.000%, 03/01/16 | 8,484 | ||||||
10,534 | QEP Resources, Inc., 6.875%, 03/01/21 | 11,034 | ||||||
Range Resources Corp., | ||||||||
1,000 | 6.375%, 03/15/15 | 1,020 | ||||||
1,080 | 6.750%, 08/01/20 | 1,141 | ||||||
3,270 | 7.250%, 05/01/18 | 3,483 | ||||||
19,245 | 7.500%, 05/15/16 (m) | 20,111 | ||||||
2,000 | 7.500%, 10/01/17 | 2,125 | ||||||
2,000 | 8.000%, 05/15/19 | 2,202 | ||||||
3,900 | SM Energy Co., 6.625%, 02/15/19 (e) | 3,944 | ||||||
Swift Energy Co., | ||||||||
15,772 | 7.125%, 06/01/17 | 16,088 | ||||||
11,000 | 8.875%, 01/15/20 | 12,045 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
6,365 | 6.875%, 02/01/21 (e) | 6,301 | ||||||
9,090 | 7.875%, 10/15/18 (e) | 9,590 | ||||||
10,956 | 8.250%, 07/01/16 | 11,614 | ||||||
7,000 | Venoco, Inc., 8.875%, 02/15/19 (e) | 7,105 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
10,700 | W&T Offshore, Inc., 8.250%, 06/15/14 (e) | 10,887 | ||||||
10,061 | Western Refining, Inc., 11.250%, 06/15/17 (e) | 11,369 | ||||||
9,872 | VAR, 10.750%, 06/15/14 (e) | 10,686 | ||||||
3,280 | Whiting Petroleum Corp., 6.500%, 10/01/18 | 3,403 | ||||||
829,756 | ||||||||
Total Energy | 997,529 | |||||||
Financials — 11.1% |
| |||||||
Commercial Banks — 2.1% |
| |||||||
3,825 | Bank of America Corp., 5.625%, 07/01/20 | 3,979 | ||||||
25,795 | VAR, 8.000%, 01/30/18 (x) | 27,231 | ||||||
11,075 | VAR, 8.125%, 05/15/18 (x) | 11,692 | ||||||
1,100 | BankAmerica Capital II, 8.000%, 12/15/26 | 1,117 | ||||||
12,575 | BankAmerica Institutional Capital B, Class B, 7.700%, 12/31/26 (e) | 12,638 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
16,175 | VAR, 5.926%, 12/15/16 (e) (m) (x) | 14,922 | ||||||
17,850 | VAR, 7.434%, 12/15/17 (e) (m) (x) | 17,448 | ||||||
1,385 | Capital One Capital IV, VAR, 6.745%, 02/17/37 | 1,385 | ||||||
20,675 | Capital One Capital V, 10.250%, 08/15/39 (m) | 22,458 | ||||||
4,300 | Capital One Capital VI, 8.875%, 05/15/40 | 4,563 | ||||||
12,671 | Countrywide Capital III, 8.050%, 06/15/27 | 13,225 | ||||||
1,940 | Credit Agricole S.A., (France), VAR, 6.637%, 05/31/17 (e) (m) (x) | 1,731 | ||||||
1,922 | NB Capital Trust II, 7.830%, 12/15/26 | 1,941 | ||||||
4,750 | NB Capital Trust IV, 8.250%, 04/15/27 | 4,857 | ||||||
1,000 | Regions Financial Corp., 6.375%, 05/15/12 | 1,026 | ||||||
61,048 | Wachovia Capital Trust III, VAR, 5.800%, 04/04/11 (m) (x) | 55,554 | ||||||
195,767 | ||||||||
Consumer Finance — 2.7% |
| |||||||
Ally Financial, Inc., | ||||||||
22,325 | 6.250%, 12/01/17 (e) | 23,302 | ||||||
5,053 | 6.750%, 12/01/14 | 5,407 | ||||||
6,100 | 7.500%, 09/15/20 (e) | 6,672 | ||||||
70,174 | 8.000%, 11/01/31 | 80,349 | ||||||
40,579 | American General Finance Corp., 6.900%, 12/15/17 | 36,420 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
8,250 | 5.750%, 02/01/21 | 8,144 | ||||||
5,525 | 6.625%, 08/15/17 | 5,876 | ||||||
6,800 | 7.500%, 08/01/12 (m) | 7,254 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 125 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued |
| |||||||
10,500 | 8.000%, 06/01/14 (m) | 11,743 | ||||||
40,445 | 8.000%, 12/15/16 (m) | 45,811 | ||||||
10,500 | 8.125%, 01/15/20 | 11,985 | ||||||
6,850 | 8.700%, 10/01/14 | 7,812 | ||||||
4,980 | VAR, 3.053%, 01/13/12 (m) | 5,031 | ||||||
5,200 | Uncle Acquisition 2010 Corp., 8.625%, 02/15/19 (e) | 5,538 | ||||||
261,344 | ||||||||
Diversified Financial Services — 2.1% |
| |||||||
7,610 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 7,829 | ||||||
3,500 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 3,902 | ||||||
Block Financial LLC, | ||||||||
2,000 | 5.125%, 10/30/14 | 2,048 | ||||||
2,225 | 7.875%, 01/15/13 | 2,391 | ||||||
7,055 | Cardtronics, Inc., 8.250%, 09/01/18 | 7,655 | ||||||
CIT Group, Inc., | ||||||||
18,879 | 7.000%, 05/01/15 | 19,138 | ||||||
15,600 | 7.000%, 05/01/16 | 15,736 | ||||||
2,085 | 7.000%, 05/01/17 | 2,101 | ||||||
7,160 | Citigroup Capital XXI, VAR, 8.300%, 12/21/57 | 7,375 | ||||||
CNG Holdings, Inc., | ||||||||
5,750 | 12.250%, 02/15/15 (e) | 6,447 | ||||||
1,300 | 13.750%, 08/15/15 (e) | 1,463 | ||||||
Deluxe Corp., | ||||||||
3,797 | 5.125%, 10/01/14 | 3,825 | ||||||
8,132 | 7.375%, 06/01/15 | 8,478 | ||||||
9,885 | ILFC E-Capital Trust I, VAR, 5.960%, 12/21/65 (e) | 8,341 | ||||||
12,270 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 10,675 | ||||||
International Lease Finance Corp., | ||||||||
13,875 | 8.250%, 12/15/20 | 15,436 | ||||||
6,095 | 8.625%, 09/15/15 (e) | 6,872 | ||||||
13,260 | 8.750%, 03/15/17 (e) | 15,150 | ||||||
10,950 | 8.875%, 09/01/17 | 12,483 | ||||||
6,465 | Northern Tier Energy LLC/Northern Tier Finance Corp., 10.500%, 12/01/17 (e) | 7,241 | ||||||
5,955 | SquareTwo Financial Corp., 11.625%, 04/01/17 (e) | 5,970 | ||||||
12,950 | Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15 | 13,905 | ||||||
17,800 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 17,733 | ||||||
202,194 | ||||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 3.2% |
| |||||||
26,485 | American International Group, Inc., VAR, 8.175%, 05/15/58 | 29,067 | ||||||
6,155 | Crum & Forster Holdings Corp., 7.750%, 05/01/17 | 6,455 | ||||||
Fairfax Financial Holdings Ltd., (Canada), | ||||||||
4,675 | 7.750%, 06/15/17 | 4,961 | ||||||
2,875 | 8.250%, 10/01/15 | 3,141 | ||||||
Genworth Financial, Inc., | ||||||||
9,455 | 7.200%, 02/15/21 | 9,517 | ||||||
42,575 | VAR, 6.150%, 11/15/66 | 33,475 | ||||||
HUB International Holdings, Inc., | ||||||||
2,800 | 9.000%, 12/15/14 (e) | 2,933 | ||||||
40,825 | 10.250%, 06/15/15 (e) (m) | 42,458 | ||||||
Liberty Mutual Group, Inc., | ||||||||
11,175 | 7.800%, 03/15/37 (e) | 11,175 | ||||||
83,987 | VAR, 10.750%, 06/15/58 (e) | 109,393 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
3,567 | 8.250%, 12/01/31 (e) | 3,845 | ||||||
8,250 | 9.375%, 08/15/39 (e) | 9,835 | ||||||
USI Holdings Corp., | ||||||||
18,024 | 9.750%, 05/15/15 (e) (m) | 18,565 | ||||||
18,338 | VAR, 4.188%, 11/15/14 (e) (f) (i) | 17,696 | ||||||
302,516 | ||||||||
Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
11,000 | Aviv Healthcare Properties LP, 7.750%, 02/15/19 (e) | 11,467 | ||||||
10,850 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 11,189 | ||||||
5,500 | Colonial Realty LP, 6.250%, 06/15/14 | 5,813 | ||||||
6,570 | Developers Diversified Realty Corp., 7.875%, 09/01/20 | 7,693 | ||||||
10,086 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 11,120 | ||||||
12,429 | First Industrial LP, 6.420%, 06/01/14 | 12,405 | ||||||
8,500 | Host Hotels & Resorts, Inc., 6.000%, 11/01/20 | 8,511 | ||||||
16,145 | Omega Healthcare Investors, Inc., 6.750%, 10/15/22 (e) | 16,306 | ||||||
5,012 | Sabra Health Care LP/Sabra Capital Corp., 8.125%, 11/01/18 (e) | 5,288 | ||||||
8,890 | Senior Housing Properties Trust, 6.750%, 04/15/20 | 9,497 | ||||||
99,289 | ||||||||
Total Financials | 1,061,110 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
126 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Health Care — 4.4% |
| |||||||
Biotechnology — 0.0% (g) |
| |||||||
1,925 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 2,117 | ||||||
Health Care Equipment & Supplies — 0.2% |
| |||||||
13,650 | Biomet, Inc., 10.000%, 10/15/17 (m) | 15,203 | ||||||
1,750 | DJO Finance LLC/DJO Finance Corp., 10.875%, 11/15/14 | 1,918 | ||||||
17,121 | ||||||||
Health Care Providers & Services — 3.0% |
| |||||||
6,436 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 6,919 | ||||||
9,112 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 9,659 | ||||||
DaVita, Inc., | ||||||||
8,500 | 6.375%, 11/01/18 | 8,617 | ||||||
8,450 | 6.625%, 11/01/20 | 8,566 | ||||||
8,669 | FMC Finance III S.A., (Luxembourg), 6.875%, 07/15/17 | 9,135 | ||||||
3,200 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 | 3,232 | ||||||
6,000 | Fresenius Medical Care U.S. Finance, Inc., 5.750%, 02/15/21 (e) | 5,805 | ||||||
HCA, Inc., | ||||||||
3,716 | 5.750%, 03/15/14 | 3,809 | ||||||
2,550 | 6.300%, 10/01/12 (m) | 2,658 | ||||||
5,553 | 6.375%, 01/15/15 | 5,734 | ||||||
1,275 | 6.750%, 07/15/13 | 1,350 | ||||||
5,275 | 7.250%, 09/15/20 | 5,690 | ||||||
8,556 | 8.500%, 04/15/19 | 9,583 | ||||||
2,050 | 9.125%, 11/15/14 | 2,150 | ||||||
24,025 | 9.250%, 11/15/16 (m) | 25,947 | ||||||
5,800 | 9.875%, 02/15/17 | 6,525 | ||||||
9,200 | PIK, 9.625%, 11/15/16 | 9,982 | ||||||
8,992 | Health Management Associates, Inc., 6.125%, 04/15/16 | 9,127 | ||||||
3,150 | IASIS Healthcare LLC/IASIS Capital Corp., 8.750%, 06/15/14 | 3,233 | ||||||
5,200 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 (e) | 5,323 | ||||||
18,600 | Multiplan, Inc., 9.875%, 09/01/18 (e) | 20,018 | ||||||
Omnicare, Inc., | ||||||||
8,501 | 6.875%, 12/15/15 | 8,777 | ||||||
2,750 | 7.750%, 06/01/20 | 2,936 | ||||||
13,235 | OnCure Holdings, Inc., 11.750%, 05/15/17 (e) | 13,103 | ||||||
8,100 | Radiation Therapy Services, Inc., 9.875%, 04/15/17 | 8,343 | ||||||
19,814 | Select Medical Corp., 7.625%, 02/01/15 | 20,136 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
Tenet Healthcare Corp., | ||||||||
13,394 | 8.875%, 07/01/19 | 15,236 | ||||||
425 | 9.000%, 05/01/15 | 467 | ||||||
425 | 10.000%, 05/01/18 | 499 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., | ||||||||
11,862 | 7.750%, 02/01/19 (e) | 12,069 | ||||||
12,400 | 8.000%, 02/01/18 | 12,741 | ||||||
20,950 | 8.000%, 02/01/18 (e) | 21,474 | ||||||
Ventas Realty LP/Ventas Capital Corp., | ||||||||
1,899 | 6.500%, 06/01/16 | 1,991 | ||||||
3,000 | 6.750%, 04/01/17 | 3,183 | ||||||
284,017 | ||||||||
Pharmaceuticals — 1.2% | ||||||||
14,378 | Catalent Pharma Solutions, Inc., PIK, 10.250%, 04/15/15 | 14,774 | ||||||
9,323 | Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 (f) (i) | 4,662 | ||||||
Elan Finance plc/Elan Finance Corp., (Ireland), | ||||||||
20,900 | 8.750%, 10/15/16 | 22,050 | ||||||
17,700 | 8.750%, 10/15/16 (e) | 18,629 | ||||||
4,450 | Giant Funding Corp., 8.250%, 02/01/18 (e) | 4,572 | ||||||
16,802 | Mylan, Inc., 7.875%, 07/15/20 (e) | 18,776 | ||||||
4,865 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 | 5,315 | ||||||
Valeant Pharmaceuticals International, | ||||||||
5,450 | 6.750%, 10/01/17 (e) | 5,641 | ||||||
9,400 | 6.875%, 12/01/18 (e) | 9,776 | ||||||
8,070 | 7.000%, 10/01/20 (e) | 8,342 | ||||||
112,537 | ||||||||
Total Health Care | 415,792 | |||||||
Industrials — 8.4% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
Alliant Techsystems, Inc., | ||||||||
1,411 | 6.750%, 04/01/16 | 1,457 | ||||||
7,900 | 6.875%, 09/15/20 | 8,167 | ||||||
6,575 | BE Aerospace, Inc., 6.875%, 10/01/20 | 6,855 | ||||||
Bombardier, Inc., (Canada), | ||||||||
7,420 | 7.500%, 03/15/18 (e) | 7,976 | ||||||
2,420 | 7.750%, 03/15/20 (e) | 2,626 | ||||||
6,145 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) | 4,885 | ||||||
5,490 | CPI International Acquisition, Inc., 8.000%, 02/15/18 (e) | 5,518 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 127 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued | ||||||||
Esterline Technologies Corp., | ||||||||
4,910 | 6.625%, 03/01/17 | 5,082 | ||||||
1,565 | 7.000%, 08/01/20 | 1,639 | ||||||
1,250 | Hexcel Corp., 6.750%, 02/01/15 | 1,283 | ||||||
7,195 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 8,112 | ||||||
2,777 | Moog, Inc., 7.250%, 06/15/18 | 2,923 | ||||||
Spirit Aerosystems, Inc., | ||||||||
13,558 | 6.750%, 12/15/20 | 13,897 | ||||||
4,500 | 7.500%, 10/01/17 | 4,781 | ||||||
Triumph Group, Inc., | ||||||||
10,066 | 8.000%, 11/15/17 | 10,846 | ||||||
8,380 | 8.625%, 07/15/18 | 9,239 | ||||||
95,286 | ||||||||
Air Freight & Logistics — 0.0% (g) | ||||||||
4,698 | AMGH Merger Sub, Inc., 9.250%, 11/01/18 (e) | 5,062 | ||||||
Airlines — 1.2% | ||||||||
787 | American Airlines Pass Through Trust 2001-01, 7.377%, 05/23/19 | 775 | ||||||
2,500 | American Airlines Pass Through Trust 2011-01, 7.000%, 01/31/18 (e) | 2,500 | ||||||
American Airlines, Inc., | ||||||||
4,200 | 10.500%, 10/15/12 | 4,609 | ||||||
1,612 | 13.000%, 08/01/16 | 1,919 | ||||||
14,059 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 14,129 | ||||||
2,087 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 2,098 | ||||||
13,075 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m) | 13,860 | ||||||
2,561 | Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.650%, 06/02/13 | 2,420 | ||||||
5,602 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 5,658 | ||||||
3,200 | Continental Airlines, Inc., 6.750%, 09/15/15 (e) | 3,288 | ||||||
Delta Air Lines, Inc., | ||||||||
286 | 6.619%, 03/18/11 | 287 | ||||||
5,321 | 8.021%, 08/10/22 | 5,577 | ||||||
6,732 | 8.954%, 08/10/14 | 7,071 | ||||||
602 | 9.500%, 09/15/14 (e) | 656 | ||||||
541 | 9.750%, 12/17/16 | 584 | ||||||
Northwest Airlines, Inc., | ||||||||
33,504 | 7.027%, 11/01/19 | 34,845 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — Continued | ||||||||
2,097 | 8.028%, 11/01/17 (c) | 2,139 | ||||||
8,482 | UAL 2007-1 Pass Through Trust, 6.636%, 07/02/22 | 8,715 | ||||||
UAL 2007-1 Pass-Through Trust, | ||||||||
1,006 | 7.336%, 07/02/19 (e) | 976 | ||||||
1,324 | VAR, 2.707%, 07/02/14 (e) | 1,165 | ||||||
4,596 | UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17 | 5,314 | ||||||
118,585 | ||||||||
Building Products — 0.3% | ||||||||
5,460 | Associated Materials LLC, 9.125%, 11/01/17 (e) | 5,904 | ||||||
Building Materials Corp of America, | ||||||||
19,475 | 6.875%, 08/15/18 (e) | 19,962 | ||||||
5,265 | 7.000%, 02/15/20 (e) | 5,548 | ||||||
567 | Masco Corp., 5.850%, 03/15/17 | 574 | ||||||
31,988 | ||||||||
Commercial Services & Supplies — 1.2% | ||||||||
Cenveo Corp., | ||||||||
20,038 | 8.875%, 02/01/18 | 20,138 | ||||||
9,250 | 10.500%, 08/15/16 (e) | 9,343 | ||||||
6,850 | Covanta Holding Corp., 7.250%, 12/01/20 | 7,194 | ||||||
FTI Consulting, Inc., | ||||||||
8,500 | 6.750%, 10/01/20 (e) | 8,500 | ||||||
2,000 | 7.750%, 10/01/16 | 2,097 | ||||||
7,754 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 8,336 | ||||||
5,030 | Geo Group, Inc. (The), 6.625%, 02/15/21 (e) | 5,043 | ||||||
Harland Clarke Holdings Corp., | ||||||||
11,747 | 9.500%, 05/15/15 | 11,541 | ||||||
24,225 | VAR, 6.000%, 05/15/15 | 21,742 | ||||||
Iron Mountain, Inc., | ||||||||
2,938 | 8.000%, 06/15/20 | 3,159 | ||||||
5,631 | 8.375%, 08/15/21 | 6,229 | ||||||
3,205 | 8.750%, 07/15/18 | 3,369 | ||||||
2,485 | Liberty Tire Recycling, 11.000%, 10/01/16 (e) | 2,771 | ||||||
2,465 | Mobile Mini, Inc., 7.875%, 12/01/20 (e) | 2,625 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
8,325 | 6.125%, 11/15/13 (d) (f) (i) | 416 | ||||||
6,815 | 6.500%, 08/01/27 (d) (f) (i) | 341 | ||||||
3,825 | 9.750%, 01/15/15 (c) (d) (f) (i) | 191 | ||||||
113,035 | ||||||||
Construction & Engineering — 1.2% | ||||||||
18,300 | Abengoa Finance SAU, (Spain), 8.875%, 11/01/17 (e) | 18,117 |
SEE NOTES TO FINANCIAL STATEMENTS.
128 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction & Engineering — Continued | ||||||||
2,200 | Dycom Investments, Inc., 7.125%, 01/15/21 (e) | 2,247 | ||||||
2,580 | Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19 (e) | 2,638 | ||||||
1,000 | New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e) | 1,022 | ||||||
RSC Equipment Rental, Inc./RSC Holdings III LLC, | ||||||||
15,440 | 8.250%, 02/01/21 (e) | 16,328 | ||||||
22,919 | 9.500%, 12/01/14 (m) | 24,065 | ||||||
9,400 | Tutor Perini Corp., 7.625%, 11/01/18 (e) | 9,741 | ||||||
United Rentals North America, Inc., | ||||||||
11,750 | 8.375%, 09/15/20 | 12,440 | ||||||
12,250 | 9.250%, 12/15/19 (m) | 13,873 | ||||||
8,865 | 10.875%, 06/15/16 | 10,306 | ||||||
110,777 | ||||||||
Electrical Equipment — 0.2% | ||||||||
Belden, Inc., | ||||||||
3,408 | 7.000%, 03/15/17 | 3,459 | ||||||
5,315 | 9.250%, 06/15/19 | 5,886 | ||||||
1,810 | General Cable Corp., VAR, 2.678%, 04/01/15 | 1,765 | ||||||
5,910 | International Wire Group, Inc., 9.750%, 04/15/15 (e) | 6,331 | ||||||
17,441 | ||||||||
Environmental Services — 0.2% | ||||||||
Casella Waste Systems, Inc., | ||||||||
6,950 | 7.750%, 02/15/19 (e) | 7,124 | ||||||
7,455 | 11.000%, 07/15/14 | 8,461 | ||||||
15,585 | ||||||||
Industrial Conglomerates — 0.5% | ||||||||
26,680 | JB Poindexter & Co., Inc., 8.750%, 03/15/14 (m) | 26,947 | ||||||
6,375 | Pinafore LLC/Pinafore, Inc., 9.000%, 10/01/18 (e) | 7,092 | ||||||
12,725 | Trimas Corp., 9.750%, 12/15/17 (m) | 14,125 | ||||||
48,164 | ||||||||
Machinery — 0.4% | ||||||||
9,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 9,495 | ||||||
3,100 | Columbus McKinnon Corp., 7.875%, 02/01/19 (e) | 3,208 | ||||||
3,750 | Gardner Denver, Inc., 8.000%, 05/01/13 | 3,778 | ||||||
SPX Corp., | ||||||||
5,175 | 6.875%, 09/01/17 (e) | 5,563 | ||||||
1,325 | 7.625%, 12/15/14 | 1,451 | ||||||
4,550 | Thermadyne Holdings Corp., 9.000%, 12/15/17 (e) | 4,806 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued | ||||||||
8,165 | Titan International, Inc., 7.875%, 10/01/17 (e) | 8,737 | ||||||
37,038 | ||||||||
Marine — 1.2% |
| |||||||
10,000 | ACL I Corp., PIK, 10.625%, 02/15/16 (e) | 10,050 | ||||||
14,000 | American Petroleum Tankers LLC/AP Tankers Co., 10.250%, 05/01/15 (e) | 14,647 | ||||||
13,918 | CMA CGM S.A., (France), 7.250%, 02/01/13 (e) | 14,022 | ||||||
13,586 | Commercial Barge Line Co., 12.500%, 07/15/17 | 15,760 | ||||||
22,860 | General Maritime Corp., 12.000%, 11/15/17 | 20,974 | ||||||
4,645 | Navios Maritime Holdings, Inc./Navios Maritime Finance II U.S., Inc., 8.125%, 02/15/19 (e) | 4,645 | ||||||
22,020 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 23,782 | ||||||
13,780 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 14,021 | ||||||
117,901 | ||||||||
Road & Rail — 1.0% |
| |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
5,925 | 7.750%, 05/15/16 | 6,177 | ||||||
8,590 | 8.250%, 01/15/19 | 9,116 | ||||||
20,295 | 9.625%, 03/15/18 | 22,680 | ||||||
56 | Hertz Corp. (The), 8.875%, 01/01/14 | 57 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
6,048 | 6.625%, 12/15/20 (e) | 6,184 | ||||||
1,854 | 7.375%, 06/01/14 | 1,933 | ||||||
7,175 | Kansas City Southern Railway, 8.000%, 06/01/15 (m) | 7,785 | ||||||
Quality Distribution LLC/QD Capital Corp., | ||||||||
10,515 | 9.875%, 11/01/18 (e) | 11,041 | ||||||
702 | PIK, 11.750%, 11/01/13 (f) (i) | 702 | ||||||
23,649 | RailAmerica, Inc., 9.250%, 07/01/17 | 26,191 | ||||||
91,866 | ||||||||
Total Industrials | 802,728 | |||||||
Information Technology — 3.8% |
| |||||||
Communications Equipment — 0.8% |
| |||||||
Avaya, Inc., | ||||||||
14,925 | 7.000%, 04/01/19 (e) | 14,776 | ||||||
42,250 | 9.750%, 11/01/15 | 43,729 | ||||||
14,120 | Brightstar Corp., 9.500%, 12/01/16 (e) | 15,108 | ||||||
73,613 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 129 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Computers & Peripherals — 0.5% |
| |||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
7,390 | 6.875%, 05/01/20 (e) | 7,242 | ||||||
15,610 | 7.750%, 12/15/18 (e) | 16,000 | ||||||
18,075 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 18,866 | ||||||
8,400 | Stratus Technologies, Inc., 12.000%, 03/29/15 (e) | 7,560 | ||||||
49,668 | ||||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
15,559 | Intcomex, Inc., 13.250%, 12/15/14 (e) | 16,571 | ||||||
12,358 | Kemet Corp., 10.500%, 05/01/18 | 14,026 | ||||||
Sanmina-SCI Corp., | ||||||||
3,008 | 6.750%, 03/01/13 | 3,008 | ||||||
9,630 | 8.125%, 03/01/16 | 9,919 | ||||||
3,200 | VAR, 3.052%, 06/15/14 (e) | 3,152 | ||||||
2,219 | Smart Modular Technologies WWH, Inc., (Cayman Islands), VAR, 5.803%, 04/01/12 (f) (i) | 2,194 | ||||||
9,527 | Viasystems, Inc., 12.000%, 01/15/15 (e) | 10,789 | ||||||
59,659 | ||||||||
Internet Software & Services — 0.1% |
| |||||||
7,225 | Equinix, Inc., 8.125%, 03/01/18 | 7,839 | ||||||
IT Services — 1.0% |
| |||||||
5,625 | Compucom Systems, Inc., 12.500%, 10/01/15 (e) | 6,075 | ||||||
Fidelity National Information Services, Inc., | ||||||||
2,573 | 7.625%, 07/15/17 | 2,837 | ||||||
2,063 | 7.875%, 07/15/20 | 2,290 | ||||||
First Data Corp., | ||||||||
4,795 | 8.250%, 01/15/21 (e) | 4,771 | ||||||
1,080 | 8.875%, 08/15/20 (e) | 1,182 | ||||||
1,073 | 9.875%, 09/24/15 | 1,084 | ||||||
25,067 | 12.625%, 01/15/21 (e) | 26,258 | ||||||
3,045 | Interactive Data Corp., 10.250%, 08/01/18 (e) | 3,395 | ||||||
17,475 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (e) | 16,164 | ||||||
15,310 | Stream Global Services, Inc., 11.250%, 10/01/14 | 16,229 | ||||||
1,050 | SunGard Data Systems, Inc., 10.625%, 05/15/15 | 1,163 | ||||||
Unisys Corp., | ||||||||
4,670 | 12.750%, 10/15/14 (e) | 5,522 | ||||||
4,745 | 14.250%, 09/15/15 (e) | 5,658 | ||||||
92,628 | ||||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — 0.8% |
| |||||||
Advanced Micro Devices, Inc., | ||||||||
1,370 | 7.750%, 08/01/20 | 1,432 | ||||||
11,000 | 8.125%, 12/15/17 | 11,715 | ||||||
Amkor Technology, Inc., | ||||||||
10,090 | 7.375%, 05/01/18 | 10,582 | ||||||
449 | 9.250%, 06/01/16 | 476 | ||||||
Freescale Semiconductor, Inc., | ||||||||
8,000 | 9.250%, 04/15/18 (e) | 8,920 | ||||||
9,240 | 10.125%, 03/15/18 (e) | 10,580 | ||||||
2,615 | 10.750%, 08/01/20 (e) | 3,020 | ||||||
NXP B.V./NXP Funding LLC, (Netherlands), | ||||||||
16,962 | 7.875%, 10/15/14 (e) (m) | 17,704 | ||||||
1,100 | 9.750%, 08/01/18 (e) | 1,256 | ||||||
11,838 | VAR, 3.053%, 10/15/13 (e) | 11,779 | ||||||
2,850 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 3,110 | ||||||
80,574 | ||||||||
Total Information Technology | 363,981 | |||||||
Materials — 8.2% | ||||||||
Chemicals — 2.1% | ||||||||
9,469 | Celanese US Holdings LLC, 6.625%, 10/15/18 (e) | 9,895 | ||||||
CF Industries, Inc., | ||||||||
10,150 | 6.875%, 05/01/18 | 11,209 | ||||||
5,085 | 7.125%, 05/01/20 | 5,708 | ||||||
22,495 | Chemtura Corp., 7.875%, 09/01/18 (e) | 24,013 | ||||||
Lyondell Chemical Co., | ||||||||
17,901 | 8.000%, 11/01/17 (e) | 20,150 | ||||||
45,380 | 11.000%, 05/01/18 | 52,074 | ||||||
8,570 | Nalco Co., 6.625%, 01/15/19 (e) | 8,859 | ||||||
2,085 | Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.375%, 03/01/18 (e) | 2,121 | ||||||
151 | Nova Chemicals Corp., (Canada), 6.500%, 01/15/12 | 156 | ||||||
6,770 | Omnova Solutions, Inc., 7.875%, 11/01/18 (e) | 6,948 | ||||||
4,800 | Polymer Group, Inc., 7.750%, 02/01/19 (e) | 4,998 | ||||||
41,510 | PolyOne Corp., 7.375%, 09/15/20 | 44,001 | ||||||
3,850 | Rhodia S.A., (France), 6.875%, 09/15/20 (e) | 3,941 | ||||||
5,350 | Sterling Chemicals, Inc., 10.250%, 04/01/15 | 5,577 | ||||||
199,650 | ||||||||
Construction Materials — 0.4% | ||||||||
2,350 | Cemex S.A.B. de C.V., (Mexico), 9.000%, 01/11/18 (e) | 2,432 | ||||||
20,560 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 21,280 |
SEE NOTES TO FINANCIAL STATEMENTS.
130 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction Materials — Continued | ||||||||
12,600 | Texas Industries, Inc., 9.250%, 08/15/20 | 13,718 | ||||||
37,430 | ||||||||
Containers & Packaging — 1.8% | ||||||||
Ardagh Packaging Finance plc, (Ireland), | ||||||||
4,400 | 7.375%, 10/15/17 (e) | 4,686 | ||||||
7,000 | 9.125%, 10/15/20 (e) | 7,683 | ||||||
Ball Corp., | ||||||||
8,000 | 5.750%, 05/15/21 | 7,840 | ||||||
4,125 | 6.750%, 09/15/20 | 4,321 | ||||||
1,650 | 7.125%, 09/01/16 | 1,807 | ||||||
1,650 | 7.375%, 09/01/19 | 1,794 | ||||||
Berry Plastics Corp., | ||||||||
5,750 | 8.250%, 11/15/15 | 6,160 | ||||||
18,266 | 9.500%, 05/15/18 | 18,311 | ||||||
8,750 | 9.750%, 01/15/21 (e) | 8,772 | ||||||
580 | 10.250%, 03/01/16 | 567 | ||||||
5,450 | Berry Plastics Holding Corp., VAR, 5.053%, 02/15/15 | 5,450 | ||||||
1,500 | BWAY Holding Co., 10.000%, 06/15/18 (e) | 1,665 | ||||||
12,863 | Constar International, Inc., VAR, 0.000%, 02/15/12 (d) | 5,901 | ||||||
4,000 | Graham Packaging Co. LP/GPC Capital Corp. I, 8.250%, 10/01/18 | 4,310 | ||||||
Graphic Packaging International, Inc., | ||||||||
5,200 | 7.875%, 10/01/18 | 5,590 | ||||||
4,275 | 9.500%, 06/15/17 | 4,745 | ||||||
3,800 | Greif, Inc., 7.750%, 08/01/19 | 4,190 | ||||||
Owens-Brockway Glass Container, Inc., | ||||||||
3,253 | 6.750%, 12/01/14 (m) | 3,330 | ||||||
1,000 | 7.375%, 05/15/16 | 1,090 | ||||||
Plastipak Holdings, Inc., | ||||||||
5,019 | 8.500%, 12/15/15 (e) | 5,245 | ||||||
8,500 | 10.625%, 08/15/19 (e) | 9,690 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
11,100 | 6.875%, 02/15/21 (e) | 11,128 | ||||||
4,850 | 7.125%, 04/15/19 (e) | 4,971 | ||||||
6,600 | 7.750%, 10/15/16 (e) | 7,029 | ||||||
11,540 | 8.250%, 02/15/21 (e) | 11,569 | ||||||
13,525 | 8.500%, 05/15/18 (e) | 13,999 | ||||||
5,725 | 9.000%, 04/15/19 (e) | 5,968 | ||||||
5,925 | Solo Cup Co., 10.500%, 11/01/13 | 6,043 | ||||||
173,854 | ||||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 1.9% | ||||||||
3,748 | AK Steel Corp., 7.625%, 05/15/20 | 3,823 | ||||||
9,475 | Aleris International, Inc., 7.625%, 02/15/18 (e) | 9,641 | ||||||
1,323 | Arch Western Finance LLC, 6.750%, 07/01/13 | 1,336 | ||||||
8,420 | Atkore International, Inc., 9.875%, 01/01/18 (e) | 9,167 | ||||||
4,376 | California Steel Industries, Inc., 6.125%, 03/15/14 | 4,354 | ||||||
1,000 | Edgen Murray Corp., 12.250%, 01/15/15 | 955 | ||||||
13,956 | Essar Steel Algoma, Inc., (Canada), 9.375%, 03/15/15 (e) | 13,956 | ||||||
15,425 | FMG Resources August 2006 Pty Ltd., (Australia), 7.000%, 11/01/15 (e) | 16,004 | ||||||
3,875 | Gibraltar Industries, Inc., 8.000%, 12/01/15 | 3,967 | ||||||
18,380 | Murray Energy Corp., 10.250%, 10/15/15 (e) | 19,621 | ||||||
6,488 | Noranda Aluminum Acquisition Corp., PIK, 5.193%, 05/15/15 | 6,050 | ||||||
Novelis, Inc., (Canada), | ||||||||
19,140 | 8.375%, 12/15/17 (e) | 21,102 | ||||||
13,105 | 8.750%, 12/15/20 (e) | 14,448 | ||||||
10,400 | Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e) | 11,102 | ||||||
4,500 | Ryerson, Inc., 12.000%, 11/01/15 | 4,838 | ||||||
13,775 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) | 15,015 | ||||||
4,925 | Steel Dynamics, Inc., 7.625%, 03/15/20 (e) | 5,294 | ||||||
United States Steel Corp., | ||||||||
1,075 | 6.050%, 06/01/17 | 1,094 | ||||||
5,231 | 7.000%, 02/01/18 | 5,453 | ||||||
9,685 | 7.375%, 04/01/20 | 10,242 | ||||||
5,469 | Wolverine Tube, Inc., PIK, 15.000%, 03/31/12 (d) | 2,078 | ||||||
179,540 | ||||||||
Paper & Forest Products — 2.0% | ||||||||
27,726 | AbitibiBowater, Inc., 10.250%, 10/15/18 (e) | 31,053 | ||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
8,431 | 6.000%, 06/20/13 (d) | 84 | ||||||
20,371 | 8.375%, 04/01/15 (d) | 204 | ||||||
Abitibi-Consolidated, Inc., | ||||||||
3,880 | 7.400%, 04/01/18 (d) | 39 | ||||||
15,841 | 7.500%, 06/15/11 (d) | 158 | ||||||
2,425 | 7.500%, 04/01/28 (d) | 24 | ||||||
680 | 8.550%, 08/01/10 (d) | 7 | ||||||
44,081 | 8.850%, 08/01/30 (d) | 441 | ||||||
16,800 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 17,388 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 131 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Paper & Forest Products — Continued | ||||||||
5,250 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 5,788 | ||||||
4,150 | Bowater Canada Finance Corp., (Canada), 7.950%, 11/15/11 (d) | 1,245 | ||||||
Cascades, Inc., (Canada), | ||||||||
6,710 | 7.750%, 12/15/17 | 7,021 | ||||||
4,000 | 7.875%, 01/15/20 | 4,175 | ||||||
Domtar Corp., | ||||||||
2,015 | 7.125%, 08/15/15 | 2,216 | ||||||
5,377 | 10.750%, 06/01/17 | 6,883 | ||||||
Georgia-Pacific LLC, | ||||||||
2,188 | 7.000%, 01/15/15 (e) | 2,265 | ||||||
7,090 | 7.125%, 01/15/17 (e) | 7,533 | ||||||
151 | 8.125%, 05/15/11 | 153 | ||||||
3,800 | 8.250%, 05/01/16 (e) | 4,284 | ||||||
NewPage Corp., | ||||||||
21,500 | 10.000%, 05/01/12 | 14,190 | ||||||
61,532 | 11.375%, 12/31/14 | 61,378 | ||||||
P.H. Glatfelter Co., | ||||||||
6,810 | 7.125%, 05/01/16 | 6,963 | ||||||
2,070 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 2,391 | ||||||
3,200 | Potlatch Corp., 7.500%, 11/01/19 | 3,392 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
25,818 | 8.000%, 03/15/17 (d) (f) (i) | 1,743 | ||||||
19,431 | 8.375%, 07/01/12 (d) (f) (i) | 1,311 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., | ||||||||
8,000 | 8.750%, 02/01/19 (e) | 8,360 | ||||||
1,050 | 11.500%, 07/01/14 | 1,158 | ||||||
191,847 | ||||||||
Total Materials | 782,321 | |||||||
Telecommunication Services — 5.8% |
| |||||||
Diversified Telecommunication Services — 3.0% |
| |||||||
Cincinnati Bell, Inc., | ||||||||
37 | 7.000%, 02/15/15 | 38 | ||||||
7,125 | 8.250%, 10/15/17 | 7,196 | ||||||
4,840 | 8.750%, 03/15/18 | 4,640 | ||||||
Clearwire Communications LLC/Clearwire Finance, Inc., | ||||||||
60,938 | 12.000%, 12/01/15 (e) | 66,422 | ||||||
Frontier Communications Corp., | ||||||||
6,340 | 7.125%, 03/15/19 | 6,594 | ||||||
3,945 | 7.875%, 04/15/15 | 4,369 | ||||||
800 | 8.125%, 10/01/18 | 889 | ||||||
775 | 8.250%, 05/01/14 | 871 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
3,945 | 8.250%, 04/15/17 | 4,359 | ||||||
13,095 | 8.500%, 04/15/20 | 14,535 | ||||||
3,945 | 8.750%, 04/15/22 | 4,379 | ||||||
Global Crossing Ltd., (Bermuda), | ||||||||
4,900 | 9.000%, 11/15/19 (e) | 4,949 | ||||||
2,965 | 12.000%, 09/15/15 | 3,402 | ||||||
5,000 | Level 3 Communications, Inc., 11.875%, 02/01/19 (e) | 4,913 | ||||||
Level 3 Financing, Inc., | ||||||||
5,500 | 8.750%, 02/15/17 | 5,404 | ||||||
45,588 | 9.250%, 11/01/14 (m) | 47,069 | ||||||
14,015 | PAETEC Holding Corp., 8.875%, 06/30/17 (m) | 15,206 | ||||||
Qwest Communications International, Inc., | ||||||||
17,455 | 7.125%, 04/01/18 | 18,720 | ||||||
2,500 | 7.500%, 02/15/14 | 2,538 | ||||||
4,115 | 8.000%, 10/01/15 | 4,491 | ||||||
Qwest Corp., | ||||||||
10,000 | 6.500%, 06/01/17 (m) | 11,000 | ||||||
1,000 | 7.500%, 10/01/14 (m) | 1,145 | ||||||
12,996 | 7.625%, 06/15/15 (m) | 14,913 | ||||||
1,000 | 8.375%, 05/01/16 | 1,194 | ||||||
2,400 | 8.875%, 03/15/12 | 2,577 | ||||||
Windstream Corp., | ||||||||
500 | 7.000%, 03/15/19 | 500 | ||||||
8,200 | 7.875%, 11/01/17 | 8,907 | ||||||
10,025 | 8.125%, 08/01/13 (m) | 11,040 | ||||||
10,190 | 8.125%, 09/01/18 | 10,904 | ||||||
3,950 | 8.625%, 08/01/16 | 4,177 | ||||||
287,341 | ||||||||
Wireless Telecommunication Services — 2.8% |
| |||||||
6,160 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 6,799 | ||||||
Cricket Communications, Inc., | ||||||||
4,810 | 7.750%, 05/15/16 | 5,086 | ||||||
27,325 | 7.750%, 10/15/20 | 26,164 | ||||||
3,720 | Crown Castle International Corp., 9.000%, 01/15/15 | 4,185 | ||||||
4,270 | iPCS, Inc., VAR, 2.429%, 05/01/13 | 4,217 | ||||||
MetroPCS Wireless, Inc., | ||||||||
5,000 | 6.625%, 11/15/20 | 4,869 | ||||||
6,200 | 7.875%, 09/01/18 | 6,549 | ||||||
68,800 | Nextel Communications, Inc., 7.375%, 08/01/15 (m) | 68,972 | ||||||
NII Capital Corp., | ||||||||
19,530 | 8.875%, 12/15/19 | 21,580 |
SEE NOTES TO FINANCIAL STATEMENTS.
132 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Wireless Telecommunication Services — Continued |
| |||||||
7,455 | 10.000%, 08/15/16 | 8,443 | ||||||
3,250 | NII Holdings, Inc., 3.125%, 06/15/12 | 3,234 | ||||||
1,025 | SBA Telecommunications, Inc., 8.250%, 08/15/19 | 1,130 | ||||||
Sprint Nextel Corp., | ||||||||
67,435 | 6.000%, 12/01/16 (m) | 67,266 | ||||||
5,425 | 8.375%, 08/15/17 | 6,015 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
9,025 | 7.250%, 02/15/18 (e) | 9,318 | ||||||
10,915 | 11.750%, 07/15/17 (e) | 12,525 | ||||||
8,306 | PIK, 12.250%, 07/15/17 (e) | 9,719 | ||||||
266,071 | ||||||||
Total Telecommunication Services | 553,412 | |||||||
Utilities — 4.1% |
| |||||||
Electric Utilities — 0.1% |
| |||||||
1,200 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 1,302 | ||||||
2,500 | PNM Resources, Inc., 9.250%, 05/15/15 | 2,806 | ||||||
8,000 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 9,028 | ||||||
13,136 | ||||||||
Gas Utilities — 0.1% |
| |||||||
8,570 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e) | 8,784 | ||||||
Independent Power Producers & Energy Traders — 3.8% |
| |||||||
AES Eastern Energy LP, | ||||||||
2,870 | 9.000%, 01/02/17 | 2,468 | ||||||
29,145 | 9.670%, 01/02/29 | 24,773 | ||||||
8,275 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 8,978 | ||||||
Calpine Corp., | ||||||||
10,011 | 7.250%, 10/15/17 (e) | 10,486 | ||||||
52,220 | 7.500%, 02/15/21 (e) | 53,395 | ||||||
16,900 | 7.875%, 01/15/23 (e) | 17,365 | ||||||
5,075 | Calpine Generating Co. LLC, HB, 4,823.931%, 04/01/11 (d) | 634 | ||||||
Dynegy Holdings, Inc., | ||||||||
12,200 | 7.125%, 05/15/18 (m) | 8,662 | ||||||
3,900 | 7.500%, 06/01/15 | 3,169 | ||||||
23,825 | 7.750%, 06/01/19 | 17,214 | ||||||
151 | 8.375%, 05/01/16 | 121 | ||||||
41,590 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 (m) | 40,446 | ||||||
Edison Mission Energy, | ||||||||
13,102 | 7.000%, 05/15/17 | 10,646 | ||||||
58,706 | 7.200%, 05/15/19 (m) | 46,671 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Independent Power Producers & Energy |
| |||||||
828 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 799 | ||||||
19,285 | GenOn Energy Inc., 9.875%, 10/15/20 (e) | 20,298 | ||||||
Homer City Funding LLC, | ||||||||
5,180 | 8.137%, 10/01/19 | 4,986 | ||||||
9,342 | 8.734%, 10/01/26 | 8,548 | ||||||
14,581 | Midwest Generation LLC, 8.560%, 01/02/16 | 15,091 | ||||||
7,130 | Mirant Americas Generation LLC, 8.500%, 10/01/21 | 7,522 | ||||||
1,949 | Mirant Mid Atlantic Pass Through Trust, 10.060%, 12/30/28 | 2,202 | ||||||
NRG Energy, Inc., | ||||||||
8,050 | 7.375%, 02/01/16 | 8,332 | ||||||
13,325 | 7.375%, 01/15/17 (m) | 14,041 | ||||||
11,050 | 8.500%, 06/15/19 | 11,768 | ||||||
2,248 | Ormat Funding Corp., 8.250%, 12/30/20 (m) | 2,225 | ||||||
RRI Energy, Inc., | ||||||||
10,780 | 7.625%, 06/15/14 (m) | 11,265 | ||||||
2,600 | 7.875%, 06/15/17 (m) | 2,607 | ||||||
13,903 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 7,821 | ||||||
362,533 | ||||||||
Multi-Utilities — 0.1% |
| |||||||
Energy Future Holdings Corp., | ||||||||
1,306 | 9.750%, 10/15/19 | 1,350 | ||||||
650 | 10.875%, 11/01/17 | 539 | ||||||
4,090 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20 | 4,270 | ||||||
6,159 | ||||||||
Total Utilities | 390,612 | |||||||
Total Corporate Bonds | 7,764,491 | |||||||
| Common Stocks — 1.0% | |||||||
Consumer Discretionary — 0.2% |
| |||||||
Automobiles — 0.2% |
| |||||||
480 | General Motors Co. (a) | 16,082 | ||||||
Broadcasting & Cable TV — 0.0% (g) | ||||||||
9,055 | Adelphia Recovery Trust, Contingent Value | 54 | ||||||
Leisure Equipment & Products — 0.0% (g) | ||||||||
458 | New True Temper Holdings Corp., Inc. (a) (f) (i) | 3,666 | ||||||
Textiles, Apparel & Luxury Goods — 0.0% |
| |||||||
228 | Broder Brothers Co. (a) (f) (i) | — | ||||||
66 | WestPoint International, Inc. (a) (f) (i) | — | ||||||
Total Consumer Discretionary | 19,802 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 133 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Consumer Staples — 0.0% (g) | ||||||||
Food Products — 0.0% (g) | ||||||||
585 | Eurofresh, Inc., ADR (a) (f) (i) | 439 | ||||||
Household Products — 0.0% (g) | ||||||||
27 | Spectrum Brands Holdings, Inc. (a) | 780 | ||||||
Total Consumer Staples | 1,219 | |||||||
Industrials — 0.0% (g) | ||||||||
Commercial Services & Supplies — 0.0% (g) | ||||||||
22 | Quad/Graphics, Inc. (a) | 974 | ||||||
Information Technology — 0.2% | ||||||||
Computers & Peripherals — 0.0% | ||||||||
575 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | ||||||
IT Services — 0.1% | ||||||||
92 | Unisys Corp. (a) | 3,417 | ||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
2,602 | MagnaChip Semiconductor S.A., ADR (a) (f) (i) | 6,319 | ||||||
1,884 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (c) (f) (i) | 4,577 | ||||||
10,896 | ||||||||
Total Information Technology | 14,313 | |||||||
Materials — 0.6% | ||||||||
Chemicals — 0.4% | ||||||||
867 | LyondellBasell Industries N.V., (Netherlands), Class A (a) | 33,012 | ||||||
Construction Materials — 0.0% (g) | ||||||||
399 | U.S. Concrete, Inc. (a) | 3,990 | ||||||
Paper & Forest Products — 0.2% | ||||||||
776 | AbitibiBowater, Inc., (Canada) (a) | 21,717 | ||||||
Total Materials | 58,719 | |||||||
Telecommunication Services — 0.0% (g) |
| |||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
2 | AboveNet, Inc. | 113 | ||||||
1 | XO Holdings, Inc. (a) | 1 | ||||||
114 | ||||||||
Total Telecommunication Services | 114 | |||||||
Utilities — 0.0% (g) | ||||||||
Independent Power Producers & Energy Traders — 0.0% (g) | ||||||||
19 | GenOn Energy, Inc. (a) | 79 | ||||||
Total Common Stocks | 95,220 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Preferred Stocks — 0.5% | |||||||
Consumer Discretionary — 0.0% (g) | ||||||||
Automobiles — 0.0% (g) | ||||||||
63 | General Motors Co., 4.750%, 12/01/13 | 3,205 | ||||||
Media — 0.0% (g) | ||||||||
77 | Spanish Broadcasting System, Inc. (a) (f) (i) | 1 | ||||||
1 | Spanish Broadcasting System, Inc., PIK, 10.750%, 04/01/11 (a) (f) (i) (x) | 617 | ||||||
618 | ||||||||
Total Consumer Discretionary | 3,823 | |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
1 | Eurofresh, Inc., ADR (a) (f) (i) | 817 | ||||||
Financials — 0.5% |
| |||||||
Commercial Banks — 0.2% |
| |||||||
112 | CoBank ACB, 7.000%, 04/01/11 (e) (f) (i) (x) | 5,250 | ||||||
95 | CoBank ACB, Series C, 11.000%, | 5,383 | ||||||
161 | CoBank ACB, Series D, 11.000%, | 9,085 | ||||||
19,718 | ||||||||
Consumer Finance — 0.3% |
| |||||||
20 | Ally Financial, Inc., 7.000%, 12/31/11 (e) (x) | 18,941 | ||||||
326 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 8,829 | ||||||
27,770 | ||||||||
Total Financials | 47,488 | |||||||
Information Technology — 0.0% |
| |||||||
Computers & Peripherals — 0.0% |
| |||||||
131 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | ||||||
Total Preferred Stocks | 52,128 | |||||||
| Loan Participations & Assignments — 13.9% |
| ||||||
Consumer Discretionary — 6.5% |
| |||||||
Auto Components — 0.2% |
| |||||||
20,075 | Remy International, Term Loan B, VAR, 6.250%, 02/16/16 | 20,301 | ||||||
2,950 | UCI International, Term Loan, VAR, 5.500%, 07/26/17 | 2,963 | ||||||
23,264 | ||||||||
Automobiles — 0.4% |
| |||||||
Ford Motor Co., Tranche B1 Term Loan, | ||||||||
27,032 | VAR, 3.020%, 12/15/13 | 26,997 | ||||||
11,771 | VAR, 3.020%, 12/15/13 | 11,755 | ||||||
2,266 | VAR, 3.020%, 12/15/13 | 2,263 | ||||||
41,015 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
134 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Gaming — 1.8% |
| |||||||
22,650 | Boyd Gaming Corp., 1st Lien Term Loan, 12/17/15^ | 22,376 | ||||||
23,000 | CCM Merger, Inc., Term Loan, 03/01/17^ | 23,287 | ||||||
CCM Merger, Inc., Term Loan B, | ||||||||
1,000 | Citycenter Holdings, Inc., Term Loan, 06/30/15^ | 1,010 | ||||||
9,166 | VAR, 8.500%, 07/13/12 | 9,166 | ||||||
2,504 | VAR, 8.500%, 07/13/12 | 2,504 | ||||||
1,192 | VAR, 8.500%, 07/13/12 | 1,192 | ||||||
71,027 | Harrah’s Entertainment Operating Co., Inc., Term B-2 Loan, VAR, 3.303%, 01/28/15 | 65,828 | ||||||
973 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan A, VAR, 5.000%, 11/25/13 | 969 | ||||||
3,071 | Isle of Capri Casinos, Inc., Delayed Draw Term Loan B, VAR, 5.000%, 11/25/13 | 3,061 | ||||||
7,004 | Isle of Capri Casinos, Inc., Initial Term Loan, VAR, 5.000%, 11/25/13 | 6,981 | ||||||
MGM Resorts International, Class C Loan, | ||||||||
7,293 | VAR, 7.000%, 02/21/14 | 7,184 | ||||||
9,207 | VAR, 7.000%, 02/21/14 | 9,071 | ||||||
5,000 | MGM Resorts International, Extended Term Loan E, VAR, 7.000%, 02/21/14 | 4,926 | ||||||
Sugarhouse HSP Gaming, Term Loan B, | ||||||||
100 | VAR, 11.250%, 09/23/14 | 102 | ||||||
1,212 | VAR, 11.250%, 09/23/14 | 1,231 | ||||||
12,556 | VAR, 11.250%, 09/23/14 | 12,754 | ||||||
3,400 | Venetian Orient Ltd., Term Loan F, VAR, 4.790%, 06/17/15 | 3,357 | ||||||
174,999 | ||||||||
Hotels, Restaurants & Leisure — 0.4% |
| |||||||
4,597 | Dine Equity Inc., Term B-1 Loan, 10/01/17^ | 4,627 | ||||||
Outback Steakhouse, Prefunded RC Commitment, | ||||||||
352 | VAR, 0.122%, 06/14/13 | 346 | ||||||
1,253 | VAR, 2.563%, 06/14/13 | 1,230 | ||||||
24,337 | Outback Steakhouse, Term Loan B, VAR, 2.625%, 06/14/14 | 23,904 | ||||||
4,478 | Wendy’s/Arby’s Restaurants LLC, Term Loan, VAR, 5.000%, 05/24/17 | 4,510 | ||||||
34,617 | ||||||||
Media — 2.1% |
| |||||||
14,000 | Bresnan Communications, Term Loan B, VAR, 4.500%, 12/15/17 | 14,083 | ||||||
20,393 | Cengage Learning Acquisitions, Term Loan, VAR, 2.550%, 07/03/14 | 19,570 | ||||||
34,089 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.912%, 01/29/16 | 31,157 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
Entercom Radio LLC, Term Loan A, | ||||||||
13,429 | VAR, 1.387%, 06/30/12 | 13,261 | ||||||
499 | VAR, 3.375%, 06/30/12 | 493 | ||||||
5,164 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 5,179 | ||||||
Media General, Inc., Term Loan, | ||||||||
2,124 | VAR, 4.513%, 03/29/13 | 2,070 | ||||||
6,677 | VAR, 4.561%, 03/29/13 | 6,506 | ||||||
Miramax Films, LLC, 1st Lien, | ||||||||
863 | VAR, 7.750%, 02/15/15 | 879 | ||||||
812 | VAR, 7.750%, 02/15/15 | 827 | ||||||
812 | VAR, 7.750%, 02/15/15 | 827 | ||||||
812 | VAR, 7.750%, 02/15/15 | 827 | ||||||
18,882 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 18,935 | ||||||
3,820 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 4,047 | ||||||
499 | Nielsen Finance LLC, Class B Dollar Term Loan, VAR, 4.014%, 05/01/16 | 502 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
1,403 | VAR, 9.000%, 10/24/14 | 1,081 | ||||||
12,488 | VAR, 9.000%, 10/24/14 | 9,621 | ||||||
12,264 | VAR, 9.000%, 10/24/14 | 9,448 | ||||||
1,403 | VAR, 9.000%, 10/24/14 | 1,081 | ||||||
1,318 | VAR, 9.000%, 10/24/14 | 1,015 | ||||||
50,879 | Univision Communications, Inc., Initial Lien Term Loan, VAR, 2.512%, 09/29/14 | 49,334 | ||||||
7,695 | Univision Communications, Inc., Extended First Lien Term Loan, VAR, 4.512%, 03/31/17 | 7,483 | ||||||
Vertis, Inc., 1st Lien Term Loan, | ||||||||
1,906 | VAR, 11.750%, 12/31/15 | 1,906 | ||||||
94 | VAR, 11.750%, 12/31/15 | 94 | ||||||
200,226 | ||||||||
Specialty Retail — 1.6% |
| |||||||
Claire’s Stores, Term Loan B, | ||||||||
14,650 | 12/31/49^ | 14,257 | ||||||
60,597 | VAR, 3.012%, 05/29/14 | 58,972 | ||||||
12,701 | VAR, 3.054%, 05/29/14 | 12,360 | ||||||
15,558 | VAR, 5.000%, 05/29/14 | 15,141 | ||||||
General Nutrition Centers, Inc., Term Loan B, | ||||||||
3,553 | VAR, 2.560%, 09/16/13 | 3,544 | ||||||
1,184 | VAR, 2.560%, 09/16/13 | 1,182 | ||||||
2,895 | VAR, 4.500%, 09/16/13 | 2,887 | ||||||
10,400 | Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/11/18 | 10,410 | ||||||
11,600 | J. Crew, 1st Lien Term Loan, 03/04/18^ | 11,602 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 135 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
Michael’s Stores, Term B-1 Loan, | ||||||||
1,625 | VAR, 2.563%, 10/31/13 | 1,619 | ||||||
1,503 | VAR, 2.563%, 10/31/13 | 1,497 | ||||||
944 | VAR, 2.563%, 10/31/13 | 940 | ||||||
2,144 | VAR, 2.625%, 10/31/13 | 2,135 | ||||||
Michael’s Stores, Term B-2 Loan, | ||||||||
1,862 | VAR, 4.813%, 07/31/16 | 1,874 | ||||||
1,721 | VAR, 4.813%, 07/31/16 | 1,732 | ||||||
1,081 | VAR, 4.813%, 07/31/16 | 1,088 | ||||||
2,456 | VAR, 4.875%, 07/31/16 | 2,472 | ||||||
143,712 | ||||||||
Total Consumer Discretionary | 617,833 | |||||||
Consumer Staples — 1.3% |
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
15,700 | Rite Aid Corp., Term Loan, 02/28/18^ | 15,680 | ||||||
2,205 | Rite Aid Corp., Term Loan 3, VAR, 6.000%, 06/04/14 | 2,202 | ||||||
Rite Aid Corp., Tranche 2 Term Loan, | ||||||||
12,632 | VAR, 2.020%, 06/04/14 | 12,192 | ||||||
8,334 | VAR, 2.020%, 06/04/14 | 8,044 | ||||||
8,271 | VAR, 2.020%, 06/04/14 | 7,982 | ||||||
46,100 | ||||||||
Food Products — 0.3% |
| |||||||
Bolthouse Farms, 1st Lien Term Loan, | ||||||||
4,239 | VAR, 5.500%, 02/11/16 | 4,272 | ||||||
16 | VAR, 5.750%, 02/11/16 | 16 | ||||||
Dole Food Co., Term Loan B, | ||||||||
1,976 | VAR, 5.000%, 02/11/17 | 1,992 | ||||||
171 | VAR, 5.500%, 02/11/17 | 173 | ||||||
94 | VAR, 5.500%, 02/11/17 | 95 | ||||||
Dole Food Co., Term Loan C, | ||||||||
3,012 | VAR, 5.000%, 03/02/17 | 3,036 | ||||||
2,118 | VAR, 5.000%, 03/02/17 | 2,135 | ||||||
439 | VAR, 5.500%, 03/02/17 | 443 | ||||||
Pierre Foods, Inc., 1st Lien Term Loan, | ||||||||
9,179 | VAR, 7.000%, 09/30/16 | 9,245 | ||||||
23 | VAR, 7.000%, 09/30/16 | 23 | ||||||
6,160 | Pierre Foods, Inc., 2nd Lien Term Loan, VAR, 11.250%, 09/29/17 | 6,311 | ||||||
27,741 | ||||||||
Personal Products — 0.5% |
| |||||||
8,800 | NBTY, Inc., 1st Lien Term Loan, 10/01/17^ | 8,833 | ||||||
10,710 | NBTY, Inc., Term Loan B, VAR, 6.250%, 09/21/16 | 10,820 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — Continued |
| |||||||
17,250 | Visant Corp., 1st Lien Term Loan, 12/22/16^ | 17,293 | ||||||
Visant Corp., Tranche B Term Loan, | ||||||||
10,448 | VAR, 7.000%, 12/22/16 | 10,543 | ||||||
26 | VAR, 7.000%, 12/22/16 | 27 | ||||||
47,516 | ||||||||
Total Consumer Staples | 121,357 | |||||||
Energy — 0.1% |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
2,150 | Equipower Resource Holdings, 1st Lien Term Loan, VAR, 5.750%, 01/26/18 | 2,163 | ||||||
Oil, Gas & Consumable Fuels — 0.1% |
| |||||||
6,600 | Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16 | 6,683 | ||||||
Total Energy | 8,846 | |||||||
Financials — 1.7% |
| |||||||
Capital Markets — 0.2% |
| |||||||
22,051 | Pinafore LLC, Term Loan B1, VAR, 4.250%, 09/29/16 | 22,172 | ||||||
Consumer Finance — 0.1% |
| |||||||
6,875 | American General Finance Corp., Term Loan B, VAR, 7.250%, 04/21/15 | 6,933 | ||||||
Diversified Financial Services — 1.4% |
| |||||||
137,120 | Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d) | 68,104 | ||||||
7,575 | Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d) | 3,731 | ||||||
Checksmart Financial Co., Term Loan B, | ||||||||
1,370 | VAR, 2.770%, 05/01/12 (f) (i) | 1,230 | ||||||
2,833 | VAR, 2.810%, 05/01/12 (f) (i) | 2,543 | ||||||
CIT Group, Inc., Tranche 3 Term Loan, | ||||||||
3,206 | VAR, 6.250%, 07/27/15 | 3,251 | ||||||
1,049 | VAR, 6.250%, 07/27/15 | 1,064 | ||||||
835 | VAR, 6.250%, 07/27/15 | 846 | ||||||
760 | VAR, 6.250%, 07/27/15 | 771 | ||||||
760 | VAR, 6.250%, 07/27/15 | 771 | ||||||
417 | VAR, 6.250%, 07/27/15 | 423 | ||||||
3,189 | VAR, 6.250%, 07/27/15 | 3,233 | ||||||
1,362 | VAR, 6.250%, 07/27/15 | 1,381 | ||||||
1,246 | VAR, 6.250%, 07/27/15 | 1,263 | ||||||
Clarke American Corp., Term Loan B, | ||||||||
7,666 | VAR, 2.762%, 06/30/14 | 7,292 | ||||||
5,585 | VAR, 2.762%, 06/30/14 | 5,313 | ||||||
12,414 | VAR, 2.803%, 06/30/14 | 11,809 | ||||||
12,189 | VAR, 2.803%, 06/30/14 | 11,595 |
SEE NOTES TO FINANCIAL STATEMENTS.
136 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
4,632 | VAR, 2.803%, 06/30/14 | 4,407 | ||||||
2,850 | International Lease Finance Corp., Term Loan 1, VAR, 6.750%, 03/17/15 | 2,864 | ||||||
131,891 | ||||||||
Insurance — 0.0% (g) |
| |||||||
988 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/04/14 | 999 | ||||||
Thrift & Mortgage Finance — 0.0% (g) |
| |||||||
1,019 | Ocwen Financial Corp., Initial Term Loan, VAR, 9.000%, 07/29/15 | 1,017 | ||||||
Total Financials | 163,012 | |||||||
Health Care — 0.2% |
| |||||||
Health Care Providers & Services — 0.1% |
| |||||||
3,600 | Inventive Health, Term Loan, 08/04/16^ | 3,613 | ||||||
1,638 | Vanguard Health Systems, Term Loan B, VAR, 5.000%, 01/29/16 | 1,646 | ||||||
5,259 | ||||||||
Pharmaceuticals — 0.1% |
| |||||||
Axcan Intermediate Holdings, Inc., Term Loan, | ||||||||
7,048 | VAR, 5.500%, 02/10/17 | 7,054 | ||||||
1,205 | VAR, 5.500%, 02/10/17 | 1,206 | ||||||
2,444 | Catalent Pharma Solutions, Inc., Dollar Term Loans, VAR, 2.512%, 04/10/14 | 2,405 | ||||||
10,665 | ||||||||
Total Health Care | 15,924 | |||||||
Industrials — 0.7% |
| |||||||
Airlines — 0.1% |
| |||||||
988 | Delta Air Lines, Inc., Term Loan B, VAR, 8.750%, 09/27/13 | 988 | ||||||
Delta Airlines, Inc., 1st Lien Credit Linked Deposit, | ||||||||
2,245 | VAR, 0.094%, 04/30/12 | 2,178 | ||||||
4,299 | VAR, 2.264%, 04/30/12 | 4,170 | ||||||
7,336 | ||||||||
Building Products — 0.1% |
| |||||||
561 | Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.203%, 02/07/14 | 474 | ||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||
13 | VAR, 2.533%, 02/07/14 | 11 | ||||||
6,154 | VAR, 2.554%, 02/07/14 | 5,200 | ||||||
5,685 | ||||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — 0.1% |
| |||||||
11,400 | Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16 | 11,495 | ||||||
Electrical Equipment — 0.1% |
| |||||||
216 | Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16 | 216 | ||||||
3,454 | Electrical Components International, Inc., Term Loan, VAR, 6.750%, 01/25/17 | 3,458 | ||||||
Generac Power Systems, Term Loan B, | ||||||||
1,347 | VAR, 2.760%, 11/10/13 | 1,344 | ||||||
7,600 | VAR, 2.803%, 11/10/13 | 7,583 | ||||||
12,601 | ||||||||
Industrial Conglomerates — 0.1% |
| |||||||
12,855 | BOC Edwards, Extended Term Loan, VAR 5.500%, 05/31/16 | 12,758 | ||||||
Industrial Machinery — 0.1% |
| |||||||
13,325 | Intelligrated Inc., Term Loan, VAR, 7.500%, 02/17/17 | 13,192 | ||||||
Road & Rail — 0.1% |
| |||||||
9,905 | Swift Transportation Co., Term Loan, VAR, 6.000%, 12/21/16 | 9,960 | ||||||
Total Industrials | 73,027 | |||||||
Information Technology — 1.2% |
| |||||||
Communications Equipment — 0.3% |
| |||||||
7,781 | Avaya, Inc., Term Loan B1, VAR, 3.061%, 10/26/14 | 7,545 | ||||||
15,629 | Avaya, Inc., Term Loan B3 Extending Tranche, VAR, 4.811%, 10/27/17 | 15,302 | ||||||
1,143 | Brocade Communications Systems, Inc., Term Loan, VAR, 7.000%, 10/07/13 | 1,148 | ||||||
8,150 | Syniverse Holdings, Inc., Term Loan B, VAR, 5.250%, 12/22/17 | 8,240 | ||||||
32,235 | ||||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
3,344 | Stratus Technologies, Inc., 2nd Lien Term Loan, VAR, 5.320%, 06/30/15 (f) (i) | 2,190 | ||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
13,000 | CDW Corp., Extended Tranche E, VAR, 5.264%, 07/15/17 | 12,996 | ||||||
201 | CDW Corp., Non Extended Term Loan, VAR, 4.264%, 10/10/14 | 201 | ||||||
13,197 | ||||||||
Internet Software & Services — 0.1% |
| |||||||
Savvis Communications Corp., Term Loan B, | ||||||||
5,945 | VAR, 6.750%, 08/04/16 | 5,996 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 137 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Internet Software & Services — Continued |
| |||||||
40 | VAR, 6.750%, 08/04/16 | 40 | ||||||
6,800 | Softlayer Technologies, Term Loan, 11/09/16^ | 6,845 | ||||||
12,881 | ||||||||
IT Services — 0.5% |
| |||||||
1,337 | CompuCom Systems, Term Loan, VAR, 3.770%, 08/23/14 (f) (i) | 1,300 | ||||||
10,480 | First Data Corp., Initial Tranche B-1, VAR, 3.012%, 09/24/14 | 9,900 | ||||||
24,424 | First Data Corp., Initial Tranche B-3, VAR, 3.011%, 09/24/14 | 23,068 | ||||||
4,478 | Interactive Data Corp., Term Loan B, VAR, 4.750%, 02/11/18 | 4,515 | ||||||
Transaction Network Services, Initial Term Loan, | ||||||||
4,062 | VAR, 6.000%, 12/01/15 | 4,071 | ||||||
118 | VAR, 6.000%, 12/01/15 | 119 | ||||||
42,973 | ||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
13,093 | Freescale Semiconductor, Inc., Extended Maturity Term Loan, VAR, 4.510%, 12/01/16 | 13,078 | ||||||
Total Information Technology | 116,554 | |||||||
Materials — 1.0% |
| |||||||
Chemicals — 0.7% |
| |||||||
11,371 | AZ Chem U.S., Inc., Term Loan, VAR, 6.750%, 11/18/16 | 11,502 | ||||||
7,148 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.553%, 05/15/14 | 7,123 | ||||||
7,925 | Cristal Inorganic Chemicals (Millennium), 2nd Lien Term Loan, VAR, 6.053%, 11/14/14 (f) (i) | 7,910 | ||||||
9,668 | Momentive Performance, Extended Maturity Term Loan B, VAR, 3.813%, 05/05/15 | 9,650 | ||||||
714 | Momentive Performance Materials, Inc., Term Loan, 12/04/13 ^ | 712 | ||||||
7,615 | Nexeo Solutions, Initial Loan, 07/31/17^ | 7,637 | ||||||
Styron, 1st Lien Term Loan, | ||||||||
13,865 | VAR, 6.000%, 07/31/17 | 13,981 | ||||||
35 | VAR, 6.000%, 07/31/17 | 35 | ||||||
13,000 | Univar Inc., Term Loan B, 06/01/17^ | 13,045 | ||||||
71,595 | ||||||||
Containers & Packaging — 0.2% |
| |||||||
Berry Plastics Holding, Term Loan C, | ||||||||
6 | VAR, 2.289%, 04/03/15 | 5 | ||||||
2,167 | VAR, 2.314%, 04/03/15 | 2,101 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — Continued |
| |||||||
5,807 | Constar International, Inc., Senior Secured Dip Note, VAR, 9.000%, 10/01/11 (f) (i) | 5,807 | ||||||
Graham Packaging Co., Inc., Term Loan D, | ||||||||
495 | VAR, 6.000%, 10/17/16 | 499 | ||||||
493 | VAR, 6.000%, 10/17/16 | 497 | ||||||
10 | VAR, 6.000%, 10/17/16 | 10 | ||||||
Reynolds Group Holdings, U.S. Term Loan, | ||||||||
5,966 | VAR, 4.250%, 02/14/18 | 5,998 | ||||||
5,298 | VAR, 4.250%, 02/14/18 | 5,326 | ||||||
3,086 | VAR, 4.250%, 02/14/18 | 3,103 | ||||||
23,346 | ||||||||
Paper & Forest Products — 0.1% | ||||||||
7,477 | Smurfit-Stone Container Corp., Exit Term Loan, VAR, 6.750%, 06/30/16 | 7,511 | ||||||
Total Materials | 102,452 | |||||||
Telecommunication Services — 0.5% | ||||||||
Diversified Telecommunication Services — 0.5% |
| |||||||
Level 3 Communications, Tranche A Term Loan, | ||||||||
19,626 | VAR, 2.553%, 03/13/14 | 19,115 | ||||||
10,749 | VAR, 2.553%, 03/13/14 | 10,469 | ||||||
1,000 | Level 3 Communications, Tranche B Term Loan, VAR, 11.500%, 03/13/14 | 1,072 | ||||||
Telecordia Technologies, Inc., Term Loan, | ||||||||
625 | VAR, 6.750%, 04/30/16 | 627 | ||||||
1,856 | VAR, 6.750%, 04/30/16 | 1,862 | ||||||
3,244 | Time Warner Telecom, Term Loan B1, VAR, 2.020%, 01/07/13 | 3,234 | ||||||
7,000 | Vonage Holdings Corp., Term Loan, VAR, 9.750%, 12/14/15 | 7,017 | ||||||
Total Telecommunication Services | 43,396 | |||||||
Utilities — 0.7% | ||||||||
Independent Power Producers & Energy Traders — 0.7% | ||||||||
11,847 | New Development Holdings LLC, Term Loan, VAR, 7.000%, 07/03/17 | 11,962 | ||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-1 Term Loan, | ||||||||
925 | VAR, 3.764%, 10/10/14 | 778 | ||||||
10 | VAR, 3.803%, 10/10/14 | 8 | ||||||
38 | VAR, 3.803%, 10/10/14 | 32 | ||||||
�� | Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | |||||||
773 | VAR, 3.764%, 10/10/14 | 650 | ||||||
1,090 | VAR, 3.803%, 10/10/14 | 917 | ||||||
75 | VAR, 3.803%, 10/10/14 | 63 |
SEE NOTES TO FINANCIAL STATEMENTS.
138 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Independent Power Producers & Energy Traders — Continued | ||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, | ||||||||
54,665 | VAR, 3.764%, 10/10/14 | 45,878 | ||||||
2,024 | VAR, 3.803%, 10/10/14 | 1,699 | ||||||
540 | VAR, 3.803%, 10/10/14 | 453 | ||||||
5,500 | TPF Generation Holdings LLC, 2nd Lien Term Loan, VAR, 4.553%, 12/15/14 | 5,271 | ||||||
Total Utilities | 67,711 | |||||||
Total Loan Participations & Assignments | 1,330,112 | |||||||
NUMBER OF RIGHTS | ||||||||
| Rights — 0.0% (g) | |||||||
Consumer Discretionary — 0.0% (g) | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) | ||||||||
65 | WestPoint International, Inc., expiring 06/08/18 (a) (f) (i) | – |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.8% | |||||||
Investment Company — 3.8% | ||||||||
361,506 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% (b) (l) | 361,506 | ||||||
Investment of Cash Collateral for Securities on |
| |||||||
Investment Company — 0.0% (g) | ||||||||
1,024 | JPMorgan Prime Money Market Fund, Capital Shares, 0.140% (b) (l) | 1,024 | ||||||
Total Investments —100.5% | 9,614,025 | |||||||
Liabilities in Excess of | (51,303 | ) | ||||||
NET ASSETS — 100.0% | $ | 9,562,722 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 139 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 12.5% |
| ||||||
3,060 | Accredited Mortgage Loan Trust, Series 2003-3, Class A1, SUB, 4.460%, 01/25/34 | 2,431 | ||||||
1,110 | AH Mortgage Advance Trust, Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 1,114 | ||||||
2,043 | Ameriquest Mortgage Securities, Inc., Series 2003-7, Class M1, VAR, 1.537%, 08/25/33 | 1,839 | ||||||
Amortizing Residential Collateral Trust, | ||||||||
91 | Series 2002-BC4, Class A, VAR, 0.842%, 07/25/32 | 80 | ||||||
1,581 | Series 2002-BC6, Class M1, VAR, 1.387%, 08/25/32 | 1,104 | ||||||
4,367 | Series 2002-BC9, Class M1, VAR, 1.911%, 12/25/32 | 3,425 | ||||||
Amresco Residential Securities Mortgage Loan Trust, | ||||||||
317 | Series 1997-2, Class M1A, VAR, 0.817%, 06/25/27 | 298 | ||||||
1,338 | Series 1998-1, Class M1A, VAR, 0.907%, 01/25/28 | 1,197 | ||||||
1,554 | Series 1998-3, Class M1A, VAR, 0.892%, 09/25/28 | 1,299 | ||||||
1,635 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M2, VAR, 2.891%, 12/15/33 | 1,414 | ||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||
2,828 | Series 2003-SD1, Class A, VAR, 0.712%, 12/25/33 | 2,565 | ||||||
9,348 | Series 2005-CL1, Class M1, VAR, 0.892%, 09/25/34 (f) | 748 | ||||||
2,860 | Series 2005-HE1, Class M2, VAR, 1.091%, 01/25/35 | 2,200 | ||||||
1,168 | BNC Mortgage Loan Trust, Series 2007-2, Class A2, VAR, 0.362%, 05/25/37 | 1,091 | ||||||
431 | Centex Home Equity, Series 2002-A, Class MV1, VAR, 1.112%, 01/25/32 | 255 | ||||||
1,500 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 1,523 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
211 | Series 2002-1, Class A, VAR, 0.821%, 08/25/32 | 137 | ||||||
196 | Series 2002-BC1, Class A, VAR, 0.921%, 04/25/32 | 118 | ||||||
249 | Series 2002-BC2, Class A, VAR, 0.802%, 04/25/32 | 130 | ||||||
61 | Series 2003-BC2, Class 2A1, VAR, 0.862%, 06/25/33 | 49 | ||||||
2,131 | Series 2003-BC5, Class M1, VAR, 1.312%, 09/25/33 | 872 | ||||||
589 | Series 2004-2, Class M4, VAR, 1.262%, 03/25/34 | 257 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
634 | Series 2004-S1, Class M2, SUB, 5.084%, 02/25/35 | 514 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
1,638 | Series 2004-A, Class A, VAR, 0.486%, 04/15/30 | 1,265 | ||||||
1,071 | Series 2005-E, Class 2A, VAR, 0.486%, 11/15/35 | 683 | ||||||
4,630 | Series 2005-M, Class A1, VAR, 0.506%, 02/15/36 | 2,471 | ||||||
First Franklin Mortgage Loan Asset Backed Certificates, | ||||||||
236 | Series 2002-FF1, Class M1, VAR, 1.312%, 04/25/32 | 97 | ||||||
1,661 | Series 2002-FF4, Class M1, VAR, 1.837%, 02/25/33 | 584 | ||||||
637 | Series 2003-FFH1, Class M2, VAR, 2.887%, 09/25/33 | 74 | ||||||
703 | Series 2004-FF8, Class M4, VAR, 1.332%, 10/25/34 | 95 | ||||||
1,000 | First NLC Trust, Series 2005-2, Class M1, VAR, 0.741%, 09/25/35 | 835 | ||||||
240 | Ford Credit Auto Owner Trust, Series 2006-C, Class A4A, 5.150%, 02/15/12 | 241 | ||||||
3,580 | Fremont Home Loan Trust, Series 2005-C, Class M2, VAR, 0.752%, 07/25/35 | 2,449 | ||||||
680 | Greenpoint Mortgage Funding Trust, Series 2005-HE3, Class A, VAR, 0.446%, 09/15/30 | 309 | ||||||
1,500 | Harley-Davidson Motorcycle Trust, Series 2009-2, Class A4, 3.320%, 02/15/17 | 1,546 | ||||||
434 | Irwin Home Equity Corp., Series 2004-1, Class 1A1, VAR, 0.902%, 12/25/24 | 246 | ||||||
105 | Lehman Home Equity Loan Trust, Series 1998-1, Class A1, 7.000%, 05/25/28 | 105 | ||||||
843 | Long Beach Mortgage Loan Trust, Series 2004-1, Class M3, VAR, 1.312%, 02/25/34 | 737 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
2,575 | Series 2003-NC6, Class M1, VAR, 1.461%, 06/25/33 | 2,418 | ||||||
7,500 | Series 2005-WMC4, Class M5, VAR, 0.911%, 04/25/35 | 4,936 | ||||||
321 | New Century Home Equity Loan Trust, Series 2003-5, Class AII, VAR, 0.662%, 11/25/33 | 196 | ||||||
1,385 | Option One Mortgage Loan Trust, Series 2002-4, Class M1, VAR, 1.162%, 07/25/32 | 1,259 | ||||||
2,500 | Park Place Securities, Inc., Series 2005-WHQ3, Class M2, VAR, 0.712%, 06/25/35 | 1,836 | ||||||
476 | Residential Asset Mortgage Products, Inc., Series 2003-RS2, Class AII, VAR, 0.942%, 03/25/33 | 343 |
SEE NOTES TO FINANCIAL STATEMENTS.
140 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
Residential Asset Securities Corp., | ||||||||
621 | Series 2003-KS4, Class MI2, SUB, 5.010%, 06/25/33 | 165 | ||||||
375 | Series 2005-EMX4, Class A2, VAR, 0.521%, 11/25/35 | 370 | ||||||
Residential Funding Mortgage Securities II, Inc., | ||||||||
760 | Series 2001-HI2, Class AI7, SUB, 6.940%, 04/25/26 | 699 | ||||||
767 | Series 2001-HI4, Class A7, SUB, 6.740%, 10/25/26 | 701 | ||||||
195 | Series 2003-HS1, Class AII, VAR, 0.551%, 12/25/32 | 149 | ||||||
168 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3, VAR, 0.961%, 04/25/33 | 143 | ||||||
186 | Structured Asset Securities Corp., Series 2002-HF1, Class A, VAR, 0.551%, 01/25/33 | 166 | ||||||
Total Asset-Backed Securities | 49,778 | |||||||
| Collateralized Mortgage Obligations — 44.4% |
| ||||||
Agency CMO — 21.3% |
| |||||||
1,048 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 1, Class S, IF, IO, 8.649%, 10/25/22 | 197 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
27 | Series 1071, Class F, VAR, 1.262%, 04/15/21 | 27 | ||||||
41 | Series 1343, Class LA, 8.000%, 08/15/22 | 48 | ||||||
32 | Series 1370, Class JA, VAR, 1.463%, 09/15/22 | 32 | ||||||
27 | Series 1379, Class W, VAR, 2.800%, 10/15/22 | 29 | ||||||
8 | Series 1508, Class KA, VAR, 2.108%, 05/15/23 | 8 | ||||||
26 | Series 1607, Class SA, IF, 19.312%, 10/15/13 | 29 | ||||||
507 | Series 1689, Class M, PO, 03/15/24 | 447 | ||||||
212 | Series 1771, Class PK, 8.000%, 02/15/25 | 257 | ||||||
401 | Series 1974, Class ZA, 7.000%, 07/15/27 | 446 | ||||||
70 | Series 1981, Class Z, 6.000%, 05/15/27 | 78 | ||||||
2 | Series 2006, Class I, IO, 8.000%, 10/15/12 | — | (h) | |||||
276 | Series 2033, Class PR, PO, 03/15/24 | 244 | ||||||
46 | Series 2261, Class ZY, 7.500%, 10/15/30 | 52 | ||||||
17 | Series 2289, Class NA, VAR, 11.752%, 05/15/20 | 19 | ||||||
145 | Series 2338, Class FN, VAR, 0.766%, 08/15/28 | 146 | ||||||
285 | Series 2416, Class SA, IF, 15.081%, 02/15/32 | 349 | ||||||
201 | Series 2416, Class SH, IF, 15.472%, 02/17/32 | 257 | ||||||
68 | Series 2477, Class FZ, VAR, 0.816%, 06/15/31 | 68 | ||||||
3,144 | Series 2649, Class FK, VAR, 0.816%, 07/15/33 | 3,155 | ||||||
1,322 | Series 2661, Class FG, VAR, 0.716%, 03/15/17 | 1,327 | ||||||
1,788 | Series 3085, Class VS, HB, IF, 27.657%, 12/15/35 | 2,609 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
3,415 | Series 3300, Class FA, VAR, 0.566%, 08/15/35 | 3,415 | ||||||
9,455 | Series 3737, Class DG, 5.000%, 10/15/30 | 10,091 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
109 | Series T-51, Class 1APO, PO, 09/25/42 | 90 | ||||||
1,583 | Series T-54, Class 4A, VAR, 3.962%, 02/25/43 | 1,653 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
902 | Series 2001-T8, Class A1, 7.500%, 07/25/41 | 1,023 | ||||||
2,176 | Series 2002-T6, Class A4, VAR, 3.809%, 03/25/41 | 2,225 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
2,642 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 236 | ||||||
3,786 | Series 343, Class 27, IO, 4.500%, 01/01/19 | 360 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
41 | Series 1988-15, Class B, VAR, 0.831%, 06/25/18 | 41 | ||||||
5 | Series 1989-77, Class J, 8.750%, 11/25/19 | 6 | ||||||
2 | Series 1989-89, Class H, 9.000%, 11/25/19 | 2 | ||||||
117 | Series 1990-64, Class Z, 10.000%, 06/25/20 | 135 | ||||||
266 | Series 1990-145, Class A, VAR, 1.316%, 12/25/20 (m) | 266 | ||||||
152 | Series 1991-142, Class PL, 8.000%, 10/25/21 | 171 | ||||||
170 | Series 1991-156, Class F, VAR, 1.581%, 11/25/21 | 173 | ||||||
1 | Series 1992-91, Class SQ, HB, IF, 9,228.750%, 05/25/22 | 110 | ||||||
357 | Series 1992-112, Class GB, 7.000%, 07/25/22 | 394 | ||||||
9 | Series 1992-154, Class SA, IF, IO, 5.400%, 08/25/22 | 1 | ||||||
141 | Series 1992-200, Class FK, VAR, 2.808%, 11/25/22 | 145 | ||||||
153 | Series 1993-27, Class S, IF, 9.329%, 02/25/23 | 173 | ||||||
302 | Series 1993-110, Class H, 6.500%, 05/25/23 | 348 | ||||||
36 | Series 1993-119, Class H, 6.500%, 07/25/23 | 39 | ||||||
297 | Series 1993-146, Class E, PO, 05/25/23 | 263 | ||||||
135 | Series 1993-165, Class FH, VAR, 1.431%, 09/25/23 | 138 | ||||||
654 | Series 1993-179, Class FM, VAR, 2.758%, 10/25/23 | 676 | ||||||
80 | Series 1997-74, Class E, 7.500%, 10/20/27 | 91 | ||||||
1,433 | Series 2001-9, Class F, VAR, 0.514%, 02/17/31 | 1,429 | ||||||
447 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 86 | ||||||
1,997 | Series 2002-77, Class FY, VAR, 0.662%, 12/25/17 | 2,012 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 141 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,254 | Series 2003-17, Class FN, VAR, 0.561%, 03/25/18 | 3,269 | ||||||
145 | Series 2003-21, Class FK, VAR, 0.662%, 03/25/33 | 145 | ||||||
2,845 | Series 2003-34, Class BS, IF, IO, 7.388%, 05/25/22 | 176 | ||||||
299 | Series 2003-60, Class SA, IF, IO, 7.388%, 07/25/21 | 6 | ||||||
568 | Series 2003-60, Class SB, IF, IO, 7.388%, 07/25/21 | 10 | ||||||
2,477 | Series 2004-17, Class BF, VAR, 0.611%, 01/25/34 | 2,486 | ||||||
4,791 | Series 2006-3, Class SB, IF, IO, 6.438%, 07/25/35 | 752 | ||||||
1,870 | Series 2007-2, Class FA, VAR, 0.461%, 02/25/37 | 1,855 | ||||||
22,053 | Series 2010-42, Class PD, 4.500%, 07/25/39 | 22,800 | ||||||
100 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 122 | ||||||
1,618 | Series G94-9, Class PJ, 6.500%, 08/17/24 | 1,796 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
484 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 552 | ||||||
2,527 | Series 2003-W4, Class 5A, VAR, 4.055%, 10/25/42 | 2,643 | ||||||
2,802 | Series 2003-W15, Class 3A, VAR, 4.284%, 12/25/42 (m) | 2,902 | ||||||
475 | Series 2004-W2, Class 1A3F, VAR, 0.611%, 02/25/44 | 471 | ||||||
1,321 | Series 2004-W2, Class 4A, VAR, 3.927%, 02/25/44 | 1,356 | ||||||
2,794 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 3,077 | ||||||
Government National Mortgage Association, | ||||||||
1,034 | Series 1999-27, Class ZA, 7.500%, 04/17/29 | 1,111 | ||||||
27 | Series 2000-35, Class F, VAR, 0.815%, 12/16/25 | 27 | ||||||
669 | Series 2002-31, Class FC, VAR, 0.511%, 09/26/21 | 668 | ||||||
2,175 | Series 2003-21, Class PI, IO, 5.500%, 06/20/32 | 186 | ||||||
32,992 | Series 2003-59, Class XA, IO, VAR, 1.768%, 06/16/34 | 1,584 | ||||||
938 | NCUA Guaranteed Notes, Series 2010-C1, | 917 | ||||||
84,527 | ||||||||
Non-Agency CMO — 23.1% |
| |||||||
Banc of America Funding Corp., | ||||||||
2,257 | Series 2005-E, Class 5A1, VAR, 5.015%, 05/20/35 | 2,126 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
2,318 | Series 2006-1, Class 2A1, 5.500%, 01/25/36 | 2,276 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
52 | Series 2003-5, Class 2A8, VAR, 0.712%, 07/25/18 | 38 | ||||||
1,822 | Series 2005-10, Class 1A13, 5.500%, 11/25/35 | 1,781 | ||||||
1,971 | Series 2005-A, Class 3A1, VAR, 4.977%, 02/25/35 | 1,796 | ||||||
940 | Bear Stearns Asset Backed Securities Trust, Series 2004-AC6, Class M1, VAR, 0.932%, 11/25/34 | 555 | ||||||
754 | Chase Mortgage Finance Corp., Series 2003-S7, Class A4, VAR, 0.662%, 08/25/18 | 697 | ||||||
122 | Citicorp Mortgage Securities, Inc., | 123 | ||||||
34 | Collateralized Mortgage Obligation Trust, Series 50, Class B, PO, 10/01/18 | 32 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
1,713 | Series 2003-J1, Class 1A8, 5.250%, 10/25/33 | 1,703 | ||||||
2,002 | Series 2004-33, Class 3A3, VAR, 2.694%, 12/25/34 | 1,300 | ||||||
1,255 | Series 2004-J4, Class 1A6, SUB, 4.900%, 06/25/34 | 1,267 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
1,145 | Series 2003-21, Class A1, VAR, 2.916%, 05/25/33 | 1,017 | ||||||
561 | Series 2004-HYB8, Class 1A1, VAR, 0.612%, 01/20/35 | 455 | ||||||
782 | Series 2005-1, Class 1A2, VAR, 0.611%, 03/25/35 | 171 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
14 | Series 2002-AR2, Class 1B2, VAR, 3.712%, 02/25/32 | 1 | ||||||
2,545 | Series 2003-AR24, Class 2A4, VAR, 2.755%, 10/25/33 | 2,307 | ||||||
1,132 | Series 2004-5, Class 4A1, 6.000%, 09/25/34 | 1,182 | ||||||
1,145 | Series 2004-AR3, Class 6M1, VAR, 1.361%, 04/25/34 | 996 | ||||||
1,097 | Series 2005-5, Class 1A1, 5.000%, 07/25/20 | 1,112 | ||||||
1,774 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.602%, 02/25/20 | 1,801 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
643 | Series 2005-AA7, Class 1A2, VAR, 2.444%, 09/25/35 | 17 | ||||||
1,571 | Series 2005-FA10, Class 2A1, 5.250%, 12/25/20 | 1,510 |
SEE NOTES TO FINANCIAL STATEMENTS.
142 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
First Horizon Asset Securities, Inc., | ||||||||
2,116 | Series 2004-AR6, Class 2A1, VAR, 2.769%, 12/25/34 | 2,028 | ||||||
668 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 | 662 | ||||||
1,137 | Series 2005-6, Class 1A1, 5.500%, 11/25/35 | 1,137 | ||||||
First Republic Mortgage Loan Trust, | ||||||||
141 | Series 2000-FRB1, Class B1, VAR, 0.762%, 06/25/30 | 101 | ||||||
755 | Series 2000-FRB2, Class A1, VAR, 0.766%, 11/15/30 | 753 | ||||||
4,855 | GSAA Home Equity Trust, Series 2004-CW1, Class 1A1, 5.500%, 04/01/34 | 5,053 | ||||||
3,635 | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1, 5.500%, 09/25/34 | 3,693 | ||||||
Impac CMB Trust, | ||||||||
1,742 | Series 2004-3, Class 3A, VAR, 0.582%, 03/25/34 | 1,634 | ||||||
624 | Series 2004-6, Class 1A2, VAR, 1.042%, 10/25/34 | 577 | ||||||
2,492 | Series 2005-5, Class A1, VAR, 0.582%, 08/25/35 | 1,924 | ||||||
2,285 | Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1, VAR, 5.426%, 03/25/37 | 1,765 | ||||||
JPMorgan Mortgage Trust, | ||||||||
490 | Series 2003-A1, Class 1A1, VAR, 2.259%, 10/25/33 | 490 | ||||||
829 | Series 2005-A2, Class 5A1, VAR, 4.295%, 04/25/35 | 838 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
2,018 | Series 2003-5, Class 5A1, VAR, 2.595%, 10/25/33 | 2,093 | ||||||
191 | Series 2004-7, Class 6A1, VAR, 0.701%, 08/25/34 | 189 | ||||||
1,576 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 1,541 | ||||||
3,220 | Series 2004-13, Class 3A7B, VAR, 2.240%, 11/21/34 | 2,998 | ||||||
426 | MASTR Seasoned Securities Trust, Series 2003-1, Class 3A2, VAR, 0.662%, 02/25/33 | 427 | ||||||
Mellon Residential Funding Corp., | ||||||||
1,205 | Series 2001-TBC1, Class B1, VAR, 1.146%, 11/15/31 | 866 | ||||||
261 | Series 2002-TBC1, Class B1, VAR, 1.266%, 09/15/30 | 212 | ||||||
131 | Series 2002-TBC1, Class B2, VAR, 1.666%, 09/15/30 | 102 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
797 | Series 2002-TBC2, Class B1, VAR, 1.116%, 08/15/32 | 607 | ||||||
224 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 250 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
1,195 | Series 2004-1, Class 2A3, VAR, 2.268%, 12/25/34 | 1,073 | ||||||
1,806 | Series 2004-D, Class A1, VAR, 0.592%, 08/25/29 | 1,701 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
738 | Series 2003-HYB1, Class A4, VAR, 1.932%, 03/25/33 | 715 | ||||||
545 | Series 2003-HYB1, Class B1, VAR, 1.932%, 03/25/33 | 342 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
883 | Series 2004-5AR, Class 3A3, VAR, 2.558%, 07/25/34 | 540 | ||||||
4,650 | Series 2004-5AR, Class 3A5, VAR, 2.558%, 07/25/34 | 3,744 | ||||||
2,063 | Series 2004-11AR, Class 1A2A, VAR, 0.571%, 01/25/35 | 1,754 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
500 | Series 2003-A3, Class A1, SUB, 5.000%, 08/25/33 | 480 | ||||||
160 | Series 2004-AR1, Class 5A1, VAR, 1.022%, 08/25/34 | 143 | ||||||
2,333 | Series 2004-R3, Class AF, VAR, 0.712%, 02/25/35 (e) | 1,668 | ||||||
82 | Series 2005-AR1, Class 2A1, VAR, 0.542%, 02/25/35 | 76 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
4,500 | Series 2005-SA2, Class 2A2, VAR, 3.082%, 06/25/35 | 3,613 | ||||||
1,517 | Series 2006-SA4, Class 2A1, VAR, 6.077%, 11/25/36 | 1,123 | ||||||
11 | Securitized Asset Sales, Inc., Series 1993-7, Class TA3, 6.250%, 12/25/23 | 11 | ||||||
Sequoia Mortgage Trust, | ||||||||
196 | Series 11, Class A, VAR, 1.162%, 12/20/32 | 182 | ||||||
391 | Series 2003-3, Class A2, VAR, 0.810%, 07/20/33 | 353 | ||||||
Structured Asset Mortgage Investments, Inc., | ||||||||
1,797 | Series 2002-AR2, Class A3, VAR, 0.762%, 07/19/32 | 1,583 | ||||||
307 | Series 2004-AR1, Class 1A1, VAR, 0.612%, 03/19/34 | 268 | ||||||
Structured Asset Securities Corp., | ||||||||
1,090 | Series 2003-8, Class 2A9, VAR, 0.762%, 04/25/33 | 1,021 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 143 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
2,037 | Series 2003-40A, Class 4A, VAR, 2.587%, 01/25/34 | 1,794 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1,821 | Series 2004-AR11, Class A, VAR, 2.717%, 10/25/34 | 1,705 | ||||||
4,289 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 4,222 | ||||||
291 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS2, Class 2A1, 6.000%, 04/25/17 | 300 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
824 | Series 2003-F, Class A1, VAR, 4.831%, 06/25/33 | 851 | ||||||
2,069 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 2,128 | ||||||
841 | Series 2004-H, Class A2, VAR, 4.508%, 06/25/34 | 758 | ||||||
1,347 | Series 2005-AR16, Class 3A2, VAR, 2.825%, 10/25/35 | 1,284 | ||||||
1,215 | Series 2006-17, Class A1, 5.500%, 11/25/21 | 1,257 | ||||||
2,695 | Series 2007-3, Class 3A1, 5.500%, 04/25/22 | 2,803 | ||||||
91,695 | ||||||||
Total Collateralized Mortgage Obligations | 176,222 | |||||||
| Commercial Mortgage-Backed Securities — 2.7% |
| ||||||
2,000 | Banc of America Commercial Mortgage, Inc., Series 2005-2, Class A5, VAR, 4.857%, 07/10/43 | 2,129 | ||||||
Bayview Commercial Asset Trust, | ||||||||
877 | Series 2004-3, Class A2, VAR, 0.682%, 01/25/35 (e) | 736 | ||||||
3,017 | Series 2005-2A, Class A2, VAR, 0.611%, 08/25/35 (e) | 2,387 | ||||||
602 | Series 2005-2A, Class M1, VAR, 0.691%, 08/25/35 (e) | 404 | ||||||
1,680 | Series 2007-2A, Class A2, VAR, 0.582%, 07/25/37 (e) | 943 | ||||||
836 | Series 2007-2A, Class M4, VAR, 0.911%, 07/25/37 (e) | 165 | ||||||
2,583 | Series 2007-3, Class A2, VAR, 0.551%, 07/25/37 (e) | 1,573 | ||||||
2,000 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4, VAR, 5.203%, 10/15/44 | 2,162 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $13,902) | 10,499 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — 0.4% |
| ||||||
Financials — 0.4% |
| |||||||
Capital Markets — 0.4% |
| |||||||
6,355 | Lehman Brothers Holdings, Inc., 5.884%, 02/17/15 (d) (f) (i) | 1,509 | ||||||
Consumer Finance — 0.0% (g) | ||||||||
250 | SLM Corp., VAR, 3.263%, 01/31/14 | 245 | ||||||
Total Corporate Bonds | 1,754 | |||||||
| Mortgage Pass-Through Securities — 17.6% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
134 | ARM, 2.256%, 07/01/19 | 139 | ||||||
121 | ARM, 2.360%, 01/01/27 | 126 | ||||||
16 | ARM, 2.375%, 06/01/26 (m) | 16 | ||||||
127 | ARM, 2.445%, 12/01/26 | 133 | ||||||
44 | ARM, 2.453%, 06/01/22 | 47 | ||||||
1,362 | ARM, 2.505%, 04/01/32 | 1,436 | ||||||
840 | ARM, 2.511%, 01/01/23 - 10/01/29 | 881 | ||||||
71 | ARM, 2.528%, 04/01/30 | 75 | ||||||
333 | ARM, 2.540%, 08/01/27 | 352 | ||||||
282 | ARM, 2.543%, 12/01/27 (m) | 297 | ||||||
128 | ARM, 2.560%, 02/01/23 | 135 | ||||||
168 | ARM, 2.569%, 07/01/28 | 177 | ||||||
554 | ARM, 2.589%, 07/01/30 (m) | 583 | ||||||
64 | ARM, 2.603%, 05/01/18 | 67 | ||||||
28 | ARM, 2.624%, 12/01/29 | 30 | ||||||
278 | ARM, 2.633%, 12/01/26 | 293 | ||||||
31 | ARM, 2.655%, 11/01/27 | 31 | ||||||
18 | ARM, 2.758%, 06/01/25 | 19 | ||||||
78 | ARM, 2.769%, 04/01/24 | 83 | ||||||
491 | ARM, 2.796%, 01/01/23 (m) | 519 | ||||||
20 | ARM, 3.095%, 12/01/21 | 21 | ||||||
29 | ARM, 3.995%, 08/01/19 | 30 | ||||||
132 | ARM, 4.019%, 01/01/30 | 139 | ||||||
38 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 8.000%, 06/01/17 | 44 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
12 | 7.500%, 05/01/28 | 14 | ||||||
56 | 8.500%, 07/01/28 | 66 | ||||||
25 | 9.000%, 02/01/25 | 30 | ||||||
Federal National Mortgage Association, | ||||||||
23 | ARM, 1.944%, 06/01/18 | 24 | ||||||
356 | ARM, 2.039%, 11/01/18 | 361 | ||||||
26 | ARM, 2.045%, 04/01/24 | 26 | ||||||
69 | ARM, 2.063%, 04/01/21 | 70 | ||||||
175 | ARM, 2.065%, 07/01/20 (m) | 181 | ||||||
85 | ARM, 2.078%, 12/01/20 | 87 |
SEE NOTES TO FINANCIAL STATEMENTS.
144 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
57 | ARM, 2.211%, 05/01/18 | 58 | ||||||
1,219 | ARM, 2.293%, 05/01/33 | 1,259 | ||||||
66 | ARM, 2.347%, 11/01/23 | 67 | ||||||
13 | ARM, 2.355%, 07/01/25 | 14 | ||||||
21 | ARM, 2.436%, 11/01/21 | 22 | ||||||
17 | ARM, 2.466%, 05/01/29 | 18 | ||||||
114 | ARM, 2.490%, 01/01/31 (m) | 120 | ||||||
452 | ARM, 2.536%, 09/01/33 | 477 | ||||||
68 | ARM, 2.561%, 06/01/26 | 72 | ||||||
26 | ARM, 2.595%, 12/01/26 | 27 | ||||||
36 | ARM, 2.618%, 03/01/38 | 38 | ||||||
871 | ARM, 2.631%, 01/01/25 | 918 | ||||||
72 | ARM, 2.700%, 07/01/30 | 76 | ||||||
123 | ARM, 2.711%, 03/01/29 | 130 | ||||||
292 | ARM, 2.772%, 08/01/26 | 309 | ||||||
40 | ARM, 2.775%, 05/01/30 | 42 | ||||||
115 | ARM, 2.904%, 07/01/27 | 122 | ||||||
206 | ARM, 2.915%, 09/01/19 | 216 | ||||||
17 | ARM, 3.250%, 03/01/17 | 18 | ||||||
39 | ARM, 3.637%, 05/01/20 | 39 | ||||||
177 | ARM, 3.935%, 12/01/28 | 178 | ||||||
133 | ARM, 4.334%, 03/01/15 | 131 | ||||||
97 | ARM, 4.458%, 11/01/30 | 102 | ||||||
450 | ARM, 4.514%, 02/01/34 | 468 | ||||||
52 | ARM, 5.575%, 05/01/31 | 54 | ||||||
103 | ARM, 6.000%, 01/01/20 | 108 | ||||||
— | (h) | Federal National Mortgage Association, 10 Year, Single Family, 4.500%, 01/01/13 | – | (h) | ||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
19,918 | 4.000%, 02/01/25 | 20,500 | ||||||
12 | 6.000%, 08/01/14 | 13 | ||||||
193 | 7.000%, 03/01/16 (m) | 201 | ||||||
14,112 | Federal National Mortgage Association, 20 Year, Single Family, 5.000%, 10/01/23 | 15,035 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
29 | 7.000%, 03/01/27 | 33 | ||||||
27 | 8.000%, 11/01/27 | 31 | ||||||
28 | 8.500%, 10/01/24 | 33 | ||||||
36 | 9.000%, 08/01/21 - 08/01/25 | 37 | ||||||
29 | Federal National Mortgage Association, 30 Year, Other, 7.250%, 09/01/22 | 34 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
6,400 | 5.000%, 12/01/39 | 6,772 | ||||||
5,111 | 6.000%, 04/01/39 | 5,595 | ||||||
41 | 7.250%, 09/01/22 | 47 | ||||||
217 | 7.500%, 06/01/23 - 10/01/30 | 247 | ||||||
22 | 8.500%, 08/01/17 | 22 | ||||||
Federal National Mortgage Association, Other, | ||||||||
43 | 6.500%, 04/01/16 | 46 | ||||||
61 | 12.000%, 11/01/30 | 74 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
73 | 7.250%, 08/20/22 - 11/20/22 | 83 | ||||||
124 | 7.400%, 10/20/21 - 03/20/22 | 141 | ||||||
27 | 7.500%, 10/20/23 | 31 | ||||||
25 | 7.850%, 12/20/21 | 28 | ||||||
89 | 8.000%, 07/20/25 - 08/20/26 | 104 | ||||||
8,358 | Government National Mortgage Association, | 8,849 | ||||||
Government National Mortgage Association, | ||||||||
65 | 7.000%, 06/15/24 | 75 | ||||||
34 | 8.000%, 10/15/27 | 40 | ||||||
35 | 9.000%, 11/15/24 | 41 | ||||||
236 | 9.500%, 07/15/25 | 277 | ||||||
Total Mortgage Pass-Through Securities | 70,004 | |||||||
SHARES | ||||||||
| Short-Term Investment — 22.3% |
| ||||||
Investment Company — 22.3% | ||||||||
88,494 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 88,494 | ||||||
Total Investments —99.9% | 396,751 | |||||||
Other Assets in Excess of | 542 | |||||||
NET ASSETS — 100.0% | $ | 397,293 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 145 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 2.0% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
1,750 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,754 | ||||||
2,829 | Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 2,840 | ||||||
2,192 | Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e) | 2,186 | ||||||
2,000 | Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35 | 2,012 | ||||||
403 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 307 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
1,379 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 1,329 | ||||||
1,598 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,532 | ||||||
317 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.641%, 12/25/33 | 289 | ||||||
141 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 101 | ||||||
200 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.362%, 12/25/36 | 185 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
489 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 450 | ||||||
644 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 596 | ||||||
474 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 449 | ||||||
720 | Series 2007-1, Class AS, VAR, 0.462%, 03/20/36 | 670 | ||||||
1,934 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 1,789 | ||||||
375 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.461%, 03/25/36 | 239 | ||||||
1,693 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.611%, 07/25/34 (e) | 1,639 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
2,200 | Series 2004-1, Class M1, VAR, 1.011%, 02/25/34 | 1,889 | ||||||
387 | Series 2006-8, Class 2A2, VAR, 0.352%, 09/25/36 | 148 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
718 | Series 2006-WL2, Class 2A3, VAR, 0.461%, 01/25/36 | 589 | ||||||
10,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.261%, 12/26/22 (e) | 10,041 | ||||||
1,594 | NCUA Guaranteed Notes, Series 2010-A1, | 1,595 | ||||||
700 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 686 | ||||||
PennyMac Loan Trust, | ||||||||
1,431 | Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) | 1,428 | ||||||
1,605 | Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e) | 1,604 | ||||||
3,319 | Real Estate Asset Trust, Series 2011-1A, | 3,327 | ||||||
500 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 284 | ||||||
Residential Asset Mortgage Products, Inc., | ||||||||
1,337 | Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32 | 1,356 | ||||||
441 | Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34 | 425 | ||||||
409 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 353 | ||||||
1,000 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 | 935 | ||||||
Structured Asset Securities Corp., | ||||||||
895 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 903 | ||||||
724 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 686 | ||||||
Total Asset-Backed Securities | 44,616 | |||||||
| Collateralized Mortgage Obligations — 72.0% |
| ||||||
Agency CMO — 46.3% |
| |||||||
2,121 | Federal Home Loan Banks, Series 2000-1067, Class 1, 5.300%, 06/15/12 | 2,224 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
34 | Series 11, Class D, 9.500%, 07/15/19 | 37 | ||||||
18 | Series 22, Class C, 9.500%, 04/15/20 | 19 | ||||||
24 | Series 23, Class F, 9.600%, 04/15/20 | 27 | ||||||
15 | Series 30, Class D, 9.500%, 02/15/20 | 17 | ||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | ||||||
8 | Series 47, Class F, 10.000%, 06/15/20 | 9 | ||||||
106 | Series 77, Class H, 8.500%, 09/15/20 | 117 | ||||||
3 | Series 81, Class A, 8.125%, 11/15/20 | 4 |
SEE NOTES TO FINANCIAL STATEMENTS.
146 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
9 | Series 84, Class F, 9.200%, 10/15/20 | 10 | ||||||
9 | Series 99, Class Z, 9.500%, 01/15/21 | 9 | ||||||
— | (h) | Series 180, Class J, HB, 1,010.000%, 09/15/21 | — | (h) | ||||
— | (h) | Series 186, Class I, HB, 1,009.500%, 08/15/21 | 1 | |||||
— | (h) | Series 189, Class K, HB, 1,009.500%, 10/15/21 | 1 | |||||
— | (h) | Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 | 8 | |||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 3 | |||||
5 | Series 1065, Class J, 9.000%, 04/15/21 | 6 | ||||||
12 | Series 1079, Class S, HB, IF, 32.937%, 05/15/21 | 21 | ||||||
— | (h) | Series 1082, Class D, HB, 1,007.780%, 05/15/21 | 1 | |||||
8 | Series 1084, Class F, VAR, 1.262%, 05/15/21 | 8 | ||||||
5 | Series 1084, Class S, HB, IF, 43.819%, 05/15/21 | 10 | ||||||
9 | Series 1133, Class H, 7.000%, 09/15/21 | 10 | ||||||
21 | Series 1144, Class KB, 8.500%, 09/15/21 | 23 | ||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 2 | |||||
— | (h) | Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 | 7 | |||||
— | (h) | Series 1254, Class N, 8.000%, 04/15/22 | — | (h) | ||||
59 | Series 1343, Class LA, 8.000%, 08/15/22 | 68 | ||||||
29 | Series 1343, Class LB, 7.500%, 08/15/22 | 35 | ||||||
90 | Series 1374, Class Z, 7.000%, 10/15/22 | 100 | ||||||
27 | Series 1395, Class G, 6.000%, 10/15/22 | 30 | ||||||
242 | Series 1401, Class J, 7.000%, 10/15/22 | 267 | ||||||
341 | Series 1466, Class PZ, 7.500%, 02/15/23 | 382 | ||||||
10 | Series 1470, Class F, VAR, 2.508%, 02/15/23 | 10 | ||||||
10 | Series 1505, Class QB, HB, IF, 20.037%, 05/15/23 | 14 | ||||||
100 | Series 1518, Class G, IF, 8.748%, 05/15/23 | 123 | ||||||
81 | Series 1526, Class L, 6.500%, 06/15/23 | 85 | ||||||
20 | Series 1540, Class IA, 7.000%, 06/15/13 | 21 | ||||||
108 | Series 1541, Class O, VAR, 2.840%, 07/15/23 | 112 | ||||||
998 | Series 1552, Class IA, IF, 14.582%, 08/15/23 | 1,324 | ||||||
25 | Series 1570, Class F, VAR, 3.008%, 08/15/23 | 27 | ||||||
64 | Series 1570, Class SA, HB, IF, 21.099%, 08/15/23 | 94 | ||||||
278 | Series 1578, Class K, 6.900%, 09/15/23 | 316 | ||||||
32 | Series 1578, Class V, IO, 7.000%, 09/15/23 | 6 | ||||||
619 | Series 1591, Class PV, 6.250%, 10/15/23 | 660 | ||||||
103 | Series 1596, Class D, 6.500%, 10/15/13 | 103 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
15 | Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 | 23 | ||||||
190 | Series 1609, Class LG, IF, 16.656%, 11/15/23 | 234 | ||||||
860 | Series 1628, Class LZ, 6.500%, 12/15/23 | 945 | ||||||
685 | Series 1638, Class H, 6.500%, 12/15/23 | 792 | ||||||
1,036 | Series 1644, Class K, 6.750%, 12/15/23 | 1,088 | ||||||
910 | Series 1658, Class GZ, 7.000%, 01/15/24 | 958 | ||||||
6 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 8 | ||||||
385 | Series 1677, Class Z, 7.500%, 07/15/23 | 432 | ||||||
10 | Series 1686, Class SH, IF, 18.534%, 02/15/24 | 16 | ||||||
34 | Series 1688, Class W, 7.250%, 03/15/14 | 35 | ||||||
351 | Series 1695, Class EB, 7.000%, 03/15/24 | 389 | ||||||
44 | Series 1699, Class FC, VAR, 0.912%, 03/15/24 | 44 | ||||||
52 | Series 1745, Class D, 7.500%, 08/15/24 | 60 | ||||||
1,494 | Series 1760, Class ZD, VAR, 2.920%, 02/15/24 | 1,560 | ||||||
150 | Series 1798, Class F, 5.000%, 05/15/23 | 160 | ||||||
8 | Series 1807, Class G, 9.000%, 10/15/20 | 9 | ||||||
1,319 | Series 1813, Class I, PO, 11/15/23 | 1,171 | ||||||
5,099 | Series 1813, Class J, IF, IO, 5.750%, 11/15/23 | 678 | ||||||
287 | Series 1829, Class ZB, 6.500%, 03/15/26 | 320 | ||||||
14 | Series 1844, Class E, 6.500%, 10/15/13 | 16 | ||||||
519 | Series 1863, Class Z, 6.500%, 07/15/26 | 573 | ||||||
6 | Series 1865, Class D, PO, 02/15/24 | 4 | ||||||
152 | Series 1899, Class ZE, 8.000%, 09/15/26 | 173 | ||||||
125 | Series 1963, Class Z, 7.500%, 01/15/27 | 140 | ||||||
40 | Series 1985, Class PR, IO, 8.000%, 07/15/27 | 10 | ||||||
64 | Series 1987, Class PE, 7.500%, 09/15/27 | 74 | ||||||
18 | Series 2025, Class PE, 6.300%, 01/15/13 | 18 | ||||||
540 | Series 2033, Class J, 5.600%, 06/15/23 | 582 | ||||||
29 | Series 2033, Class SN, HB, IF, 24.659%, 03/15/24 | 14 | ||||||
38 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 8 | ||||||
316 | Series 2040, Class PE, 7.500%, 03/15/28 | 363 | ||||||
44 | Series 2042, Class T, 7.000%, 03/15/28 | 45 | ||||||
96 | Series 2055, Class OE, 6.500%, 05/15/13 | 96 | ||||||
137 | Series 2060, Class Z, 6.500%, 05/15/28 | 152 | ||||||
353 | Series 2061, Class DC, IO, 6.500%, 06/15/28 | 70 | ||||||
25,013 | Series 2065, Class PX, IO, 0.750%, 08/17/27 | 636 | ||||||
837 | Series 2075, Class PH, 6.500%, 08/15/28 | 967 | ||||||
181 | Series 2086, Class GB, 6.000%, 09/15/28 | 191 | ||||||
58 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 12 | ||||||
397 | Series 2102, Class TC, 6.000%, 12/15/13 (m) | 416 | ||||||
250 | Series 2102, Class TU, 6.000%, 12/15/13 (m) | 263 | ||||||
707 | Series 2110, Class PG, 6.000%, 01/15/29 | 769 | ||||||
602 | Series 2111, Class SB, IF, IO, 7.234%, 01/15/29 | 116 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 147 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
241 | Series 2115, Class PE, 6.000%, 01/15/14 | 251 | ||||||
238 | Series 2125, Class JZ, 6.000%, 02/15/29 | 255 | ||||||
545 | Series 2130, Class QS, 6.000%, 03/15/29 | 589 | ||||||
92 | Series 2132, Class SB, HB, IF, 29.423%, 03/15/29 | 138 | ||||||
136 | Series 2132, Class ZL, 6.500%, 03/15/29 | 149 | ||||||
10 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 1 | ||||||
19 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 4 | ||||||
47 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 10 | ||||||
106 | Series 2178, Class PB, 7.000%, 08/15/29 | 125 | ||||||
162 | Series 2201, Class C, 8.000%, 11/15/29 | 196 | ||||||
485 | Series 2209, Class TC, 8.000%, 01/15/30 | 552 | ||||||
237 | Series 2210, Class Z, 8.000%, 01/15/30 | 272 | ||||||
98 | Series 2224, Class CB, 8.000%, 03/15/30 | 119 | ||||||
57 | Series 2247, Class Z, 7.500%, 08/15/30 | 65 | ||||||
322 | Series 2254, Class Z, 9.000%, 09/15/30 | 370 | ||||||
272 | Series 2256, Class MC, 7.250%, 09/15/30 | 321 | ||||||
447 | Series 2259, Class ZM, 7.000%, 10/15/30 | 498 | ||||||
465 | Series 2271, Class PC, 7.250%, 12/15/30 | 550 | ||||||
447 | Series 2283, Class K, 6.500%, 12/15/23 | 481 | ||||||
142 | Series 2296, Class PD, 7.000%, 03/15/31 | 160 | ||||||
193 | Series 2301, Class PA, 6.000%, 10/15/13 | 200 | ||||||
1,974 | Series 2303, Class ZD, 7.000%, 04/15/31 | 2,146 | ||||||
1,197 | Series 2303, Class ZN, 8.500%, 04/15/29 | 1,329 | ||||||
67 | Series 2306, Class K, PO, 05/15/24 | 59 | ||||||
167 | Series 2306, Class SE, IF, IO, 7.180%, 05/15/24 | 31 | ||||||
638 | Series 2344, Class QG, 6.000%, 08/15/16 | 685 | ||||||
1,110 | Series 2344, Class ZD, 6.500%, 08/15/31 | 1,213 | ||||||
122 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 134 | ||||||
83 | Series 2345, Class NE, 6.500%, 08/15/31 | 88 | ||||||
258 | Series 2347, Class VP, 6.500%, 03/15/20 | 267 | ||||||
252 | Series 2353, Class TD, 6.000%, 09/15/16 | 269 | ||||||
244 | Series 2355, Class BP, 6.000%, 09/15/16 | 262 | ||||||
191 | Series 2358, Class PD, 6.000%, 09/15/16 | 205 | ||||||
414 | Series 2359, Class PM, 6.000%, 09/15/16 | 440 | ||||||
529 | Series 2359, Class ZB, 8.500%, 06/15/31 | 604 | ||||||
455 | Series 2360, Class PG, 6.000%, 09/15/16 | 490 | ||||||
127 | Series 2363, Class PF, 6.000%, 09/15/16 | 137 | ||||||
234 | Series 2366, Class MD, 6.000%, 10/15/16 | 251 | ||||||
77 | Series 2368, Class AS, HB, IF, 20.239%, 10/15/31 | 112 | ||||||
171 | Series 2368, Class TG, 6.000%, 10/15/16 | 184 | ||||||
90 | Series 2372, Class F, VAR, 0.766%, 10/15/31 | 90 | ||||||
96 | Series 2383, Class FD, VAR, 0.766%, 11/15/31 | 96 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
158 | Series 2388, Class UZ, 8.500%, 06/15/31 | 180 | ||||||
1,098 | Series 2391, Class QR, 5.500%, 12/15/16 | 1,188 | ||||||
114 | Series 2394, Class MC, 6.000%, 12/15/16 | 123 | ||||||
1,458 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,595 | ||||||
264 | Series 2410, Class OE, 6.375%, 02/15/32 | 288 | ||||||
328 | Series 2410, Class QS, IF, 18.809%, 02/15/32 | 410 | ||||||
178 | Series 2410, Class QX, IF, IO, 8.384%, 02/15/32 | 32 | ||||||
255 | Series 2423, Class MC, 7.000%, 03/15/32 | 281 | ||||||
318 | Series 2423, Class MT, 7.000%, 03/15/32 | 350 | ||||||
293 | Series 2425, Class OB, 6.000%, 03/15/17 | 310 | ||||||
665 | Series 2433, Class SA, HB, IF, 20.239%, 02/15/32 | 948 | ||||||
421 | Series 2434, Class TC, 7.000%, 04/15/32 | 467 | ||||||
770 | Series 2436, Class MC, 7.000%, 04/15/32 | 851 | ||||||
227 | Series 2444, Class ES, IF, IO, 7.684%, 03/15/32 | 44 | ||||||
237 | Series 2450, Class GZ, 7.000%, 05/15/32 | 264 | ||||||
257 | Series 2450, Class SW, IF, IO, 7.734%, 03/15/32 | 50 | ||||||
577 | Series 2458, Class QE, 5.500%, 06/15/17 | 624 | ||||||
658 | Series 2462, Class NB, 6.500%, 06/15/22 | 729 | ||||||
1,273 | Series 2464, Class FE, VAR, 1.266%, 03/15/32 | 1,290 | ||||||
72 | Series 2470, Class SL, IF, 9.000%, 01/15/27 | 86 | ||||||
407 | Series 2474, Class SJ, IF, IO, 7.384%, 07/15/17 | 42 | ||||||
54 | Series 2480, Class PV, 6.000%, 07/15/11 | 55 | ||||||
4,186 | Series 2494, Class SX, IF, IO, 6.734%, 02/15/32 | 691 | ||||||
148 | Series 2513, Class YO, PO, 02/15/32 | 148 | ||||||
1,421 | Series 2513, Class ZC, 5.500%, 10/15/32 | 1,542 | ||||||
375 | Series 2515, Class DE, 4.000%, 03/15/32 | 389 | ||||||
1,549 | Series 2517, Class Z, 5.500%, 10/15/32 | 1,687 | ||||||
18 | Series 2519, Class BT, 8.500%, 09/15/31 | 19 | ||||||
1,012 | Series 2533, Class HB, 5.500%, 12/15/17 | 1,103 | ||||||
403 | Series 2535, Class BK, 5.500%, 12/15/22 | 441 | ||||||
1,426 | Series 2549, Class ZG, 5.000%, 01/15/18 | 1,510 | ||||||
214 | Series 2553, Class GF, VAR, 0.666%, 02/15/17 | 214 | ||||||
11 | Series 2565, Class MB, 6.000%, 05/15/30 | 11 | ||||||
10,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 10,849 | ||||||
173 | Series 2571, Class SK, HB, IF, 33.354%, 09/15/23 | 288 | ||||||
1,530 | Series 2574, Class HP, 5.000%, 02/15/18 | 1,635 | ||||||
1,198 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 249 | ||||||
1,010 | Series 2587, Class CO, PO, 03/15/32 | 981 | ||||||
2,931 | Series 2590, Class IP, IO, 5.500%, 08/15/31 | 190 | ||||||
1,400 | Series 2591, Class QO, 4.500%, 03/15/18 | 1,488 |
SEE NOTES TO FINANCIAL STATEMENTS.
148 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
298 | Series 2591, Class WI, IO, 5.500%, 02/15/30 | 2 | ||||||
730 | Series 2594, Class DJ, 4.250%, 10/15/30 | 750 | ||||||
60 | Series 2597, Class DS, IF, IO, 7.284%, 02/15/33 | 4 | ||||||
115 | Series 2599, Class DS, IF, IO, 6.734%, 02/15/33 | 5 | ||||||
272 | Series 2610, Class DS, IF, IO, 6.834%, 03/15/33 | 14 | ||||||
1,909 | Series 2610, Class DZ, 5.500%, 05/15/33 | 2,098 | ||||||
551 | Series 2611, Class SH, IF, IO, 7.384%, 10/15/21 | 22 | ||||||
323 | Series 2611, Class SQ, IF, 12.469%, 05/15/33 | 352 | ||||||
1,036 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,073 | ||||||
2,330 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,475 | ||||||
3,383 | Series 2626, Class NS, IF, IO, 6.284%, 06/15/23 | 318 | ||||||
3,172 | Series 2627, Class GY, 4.500%, 06/15/18 | 3,369 | ||||||
2,071 | Series 2631, Class LC, 4.500%, 06/15/18 | 2,199 | ||||||
283 | Series 2631, Class SA, IF, 14.363%, 06/15/33 | 328 | ||||||
1,065 | Series 2637, Class SA, IF, IO, 5.834%, 06/15/18 | 107 | ||||||
491 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 56 | ||||||
1,614 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 134 | ||||||
77 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | 2 | ||||||
2,633 | Series 2641, Class WI, IO, 5.000%, 01/15/33 | 289 | ||||||
30 | Series 2643, Class HI, IO, 4.500%, 12/15/16 | — | (h) | |||||
1,000 | Series 2649, Class IG, IO, 5.000%, 11/15/31 | 123 | ||||||
1,236 | Series 2650, Class PO, PO, 12/15/32 | 1,151 | ||||||
2,091 | Series 2650, Class SO, PO, 12/15/32 | 1,944 | ||||||
710 | Series 2657, Class MD, 5.000%, 12/15/20 | 731 | ||||||
52 | Series 2668, Class S, IF, 11.468%, 09/15/33 | 53 | ||||||
1,343 | Series 2668, Class SB, IF, 6.964%, 10/15/15 | 1,365 | ||||||
515 | Series 2671, Class S, IF, 14.271%, 09/15/33 | 592 | ||||||
1,036 | Series 2672, Class ME, 5.000%, 11/15/22 | 1,111 | ||||||
274 | Series 2672, Class SJ, IF, 6.919%, 09/15/16 | 281 | ||||||
6,732 | Series 2675, Class CK, 4.000%, 09/15/18 (m) | 7,095 | ||||||
7,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 7,487 | ||||||
768 | Series 2682, Class YS, IF, 8.610%, 10/15/33 | 730 | ||||||
6 | Series 2683, Class VA, 5.500%, 02/15/21 | 6 | ||||||
11,562 | Series 2684, Class PO, PO, 01/15/33 | 10,221 | ||||||
417 | Series 2684, Class TO, PO, 10/15/33 | 382 | ||||||
756 | Series 2686, Class GB, 5.000%, 05/15/20 | 768 | ||||||
473 | Series 2686, Class NS, IF, IO, 7.334%, 10/15/21 | 23 | ||||||
526 | Series 2690, Class SJ, IF, 8.751%, 10/15/33 | 497 | ||||||
2,500 | Series 2691, Class ND, 5.000%, 10/15/28 | 2,543 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
498 | Series 2691, Class SE, IF, 9.173%, 12/15/28 | 516 | ||||||
446 | Series 2691, Class WS, IF, 8.601%, 10/15/33 | 423 | ||||||
954 | Series 2692, Class SC, IF, 12.755%, 07/15/33 | 1,005 | ||||||
180 | Series 2694, Class BA, 4.000%, 06/15/31 | 188 | ||||||
431 | Series 2695, Class OB, PO, 10/15/33 | 378 | ||||||
770 | Series 2695, Class SX, IF, 15.923%, 10/15/33 | 835 | ||||||
385 | Series 2695, Class WS, IF, 15.785%, 10/15/33 | 415 | ||||||
62 | Series 2696, Class SM, IF, 13.669%, 12/15/26 | 63 | ||||||
1,554 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,662 | ||||||
282 | Series 2705, Class SC, IF, 8.601%, 11/15/33 | 266 | ||||||
669 | Series 2705, Class SD, IF, 8.658%, 11/15/33 | 619 | ||||||
2,589 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,792 | ||||||
3,679 | Series 2716, Class UN, 4.500%, 12/15/23 | 3,872 | ||||||
2,036 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,095 | ||||||
768 | Series 2725, Class SC, IF, 8.685%, 11/15/33 | 785 | ||||||
3,108 | Series 2727, Class BS, IF, 8.676%, 01/15/34 | 2,972 | ||||||
11 | Series 2727, Class PO, PO, 01/15/34 | 11 | ||||||
153 | Series 2744, Class FE, VAR, 0.000%, 02/15/34 | 149 | ||||||
612 | Series 2744, Class PD, 5.500%, 08/15/33 | 624 | ||||||
1,971 | Series 2744, Class TU, 5.500%, 05/15/32 | 2,125 | ||||||
97 | Series 2754, Class JG, 4.500%, 03/15/33 | 97 | ||||||
2,051 | Series 2755, Class PA, PO, 02/15/29 | 2,026 | ||||||
476 | Series 2755, Class SA, IF, 13.669%, 05/15/30 | 534 | ||||||
491 | Series 2756, Class NA, 5.000%, 02/15/24 | 527 | ||||||
348 | Series 2760, Class IB, IO, 5.000%, 11/15/27 | 3 | ||||||
59 | Series 2762, Class LO, PO, 03/15/34 | 59 | ||||||
685 | Series 2764, Class OE, 4.500%, 03/15/19 | 732 | ||||||
26 | Series 2774, Class QO, PO, 04/15/34 | 25 | ||||||
249 | Series 2776, Class SK, IF, 8.676%, 04/15/34 | 238 | ||||||
61 | Series 2777, Class DV, 6.500%, 11/15/17 | 63 | ||||||
3,500 | Series 2780, Class BE, 4.500%, 04/15/19 | 3,727 | ||||||
838 | Series 2780, Class JG, 4.500%, 04/15/19 | 884 | ||||||
1,678 | Series 2780, Class YC, 5.000%, 04/15/19 | 1,813 | ||||||
1,490 | Series 2802, Class ZY, 6.000%, 05/15/34 | 1,612 | ||||||
498 | Series 2812, Class AB, 4.500%, 10/15/18 | 519 | ||||||
2,124 | Series 2812, Class NO, PO, 10/15/33 | 1,683 | ||||||
3,000 | Series 2827, Class QE, 5.500%, 03/15/33 | 3,214 | ||||||
139 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 142 | ||||||
723 | Series 2835, Class BO, PO, 12/15/28 | 696 | ||||||
617 | Series 2835, Class QO, PO, 12/15/32 | 536 | ||||||
278 | Series 2863, Class JA, 4.500%, 09/15/19 | 287 | ||||||
1,370 | Series 2864, Class GB, 4.000%, 09/15/19 | 1,440 | ||||||
331 | Series 2877, Class KO, PO, 03/15/19 | 303 | ||||||
533 | Series 2897, Class EO, PO, 10/15/31 | 528 | ||||||
1,136 | Series 2903, Class UZ, 5.500%, 07/15/31 | 1,173 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 149 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,000 | Series 2921, Class MD, 5.000%, 06/15/33 | 2,122 | ||||||
55 | Series 2925, Class MW, VAR, 0.000%, 01/15/35 | 55 | ||||||
1,000 | Series 2930, Class AN, 4.500%, 06/15/19 | 1,060 | ||||||
3,336 | Series 2934, Class EC, PO, 02/15/20 | 3,111 | ||||||
326 | Series 2934, Class EN, PO, 02/15/18 | 320 | ||||||
3,470 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 414 | ||||||
2,299 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 269 | ||||||
888 | Series 2945, Class SA, IF, 11.816%, 03/15/20 | 1,008 | ||||||
980 | Series 2967, Class JI, IO, 5.000%, 04/15/20 | 131 | ||||||
359 | Series 2967, Class S, HB, IF, 32.363%, 04/15/25 | 526 | ||||||
625 | Series 2971, Class GB, 5.000%, 11/15/16 | 640 | ||||||
685 | Series 2971, Class GC, 5.000%, 07/15/18 | 731 | ||||||
1,250 | Series 2979, Class BC, 5.000%, 04/15/20 | 1,344 | ||||||
497 | Series 2989, Class PO, PO, 06/15/23 | 477 | ||||||
536 | Series 2990, Class LK, VAR, 0.636%, 10/15/34 | 536 | ||||||
542 | Series 2990, Class SL, HB, IF, 23.519%, 06/15/34 | 736 | ||||||
285 | Series 2990, Class WP, IF, 16.342%, 06/15/35 | 345 | ||||||
161 | Series 2996, Class FD, VAR, 0.516%, 06/15/35 | 161 | ||||||
1,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 1,052 | ||||||
68 | Series 3000, Class JF, VAR, 0.666%, 04/15/35 | 68 | ||||||
1,372 | Series 3047, Class OB, 5.500%, 12/15/33 | 1,452 | ||||||
1,712 | Series 3049, Class XF, VAR, 0.616%, 05/15/33 | 1,708 | ||||||
1,509 | Series 3054, Class MI, IO, 5.500%, 05/15/34 | 175 | ||||||
46 | Series 3063, Class ST, SUB, 11/15/35 | 47 | ||||||
2,705 | Series 3068, Class QB, 4.500%, 06/15/20 | 2,858 | ||||||
1,478 | Series 3077, Class TO, PO, 04/15/35 | 1,306 | ||||||
625 | Series 3100, Class MA, VAR, 2.514%, 12/15/35 | 564 | ||||||
4,067 | Series 3101, Class UZ, 6.000%, 01/15/36 | 4,467 | ||||||
978 | Series 3117, Class EO, PO, 02/15/36 | 843 | ||||||
1,105 | Series 3117, Class OK, PO, 02/15/36 | 956 | ||||||
307 | Series 3122, Class OH, PO, 03/15/36 | 270 | ||||||
83 | Series 3122, Class ZB, 6.000%, 03/15/36 | 78 | ||||||
1,310 | Series 3130, Class KZ, 5.500%, 12/15/34 | 1,410 | ||||||
233 | Series 3134, Class PO, PO, 03/15/36 | 203 | ||||||
5,304 | Series 3137, Class XP, 6.000%, 04/15/36 | 5,817 | ||||||
1,005 | Series 3138, Class PO, PO, 04/15/36 | 897 | ||||||
1,500 | Series 3143, Class BC, 5.500%, 02/15/36 | 1,616 | ||||||
303 | Series 3149, Class SO, PO, 05/15/36 | 232 | ||||||
2,000 | Series 3151, Class PD, 6.000%, 11/15/34 | 2,164 | ||||||
1,544 | Series 3151, Class PO, PO, 05/15/36 | 1,331 | ||||||
1,241 | Series 3152, Class MO, PO, 03/15/36 | 1,095 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,226 | Series 3153, Class EO, PO, 05/15/36 | 1,100 | ||||||
7,582 | Series 3155, Class CG, 6.000%, 11/15/24 | 8,000 | ||||||
4,932 | Series 3156, Class AZ, 5.500%, 05/15/36 | 5,291 | ||||||
1,000 | Series 3162, Class OB, 6.000%, 11/15/30 | 1,033 | ||||||
8,000 | Series 3166, Class AC, 5.000%, 06/15/21 (m) | 8,725 | ||||||
99 | Series 3170, Class FM, VAR, 0.616%, 09/15/33 | 99 | ||||||
968 | Series 3171, Class MO, PO, 06/15/36 | 833 | ||||||
832 | Series 3174, Class PX, 5.000%, 06/15/17 | 892 | ||||||
1,435 | Series 3179, Class OA, PO, 07/15/36 | 1,242 | ||||||
527 | Series 3184, Class OA, PO, 02/15/33 | 492 | ||||||
2,064 | Series 3194, Class SA, IF, IO, 6.834%, 07/15/36 | 283 | ||||||
1,480 | Series 3195, Class PD, 6.500%, 07/15/36 | 1,637 | ||||||
2,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 2,190 | ||||||
2,237 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 433 | ||||||
1,602 | Series 3232, Class ST, IF, IO, 6.434%, 10/15/36 | 227 | ||||||
1,734 | Series 3237, Class AO, PO, 11/15/36 | 1,504 | ||||||
2,027 | Series 3253, Class PO, PO, 12/15/21 | 1,927 | ||||||
976 | Series 3260, Class CS, IF, IO, 5.874%, 01/15/37 | 124 | ||||||
1,195 | Series 3262, Class SG, IF, IO, 6.134%, 01/15/37 | 151 | ||||||
1,357 | Series 3274, Class JO, PO, 02/15/37 | 1,186 | ||||||
980 | Series 3274, Class MO, PO, 02/15/37 | 874 | ||||||
596 | Series 3275, Class FL, VAR, 0.706%, 02/15/37 | 592 | ||||||
3,500 | Series 3282, Class YD, 5.500%, 02/15/22 | 3,804 | ||||||
1,500 | Series 3285, Class PC, 5.500%, 09/15/30 | 1,537 | ||||||
372 | Series 3288, Class GS, IF, 4.240%, 03/15/37 | 360 | ||||||
2,806 | Series 3290, Class SB, IF, IO, 6.184%, 03/15/37 | 359 | ||||||
75 | Series 3299, Class QF, VAR, 0.000%, 04/15/37 | 74 | ||||||
817 | Series 3305, Class MB, IF, 2.746%, 07/15/34 | 764 | ||||||
2,500 | Series 3329, Class JD, 6.000%, 06/15/36 | 2,725 | ||||||
3,000 | Series 3334, Class MC, 5.000%, 04/15/33 | 3,098 | ||||||
4,400 | Series 3342, Class VG, 6.000%, 11/15/23 | 4,821 | ||||||
128 | Series 3356, Class PA, 6.000%, 11/15/26 | 128 | ||||||
517 | Series 3371, Class FA, VAR, 0.866%, 09/15/37 | 518 | ||||||
1,581 | Series 3373, Class TO, PO, 04/15/37 | 1,377 | ||||||
4,460 | Series 3385, Class SN, IF, IO, 5.734%, 11/15/37 | 490 | ||||||
2,195 | Series 3387, Class SA, IF, IO, 6.154%, 11/15/37 | 282 | ||||||
1,903 | Series 3389, Class DQ, 5.750%, 10/15/35 | 2,047 | ||||||
2,649 | Series 3404, Class SC, IF, IO, 5.734%, 01/15/38 | 296 |
SEE NOTES TO FINANCIAL STATEMENTS.
150 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,572 | Series 3422, Class AI, IO, SUB, 1.860%, 01/15/38 | 70 | ||||||
1,592 | Series 3422, Class LI, IO, 5.000%, 02/15/23 | 161 | ||||||
6,014 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 92 | ||||||
3,588 | Series 3437, Class AI, IO, 1.335%, 09/15/11 | 18 | ||||||
2,905 | Series 3451, Class SA, IF, IO, 5.784%, 05/15/38 | 403 | ||||||
2,111 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,288 | ||||||
3,082 | Series 3481, Class SJ, IF, IO, 5.584%, 08/15/38 | 378 | ||||||
3,231 | Series 3505, Class SA, IF, IO, 5.734%, 01/15/39 | 338 | ||||||
2,511 | Series 3511, Class IO, IO, 5.000%, 12/15/21 | 248 | ||||||
1,645 | Series 3511, Class SA, IF, IO, 5.734%, 02/15/39 | 178 | ||||||
3,130 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 589 | ||||||
5,814 | Series 3531, Class SA, IF, IO, 6.034%, 05/15/39 | 732 | ||||||
2,713 | Series 3537, Class MI, IO, 5.000%, 06/15/38 | 671 | ||||||
441 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 469 | ||||||
2,741 | Series 3549, Class FA, VAR, 1.466%, 07/15/39 | 2,722 | ||||||
2,957 | Series 3564, Class JA, 4.000%, 01/15/18 | 3,115 | ||||||
3,634 | Series 3572, Class JS, IF, IO, 6.534%, 09/15/39 | 524 | ||||||
1,562 | Series 3604, Class PO, PO, 05/15/36 | 1,346 | ||||||
1,600 | Series 3607, Class AO, PO, 04/15/36 | 1,199 | ||||||
1,600 | Series 3607, Class BO, PO, 04/15/36 | 1,199 | ||||||
1,528 | Series 3607, Class EO, PO, 02/15/33 | 1,387 | ||||||
2,722 | Series 3611, Class PO, PO, 07/15/34 | 2,383 | ||||||
1,343 | Series 3632, Class BS, IF, 16.614%, 02/15/40 | 1,483 | ||||||
2,873 | Series 3666, Class VA, 5.500%, 12/15/22 | 3,144 | ||||||
7,775 | Series 3680, Class MA, 4.500%, 07/15/39 | 8,086 | ||||||
2,529 | Series 3688, Class CU, VAR, 6.819%, 11/15/21 | 2,758 | ||||||
4,673 | Series 3688, Class GT, VAR, 7.155%, 11/15/46 | 5,174 | ||||||
9,131 | Series 3688, Class NI, IO, 5.000%, 04/15/32 | 1,733 | ||||||
11,961 | Series 3704, Class CT, 7.000%, 12/15/36 | 13,311 | ||||||
8,110 | Series 3704, Class DT, 7.500%, 11/15/36 | 9,148 | ||||||
6,450 | Series 3704, Class ET, 7.500%, 12/15/36 | 7,288 | ||||||
8,791 | Series 3714, Class IP, IO, 5.000%, 08/15/40 | 1,477 | ||||||
7,226 | Series 3739, Class LI, IO, 4.000%, 03/15/34 | 1,020 | ||||||
5,114 | Series 3740, Class SC, IF, IO, 5.734%, 10/15/40 | 792 | ||||||
2,373 | Series 3747, Class CY, 4.500%, 10/15/40 | 2,256 | ||||||
1,500 | Series 3747, Class PY, 4.000%, 10/15/40 | 1,288 | ||||||
7,725 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 1,253 | ||||||
5,937 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 1,016 | ||||||
1,500 | Series 3770, Class PY, 5.000%, 12/15/40 | 1,544 | ||||||
2,000 | Series R004, Class VG, 6.000%, 08/15/21 | 2,180 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
5,714 | Series R007, Class ZA, 6.000%, 05/15/36 | 6,194 | ||||||
726 | Series R012, Class AI, IO, 5.500%, 12/15/20 | 48 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
3 | Series 1, Class B, IO, 8.000%, 10/15/18 | 1 | ||||||
1 | Series 16, Class B, IO, 10.000%, 06/01/20 | — | (h) | |||||
16 | Series 134, Class B, IO, 9.000%, 04/01/22 | 4 | ||||||
2,715 | Series 191, Class IO, IO, 8.000%, 01/01/28 | 671 | ||||||
2,105 | Series 197, Class PO, PO, 04/01/28 | 1,787 | ||||||
3,198 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 615 | ||||||
1,791 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 344 | ||||||
4,339 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 827 | ||||||
10,708 | Series 239, Class S30, IF, IO, 7.434%, 08/15/36 | 1,576 | ||||||
1,585 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 155 | ||||||
2,574 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 258 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
463 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 (m) | 542 | ||||||
1,776 | Series T-42, Class A5, 7.500%, 02/25/42 | 2,093 | ||||||
104 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 117 | ||||||
124 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 143 | ||||||
2,834 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,276 | ||||||
1,410 | Series T-54, Class 3A, 7.000%, 02/25/43 | 1,578 | ||||||
2,603 | Series T-56, Class A5, 5.231%, 05/25/43 (f) (i) | 2,756 | ||||||
263 | Series T-58, Class APO, PO, 09/25/43 | 220 | ||||||
260 | Series T-59, Class 1AP, PO, 10/25/43 | 205 | ||||||
7,115 | Series T-76, Class 2A, VAR, 4.785%, 10/25/37 | 7,146 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
56 | Series 2001-T10, Class PO, PO, 12/25/41 | 42 | ||||||
1,191 | Series 2001-T12, Class A2, 7.500%, 08/25/41 | 1,359 | ||||||
1,253 | Series 2001-T7, Class A1, 7.500%, 02/25/41 | 1,400 | ||||||
398 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 456 | ||||||
744 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 885 | ||||||
526 | Series 2002-T4, Class A2, 7.000%, 12/25/41 | 609 | ||||||
1,438 | Series 2002-T4, Class A3, 7.500%, 12/25/41 | 1,640 | ||||||
1,629 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,794 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
78 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 87 | ||||||
5 | Series 1988-11, Class D, PO, 05/25/18 | 4 | ||||||
430 | Series 1988-21, Class G, 9.500%, 08/25/18 | 497 | ||||||
4 | Series 1988-29, Class B, 9.500%, 12/25/18 | 4 | ||||||
1 | Series 1989-19, Class A, 10.300%, 04/25/19 | 1 | ||||||
5 | Series 1989-21, Class G, 10.450%, 04/25/19 | 6 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 151 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
20 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 21 | ||||||
17 | Series 1989-70, Class G, 8.000%, 10/25/19 | 20 | ||||||
10 | Series 1989-78, Class H, 9.400%, 11/25/19 | 11 | ||||||
8 | Series 1989-89, Class H, 9.000%, 11/25/19 | 9 | ||||||
6 | Series 1990-60, Class K, 5.500%, 06/25/20 | 6 | ||||||
5 | Series 1990-93, Class G, 5.500%, 08/25/20 | 5 | ||||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 5 | |||||
44 | Series 1990-102, Class J, 6.500%, 08/25/20 | 48 | ||||||
6 | Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 | 8 | ||||||
— | (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 5 | |||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
321 | Series 1991-44, Class G, 8.500%, 05/25/21 | 377 | ||||||
— | (h) | Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21 | 2 | |||||
12 | Series 1992-101, Class J, 7.500%, 06/25/22 | 13 | ||||||
290 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 324 | ||||||
328 | Series 1993-25, Class J, 7.500%, 03/25/23 | 367 | ||||||
143 | Series 1993-27, Class S, IF, 9.329%, 02/25/23 | 161 | ||||||
70 | Series 1993-31, Class K, 7.500%, 03/25/23 | 82 | ||||||
612 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 676 | ||||||
33 | Series 1993-62, Class SA, IF, 17.015%, 04/25/23 | 44 | ||||||
31 | Series 1993-97, Class FA, VAR, 1.531%, 05/25/23 | 31 | ||||||
9 | Series 1993-108, Class D, PO, 02/25/23 | 8 | ||||||
76 | Series 1993-162, Class F, VAR, 1.231%, 08/25/23 | 77 | ||||||
12 | Series 1993-165, Class SD, IF, 11.657%, 09/25/23 | 15 | ||||||
81 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 83 | ||||||
118 | Series 1993-179, Class SB, HB, IF, 23.152%, 10/25/23 | 153 | ||||||
150 | Series 1993-220, Class SG, IF, 15.437%, 11/25/13 | 174 | ||||||
37 | Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 | 46 | ||||||
24 | Series 1993-228, Class G, PO, 09/25/23 | 21 | ||||||
18 | Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 | 18 | ||||||
379 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 403 | ||||||
110 | Series 1993-257, Class C, PO, 06/25/23 | 109 | ||||||
1,609 | Series 1994-26, Class J, PO, 01/25/24 | 1,431 | ||||||
188 | Series 1994-37, Class L, 6.500%, 03/25/24 | 213 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
45 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 51 | ||||||
393 | Series 1996-14, Class SE, IF, IO, 7.330%, 08/25/23 | 73 | ||||||
18 | Series 1996-59, Class J, 6.500%, 08/25/22 | 20 | ||||||
130 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 6 | ||||||
34 | Series 1997-24, Class Z, 8.000%, 04/18/27 | 38 | ||||||
33 | Series 1997-27, Class J, 7.500%, 04/18/27 | 36 | ||||||
597 | Series 1997-46, Class Z, 7.500%, 06/17/27 | 671 | ||||||
31 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 6 | ||||||
1,598 | Series 1998-30, Class ZA, 6.500%, 05/20/28 | 1,778 | ||||||
79 | Series 1998-36, Class J, 6.000%, 07/18/28 | 85 | ||||||
616 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 676 | ||||||
246 | Series 1998-43, Class SA, IF, IO, 15.907%, 04/25/23 | 90 | ||||||
194 | Series 1999-57, Class Z, 7.500%, 12/25/19 | 218 | ||||||
199 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 223 | ||||||
724 | Series 2000-18, Class EC, PO, 10/25/23 | 642 | ||||||
30 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 6 | ||||||
1,413 | Series 2001-4, Class ZA, 6.500%, 03/25/31 | 1,560 | ||||||
110 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 115 | ||||||
169 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 188 | ||||||
103 | Series 2001-31, Class VD, 6.000%, 05/25/31 | 103 | ||||||
323 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 62 | ||||||
317 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 352 | ||||||
949 | Series 2001-38, Class FB, VAR, 0.762%, 08/25/31 | 952 | ||||||
193 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 215 | ||||||
350 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 389 | ||||||
581 | Series 2001-49, Class LZ, 8.500%, 07/25/31 | 717 | ||||||
231 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 248 | ||||||
1,095 | Series 2001-53, Class FX, VAR, 0.612%, 10/25/31 | 1,093 | ||||||
912 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 1,014 | ||||||
399 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 429 | ||||||
227 | Series 2001-72, Class SX, IF, 16.857%, 12/25/31 | 280 | ||||||
205 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 221 | ||||||
224 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 237 | ||||||
114 | Series 2002-1, Class SA, HB, IF, 24.338%, 02/25/32 | 162 | ||||||
187 | Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 | 262 | ||||||
420 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 447 |
SEE NOTES TO FINANCIAL STATEMENTS.
152 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
792 | Series 2002-7, Class FD, VAR, 0.962%, 04/25/29 | 800 | ||||||
163 | Series 2002-9, Class ST, IF, 18.692%, 03/25/17 | 202 | ||||||
1,312 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 1,417 | ||||||
1,093 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 53 | ||||||
70 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 85 | ||||||
1,762 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 1,858 | ||||||
400 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 430 | ||||||
2,287 | Series 2002-30, Class Z, 6.000%, 05/25/32 | 2,505 | ||||||
143 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 158 | ||||||
2,984 | Series 2002-42, Class C, 6.000%, 07/25/17 | 3,225 | ||||||
4,555 | Series 2002-50, Class ZA, 6.000%, 05/25/31 | 4,992 | ||||||
893 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 972 | ||||||
2,643 | Series 2002-56, Class UC, 5.500%, 09/25/17 (m) | 2,873 | ||||||
1,082 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 1,178 | ||||||
512 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 546 | ||||||
536 | Series 2002-63, Class LB, 5.500%, 10/25/17 | 584 | ||||||
1,849 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 1,972 | ||||||
450 | Series 2002-77, Class S, IF, 14.004%, 12/25/32 | 517 | ||||||
1,495 | Series 2002-81, Class JO, PO, 04/25/32 | 1,428 | ||||||
26 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 2 | ||||||
965 | Series 2002-95, Class XD, 5.000%, 01/25/18 | 1,034 | ||||||
640 | Series 2003-7, Class A1, 6.500%, 12/25/42 | 739 | ||||||
2,546 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 432 | ||||||
1,036 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 1,024 | ||||||
747 | Series 2003-23, Class CS, IF, IO, 7.839%, 05/25/31 | 63 | ||||||
2,421 | Series 2003-26, Class XS, IF, IO, 6.789%, 03/25/23 | 302 | ||||||
819 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 843 | ||||||
4,061 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 850 | ||||||
208 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 38 | ||||||
2,408 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 2,666 | ||||||
3,763 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 | 799 | ||||||
1,207 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 52 | ||||||
149 | Series 2003-52, Class SX, HB, IF, 22.165%, 10/25/31 | 209 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
941 | Series 2003-55, Class CD, 5.000%, 06/25/23 | 977 | ||||||
117 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 119 | ||||||
69 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 70 | ||||||
494 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 504 | ||||||
2,564 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 291 | ||||||
2,148 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 426 | ||||||
238 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 246 | ||||||
614 | Series 2003-73, Class HF, VAR, 0.712%, 01/25/31 | 616 | ||||||
268 | Series 2003-73, Class PB, 4.500%, 08/25/18 | 279 | ||||||
171 | Series 2003-74, Class SH, IF, 9.699%, 08/25/33 | 168 | ||||||
1,577 | Series 2003-76, Class SH, IF, 13.677%, 09/25/31 | 1,794 | ||||||
67 | Series 2003-79, Class NM, 4.000%, 05/25/22 | 69 | ||||||
2,610 | Series 2003-80, Class SY, IF, IO, 7.388%, 06/25/23 | 282 | ||||||
1,036 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,104 | ||||||
3,001 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 3,200 | ||||||
363 | Series 2003-86, Class PX, 4.500%, 02/25/17 | 373 | ||||||
1,283 | Series 2003-86, Class ZA, 5.500%, 09/25/33 | 1,377 | ||||||
1,000 | Series 2003-88, Class TH, 4.500%, 09/25/18 | 1,066 | ||||||
369 | Series 2003-91, Class BL, 5.000%, 02/25/29 | 370 | ||||||
347 | Series 2003-91, Class SD, IF, 12.064%, 09/25/33 | 380 | ||||||
134 | Series 2003-92, Class SH, IF, 9.178%, 09/25/18 | 138 | ||||||
3,756 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 4,194 | ||||||
211 | Series 2003-106, Class PO, PO, 08/25/17 | 202 | ||||||
779 | Series 2003-106, Class US, IF, 8.683%, 11/25/23 | 772 | ||||||
3,985 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 4,217 | ||||||
1,832 | Series 2003-116, Class SB, IF, IO, 7.338%, 11/25/33 | 352 | ||||||
2,376 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 2,447 | ||||||
3,000 | Series 2003-120, Class BL, 3.500%, 12/25/18 | 3,072 | ||||||
777 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 836 | ||||||
450 | Series 2003-123, Class YS, IF, IO, 6.839%, 03/25/24 | 4 | ||||||
492 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 510 | ||||||
582 | Series 2003-130, Class SX, IF, 11.128%, 01/25/34 | 642 | ||||||
379 | Series 2003-131, Class SK, IF, 15.677%, 01/25/34 | 449 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 153 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
367 | Series 2003-132, Class OA, PO, 08/25/33 | 320 | ||||||
1,086 | Series 2003-132, Class PI, IO, 5.500%, 08/25/33 | 190 | ||||||
1,504 | Series 2004-4, Class QI, IF, IO, 6.838%, 06/25/33 | 224 | ||||||
376 | Series 2004-4, Class QM, IF, 13.677%, 06/25/33 | 430 | ||||||
899 | Series 2004-10, Class SC, HB, IF, 27.554%, 02/25/34 | 1,271 | ||||||
649 | Series 2004-14, Class SD, IF, 8.683%, 03/25/34 | 613 | ||||||
887 | Series 2004-17, Class H, 5.500%, 04/25/34 | 915 | ||||||
1,043 | Series 2004-21, Class CO, PO, 04/25/34 | 917 | ||||||
469 | Series 2004-22, Class A, 4.000%, 04/25/19 | 487 | ||||||
1,036 | Series 2004-25, Class PB, 5.500%, 05/25/32 | 1,076 | ||||||
777 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 857 | ||||||
1,127 | Series 2004-25, Class SA, IF, 18.806%, 04/25/34 | 1,403 | ||||||
1,370 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 1,426 | ||||||
3,674 | Series 2004-28, Class PF, VAR, 0.662%, 03/25/34 | 3,693 | ||||||
777 | Series 2004-36, Class PB, 5.500%, 05/25/32 | 812 | ||||||
917 | Series 2004-36, Class SA, IF, 18.806%, 05/25/34 | 1,146 | ||||||
302 | Series 2004-36, Class SN, IF, 13.677%, 07/25/33 | 346 | ||||||
1,471 | Series 2004-46, Class EP, PO, 03/25/34 | 1,277 | ||||||
1,833 | Series 2004-46, Class HS, IF, IO, 5.739%, 05/25/30 | 116 | ||||||
477 | Series 2004-46, Class QB, HB, IF, 22.954%, 05/25/34 | 663 | ||||||
394 | Series 2004-46, Class SK, IF, 15.781%, 05/25/34 | 472 | ||||||
215 | Series 2004-51, Class SY, IF, 13.717%, 07/25/34 | 246 | ||||||
58 | Series 2004-53, Class NB, 5.500%, 02/25/21 | 59 | ||||||
1,554 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,638 | ||||||
953 | Series 2004-59, Class BG, PO, 12/25/32 | 833 | ||||||
367 | Series 2004-61, Class CO, PO, 10/25/31 | 364 | ||||||
287 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 320 | ||||||
267 | Series 2004-92, Class JO, PO, 12/25/34 | 265 | ||||||
2,667 | Series 2005-7, Class LO, PO, 02/25/35 | 2,152 | ||||||
588 | Series 2005-13, Class FL, VAR, 0.662%, 03/25/35 | 584 | ||||||
359 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 374 | ||||||
431 | Series 2005-15, Class MO, PO, 03/25/35 | 377 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
860 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 865 | ||||||
69 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 70 | ||||||
490 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 530 | ||||||
2,470 | Series 2005-56, Class S, IF, IO, 6.449%, 07/25/35 | 419 | ||||||
2,466 | Series 2005-57, Class EG, VAR, 0.561%, 03/25/35 | 2,465 | ||||||
415 | Series 2005-58, Class PO, PO, 07/25/35 | 371 | ||||||
565 | Series 2005-66, Class SG, IF, 16.721%, 07/25/35 | 692 | ||||||
3,870 | Series 2005-66, Class SV, IF, IO, 6.489%, 07/25/35 | 598 | ||||||
1,250 | Series 2005-67, Class HG, 5.500%, 01/25/35 | 1,356 | ||||||
1,027 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,109 | ||||||
2,282 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 2,496 | ||||||
325 | Series 2005-70, Class KI, IO, 5.500%, 08/25/35 | 13 | ||||||
504 | Series 2005-73, Class PS, IF, 16.046%, 08/25/35 | 611 | ||||||
1,938 | Series 2005-74, Class SK, IF, 19.411%, 05/25/35 | 2,422 | ||||||
1,926 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 2,100 | ||||||
2,000 | Series 2005-87, Class NH, 5.000%, 10/25/25 | 2,091 | ||||||
413 | Series 2005-88, Class QO, PO, 11/25/33 | 404 | ||||||
862 | Series 2005-90, Class AO, PO, 10/25/35 | 796 | ||||||
2,272 | Series 2005-90, Class ES, IF, 16.221%, 10/25/35 | 2,765 | ||||||
1,609 | Series 2005-90, Class PO, PO, 09/25/35 | 1,475 | ||||||
1,500 | Series 2005-100, Class BQ, 5.500%, 11/25/25 | 1,619 | ||||||
730 | Series 2005-103, Class SC, IF, 10.787%, 07/25/35 | 737 | ||||||
1,552 | Series 2005-106, Class US, HB, IF, 23.608%, 11/25/35 | 2,150 | ||||||
1,490 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 1,566 | ||||||
2,601 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 2,734 | ||||||
2,739 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 2,978 | ||||||
1,584 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 1,664 | ||||||
2,397 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 2,632 | ||||||
1,220 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,319 | ||||||
4,500 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 4,618 | ||||||
6,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 6,526 | ||||||
2,431 | Series 2005-123, Class FG, VAR, 0.712%, 07/25/34 | 2,426 | ||||||
757 | Series 2006-15, Class OT, PO, 01/25/36 | 722 | ||||||
1,106 | Series 2006-16, Class FC, VAR, 0.561%, 03/25/36 | 1,102 | ||||||
1,974 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 2,095 |
SEE NOTES TO FINANCIAL STATEMENTS.
154 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
773 | Series 2006-23, Class KO, PO, 04/25/36 | 672 | ||||||
2,248 | Series 2006-27, Class OH, PO, 04/25/36 | 2,024 | ||||||
1,084 | Series 2006-33, Class ZB, 6.000%, 05/25/36 | 1,056 | ||||||
2,054 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,236 | ||||||
829 | Series 2006-42, Class CF, VAR, 0.712%, 06/25/36 | 830 | ||||||
3,333 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,589 | ||||||
933 | Series 2006-44, Class FP, VAR, 0.662%, 06/25/36 | 927 | ||||||
1,789 | Series 2006-44, Class GO, PO, 06/25/36 | 1,538 | ||||||
5,336 | Series 2006-44, Class P, PO, 12/25/33 | 4,706 | ||||||
1,712 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 1,864 | ||||||
1,110 | Series 2006-50, Class JO, PO, 06/25/36 | 984 | ||||||
1,872 | Series 2006-50, Class PS, PO, 06/25/36 | 1,664 | ||||||
3,648 | Series 2006-53, Class US, IF, IO, 6.319%, 06/25/36 | 509 | ||||||
2,228 | Series 2006-56, Class FT, VAR, 1.012%, 07/25/36 | 2,120 | ||||||
795 | Series 2006-58, Class AP, PO, 07/25/36 | 692 | ||||||
933 | Series 2006-58, Class FL, VAR, 0.721%, 07/25/36 | 935 | ||||||
1,861 | Series 2006-58, Class PO, PO, 07/25/36 | 1,612 | ||||||
260 | Series 2006-59, Class CO, PO, 08/25/35 | 244 | ||||||
2,843 | Series 2006-59, Class QO, PO, 01/25/33 | 2,557 | ||||||
1,102 | Series 2006-60, Class DO, PO, 04/25/35 | 983 | ||||||
1,353 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 1,605 | ||||||
741 | Series 2006-65, Class QO, PO, 07/25/36 | 642 | ||||||
1,319 | Series 2006-72, Class GO, PO, 08/25/36 | 1,167 | ||||||
874 | Series 2006-72, Class HO, PO, 08/25/26 | 771 | ||||||
1,233 | Series 2006-72, Class TO, PO, 08/25/36 | 1,082 | ||||||
6,848 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 7,643 | ||||||
1,789 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 1,979 | ||||||
1,202 | Series 2006-79, Class DO, PO, 08/25/36 | 1,040 | ||||||
1,141 | Series 2006-86, Class OB, PO, 09/25/36 | 969 | ||||||
1,077 | Series 2006-90, Class AO, PO, 09/25/36 | 949 | ||||||
7,200 | Series 2006-94, Class GI, IF, IO, 6.389%, 10/25/26 | 993 | ||||||
301 | Series 2006-94, Class GK, HB, IF, 31.942%, 10/25/26 | 477 | ||||||
1,343 | Series 2006-110, Class PO, PO, 11/25/36 | 1,173 | ||||||
556 | Series 2006-111, Class EO, PO, 11/25/36 | 485 | ||||||
1,497 | Series 2006-113, Class PO, PO, 07/25/36 | 1,383 | ||||||
1,371 | Series 2006-115, Class OK, PO, 12/25/36 | 1,183 | ||||||
3,641 | Series 2006-117, Class GS, IF, IO, 6.388%, 12/25/36 | 548 | ||||||
827 | Series 2006-118, Class A2, VAR, 0.322%, 12/25/36 | 811 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,467 | Series 2006-119, Class PO, PO, 12/25/36 | 1,296 | ||||||
2,143 | Series 2006-120, Class IO, IO, 6.500%, 12/25/36 | 464 | ||||||
2,519 | Series 2006-120, Class PF, VAR, 0.512%, 12/25/36 | 2,513 | ||||||
2,120 | Series 2006-126, Class AO, PO, 01/25/37 | 1,885 | ||||||
2,841 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 436 | ||||||
290 | Series 2007-1, Class SD, HB, IF, 37.431%, 02/25/37 | 448 | ||||||
2,491 | Series 2007-7, Class SG, IF, IO, 6.239%, 08/25/36 | 479 | ||||||
6,923 | Series 2007-14, Class ES, IF, IO, 6.179%, 03/25/37 | 989 | ||||||
1,348 | Series 2007-14, Class OP, PO, 03/25/37 | 1,165 | ||||||
516 | Series 2007-15, Class NO, PO, 03/25/22 | 474 | ||||||
2,151 | Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 | 2,142 | ||||||
2,956 | Series 2007-16, Class FM, VAR, 0.492%, 03/25/37 | 2,949 | ||||||
2,133 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 254 | ||||||
1,500 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,631 | ||||||
298 | Series 2007-39, Class EF, VAR, 0.512%, 05/25/37 | 297 | ||||||
665 | Series 2007-43, Class FL, VAR, 0.561%, 05/25/37 | 662 | ||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,572 | ||||||
2,427 | Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 | 2,430 | ||||||
4,853 | Series 2007-54, Class WI, IF, IO, 5.839%, 06/25/37 | 645 | ||||||
2,683 | Series 2007-60, Class AX, IF, IO, 6.888%, 07/25/37 | 443 | ||||||
2,500 | Series 2007-61, Class PC, 5.500%, 07/25/34 | 2,699 | ||||||
2,206 | Series 2007-64, Class FB, VAR, 0.631%, 07/25/37 | 2,216 | ||||||
7,474 | Series 2007-65, Class KI, IF, IO, 6.359%, 07/25/37 | 957 | ||||||
13,109 | Series 2007-72, Class EK, IF, IO, 6.139%, 07/25/37 | 1,647 | ||||||
2,393 | Series 2007-75, Class EO, PO, 01/25/36 | 2,179 | ||||||
2,478 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 2,639 | ||||||
2,857 | Series 2007-77, Class FG, VAR, 0.762%, 03/25/37 | 2,865 | ||||||
1,500 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 1,628 | ||||||
2,000 | Series 2007-79, Class PB, 5.000%, 04/25/29 | 2,071 | ||||||
343 | Series 2007-79, Class SB, HB, IF, 23.058%, 08/25/37 | 429 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 155 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
921 | Series 2007-88, Class VI, IF, IO, 6.279%, 09/25/37 | 135 | ||||||
2,967 | Series 2007-91, Class ES, IF, IO, 6.199%, 10/25/37 | 418 | ||||||
514 | Series 2007-97, Class MS, IF, 14.187%, 12/25/31 | 557 | ||||||
729 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 786 | ||||||
5,858 | Series 2007-100, Class SM, IF, IO, 6.189%, 10/25/37 | 852 | ||||||
6,002 | Series 2007-101, Class A2, VAR, 0.510%, 06/27/36 | 5,960 | ||||||
866 | Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 | 903 | ||||||
7,000 | Series 2007-112, Class GB, 5.500%, 12/25/22 | 7,676 | ||||||
6,927 | Series 2007-112, Class SA, IF, IO, 6.189%, 12/25/37 | 1,013 | ||||||
12,000 | Series 2007-114, Class A6, VAR, 0.460%, 10/27/37 | 11,980 | ||||||
6,259 | Series 2007-116, Class HI, IO, VAR, 6.323%, 01/25/38 | 550 | ||||||
310 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 31 | ||||||
5,052 | Series 2008-1, Class BI, IF, IO, 5.649%, 02/25/38 | 575 | ||||||
1,740 | Series 2008-10, Class XI, IF, IO, 5.969%, 03/25/38 | 226 | ||||||
1,468 | Series 2008-12, Class IV, IO, 6.500%, 04/25/31 | 177 | ||||||
4,755 | Series 2008-16, Class IS, IF, IO, 5.938%, 03/25/38 | 636 | ||||||
2,726 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 308 | ||||||
3,261 | Series 2008-20, Class SA, IF, IO, 6.729%, 03/25/38 | 503 | ||||||
2,943 | Series 2008-24, Class PF, VAR, 0.912%, 02/25/38 | 2,947 | ||||||
1,165 | Series 2008-27, Class SN, IF, IO, 6.639%, 04/25/38 | 188 | ||||||
1,875 | Series 2008-32, Class SA, IF, IO, 6.589%, 04/25/38 | 286 | ||||||
10,577 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 66 | ||||||
5,053 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 77 | ||||||
4,255 | Series 2008-36, Class IA, IO, 4.500%, 10/25/22 | 361 | ||||||
516 | Series 2008-44, Class PO, PO, 05/25/38 | 458 | ||||||
3,693 | Series 2008-47, Class SI, IF, IO, 6.239%, 06/25/23 | 414 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
6,000 | Series 2008-51, Class BC, 4.500%, 06/25/23 | 6,377 | ||||||
1,872 | Series 2008-53, Class CI, IF, IO, 6.938%, 07/25/38 | 278 | ||||||
391 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 31 | ||||||
2,545 | Series 2008-76, Class GF, VAR, 0.912%, 09/25/23 | 2,581 | ||||||
848 | Series 2008-80, Class GP, 6.250%, 09/25/38 | 929 | ||||||
3,436 | Series 2008-80, Class SA, IF, IO, 5.588%, 09/25/38 | 397 | ||||||
1,493 | Series 2008-81, Class SB, IF, IO, 5.588%, 09/25/38 | 177 | ||||||
2,000 | Series 2008-95, Class BA, 5.000%, 01/25/24 | 2,146 | ||||||
785 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 805 | ||||||
1,634 | Series 2009-6, Class GS, IF, IO, 6.289%, 02/25/39 | 185 | ||||||
3,719 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 415 | ||||||
2,978 | Series 2009-12, Class IO, IO, 4.500%, 03/25/24 | 324 | ||||||
1,312 | Series 2009-12, Class NI, IO, 5.500%, 08/25/22 | 107 | ||||||
2,175 | Series 2009-14, Class YI, IO, 5.000%, 07/25/22 | 143 | ||||||
5,515 | Series 2009-17, Class QS, IF, IO, 6.388%, 03/25/39 | 723 | ||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 784 | ||||||
1,136 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,256 | ||||||
4,188 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 652 | ||||||
645 | Series 2009-63, Class P, 5.000%, 03/25/37 | 670 | ||||||
1,061 | Series 2009-69, Class PO, PO, 09/25/39 | 922 | ||||||
865 | Series 2009-79, Class UA, 7.000%, 03/25/38 | 954 | ||||||
4,463 | Series 2009-84, Class WS, IF, IO, 5.639%, 10/25/39 | 488 | ||||||
4,366 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 810 | ||||||
4,111 | Series 2009-86, Class OT, PO, 10/25/37 | 3,557 | ||||||
8,607 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 741 | ||||||
2,804 | Series 2009-99, Class SC, IF, IO, 5.919%, 12/25/39 | 376 | ||||||
1,708 | Series 2009-99, Class WA, VAR, 6.296%, 12/25/39 | 1,917 | ||||||
8,391 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 8,832 | ||||||
5,420 | Series 2009-112, Class ST, IF, IO, 5.988%, 01/25/40 | 639 |
SEE NOTES TO FINANCIAL STATEMENTS.
156 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,001 | Series 2010-1, Class WA, VAR, 6.130%, 02/25/40 (m) | 6,619 | ||||||
3,443 | Series 2010-16, Class WA, VAR, 6.428%, 03/25/40 | 3,815 | ||||||
3,751 | Series 2010-16, Class WB, VAR, 6.237%, 03/25/40 | 4,159 | ||||||
4,192 | Series 2010-23, Class KS, IF, IO, 6.839%, 02/25/40 | 595 | ||||||
6,052 | Series 2010-35, Class SB, IF, IO, 6.158%, 04/25/40 | 810 | ||||||
1,553 | Series 2010-39, Class OT, PO, 10/25/35 | 1,363 | ||||||
3,453 | Series 2010-42, Class S, IF, IO, 6.139%, 05/25/40 | 387 | ||||||
2,000 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,017 | ||||||
2,354 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 2,511 | ||||||
2,811 | Series 2010-49, Class SC, IF, 12.137%, 03/25/40 | 3,062 | ||||||
1,923 | Series 2010-61, Class WA, 5.950%, 06/25/40 | 2,054 | ||||||
11,635 | Series 2010-64, Class DM, 5.000%, 06/25/40 (m) | 12,205 | ||||||
7,954 | Series 2010-68, Class SA, IF, IO, 4.739%, 07/25/40 | 876 | ||||||
12,778 | Series 2010-103, Class SB, IF, IO, 5.839%, 11/25/49 | 1,800 | ||||||
14,296 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 15,273 | ||||||
2,000 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 2,116 | ||||||
9,176 | Series 2010-111, Class WA, 6.031%, 10/25/40 | 9,923 | ||||||
7,849 | Series 2010-125, Class SA, IF, IO, 4.178%, 11/25/40 | 749 | ||||||
2,721 | Series 2010-130, Class CY, 4.500%, 11/25/40 | 2,546 | ||||||
5,875 | Series 2010-133, Class A, 5.500%, 05/25/38 | 6,301 | ||||||
3,968 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 4,095 | ||||||
3,849 | Series 2011-2, Class WA, VAR, 5.716%, 02/25/51 | 4,128 | ||||||
1,674 | Series 2011-20, Class MW, 5.000%, 03/25/41 | 1,717 | ||||||
113 | Series G92-7, Class JQ, 8.500%, 01/25/22 | 139 | ||||||
23 | Series G92-12, Class B, 7.700%, 02/25/22 | 25 | ||||||
34 | Series G92-14, Class Z, 7.000%, 02/25/22 | 37 | ||||||
16 | Series G92-15, Class Z, 7.000%, 01/25/22 | 16 | ||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 1,698.030%, 05/25/22 | 14 | |||||
24 | Series G92-42, Class Z, 7.000%, 07/25/22 | 26 | ||||||
719 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 876 | ||||||
127 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 141 | ||||||
228 | Series G92-61, Class Z, 7.000%, 10/25/22 | 249 | ||||||
24 | Series G92-62, Class B, PO, 10/25/22 | 22 | ||||||
149 | Series G93-1, Class KA, 7.900%, 01/25/23 | 168 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
99 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 99 | ||||||
804 | Series G94-7, Class PJ, 7.500%, 05/17/24 | 969 | ||||||
133 | Series G97-2, Class ZA, 8.500%, 02/17/27 | 151 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
12 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 2 | ||||||
8 | Series 59, Class 2, IO, 9.500%, 07/01/17 | 2 | ||||||
539 | Series 213, Class 2, IO, 8.000%, 03/01/23 | 114 | ||||||
18 | Series 265, Class 2, 9.000%, 03/01/24 | 20 | ||||||
39 | Series 285, Class 1, PO, 02/01/27 | 34 | ||||||
1,199 | Series 293, Class 1, PO, 0.000%, 12/01/24 | 1,079 | ||||||
913 | Series 331, Class 13, IO, 7.000%, 02/01/33 | 197 | ||||||
2,494 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 228 | ||||||
2,500 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 232 | ||||||
2,107 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 230 | ||||||
4,587 | Series 345, Class 24, IO, VAR, 5.000%, 08/01/22 | 464 | ||||||
1,071 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 191 | ||||||
1,588 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 | 278 | ||||||
2,234 | Series 356, Class 3, IO, 5.000%, 01/01/35 | 431 | ||||||
3,643 | Series 356, Class 39, IO, 5.000%, 01/01/20 | 376 | ||||||
3,401 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 665 | ||||||
688 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 68 | ||||||
1,293 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 252 | ||||||
4,052 | Series 383, Class 32, IO, 6.000%, 01/01/38 | 690 | ||||||
548 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 94 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2,115 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 2,446 | ||||||
442 | Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32 | 468 | ||||||
10,027 | Series 2002-W10, Class IO, IO, VAR, 0.980%, 08/25/42 | 316 | ||||||
616 | Series 2003-W1, Class 1A1, VAR, 6.500%, 12/25/42 | 711 | ||||||
350 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 399 | ||||||
909 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 981 | ||||||
695 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 802 | ||||||
126 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 145 | ||||||
850 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 1,010 | ||||||
868 | Series 2003-W8, Class 3F1, VAR, 0.662%, 05/25/42 | 863 | ||||||
1,058 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 1,223 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 157 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,296 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 1,540 | ||||||
1,287 | Series 2005-W3, Class 2AF, VAR, 0.482%, 03/25/45 | 1,278 | ||||||
1,079 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,207 | ||||||
4,549 | Series 2005-W4, Class 3A, VAR, 3.355%, 06/25/35 | 4,666 | ||||||
1,465 | Series 2006-W2, Class 1AF1, VAR, 0.482%, 02/25/36 | 1,455 | ||||||
953 | Series 2006-W3, Class 1AF1, VAR, 0.502%, 10/25/46 | 946 | ||||||
1,169 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 1,272 | ||||||
12,692 | Series 2007-W1, Class 1AF1, VAR, 0.521%, 11/25/46 (m) | 12,530 | ||||||
2,259 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 2,606 | ||||||
359 | Series 2007-W7, Class 1A4, HB, IF, 37.611%, 07/25/37 | 539 | ||||||
7,622 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 8,396 | ||||||
Government National Mortgage Association, | ||||||||
102 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 115 | ||||||
1,563 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 1,809 | ||||||
223 | Series 1996-16, Class E, 7.500%, 08/16/26 (m) | 250 | ||||||
43 | Series 1997-2, Class E, 7.500%, 02/20/27 | 49 | ||||||
49 | Series 1997-11, Class D, 7.500%, 07/20/27 | 56 | ||||||
89 | Series 1998-26, Class K, 7.500%, 09/17/25 | 100 | ||||||
505 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 554 | ||||||
157 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 178 | ||||||
20 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 23 | ||||||
92 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 104 | ||||||
439 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 499 | ||||||
265 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 292 | ||||||
402 | Series 2000-7, Class ST, HB, IF, 38.200%, 01/16/30 | 744 | ||||||
183 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 207 | ||||||
1,031 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 1,169 | ||||||
760 | Series 2000-10, Class ZP, 7.500%, 02/16/30 | 833 | ||||||
399 | Series 2000-12, Class ST, HB, IF, 38.200%, 02/16/30 | 737 | ||||||
102 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 109 | ||||||
922 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 1,054 | ||||||
145 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 164 | ||||||
55 | Series 2000-36, Class HC, 7.330%, 11/20/30 | 63 | ||||||
31 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 7 | ||||||
161 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 183 | ||||||
1,695 | Series 2001-21, Class PE, 6.500%, 05/16/31 | 1,957 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
284 | Series 2001-31, Class SJ, HB, IF, 27.080%, 02/20/31 | 446 | ||||||
21 | Series 2001-32, Class WA, IF, 19.468%, 07/20/31 | 31 | ||||||
194 | Series 2001-35, Class SA, IF, IO, 7.985%, 08/16/31 | 41 | ||||||
178 | Series 2001-36, Class S, IF, IO, 7.785%, 08/16/31 | 40 | ||||||
1,128 | Series 2001-53, Class SR, IF, IO, 7.887%, 10/20/31 | 142 | ||||||
65 | Series 2001-55, Class SF, HB, IF, 25.373%, 11/20/31 | 96 | ||||||
777 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 925 | ||||||
203 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 234 | ||||||
780 | Series 2002-24, Class AG, IF, IO, 7.685%, 04/16/32 | 154 | ||||||
210 | Series 2002-24, Class SB, IF, 11.528%, 04/16/32 | 251 | ||||||
608 | Series 2002-24, Class Z, 8.500%, 04/16/32 | 690 | ||||||
1,581 | Series 2002-31, Class SE, IF, IO, 7.235%, 04/16/30 | 265 | ||||||
64 | Series 2002-33, Class SY, IF, 9.000%, 02/26/23 | 75 | ||||||
525 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 583 | ||||||
143 | Series 2002-41, Class LS, IF, 9.000%, 06/16/32 | 170 | ||||||
309 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 353 | ||||||
382 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 443 | ||||||
52 | Series 2002-51, Class SG, HB, IF, 31.360%, 04/20/31 | 84 | ||||||
205 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 227 | ||||||
300 | Series 2002-69, Class PO, PO, 02/20/32 | 291 | ||||||
214 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 218 | ||||||
469 | Series 2002-70, Class PS, IF, IO, 7.437%, 08/20/32 | 58 | ||||||
16 | Series 2002-88, Class VA, 6.000%, 12/20/17 | 16 | ||||||
916 | Series 2002-92, Class TK, IO, 5.500%, 05/16/31 | 41 | ||||||
323 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 21 | ||||||
327 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 346 | ||||||
591 | Series 2003-8, Class PO, PO, 01/16/32 | 574 | ||||||
1,784 | Series 2003-11, Class SK, IF, IO, 7.435%, 02/16/33 | 310 | ||||||
4,539 | Series 2003-12, Class VI, IO, 5.500%, 10/17/22 | 721 | ||||||
48 | Series 2003-24, Class PO, PO, 03/16/33 | 42 | ||||||
631 | Series 2003-34, Class TO, PO, 02/16/32 | 617 | ||||||
1,710 | Series 2003-41, Class ID, IO, 5.500%, 05/20/33 | 336 |
SEE NOTES TO FINANCIAL STATEMENTS.
158 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,489 | Series 2003-46, Class IH, IO, 5.500%, 12/20/32 | 334 | ||||||
549 | Series 2003-76, Class LS, IF, IO, 6.937%, 09/20/31 | 50 | ||||||
109 | Series 2003-90, Class PO, PO, 10/20/33 | 93 | ||||||
12 | Series 2003-98, Class PC, 5.000%, 02/20/29 | 12 | ||||||
1,611 | Series 2003-112, Class SA, IF, IO, 6.285%, 12/16/33 | 261 | ||||||
6,000 | Series 2003-112, Class TS, IF, IO, 6.687%, 10/20/32 | 936 | ||||||
4,778 | Series 2004-11, Class SW, IF, IO, 5.237%, 02/20/34 | 536 | ||||||
344 | Series 2004-15, Class SA, IF, 18.939%, 12/20/32 | 410 | ||||||
288 | Series 2004-28, Class S, IF, 18.934%, 04/16/34 | 369 | ||||||
674 | Series 2004-34, Class SZ, IF, 7.500%, 02/20/34 | 737 | ||||||
632 | Series 2004-46, Class AO, PO, 06/20/34 | 557 | ||||||
3,882 | Series 2004-59, Class SG, IF, IO, 6.237%, 07/20/34 | 546 | ||||||
963 | Series 2004-68, Class PO, PO, 05/20/31 | 943 | ||||||
211 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 225 | ||||||
302 | Series 2004-73, Class AE, IF, 14.311%, 08/17/34 | 356 | ||||||
4,623 | Series 2004-73, Class JL, IF, IO, 6.285%, 09/16/34 | 819 | ||||||
1,329 | Series 2004-85, Class PO, PO, 01/17/33 | 1,284 | ||||||
2,299 | Series 2004-90, Class SI, IF, IO, 5.837%, 10/20/34 | 298 | ||||||
1,921 | Series 2005-3, Class SB, IF, IO, 5.837%, 01/20/35 | 247 | ||||||
3,832 | Series 2005-17, Class SL, IF, IO, 6.437%, 07/20/34 | 591 | ||||||
700 | Series 2005-26, Class VI, IO, 5.500%, 01/20/35 | 181 | ||||||
307 | Series 2005-35, Class FL, VAR, 0.613%, 03/20/32 | 303 | ||||||
3,287 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 746 | ||||||
980 | Series 2005-68, Class DP, IF, 15.798%, 06/17/35 | 1,196 | ||||||
4,845 | Series 2005-68, Class KI, IF, IO, 6.037%, 09/20/35 | 625 | ||||||
1,164 | Series 2005-69, Class SY, IF, IO, 6.487%, 11/20/33 | 190 | ||||||
1,346 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 1,433 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,946 | Series 2005-85, Class IO, IO, 5.500%, 01/16/35 | 269 | ||||||
403 | Series 2005-93, Class JO, PO, 03/20/31 | 399 | ||||||
957 | Series 2006-16, Class OP, PO, 03/20/36 | 849 | ||||||
726 | Series 2006-34, Class PO, PO, 07/20/36 | 638 | ||||||
5,437 | Series 2006-38, Class SG, IF, IO, 6.387%, 09/20/33 | 584 | ||||||
2,798 | Series 2006-38, Class SW, IF, IO, 6.237%, 06/20/36 | 364 | ||||||
789 | Series 2006-59, Class SD, IF, IO, 6.437%, 10/20/36 | 108 | ||||||
2,800 | Series 2007-9, Class DI, IF, IO, 6.247%, 03/20/37 | 363 | ||||||
907 | Series 2007-17, Class AF, VAR, 0.465%, 04/16/37 | 899 | ||||||
4,419 | Series 2007-17, Class JI, IF, IO, 6.545%, 04/16/37 | 641 | ||||||
608 | Series 2007-17, Class JO, PO, 04/16/37 | 540 | ||||||
514 | Series 2007-25, Class FN, VAR, 0.565%, 05/16/37 | 509 | ||||||
3,635 | Series 2007-26, Class SC, IF, IO, 5.937%, 05/20/37 | 425 | ||||||
8,785 | Series 2007-26, Class SW, IF, IO, 5.937%, 05/20/37 | 1,029 | ||||||
1,403 | Series 2007-27, Class MI, IO, 5.500%, 09/20/36 | 203 | ||||||
167 | Series 2007-28, Class BO, PO, 05/20/37 | 146 | ||||||
358 | Series 2007-35, Class TO, PO, 04/20/35 | 351 | ||||||
150 | Series 2007-36, Class HO, PO, 06/16/37 | 134 | ||||||
3,001 | Series 2007-36, Class SE, IF, IO, 6.205%, 06/16/37 | 381 | ||||||
4,872 | Series 2007-36, Class SG, IF, IO, 6.207%, 06/20/37 | 606 | ||||||
2,662 | Series 2007-40, Class SD, IF, IO, 6.487%, 07/20/37 | 378 | ||||||
2,634 | Series 2007-42, Class SB, IF, IO, 6.487%, 07/20/37 | 373 | ||||||
1,147 | Series 2007-45, Class QA, IF, IO, 6.377%, 07/20/37 | 162 | ||||||
2,615 | Series 2007-50, Class AI, IF, IO, 6.512%, 08/20/37 | 351 | ||||||
524 | Series 2007-53, Class SW, IF, 19.416%, 09/20/37 | 649 | ||||||
2,801 | Series 2007-57, Class PO, PO, 03/20/37 | 2,469 | ||||||
2,588 | Series 2007-57, Class QA, IF, IO, 6.237%, 10/20/37 | 333 | ||||||
2,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 2,144 | ||||||
3,674 | Series 2007-71, Class SB, IF, IO, 6.437%, 07/20/36 | 459 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 159 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
4,939 | Series 2007-74, Class SL, IF, IO, 6.275%, 11/16/37 | 765 | ||||||
2,514 | Series 2007-76, Class SA, IF, IO, 6.267%, 11/20/37 | 338 | ||||||
3,776 | Series 2007-79, Class SY, IF, IO, 6.287%, 12/20/37 | 522 | ||||||
1,291 | Series 2007-81, Class SP, IF, IO, 6.387%, 12/20/37 | 177 | ||||||
1,012 | Series 2007-82, Class SA, IF, IO, 6.267%, 12/20/37 | 135 | ||||||
1,846 | Series 2008-2, Class MS, IF, IO, 6.895%, 01/16/38 | 275 | ||||||
1,298 | Series 2008-10, Class S, IF, IO, 5.567%, 02/20/38 | 144 | ||||||
4,747 | Series 2008-13, Class PI, IO, 5.500%, 02/16/38 | 652 | ||||||
1,186 | Series 2008-20, Class PO, PO, 09/20/37 | 1,063 | ||||||
1,244 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 150 | ||||||
2,634 | Series 2008-25, Class SB, IF, IO, 6.637%, 03/20/38 | 350 | ||||||
1,231 | Series 2008-29, Class PO, PO, 02/17/33 | 1,126 | ||||||
2,759 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 368 | ||||||
1,122 | Series 2008-33, Class XS, IF, IO, 7.435%, 04/16/38 | 154 | ||||||
1,500 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 1,609 | ||||||
2,778 | Series 2008-36, Class SH, IF, IO, 6.037%, 04/20/38 | 322 | ||||||
6,536 | Series 2008-40, Class SA, IF, IO, 6.135%, 05/16/38 | 1,076 | ||||||
3,039 | Series 2008-41, Class SA, IF, IO, 6.077%, 05/20/38 | 374 | ||||||
807 | Series 2008-47, Class V, 5.500%, 05/16/19 | 892 | ||||||
1,784 | Series 2008-55, Class SA, IF, IO, 5.937%, 06/20/38 | 210 | ||||||
1,508 | Series 2008-60, Class PO, PO, 01/20/38 | 1,400 | ||||||
7,870 | Series 2008-62, Class SA, IF, IO, 5.887%, 07/20/38 | 929 | ||||||
3,007 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 3,289 | ||||||
845 | Series 2008-71, Class SC, IF, IO, 5.737%, 08/20/38 | 99 | ||||||
2,173 | Series 2008-93, Class AS, IF, IO, 5.437%, 12/20/38 | 237 | ||||||
6,818 | Series 2008-95, Class DS, IF, IO, 7.037%, 12/20/38 | 985 | ||||||
1,796 | Series 2008-96, Class SL, IF, IO, 5.737%, 12/20/38 | 207 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,806 | Series 2009-6, Class SA, IF, IO, 5.835%, 02/16/39 | 320 | ||||||
4,150 | Series 2009-10, Class SA, IF, IO, 5.687%, 02/20/39 | 457 | ||||||
3,257 | Series 2009-10, Class SL, IF, IO, 6.235%, 03/16/34 | 389 | ||||||
5,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 1,506 | ||||||
2,244 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 334 | ||||||
2,395 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 364 | ||||||
3,364 | Series 2009-24, Class DS, IF, IO, 6.037%, 03/20/39 | 351 | ||||||
1,681 | Series 2009-25, Class SE, IF, IO, 7.337%, 09/20/38 | 243 | ||||||
1,311 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 262 | ||||||
2,250 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 360 | ||||||
1,828 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 | 168 | ||||||
5,762 | Series 2009-42, Class SC, IF, IO, 5.817%, 06/20/39 | 680 | ||||||
2,966 | Series 2009-43, Class SA, IF, IO, 5.687%, 06/20/39 | 332 | ||||||
883 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 966 | ||||||
6,418 | Series 2009-64, Class SN, IF, IO, 5.835%, 07/16/39 | 743 | ||||||
1,191 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 174 | ||||||
5,148 | Series 2009-67, Class SA, IF, IO, 5.785%, 08/16/39 | 559 | ||||||
6,518 | Series 2009-72, Class SM, IF, IO, 5.985%, 08/16/39 | 786 | ||||||
877 | Series 2009-79, Class OK, PO, 11/16/37 | 768 | ||||||
5,997 | Series 2009-83, Class TS, IF, IO, 5.837%, 08/20/39 | 640 | ||||||
12,458 | Series 2009-102, Class SM, IF, IO, 6.135%, 06/16/39 | 1,513 | ||||||
1,682 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 1,902 | ||||||
5,476 | Series 2009-106, Class AS, IF, IO, 6.135%, 11/16/39 | 717 | ||||||
6,938 | Series 2009-106, Class ST, IF, IO, 5.737%, 02/20/38 | 736 | ||||||
2,868 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 3,148 | ||||||
816 | Series 2010-14, Class AO, PO, 12/20/32 | 723 | ||||||
839 | Series 2010-14, Class BO, PO, 11/20/35 | 739 |
SEE NOTES TO FINANCIAL STATEMENTS.
160 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,500 | Series 2010-14, Class CO, PO, 08/20/35 | 1,812 | ||||||
6,982 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 7,554 | ||||||
4,380 | Series 2010-41, Class WA, VAR, 5.863%, 10/20/33 | 4,804 | ||||||
2,722 | Series 2010-103, Class WA, VAR, 5.768%, 08/20/34 | 2,973 | ||||||
2,785 | Series 2010-129, Class AW, VAR, 6.153%, 04/20/37 | 3,200 | ||||||
3,693 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 4,123 | ||||||
5,471 | Series 2010-157, Class OP, PO, 12/20/40 | 4,157 | ||||||
3,756 | Series 2011-22, Class WA, 5.947%, 02/20/37 | 4,157 | ||||||
NCUA Guaranteed Notes, | ||||||||
7,825 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 7,609 | ||||||
3,906 | Series 2010-R3, Class 1A, VAR, 0.823%, 12/08/20 | 3,924 | ||||||
1,573 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 1,539 | ||||||
Vendee Mortgage Trust, | ||||||||
6,474 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 7,172 | ||||||
822 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 926 | ||||||
461 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 519 | ||||||
903 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 1,038 | ||||||
687 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 789 | ||||||
1,028,816 | ||||||||
Non-Agency CMO — 25.7% |
| |||||||
ABN Amro Mortgage Corp., | ||||||||
91 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 93 | ||||||
53 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 54 | ||||||
American General Mortgage Loan Trust, | ||||||||
1,639 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,760 | ||||||
4,000 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 4,190 | ||||||
3,000 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 3,175 | ||||||
5,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 5,428 | ||||||
2,827 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 2,937 | ||||||
1,712 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.090%, 09/25/35 | 803 | ||||||
ASG Resecuritization Trust, | ||||||||
1,519 | Series 2009-1, Class A60, VAR, 5.348%, 06/26/37 (e) | 1,538 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
2,053 | Series 2009-2, Class A55, VAR, 5.423%, 05/24/36 (e) | 2,103 | ||||||
4,907 | Series 2009-3, Class A65, VAR, 5.374%, 03/26/37 (e) | 4,983 | ||||||
5,330 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 5,410 | ||||||
4,082 | Series 2010-1, Class A85, VAR, 0.661%, 02/27/36 (e) | 3,898 | ||||||
9,871 | Series 2010-2, Class A60, VAR, 5.134%, 01/28/37 (e) | 9,870 | ||||||
3,600 | Series 2010-3, Class 2A22, VAR, 0.440%, 10/28/36 (e) | 3,546 | ||||||
876 | Series 2010-4, Class 2A20, VAR, 0.392%, 11/28/36 (e) | 859 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
322 | Series 2003-3, Class APO, PO, 05/25/33 | 225 | ||||||
2,467 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 2,500 | ||||||
978 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 994 | ||||||
847 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 848 | ||||||
438 | Series 2003-11, Class PO, PO, 01/25/34 | 309 | ||||||
1,132 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 1,195 | ||||||
406 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 411 | ||||||
1,161 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,198 | ||||||
4,397 | Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35 | 861 | ||||||
3,879 | Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36 | 694 | ||||||
Banc of America Funding Corp., | ||||||||
389 | Series 2004-1, Class PO, PO, 03/25/34 | 312 | ||||||
1,679 | Series 2004-3, Class 1A1, 5.500%, 10/25/34 | 1,701 | ||||||
174 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 176 | ||||||
1,606 | Series 2004-C, Class 1A1, VAR, 5.012%, 12/20/34 | 1,644 | ||||||
2,135 | Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35 | 332 | ||||||
420 | Series 2005-4, Class 30PO, PO, 08/25/35 | 291 | ||||||
1,268 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,238 | ||||||
171 | Series 2005-7, Class 30PO, PO, 11/25/35 | 99 | ||||||
903 | Series 2005-8, Class 30PO, PO, 01/25/36 | 503 | ||||||
1,825 | Series 2005-E, Class 4A1, VAR, 2.828%, 03/20/35 | 1,803 | ||||||
974 | Series 2010-R4, Class 5A1, VAR, 0.411%, 07/26/36 (e) | 944 | ||||||
3,585 | Series 2010-R5, Class 5A6, VAR, 0.561%, 05/26/37 (e) | 3,458 | ||||||
532 | Series 2010-R7, Class A1, VAR, 0.441%, 06/25/46 (e) (f) (i) | 522 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 161 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
3,775 | Series 2010-R11A, Class A16, VAR, 5.460%, 08/26/35 (e) | 3,896 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
2,000 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 2,050 | ||||||
498 | Series 2003-3, Class 2A1, VAR, 0.812%, 05/25/18 | 480 | ||||||
1,439 | Series 2003-6, Class 2A1, VAR, 0.712%, 08/25/18 | 1,389 | ||||||
1,094 | Series 2003-8, Class 2A5, 5.000%, 11/25/18 | 1,141 | ||||||
187 | Series 2003-8, Class APO, PO, 11/25/33 | 137 | ||||||
178 | Series 2003-9, Class 1A2, PO, 12/25/33 | 130 | ||||||
1,612 | Series 2003-A, Class 4A1, VAR, 2.872%, 02/25/33 | 1,620 | ||||||
1,099 | Series 2003-C, Class 3A1, VAR, 2.966%, 04/25/33 | 1,124 | ||||||
2,311 | Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33 | 2,223 | ||||||
4,149 | Series 2004-3, Class 15IO, IO, VAR, 0.235%, 04/25/19 | 21 | ||||||
3,000 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 3,081 | ||||||
214 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 215 | ||||||
245 | Series 2004-4, Class APO, PO, 05/25/34 | 185 | ||||||
33,240 | Series 2004-5, Class 15IO, IO, VAR, 0.240%, 06/25/19 | 180 | ||||||
365 | Series 2004-6, Class APO, PO, 07/25/34 | 262 | ||||||
194 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 203 | ||||||
1,614 | Series 2004-C, Class 2A2, VAR, 3.007%, 04/25/34 | 1,618 | ||||||
1,440 | Series 2004-J, Class 3A1, VAR, 5.095%, 11/25/34 | 1,362 | ||||||
BCAP LLC Trust, | ||||||||
1,649 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 1,657 | ||||||
821 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 817 | ||||||
2,539 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 2,650 | ||||||
2,000 | Series 2009-RR14, Class 3A2, VAR, 2.894%, 08/26/35 (e) | 1,900 | ||||||
1,425 | Series 2009-RR14, Class 4A1, VAR, 4.724%, 03/26/36 (e) | 1,420 | ||||||
2,378 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 2,414 | ||||||
1,805 | Series 2010-RR4, Class 2A1, VAR, 1.011%, 06/26/37 (e) | 1,733 | ||||||
1,871 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 1,873 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
3,711 | Series 2010-RR5, Class 2A5, VAR, 5.183%, 04/26/37 (e) | 3,683 | ||||||
1,828 | Series 2010-RR6, Class 5A1, VAR, 5.000%, 11/26/37 (e) | 1,817 | ||||||
5,505 | Series 2010-RR7, Class 1A5, VAR, 3.051%, 04/26/35 (e) | 5,561 | ||||||
11,578 | Series 2010-RR7, Class 2A1, VAR, 5.452%, 07/26/45 (e) | 11,549 | ||||||
3,386 | Series 2010-RR7, Class 15A1, VAR, 1.061%, 01/26/36 (e) | 3,166 | ||||||
2,123 | Series 2010-RR7, Class 16A1, VAR, 0.992%, 02/26/47 (e) | 2,007 | ||||||
1,639 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 1,675 | ||||||
1,045 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 1,049 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
1,131 | Series 2003-4, Class 3A1, VAR, 5.016%, 07/25/33 | 1,152 | ||||||
396 | Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 390 | ||||||
962 | Series 2004-1, Class 12A1, VAR, 2.864%, 04/25/34 | 885 | ||||||
1,572 | Series 2004-2, Class 14A, VAR, 5.138%, 05/25/34 | 1,634 | ||||||
2,681 | Series 2005-5, Class A1, VAR, 2.290%, 08/25/35 | 2,581 | ||||||
3,354 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 3,103 | ||||||
1,075 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.762%, 03/25/35 | 942 | ||||||
1,683 | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.250%, 10/25/33 | 1,678 | ||||||
579 | Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33 | 338 | ||||||
Chase Mortgage Finance Corp., | ||||||||
813 | Series 2003-S10, Class AP, PO, 11/25/18 | 676 | ||||||
507 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 522 | ||||||
397 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 408 | ||||||
793 | Series 2007-A1, Class 2A1, VAR, 2.887%, 02/25/37 | 802 | ||||||
1,235 | Series 2007-A1, Class 7A1, VAR, 2.930%, 02/25/37 | 1,235 | ||||||
1,416 | Series 2007-A1, Class 9A1, VAR, 3.597%, 02/25/37 | 1,440 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
1,101 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 1,124 |
SEE NOTES TO FINANCIAL STATEMENTS.
162 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
325 | Series 2003-8, Class APO, PO, 08/25/33 | 191 | ||||||
1,441 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,472 | ||||||
1,902 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,992 | ||||||
1,881 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 1,904 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
1,103 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 1,152 | ||||||
418 | Series 2003-1, Class PO3, PO, 09/25/33 | 298 | ||||||
62 | Series 2003-1, Class WA2, 6.500%, 06/25/31 | 64 | ||||||
123 | Series 2003-1, Class WPO2, PO, 06/25/31 | 89 | ||||||
158 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 160 | ||||||
681 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 703 | ||||||
119 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 98 | ||||||
111 | Series 2003-UST1, Class PO2, PO, 12/25/18 | 89 | ||||||
63 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 53 | ||||||
901 | Series 2004-UST1, Class A3, VAR, 2.550%, 08/25/34 | 918 | ||||||
1,213 | Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 | 1,251 | ||||||
397 | Series 2005-1, Class 2A1A, VAR, 2.751%, 04/25/35 | 271 | ||||||
1,564 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 1,565 | ||||||
1,158 | Series 2005-5, Class 1A2, VAR, 2.714%, 08/25/35 | 766 | ||||||
3,929 | Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 | 3,850 | ||||||
2,420 | Series 2009-10, Class 1A1, VAR, 2.712%, 09/25/33 (e) | 2,456 | ||||||
2,502 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 2,509 | ||||||
2,851 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 2,993 | ||||||
1,301 | Series 2010-7, Class 10A1, VAR, 2.739%, 02/25/35 (e) | 1,295 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
310 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 306 | ||||||
383 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 300 | ||||||
362 | Series 2003-J1, Class PO, PO, 10/25/33 | 307 | ||||||
1,542 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,548 | ||||||
2,373 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 2,391 | ||||||
202 | Series 2004-J3, Class 4A1, 4.750%, 04/25/19 | 207 | ||||||
484 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 492 | ||||||
2,944 | Series 2005-1CB, Class 1A6, IF, IO, 6.838%, 03/25/35 | 375 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
8,968 | Series 2005-20CB, Class 3A8, IF, IO, 4.489%, 07/25/35 | 991 | ||||||
7,782 | Series 2005-22T1, Class A2, IF, IO, 4.808%, 06/25/35 | 815 | ||||||
417 | Series 2005-26CB, Class A10, IF, 12.576%, 07/25/35 | 417 | ||||||
201 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 201 | ||||||
355 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 323 | ||||||
13,417 | Series 2005-37T1, Class A2, IF, IO, 4.789%, 09/25/35 | 1,633 | ||||||
13,104 | Series 2005-54CB, Class 1A2, IF, IO, 4.588%, 11/25/35 | 1,153 | ||||||
139 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 137 | ||||||
2,054 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 1,759 | ||||||
1,517 | Series 2005-57CB, Class 3A2, IF, IO, 4.839%, 12/25/35 | 191 | ||||||
918 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 761 | ||||||
1,246 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 974 | ||||||
5,668 | Series 2005-J1, Class 1A4, IF, IO, 4.839%, 02/25/35 | 582 | ||||||
32,682 | Series 2006-7CB, Class 1A2, IF, IO, 5.039%, 05/25/36 | 4,062 | ||||||
1,331 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 990 | ||||||
2,500 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) | 1,050 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
1,570 | Series 2002-36, Class A22, 6.000%, 01/25/33 | 1,581 | ||||||
206 | Series 2003-18, Class A12, 5.500%, 07/25/33 | 191 | ||||||
955 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 913 | ||||||
75 | Series 2003-34, Class A11, 5.250%, 09/25/33 | 75 | ||||||
436 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 443 | ||||||
2,908 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 2,855 | ||||||
212 | Series 2003-44, Class A9, PO, 10/25/33 | 167 | ||||||
235 | Series 2003-J10, Class 2A1, 5.000%, 11/25/18 | 240 | ||||||
2,193 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 2,226 | ||||||
579 | Series 2003-J7, Class 4A3, IF, 9.435%, 08/25/18 | 548 | ||||||
302 | Series 2004-3, Class PO, PO, 04/25/34 | 219 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 163 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
2,574 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 2,688 | ||||||
275 | Series 2004-7, Class 2A1, VAR, 2.392%, 06/25/34 | 258 | ||||||
1,697 | Series 2004-13, Class 1A4, 5.500%, 08/25/34 | 1,771 | ||||||
1,100 | Series 2004-28R, Class A1, 5.500%, 08/25/33 | 1,108 | ||||||
412 | Series 2004-HYB1, Class 2A, VAR, 2.889%, 05/20/34 | 374 | ||||||
1,516 | Series 2004-HYB3, Class 2A, VAR, 2.649%, 06/20/34 | 1,292 | ||||||
1,066 | Series 2004-HYB6, Class A3, VAR, 3.089%, 11/20/34 | 933 | ||||||
618 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 637 | ||||||
1,166 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,143 | ||||||
2,760 | Series 2005-22, Class 2A1, VAR, 3.094%, 11/25/35 | 2,218 | ||||||
8,122 | Series 2007-4, Class 1A52, IF, IO, 5.139%, 05/25/37 | 958 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
3,554 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 3,590 | ||||||
1,314 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 1,322 | ||||||
1,150 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,058 | ||||||
2,551 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 2,589 | ||||||
1,307 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 1,359 | ||||||
5,264 | Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) | 5,231 | ||||||
829 | Series 2010-12R, Class 14A1, VAR, 4.500%, 09/26/46 (e) | 834 | ||||||
1,541 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 1,559 | ||||||
1,487 | Series 2010-15R, Class 7A1, VAR, 5.340%, 10/26/37 (e) | 1,506 | ||||||
500 | Series 2010-15R, Class 7A2, VAR, 5.340%, 10/26/37 (e) | 459 | ||||||
3,600 | Series 2011-1R, Class A1, VAR, 1.260%, 02/27/47 (e) | 3,600 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
1,424 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,238 | ||||||
3,655 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 3,579 | ||||||
2,159 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 2,190 | ||||||
990 | Series 2003-29, Class 1A1, 6.500%, 12/25/33 | 1,035 | ||||||
657 | Series 2003-29, Class 5A1, 7.000%, 12/25/33 | 670 | ||||||
1,517 | Series 2003-AR15, Class 3A1, VAR, 2.811%, 06/25/33 | 1,503 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,697 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 1,798 | ||||||
1,699 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 1,760 | ||||||
1,765 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 1,852 | ||||||
2,142 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 2,178 | ||||||
3,335 | Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35 | 485 | ||||||
2,398 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 306 | ||||||
1,065 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.602%, 02/25/20 | 1,081 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
730 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 732 | ||||||
2,180 | Series 2010-RS2, Class A1, VAR, 1.510%, 06/28/47 (e) | 2,180 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
1,598 | Series 2004-AA4, Class A1, VAR, 2.544%, 10/25/34 | 1,442 | ||||||
484 | Series 2005-AA5, Class 1A2, VAR, 2.376%, 07/25/35 | 176 | ||||||
922 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 711 | ||||||
12,481 | Series 2007-FA4, Class 1A2, IF, IO, 5.389%, 08/25/37 | 1,830 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
334 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 345 | ||||||
464 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 478 | ||||||
2,058 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 1,911 | ||||||
706 | Series 2004-AR2, Class 2A1, VAR, 2.880%, 05/25/34 | 683 | ||||||
728 | Series 2004-AR7, Class 2A1, VAR, 2.742%, 02/25/35 (m) | 720 | ||||||
685 | Series 2004-AR7, Class 2A2, VAR, 2.742%, 02/25/35 | 632 | ||||||
1,651 | Series 2005-AR1, Class 2A2, VAR, 2.801%, 04/25/35 | 1,623 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
1,067 | Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 | 1,075 | ||||||
3,058 | Series 2003-AR2, Class 2A4, VAR, 3.318%, 12/19/33 | 3,082 | ||||||
252 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 264 | ||||||
1,442 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 1,425 | ||||||
271 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 274 | ||||||
1,595 | Series 2004-J1, Class A20, 5.500%, 04/25/34 | 1,637 | ||||||
287 | Series 2004-J2, Class A2, VAR, 0.762%, 06/25/34 | 284 |
SEE NOTES TO FINANCIAL STATEMENTS.
164 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
2,784 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 2,888 | ||||||
1,714 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 1,739 | ||||||
646 | Series 2005-AR3, Class 3A3, VAR, 3.225%, 06/19/35 | 631 | ||||||
3,424 | Series 2005-AR3, Class 3A4, VAR, 3.225%, 06/19/35 | 2,774 | ||||||
3,600 | Series 2010-1, Class A, 4.250%, 07/25/40 (e) | 3,648 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
753 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 661 | ||||||
374 | Series 2004-4, Class 1AF, VAR, 0.662%, 06/25/34 (e) | 320 | ||||||
746 | Series 2005-RP2, Class 1AF, VAR, 0.611%, 03/25/35 (e) | 641 | ||||||
1,683 | Series 2005-RP3, Class 1AF, VAR, 0.612%, 09/25/35 (e) | 1,413 | ||||||
4,033 | Series 2006-RP2, Class 1AS2, IF, IO, 5.782%, 04/25/36 (e) | 588 | ||||||
GSR Mortgage Loan Trust, | ||||||||
691 | Series 2003-13, Class 1A1, VAR, 4.459%, 10/25/33 | 709 | ||||||
272 | Series 2003-6F, Class A2, VAR, 0.662%, 09/25/32 | 255 | ||||||
1,488 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 1,461 | ||||||
178 | Series 2004-3F, Class 3A8, 13.500%, 02/25/34 | 178 | ||||||
3,491 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 3,555 | ||||||
183 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 188 | ||||||
305 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 300 | ||||||
1,294 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 1,304 | ||||||
2,409 | Series 2005-5F, Class 8A3, VAR, 0.762%, 06/25/35 | 2,206 | ||||||
5,004 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 4,591 | ||||||
1,199 | Series 2006-1F, Class 1AP, PO, 02/25/36 | 737 | ||||||
7,934 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 7,174 | ||||||
3,100 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 2,945 | ||||||
695 | Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.782%, 04/25/35 | 453 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
1,565 | Series 2001-8, Class A6, 6.440%, 01/25/32 | 1,575 | ||||||
2,764 | Series 2006-2, Class 2A1, VAR, 0.611%, 08/25/36 | 2,565 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
10,759 | Series 2005-AR11, Class A7, IO, VAR, 0.279%, 08/25/35 | 94 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
363 | Series 2006-AR3, Class 2A1A, VAR, 3.696%, 03/25/36 | 205 | ||||||
JP Morgan Mortgage Trust, | ||||||||
868 | Series 2004-A3, Class 4A1, VAR, 4.290%, 07/25/34 | 876 | ||||||
926 | Series 2004-A4, Class 1A1, VAR, 4.533%, 09/25/34 | 951 | ||||||
682 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 705 | ||||||
2,000 | Series 2005-A1, Class 3A4, VAR, 5.012%, 02/25/35 | 1,963 | ||||||
1,479 | Series 2005-A1, Class 5A1, VAR, 4.478%, 02/25/35 | 1,513 | ||||||
3,416 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 3,402 | ||||||
1,501 | Series 2006-A2, Class 5A3, VAR, 2.974%, 11/25/33 | 1,514 | ||||||
1,217 | Series 2006-A3, Class 6A1, VAR, 2.994%, 08/25/34 | 1,153 | ||||||
1,080 | Series 2007-A1, Class 5A2, VAR, 2.968%, 07/25/35 | 1,044 | ||||||
1,496 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.305%, 08/26/35 (e) | 1,507 | ||||||
60 | Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18 | 58 | ||||||
Lehman Mortgage Trust, | ||||||||
1,465 | Series 2006-2, Class 1A1, VAR, 6.448%, 04/25/36 | 1,458 | ||||||
851 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 704 | ||||||
1,500 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,140 | ||||||
LVII Resecuritization Trust, | ||||||||
476 | Series 2009-1, Class A1, VAR, 5.949%, 11/27/37 (e) | 486 | ||||||
3,810 | Series 2009-2, Class A3, VAR, 2.898%, 09/27/37 (e) | 3,724 | ||||||
2,700 | Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e) | 2,646 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
283 | Series 2004-3, Class 4A2, VAR, 2.287%, 04/25/34 | 258 | ||||||
63 | Series 2004-4, Class 2A1, VAR, 2.426%, 05/25/34 | 38 | ||||||
948 | Series 2004-13, Class 2A1, VAR, 2.826%, 04/21/34 | 927 | ||||||
4,081 | Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 4,106 | ||||||
322 | Series 2004-15, Class 3A1, VAR, 3.278%, 12/25/34 | 274 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 165 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
MASTR Alternative Loans Trust, | ||||||||
543 | Series 2003-4, Class 2A1, 6.250%, 06/25/33 | 520 | ||||||
548 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 555 | ||||||
1,379 | Series 2003-8, Class 5A1, 5.000%, 11/25/18 | 1,408 | ||||||
282 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 280 | ||||||
195 | Series 2004-1, Class 30PO, PO, 02/25/34 | 111 | ||||||
938 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 978 | ||||||
388 | Series 2004-3, Class 30PO, PO, 04/25/34 | 285 | ||||||
428 | Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34 | 68 | ||||||
470 | Series 2004-5, Class 30PO, PO, 06/25/34 | 328 | ||||||
218 | Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34 | 41 | ||||||
253 | Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34 | 46 | ||||||
2,365 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 2,417 | ||||||
216 | Series 2004-7, Class 30PO, PO, 08/25/34 | 155 | ||||||
840 | Series 2004-7, Class AX1, IO, 5.500%, 08/25/34 | 147 | ||||||
814 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 829 | ||||||
3,585 | Series 2005-3, Class AX2, IO, 6.000%, 04/25/35 | 660 | ||||||
MASTR Asset Securitization Trust, | ||||||||
751 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 765 | ||||||
297 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 301 | ||||||
1,237 | Series 2003-3, Class 3A18, 5.500%, 04/25/33 | 1,244 | ||||||
230 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 239 | ||||||
256 | Series 2003-4, Class 5A1, 5.500%, 05/25/33 | 266 | ||||||
139 | Series 2003-7, Class 4A1, 4.250%, 09/25/33 | 139 | ||||||
419 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 434 | ||||||
222 | Series 2003-8, Class 3A2, VAR, 0.662%, 09/25/33 | 222 | ||||||
531 | Series 2003-9, Class 15PO, PO, 10/25/18 | 446 | ||||||
198 | Series 2003-10, Class 15PO, PO, 11/25/18 | 165 | ||||||
125 | Series 2003-11, Class 15PO, PO, 12/25/18 | 102 | ||||||
872 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 886 | ||||||
184 | Series 2004-1, Class 30PO, PO, 02/25/34 | 126 | ||||||
209 | Series 2004-3, Class PO, PO, 03/25/34 | 153 | ||||||
608 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 628 | ||||||
1,042 | Series 2004-6, Class 2A9, 5.250%, 11/26/16 | 1,047 | ||||||
361 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 369 | ||||||
374 | Series 2004-8, Class PO, PO, 08/25/19 | 310 | ||||||
141 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 139 | ||||||
1,585 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 1,683 | ||||||
1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 915 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
4,410 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.611%, 05/25/35 (e) | 3,654 | ||||||
3,719 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 2,529 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
409 | Series 2003-A4, Class 2A, VAR, 2.866%, 07/25/33 | 419 | ||||||
1,340 | Series 2003-A5, Class 2A6, VAR, 2.528%, 08/25/33 | 1,290 | ||||||
1,800 | Series 2004-A4, Class A2, VAR, 2.786%, 08/25/34 | 1,813 | ||||||
261 | Series 2005-A1, Class 3A, VAR, 4.916%, 12/25/34 | 248 | ||||||
Merrill Lynch Trust, | ||||||||
1 | Series 7, Class B, PO, 04/20/18 | 1 | ||||||
61 | Series 47, Class Z, 8.985%, 10/20/20 | 68 | ||||||
1,784 | Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 1,739 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
1,131 | Series 2003-A, Class 2A2, VAR, 1.354%, 03/25/28 | 1,019 | ||||||
994 | Series 2003-E, Class A1, VAR, 0.571%, 10/25/28 | 936 | ||||||
1,385 | Series 2004-D, Class A2, VAR, 0.894%, 08/25/29 | 1,318 | ||||||
1,151 | Series 2004-E, Class A2A, VAR, 0.813%, 11/25/29 | 1,026 | ||||||
2,123 | Morgan Stanley Mortgage Loan Trust, | 2,256 | ||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, | 12 | |||||
MortgageIT Trust, | ||||||||
831 | Series 2005-1, Class 1A1, VAR, 0.581%, 02/25/35 | 645 | ||||||
321 | Series 2005-5, Class A1, VAR, 0.522%, 12/25/35 | 245 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
375 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 386 | ||||||
88 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 93 | ||||||
45 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 47 | ||||||
76 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 78 | ||||||
842 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 852 | ||||||
Prime Mortgage Trust, | ||||||||
224 | Series 2004-1, Class 2A3, 5.250%, 08/25/34 | 228 | ||||||
1,967 | Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 2,074 | ||||||
868 | Series 2005-4, Class 2PO, PO, 10/25/35 | 477 |
SEE NOTES TO FINANCIAL STATEMENTS.
166 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
RBSSP Resecuritization Trust, | ||||||||
1,415 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 1,492 | ||||||
1,969 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 1,989 | ||||||
1,508 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 1,561 | ||||||
1,638 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 1,687 | ||||||
2,424 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 2,555 | ||||||
2,812 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 2,848 | ||||||
1,671 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 1,699 | ||||||
3,802 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 3,821 | ||||||
1,982 | Series 2010-9, Class 1A1, VAR, 0.446%, 07/26/37 (e) (f) (i) | 1,785 | ||||||
2,600 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 2,580 | ||||||
Residential Accredit Loans, Inc., | ||||||||
404 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 413 | ||||||
107 | Series 2002-QS16, Class A3, IF, 16.076%, 10/25/17 | 117 | ||||||
1,038 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 1,023 | ||||||
246 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 236 | ||||||
368 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 365 | ||||||
990 | Series 2003-QS12, Class A2A, IF, IO, 7.338%, 06/25/18 | 136 | ||||||
434 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 46 | ||||||
1,362 | Series 2003-QS13, Class A5, VAR, 0.912%, 07/25/33 | 1,101 | ||||||
8,086 | Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33 | 171 | ||||||
1,147 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,167 | ||||||
1,103 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,138 | ||||||
1,028 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 1,074 | ||||||
317 | Series 2003-QS3, Class A2, IF, 15.925%, 02/25/18 | 342 | ||||||
603 | Series 2003-QS3, Class A8, IF, IO, 7.338%, 02/25/18 | 71 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
799 | Series 2003-QS9, Class A3, IF, IO, 7.288%, 05/25/18 | 114 | ||||||
1,411 | Series 2004-QA4, Class NB3, VAR, 5.361%, 09/25/34 | 1,435 | ||||||
432 | Series 2004-QA6, Class NB2, VAR, 3.159%, 12/26/34 | 347 | ||||||
928 | Series 2004-QS10, Class A6, 6.000%, 07/25/34 | 872 | ||||||
1,448 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 1,265 | ||||||
595 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 596 | ||||||
330 | Series 2005-QA10, Class A31, VAR, 3.818%, 09/25/35 | 236 | ||||||
2,000 | Series 2005-QA6, Class A32, VAR, 5.501%, 05/25/35 | 1,441 | ||||||
712 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 499 | ||||||
Residential Asset Securitization Trust, | ||||||||
143 | Series 2002-A13, Class A4, 5.250%, 12/25/17 | 145 | ||||||
693 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 594 | ||||||
201 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 209 | ||||||
821 | Series 2003-A5, Class A1, 5.500%, 06/25/33 | 834 | ||||||
1,126 | Series 2004-IP2, Class 1A1, VAR, 2.711%, 12/25/34 | 1,053 | ||||||
3,921 | Series 2005-A16, Class AX, IO, 5.750%, 02/25/36 | 734 | ||||||
7,403 | Series 2005-A2, Class A4, IF, IO, 4.789%, 03/25/35 | 891 | ||||||
1,550 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,004 | ||||||
942 | Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 718 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
1,554 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,586 | ||||||
398 | Series 2003-S14, Class A4, PO, 07/25/18 | 381 | ||||||
1,030 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 1,057 | ||||||
977 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 999 | ||||||
1,925 | Series 2003-S4, Class A4, 5.750%, 03/25/33 | 2,033 | ||||||
603 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 500 | ||||||
395 | Series 2004-S6, Class 3A5, 4.500%, 06/25/19 | 395 | ||||||
932 | Series 2005-SA4, Class 1A1, VAR, 3.236%, 09/25/35 | 717 | ||||||
Residential Funding Securities LLC, | ||||||||
54 | Series 2002-RM1, Class API, PO, 12/25/17 | 40 | ||||||
87 | Series 2003-RM2, Class AP-3, PO, 05/25/33 | 62 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
1,928 | Series 2003-HYB1, Class A, VAR, 3.199%, 09/25/33 | 1,965 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 167 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
132 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 97 | ||||||
Sequoia Mortgage Trust, | ||||||||
1,904 | Series 2003-1, Class 1A, VAR, 0.642%, 04/20/33 | 1,835 | ||||||
1,261 | Series 2004-8, Class A1, VAR, 0.612%, 09/20/34 | 1,170 | ||||||
1,968 | Series 2004-8, Class A2, VAR, 0.830%, 09/20/34 | 1,806 | ||||||
1,631 | Series 2004-10, Class A1A, VAR, 0.572%, 11/20/34 | 1,538 | ||||||
4,000 | Station Place Securitization Trust, Series 2010-1, Class A, VAR, 1.263%, 12/20/42 | 4,000 | ||||||
2,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 | 2,860 | ||||||
Structured Asset Securities Corp., | ||||||||
73 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 54 | ||||||
386 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 398 | ||||||
802 | Series 2003-16, Class A3, VAR, 0.762%, 06/25/33 | 774 | ||||||
87 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 89 | ||||||
806 | Series 2003-32, Class 1A1, VAR, 5.190%, 11/25/33 | 826 | ||||||
403 | Series 2003-31A, Class B1, VAR, 2.721%, 10/25/33 | 167 | ||||||
1,373 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 1,397 | ||||||
688 | Series 2003-33H, Class 1APO, PO, 10/25/33 | 502 | ||||||
6,002 | Series 2003-37A, Class 2A, VAR, 5.012%, 12/25/33 | 6,213 | ||||||
2,743 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m) | 2,772 | ||||||
3,300 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 3,287 | ||||||
917 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 902 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
290 | Series 2003-4, Class A1, VAR, 0.581%, 09/25/43 | 270 | ||||||
266 | Series 2004-1, Class II2A, VAR, 1.819%, 03/25/44 | 249 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1,096 | Series 2002-S5, Class B3, 6.389%, 09/25/32 | 751 | ||||||
191 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 196 | ||||||
1,750 | Series 2003-AR7, Class A7, VAR, 2.674%, 08/25/33 | 1,751 | ||||||
1,246 | Series 2003-AR8, Class A, VAR, 2.717%, 08/25/33 | 1,264 | ||||||
4,805 | Series 2003-AR9, Class 1A6, VAR, 2.712%, 09/25/33 | 4,767 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,112 | Series 2003-AR9, Class 2A, VAR, 2.780%, 09/25/33 | 1,126 | ||||||
2,100 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 2,167 | ||||||
1,060 | Series 2003-S10, Class A5, 5.000%, 10/25/18 | 1,064 | ||||||
160 | Series 2003-S10, Class A6, PO, 10/25/18 | 159 | ||||||
615 | Series 2003-S11, Class 2A5, IF, 16.331%, 11/25/33 | 646 | ||||||
327 | Series 2003-S7, Class A1, 4.500%, 08/25/18 | 334 | ||||||
1,377 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 1,390 | ||||||
1,124 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,159 | ||||||
4,424 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 4,429 | ||||||
213 | Series 2003-S9, Class P, PO, 10/25/33 | 152 | ||||||
300 | Series 2004-AR3, Class A1, VAR, 2.703%, 06/25/34 | 295 | ||||||
2,030 | Series 2004-AR3, Class A2, VAR, 2.703%, 06/25/34 | 1,998 | ||||||
1,842 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 1,938 | ||||||
498 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 521 | ||||||
852 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 884 | ||||||
1,263 | Series 2004-S1, Class 1A3, VAR, 0.662%, 03/25/34 | 1,267 | ||||||
3,476 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 3,474 | ||||||
455 | Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36 | 264 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
489 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 462 | ||||||
12,805 | Series 2005-2, Class 1A4, IF, IO, 4.789%, 04/25/35 | 1,049 | ||||||
1,428 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,251 | ||||||
431 | Series 2005-4, Class DP, PO, 06/25/20 | 302 | ||||||
1,758 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,554 | ||||||
15,868 | Series 2005-11, Class A4, IF, IO, 4.689%, 01/25/36 | 1,804 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
163 | Series 2002-MS12, Class A, 6.500%, 05/25/32 | 171 | ||||||
1,186 | Series 2004-RA2, Class 2A, 7.000%, 07/25/33 | 1,221 | ||||||
165 | Series 2004-RA4, Class 1P, PO, 04/25/19 | 146 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
818 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 845 | ||||||
2,768 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 2,768 | ||||||
487 | Series 2003-11, Class 1APO, PO, 10/25/18 | 408 | ||||||
877 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 891 | ||||||
197 | Series 2003-14, Class 1A1, 4.750%, 12/25/18 | 201 | ||||||
1,645 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 1,693 | ||||||
463 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 473 |
SEE NOTES TO FINANCIAL STATEMENTS.
168 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
13,146 | Series 2003-16, Class 2AIO, IO, VAR, 0.115%, 12/25/18 | 34 | ||||||
836 | Series 2003-17, Class APO, PO, 01/25/34 | 608 | ||||||
1,068 | Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 | 1,076 | ||||||
293 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 301 | ||||||
470 | Series 2004-1, Class A11, PO, 02/25/34 | 318 | ||||||
463 | Series 2004-2, Class APO, PO, 01/25/19 | 384 | ||||||
387 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 393 | ||||||
1,336 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,398 | ||||||
548 | Series 2004-B, Class A1, VAR, 4.930%, 02/25/34 | 569 | ||||||
1,236 | Series 2004-BB, Class A4, VAR, 2.746%, 01/25/35 | 1,241 | ||||||
2,435 | Series 2004-EE, Class 2A1, VAR, 2.853%, 12/25/34 | 2,383 | ||||||
304 | Series 2004-EE, Class 2A2, VAR, 2.853%, 12/25/34 | 310 | ||||||
1,238 | Series 2004-EE, Class 3A1, VAR, 2.952%, 12/25/34 | 1,237 | ||||||
1,684 | Series 2004-I, Class 1A1, VAR, 2.892%, 07/25/34 | 1,758 | ||||||
2,553 | Series 2004-P, Class 2A1, VAR, 2.910%, 09/25/34 | 2,587 | ||||||
213 | Series 2004-Q, Class 1A3, VAR, 4.879%, 09/25/34 | 200 | ||||||
3,683 | Series 2004-U, Class A1, VAR, 2.920%, 10/25/34 | 3,682 | ||||||
1,756 | Series 2004-V, Class 1A1, VAR, 2.862%, 10/25/34 | 1,749 | ||||||
971 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 1,000 | ||||||
525 | Series 2005-9, Class 1APO, PO, 10/25/35 | 349 | ||||||
1,546 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 1,615 | ||||||
170 | Series 2005-15, Class APO, PO, 12/25/20 | 139 | ||||||
751 | Series 2005-AR16, Class 2A1, VAR, 2.764%, 10/25/35 | 713 | ||||||
901 | Series 2005-AR8, Class 2A1, VAR, 2.849%, 06/25/35 | 896 | ||||||
2,200 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 2,094 | ||||||
1,562 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 1,490 | ||||||
571,540 | ||||||||
Total Collateralized Mortgage Obligations | 1,600,356 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — 1.0% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
700 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 734 | ||||||
800 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 827 | ||||||
500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 537 | ||||||
1,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 1,093 | ||||||
2,000 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,172 | ||||||
500 | Bear Stearns Commercial Mortgage Securities, Series 2006-PW11, Class A4, VAR, 5.452%, 03/11/39 | 545 | ||||||
1,446 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 1,515 | ||||||
4,801 | FDIC Structured Sale Guaranteed Notes, | 4,800 | ||||||
32,168 | GS Mortgage Securities Corp. II, | 724 | ||||||
108,920 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class X1, IO, VAR, 0.086%, 06/12/43 | 780 | ||||||
70,831 | LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class XCL, IO, VAR, 0.113%, 02/15/41 (e) | 719 | ||||||
500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.659%, 05/12/39 | 548 | ||||||
250 | Morgan Stanley Capital I, Series 2007-T27, | 272 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
1,607 | 3.000%, 07/17/56 | 1,612 | ||||||
4,500 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 4,782 | ||||||
Total Commercial Mortgage-Backed Securities | 21,660 | |||||||
| Mortgage Pass-Through Securities — 20.4% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
225 | ARM, 2.455%, 03/01/35 | 236 | ||||||
324 | ARM, 2.480%, 12/01/33 | 339 | ||||||
395 | ARM, 2.629%, 04/01/34 | 411 | ||||||
478 | ARM, 2.724%, 12/01/35 | 501 | ||||||
155 | ARM, 3.446%, 07/01/37 | 163 | ||||||
751 | ARM, 3.642%, 03/01/36 | 792 | ||||||
459 | ARM, 3.779%, 11/01/36 | 483 | ||||||
464 | ARM, 3.855%, 03/01/36 | 487 | ||||||
86 | ARM, 4.019%, 01/01/30 | 90 | ||||||
455 | ARM, 5.287%, 05/01/38 | 481 | ||||||
598 | ARM, 5.516%, 05/01/36 | 629 | ||||||
538 | ARM, 5.621%, 04/01/38 | 570 | ||||||
278 | ARM, 5.771%, 05/01/37 | 296 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 169 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
1,642 | ARM, 5.804%, 10/01/36 | 1,728 | ||||||
706 | ARM, 5.836%, 11/01/36 | 748 | ||||||
280 | ARM, 5.865%, 02/01/37 | 297 | ||||||
2,541 | ARM, 6.005%, 11/01/36 | 2,712 | ||||||
1,034 | ARM, 6.018%, 06/01/36 | 1,107 | ||||||
232 | ARM, 6.024%, 02/01/37 | 245 | ||||||
611 | ARM, 6.026%, 12/01/36 | 647 | ||||||
378 | ARM, 6.054%, 10/01/37 | 396 | ||||||
258 | ARM, 6.055%, 10/01/36 | 277 | ||||||
491 | ARM, 6.060%, 02/01/37 | 518 | ||||||
695 | ARM, 6.229%, 09/01/37 | 740 | ||||||
1,761 | 6.230%, 09/01/36 - 03/01/37 | 1,849 | ||||||
383 | ARM, 6.294%, 10/01/36 | 402 | ||||||
331 | ARM, 6.405%, 02/01/37 | 355 | ||||||
717 | ARM, 6.674%, 10/01/36 | 751 | ||||||
1,017 | ARM, 6.680%, 11/01/36 | 1,091 | ||||||
427 | ARM, 6.743%, 08/01/36 | 448 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
287 | 3.500%, 05/01/19 | 296 | ||||||
7,449 | 4.000%, 06/01/13 - 06/01/19 (m) | 7,748 | ||||||
2,921 | 4.500%, 07/01/14 - 10/01/18 | 3,050 | ||||||
466 | 5.000%, 12/01/18 | 500 | ||||||
3,409 | 5.500%, 06/01/17 - 02/01/23 | 3,680 | ||||||
4,616 | 6.000%, 06/01/17 - 03/01/22 | 5,032 | ||||||
1,047 | 6.500%, 08/01/12 - 03/01/22 | 1,141 | ||||||
498 | 7.000%, 01/01/17 - 07/01/17 | 540 | ||||||
46 | 7.500%, 08/01/11 - 12/01/15 | 47 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
6,000 | 5.500%, 04/01/27 - 03/01/28 | 6,434 | ||||||
1,306 | 6.000%, 01/01/14 - 02/01/24 | 1,440 | ||||||
2,346 | 6.500%, 05/01/22 - 01/01/28 | 2,611 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
2,180 | 4.000%, 10/01/33 | 2,173 | ||||||
13,878 | 5.000%, 05/01/36 - 08/01/40 | 14,551 | ||||||
5,296 | 5.500%, 10/01/33 - 07/01/35 | 5,710 | ||||||
1,224 | 6.000%, 11/01/28 - 12/01/33 | 1,346 | ||||||
9,036 | 6.500%, 05/01/24 - 03/01/38 (m) | 10,204 | ||||||
1,989 | 7.000%, 07/01/29 - 10/01/36 | 2,274 | ||||||
331 | 7.500%, 09/01/38 | 377 | ||||||
53 | 8.500%, 08/01/30 | 63 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
1,963 | 7.500%, 01/01/32 - 12/01/36 | 2,270 | ||||||
1,334 | 10.000%, 10/01/30 | 1,575 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
7,252 | 5.500%, 02/01/18 - 11/01/35 | 7,681 | ||||||
8,970 | 6.500%, 11/01/36 - 10/17/38 | 9,819 | ||||||
722 | 7.000%, 12/01/14 - 08/01/47 | 799 | ||||||
53 | 7.500%, 10/01/37 | 60 | ||||||
131 | 10.500%, 07/20/21 | 147 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
11 | 7.500%, 03/01/17 - 05/01/17 | 12 | ||||||
10 | 8.750%, 06/01/17 | 11 | ||||||
5 | 10.500%, 05/01/19 | 6 | ||||||
12 | 12.000%, 08/01/15 - 07/01/19 | 13 | ||||||
Federal National Mortgage Association, | ||||||||
769 | ARM, 1.695%, 08/01/34 | 786 | ||||||
368 | ARM, 1.909%, 01/01/33 | 377 | ||||||
3,945 | ARM, 2.034%, 01/01/35 (m) | 4,105 | ||||||
342 | ARM, 2.041%, 02/01/35 | 356 | ||||||
622 | ARM, 2.044%, 02/01/35 | 647 | ||||||
23 | ARM, 2.079%, 03/01/19 | 23 | ||||||
1,337 | ARM, 2.244%, 05/01/35 | 1,384 | ||||||
455 | ARM, 2.270%, 01/01/36 | 470 | ||||||
182 | ARM, 2.402%, 11/01/33 | 190 | ||||||
255 | ARM, 2.413%, 04/01/34 | 267 | ||||||
387 | ARM, 2.416%, 06/01/35 | 407 | ||||||
468 | ARM, 2.426%, 10/01/34 | 489 | ||||||
173 | ARM, 2.438%, 01/01/34 | 181 | ||||||
688 | ARM, 2.460%, 11/01/33 | 721 | ||||||
503 | ARM, 2.471%, 06/01/34 | 527 | ||||||
207 | ARM, 2.477%, 05/01/35 | 217 | ||||||
1,381 | ARM, 2.556%, 04/01/35 | 1,450 | ||||||
509 | ARM, 2.577%, 05/01/34 | 533 | ||||||
547 | ARM, 2.608%, 02/01/34 | 572 | ||||||
899 | ARM, 2.620%, 07/01/33 | 945 | ||||||
327 | ARM, 2.637%, 09/01/35 | 344 | ||||||
415 | ARM, 2.657%, 10/01/34 | 437 | ||||||
615 | ARM, 2.663%, 10/01/34 | 645 | ||||||
567 | ARM, 2.670%, 10/01/34 | 597 | ||||||
181 | ARM, 2.735%, 05/01/35 | 190 | ||||||
390 | ARM, 2.787%, 09/01/34 | 410 | ||||||
544 | ARM, 2.926%, 08/01/34 | 570 | ||||||
7,755 | ARM, 3.054%, 03/01/36 | 8,110 | ||||||
512 | ARM, 3.060%, 09/01/33 | 537 | ||||||
980 | ARM, 3.158%, 04/01/35 | 1,026 | ||||||
36 | ARM, 3.328%, 09/01/27 | 36 | ||||||
453 | ARM, 3.694%, 08/01/34 | 475 |
SEE NOTES TO FINANCIAL STATEMENTS.
170 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
131 | ARM, 3.983%, 03/01/29 | 135 | ||||||
308 | ARM, 4.186%, 04/01/34 | 317 | ||||||
833 | ARM, 4.936%, 07/01/33 | 882 | ||||||
936 | ARM, 5.149%, 10/01/34 | 983 | ||||||
733 | ARM, 5.200%, 09/01/36 | 772 | ||||||
534 | ARM, 5.282%, 01/01/38 | 567 | ||||||
281 | ARM, 5.540%, 07/01/37 | 299 | ||||||
267 | ARM, 5.586%, 12/01/36 | 282 | ||||||
5,632 | ARM, 5.696%, 01/01/23 | 6,047 | ||||||
1,224 | ARM, 5.783%, 12/01/37 | 1,300 | ||||||
736 | ARM, 5.850%, 12/01/36 | 779 | ||||||
542 | ARM, 5.855%, 11/01/36 | 574 | ||||||
598 | ARM, 5.876%, 07/01/36 | 633 | ||||||
1,354 | ARM, 5.937%, 07/01/37 | 1,430 | ||||||
401 | ARM, 5.938%, 10/01/36 | 424 | ||||||
525 | ARM, 6.032%, 08/01/36 | 555 | ||||||
718 | ARM, 6.167%, 11/01/37 | 760 | ||||||
1,100 | ARM, 6.224%, 06/01/36 | 1,152 | ||||||
534 | ARM, 6.225%, 10/01/36 | 562 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
1,437 | 3.500%, 08/01/18 | 1,483 | ||||||
11,646 | 4.000%, 07/01/18 - 12/01/18 (m) | 12,191 | ||||||
5,734 | 4.500%, 07/01/18 - 09/01/20 | 6,069 | ||||||
2,865 | 5.000%, 12/01/16 - 07/01/20 | 3,075 | ||||||
10,143 | 5.500%, 11/01/18 - 11/01/23 | 10,978 | ||||||
13,555 | 6.000%, 06/01/16 - 07/01/24 | 14,851 | ||||||
3,368 | 6.500%, 09/01/13 - 02/01/24 | 3,699 | ||||||
1,885 | 7.000%, 12/01/16 - 08/01/21 | 2,075 | ||||||
123 | 7.500%, 03/01/17 - 10/01/17 | 136 | ||||||
115 | 8.000%, 04/01/11 - 01/01/16 | 123 | ||||||
6 | 8.500%, 09/01/11 | 6 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
8,911 | 3.500%, 12/01/30 | 8,663 | ||||||
980 | 5.500%, 02/01/23 | 1,065 | ||||||
11,064 | 6.000%, 02/01/14 - 09/01/29 | 12,051 | ||||||
3,359 | 6.500%, 06/01/16 - 12/01/27 | 3,733 | ||||||
81 | 7.500%, 09/01/21 | 94 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
87 | 6.000%, 09/01/33 | 95 | ||||||
962 | 6.500%, 02/01/29 - 03/01/29 | 1,093 | ||||||
280 | 7.000%, 10/01/28 - 02/01/33 | 323 | ||||||
85 | 8.000%, 06/01/28 | 99 | ||||||
23 | 8.500%, 03/01/30 - 06/01/30 | 27 | ||||||
395 | 9.000%, 05/01/18 - 06/01/31 | 459 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
17 | 10.000%, 07/01/19 | 18 | ||||||
16 | 10.500%, 11/01/18 | 18 | ||||||
33 | 11.000%, 04/01/19 | 38 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
4,726 | 4.000%, 08/01/33 - 04/01/34 | 4,712 | ||||||
3,357 | 4.500%, 05/01/29 - 09/01/34 | 3,451 | ||||||
15,532 | 5.000%, 05/01/33 - 08/01/40 | 16,346 | ||||||
19,402 | 5.500%, 11/01/32 - 10/01/39 | 20,910 | ||||||
6,669 | 6.000%, 12/01/28 - 09/01/36 | 7,333 | ||||||
34 | 6.250%, 07/01/23 | 37 | ||||||
25,760 | 6.500%, 11/01/29 - 10/01/38 | 28,917 | ||||||
10,903 | 7.000%, 04/01/17 - 01/01/39 | 12,495 | ||||||
6,792 | 7.500%, 08/01/36 - 04/01/39 | 7,887 | ||||||
1,529 | 8.000%, 03/01/27 - 10/01/36 | 1,775 | ||||||
172 | 8.500%, 12/01/27 - 02/01/30 | 202 | ||||||
1 | 9.000%, 04/01/26 | 1 | ||||||
16 | 9.500%, 07/01/28 | 19 | ||||||
10 | 10.000%, 02/01/24 | 12 | ||||||
15 | 12.500%, 01/01/16 | 16 | ||||||
Federal National Mortgage Association, Other, | ||||||||
4,100 | 3.350%, 11/01/20 | 3,897 | ||||||
2,990 | 3.430%, 10/01/20 | 2,860 | ||||||
2,988 | 3.600%, 09/01/20 | 2,896 | ||||||
6,957 | 3.621%, 09/01/20 | 6,704 | ||||||
2,986 | 3.658%, 10/01/20 | 2,880 | ||||||
3,000 | 3.680%, 09/01/20 | 2,927 | ||||||
2,000 | 3.980%, 11/01/16 | 2,064 | ||||||
1,167 | 4.000%, 11/01/33 | 1,145 | ||||||
2,000 | 4.061%, 01/01/21 | 1,975 | ||||||
8,000 | 4.201%, 07/01/20 | 8,112 | ||||||
1,983 | 4.257%, 04/01/20 | 2,001 | ||||||
3,478 | 4.443%, 08/01/20 | 3,575 | ||||||
812 | 4.500%, 11/01/14 - 08/01/33 | 850 | ||||||
3,969 | 4.514%, 04/01/20 | 4,074 | ||||||
4,956 | 4.515%, 02/01/20 | 5,098 | ||||||
7,286 | 4.546%, 02/01/20 | 7,507 | ||||||
5,000 | 4.640%, 01/01/21 | 5,169 | ||||||
4,959 | 4.681%, 12/01/19 | 5,146 | ||||||
1,045 | 5.000%, 04/01/22 - 01/01/36 | 1,092 | ||||||
6,095 | 5.500%, 05/01/13 - 04/01/38 | 6,444 | ||||||
6,124 | 6.000%, 02/01/36 - 11/01/39 | 6,579 | ||||||
848 | 6.500%, 10/01/35 - 06/01/36 | 948 | ||||||
3,016 | 7.000%, 12/01/36 - 10/01/46 | 3,405 | ||||||
34 | 10.195%, 06/15/21 | 38 | ||||||
7 | 10.250%, 07/15/13 | 8 | ||||||
9 | 11.000%, 08/20/20 | 10 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 171 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
157 | Government National Mortgage Association II, | 171 | ||||||
Government National Mortgage Association II, | ||||||||
586 | 3.500%, 09/20/33 | 566 | ||||||
5,090 | 6.500%, 10/20/33 - 01/20/39 | 5,703 | ||||||
27 | 7.500%, 02/20/28 - 09/20/28 | 31 | ||||||
41 | 8.000%, 06/20/26 - 11/20/28 | 48 | ||||||
25 | 8.500%, 03/20/25 - 05/20/25 | 29 | ||||||
1,509 | Government National Mortgage Association II, Other, 6.500%, 09/20/34 | 1,699 | ||||||
Government National Mortgage Association, | ||||||||
352 | 6.000%, 06/15/18 | 385 | ||||||
93 | 7.000%, 09/15/14 - 10/15/16 | 101 | ||||||
65 | 7.500%, 11/15/17 | 71 | ||||||
233 | 8.000%, 01/15/16 | 253 | ||||||
Government National Mortgage Association, | ||||||||
613 | 6.500%, 08/15/22 - 11/15/23 | 703 | ||||||
95 | 7.000%, 08/15/23 | 109 | ||||||
Government National Mortgage Association, | ||||||||
158 | 6.375%, 08/15/26 | 178 | ||||||
4,877 | 6.500%, 10/15/27 - 04/15/33 | 5,541 | ||||||
3,468 | 7.000%, 09/15/31 - 03/15/37 | 4,002 | ||||||
118 | 7.500%, 11/15/22 - 01/15/33 | 137 | ||||||
15 | 8.000%, 09/15/22 - 04/15/28 | 18 | ||||||
14 | 9.000%, 02/15/30 - 01/15/31 | 17 | ||||||
1,255 | 9.500%, 10/15/24 | 1,478 | ||||||
13 | 11.000%, 01/15/21 | 14 | ||||||
Total Mortgage Pass-Through Securities | 453,109 | |||||||
| U.S. Government Agency Securities — 0.5% |
| ||||||
2,110 | Federal Home Loan Bank, 4.720%, 09/20/12 | 2,207 | ||||||
1,000 | Federal Home Loan Mortgage Corp., 5.500%, 08/23/17 | 1,150 | ||||||
Federal National Mortgage Association, | ||||||||
3,000 | Zero Coupon, 07/05/14 | 2,806 | ||||||
3,000 | Zero Coupon, 06/01/17 | 2,439 | ||||||
2,000 | 5.375%, 06/12/17 | 2,284 | ||||||
518 | 5.500%, 03/15/11 | 519 | ||||||
Total U.S. Government Agency Securities | 11,405 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 2.5% |
| ||||||
U.S. Treasury Bonds, | ||||||||
13,000 | 7.500%, 11/15/16 (m) | 16,567 | ||||||
343 | 8.125%, 08/15/19 | 473 | ||||||
350 | 8.500%, 02/15/20 | 497 | ||||||
7,510 | 8.875%, 08/15/17 | 10,333 | ||||||
506 | 8.875%, 02/15/19 | 721 | ||||||
350 | U.S. Treasury Inflation Indexed Note, 2.375%, 04/15/11 | 389 | ||||||
U.S. Treasury Notes, | ||||||||
3,500 | 3.125%, 10/31/16 | 3,636 | ||||||
4,905 | 3.125%, 04/30/17 | 5,063 | ||||||
1,737 | 3.125%, 05/15/19 | 1,742 | ||||||
7,000 | 3.250%, 12/31/16 | 7,301 | ||||||
2,000 | 3.250%, 03/31/17 | 2,081 | ||||||
2,725 | 4.750%, 08/15/17 | 3,070 | ||||||
U.S. Treasury STRIPS, | ||||||||
932 | 05/15/14 | 893 | ||||||
3,000 | 02/15/15 | 2,805 | ||||||
129 | 02/15/16 | 116 | ||||||
500 | 11/15/16 | 434 | ||||||
700 | 05/15/19 | 536 | ||||||
150 | 02/15/25 | 82 | ||||||
200 | 08/15/28 | 89 | ||||||
500 | 02/15/29 | 217 | ||||||
Total U.S. Treasury Obligations | 57,045 | |||||||
SHARES | ||||||||
| Short-Term Investment — 1.3% |
| ||||||
Investment Company — 1.3% |
| |||||||
29,013 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 29,013 | ||||||
Total Investments — 99.7% | 2,217,204 | |||||||
Other Assets in Excess of | 5,824 | |||||||
NET ASSETS — 100.0% | $ | 2,223,028 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
172 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 8.7% |
| ||||||
13,586 | AH Mortgage Advance Trust, Series 2010-ADV2, Class A1, 4.210%, 05/10/41 (e) | 13,637 | ||||||
Ally Auto Receivables Trust, | ||||||||
581 | Series 2009-A, Class A2, 1.320%, 03/15/12 (e) | 582 | ||||||
5,500 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 5,579 | ||||||
568 | Series 2009-B, Class A2, 1.210%, 06/15/12 (e) | 569 | ||||||
6,810 | Series 2009-B, Class A3, 1.980%, 10/15/13 (e) | 6,904 | ||||||
5,295 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,340 | ||||||
2,000 | Series 2010-1, Class A4, 2.300%, 12/15/14 | 2,039 | ||||||
5,595 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 5,586 | ||||||
8,860 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 8,783 | ||||||
5,000 | Series 2010-5, Class A4, 1.750%, 03/15/16 | 4,950 | ||||||
8,800 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 8,798 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
916 | Series 2006-BG, Class A4, 5.210%, 09/06/13 | 926 | ||||||
711 | Series 2008-AF, Class A3, 5.680%, 12/12/12 | 717 | ||||||
291 | Series 2009-1, Class A2, 2.260%, 05/15/12 | 292 | ||||||
9,705 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 9,858 | ||||||
1,482 | Series 2010-1, Class A2, 0.970%, 01/15/13 | 1,482 | ||||||
5,535 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 5,579 | ||||||
6,600 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 6,589 | ||||||
3,627 | Series 2010-A, Class A2, 1.460%, 11/06/13 | 3,646 | ||||||
1,420 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 1,419 | ||||||
7,510 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 7,505 | ||||||
110 | Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.387%, 08/25/32 | 77 | ||||||
25,601 | Arch Bay Asset-Backed Securities, Series | 25,953 | ||||||
Bank of America Auto Trust, | ||||||||
616 | Series 2008-1A, Class A3A, 4.970%, 09/20/12 (e) | 623 | ||||||
7,524 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 7,599 | ||||||
24,552 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 25,426 | ||||||
18,388 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 18,539 | ||||||
21,649 | Series 2009-2A, Class A4, 3.030%, 10/15/16 (e) | 22,323 | ||||||
8,956 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 9,020 | ||||||
4,154 | Series 2009-3A, Class A4, 2.670%, 12/15/16 (e) | 4,269 | ||||||
7,475 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 7,522 | ||||||
4,120 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,193 | ||||||
4,400 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 4,433 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
5,100 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 5,157 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
863 | Series 2003-SD2, Class 2A, VAR, 3.163%, 06/25/43 | 845 | ||||||
988 | Series 2006-SD1, Class A, VAR, 0.632%, 04/25/36 | 753 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1,345 | Series 2007-1, Class A4A, 5.010%, 04/16/12 | 1,357 | ||||||
2,572 | Series 2007-2, Class A4A, 5.390%, 02/18/14 | 2,615 | ||||||
448 | Series 2008-1, Class A3A, 3.860%, 08/15/12 | 452 | ||||||
11,498 | Series 2008-1, Class A4A, 4.460%, 07/15/14 | 11,868 | ||||||
265 | Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.300%, 02/18/14 | 267 | ||||||
CarMax Auto Owner Trust, | ||||||||
583 | Series 2007-1, Class A4, 5.240%, 06/15/12 | 586 | ||||||
828 | Series 2007-2, Class A4, 5.270%, 11/15/12 | 841 | ||||||
1,974 | Series 2008-1, Class A4A, 4.790%, 02/15/13 | 2,019 | ||||||
13,308 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 13,534 | ||||||
3,940 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 3,970 | ||||||
6,895 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 7,062 | ||||||
10,550 | Series 2010-2, Class A3, 1.410%, 02/16/15 | 10,621 | ||||||
270 | Caterpillar Financial Asset Trust, Series | 271 | ||||||
4,703 | Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 4,422 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
30,195 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 30,645 | ||||||
2,965 | Series 2009-B, Class A2, 1.150%, 11/08/11 | 2,968 | ||||||
5,632 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 5,633 | ||||||
2,500 | Citibank Credit Card Issuance Trust, Series 2008-A5, Class A5, 4.850%, 04/22/15 | 2,690 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
4,898 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 4,911 | ||||||
23,650 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 24,013 | ||||||
1,500 | Series 2009-1, Class A4, 3.150%, 08/15/16 (e) | 1,542 | ||||||
CNH Equipment Trust, | ||||||||
584 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 589 | ||||||
145 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 145 | ||||||
3,663 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 3,685 | ||||||
11,627 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 11,712 | ||||||
1,581 | Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.862%, 10/25/34 | 1,196 | ||||||
1,958 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.572%, 11/25/35 | 1,864 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 173 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
109 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 104 | ||||||
Daimler Chrysler Auto Trust, | ||||||||
586 | Series 2006-D, Class A4, 4.940%, 02/08/12 | 586 | ||||||
1,912 | Series 2007-A, Class A4, 5.280%, 03/08/13 | 1,955 | ||||||
8,382 | Series 2008-A, Class A4, 4.480%, 08/08/14 | 8,556 | ||||||
Discover Card Master Trust, | ||||||||
9,460 | Series 2008-A3, Class A3, 5.100%, 10/15/13 | 9,517 | ||||||
1,255 | Series 2008-A4, Class A4, 5.650%, 12/15/15 | 1,379 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
386 | Series 2006-C, Class A4A, 5.150%, 02/15/12 | 388 | ||||||
798 | Series 2007-A, Class A4A, 5.470%, 06/15/12 | 811 | ||||||
3,046 | Series 2007-B, Class A4A, 5.240%, 07/15/12 | 3,090 | ||||||
446 | Series 2008-A, Class A3A, 3.960%, 04/15/12 | 449 | ||||||
48 | Series 2008-B, Class A3A, 4.280%, 05/15/12 | 48 | ||||||
23,230 | Series 2009-A, Class A4, 6.070%, 05/15/14 | 24,940 | ||||||
9,040 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 9,156 | ||||||
6,600 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 6,989 | ||||||
4,286 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 4,334 | ||||||
790 | Series 2010-B, Class A3, 0.980%, 10/15/14 | 792 | ||||||
5,250 | Series 2010-B, Class A4, 1.580%, 09/15/15 | 5,246 | ||||||
GE Capital Credit Card Master Note Trust, | ||||||||
13,630 | Series 2009-2, Class A, 3.690%, 07/15/15 | 14,149 | ||||||
12,420 | Series 2009-3, Class A, 2.540%, 09/15/14 | 12,546 | ||||||
7,670 | Series 2009-4, Class A, 3.800%, 11/15/17 | 8,101 | ||||||
115 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.341%, 03/25/36 | 93 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
536 | Series 2006-3, Class A4, 5.220%, 06/15/13 | 543 | ||||||
1,627 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 1,657 | ||||||
12,033 | Series 2007-2, Class A4, 5.120%, 08/15/13 | 12,325 | ||||||
1,279 | Series 2007-3, Class A4, 5.520%, 11/15/13 | 1,315 | ||||||
3,376 | Series 2009-1, Class A3, 3.190%, 11/15/13 | 3,418 | ||||||
7,640 | Series 2009-1, Class A4, 4.550%, 01/15/17 | 7,985 | ||||||
1,092 | Series 2009-3, Class A2, 0.940%, 04/15/12 | 1,092 | ||||||
6,555 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 6,601 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
3,896 | Series 2008-1, Class A4, 4.880%, 09/18/14 | 3,958 | ||||||
3,364 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 3,398 | ||||||
2,470 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 2,495 | ||||||
1,430 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 1,481 | ||||||
6,290 | Series 2010-1, Class A3, 1.250%, 10/21/13 | 6,327 | ||||||
8,825 | Series 2011-1, Class A3, 1.130%, 10/15/14 | 8,829 | ||||||
882 | Household Automotive Trust, Series 2006-3, Class A4, 5.340%, 09/17/13 | 885 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
HSBC Home Equity Loan Trust, | ||||||||
10,931 | Series 2005-2, Class A1, VAR, 0.532%, 01/20/35 | 10,060 | ||||||
12,803 | Series 2005-2, Class M1, VAR, 0.722%, 01/20/35 | 11,913 | ||||||
5,941 | Series 2005-2, Class M2, VAR, 0.752%, 01/20/35 | 5,209 | ||||||
8,665 | Series 2006-1, Class A1, VAR, 0.422%, 01/20/36 | 8,028 | ||||||
9,325 | Series 2006-2, Class A1, VAR, 0.412%, 03/20/36 | 8,847 | ||||||
14,917 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 15,564 | ||||||
9,725 | Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36 | 10,064 | ||||||
10,020 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 10,255 | ||||||
8,458 | Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36 | 8,672 | ||||||
9,199 | Series 2007-3, Class APT, VAR, 1.463%, 11/20/36 | 8,505 | ||||||
24,693 | Huntington Auto Trust, Series 2009-1A, Class A3, 3.940%, 06/17/13 (e) | 25,020 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2,563 | Series 2008-A, Class A3, 4.930%, 12/17/12 | 2,607 | ||||||
7,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 7,573 | ||||||
725 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 732 | ||||||
4,300 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,296 | ||||||
10,145 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 9,999 | ||||||
2,395 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 2,395 | ||||||
5,185 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 5,184 | ||||||
John Deere Owner Trust, | ||||||||
1,371 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 1,383 | ||||||
4,589 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 4,614 | ||||||
1,166 | Mastr Asset-Backed Securities Trust, Series 2005-HE2, Class A3, VAR, 0.532%, 10/25/35 | 1,159 | ||||||
239 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 251 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
9,680 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 9,771 | ||||||
7,500 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 7,563 | ||||||
1,291 | Mid-State Trust, Series 6, Class A1, 7.340%, 07/01/35 | 1,350 | ||||||
25,575 | MMCA Automobile Trust, Series 2009-A, Class A3, 3.930%, 03/15/13 (e) | 25,994 | ||||||
1,128 | Morgan Stanley ABS Capital I, Series | 738 |
SEE NOTES TO FINANCIAL STATEMENTS.
174 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,149 | MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.362%, 12/25/31 | 930 | ||||||
16,167 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.614%, 12/07/20 | 16,185 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
2,002 | Series 2007-B, Class A4, 5.160%, 03/17/14 | 2,050 | ||||||
1,091 | Series 2008-B, Class A3, 4.460%, 04/16/12 | 1,097 | ||||||
2,099 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 2,151 | ||||||
4,789 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 4,847 | ||||||
5,670 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 5,664 | ||||||
1,500 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 1,488 | ||||||
4,594 | Novastar Home Equity Loan, Series 2005-1, Class M1, VAR, 0.712%, 06/25/35 | 4,556 | ||||||
49 | Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32 | 45 | ||||||
21 | Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25 | 21 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
4,360 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 4,362 | ||||||
2,100 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 2,123 | ||||||
8,183 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.532%, 06/25/35 | 7,651 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
7,710 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 7,701 | ||||||
9,010 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 8,960 | ||||||
8,300 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 8,299 | ||||||
USAA Auto Owner Trust, | ||||||||
2,135 | Series 2007-1, Class A4, 5.550%, 02/15/13 | 2,140 | ||||||
979 | Series 2008-2, Class A3, 4.640%, 10/15/12 | 985 | ||||||
1,479 | Series 2008-3, Class A3, 4.280%, 10/15/12 | 1,486 | ||||||
8,658 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 8,716 | ||||||
1,570 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 1,614 | ||||||
50 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 50 | ||||||
World Omni Auto Receivables Trust, | ||||||||
3,648 | Series 2007-B, Class A4, 5.390%, 05/15/13 | 3,737 | ||||||
2,925 | Series 2008-A, Class A4, 4.740%, 10/15/13 | 3,028 | ||||||
1,074 | Series 2008-B, Class A3A, 5.130%, 04/15/13 | 1,088 | ||||||
2,000 | Series 2008-B, Class A4, 5.580%, 04/15/14 | 2,104 | ||||||
3,804 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 3,849 | ||||||
3,960 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 3,982 | ||||||
11,865 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 12,093 | ||||||
Total Asset-Backed Securities | 895,276 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 10.6% |
| ||||||
Agency CMO — 6.4% |
| |||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | ||||||||
1,496 | Series 31, Class Z, 8.000%, 04/25/24 | 1,684 | ||||||
202 | Series 56, Class Z, 7.500%, 09/20/26 | 227 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
18 | Series 2, Class Z, 9.300%, 03/15/19 | 19 | ||||||
9 | Series 12, Class A, 9.250%, 11/15/19 | 11 | ||||||
22 | Series 16, Class D, 10.000%, 10/15/19 | 24 | ||||||
34 | Series 17, Class I, 9.900%, 10/15/19 | 37 | ||||||
56 | Series 23, Class F, 9.600%, 04/15/20 | 62 | ||||||
21 | Series 26, Class F, 9.500%, 02/15/20 | 24 | ||||||
5 | Series 81, Class A, 8.125%, 11/15/20 | 5 | ||||||
25 | Series 85, Class C, 8.600%, 01/15/21 | 27 | ||||||
22 | Series 99, Class Z, 9.500%, 01/15/21 | 24 | ||||||
3 | Series 159, Class H, 4.500%, 09/15/21 | 4 | ||||||
6 | Series 189, Class D, 6.500%, 10/15/21 | 6 | ||||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
6 | Series 1053, Class G, 7.000%, 03/15/21 | 6 | ||||||
14 | Series 1056, Class KZ, 6.500%, 03/15/21 | 15 | ||||||
7 | Series 1074, Class H, 8.500%, 05/15/21 | 8 | ||||||
22 | Series 1082, Class C, 9.000%, 05/15/21 | 25 | ||||||
8 | Series 1087, Class I, 8.500%, 06/15/21 | 9 | ||||||
28 | Series 1125, Class Z, 8.250%, 08/15/21 | 31 | ||||||
27 | Series 1142, Class IA, 7.000%, 10/15/21 | 30 | ||||||
4 | Series 1169, Class G, 7.000%, 11/15/21 | 4 | ||||||
57 | Series 1343, Class LA, 8.000%, 08/15/22 | 66 | ||||||
13 | Series 1424, Class F, VAR, 2.058%, 11/15/22 | 13 | ||||||
261 | Series 1480, Class LZ, 7.500%, 03/15/23 | 293 | ||||||
680 | Series 1560, Class Z, 7.000%, 08/15/23 | 756 | ||||||
45 | Series 1641, Class FA, VAR, 1.262%, 12/15/13 | 45 | ||||||
175 | Series 1754, Class Z, 8.500%, 09/15/24 | 195 | ||||||
384 | Series 1779, Class Z, 8.500%, 04/15/25 | 436 | ||||||
8 | Series 1807, Class G, 9.000%, 10/15/20 | 9 | ||||||
1,099 | Series 1888, Class Z, 7.000%, 08/15/26 | 1,222 | ||||||
395 | Series 2065, Class PV, 7.000%, 08/17/27 | 395 | ||||||
1,494 | Series 2358, Class PD, 6.000%, 09/15/16 | 1,607 | ||||||
2,046 | Series 2363, Class PF, 6.000%, 09/15/16 | 2,199 | ||||||
980 | Series 2390, Class CH, 5.500%, 12/15/16 | 1,060 | ||||||
1,998 | Series 2418, Class MF, 6.000%, 02/15/22 | 2,174 | ||||||
431 | Series 2425, Class JH, 6.000%, 03/15/17 | 469 | ||||||
1,682 | Series 2453, Class BD, 6.000%, 05/15/17 | 1,809 | ||||||
1,076 | Series 2458, Class OE, 6.000%, 06/15/17 | 1,161 | ||||||
778 | Series 2496, Class BK, 5.500%, 09/15/17 | 846 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 175 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
576 | Series 2503, Class TG, 5.500%, 09/15/17 | 627 | ||||||
611 | Series 2508, Class AQ, 5.500%, 10/15/17 | 666 | ||||||
2,686 | Series 2513, Class DB, 5.000%, 10/15/17 | 2,866 | ||||||
2,307 | Series 2533, Class PE, 5.500%, 12/15/21 | 2,368 | ||||||
38 | Series 2534, Class HM, 4.500%, 10/15/16 | 38 | ||||||
4,533 | Series 2561, Class UE, 5.500%, 06/15/22 | 4,818 | ||||||
339 | Series 2575, Class KA, 5.000%, 11/15/17 | 356 | ||||||
54 | Series 2578, Class DA, 4.500%, 09/15/16 | 53 | ||||||
96 | Series 2579, Class GQ, 4.000%, 01/15/17 | 97 | ||||||
438 | Series 2583, Class TD, 4.500%, 12/15/13 | 445 | ||||||
473 | Series 2587, Class WB, 5.000%, 11/15/16 | 479 | ||||||
16,617 | Series 2600, Class MD, 5.500%, 06/15/32 | 17,706 | ||||||
1,299 | Series 2617, Class VN, 5.500%, 04/15/14 | 1,369 | ||||||
51 | Series 2632, Class NE, 4.000%, 06/15/13 | 51 | ||||||
4,737 | Series 2635, Class MS, IF, IO, 7.484%, 02/15/18 | 471 | ||||||
6,900 | Series 2638, Class JG, 5.000%, 02/15/33 | 7,373 | ||||||
112 | Series 2640, Class VM, 4.500%, 12/15/21 | 115 | ||||||
2,817 | Series 2641, Class KJ, 4.000%, 01/15/18 | 2,938 | ||||||
644 | Series 2643, Class ME, 3.500%, 03/15/18 | 668 | ||||||
910 | Series 2666, Class OC, 5.500%, 01/15/22 | 960 | ||||||
217 | Series 2685, Class MX, 4.000%, 07/15/16 | 220 | ||||||
89 | Series 2718, Class TC, 5.000%, 04/15/27 | 89 | ||||||
387 | Series 2755, Class PA, PO, 02/15/29 | 382 | ||||||
3,860 | Series 2761, Class CB, 4.000%, 03/15/19 | 4,040 | ||||||
4,185 | Series 2763, Class PD, 4.500%, 12/15/17 | 4,339 | ||||||
2,350 | Series 2765, Class CA, 4.000%, 07/15/17 | 2,424 | ||||||
3,500 | Series 2773, Class OB, 5.000%, 02/15/19 | 3,766 | ||||||
321 | Series 2780, Class YP, 7.500%, 08/15/18 | 340 | ||||||
286 | Series 2782, Class HE, 4.000%, 09/15/17 | 296 | ||||||
92 | Series 2786, Class PC, 4.500%, 10/15/16 | 92 | ||||||
1,675 | Series 2812, Class AB, 4.500%, 10/15/18 | 1,747 | ||||||
572 | Series 2825, Class VP, 5.500%, 06/15/15 | 617 | ||||||
4,000 | Series 2836, Class PX, 4.000%, 05/15/18 | 4,169 | ||||||
5,638 | Series 2859, Class SA, IF, IO, 6.984%, 11/15/18 | 448 | ||||||
4,573 | Series 2864, Class NB, 5.500%, 07/15/33 | 5,015 | ||||||
2,872 | Series 2875, Class HA, 4.000%, 11/15/18 | 2,998 | ||||||
1,807 | Series 2924, Class DA, 4.500%, 02/15/19 | 1,886 | ||||||
579 | Series 2927, Class YN, 4.500%, 10/15/32 | 608 | ||||||
35,000 | Series 2928, Class ND, 5.000%, 10/15/30 | 36,489 | ||||||
723 | Series 2956, Class LD, 5.000%, 05/15/18 | 740 | ||||||
907 | Series 2962, Class WJ, 5.500%, 06/15/24 | 956 | ||||||
16,006 | Series 2989, Class MU, IF, IO, 6.734%, 07/15/34 | 3,178 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,558 | Series 2993, Class MN, 5.000%, 06/15/23 | 1,604 | ||||||
1,546 | Series 2995, Class FT, VAR, 0.516%, 05/15/29 | 1,542 | ||||||
646 | Series 3001, Class YN, 4.500%, 06/15/33 | 678 | ||||||
3,517 | Series 3002, Class BN, 5.000%, 07/15/35 | 3,751 | ||||||
888 | Series 3005, Class PV, IF, 12.311%, 10/15/33 | 1,013 | ||||||
3,585 | Series 3036, Class NB, 5.000%, 01/15/29 | 3,698 | ||||||
501 | Series 3047, Class OB, 5.500%, 12/15/33 | 530 | ||||||
13,278 | Series 3080, Class TZ, 5.500%, 02/15/33 | 13,982 | ||||||
1,023 | Series 3153, Class JB, 5.500%, 01/15/28 | 1,024 | ||||||
3,467 | Series 3197, Class AB, 5.500%, 08/15/13 | 3,548 | ||||||
1,318 | Series 3242, Class NC, 5.750%, 12/15/28 | 1,341 | ||||||
1,969 | Series 3242, Class PA, 5.750%, 11/15/29 | 2,022 | ||||||
1,436 | Series 3280, Class MA, 5.500%, 05/15/26 | 1,443 | ||||||
9,757 | Series 3305, Class IW, IF, IO, 6.184%, 04/15/37 | 1,356 | ||||||
3,775 | Series 3320, Class TB, 5.500%, 06/15/30 | 3,835 | ||||||
587 | Series 3329, Class JA, 6.000%, 08/15/28 | 604 | ||||||
879 | Series 3356, Class PA, 6.000%, 11/15/26 | 882 | ||||||
757 | Series 3363, Class A, 5.000%, 07/15/16 | 786 | ||||||
57,767 | Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37 | 1,684 | ||||||
13,862 | Series 3429, Class S, IF, IO, 6.554%, 03/15/38 | 1,890 | ||||||
35,717 | Series 3437, Class DI, IO, 1.559%, 02/15/12 | 387 | ||||||
26,717 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 473 | ||||||
6,290 | Series 3546, Class A, VAR, 5.934%, 02/15/39 | 6,700 | ||||||
4,393 | Series 3564, Class JA, 4.000%, 01/15/18 | 4,628 | ||||||
8,358 | Series 3572, Class JS, IF, IO, 6.534%, 09/15/39 | 1,205 | ||||||
18,535 | Series 3609, Class SA, IF, IO, 6.074%, 12/15/39 | 3,589 | ||||||
1,206 | Series R008, Class FK, VAR, 0.666%, 07/15/23 | 1,207 | ||||||
49 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.449%, 09/25/29 | 53 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
18 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 20 | ||||||
22 | Series 1988-13, Class C, 9.300%, 05/25/18 | 25 | ||||||
16 | Series 1988-15, Class A, 9.000%, 06/25/18 | 18 | ||||||
18 | Series 1988-16, Class B, 9.500%, 06/25/18 | 21 | ||||||
14 | Series 1989-2, Class D, 8.800%, 01/25/19 | 17 | ||||||
40 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 43 | ||||||
11 | Series 1989-54, Class E, 8.400%, 08/25/19 | 12 |
SEE NOTES TO FINANCIAL STATEMENTS.
176 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
10 | Series 1989-66, Class J, 7.000%, 09/25/19 | 11 | ||||||
7 | Series 1989-70, Class G, 8.000%, 10/25/19 | 8 | ||||||
153 | Series 1989-72, Class E, 9.350%, 10/25/19 | 175 | ||||||
19 | Series 1989-89, Class H, 9.000%, 11/25/19 | 22 | ||||||
6 | Series 1989-96, Class H, 9.000%, 12/25/19 | 7 | ||||||
13 | Series 1990-7, Class B, 8.500%, 01/25/20 | 14 | ||||||
9 | Series 1990-12, Class G, 4.500%, 02/25/20 | 9 | ||||||
194 | Series 1990-19, Class G, 9.750%, 02/25/20 | 219 | ||||||
44 | Series 1990-58, Class J, 7.000%, 05/25/20 | 49 | ||||||
39 | Series 1990-61, Class H, 7.000%, 06/25/20 | 42 | ||||||
18 | Series 1990-106, Class J, 8.500%, 09/25/20 | 21 | ||||||
8 | Series 1990-109, Class J, 7.000%, 09/25/20 | 9 | ||||||
23 | Series 1990-111, Class Z, 8.750%, 09/25/20 | 26 | ||||||
10 | Series 1990-117, Class E, 8.950%, 10/25/20 | 11 | ||||||
12 | Series 1990-123, Class G, 7.000%, 10/25/20 | 13 | ||||||
12 | Series 1990-132, Class Z, 7.000%, 11/25/20 | 14 | ||||||
429 | Series 1990-137, Class X, 9.000%, 12/25/20 | 490 | ||||||
4 | Series 1991-53, Class J, 7.000%, 05/25/21 | 5 | ||||||
24 | Series 1991-130, Class C, 9.000%, 09/25/21 | 27 | ||||||
3 | Series 1992-96, Class B, PO, 05/25/22 | 2 | ||||||
2,361 | Series 1992-131, Class KB, 8.000%, 08/25/22 | 2,662 | ||||||
2,285 | Series 1992-185, Class L, 8.000%, 10/25/22 | 2,570 | ||||||
8 | Series 1993-165, Class SN, IF, 11.471%, 09/25/23 | 10 | ||||||
— | (h) | Series 1993-225, Class MC, PO, 11/25/23 | — | (h) | ||||
63 | Series 1993-235, Class G, PO, 09/25/23 | 56 | ||||||
4,257 | Series 1994-15, Class ZK, 5.500%, 02/25/24 | 4,631 | ||||||
6,376 | Series 1994-43, Class PK, 6.350%, 02/25/24 | 7,045 | ||||||
— | (h) | Series 1997-46, Class PN, 6.500%, 07/18/12 | — | (h) | ||||
4 | Series 1997-55, Class B, 7.000%, 02/18/27 | 5 | ||||||
7,640 | Series 1999-6, Class PB, 6.000%, 03/25/19 | 8,315 | ||||||
1,603 | Series 1999-42, Class SA, IF, IO, 7.939%, 10/25/28 | 46 | ||||||
1,781 | Series 2002-2, Class MG, 6.000%, 02/25/17 | 1,918 | ||||||
963 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 1,035 | ||||||
1,753 | Series 2002-28, Class LD, 6.000%, 05/25/17 | 1,887 | ||||||
1,018 | Series 2002-58, Class HC, 5.500%, 09/25/17 | 1,105 | ||||||
2,003 | Series 2002-59, Class UC, 5.500%, 09/25/17 | 2,177 | ||||||
640 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 683 | ||||||
1,514 | Series 2003-3, Class PD, 5.000%, 08/25/16 | 1,535 | ||||||
6,666 | Series 2003-5, Class SE, IF, IO, 7.388%, 08/25/22 | 579 | ||||||
2,595 | Series 2003-16, Class LJ, 5.000%, 03/25/18 | 2,777 | ||||||
165 | Series 2003-21, Class M, 5.000%, 02/25/17 | 167 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
22,119 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 23,106 | ||||||
8,642 | Series 2003-25, Class CS, IF, IO, 7.388%, 03/25/17 | 227 | ||||||
1,453 | Series 2003-25, Class SC, IF, IO, 7.388%, 03/25/17 | 20 | ||||||
2,424 | Series 2003-42, Class CI, IO, 6.500%, 05/25/33 | 500 | ||||||
3,443 | Series 2003-49, Class IO, IO, 6.500%, 06/25/33 | 713 | ||||||
6,582 | Series 2003-57, Class IB, IO, 5.000%, 06/25/18 | 617 | ||||||
6,931 | Series 2003-69, Class GI, IO, 5.000%, 12/25/31 | 495 | ||||||
5,720 | Series 2003-89, Class DC, 5.000%, 12/25/32 | 6,075 | ||||||
3,390 | Series 2003-92, Class HP, 4.500%, 09/25/18 | 3,603 | ||||||
765 | Series 2003-120, Class BQ, 4.000%, 09/25/16 | 775 | ||||||
3,221 | Series 2003-129, Class ME, 5.000%, 08/25/23 | 3,452 | ||||||
6,230 | Series 2004-65, Class EJ, 5.000%, 05/25/23 | 6,476 | ||||||
1,304 | Series 2004-72, Class F, VAR, 0.762%, 09/25/34 | 1,308 | ||||||
363 | Series 2004-101, Class AR, 5.500%, 01/25/35 | 398 | ||||||
769 | Series 2005-1, Class HC, 5.000%, 09/25/28 | 783 | ||||||
15,564 | Series 2005-19, Class PA, 5.500%, 07/25/34 | 16,973 | ||||||
3,831 | Series 2005-19, Class SK, IF, IO, 6.488%, 11/25/22 | 197 | ||||||
653 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 678 | ||||||
2,801 | Series 2005-30, Class TA, 5.000%, 04/25/22 | 2,859 | ||||||
4,811 | Series 2005-38, Class FK, VAR, 0.561%, 05/25/35 | 4,806 | ||||||
679 | Series 2005-40, Class YA, 5.000%, 09/25/20 | 703 | ||||||
226 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 227 | ||||||
400 | Series 2005-48, Class OM, 5.000%, 03/25/30 | 409 | ||||||
512 | Series 2005-84, Class MB, 5.750%, 10/25/35 | 564 | ||||||
856 | Series 2005-104, Class YA, 5.500%, 10/25/19 | 859 | ||||||
6,299 | Series 2006-22, Class DV, 5.500%, 03/25/17 | 6,857 | ||||||
3,555 | Series 2006-39, Class WB, 5.500%, 10/25/30 | 3,711 | ||||||
10,484 | Series 2006-58, Class ST, IF, IO, 6.888%, 07/25/36 | 2,012 | ||||||
21 | Series 2006-102, Class MA, 6.000%, 07/25/27 | 21 | ||||||
1,324 | Series 2007-16, Class FC, VAR, 1.012%, 03/25/37 | 1,318 | ||||||
2,772 | Series 2007-22, Class SC, IF, IO, 5.819%, 03/25/37 | 331 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 177 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
17,512 | Series 2007-33, Class MS, IF, IO, 6.329%, 04/25/37 | 2,856 | ||||||
566 | Series 2007-47, Class PA, 5.000%, 02/25/28 | 567 | ||||||
9,300 | �� | Series 2007-47, Class PB, 5.000%, 09/25/29 | 9,431 | |||||
4,046 | Series 2007-54, Class FA, VAR, 0.662%, 06/25/37 | 4,051 | ||||||
5,952 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 6,341 | ||||||
2,064 | Series 2007-79, Class MA, 5.500%, 12/25/28 | 2,099 | ||||||
19,349 | Series 2007-85, Class SH, IF, IO, 6.239%, 09/25/37 | 2,838 | ||||||
16,840 | Series 2007-95, Class A1, VAR, 0.510%, 08/27/36 | 16,799 | ||||||
3,627 | Series 2007-106, Class A7, VAR, 5.975%, 10/25/37 | 3,782 | ||||||
6,564 | Series 2008-18, Class SE, IF, IO, 6.009%, 03/25/38 | 793 | ||||||
69,796 | Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12 | 916 | ||||||
1,630 | Series 2008-72, Class IO, IO, 5.000%, 08/25/28 | 211 | ||||||
2,301 | Series 2008-77, Class VA, 6.000%, 07/25/19 | 2,532 | ||||||
16,011 | Series 2008-81, Class KA, 5.000%, 10/25/22 | 16,913 | ||||||
29,173 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 2,709 | ||||||
7,126 | Series 2009-29, Class LA, VAR, 4.951%, 05/25/39 | 7,069 | ||||||
59,075 | Series 2009-70, Class IN, IO, 4.500%, 08/25/19 | 5,396 | ||||||
9,358 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 9,986 | ||||||
82,793 | Series 2009-112, Class SW, IF, IO, 5.988%, 01/25/40 | 9,757 | ||||||
10,310 | Series 2010-9, Class PA, 4.500%, 10/25/39 | 10,630 | ||||||
9,048 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 9,660 | ||||||
17,785 | Series 2010-60, Class IO, IO, 4.000%, 06/25/20 | 1,969 | ||||||
17,900 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 18,777 | ||||||
15,026 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 15,912 | ||||||
23,654 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 25,272 | ||||||
17 | Series G-11, Class Z, 8.500%, 05/25/21 | 21 | ||||||
7 | Series G-22, Class ZT, 8.000%, 12/25/16 | 9 | ||||||
7 | Series G-41, Class PT, 7.500%, 10/25/21 | 8 | ||||||
1,189 | Series G92-19, Class M, 8.500%, 04/25/22 | 1,465 | ||||||
33 | Series G92-35, Class E, 7.500%, 07/25/22 | 36 | ||||||
1,034 | Series G92-35, Class EA, 8.000%, 07/25/22 | 1,261 | ||||||
16 | Series G92-40, Class ZC, 7.000%, 07/25/22 | 18 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
139 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 169 | ||||||
37 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 41 | ||||||
5,402 | Series G92-64, Class J, 8.000%, 11/25/22 | 6,586 | ||||||
2,199 | Series G92-66, Class K, 8.000%, 12/25/22 | 2,680 | ||||||
2,096 | Series G94-6, Class PJ, 8.000%, 05/17/24 | 2,359 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
1 | Series 25, Class 1, 6.000%, 02/01/13 | — | (h) | |||||
106 | Series 108, Class 1, PO, 03/01/20 | 103 | ||||||
3 | Series 268, Class 2, IO, 9.000%, 02/01/23 | 1 | ||||||
3,807 | Series 334, Class 9, IO, 6.000%, 03/01/33 | 747 | ||||||
1,903 | Series 334, Class 13, IO, VAR, 6.000%, 03/01/33 | 377 | ||||||
1,726 | Series 334, Class 17, IO, VAR, 6.500%, 02/01/33 | 292 | ||||||
2,236 | Series 334, Class 24, IO, VAR, 6.000%, 02/01/18 | 215 | ||||||
13,526 | Series 343, Class 21, IO, 4.000%, 09/01/18 | 1,105 | ||||||
5,539 | Series 345, Class 22, IO, VAR, 4.500%, 05/01/20 | 532 | ||||||
2,380 | Series 351, Class 28, IO, VAR, 5.000%, 04/01/19 | 252 | ||||||
1,625 | Series 356, Class 16, IO, VAR, 5.500%, 06/01/35 | 301 | ||||||
1,651 | Series 359, Class 16, IO, VAR, 5.500%, 10/01/35 | 298 | ||||||
2,134 | Series 369, Class 19, IO, VAR, 6.000%, 10/01/36 | 401 | ||||||
1,241 | Series 369, Class 26, IO, VAR, 6.500%, 10/01/36 | 232 | ||||||
6,244 | Series 386, Class 20, IO, VAR, 6.500%, 08/25/38 | 912 | ||||||
9,228 | Series 394, Class C3, IO, 6.500%, 09/25/38 | 1,894 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2 | Series 1995-W3, Class A, 9.000%, 04/25/25 | 3 | ||||||
16,783 | Series 2007-W1, Class 1AF1, VAR, 0.521%, 11/25/46 | 16,569 | ||||||
Government National Mortgage Association, | ||||||||
110 | Series 1997-12, Class D, 7.500%, 09/20/27 | 125 | ||||||
2,110 | Series 2004-39, Class IN, IO, 5.500%, 06/20/33 | 395 | ||||||
40,724 | Series 2006-23, Class S, IF, IO, 6.237%, 01/20/36 | 5,073 | ||||||
68,507 | Series 2006-26, Class S, IF, IO, 6.237%, 06/20/36 | 7,553 | ||||||
38,722 | Series 2007-16, Class KU, IF, IO, 6.387%, 04/20/37 | 5,502 |
SEE NOTES TO FINANCIAL STATEMENTS.
178 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
11,568 | Series 2008-75, Class SP, IF, IO, 7.207%, 08/20/38 | 1,652 | ||||||
16,811 | Series 2009-14, Class KS, IF, IO, 6.037%, 03/20/39 | 1,862 | ||||||
4,550 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 691 | ||||||
40,548 | Series 2009-14, Class SA, IF, IO, 5.817%, 03/20/39 | 4,466 | ||||||
46,098 | Series 2009-106, Class XL, IF, IO, 6.487%, 06/20/37 | 6,306 | ||||||
5,132 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 5,552 | ||||||
NCUA Guaranteed Notes, | ||||||||
30,402 | Series 2010-C1, Class A1, 1.600%, 10/29/20 | 29,716 | ||||||
19,500 | Series 2010-R3, Class 1A, VAR, 0.823%, 12/08/20 | 19,591 | ||||||
12,736 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 12,454 | ||||||
23 | Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21 | 26 | ||||||
660,519 | ||||||||
Non-Agency CMO — 4.2% |
| |||||||
ABN Amro Mortgage Corp., | ||||||||
5,739 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 5,846 | ||||||
2,627 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 2,698 | ||||||
493 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 496 | ||||||
20,000 | American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 20,953 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
893 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 | 892 | ||||||
1,407 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 1,416 | ||||||
6,918 | Series 2004-4, Class 4A1, 4.750%, 05/25/19 | 7,125 | ||||||
2,085 | Series 2004-5, Class 3A5, 4.750%, 06/25/19 | 2,082 | ||||||
11,460 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 11,700 | ||||||
1,354 | Series 2004-6, Class 1A8, 5.500%, 07/25/34 | 1,365 | ||||||
15,256 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 15,536 | ||||||
4,663 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 4,689 | ||||||
BCAP LLC Trust, | ||||||||
702 | Series 2006-RR1, Class PA, 5.000%, 11/25/36 | 702 | ||||||
6,666 | Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e) | 6,816 | ||||||
2,630 | Series 2010-RR4, Class 4A1, VAR, 0.401%, 01/26/37 (e) | 2,577 | ||||||
9,788 | Series 2010-RR4, Class 5A7, VAR, 0.581%, 05/26/37 (e) | 9,372 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
137 | Series 2010-RR5, Class 6A1, VAR, 0.371%, 03/26/37 (e) | 135 | ||||||
6,449 | Series 2010-RR6, Class 23A7, VAR, 0.471%, 06/26/37 (e) | 6,288 | ||||||
27,669 | Series 2010-RR9, Class 1A3, VAR, 4.746%, 08/28/37 (e) | 27,877 | ||||||
5,505 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 5,529 | ||||||
5,578 | Series 2010-RR10, Class 4A5, VAR, 4.000%, 09/26/37 (e) | 5,591 | ||||||
347 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.798%, 10/25/33 | 342 | ||||||
149 | Cendant Mortgage Corp., Series 2004-3, Class A3, VAR, 5.471%, 06/25/34 | 151 | ||||||
Chase Mortgage Finance Corp., | ||||||||
5,959 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 6,124 | ||||||
1,894 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 1,945 | ||||||
3,665 | Citicorp Mortgage Securities, Inc., Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 3,685 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
2,185 | Series 2003-UP3, Class A1, 7.000%, 09/25/33 | 2,242 | ||||||
8,361 | Series 2004-UST1, Class A6, VAR, 5.074%, 08/25/34 | 8,623 | ||||||
10,477 | Series 2008-AR4, Class 1A1A, VAR, 5.331%, 11/25/38 | 10,268 | ||||||
308 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 | 311 | ||||||
262 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 269 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
7,938 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 8,074 | ||||||
3,415 | Series 2003-J13, Class 1A5, 5.250%, 11/25/14 | 3,448 | ||||||
6,634 | Series 2003-J15, Class 3A1, 5.000%, 01/25/19 | 6,889 | ||||||
1,493 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 1,524 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
1,669 | Series 2003-17, Class 2A6, 3.500%, 07/25/18 | 1,710 | ||||||
4,548 | Series 2003-23, Class 8A1, 5.000%, 09/25/18 | 4,652 | ||||||
6,244 | Series 2004-8, Class 6A1, 4.500%, 12/25/19 | 6,478 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 179 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,015 | Series 2007-5, Class 5A5, VAR, 5.390%, 12/25/14 | 991 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
7,895 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 8,122 | ||||||
4,249 | Series 2004-7, Class 2A1, 4.750%, 12/25/19 | 4,368 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
7,470 | Series 2003-AR1, Class A4, VAR, 3.403%, 10/19/33 | 7,523 | ||||||
421 | Series 2003-J4, Class 2A1, 4.750%, 09/25/18 | 433 | ||||||
5,372 | GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19 | 5,477 | ||||||
2,832 | Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.622%, 02/25/35 | 2,540 | ||||||
JP Morgan Mortgage Trust, | ||||||||
8,941 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 8,735 | ||||||
10,378 | Series 2006-A2, Class 4A1, VAR, 2.927%, 08/25/34 | 10,336 | ||||||
12 | Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17 | 14 | ||||||
4,045 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.899%, 11/21/34 | 4,070 | ||||||
MASTR Alternative Loans Trust, | ||||||||
333 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 340 | ||||||
5,754 | Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 6,003 | ||||||
MASTR Asset Securitization Trust, | ||||||||
1,686 | Series 2002-7, Class 1A1, 5.500%, 11/25/17 | 1,747 | ||||||
4,509 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 4,597 | ||||||
2,588 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 2,668 | ||||||
6,206 | Series 2004-6, Class 6A1, 4.500%, 07/25/19 | 6,389 | ||||||
1,620 | Series 2006-1, Class 1A1, 5.750%, 05/25/36 | 1,648 | ||||||
1,824 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.542%, 08/25/35 | 1,664 | ||||||
7 | Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20 | 7 | ||||||
567 | Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18 | 583 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
1,725 | Series 2005-AR1, Class 1A1, VAR, 2.786%, 02/25/35 | 1,375 | ||||||
960 | Series 2005-AR2, Class 3A1, VAR, 0.511%, 05/25/35 | 866 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
2,584 | Series 2005-AR6, Class 4A1, VAR, 0.521%, 12/25/35 | 1,344 | ||||||
8 | Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18 | 9 | ||||||
9,889 | Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20 | 10,361 | ||||||
Residential Accredit Loans, Inc., | ||||||||
556 | Series 2003-QR24, Class A7, 4.000%, 07/25/33 | 536 | ||||||
3,272 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 3,240 | ||||||
727 | Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31 | 724 | ||||||
5,586 | Structured Asset Securities Corp., Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 5,757 | ||||||
6,457 | Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, VAR, 0.381%, 07/25/36 | 6,435 | ||||||
4,800 | WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18 | 5,038 | ||||||
321 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS3, Class 1A4, 6.500%, 05/25/32 | 327 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
7,891 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 8,188 | ||||||
6,316 | Series 2003-11, Class 2A1, 4.750%, 10/25/18 | 6,468 | ||||||
6,287 | Series 2003-12, Class A1, 4.750%, 11/25/18 | 6,487 | ||||||
7,242 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 7,441 | ||||||
658 | Series 2003-12, Class A3, 5.000%, 11/25/18 | 682 | ||||||
5,946 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 6,121 | ||||||
8,109 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 8,294 | ||||||
5,039 | Series 2003-K, Class 1A1, VAR, 4.464%, 11/25/33 | 5,078 | ||||||
80 | Series 2003-K, Class 1A2, VAR, 4.464%, 11/25/33 | 82 | ||||||
11,982 | Series 2003-M, Class A1, VAR, 4.690%, 12/25/33 | 12,408 | ||||||
6,449 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 6,544 | ||||||
2,968 | Series 2004-EE, Class 2A2, VAR, 2.853%, 12/25/34 | 3,021 | ||||||
3,778 | Series 2004-EE, Class 3A2, VAR, 2.952%, 12/25/34 | 3,845 | ||||||
7,725 | Series 2004-O, Class A1, VAR, 4.860%, 08/25/34 | 7,905 |
SEE NOTES TO FINANCIAL STATEMENTS.
180 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
11,753 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 12,055 | ||||||
11,627 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 12,146 | ||||||
427,452 | ||||||||
Total Collateralized Mortgage Obligations | 1,087,971 | |||||||
| Commercial Mortgage-Backed Securities — 2.2% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
658 | Series 2002-2, Class A2, 4.772%, 07/11/43 | 661 | ||||||
3,280 | Series 2004-2, Class A3, 4.050%, 11/10/38 | 3,330 | ||||||
3,760 | Series 2004-5, Class A3, 4.561%, 11/10/41 | 3,812 | ||||||
BCRR Trust, | ||||||||
218 | Series 2010-LEAF, Class 1A, 4.230%, 02/22/41 (e) | 218 | ||||||
41 | Series 2010-LEAF, Class 10A, 4.230%, 02/22/34 (e) | 41 | ||||||
33,746 | Series 2010-LEAF, Class 35A, 4.230%, 11/22/33 (e) | 34,201 | ||||||
20,092 | Series 2010-LEAF, Class 36A, 4.230%, 03/22/31 (e) | 20,536 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5,215 | Series 2002-TOP6, Class A2, 6.460%, 10/15/36 | 5,405 | ||||||
2,825 | Series 2005-PWR8, Class A4, 4.674%, 06/11/41 | 2,979 | ||||||
190 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 | 190 | ||||||
1,771 | Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, VAR, 5.440%, 09/15/30 (e) | 1,844 | ||||||
1,330 | Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32 | 1,397 | ||||||
3,169 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43 | 3,201 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
479 | Series 2002-CKS4, Class A1, 4.485%, 11/15/36 | 479 | ||||||
2,344 | Series 2005-C6, Class A2FX, VAR, 5.207%, 12/15/40 | 2,407 | ||||||
16,412 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 16,711 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
1,228 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 1,242 | ||||||
169 | Series 2003-C3, Class A3, 4.646%, 04/10/40 | 176 | ||||||
1,446 | GS Mortgage Securities Corp. II, Series 2001-GL3A, Class A2, VAR, 6.449%, 08/05/18 (e) | 1,474 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
158 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A2, 4.201%, 12/15/29 | 159 | ||||||
385 | Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A2, 4.071%, 10/12/41 | 387 | ||||||
16,609 | Morgan Stanley, 3.000%, 07/17/56 | 16,656 | ||||||
Morgan Stanley Capital I, | ||||||||
3,227 | Series 2003-T11, Class A3, 4.850%, 06/13/41 | 3,285 | ||||||
151 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 151 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
26,500 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 26,697 | ||||||
9,955 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 10,579 | ||||||
1,929 | Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30 | 2,029 | ||||||
4,414 | Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36 | 4,428 | ||||||
Prudential Mortgage Capital Funding LLC, | ||||||||
10,000 | Series 2001-ROCK, Class B, 6.760%, 05/10/34 | 10,038 | ||||||
10,000 | Series 2001-ROCK, Class C, 6.936%, 05/10/34 | 10,059 | ||||||
TIAA Retail Commercial Trust, | ||||||||
8,964 | Series 2001-C1A, Class H, 5.770%, | 9,601 | ||||||
14,650 | Series 2001-C1A, Class J, 5.770%, | 15,477 | ||||||
18,325 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.047%, 08/15/39 | 19,930 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $229,677) | 229,780 | |||||||
| Corporate Bonds — 15.3% |
| ||||||
Consumer Discretionary — 0.4% |
| |||||||
Auto Components — 0.1% | ||||||||
Johnson Controls, Inc., | ||||||||
990 | 1.750%, 03/01/14 | 988 | ||||||
4,435 | 4.875%, 09/15/13 | 4,809 | ||||||
5,797 | ||||||||
Automobiles — 0.0% (g) |
| |||||||
Daimler Finance North America LLC, | ||||||||
1,000 | 5.750%, 09/08/11 | 1,026 | ||||||
2,385 | 6.500%, 11/15/13 | 2,688 | ||||||
3,714 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 181 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — 0.2% |
| |||||||
310 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 | 351 | ||||||
1,463 | Comcast Cable Communications LLC, 7.125%, 06/15/13 | 1,639 | ||||||
3,475 | Cox Communications, Inc., 5.450%, 12/15/14 | 3,837 | ||||||
4,950 | NBC Universal, Inc., 2.100%, 04/01/14 (e) | 4,891 | ||||||
1,495 | News America Holdings, Inc., 7.600%, 10/11/15 | 1,763 | ||||||
Time Warner Cable, Inc., | ||||||||
3,990 | 3.500%, 02/01/15 | 4,086 | ||||||
400 | 6.200%, 07/01/13 | 442 | ||||||
875 | 7.500%, 04/01/14 | 1,010 | ||||||
2,000 | Viacom, Inc., 4.375%, 09/15/14 | 2,139 | ||||||
Walt Disney Co. (The), | ||||||||
585 | 4.700%, 12/01/12 | 624 | ||||||
1,775 | 6.375%, 03/01/12 | 1,873 | ||||||
22,655 | ||||||||
Multiline Retail — 0.0% (g) |
| |||||||
1,256 | Kohl’s Corp., 7.375%, 10/15/11 | 1,307 | ||||||
1,190 | Target Corp., 5.125%, 01/15/13 | 1,280 | ||||||
2,587 | ||||||||
Specialty Retail — 0.1% |
| |||||||
Home Depot, Inc., | ||||||||
330 | 5.200%, 03/01/11 | 330 | ||||||
2,555 | 5.250%, 12/16/13 | 2,803 | ||||||
2,675 | Staples, Inc., 9.750%, 01/15/14 | 3,231 | ||||||
6,364 | ||||||||
Total Consumer Discretionary | 41,117 | |||||||
Consumer Staples — 0.7% | ||||||||
Beverages — 0.4% |
| |||||||
3,800 | Anheuser-Busch InBev Worldwide, Inc., 7.200%, 01/15/14 (e) | 4,350 | ||||||
1,840 | Bottling Group LLC, 5.000%, 11/15/13 | 2,015 | ||||||
Coca-Cola Co. (The), | ||||||||
1,385 | 1.500%, 11/15/15 | 1,325 | ||||||
5,050 | 3.625%, 03/15/14 | 5,359 | ||||||
Coca-Cola Refreshments USA, Inc., | ||||||||
980 | 5.000%, 08/15/13 | 1,068 | ||||||
1,773 | 7.375%, 03/03/14 | 2,061 | ||||||
1,585 | 8.500%, 02/01/12 | 1,700 | ||||||
475 | Diageo Capital plc, (United Kingdom), 5.200%, 01/30/13 | 511 | ||||||
5,035 | Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13 | 5,465 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Beverages — Continued |
| |||||||
PepsiCo, Inc., | ||||||||
2,975 | 3.750%, 03/01/14 | 3,162 | ||||||
980 | 4.650%, 02/15/13 | 1,048 | ||||||
5,325 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 5,823 | ||||||
33,887 | ||||||||
Food & Staples Retailing — 0.1% |
| |||||||
1,250 | CVS Caremark Corp., 3.250%, 05/18/15 | 1,268 | ||||||
2,295 | Kroger Co. (The), 7.500%, 01/15/14 | 2,630 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,900 | 2.250%, 07/08/15 | 1,897 | ||||||
695 | 4.550%, 05/01/13 | 747 | ||||||
2,780 | 7.250%, 06/01/13 | 3,159 | ||||||
9,701 | ||||||||
Food Products — 0.2% | ||||||||
4,570 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 4,869 | ||||||
Cargill, Inc., | ||||||||
1,215 | 4.375%, 06/01/13 (e) | 1,289 | ||||||
1,385 | 5.000%, 11/15/13 (e) | 1,509 | ||||||
1,450 | 5.200%, 01/22/13 (e) | 1,554 | ||||||
General Mills, Inc., | ||||||||
2,600 | 5.250%, 08/15/13 | 2,840 | ||||||
1,770 | 5.650%, 09/10/12 | 1,894 | ||||||
600 | HJ Heinz Finance Co., 6.625%, 07/15/11 | 613 | ||||||
710 | Kellogg Co., 4.250%, 03/06/13 | 752 | ||||||
Kraft Foods, Inc., | ||||||||
1,500 | 5.250%, 10/01/13 | 1,628 | ||||||
1,115 | 6.000%, 02/11/13 | 1,211 | ||||||
1,081 | 6.250%, 06/01/12 | 1,149 | ||||||
2,780 | 6.750%, 02/19/14 | 3,156 | ||||||
22,464 | ||||||||
Household Products — 0.0% (g) | ||||||||
425 | Clorox Co., 5.450%, 10/15/12 | 453 | ||||||
905 | Kimberly-Clark Corp., 5.625%, 02/15/12 | 949 | ||||||
1,402 | ||||||||
Total Consumer Staples | 67,454 | |||||||
Energy — 0.4% | ||||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||
Anadarko Petroleum Corp., | ||||||||
435 | 5.750%, 06/15/14 | 478 | ||||||
2,000 | 7.625%, 03/15/14 | 2,290 | ||||||
3,660 | Canadian Natural Resources Ltd., (Canada), 4.900%, 12/01/14 | 3,988 |
SEE NOTES TO FINANCIAL STATEMENTS.
182 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
1,390 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 1,498 | ||||||
800 | Chevron Corp., 3.950%, 03/03/14 | 856 | ||||||
1,145 | ConocoPhillips, 4.750%, 02/01/14 | 1,249 | ||||||
3,158 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 3,450 | ||||||
5,490 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 5,687 | ||||||
3,721 | PC Financial Partnership, 5.000%, 11/15/14 | 4,046 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
2,615 | 1.875%, 03/25/13 | 2,668 | ||||||
1,322 | 3.100%, 06/28/15 | 1,358 | ||||||
5,225 | 4.000%, 03/21/14 | 5,591 | ||||||
2,400 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 2,635 | ||||||
3,237 | Total Capital Canada Ltd., (Canada), 1.625%, 01/28/14 | 3,244 | ||||||
Total Energy | 39,038 | |||||||
Financials — 9.7% | ||||||||
Capital Markets — 2.0% | ||||||||
Bank of New York Mellon Corp. (The), | ||||||||
1,870 | 3.100%, 01/15/15 | 1,924 | ||||||
6,277 | 4.300%, 05/15/14 | 6,768 | ||||||
3,300 | 4.500%, 04/01/13 | 3,525 | ||||||
5,700 | BlackRock, Inc., 3.500%, 12/10/14 | 5,984 | ||||||
5,380 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 5,868 | ||||||
Credit Suisse USA, Inc., | ||||||||
8,587 | 5.125%, 01/15/14 | 9,325 | ||||||
6,020 | 6.125%, 11/15/11 | 6,254 | ||||||
580 | FMR LLC, 4.750%, 03/01/13 (e) | 606 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
8,405 | 3.700%, 08/01/15 | 8,521 | ||||||
460 | 4.750%, 07/15/13 | 490 | ||||||
8,280 | 5.000%, 10/01/14 | 8,920 | ||||||
4,235 | 5.150%, 01/15/14 | 4,574 | ||||||
950 | 5.250%, 04/01/13 | 1,014 | ||||||
8,955 | 5.250%, 10/15/13 | 9,704 | ||||||
3,000 | 5.500%, 11/15/14 | 3,292 | ||||||
18,840 | 6.000%, 05/01/14 | 20,862 | ||||||
Jefferies Group, Inc., | ||||||||
9,275 | 3.875%, 11/09/15 | 9,231 | ||||||
2,050 | 5.875%, 06/08/14 | 2,189 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
2,225 | 3.950%, 11/10/09 (d) | 565 | ||||||
500 | 5.750%, 07/18/11 (d) | 127 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued | ||||||||
1,062 | 6.625%, 01/18/12 (d) | 269 | ||||||
1,705 | Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e) | 1,902 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
968 | 5.000%, 01/15/15 | 1,030 | ||||||
4,376 | 5.450%, 02/05/13 | 4,662 | ||||||
4,591 | 5.450%, 07/15/14 | 4,945 | ||||||
13,651 | 6.150%, 04/25/13 | 14,748 | ||||||
Morgan Stanley, | ||||||||
1,600 | 4.100%, 01/26/15 | 1,647 | ||||||
11,342 | 4.200%, 11/20/14 | 11,776 | ||||||
915 | 4.750%, 04/01/14 | 957 | ||||||
8,805 | 5.300%, 03/01/13 | 9,388 | ||||||
13,150 | 6.000%, 05/13/14 | 14,388 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
2,345 | 4.125%, 01/19/16 | 2,335 | ||||||
8,505 | 5.000%, 03/04/15 | 8,885 | ||||||
Northern Trust Corp., | ||||||||
1,400 | 4.625%, 05/01/14 | 1,525 | ||||||
2,910 | 5.300%, 08/29/11 | 2,976 | ||||||
3,220 | 5.500%, 08/15/13 | 3,547 | ||||||
5,353 | State Street Corp., 4.300%, 05/30/14 | 5,775 | ||||||
UBS AG, (Switzerland), | ||||||||
488 | 2.250%, 08/12/13 | 493 | ||||||
6,670 | 3.875%, 01/15/15 | 6,849 | ||||||
207,840 | ||||||||
Commercial Banks — 2.9% | ||||||||
1,000 | American Express Bank FSB, 5.500%, 04/16/13 | 1,075 | ||||||
1,190 | ANZ National (International) Ltd., | 1,208 | ||||||
1,700 | Australia & New Zealand Banking Group Ltd., (Australia), 2.125%, 01/10/14 (e) | 1,710 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
5,236 | 1.650%, 10/29/15 (e) | 5,004 | ||||||
5,300 | 2.250%, 01/22/13 | 5,427 | ||||||
2,782 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e) | 2,845 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
8,995 | 2.500%, 01/23/13 | 9,146 | ||||||
10,925 | 2.500%, 09/21/15 (e) | 10,715 | ||||||
4,450 | 3.900%, 04/07/15 | 4,593 | ||||||
2,980 | 5.200%, 07/10/14 | 3,221 | ||||||
BB&T Corp., | ||||||||
6,154 | 3.375%, 09/25/13 | 6,431 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 183 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
6,745 | 3.850%, 07/27/12 | 7,002 | ||||||
4,555 | 4.750%, 10/01/12 | 4,790 | ||||||
1,232 | 5.200%, 12/23/15 | 1,325 | ||||||
5,000 | BNY Mellon N.A., 4.750%, 12/15/14 | 5,425 | ||||||
3,385 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 3,577 | ||||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
2,330 | 2.350%, 12/11/15 | 2,263 | ||||||
3,000 | 2.600%, 07/02/15 (e) | 3,013 | ||||||
1,290 | Comerica, Inc., 3.000%, 09/16/15 | 1,285 | ||||||
Credit Suisse, (Switzerland), | ||||||||
5,225 | 3.450%, 07/02/12 | 5,392 | ||||||
7,820 | 3.500%, 03/23/15 | 7,998 | ||||||
6,514 | 5.000%, 05/15/13 | 6,982 | ||||||
3,600 | 5.500%, 05/01/14 | 3,958 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
8,290 | 2.375%, 01/11/13 | 8,429 | ||||||
5,500 | 3.250%, 01/11/16 | 5,515 | ||||||
3,890 | 3.875%, 08/18/14 | 4,072 | ||||||
1,445 | 4.875%, 05/20/13 | 1,540 | ||||||
600 | 5.375%, 10/12/12 | 639 | ||||||
6,640 | Deutsche Bank Financial LLC, 5.375%, 03/02/15 | 7,067 | ||||||
12,209 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 11,721 | ||||||
4,700 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 4,991 | ||||||
1,650 | HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12 | 1,749 | ||||||
KeyBank N.A., | ||||||||
1,778 | 5.500%, 09/17/12 | 1,887 | ||||||
750 | 5.700%, 08/15/12 | 792 | ||||||
1,290 | 5.800%, 07/01/14 | 1,411 | ||||||
720 | KeyCorp, 6.500%, 05/14/13 | 789 | ||||||
1,525 | M&I Marshall & Ilsley Bank, 5.150%, 02/22/12 | 1,515 | ||||||
805 | M&T Bank Corp., 5.375%, 05/24/12 | 844 | ||||||
500 | Manufacturers & Traders Trust Co., VAR, 1.803%, 04/01/13 | 499 | ||||||
1,213 | Mellon Funding Corp., 6.400%, 05/14/11 | 1,227 | ||||||
5,070 | National Australia Bank Ltd., (Australia), 2.500%, 01/08/13 (e) | 5,171 | ||||||
7,480 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 7,488 | ||||||
8,105 | National City Corp., 4.900%, 01/15/15 | 8,721 | ||||||
2,500 | Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) | 2,486 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued | ||||||||
905 | PNC Funding Corp., 3.625%, 02/08/15 | 937 | ||||||
10,000 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 10,168 | ||||||
5,788 | SouthTrust Corp., 5.800%, 06/15/14 | 6,302 | ||||||
SunTrust Banks, Inc., | ||||||||
3,272 | 5.250%, 11/05/12 | 3,449 | ||||||
1,000 | 6.375%, 04/01/11 | 1,005 | ||||||
6,100 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 6,015 | ||||||
U.S. Bancorp, | ||||||||
1,075 | 2.450%, 07/27/15 | 1,064 | ||||||
5,938 | 2.875%, 11/20/14 | 6,089 | ||||||
1,595 | 4.200%, 05/15/14 | 1,705 | ||||||
U.S. Bank N.A., | ||||||||
5,020 | 4.950%, 10/30/14 | 5,469 | ||||||
6,202 | 6.300%, 02/04/14 | 6,935 | ||||||
Wachovia Bank N.A., | ||||||||
18,328 | 4.800%, 11/01/14 | 19,489 | ||||||
1,000 | 5.000%, 08/15/15 | 1,073 | ||||||
Wachovia Corp., | ||||||||
1,155 | 4.875%, 02/15/14 | 1,225 | ||||||
3,000 | 5.250%, 08/01/14 | 3,235 | ||||||
3,130 | 5.500%, 05/01/13 | 3,395 | ||||||
Wells Fargo & Co., | ||||||||
9,420 | 3.750%, 10/01/14 | 9,920 | ||||||
6,780 | 4.375%, 01/31/13 | 7,178 | ||||||
5,770 | 4.625%, 04/15/14 | 6,123 | ||||||
2,240 | 6.375%, 08/01/11 | 2,293 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
6,973 | 2.250%, 11/19/12 | 7,114 | ||||||
3,560 | 4.200%, 02/27/15 | 3,747 | ||||||
296,868 | ||||||||
Consumer Finance — 1.0% | ||||||||
6,262 | American Express Co., 7.250%, 05/20/14 | 7,161 | ||||||
American Express Credit Corp., | ||||||||
4,964 | 5.875%, 05/02/13 | 5,383 | ||||||
10,305 | 7.300%, 08/20/13 | 11,604 | ||||||
American Honda Finance Corp., | ||||||||
5,730 | 2.375%, 03/18/13 (e) | 5,809 | ||||||
5,940 | 4.625%, 04/02/13 (e) | 6,290 | ||||||
Boeing Capital Corp., | ||||||||
1,192 | 5.800%, 01/15/13 | 1,292 | ||||||
3,200 | 6.500%, 02/15/12 | 3,379 | ||||||
2,000 | Capital One Bank USA N.A., 5.125%, 02/15/14 | 2,117 |
SEE NOTES TO FINANCIAL STATEMENTS.
184 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued | ||||||||
Capital One Financial Corp., | ||||||||
500 | 5.500%, 06/01/15 | 544 | ||||||
2,260 | 7.375%, 05/23/14 | 2,604 | ||||||
1,490 | FIA Card Services N.A., 7.125%, 11/15/12 | 1,610 | ||||||
HSBC Finance Corp., | ||||||||
7,250 | 4.750%, 07/15/13 | 7,715 | ||||||
1,625 | 5.250%, 04/15/15 | 1,730 | ||||||
3,500 | 5.900%, 06/19/12 | 3,696 | ||||||
13,071 | 6.375%, 11/27/12 | 14,124 | ||||||
2,830 | 7.000%, 05/15/12 | 3,013 | ||||||
John Deere Capital Corp., | ||||||||
1,335 | 2.950%, 03/09/15 | 1,366 | ||||||
2,450 | 4.500%, 04/03/13 | 2,614 | ||||||
325 | 4.950%, 12/17/12 | 348 | ||||||
2,327 | 5.100%, 01/15/13 | 2,498 | ||||||
6,770 | 5.250%, 10/01/12 | 7,236 | ||||||
2,044 | 5.650%, 07/25/11 | 2,088 | ||||||
MBNA Corp., | ||||||||
1,860 | 6.125%, 03/01/13 | 1,993 | ||||||
500 | 7.500%, 03/15/12 | 532 | ||||||
2,737 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 2,820 | ||||||
993 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 999 | ||||||
2,000 | Washington Mutual Finance Corp., 6.875%, 05/15/11 | 2,024 | ||||||
102,589 | ||||||||
Diversified Financial Services — 2.5% | ||||||||
3,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 3,143 | ||||||
Bank of America Corp., | ||||||||
6,005 | 4.900%, 05/01/13 | 6,361 | ||||||
975 | 5.125%, 11/15/14 | 1,038 | ||||||
2,345 | 5.375%, 09/11/12 | 2,476 | ||||||
388 | 7.125%, 10/15/11 | 403 | ||||||
14,520 | 7.375%, 05/15/14 | 16,532 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
1,190 | 3.125%, 03/10/12 | 1,217 | ||||||
1,870 | 3.625%, 05/08/14 | 1,954 | ||||||
4,000 | 3.875%, 03/10/15 | 4,191 | ||||||
3,015 | 5.250%, 11/07/13 | 3,273 | ||||||
Caterpillar Financial Services Corp., | ||||||||
6,687 | 4.850%, 12/07/12 | 7,139 | ||||||
2,265 | 4.900%, 08/15/13 | 2,457 | ||||||
3,080 | 6.125%, 02/17/14 | 3,474 | ||||||
1,880 | 6.200%, 09/30/13 | 2,108 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — Continued | ||||||||
Citigroup, Inc., | ||||||||
2,300 | 5.500%, 08/27/12 | 2,434 | ||||||
14,270 | 5.500%, 04/11/13 | 15,297 | ||||||
6,000 | 5.850%, 07/02/13 | 6,491 | ||||||
19,350 | 6.000%, 12/13/13 | 21,164 | ||||||
10,065 | 6.010%, 01/15/15 | 11,045 | ||||||
6,445 | 6.375%, 08/12/14 | 7,191 | ||||||
4,428 | 6.500%, 08/19/13 | 4,880 | ||||||
CME Group, Inc., | ||||||||
9,813 | 5.400%, 08/01/13 | 10,767 | ||||||
1,070 | 5.750%, 02/15/14 | 1,191 | ||||||
1,000 | Diageo Investment Corp., 9.000%, 08/15/11 | 1,038 | ||||||
3,710 | ERAC USA Finance LLC, 2.750%, 07/01/13 (e) | 3,766 | ||||||
General Electric Capital Corp., | ||||||||
2,335 | 2.100%, 01/07/14 | 2,342 | ||||||
10,055 | 3.500%, 06/29/15 | 10,331 | ||||||
5,000 | 3.750%, 11/14/14 | 5,234 | ||||||
5,000 | 4.750%, 09/15/14 | 5,385 | ||||||
2,736 | 4.875%, 03/04/15 | 2,952 | ||||||
10,500 | 5.250%, 10/19/12 | 11,171 | ||||||
13,757 | 5.450%, 01/15/13 | 14,754 | ||||||
11,926 | 5.500%, 06/04/14 | 13,062 | ||||||
3,225 | 5.650%, 06/09/14 | 3,528 | ||||||
14,910 | 5.875%, 02/15/12 | 15,653 | ||||||
14,402 | 5.900%, 05/13/14 | 16,008 | ||||||
7,815 | 6.000%, 06/15/12 | 8,311 | ||||||
4,365 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 4,437 | ||||||
885 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 908 | ||||||
255,106 | ||||||||
FDIC Guaranteed Securities (~) — 0.1% | ||||||||
General Electric Capital Corp., | ||||||||
2,500 | 2.625%, 12/28/12 | 2,585 | ||||||
3,530 | 3.000%, 12/09/11 | 3,603 | ||||||
3,150 | Morgan Stanley, 3.250%, 12/01/11 | 3,220 | ||||||
2,220 | Wells Fargo & Co., 3.000%, 12/09/11 | 2,266 | ||||||
11,674 | ||||||||
Insurance — 0.9% | ||||||||
5,000 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 5,532 | ||||||
1,420 | Allstate Corp. (The), 5.000%, 08/15/14 | 1,554 | ||||||
8,290 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 8,976 | ||||||
2,343 | AON Corp., 3.500%, 09/30/15 | 2,351 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 185 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued | ||||||||
1,454 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 1,527 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
6,615 | 4.000%, 04/15/12 | 6,855 | ||||||
2,495 | 5.000%, 08/15/13 | 2,720 | ||||||
4,840 | CNA Financial Corp., 5.850%, 12/15/14 | 5,229 | ||||||
5,938 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 6,420 | ||||||
MassMutual Global Funding II, | ||||||||
1,084 | 2.300%, 09/28/15 (e) | 1,051 | ||||||
3,445 | 3.625%, 07/16/12 (e) | 3,562 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3,463 | 2.500%, 01/11/13 (e) | 3,529 | ||||||
2,701 | 2.500%, 09/29/15 (e) | 2,634 | ||||||
11,835 | 2.875%, 09/17/12 (e) | 12,102 | ||||||
2,645 | 5.125%, 04/10/13 (e) | 2,832 | ||||||
1,200 | 5.200%, 09/18/13 (e) | 1,300 | ||||||
1,000 | Monumental Global Funding II, 5.650%, 07/14/11 (e) | 1,013 | ||||||
2,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 2,129 | ||||||
New York Life Global Funding, | ||||||||
2,730 | 3.000%, 05/04/15 (e) | 2,771 | ||||||
2,400 | 4.650%, 05/09/13 (e) | 2,567 | ||||||
285 | 5.250%, 10/16/12 (e) | 305 | ||||||
1,400 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) | 1,489 | ||||||
Pricoa Global Funding I, | ||||||||
500 | 4.625%, 06/25/12 (e) | 521 | ||||||
1,975 | 5.400%, 10/18/12 (e) | 2,103 | ||||||
4,220 | 5.450%, 06/11/14 (e) | 4,598 | ||||||
1,000 | 5.625%, 05/24/11 (e) | 1,011 | ||||||
609 | Principal Life Global Funding I, 6.250%, 02/15/12 (e) | 631 | ||||||
Principal Life Income Funding Trusts, | ||||||||
1,060 | 5.150%, 06/17/11 | 1,074 | ||||||
1,110 | 5.300%, 12/14/12 | 1,190 | ||||||
4,125 | 5.300%, 04/24/13 | 4,435 | ||||||
1,380 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 1,480 | ||||||
95,491 | ||||||||
Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
2,000 | ERP Operating LP, 5.200%, 04/01/13 | 2,143 | ||||||
5,252 | HCP, Inc., 2.700%, 02/01/14 | 5,293 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
Simon Property Group LP, | ||||||||
673 | 4.200%, 02/01/15 | 709 | ||||||
1,470 | 5.375%, 06/01/11 | 1,471 | ||||||
1,125 | 6.750%, 05/15/14 | 1,265 | ||||||
10,881 | ||||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
2,150 | Countrywide Financial Corp., 5.800%, 06/07/12 | 2,267 | ||||||
1,100 | Golden West Financial Corp., 4.750%, 10/01/12 | 1,161 | ||||||
15,324 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 15,414 | ||||||
18,842 | ||||||||
Total Financials | 999,291 | |||||||
Health Care — 0.2% | ||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
Baxter International, Inc., | ||||||||
1,650 | 1.800%, 03/15/13 | 1,673 | ||||||
255 | 4.000%, 03/01/14 | 271 | ||||||
1,925 | Medtronic, Inc., 3.000%, 03/15/15 | 1,975 | ||||||
3,919 | ||||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
820 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 813 | ||||||
2,095 | UnitedHealth Group, Inc., 5.000%, 08/15/14 | 2,285 | ||||||
550 | WellPoint Health Networks, Inc., 6.375%, 01/15/12 | 577 | ||||||
215 | WellPoint, Inc., 6.000%, 02/15/14 | 240 | ||||||
3,915 | ||||||||
Pharmaceuticals — 0.1% |
| |||||||
2,635 | Abbott Laboratories, 2.700%, 05/27/15 | 2,677 | ||||||
850 | Eli Lilly & Co., 3.550%, 03/06/12 | 873 | ||||||
2,000 | GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 | 2,164 | ||||||
2,525 | Merck & Co., Inc., 4.750%, 03/01/15 | 2,762 | ||||||
2,793 | Wyeth, 5.500%, 02/01/14 | 3,099 | ||||||
11,575 | ||||||||
Total Health Care | 19,409 | |||||||
Industrials — 0.6% |
| |||||||
Aerospace & Defense — 0.1% |
| |||||||
2,335 | BAE Systems Holdings, Inc., 5.200%, 08/15/15 (e) | 2,498 |
SEE NOTES TO FINANCIAL STATEMENTS.
186 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued |
| |||||||
Boeing Co. (The), | ||||||||
1,000 | 3.500%, 02/15/15 | 1,046 | ||||||
3,085 | 5.000%, 03/15/14 | 3,387 | ||||||
2,190 | 5.125%, 02/15/13 | 2,359 | ||||||
2,460 | General Dynamics Corp., 5.250%, 02/01/14 | 2,706 | ||||||
1,000 | Northrop Grumman Corp., 3.700%, 08/01/14 | 1,045 | ||||||
612 | United Technologies Corp., 6.100%, 05/15/12 | 652 | ||||||
13,693 | ||||||||
Air Freight & Logistics — 0.0% (g) | ||||||||
2,540 | United Parcel Service, Inc., 4.500%, 01/15/13 | 2,709 | ||||||
Commercial Services & Supplies — 0.1% | ||||||||
Pitney Bowes, Inc., | ||||||||
685 | 3.875%, 06/15/13 | 713 | ||||||
2,375 | 4.875%, 08/15/14 | 2,498 | ||||||
1,100 | Waste Management, Inc., 6.375%, 11/15/12 | 1,198 | ||||||
4,409 | ||||||||
Industrial Conglomerates — 0.1% | ||||||||
3,767 | General Electric Co., 5.000%, 02/01/13 | 4,035 | ||||||
Honeywell International, Inc., | ||||||||
1,115 | 3.875%, 02/15/14 | 1,190 | ||||||
1,285 | 4.250%, 03/01/13 | 1,368 | ||||||
6,593 | ||||||||
Machinery — 0.0% (g) | ||||||||
745 | Caterpillar, Inc., 7.000%, 12/15/13 | 856 | ||||||
1,475 | Deere & Co., 6.950%, 04/25/14 | 1,708 | ||||||
PACCAR, Inc., | ||||||||
100 | 6.375%, 02/15/12 | 105 | ||||||
1,150 | 6.875%, 02/15/14 | 1,318 | ||||||
3,987 | ||||||||
Road & Rail — 0.3% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
5,596 | 5.900%, 07/01/12 | 5,957 | ||||||
3,170 | 6.750%, 07/15/11 | 3,246 | ||||||
2,000 | 7.000%, 02/01/14 | 2,283 | ||||||
Canadian National Railway Co., (Canada), | ||||||||
4,485 | 4.400%, 03/15/13 | 4,783 | ||||||
605 | 4.950%, 01/15/14 | 661 | ||||||
539 | 6.375%, 10/15/11 | 559 | ||||||
3,330 | CSX Corp., 6.300%, 03/15/12 | 3,502 | ||||||
1,000 | Ryder System, Inc., 3.600%, 03/01/16 | 992 | ||||||
Union Pacific Corp., | ||||||||
1,433 | 5.125%, 02/15/14 | 1,560 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — Continued | ||||||||
4,235 | 5.450%, 01/31/13 | 4,572 | ||||||
28,115 | ||||||||
Total Industrials | 59,506 | |||||||
Information Technology — 0.6% | ||||||||
Communications Equipment — 0.0% (g) | ||||||||
1,230 | Cisco Systems, Inc., 2.900%, 11/17/14 | 1,291 | ||||||
Computers & Peripherals — 0.2% | ||||||||
Dell, Inc., | ||||||||
3,378 | 2.300%, 09/10/15 | 3,317 | ||||||
790 | 3.375%, 06/15/12 | 813 | ||||||
2,310 | 4.700%, 04/15/13 | 2,473 | ||||||
745 | 5.625%, 04/15/14 | 820 | ||||||
Hewlett-Packard Co., | ||||||||
770 | 2.125%, 09/13/15 | 756 | ||||||
490 | 2.950%, 08/15/12 | 504 | ||||||
350 | 4.500%, 03/01/13 | 373 | ||||||
2,500 | 4.750%, 06/02/14 | 2,720 | ||||||
6,905 | 6.125%, 03/01/14 | 7,744 | ||||||
950 | 6.500%, 07/01/12 | 1,021 | ||||||
International Business Machines Corp., | ||||||||
1,655 | 2.100%, 05/06/13 | 1,693 | ||||||
2,330 | 4.750%, 11/29/12 | 2,487 | ||||||
1,250 | 6.500%, 10/15/13 | 1,417 | ||||||
650 | 7.500%, 06/15/13 | 740 | ||||||
26,878 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
805 | 3.375%, 11/01/15 | 794 | ||||||
7,416 | 6.875%, 07/01/13 | 8,096 | ||||||
8,890 | ||||||||
IT Services — 0.1% | ||||||||
7,130 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 7,885 | ||||||
Office Electronics — 0.1% | ||||||||
Xerox Corp., | ||||||||
3,421 | 5.650%, 05/15/13 | 3,701 | ||||||
1,000 | 6.875%, 08/15/11 | 1,027 | ||||||
2,505 | 8.250%, 05/15/14 | 2,931 | ||||||
7,659 | ||||||||
Software — 0.1% | ||||||||
2,691 | Intuit, Inc., 5.400%, 03/15/12 | 2,798 | ||||||
3,155 | Microsoft Corp., 2.950%, 06/01/14 | 3,296 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 187 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Software — Continued | ||||||||
Oracle Corp., | ||||||||
4,025 | 3.750%, 07/08/14 | 4,278 | ||||||
3,535 | 4.950%, 04/15/13 | 3,824 | ||||||
14,196 | ||||||||
Total Information Technology | 66,799 | |||||||
Materials — 0.5% | ||||||||
Chemicals — 0.3% | ||||||||
845 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 883 | ||||||
Dow Chemical Co. (The), | ||||||||
835 | 4.850%, 08/15/12 | 879 | ||||||
4,314 | 5.900%, 02/15/15 | 4,810 | ||||||
954 | 7.600%, 05/15/14 | 1,108 | ||||||
EI du Pont de Nemours & Co., | ||||||||
2,856 | 1.950%, 01/15/16 | 2,758 | ||||||
3,225 | 3.250%, 01/15/15 | 3,345 | ||||||
1,708 | 5.000%, 01/15/13 | 1,833 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
3,153 | 3.750%, 09/30/15 | 3,286 | ||||||
3,025 | 7.750%, 05/31/11 | 3,078 | ||||||
5,994 | PPG Industries, Inc., 5.750%, 03/15/13 | 6,489 | ||||||
Praxair, Inc., | ||||||||
3,045 | 1.750%, 11/15/12 | 3,085 | ||||||
2,240 | 2.125%, 06/14/13 | 2,285 | ||||||
1,920 | 3.950%, 06/01/13 | 2,033 | ||||||
830 | 4.625%, 03/30/15 | 896 | ||||||
36,768 | ||||||||
Metals & Mining — 0.2% | ||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
695 | 4.800%, 04/15/13 | 749 | ||||||
2,443 | 5.125%, 03/29/12 | 2,558 | ||||||
950 | 6.750%, 11/01/13 | 1,073 | ||||||
4,120 | 8.500%, 12/01/12 | 4,627 | ||||||
650 | Nucor Corp., 5.000%, 06/01/13 | 703 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
1,160 | 1.875%, 11/02/15 | 1,116 | ||||||
5,325 | 8.950%, 05/01/14 | 6,447 | ||||||
17,273 | ||||||||
Total Materials | 54,041 | |||||||
Telecommunication Services — 1.1% | ||||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
3,635 | AT&T Corp., 7.300%, 11/15/11 | 3,804 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
AT&T, Inc., | ||||||||
1,875 | 4.850%, 02/15/14 | 2,032 | ||||||
11,875 | 4.950%, 01/15/13 | 12,709 | ||||||
16,135 | 6.700%, 11/15/13 | 18,260 | ||||||
2,615 | BellSouth Corp., 5.200%, 09/15/14 | 2,879 | ||||||
4,050 | British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13 | 4,322 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
3,380 | 4.875%, 07/08/14 | 3,646 | ||||||
2,000 | 5.375%, 03/23/11 | 2,006 | ||||||
550 | 5.875%, 08/20/13 | 605 | ||||||
6,510 | France Telecom S.A., (France), 4.375%, 07/08/14 | 7,005 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
1,700 | 4.950%, 09/30/14 | 1,747 | ||||||
1,450 | 6.175%, 06/18/14 | 1,543 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
1,121 | 3.992%, 02/16/16 | 1,125 | ||||||
1,280 | 4.949%, 01/15/15 | 1,347 | ||||||
2,110 | 5.855%, 02/04/13 | 2,253 | ||||||
Verizon Communications, Inc., | ||||||||
14,065 | 4.350%, 02/15/13 | 14,919 | ||||||
1,320 | 5.250%, 04/15/13 | 1,429 | ||||||
2,335 | Verizon Florida LLC, 6.125%, 01/15/13 | 2,507 | ||||||
1,982 | Verizon Global Funding Corp., 4.375%, 06/01/13 | 2,119 | ||||||
735 | Verizon Maryland, Inc., 6.125%, 03/01/12 | 772 | ||||||
3,102 | Verizon New Jersey, Inc., 5.875%, 01/17/12 | 3,239 | ||||||
90,268 | ||||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
15,094 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 16,686 | ||||||
4,511 | New Cingular Wireless Services, Inc., 8.125%, 05/01/12 | 4,890 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
4,075 | 4.150%, 06/10/14 | 4,316 | ||||||
425 | VAR, 0.642%, 06/15/11 | 425 | ||||||
26,317 | ||||||||
Total Telecommunication Services | 116,585 | |||||||
Utilities — 1.1% | ||||||||
Electric Utilities — 0.7% |
| |||||||
555 | AEP Texas North Co., 5.500%, 03/01/13 | 594 | ||||||
490 | Alabama Power Co., 4.850%, 12/15/12 | 524 |
SEE NOTES TO FINANCIAL STATEMENTS.
188 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
700 | 5.700%, 03/15/13 | 762 | ||||||
610 | 5.750%, 01/15/14 | 670 | ||||||
1,805 | 7.000%, 03/01/14 | 2,057 | ||||||
1,471 | Duke Energy Carolinas LLC, 5.750%, 11/15/13 | 1,649 | ||||||
Duke Energy Corp., | ||||||||
1,565 | 3.350%, 04/01/15 | 1,600 | ||||||
1,095 | 3.950%, 09/15/14 | 1,154 | ||||||
5,085 | 5.650%, 06/15/13 | 5,558 | ||||||
2,133 | 6.300%, 02/01/14 | 2,387 | ||||||
537 | Duke Energy Ohio, Inc., 2.100%, 06/15/13 | 547 | ||||||
1,000 | Exelon Corp., 4.900%, 06/15/15 | 1,062 | ||||||
1,539 | Exelon Generation Co. LLC, 5.350%, 01/15/14 | 1,663 | ||||||
2,500 | FirstEnergy Corp., 6.450%, 11/15/11 | 2,585 | ||||||
2,000 | FPL Group Capital, Inc., 5.625%, 09/01/11 | 2,049 | ||||||
4,803 | Georgia Power Co., 6.000%, 11/01/13 | 5,372 | ||||||
225 | MidAmerican Energy Co., 5.125%, 01/15/13 | 241 | ||||||
Midamerican Energy Holdings Co., | ||||||||
1,025 | 3.150%, 07/15/12 | 1,051 | ||||||
1,567 | 5.875%, 10/01/12 | 1,680 | ||||||
2,400 | Midamerican Funding LLC, 6.750%, 03/01/11 | 2,400 | ||||||
1,239 | NextEra Energy Capital Holdings, Inc., 5.350%, 06/15/13 | 1,336 | ||||||
5,935 | Nisource Finance Corp., 6.150%, 03/01/13 | 6,435 | ||||||
1,060 | Northern States Power Co., 8.000%, 08/28/12 | 1,169 | ||||||
2,210 | Ohio Power Co., 5.750%, 09/01/13 | 2,414 | ||||||
1,650 | Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15 | 1,866 | ||||||
PacifiCorp, | ||||||||
750 | 4.950%, 08/15/14 | 819 | ||||||
3,565 | 6.900%, 11/15/11 | 3,725 | ||||||
716 | Peco Energy Co., 5.000%, 10/01/14 | 788 | ||||||
1,837 | PPL Electric Utilities Corp., 7.125%, 11/30/13 | 2,107 | ||||||
Progress Energy, Inc., | ||||||||
295 | 6.050%, 03/15/14 | 328 | ||||||
557 | 7.100%, 03/01/11 | 557 | ||||||
1,683 | PSEG Power LLC, 2.500%, 04/15/13 | 1,716 | ||||||
Public Service Electric & Gas Co., | ||||||||
400 | 2.700%, 05/01/15 | 404 | ||||||
1,200 | 5.000%, 08/15/14 | 1,308 | ||||||
745 | Southern California Edison Co., 4.150%, 09/15/14 | 802 | ||||||
2,952 | Southern Co., 4.150%, 05/15/14 | 3,127 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
Spectra Energy Capital LLC, | ||||||||
4,155 | 5.668%, 08/15/14 | 4,566 | ||||||
669 | 6.250%, 02/15/13 | 727 | ||||||
Virginia Electric and Power Co., | ||||||||
1,000 | 4.750%, 03/01/13 | 1,068 | ||||||
4,460 | 5.100%, 11/30/12 | 4,768 | ||||||
75,635 | ||||||||
Gas Utilities — 0.3% |
| |||||||
810 | AGL Capital Corp., 4.450%, 04/15/13 | 850 | ||||||
Atmos Energy Corp., | ||||||||
1,748 | 4.950%, 10/15/14 | 1,863 | ||||||
6,915 | 7.375%, 05/15/11 | 7,000 | ||||||
CenterPoint Energy Resources Corp., | ||||||||
1,000 | 5.950%, 01/15/14 | 1,097 | ||||||
2,270 | 7.875%, 04/01/13 | 2,571 | ||||||
2,000 | Consolidated Natural Gas Co., 5.000%, 03/01/14 | 2,158 | ||||||
668 | Southern California Gas Co., 5.500%, 03/15/14 | 731 | ||||||
10,025 | TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13 | 10,618 | ||||||
26,888 | ||||||||
Multi-Utilities — 0.1% | ||||||||
1,905 | Dominion Resources, Inc., 5.700%, 09/17/12 | 2,037 | ||||||
1,515 | PG&E Corp., 5.750%, 04/01/14 | 1,664 | ||||||
Sempra Energy, | ||||||||
1,210 | 6.000%, 02/01/13 | 1,302 | ||||||
6,010 | 8.900%, 11/15/13 | 7,018 | ||||||
1,815 | Wisconsin Electric Power Co., 6.000%, 04/01/14 | 2,039 | ||||||
14,060 | ||||||||
Total Utilities | 116,583 | |||||||
Total Corporate Bonds | 1,579,823 | |||||||
| Foreign Government Securities — 0.2% |
| ||||||
247 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 252 | ||||||
Province of Ontario, (Canada), | ||||||||
8,655 | 2.700%, 06/16/15 | 8,844 | ||||||
6,530 | 2.950%, 02/05/15 | 6,755 | ||||||
1,250 | 4.100%, 06/16/14 | 1,345 | ||||||
3,420 | United Mexican States, (Mexico), 6.375%, 01/16/13 | 3,745 | ||||||
Total Foreign Government Securities | 20,941 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 189 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — 7.9% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
113 | ARM, 2.360%, 01/01/27 | 118 | ||||||
382 | ARM, 2.455%, 03/01/35 | 400 | ||||||
149 | ARM, 2.543%, 12/01/27 | 157 | ||||||
9 | ARM, 2.643%, 12/01/17 | 9 | ||||||
8,757 | ARM, 3.642%, 03/01/36 | 9,235 | ||||||
6,026 | ARM, 4.559%, 10/01/35 | 6,336 | ||||||
6,620 | ARM, 4.676%, 03/01/35 | 6,966 | ||||||
4,725 | ARM, 5.539%, 03/01/36 | 4,874 | ||||||
731 | ARM, 5.555%, 07/01/36 | 772 | ||||||
343 | ARM, 5.575%, 04/01/37 | 362 | ||||||
4,099 | ARM, 5.591%, 01/01/38 | 4,341 | ||||||
4,563 | ARM, 5.621%, 04/01/38 | 4,833 | ||||||
589 | ARM, 5.698%, 08/01/37 | 623 | ||||||
1,810 | ARM, 5.701%, 03/01/37 | 1,915 | ||||||
14,555 | ARM, 5.764%, 06/01/37 | 15,453 | ||||||
10,653 | ARM, 5.771%, 05/01/37 - 06/01/37 | 11,320 | ||||||
2,153 | ARM, 5.836%, 11/01/36 | 2,281 | ||||||
2,876 | ARM, 5.849%, 08/01/37 | 3,043 | ||||||
3,645 | ARM, 5.923%, 12/01/36 | 3,876 | ||||||
2,715 | ARM, 5.941%, 08/01/36 | 2,856 | ||||||
915 | ARM, 5.999%, 08/01/36 | 980 | ||||||
1,345 | ARM, 6.002%, 10/01/37 | 1,420 | ||||||
2,050 | ARM, 6.024%, 02/01/37 | 2,167 | ||||||
1,913 | ARM, 6.049%, 03/01/37 | 2,030 | ||||||
6 | ARM, 6.067%, 01/01/27 | 6 | ||||||
2,790 | ARM, 6.072%, 03/01/37 | 2,959 | ||||||
717 | ARM, 6.085%, 06/01/36 | 748 | ||||||
2,414 | ARM, 6.157%, 04/01/37 | 2,564 | ||||||
1,684 | ARM, 6.225%, 12/01/36 | 1,777 | ||||||
5,588 | ARM, 6.249%, 10/01/36 | 5,842 | ||||||
1,159 | ARM, 6.405%, 02/01/37 | 1,243 | ||||||
2,771 | ARM, 6.422%, 12/01/36 | 2,972 | ||||||
4,124 | ARM, 6.432%, 01/01/37 | 4,368 | ||||||
2,019 | ARM, 6.439%, 08/01/36 | 2,122 | ||||||
1,396 | ARM, 6.481%, 11/01/37 | 1,497 | ||||||
1,056 | ARM, 6.648%, 08/01/37 | 1,125 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
6,350 | 4.000%, 07/01/18 - 07/01/19 | 6,647 | ||||||
2,755 | 4.500%, 04/01/16 - 10/01/18 | 2,913 | ||||||
17,512 | 5.000%, 03/01/18 - 04/01/19 | 18,774 | ||||||
27,810 | 5.500%, 11/01/12 - 10/01/23 | 30,056 | ||||||
31,092 | 6.000%, 06/01/11 - 12/01/23 | 33,926 | ||||||
2,883 | 6.500%, 03/01/11 - 01/01/17 | 3,143 | ||||||
32 | 7.000%, 01/01/12 - 03/01/15 | 33 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
2 | 7.500%, 06/01/11 - 11/01/11 | 3 | ||||||
— | (h) | 8.000%, 01/01/12 | — | (h) | ||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
3,532 | 6.000%, 01/01/19 - 10/01/24 | 3,902 | ||||||
10,923 | 6.500%, 08/01/18 - 03/01/26 | 12,101 | ||||||
46 | 7.000%, 03/01/14 | 50 | ||||||
257 | 7.500%, 10/01/16 - 07/01/18 | 286 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
1,324 | 6.000%, 09/01/17 - 07/01/32 | 1,451 | ||||||
— | (h) | 6.500%, 07/01/13 | — | (h) | ||||
2,595 | 7.000%, 08/01/38 | 2,952 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
21,149 | 7.500%, 12/01/36 | 24,446 | ||||||
7,903 | 10.000%, 10/01/30 | 9,332 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
63 | 8.000%, 04/01/17 - 05/01/19 | 70 | ||||||
13 | 8.250%, 08/01/17 | 13 | ||||||
Federal National Mortgage Association, | ||||||||
334 | ARM, 2.034%, 01/01/35 | 347 | ||||||
59 | ARM, 2.079%, 03/01/19 | 60 | ||||||
21 | ARM, 2.469%, 05/01/25 | 23 | ||||||
1 | ARM, 2.470%, 10/01/27 | 1 | ||||||
24 | ARM, 2.537%, 06/01/27 | 25 | ||||||
1,822 | ARM, 2.780%, 09/01/34 | 1,916 | ||||||
11 | ARM, 2.848%, 10/01/25 | 12 | ||||||
39 | ARM, 2.883%, 07/01/27 | 40 | ||||||
31 | ARM, 2.951%, 01/01/19 | 31 | ||||||
1,084 | ARM, 2.952%, 12/01/35 | 1,141 | ||||||
4,589 | ARM, 3.067%, 03/01/36 | 4,813 | ||||||
7,899 | ARM, 3.405%, 03/01/36 | 8,284 | ||||||
5,397 | ARM, 3.475%, 10/01/35 | 5,666 | ||||||
9,512 | ARM, 3.503%, 03/01/36 | 10,010 | ||||||
10 | ARM, 3.538%, 08/01/19 | 11 | ||||||
30 | ARM, 3.750%, 11/01/16 | 30 | ||||||
17 | ARM, 3.977%, 08/01/17 | 17 | ||||||
353 | ARM, 5.214%, 04/01/36 | 369 | ||||||
673 | ARM, 5.242%, 01/01/37 | 708 | ||||||
4,551 | ARM, 5.409%, 11/01/37 | 4,829 | ||||||
346 | ARM, 5.418%, 12/01/36 | 364 | ||||||
1,136 | ARM, 5.472%, 07/01/36 | 1,199 | ||||||
2,592 | ARM, 5.541%, 08/01/36 | 2,730 | ||||||
225 | ARM, 5.600%, 06/01/36 | 241 |
SEE NOTES TO FINANCIAL STATEMENTS.
190 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
1,370 | ARM, 5.653%, 04/01/37 | 1,447 | ||||||
9,785 | ARM, 5.696%, 01/01/23 | 10,506 | ||||||
153 | ARM, 5.704%, 07/01/37 | 162 | ||||||
1,758 | ARM, 5.705%, 03/01/47 | 1,876 | ||||||
3,253 | ARM, 5.714%, 12/01/37 | 3,468 | ||||||
983 | ARM, 5.717%, 10/01/36 | 1,039 | ||||||
2,811 | ARM, 5.772%, 11/01/37 | 2,985 | ||||||
3,518 | ARM, 5.774%, 11/01/37 | 3,750 | ||||||
100 | ARM, 5.775%, 08/01/37 | 107 | ||||||
589 | ARM, 5.789%, 08/01/36 | 622 | ||||||
1,857 | ARM, 5.797%, 04/01/37 | 1,974 | ||||||
3,088 | ARM, 5.871%, 04/01/38 | 3,277 | ||||||
741 | ARM, 5.875%, 07/01/37 | 786 | ||||||
845 | ARM, 5.877%, 12/01/36 | 895 | ||||||
2,199 | ARM, 5.927%, 08/01/36 | 2,321 | ||||||
99 | ARM, 5.949%, 08/01/36 | 107 | ||||||
4,302 | ARM, 5.974%, 03/01/37 | 4,546 | ||||||
2,387 | ARM, 6.032%, 08/01/36 | 2,522 | ||||||
3,960 | ARM, 6.070%, 07/01/37 | 4,205 | ||||||
803 | ARM, 6.077%, 12/01/36 | 850 | ||||||
759 | ARM, 6.101%, 05/01/36 | 795 | ||||||
4,513 | ARM, 6.176%, 08/01/37 | 4,796 | ||||||
6,441 | ARM, 6.204%, 12/01/36 | 6,806 | ||||||
833 | ARM, 6.210%, 10/01/36 | 880 | ||||||
3,221 | ARM, 6.279%, 02/01/37 | 3,423 | ||||||
4,477 | ARM, 6.550%, 01/01/37 | 4,821 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
7,550 | 4.000%, 07/01/18 - 01/01/19 | 7,903 | ||||||
12,069 | 4.500%, 05/01/18 - 05/01/19 | 12,777 | ||||||
19,916 | 5.000%, 12/01/13 - 07/01/20 | 21,335 | ||||||
56,319 | 5.500%, 01/01/18 - 09/01/24 | 60,873 | ||||||
84,541 | 6.000%, 05/01/11 - 07/01/24 | 92,546 | ||||||
4,374 | 6.500%, 02/01/12 - 01/01/23 | 4,794 | ||||||
1,486 | 7.000%, 03/01/12 - 01/01/18 | 1,628 | ||||||
63 | 7.500%, 02/01/12 - 05/01/15 | 69 | ||||||
796 | 8.000%, 11/01/15 - 10/01/16 | 876 | ||||||
1 | 8.500%, 11/01/11 | 1 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
4,913 | 5.500%, 05/01/27 | 5,281 | ||||||
5,127 | 6.000%, 03/01/18 - 04/01/24 | 5,660 | ||||||
7,636 | 6.500%, 01/01/14 - 03/01/25 | 8,476 | ||||||
2,483 | 7.000%, 12/01/13 - 08/01/21 | 2,838 | ||||||
30 | 7.500%, 11/01/13 - 06/01/16 | 32 | ||||||
64 | 8.000%, 07/01/14 - 11/01/15 | 73 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
340 | 5.500%, 08/01/34 | 366 | ||||||
61 | 6.000%, 07/01/17 | 67 | ||||||
1 | 8.000%, 02/01/23 | 1 | ||||||
28 | 8.500%, 03/01/27 | 32 | ||||||
Federal National Mortgage Association, | ||||||||
37,651 | 6.000%, 04/01/35 - 01/01/38 | 41,271 | ||||||
72,869 | 6.500%, 03/01/26 - 10/01/38 | 81,633 | ||||||
23,546 | 7.000%, 04/01/37 - 08/01/37 | 26,891 | ||||||
220 | 8.000%, 06/01/13 - 12/01/30 | 253 | ||||||
13 | 8.500%, 09/01/21 | 14 | ||||||
153 | 9.000%, 02/01/31 | 180 | ||||||
54 | 9.500%, 07/01/28 | 64 | ||||||
14 | 10.000%, 02/01/24 | 16 | ||||||
Federal National Mortgage Association, Other, | ||||||||
1,739 | 4.000%, 07/01/13 - 07/01/17 | 1,800 | ||||||
2,762 | 4.500%, 11/01/13 - 12/01/19 | 2,895 | ||||||
2,891 | 5.000%, 01/01/14 - 05/01/14 | 2,988 | ||||||
3,795 | 5.500%, 06/01/16 - 09/01/17 | 4,051 | ||||||
2,750 | 6.000%, 09/01/17 | 2,963 | ||||||
Government National Mortgage Association II, | ||||||||
120 | ARM, 2.125%, 11/20/25 | 125 | ||||||
8 | ARM, 2.500%, 12/20/17 | 9 | ||||||
146 | ARM, 2.625%, 08/20/16 - 09/20/22 | 151 | ||||||
169 | ARM, 3.375%, 01/20/16 - 01/20/28 | 176 | ||||||
12 | ARM, 3.500%, 10/20/17 - 12/20/17 | 12 | ||||||
28 | ARM, 4.000%, 11/20/15 - 08/20/18 | 29 | ||||||
9 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 11/20/14 | 9 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
33,556 | 7.000%, 08/20/38 - 09/20/38 | 38,215 | ||||||
24 | 7.500%, 09/20/28 | 27 | ||||||
52 | 8.000%, 09/20/26 - 12/20/27 | 61 | ||||||
69 | 8.500%, 03/20/25 - 04/20/25 | 82 | ||||||
Government National Mortgage Association, | ||||||||
12 | 6.000%, 04/15/14 | 13 | ||||||
6,969 | 6.500%, 10/15/23 | 7,728 | ||||||
Government National Mortgage Association, | ||||||||
21 | 8.500%, 04/15/25 | 25 | ||||||
11 | 9.000%, 09/15/24 - 10/15/26 | 13 | ||||||
483 | 9.500%, 07/15/20 - 12/15/25 | 571 | ||||||
32 | 12.000%, 11/15/19 | 35 | ||||||
Total Mortgage Pass-Through Securities | 813,449 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 191 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 21.9% |
| ||||||
Federal Farm Credit Bank, | ||||||||
26,150 | 1.875%, 12/07/12 | 26,699 | ||||||
4,000 | 2.200%, 04/08/13 | 4,114 | ||||||
12,400 | 2.250%, 02/17/12 | 12,609 | ||||||
8,120 | 2.250%, 04/24/12 | 8,283 | ||||||
38,025 | 2.350%, 09/23/13 (c) | 39,170 | ||||||
25,000 | 2.500%, 03/26/13 | 25,869 | ||||||
10,000 | 2.600%, 03/04/13 | 10,366 | ||||||
8,000 | 2.625%, 04/17/14 | 8,299 | ||||||
2,769 | 2.700%, 08/19/13 | 2,871 | ||||||
1,480 | 3.000%, 02/12/14 | 1,541 | ||||||
5,000 | 3.000%, 09/22/14 | 5,232 | ||||||
10,000 | 3.875%, 08/25/11 | 10,177 | ||||||
16,493 | 3.875%, 01/10/13 | 17,443 | ||||||
2,000 | 5.100%, 09/18/12 | 2,138 | ||||||
1,390 | 5.250%, 08/21/13 | 1,531 | ||||||
5,000 | 5.450%, 12/11/13 | 5,565 | ||||||
Federal Home Loan Bank, | ||||||||
17,000 | 1.000%, 12/28/11 | 17,090 | ||||||
119,600 | 1.125%, 03/09/12 | 120,471 | ||||||
42,000 | 1.125%, 05/18/12 | 42,326 | ||||||
4,800 | 1.375%, 06/08/12 | 4,853 | ||||||
34,125 | 1.625%, 06/14/13 | 34,655 | ||||||
30,785 | 1.750%, 12/14/12 | 31,339 | ||||||
85,000 | 1.875%, 06/21/13 | 86,810 | ||||||
10,000 | 2.000%, 09/14/12 | 10,213 | ||||||
2,000 | 2.250%, 03/05/12 | 2,037 | ||||||
25,865 | 2.375%, 03/14/14 | 26,571 | ||||||
5,000 | 2.500%, 06/13/14 | 5,155 | ||||||
74,350 | 2.625%, 09/13/13 | 77,187 | ||||||
18,800 | 3.000%, 06/24/13 | 19,678 | ||||||
10,000 | 3.050%, 06/28/13 | 10,444 | ||||||
2,980 | 3.125%, 03/08/13 | 3,121 | ||||||
130,505 | 3.125%, 12/13/13 | 136,963 | ||||||
2,500 | 3.375%, 06/24/11 | 2,524 | ||||||
16,200 | 3.500%, 03/08/13 | 17,086 | ||||||
18,825 | 3.875%, 03/08/13 | 19,996 | ||||||
15,895 | 4.250%, 06/14/13 | 17,083 | ||||||
1,675 | 4.375%, 09/09/11 | 1,711 | ||||||
10,000 | 4.500%, 09/14/12 | 10,584 | ||||||
6,000 | 4.875%, 11/18/11 | 6,193 | ||||||
5,000 | 4.875%, 12/14/12 | 5,365 | ||||||
10,000 | 4.875%, 11/27/13 | 10,986 | ||||||
44,470 | 4.875%, 12/13/13 | 48,842 | ||||||
2,125 | 5.000%, 03/09/12 | 2,224 | ||||||
24,980 | 5.000%, 03/14/14 | 27,579 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
20,025 | 5.250%, 09/13/13 | 22,099 | ||||||
17,575 | 5.375%, 06/14/13 | 19,335 | ||||||
29,755 | 5.375%, 06/13/14 | 33,387 | ||||||
6,550 | 7.000%, 08/15/14 | 7,713 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
30,000 | 0.750%, 12/28/12 | 30,029 | ||||||
25,000 | 1.000%, 08/28/12 | 25,152 | ||||||
25,000 | 1.375%, 01/09/13 | 25,307 | ||||||
20,000 | 1.750%, 06/15/12 | 20,328 | ||||||
58,000 | 2.125%, 03/23/12 | 59,031 | ||||||
10,000 | 2.125%, 09/21/12 | 10,234 | ||||||
25,100 | 2.500%, 04/23/14 | 25,934 | ||||||
26,830 | 2.875%, 02/09/15 | 27,834 | ||||||
11,038 | 4.000%, 06/12/13 | 11,799 | ||||||
25,000 | 4.125%, 12/21/12 | 26,524 | ||||||
55,000 | 4.125%, 09/27/13 | 59,202 | ||||||
15,000 | 4.500%, 01/15/13 | 16,055 | ||||||
25,000 | 4.500%, 01/15/14 | 27,261 | ||||||
15,960 | 4.500%, 04/02/14 | 17,402 | ||||||
37,500 | 4.750%, 03/05/12 | 39,142 | ||||||
75,196 | 5.000%, 01/30/14 | 83,089 | ||||||
40,505 | 5.000%, 07/15/14 | 45,039 | ||||||
25,000 | 5.125%, 07/15/12 | 26,599 | ||||||
6,500 | 5.250%, 07/18/11 | 6,626 | ||||||
2,000 | 5.500%, 09/15/11 | 2,056 | ||||||
17,000 | 5.750%, 01/15/12 | 17,783 | ||||||
Federal National Mortgage Association, | ||||||||
5,700 | Zero Coupon, 07/05/14 | 5,331 | ||||||
5,000 | 0.875%, 01/12/12 | 5,020 | ||||||
40,000 | 1.000%, 04/04/12 | 40,246 | ||||||
15,000 | 1.000%, 09/23/13 | 14,951 | ||||||
18,035 | 1.550%, 10/27/15 | 17,461 | ||||||
35,000 | 1.750%, 02/22/13 | 35,661 | ||||||
10,800 | 1.875%, 04/20/12 | 10,974 | ||||||
3,245 | 4.000%, 03/27/13 | 3,458 | ||||||
11,310 | 4.000%, 04/15/13 | 12,062 | ||||||
6,135 | 4.050%, 04/18/13 | 6,550 | ||||||
5,000 | 4.125%, 04/29/13 | 5,349 | ||||||
7,839 | 4.125%, 07/11/13 | 8,409 | ||||||
25,000 | 4.375%, 09/15/12 | 26,445 | ||||||
17,000 | 4.375%, 03/15/13 | 18,231 | ||||||
107,600 | 4.375%, 07/17/13 | 115,941 | ||||||
25,000 | 4.625%, 10/15/13 | 27,248 | ||||||
75,750 | 4.750%, 11/19/12 | 81,034 | ||||||
87,497 | 4.750%, 02/21/13 | 94,275 | ||||||
35,750 | 4.875%, 05/18/12 | 37,650 |
SEE NOTES TO FINANCIAL STATEMENTS.
192 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
7,000 | 5.000%, 10/15/11 | 7,203 | ||||||
10,000 | 5.000%, 04/15/15 | 11,125 | ||||||
6,000 | 6.260%, 11/26/12 | 6,570 | ||||||
Total U.S. Government Agency Securities | 2,257,147 | |||||||
| U.S. Treasury Obligations — 30.1% |
| ||||||
U.S. Treasury Notes, | ||||||||
55,000 | 0.375%, 08/31/12 | 54,940 | ||||||
40,000 | 0.375%, 10/31/12 | 39,890 | ||||||
10,000 | 0.500%, 11/30/12 | 9,987 | ||||||
35,000 | 0.500%, 11/15/13 | 34,513 | ||||||
30,000 | 0.625%, 06/30/12 | 30,098 | ||||||
163,000 | 0.625%, 07/31/12 (m) | 163,497 | ||||||
35,000 | 0.625%, 12/31/12 | 35,003 | ||||||
30,000 | 0.625%, 01/31/13 | 29,985 | ||||||
68,000 | 0.750%, 11/30/11 | 68,266 | ||||||
73,000 | 0.750%, 05/31/12 | 73,359 | ||||||
20,000 | 0.750%, 08/15/13 | 19,931 | ||||||
76,000 | 0.750%, 09/15/13 | 75,644 | ||||||
80,000 | 0.875%, 01/31/12 | 80,434 | ||||||
152,000 | 0.875%, 02/29/12 | 152,873 | ||||||
150,200 | 1.000%, 08/31/11 | 150,804 | ||||||
50,000 | 1.000%, 09/30/11 | 50,233 | ||||||
178,450 | 1.000%, 10/31/11 (m) | 179,377 | ||||||
110,000 | 1.000%, 12/31/11 | 110,670 | ||||||
80,000 | 1.000%, 03/31/12 | 80,587 | ||||||
40,000 | 1.000%, 04/30/12 | 40,305 | ||||||
35,000 | 1.000%, 07/15/13 | 35,118 | ||||||
35,000 | 1.000%, 01/15/14 | 34,888 | ||||||
121,000 | 1.125%, 01/15/12 (m) | 121,893 | ||||||
46,000 | 1.125%, 12/15/12 | 46,422 | ||||||
170,600 | 1.125%, 06/15/13 (m) | 171,786 | ||||||
60,000 | 1.250%, 02/15/14 | 60,150 | ||||||
20,000 | 1.250%, 08/31/15 | 19,428 | ||||||
20,000 | 1.250%, 09/30/15 | 19,386 | ||||||
142,580 | 1.375%, 02/15/12 (m) | 144,045 | ||||||
68,300 | 1.375%, 05/15/12 | 69,140 | ||||||
136,565 | 1.375%, 09/15/12 | 138,432 | ||||||
85,000 | 1.375%, 10/15/12 (m) | 86,166 | ||||||
104,680 | 1.375%, 11/15/12 | 106,111 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
15,000 | 1.375%, 01/15/13 | 15,206 | ||||||
30,000 | 1.375%, 02/15/13 | 30,411 | ||||||
72,000 | 1.375%, 03/15/13 | 72,974 | ||||||
25,000 | 1.375%, 05/15/13 | 25,326 | ||||||
93,480 | 1.750%, 11/15/11 | 94,488 | ||||||
78,210 | 1.750%, 08/15/12 | 79,704 | ||||||
35,000 | 1.750%, 07/31/15 | 34,830 | ||||||
10,000 | 1.875%, 06/15/12 | 10,194 | ||||||
5,750 | 1.875%, 04/30/14 | 5,863 | ||||||
20,000 | 1.875%, 06/30/15 | 20,044 | ||||||
25,000 | 2.125%, 12/31/15 | 25,068 | ||||||
10,000 | 2.250%, 01/31/15 | 10,238 | ||||||
10,000 | 2.375%, 10/31/14 | 10,309 | ||||||
4,300 | 3.125%, 09/30/13 | 4,540 | ||||||
5,000 | 4.000%, 02/15/15 | 5,461 | ||||||
30,000 | 4.875%, 07/31/11 | 30,591 | ||||||
93,000 | 5.125%, 06/30/11 (m) | 94,540 | ||||||
Total U.S. Treasury Obligations | 3,103,148 | |||||||
SHARES | ||||||||
| Short-Term Investment — 2.8% |
| ||||||
Investment Company — 2.8% | ||||||||
285,360 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000% (b) (l) | 285,360 | ||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% |
| ||||||
Investment Company — 0.0% (g) | ||||||||
2,120 | JPMorgan Prime Money Market Fund, | 2,120 | ||||||
Total Investments — 99.7% | 10,275,015 | |||||||
Other Assets in Excess of | 35,656 | |||||||
NET ASSETS — 100.0% | $ | 10,310,671 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 193 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 6.8% |
| ||||||
Ally Auto Receivables Trust, | ||||||||
50 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 51 | ||||||
89 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 88 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
125 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 127 | ||||||
150 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 150 | ||||||
Bank of America Auto Trust, | ||||||||
166 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 167 | ||||||
100 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 104 | ||||||
172 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 173 | ||||||
CarMax Auto Owner Trust, | ||||||||
306 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 312 | ||||||
60 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 60 | ||||||
202 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 207 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
156 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 159 | ||||||
196 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 196 | ||||||
95 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 95 | ||||||
CNH Equipment Trust, | ||||||||
24 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 24 | ||||||
26 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 27 | ||||||
69 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 69 | ||||||
108 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 109 | ||||||
208 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 | 206 | ||||||
45 | Daimler Chrysler Auto Trust, Series 2008-B, | 45 | ||||||
150 | Ford Credit Auto Owner Trust, Series 2009-B, Class A3, 2.790%, 08/15/13 | 152 | ||||||
363 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.440%, 02/25/36 | 318 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
154 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 157 | ||||||
100 | Series 2009-4, Class A3, 1.870%, 02/15/14 | 101 | ||||||
398 | Home Equity Asset Trust, Series 2006-3, | 383 | ||||||
82 | Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 05/15/13 | 82 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
200 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 202 | ||||||
95 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 93 | ||||||
300 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 | 303 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
252 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 258 | ||||||
333 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 337 | ||||||
283 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.460%, 02/25/36 | 269 | ||||||
314 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.452%, 03/25/36 | 301 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
150 | Series 2010-1, Class A3, 1.840%, 11/17/14 | 152 | ||||||
35 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 35 | ||||||
152 | USAA Auto Owner Trust, Series 2008-2, Class A3, 4.640%, 10/15/12 | 153 | ||||||
2 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 2 | ||||||
World Omni Auto Receivables Trust, | ||||||||
40 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 40 | ||||||
45 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 46 | ||||||
Total Asset-Backed Securities | 5,753 | |||||||
| Collateralized Mortgage Obligations — 5.2% |
| ||||||
Agency CMO — 5.2% |
| |||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
326 | Series 2594, Class QP, 4.000%, 03/15/33 | 333 | ||||||
160 | Series 2686, Class VP, 5.000%, 09/15/17 | 170 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
141 | Series 2003-42, Class EP, 4.000%, 11/25/22 | 146 | ||||||
350 | Series 2003-92, Class PE, 4.500%, 09/25/18 | 373 | ||||||
207 | Series 2005-31, Class PA, 5.500%, 10/25/34 | 225 | ||||||
200 | Series 2005-48, Class MD, 5.000%, 04/25/34 | 211 | ||||||
429 | Series 2006-43, Class G, 6.500%, 09/25/33 | 438 | ||||||
425 | Series 2006-63, Class AB, 6.500%, 10/25/33 | 431 | ||||||
274 | Series 2006-63, Class AE, 6.500%, 10/25/33 | 277 | ||||||
155 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 165 | ||||||
200 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 218 | ||||||
269 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 282 | ||||||
393 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 416 | ||||||
Government National Mortgage Association, | ||||||||
5 | Series 2002-24, Class FA, VAR, 0.765%, 04/16/32 (m) | 5 | ||||||
50 | Series 2003-86, Class PE, 5.000%, 09/20/32 | 53 | ||||||
305 | Series 2003-105, Class VH, 4.500%, 01/16/28 | 322 | ||||||
201 | Series 2009-67, Class GK, 4.500%, 01/16/37 | 211 | ||||||
102 | NCUA Guaranteed Notes, Series 2010-R3, | 100 | ||||||
4,376 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
194 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — 0.0% (g) |
| |||||||
56 | MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 58 | ||||||
Total Collateralized Mortgage Obligations | 4,434 | |||||||
| Commercial Mortgage-Backed Securities — 0.3% |
| ||||||
2 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.176%, 11/10/41 | 2 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
189 | Series 2001-CP4, Class A4, 6.180%, 12/15/35 | 190 | ||||||
73 | Series 2004-C3, Class A3, 4.302%, 07/15/36 | 73 | ||||||
Total Commercial Mortgage-Backed Securities (Cost $264) | 265 | |||||||
| Corporate Bonds — 26.3% |
| ||||||
Consumer Discretionary — 0.4% | ||||||||
Auto Components — 0.1% |
| |||||||
65 | Johnson Controls, Inc., 4.875%, 09/15/13 | 70 | ||||||
Automobiles — 0.1% |
| |||||||
50 | Daimler Finance North America LLC, 6.500%, 11/15/13 | 56 | ||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||
80 | McDonald’s Corp., 8.875%, 04/01/11 | 81 | ||||||
Media — 0.1% |
| |||||||
40 | Comcast Corp., 6.500%, 01/15/15 | 45 | ||||||
50 | NBC Universal, Inc., 2.100%, 04/01/14 (e) | 50 | ||||||
95 | ||||||||
Multiline Retail — 0.0% (g) |
| |||||||
50 | Kohl’s Corp., 7.375%, 10/15/11 | 52 | ||||||
Total Consumer Discretionary | 354 | |||||||
Consumer Staples — 1.6% | ||||||||
Beverages — 0.4% |
| |||||||
50 | Anheuser-Busch InBev Worldwide, Inc., 7.200%, 01/15/14 (e) | 57 | ||||||
45 | Bottling Group LLC, 5.000%, 11/15/13 | 49 | ||||||
160 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 170 | ||||||
85 | PepsiCo, Inc., 3.750%, 03/01/14 | 91 | ||||||
367 | ||||||||
Food & Staples Retailing — 0.1% |
| |||||||
45 | Wal-Mart Stores, Inc., 7.250%, 06/01/13 | 51 | ||||||
Food Products — 1.1% |
| |||||||
120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 128 | ||||||
50 | Cargill, Inc., 4.375%, 06/01/13 (e) | 53 | ||||||
35 | General Mills, Inc., 5.250%, 08/15/13 | 38 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — Continued |
| |||||||
Kraft Foods, Inc., | ||||||||
600 | 6.000%, 02/11/13 | 652 | ||||||
37 | 6.250%, 06/01/12 | 39 | ||||||
910 | ||||||||
Total Consumer Staples | 1,328 | |||||||
Energy — 0.6% |
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 | 16 | ||||||
35 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 38 | ||||||
40 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 44 | ||||||
30 | PC Financial Partnership, 5.000%, 11/15/14 | 32 | ||||||
156 | Qatar Petroleum, (Qatar), 5.579%, 05/30/11 (e) | 157 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
30 | 1.875%, 03/25/13 | 31 | ||||||
35 | 4.000%, 03/21/14 | 37 | ||||||
100 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 110 | ||||||
29 | Total Capital Canada Ltd., (Canada), 1.625%, 01/28/14 | 29 | ||||||
Total Energy | 494 | |||||||
Financials — 15.9% | ||||||||
Capital Markets — 2.2% |
| |||||||
200 | Bank of New York Mellon Corp. (The), 4.500%, 04/01/13 | 214 | ||||||
100 | BlackRock, Inc., 3.500%, 12/10/14 | 105 | ||||||
45 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 49 | ||||||
200 | Credit Suisse USA, Inc., 4.875%, 01/15/15 | 216 | ||||||
600 | Goldman Sachs Group, Inc. (The), 4.750%, 07/15/13 | 639 | ||||||
85 | Jefferies Group, Inc., 3.875%, 11/09/15 | 84 | ||||||
280 | Morgan Stanley, 6.750%, 10/15/13 | 310 | ||||||
15 | Nomura Holdings, Inc., (Japan), 4.125%, 01/19/16 | 15 | ||||||
60 | Northern Trust Corp., 5.500%, 08/15/13 | 66 | ||||||
135 | State Street Corp., 4.300%, 05/30/14 | 146 | ||||||
1,844 | ||||||||
Commercial Banks — 2.5% |
| |||||||
45 | Bank of Nova Scotia, (Canada), 2.250%, 01/22/13 | 46 | ||||||
110 | Barclays Bank plc, (United Kingdom), 2.375%, 01/13/14 | 110 | ||||||
240 | BB&T Corp., 5.200%, 12/23/15 | 258 | ||||||
20 | Canadian Imperial Bank of Commerce, (Canada), 2.350%, 12/11/15 | 19 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 195 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
Deutsche Bank AG, (Germany), | ||||||||
175 | 3.875%, 08/18/14 | 183 | ||||||
100 | 5.375%, 10/12/12 | 107 | ||||||
20 | M&T Bank Corp., 5.375%, 05/24/12 | 21 | ||||||
100 | National City Corp., 4.900%, 01/15/15 | 108 | ||||||
250 | U.S. Bank N.A., 6.300%, 02/04/14 | 279 | ||||||
800 | Wachovia Corp., 5.500%, 05/01/13 | 868 | ||||||
128 | Westpac Banking Corp., (Australia), 2.250%, 11/19/12 | 131 | ||||||
2,130 | ||||||||
Consumer Finance — 1.5% |
| |||||||
American Express Credit Corp., | ||||||||
130 | 5.875%, 05/02/13 | 141 | ||||||
80 | 7.300%, 08/20/13 | 90 | ||||||
20 | Capital One Financial Corp., 7.375%, 05/23/14 | 23 | ||||||
720 | HSBC Finance Corp., 6.375%, 11/27/12 | 778 | ||||||
200 | John Deere Capital Corp., 5.250%, 10/01/12 | 214 | ||||||
55 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 57 | ||||||
1,303 | ||||||||
Diversified Financial Services — 3.2% |
| |||||||
Bank of America Corp., | ||||||||
50 | 4.900%, 05/01/13 | 53 | ||||||
100 | 7.375%, 05/15/14 | 114 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
60 | 3.125%, 03/10/12 | 61 | ||||||
80 | 3.625%, 05/08/14 | 84 | ||||||
Caterpillar Financial Services Corp., | ||||||||
150 | 4.900%, 08/15/13 | 163 | ||||||
50 | 6.125%, 02/17/14 | 56 | ||||||
Citigroup, Inc., | ||||||||
520 | 5.500%, 04/11/13 | 558 | ||||||
45 | 6.375%, 08/12/14 | 50 | ||||||
200 | CME Group, Inc., 5.400%, 08/01/13 | 219 | ||||||
20 | ERAC USA Finance LLC, 2.750%, 07/01/13 (e) | 20 | ||||||
General Electric Capital Corp., | ||||||||
1,000 | 4.750%, 09/15/14 | 1,077 | ||||||
125 | 5.900%, 05/13/14 | 139 | ||||||
50 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 51 | ||||||
20 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 21 | ||||||
2,666 | ||||||||
FDIC Guaranteed Securities — 5.3% (~) |
| |||||||
600 | Bank of America Corp., 3.125%, 06/15/12 | 620 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
FDIC Guaranteed Securities — Continued (~) |
| |||||||
600 | Citigroup, Inc., 2.875%, 12/09/11 | 612 | ||||||
General Electric Capital Corp., | ||||||||
700 | 2.125%, 12/21/12 | 718 | ||||||
800 | 3.000%, 12/09/11 | 816 | ||||||
300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 311 | ||||||
600 | HSBC USA, Inc., 3.125%, 12/16/11 | 613 | ||||||
400 | John Deere Capital Corp., 2.875%, 06/19/12 | 412 | ||||||
400 | SunTrust Bank, 3.000%, 11/16/11 | 408 | ||||||
4,510 | ||||||||
Insurance — 0.2% |
| |||||||
50 | Allstate Corp. (The), 6.200%, 05/16/14 | 57 | ||||||
40 | CNA Financial Corp., 5.850%, 12/15/14 | 43 | ||||||
100 | Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e) | 107 | ||||||
207 | ||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
42 | HCP, Inc., 2.700%, 02/01/14 | 42 | ||||||
13 | Simon Property Group LP, 4.200%, 02/01/15 | 14 | ||||||
56 | ||||||||
Thrifts & Mortgage Finance — 0.9% |
| |||||||
700 | Countrywide Financial Corp., 5.800%, 06/07/12 | 738 | ||||||
Total Financials | 13,454 | |||||||
Health Care — 0.1% |
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
50 | Eli Lilly & Co., 3.550%, 03/06/12 | 51 | ||||||
Industrials — 0.8% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
150 | Boeing Co. (The), 5.125%, 02/15/13 | 162 | ||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
10 | Pitney Bowes, Inc., 4.875%, 08/15/14 | 10 | ||||||
Industrial Conglomerates — 0.1% |
| |||||||
100 | Honeywell International, Inc., 3.875%, 02/15/14 | 107 | ||||||
Machinery — 0.1% |
| |||||||
40 | PACCAR, Inc., 6.875%, 02/15/14 | 46 | ||||||
Road & Rail — 0.4% |
| |||||||
100 | Burlington Northern Santa Fe LLC, 5.900%, 07/01/12 | 106 | ||||||
Canadian National Railway Co., (Canada), | ||||||||
20 | 4.400%, 03/15/13 | 21 | ||||||
30 | 4.950%, 01/15/14 | 33 | ||||||
80 | CSX Corp., 6.300%, 03/15/12 | 84 |
SEE NOTES TO FINANCIAL STATEMENTS.
196 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
70 | Union Pacific Corp., 5.450%, 01/31/13 | 76 | ||||||
320 | ||||||||
Total Industrials | 645 | |||||||
Information Technology — 0.9% |
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
Dell, Inc., | ||||||||
34 | 2.300%, 09/10/15 | 33 | ||||||
25 | 5.625%, 04/15/14 | 28 | ||||||
Hewlett-Packard Co., | ||||||||
20 | 2.950%, 08/15/12 | 21 | ||||||
120 | 6.125%, 03/01/14 | 134 | ||||||
60 | International Business Machines Corp., 4.750%, 11/29/12 | 64 | ||||||
280 | ||||||||
Electronic Equipment, Instruments & Components —0.0% (g) |
| |||||||
15 | Arrow Electronics, Inc., 3.375%, 11/01/15 | 15 | ||||||
IT Services — 0.1% |
| |||||||
50 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 55 | ||||||
Office Electronics — 0.2% |
| |||||||
110 | Xerox Corp., 8.250%, 05/15/14 | 129 | ||||||
Software — 0.3% |
| |||||||
140 | Microsoft Corp., 2.950%, 06/01/14 | 146 | ||||||
140 | Oracle Corp., 4.950%, 04/15/13 | 152 | ||||||
298 | ||||||||
Total Information Technology | 777 | |||||||
Materials — 0.3% |
| |||||||
Chemicals — 0.2% |
| |||||||
40 | Dow Chemical Co. (The), 7.600%, 05/15/14 | 46 | ||||||
El du Pont de Nemours & Co., | ||||||||
29 | 1.950%, 01/15/16 | 28 | ||||||
45 | 3.250%, 01/15/15 | 47 | ||||||
33 | 5.000%, 01/15/13 | 35 | ||||||
50 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15 | 52 | ||||||
208 | ||||||||
Metals & Mining — 0.1% |
| |||||||
70 | Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14 | 85 | ||||||
Total Materials | 293 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 2.5% | ||||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
450 | AT&T, Inc., 6.700%, 11/15/13 | 509 | ||||||
130 | France Telecom S.A., (France), 4.375%, 07/08/14 | 140 | ||||||
50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 53 | ||||||
950 | Telefonica Emisiones S.A.U., (Spain), 5.984%, 06/20/11 | 965 | ||||||
250 | Verizon Florida LLC, 6.125%, 01/15/13 | 268 | ||||||
1,935 | ||||||||
Wireless Telecommunication Services — 0.2% | ||||||||
120 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 133 | ||||||
70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 74 | ||||||
207 | ||||||||
Total Telecommunication Services | 2,142 | |||||||
Utilities — 3.2% | ||||||||
Electric Utilities — 2.8% | ||||||||
Appalachian Power Co., | ||||||||
650 | 5.550%, 04/01/11 | 653 | ||||||
200 | 5.650%, 08/15/12 | 211 | ||||||
50 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 55 | ||||||
Duke Energy Corp., | ||||||||
30 | 3.950%, 09/15/14 | 32 | ||||||
38 | 6.300%, 02/01/14 | 42 | ||||||
1,150 | MidAmerican Energy Co., 5.650%, 07/15/12 | 1,220 | ||||||
50 | Nisource Finance Corp., 6.150%, 03/01/13 | 54 | ||||||
15 | Progress Energy, Inc., 6.050%, 03/15/14 | 17 | ||||||
20 | Southern California Edison Co., 4.150%, 09/15/14 | 22 | ||||||
10 | Southern Co., 4.150%, 05/15/14 | 11 | ||||||
50 | Spectra Energy Capital LLC, 5.668%, 08/15/14 | 55 | ||||||
2,372 | ||||||||
Gas Utilities — 0.2% | ||||||||
85 | Atmos Energy Corp., 4.950%, 10/15/14 | 91 | ||||||
80 | Southern California Gas Co., 5.500%, 03/15/14 | 87 | ||||||
178 | ||||||||
Multi-Utilities — 0.2% | ||||||||
130 | Dominion Resources, Inc., 5.700%, 09/17/12 | 139 | ||||||
20 | PG&E Corp., 5.750%, 04/01/14 | 22 | ||||||
161 | ||||||||
Total Utilities | 2,711 | |||||||
Total Corporate Bonds | 22,249 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 197 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Foreign Government Securities — 0.2% |
| ||||||
Province of Ontario, (Canada), | ||||||||
100 | 2.950%, 02/05/15 | 104 | ||||||
45 | 4.100%, 06/16/14 | 48 | ||||||
Total Foreign Government Securities | 152 | |||||||
| Mortgage Pass-Through Securities — 1.1% |
| ||||||
264 | Federal Home Loan Mortgage Corp. Gold Pool, 20 Year, Single Family, 6.000%, 10/01/24 | 292 | ||||||
220 | Federal Home Loan Mortgage Corp., Gold Pool, 30 Year, Single Family, 6.000%, 06/01/34 | 242 | ||||||
196 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 | 214 | ||||||
210 | Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23 | 228 | ||||||
Total Mortgage Pass-Through Securities | 976 | |||||||
| U.S. Government Agency Securities — 25.4% |
| ||||||
Federal Farm Credit Bank, | ||||||||
400 | 2.625%, 04/17/14 | 415 | ||||||
685 | 4.900%, 03/06/13 | 741 | ||||||
Federal Home Loan Bank, | ||||||||
700 | 1.125%, 05/18/12 | 706 | ||||||
2,500 | 1.875%, 06/21/13 | 2,553 | ||||||
4,000 | 3.125%, 12/13/13 | 4,198 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
900 | 0.750%, 12/28/12 | 901 | ||||||
1,350 | 3.000%, 07/28/14 | 1,413 | ||||||
Federal National Mortgage Association, | ||||||||
900 | 1.000%, 04/04/12 | 906 | ||||||
500 | 2.375%, 07/28/15 | 504 | ||||||
2,703 | 4.000%, 03/27/13 | 2,880 | ||||||
4,000 | 4.375%, 03/15/13 | 4,290 | ||||||
1,400 | 4.625%, 10/15/13 | 1,526 | ||||||
400 | 4.750%, 02/21/13 | 431 | ||||||
Total U.S. Government Agency Securities | 21,464 | |||||||
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 33.2% |
| ||||||
U.S. Treasury Notes, | ||||||||
2,500 | 0.500%, 11/15/13 | 2,465 | ||||||
200 | 0.625%, 07/31/12 | 201 | ||||||
300 | 0.750%, 08/15/13 | 299 | ||||||
5,775 | 0.875%, 02/29/12 (m) | 5,808 | ||||||
500 | 1.000%, 04/30/12 | 504 | ||||||
8,350 | 1.125%, 01/15/12 (m) | 8,412 | ||||||
2,550 | 1.375%, 09/15/12 | 2,585 | ||||||
1,420 | 1.375%, 02/15/13 | 1,439 | ||||||
400 | 1.375%, 11/30/15 | 388 | ||||||
3,175 | 1.750%, 08/15/12 | 3,236 | ||||||
100 | 1.750%, 07/31/15 | 99 | ||||||
2,500 | 2.750%, 10/31/13 | 2,615 | ||||||
Total U.S. Treasury Obligations | 28,051 | |||||||
SHARES | ||||||||
| Short-Term Investment — 1.2% |
| ||||||
Investment Company — 1.2% | ||||||||
1,044 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1,044 | ||||||
Total Investments —99.7% | 84,388 | |||||||
Other Assets in Excess of | 215 | |||||||
NET ASSETS — 100.0% | $ | 84,603 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
198 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
JPMorgan Treasury & Agency Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 22.5% |
| ||||||
Federal Farm Credit Bank, | ||||||||
20,000 | 3.625%, 07/15/11 (m) | 20,256 | ||||||
24,000 | 3.875%, 06/04/12 (m) | 25,015 | ||||||
9,745 | 4.000%, 05/21/13 | 10,405 | ||||||
25,000 | 4.350%, 09/02/14 (m) | 27,284 | ||||||
500 | 6.270%, 01/26/16 | 590 | ||||||
Federal Home Loan Bank, | ||||||||
5,000 | 1.125%, 05/18/12 | 5,039 | ||||||
9,400 | 5.310%, 12/28/12 | 10,185 | ||||||
1,937 | New Valley Generation I, 7.299%, 03/15/19 | 2,271 | ||||||
4,879 | New Valley Generation II, 5.572%, 05/01/20 | 5,169 | ||||||
Total U.S. Government Agency Securities | 106,214 | |||||||
| U.S. Treasury Obligations — 75.9% |
| ||||||
U.S. Treasury Notes, | ||||||||
25,000 | 0.625%, 06/30/12 | 25,082 | ||||||
5,000 | 0.875%, 04/30/11 | 5,006 | ||||||
10,700 | 0.875%, 02/29/12 | 10,761 | ||||||
28,000 | 1.250%, 08/31/15 | 27,200 | ||||||
10,665 | 1.375%, 02/15/12 | 10,775 | ||||||
60,000 | 1.375%, 05/15/12 | 60,738 | ||||||
21,040 | 1.375%, 02/15/13 | 21,328 | ||||||
30,290 | 1.750%, 11/15/11 | 30,617 | ||||||
7,000 | 1.750%, 04/15/13 | 7,148 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
20,000 | 1.750%, 07/31/15 | 19,903 | ||||||
40,000 | 1.875%, 06/15/12 | 40,775 | ||||||
12,000 | 1.875%, 04/30/14 | 12,237 | ||||||
5,000 | 2.000%, 01/31/16 | 4,976 | ||||||
8,000 | 2.375%, 10/31/14 | 8,248 | ||||||
70,000 | 2.750%, 10/31/13 | 73,232 | ||||||
Total U.S. Treasury Obligations | 358,026 | |||||||
SHARES | ||||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% | ||||||||
5,365 | JPMorgan Federal Money Market Fund, Institutional Class Shares, | 5,365 | ||||||
Total Investments — 99.5% | 469,605 | |||||||
Other Assets in Excess of | 2,264 | |||||||
NET ASSETS — 100.0% | $ | 471,869 | ||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 199 |
Table of Contents
J.P. Morgan Income Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 28, 2011
ADR | — American Depsitary Receipt | |
ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2011. | |
ARS | — Argentine Peso | |
BRL | — Brazilian Real | |
CLN | — Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of February 28, 2011. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate. | |
CMO | — Collateralized Mortgage Obligation | |
COP | — Columbian Peso | |
ESOP | — Employee Stock Ownership Program | |
FGIC | — Insured by Financial Guaranty Insurance Co. | |
FHA | — Federal Housing Administration | |
GO | — General Obligation | |
HB | — High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | |
IF | — Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2011. The rate may be subject to a cap and floor. | |
IO | — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
MXN | — Mexican Peso | |
PEN | — Peru Nuevo Sol | |
PIK | — Payment-in-Kind | |
PO | — Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |
Reg. S. | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. | |
REMICS | — Real Estate Mortgage Investment Conduits | |
Rev. | — Revenue | |
RUB | — Russian Ruble |
STRIPS | — Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| ||||||||
SUB | — Step-Up Bond. The interest rate shown is the rate in effect as of February 28, 2011. |
| ||||||||
UYU | — Uruguayan Peso |
| ||||||||
VA | — Veterans Administration |
| ||||||||
VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2011. |
| ||||||||
ZAR | — South African Rand |
| ||||||||
(a) | — Non-income producing security. |
| ||||||||
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
| ||||||||
(c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
| ||||||||
(d) | — Defaulted security. |
| ||||||||
(e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| ||||||||
(f) | — Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments |
| ||||||||
Fund | Value | Percentage | ||||||||
Core Bond Fund | $ | 65,032 | 0.34 | % | ||||||
Core Plus Bond Fund | 10,510 | 0.51 | ||||||||
Government Bond Fund | 864 | 0.06 | ||||||||
High Yield Fund | 92,948 | 0.97 | ||||||||
Limited Duration Bond Fund | 2,257 | 0.57 | ||||||||
Mortgage-Backed Securities Fund | 9,440 | 0.43 | ||||||||
(g) | — Amount rounds to less than 0.1%. |
| ||||||||
(h) | — Amount rounds to less than one thousand (shares or dollars). |
| ||||||||
(i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
| ||||||||
(k) | — All or portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
| ||||||||
(l) | — The rate shown is the current yield as of February 28, 2011. |
| ||||||||
(m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
| ||||||||
(r) | — Rates shown are per annum and payments are as described. |
| ||||||||
(x) | — Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2011. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
200 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
~ | — Securities are guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP). Under this program, the FDIC guarantees, with the full faith and credit of the U.S. government, the payment of principal and interest. The expiration of the FDIC’s guarantee is the earlier of the maturity date of the debt or December 31, 2012. | |
^ | — Unsettled security, coupon rate is undetermined at February 28, 2011. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 201 |
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STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011
(Amounts in thousands, except per share amounts)
Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 18,937,864 | $ | 1,933,371 | $ | 1,319,528 | ||||||
Investments in affiliates, at value | 220,224 | 145,512 | 116,197 | |||||||||
Total investment securities, at value | 19,158,088 | 2,078,883 | 1,435,725 | |||||||||
Cash | 4,933 | 312 | — | |||||||||
Foreign currency, at value | — | 12 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 10,798 | 5,906 | 53,737 | |||||||||
Fund shares sold | 79,443 | 3,734 | 1,488 | |||||||||
Interest and dividends | 102,497 | 19,338 | 5,323 | |||||||||
Variation margin on futures contracts | — | 1 | — | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 20 | — | |||||||||
Unrealized appreciation on unfunded commitments | — | — | (a) | — | ||||||||
Other assets | — | 208 | — | |||||||||
Total Assets | 19,355,759 | 2,108,414 | 1,496,273 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 13,525 | 5,110 | 2,517 | |||||||||
Investment securities purchased | 37,056 | 24,099 | — | (a) | ||||||||
Fund shares redeemed | 37,055 | 10,514 | 2,536 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | (a) | — | ||||||||
Outstanding swap contracts, at value | — | 51 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 2,706 | 407 | 333 | |||||||||
Administration fees | 1,350 | 86 | 101 | |||||||||
Shareholder servicing fees | 2,191 | 325 | 46 | |||||||||
Distribution fees | 2,116 | 233 | 212 | |||||||||
Custodian and accounting fees | 526 | 135 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 14 | 3 | — | (a) | ||||||||
Other | 743 | 237 | 217 | |||||||||
Total Liabilities | 97,282 | 41,200 | 6,018 | |||||||||
Net Assets | $ | 19,258,477 | $ | 2,067,214 | $ | 1,490,255 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
202 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 18,633,513 | $ | 2,263,348 | $ | 1,402,304 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,016 | (180 | ) | (36 | ) | |||||||
Accumulated net realized gains (losses) | (25,021 | ) | (272,441 | ) | (527 | ) | ||||||
Net unrealized appreciation (depreciation) | 648,969 | 76,487 | 88,514 | |||||||||
Total Net Assets | $ | 19,258,477 | $ | 2,067,214 | $ | 1,490,255 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 3,982,404 | $ | 327,106 | $ | 474,402 | ||||||
Class B | 76,034 | 6,270 | 19,524 | |||||||||
Class C | 2,181,719 | 287,042 | 171,114 | |||||||||
Class R2 | 37,096 | 357 | 15,782 | |||||||||
Class R5 | 123,327 | — | — | |||||||||
Class R6 | 2,334,504 | 158,216 | — | |||||||||
Institutional Class | — | 27,374 | — | |||||||||
Select Class | 10,523,393 | 1,260,849 | 809,433 | |||||||||
Total | $ | 19,258,477 | $ | 2,067,214 | $ | 1,490,255 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 347,498 | 39,919 | 43,882 | |||||||||
Class B | 6,638 | 761 | 1,807 | |||||||||
Class C | 189,483 | 34,894 | 15,878 | |||||||||
Class R2 | 3,241 | 44 | 1,461 | |||||||||
Class R5 | 10,777 | — | — | |||||||||
Class R6 | 203,773 | 19,312 | — | |||||||||
Institutional Class | — | 3,338 | — | |||||||||
Select Class | 918,982 | 153,960 | 74,917 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 11.46 | $ | 8.19 | $ | 10.81 | ||||||
Class B — Offering price per share (b) | 11.45 | 8.24 | 10.80 | |||||||||
Class C — Offering price per share (b) | 11.51 | 8.23 | 10.78 | |||||||||
Class R2 — Offering and redemption price per share | 11.45 | 8.20 | 10.80 | |||||||||
Class R5 — Offering and redemption price per share | 11.44 | — | — | |||||||||
Class R6 — Offering and redemption price per share | 11.46 | 8.19 | — | |||||||||
Institutional Class — Offering and redemption price per share | — | 8.20 | — | |||||||||
Select Class — Offering and redemption price per share | 11.45 | 8.19 | 10.80 | |||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 11.91 | $ | 8.51 | $ | 11.23 | ||||||
Cost of investments in non-affiliates | $ | 18,288,895 | $ | 1,856,853 | $ | 1,231,014 | ||||||
Cost of investments in affiliates | 220,224 | 145,512 | 116,197 | |||||||||
Cost of foreign currency | — | 12 | — |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 203 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except per share amounts)
High Yield Fund | Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 9,251,495 | $ | 308,257 | $ | 2,188,191 | ||||||
Investments in affiliates, at value | 362,530 | 88,494 | 29,013 | |||||||||
Total investment securities, at value | 9,614,025 | 396,751 | 2,217,204 | |||||||||
Cash | 4,960 | — | 669 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 64,171 | 75 | 2,834 | |||||||||
Fund shares sold | 59,637 | 1,058 | 7,776 | |||||||||
Interest and dividends | 162,697 | 911 | 9,607 | |||||||||
Securities lending income | — | (a) | — | — | ||||||||
Unrealized appreciation on unfunded commitments | 3 | — | — | |||||||||
Total Assets | 9,905,493 | 398,795 | 2,238,090 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 32,497 | 365 | 1,180 | |||||||||
Investment securities purchased | 293,274 | 7 | 11,465 | |||||||||
Collateral for securities lending program | 1,024 | — | — | |||||||||
Fund shares redeemed | 9,231 | 818 | 1,752 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 4,676 | 31 | 216 | |||||||||
Administration fees | 437 | 7 | 120 | |||||||||
Shareholder servicing fees | 619 | 59 | 86 | |||||||||
Distribution fees | 313 | 52 | 33 | |||||||||
Custodian and accounting fees | 170 | 33 | 121 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 32 | 3 | 3 | |||||||||
Other | 498 | 127 | 86 | |||||||||
Total Liabilities | 342,771 | 1,502 | 15,062 | |||||||||
Net Assets | $ | 9,562,722 | $ | 397,293 | $ | 2,223,028 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
204 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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High Yield Fund | Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 8,742,745 | $ | 526,426 | $ | 2,137,528 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 2,909 | (988 | ) | 448 | ||||||||
Accumulated net realized gains (losses) | 116,487 | (86,248 | ) | (9,866 | ) | |||||||
Net unrealized appreciation (depreciation) | 700,581 | (41,897 | ) | 94,918 | ||||||||
Total Net Assets | $ | 9,562,722 | $ | 397,293 | $ | 2,223,028 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 856,717 | $ | 69,464 | $ | 176,334 | ||||||
Class B | 17,991 | 820 | — | |||||||||
Class C | 248,488 | 66,659 | — | |||||||||
Class R2 | 3,609 | — | — | |||||||||
Class R5 | 27,619 | — | — | |||||||||
Class R6 | 929,762 | 3,873 | 1,466,482 | |||||||||
Select Class | 7,478,536 | 256,477 | 580,212 | |||||||||
Total | $ | 9,562,722 | $ | 397,293 | $ | 2,223,028 | ||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 102,869 | 7,341 | 15,330 | |||||||||
Class B | 2,155 | 87 | — | |||||||||
Class C | 29,806 | 7,115 | — | |||||||||
Class R2 | 434 | — | — | |||||||||
Class R5 | 3,302 | — | — | |||||||||
Class R6 | 111,344 | 409 | 130,062 | |||||||||
Select Class | 894,876 | 27,109 | 51,466 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 8.33 | $ | 9.46 | $ | 11.50 | ||||||
Class B — Offering price per share (b) | 8.35 | 9.39 | — | |||||||||
Class C — Offering price per share (b) | 8.34 | 9.37 | — | |||||||||
Class R2 — Offering and redemption price per share | 8.32 | — | — | |||||||||
Class R5 — Offering and redemption price per share | 8.36 | — | — | |||||||||
Class R6 — Offering and redemption price per share | 8.35 | 9.47 | 11.28 | |||||||||
Select Class — Offering and redemption price per share | 8.36 | 9.46 | 11.27 | |||||||||
Class A maximum sales charge | 3.75 | % | 2.25 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 8.65 | $ | 9.68 | $ | 11.95 | ||||||
Cost of investments in non-affiliates | $ | 8,550,917 | $ | 350,154 | $ | 2,093,273 | ||||||
Cost of investments in affiliates | 362,530 | 88,494 | 29,013 | |||||||||
Value of securities on loan | 4,131 | — | — |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 205 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 28, 2011 (continued)
(Amounts in thousands, except per share amounts)
Short Duration Bond Fund | Short Term Bond Fund II | Treasury & Agency Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 9,987,535 | $ | 83,344 | $ | 464,240 | ||||||
Investments in affiliates, at value | 287,480 | 1,044 | 5,365 | |||||||||
Total investment securities, at value | 10,275,015 | 84,388 | 469,605 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 3,543 | — | — | |||||||||
Fund shares sold | 33,618 | 9 | 356 | |||||||||
Interest and dividends | 55,552 | 561 | 2,698 | |||||||||
Securities lending income | — | (a) | — | — | ||||||||
Other assets | — | 8 | — | |||||||||
Total Assets | 10,367,728 | 84,966 | 472,659 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | 11,826 | 2 | — | |||||||||
Dividends | 10,302 | 70 | 363 | |||||||||
Investment securities purchased | 1 | — | (a) | — | ||||||||
Collateral for securities lending program | 2,120 | — | — | |||||||||
Fund shares redeemed | 28,315 | 104 | 140 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 1,516 | 15 | 108 | |||||||||
Administration fees | 623 | 8 | 35 | |||||||||
Shareholder servicing fees | 1,428 | 9 | 3 | |||||||||
Distribution fees | 238 | 22 | 20 | |||||||||
Custodian and accounting fees | 238 | 15 | 17 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 3 | — | (a) | ||||||||
Audit fees | 53 | 76 | 39 | |||||||||
Other | 382 | 39 | 65 | |||||||||
Total Liabilities | 57,057 | 363 | 790 | |||||||||
Net Assets | $ | 10,310,671 | $ | 84,603 | $ | 471,869 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
206 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Short Duration Bond Fund | Short Term Bond Fund II | Treasury & Agency Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 10,184,496 | $ | 143,926 | $ | 461,402 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 435 | (20 | ) | (369 | ) | |||||||
Accumulated net realized gains (losses) | 89 | (60,466 | ) | 806 | ||||||||
Net unrealized appreciation (depreciation) | 125,651 | 1,163 | 10,030 | |||||||||
Total Net Assets | $ | 10,310,671 | $ | 84,603 | $ | 471,869 | ||||||
Net Assets: | ||||||||||||
Class A | $ | 250,706 | $ | 7,222 | $ | 99,714 | ||||||
Class B | 2,134 | — | 771 | |||||||||
Class C | 321,680 | — | — | |||||||||
Class M | — | 75,712 | — | |||||||||
Class R6 | 2,906,329 | — | — | |||||||||
Select Class | 6,829,822 | 1,669 | 371,384 | |||||||||
Total | $ | 10,310,671 | $ | 84,603 | $ | 471,869 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 22,888 | 818 | 10,195 | |||||||||
Class B | 193 | — | 79 | |||||||||
Class C | 29,186 | — | — | |||||||||
Class M | — | 8,578 | — | |||||||||
Class R6 | 265,012 | — | — | |||||||||
Select Class | 622,889 | 189 | 38,018 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 10.95 | $ | 8.83 | $ | 9.78 | ||||||
Class B — Offering price per share (b) | 11.06 | — | 9.76 | |||||||||
Class C — Offering price per share (b) | 11.02 | — | — | |||||||||
Class M — Offering and redemption price per share | — | 8.83 | — | |||||||||
Class R6 — Offering and redemption price per share | 10.97 | — | — | |||||||||
Select Class — Offering and redemption price per share | 10.96 | 8.84 | 9.77 | |||||||||
Class A maximum sales charge | 2.25 | % | 2.25 | % | 2.25 | % | ||||||
Class A maximum public offering price per share | $ | 11.20 | $ | 9.03 | $ | 10.01 | ||||||
Class M maximum sales charge | — | 1.50 | % | — | ||||||||
Class M maximum public offering price per share | $ | — | $ | 8.96 | $ | — | ||||||
Cost of investments in non-affiliates | $ | 9,861,884 | $ | 82,181 | $ | 454,210 | ||||||
Cost of investments in affiliates | 287,480 | 1,044 | 5,365 | |||||||||
Value of securities on loan | 2,060 | — | — |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 207 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 761,348 | $ | 94,184 | $ | 64,568 | ||||||
Dividend income from non-affiliates | — | 821 | — | |||||||||
Interest income from affiliates | 10 | — | (a) | — | ||||||||
Dividend income from affiliates | 1,275 | 257 | 49 | |||||||||
Income from securities lending (net) | 154 | 72 | — | |||||||||
Other income | 99 | 145 | 33 | |||||||||
Total investment income | 762,886 | 95,479 | 64,650 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 52,468 | 5,333 | 4,512 | |||||||||
Administration fees | 16,005 | 1,626 | 1,377 | |||||||||
Distribution fees: | ||||||||||||
Class A | 9,371 | 675 | 1,220 | |||||||||
Class B | 744 | 55 | 210 | |||||||||
Class C | 19,348 | 1,911 | 1,495 | |||||||||
Class R2 | 137 | 2 | 46 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 9,371 | 675 | 1,220 | |||||||||
Class B | 248 | 18 | 70 | |||||||||
Class C | 6,450 | 637 | 498 | |||||||||
Class R2 | 69 | 1 | 23 | |||||||||
Class R5 | 253 | — | — | |||||||||
Institutional Class | — | 47 | — | |||||||||
Select Class | 22,488 | 2,762 | 1,948 | |||||||||
Custodian and accounting fees | 1,136 | 293 | 115 | |||||||||
Interest expense to affiliates | — | — | (a) | — | ||||||||
Professional fees | 262 | 149 | 85 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 194 | 19 | 17 | |||||||||
Printing and mailing costs | 2,180 | 129 | 135 | |||||||||
Registration and filing fees | 500 | 181 | 99 | |||||||||
Transfer agent fees | 8,656 | 555 | 1,036 | |||||||||
Other | 225 | 27 | 18 | |||||||||
Total expenses | 150,105 | 15,095 | 14,124 | |||||||||
Less amounts waived | (25,568 | ) | (1,915 | ) | (3,443 | ) | ||||||
Less earnings credits | (1 | ) | — | (a) | — | (a) | ||||||
Net expenses | 124,536 | 13,180 | 10,681 | |||||||||
Net investment income (loss) | 638,350 | 82,299 | 53,969 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 59,188 | 15,072 | 2,101 | |||||||||
Investment in affiliates | 309 | 60 | — | |||||||||
Futures | — | 16 | — | |||||||||
Foreign currency transactions | — | 70 | — | |||||||||
Swaps | — | 20 | — | |||||||||
Net realized gain (loss) | 59,497 | 15,238 | 2,101 | |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 228,808 | 53,457 | 8,867 | |||||||||
Investments in affiliates | (294 | ) | (59 | ) | — | |||||||
Futures | — | (3 | ) | — | ||||||||
Foreign currency translations | — | 21 | — | |||||||||
Swaps | — | 25 | — | |||||||||
Unfunded commitments | — | — | (a) | — | ||||||||
Change in net unrealized appreciation (depreciation) | 228,514 | 53,441 | 8,867 | |||||||||
Net realized/unrealized gains (losses) | 288,011 | 68,679 | 10,968 | |||||||||
Change in net assets resulting from operations | $ | 926,361 | $ | 150,978 | $ | 64,937 | ||||||
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
208 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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High Yield Fund | Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 668,628 | $ | 10,771 | $ | 115,259 | ||||||
Dividend income from non-affiliates | 4,480 | — | — | |||||||||
Dividend income from affiliates | 319 | 88 | 132 | |||||||||
Income from securities lending (net) | 882 | — | — | |||||||||
Other income | 8 | 9 | 2 | |||||||||
Total investment income | 674,317 | 10,868 | 115,393 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 48,927 | 908 | 7,340 | |||||||||
Administration fees | 6,884 | 332 | 1,920 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1,643 | 185 | 394 | |||||||||
Class B | 151 | 10 | — | |||||||||
Class C | 1,491 | 516 | — | |||||||||
Class R2 | 11 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 1,643 | 185 | 394 | |||||||||
Class B | 50 | 3 | — | |||||||||
Class C | 497 | 172 | — | |||||||||
Class R2 | 5 | — | — | |||||||||
Class R5 | 85 | — | — | |||||||||
Select Class | 14,810 | 545 | 1,351 | |||||||||
Custodian and accounting fees | 313 | 75 | 300 | |||||||||
Professional fees | 180 | 81 | 82 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 80 | 2 | 15 | |||||||||
Printing and mailing costs | 937 | 18 | 96 | |||||||||
Registration and filing fees | 252 | 70 | 147 | |||||||||
Transfer agent fees | 4,336 | 153 | 111 | |||||||||
Other | 108 | 10 | 26 | |||||||||
Total expenses | 82,403 | 3,265 | 12,176 | |||||||||
Less amounts waived | (12,025 | ) | (1,035 | ) | (5,680 | ) | ||||||
Less earnings credits | (4 | ) | — | (a) | — | (a) | ||||||
Net expenses | 70,374 | 2,230 | 6,496 | |||||||||
Net investment income (loss) | 603,943 | 8,638 | 108,897 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 178,644 | (2,518 | ) | 6,272 | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 438,195 | 24,133 | 40,214 | |||||||||
Unfunded commitments | 3 | — | — | |||||||||
Change in net unrealized appreciation (depreciation) | 438,198 | 24,133 | 40,214 | |||||||||
Net realized/unrealized gains (losses) | 616,842 | 21,615 | 46,486 | |||||||||
Change in net assets resulting from operations | $ | 1,220,785 | $ | 30,253 | $ | 155,383 | ||||||
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 209 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 28, 2011 (continued)
(Amounts in thousands)
Short Duration Bond Fund | Short Term Bond Fund II | Treasury & Agency Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 211,075 | $ | 2,320 | $ | 10,165 | ||||||
Dividend income from affiliates | 141 | 1 | 3 | |||||||||
Income from securities lending (net) | 103 | — | — | |||||||||
Other income | 22 | — | 5 | |||||||||
Total investment income | 211,341 | 2,321 | 10,173 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 23,597 | 239 | 1,514 | |||||||||
Administration fees | 8,639 | 88 | 462 | |||||||||
Distribution fees: | ||||||||||||
Class A | 696 | 18 | 246 | |||||||||
Class B | 22 | — | 8 | |||||||||
Class C | 2,719 | — | — | |||||||||
Class M | — | 301 | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 696 | 18 | 246 | |||||||||
Class B | 7 | — | 3 | |||||||||
Class C | 906 | — | — | |||||||||
Class M | — | 215 | — | |||||||||
Select Class | 15,778 | 5 | 1,013 | |||||||||
Custodian and accounting fees | 559 | 36 | 32 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 184 | 117 | 63 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 84 | 5 | 3 | |||||||||
Printing and mailing costs | 388 | 42 | 44 | |||||||||
Registration and filing fees | 411 | 32 | 33 | |||||||||
Transfer agent fees | 286 | 13 | 119 | |||||||||
Other | 121 | 24 | 15 | |||||||||
Total expenses | 55,093 | 1,153 | 3,801 | |||||||||
Less amounts waived | (6,526 | ) | (229 | ) | (1,290 | ) | ||||||
Less earnings credits | (1 | ) | — | (a) | — | (a) | ||||||
Net expenses | 48,566 | 924 | 2,511 | |||||||||
Net investment income (loss) | 162,775 | 1,397 | 7,662 | |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 14,779 | 843 | 1,956 | |||||||||
Change in net unrealized appreciation (depreciation) of investments in non-affiliates | 31,764 | (1,062 | ) | (2,734 | ) | |||||||
Net realized/unrealized gains (losses) | 46,543 | (219 | ) | (778 | ) | |||||||
Change in net assets resulting from operations | $ | 209,318 | $ | 1,178 | $ | 6,884 | ||||||
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
210 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 638,350 | $ | 489,967 | $ | 82,299 | $ | 59,564 | ||||||||
Net realized gain (loss) | 59,497 | 418 | 15,238 | 499 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 228,514 | 478,829 | 53,441 | 104,066 | ||||||||||||
Change in net assets resulting from operations | 926,361 | 969,214 | 150,978 | 164,129 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (134,985 | ) | (113,312 | ) | (12,510 | ) | (6,206 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (2,838 | ) | (4,896 | ) | (287 | ) | (343 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (74,656 | ) | (56,032 | ) | (10,137 | ) | (3,874 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | (945 | ) | (251 | ) | (13 | ) | (7 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (18,323 | ) | (17,802 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (62,965 | ) | (52,645 | ) | (4,752 | ) | (1,857 | ) | ||||||||
Institutional Class (b) | ||||||||||||||||
From net investment income | — | — | (2,250 | ) | (1,402 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (344,559 | ) | (244,539 | ) | (52,405 | ) | (46,071 | ) | ||||||||
Total distributions to shareholders | (639,271 | ) | (489,477 | ) | (82,354 | ) | (59,760 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 4,713,330 | 8,411,171 | 666,336 | 478,602 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 5,000,420 | 8,890,908 | 734,960 | 582,971 | ||||||||||||
Beginning of period | 14,258,057 | 5,367,149 | 1,332,254 | 749,283 | ||||||||||||
End of period | $ | 19,258,477 | $ | 14,258,057 | $ | 2,067,214 | $ | 1,332,254 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,016 | $ | 1,855 | $ | (180 | ) | $ | (433 | ) | ||||||
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
(b) | Commencement of offering of class of shares effective June 19, 2009 for the Core Plus Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 211 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Government Bond Fund | High Yield Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 53,969 | $ | 49,641 | $ | 603,943 | $ | 345,374 | ||||||||
Net realized gain (loss) | 2,101 | 407 | 178,644 | 33,254 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 8,867 | 15,238 | 438,198 | 919,782 | ||||||||||||
Change in net assets resulting from operations | 64,937 | 65,286 | 1,220,785 | 1,298,410 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (17,400 | ) | (16,672 | ) | (51,366 | ) | (39,437 | ) | ||||||||
From net realized gains | — | — | (2,548 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (782 | ) | (1,363 | ) | (1,431 | ) | (1,611 | ) | ||||||||
From net realized gains | — | — | (65 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (5,593 | ) | (5,436 | ) | (14,363 | ) | (8,640 | ) | ||||||||
From net realized gains | — | — | (767 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | (322 | ) | (45 | ) | (162 | ) | (28 | ) | ||||||||
From net realized gains | — | — | (9 | ) | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (13,053 | ) | (10,142 | ) | ||||||||||
From net realized gains | — | — | (918 | ) | — | |||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | — | — | (46,034 | ) | (16,380 | ) | ||||||||||
From net realized gains | — | — | (2,110 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (29,919 | ) | (26,186 | ) | (480,731 | ) | (269,203 | ) | ||||||||
From net realized gains | — | — | (23,094 | ) | — | |||||||||||
Total distributions to shareholders | (54,016 | ) | (49,702 | ) | (636,651 | ) | (345,441 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 88,010 | 212,449 | 3,140,534 | 2,663,582 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 98,931 | 228,033 | 3,724,668 | 3,616,551 | ||||||||||||
Beginning of period | 1,391,324 | 1,163,291 | 5,838,054 | 2,221,503 | ||||||||||||
End of period | $ | 1,490,255 | $ | 1,391,324 | $ | 9,562,722 | $ | 5,838,054 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (36 | ) | $ | 12 | $ | 2,909 | $ | 4,289 | |||||||
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
212 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Limited Duration Bond Fund | Mortgage-Backed Securities Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 8,638 | $ | 10,064 | $ | 108,897 | $ | 88,998 | ||||||||
Net realized gain (loss) | (2,518 | ) | (43,827 | ) | 6,272 | 15 | ||||||||||
Change in net unrealized appreciation (depreciation) | 24,133 | 84,743 | 40,214 | 82,299 | ||||||||||||
Change in net assets resulting from operations | 30,253 | 50,980 | 155,383 | 171,312 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,704 | ) | (1,732 | ) | (7,630 | ) | (2,423 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (24 | ) | (84 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (1,262 | ) | (1,592 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (40 | ) | (1,427 | ) | (73,620 | ) | (76,478 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (5,612 | ) | (5,196 | ) | (27,805 | ) | (10,196 | ) | ||||||||
Total distributions to shareholders | (8,642 | ) | (10,031 | ) | (109,055 | ) | (89,097 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 48,768 | (154,849 | ) | 377,268 | 696,596 | |||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 70,379 | (113,900 | ) | 423,596 | 778,811 | |||||||||||
Beginning of period | 326,914 | 440,814 | 1,799,432 | 1,020,621 | ||||||||||||
End of period | $ | 397,293 | $ | 326,914 | $ | 2,223,028 | $ | 1,799,432 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (988 | ) | $ | (1,177 | ) | $ | 448 | $ | 504 | ||||||
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 213 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Short Duration Bond Fund | Short Term Bond Fund II | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 162,775 | $ | 128,366 | $ | 1,397 | $ | 2,353 | ||||||||
Net realized gain (loss) | 14,779 | 3,945 | 843 | (11,882 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 31,764 | 104,416 | (1,062 | ) | 13,496 | |||||||||||
Change in net assets resulting from operations | 209,318 | 236,727 | 1,178 | 3,967 | ||||||||||||
Net equalization credits (debits) | — | — | (14 | ) | (15 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (3,963 | ) | (4,393 | ) | (128 | ) | (173 | ) | ||||||||
From net realized gains | (385 | ) | — | — | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (26 | ) | (80 | ) | — | — | ||||||||||
From net realized gains | (3 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (3,309 | ) | (3,307 | ) | — | — | ||||||||||
From net realized gains | (459 | ) | — | — | — | |||||||||||
Class M | ||||||||||||||||
From net investment income | — | — | (1,277 | ) | (2,406 | ) | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (48,325 | ) | (33,326 | ) | — | — | ||||||||||
From net realized gains | (3,598 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (107,143 | ) | (86,773 | ) | (41 | ) | (105 | ) | ||||||||
From net realized gains | (8,462 | ) | — | — | — | |||||||||||
Total distributions to shareholders | (175,673 | ) | (127,879 | ) | (1,446 | ) | (2,684 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 2,465,685 | 5,229,689 | (18,560 | ) | (23,718 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 2,499,330 | 5,338,537 | (18,842 | ) | (22,450 | ) | ||||||||||
Beginning of period | 7,811,341 | 2,472,804 | 103,445 | 125,895 | ||||||||||||
End of period | $ | 10,310,671 | $ | 7,811,341 | $ | 84,603 | $ | 103,445 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 435 | $ | 425 | $ | (20 | ) | $ | 29 | |||||||
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
214 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Treasury & Agency Fund | ||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 7,662 | $ | 14,559 | ||||
Net realized gain (loss) | 1,956 | 12,322 | ||||||
Change in net unrealized appreciation (depreciation) | (2,734 | ) | (4,734 | ) | ||||
Change in net assets resulting from operations | 6,884 | 22,147 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (1,322 | ) | (2,238 | ) | ||||
From net realized gains | (1,585 | ) | (3,339 | ) | ||||
Class B | ||||||||
From net investment income | (9 | ) | (37 | ) | ||||
From net realized gains | (14 | ) | (54 | ) | ||||
Select Class | ||||||||
From net investment income | (6,315 | ) | (12,271 | ) | ||||
From net realized gains | (6,363 | ) | (14,626 | ) | ||||
Total distributions to shareholders | (15,608 | ) | (32,565 | ) | ||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | (48,468 | ) | (131,206 | ) | ||||
NET ASSETS: | ||||||||
Change in net assets | (57,192 | ) | (141,624 | ) | ||||
Beginning of period | 529,061 | 670,685 | ||||||
End of period | $ | 471,869 | $ | 529,061 | ||||
Accumulated undistributed (distributions in excess of) net | $ | (369 | ) | $ | (440 | ) | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 215 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 2,139,903 | $ | 2,207,484 | $ | 277,715 | $ | 123,634 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 105,525 | — | 10,165 | ||||||||||||
Dividends and distributions reinvested | 118,480 | 97,942 | 9,618 | 4,236 | ||||||||||||
Cost of shares redeemed | (1,490,961 | ) | (692,741 | ) | (138,398 | ) | (29,687 | ) | ||||||||
Change in net assets from Class A capital transactions | $ | 767,422 | $ | 1,718,210 | $ | 148,935 | $ | 108,348 | ||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 3,711 | $ | 33,442 | $ | 1,742 | $ | 2,766 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 36,304 | — | 2,437 | ||||||||||||
Dividends and distributions reinvested | 2,348 | 3,918 | 224 | 267 | ||||||||||||
Cost of shares redeemed | (51,098 | ) | (42,164 | ) | (3,695 | ) | (2,804 | ) | ||||||||
Change in net assets from Class B capital transactions | $ | (45,039 | ) | $ | 31,500 | $ | (1,729 | ) | $ | 2,666 | ||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 954,029 | $ | 2,141,459 | $ | 236,555 | $ | 139,327 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 41,325 | — | 5,095 | ||||||||||||
Dividends and distributions reinvested | 59,474 | 43,720 | 7,516 | 2,836 | ||||||||||||
Cost of shares redeemed | (1,208,984 | ) | (203,403 | ) | (118,713 | ) | (16,654 | ) | ||||||||
Change in net assets from Class C capital transactions | $ | (195,481 | ) | $ | 2,023,101 | $ | 125,358 | $ | 130,604 | |||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 30,218 | $ | 15,313 | $ | 246 | $ | 145 | ||||||||
Dividends and distributions reinvested | 672 | 68 | 9 | 5 | ||||||||||||
Cost of shares redeemed | (8,714 | ) | (1,060 | ) | (119 | ) | — | (a) | ||||||||
Change in net assets from Class R2 capital transactions | $ | 22,176 | $ | 14,321 | $ | 136 | $ | 150 | ||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 362,412 | $ | 247,419 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 16,135 | 15,203 | — | — | ||||||||||||
Cost of shares redeemed | (735,436 | )(b) | (69,126 | ) | — | — | ||||||||||
Change in net assets from Class R5 capital transactions | $ | (356,889 | ) | $ | 193,496 | $ | — | $ | — | |||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | 1,558,178 | (b) | $ | 485,735 | $ | 144,324 | $ | 35,673 | |||||||
Subscriptions in-kind (See Note 10) | — | — | — | 2,249 | ||||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 105,588 | — | 20,544 | ||||||||||||
Dividends and distributions reinvested | 52,872 | 31,270 | 1,610 | 559 | ||||||||||||
Cost of shares redeemed | (444,955 | ) | (286,675 | ) | (8,529 | ) | (59,643 | ) | ||||||||
Change in net assets from Class R6 capital transactions | $ | 1,166,095 | $ | 335,918 | $ | 137,405 | $ | (618 | ) | |||||||
Institutional Class (d) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 14,917 | $ | 32,142 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | — | — | 15,799 | ||||||||||||
Dividends and distributions reinvested | — | — | 1,229 | 622 | ||||||||||||
Cost of shares redeemed | — | — | (37,401 | ) | (3,374 | ) | ||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | (21,255 | ) | $ | 45,189 | |||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 5,174,077 | $ | 4,929,544 | $ | 416,851 | $ | 332,782 | ||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 576,149 | — | 30,681 | ||||||||||||
Dividends and distributions reinvested | 236,091 | 153,536 | 8,172 | 7,280 | ||||||||||||
Cost of shares redeemed | (2,055,122 | ) | (1,564,604 | ) | (147,537 | ) | (178,480 | ) | ||||||||
Change in net assets from Select Class capital transactions | $ | 3,355,046 | $ | 4,094,625 | $ | 277,486 | $ | 192,263 | ||||||||
Total change in net assets from capital transactions | $ | 4,713,330 | $ | 8,411,171 | $ | 666,336 | $ | 478,602 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
216 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 186,141 | 200,398 | 34,292 | 16,285 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 9,693 | — | 1,371 | ||||||||||||
Reinvested | 10,303 | 8,862 | 1,185 | 554 | ||||||||||||
Redeemed | (129,866 | ) | (62,836 | ) | (17,059 | ) | (3,920 | ) | ||||||||
Change in Class A Shares | 66,578 | 156,117 | 18,418 | 14,290 | ||||||||||||
Class B | ||||||||||||||||
Issued | 324 | 3,080 | 215 | 372 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 3,337 | — | 327 | ||||||||||||
Reinvested | 204 | 355 | 28 | 36 | ||||||||||||
Redeemed | (4,459 | ) | (3,823 | ) | (455 | ) | (370 | ) | ||||||||
Change in Class B Shares | (3,931 | ) | 2,949 | (212 | ) | 365 | ||||||||||
Class C | ||||||||||||||||
Issued | 82,813 | 193,321 | 29,147 | 18,158 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 3,778 | — | 685 | ||||||||||||
Reinvested | 5,149 | 3,919 | 923 | 367 | ||||||||||||
Redeemed | (104,770 | ) | (18,251 | ) | (14,555 | ) | (2,169 | ) | ||||||||
Change in Class C Shares | (16,808 | ) | 182,767 | 15,515 | 17,041 | |||||||||||
Class R2 | ||||||||||||||||
Issued | 2,638 | 1,385 | 30 | 19 | ||||||||||||
Reinvested | 59 | 6 | 1 | 1 | ||||||||||||
Redeemed | (758 | ) | (95 | ) | (14 | ) | — | (a) | ||||||||
Change in Class R2 Shares | 1,939 | 1,296 | 17 | 20 | ||||||||||||
Class R5 | ||||||||||||||||
Issued | 31,579 | 22,309 | — | — | ||||||||||||
Reinvested | 1,403 | 1,380 | — | — | ||||||||||||
Redeemed | (64,141 | )(b) | (6,289 | ) | — | — | ||||||||||
Change in Class R5 Shares | (31,159 | ) | 17,400 | — | — | |||||||||||
Class R6 (c) | ||||||||||||||||
Issued | 135,996 | (b) | 44,095 | 17,806 | 4,805 | |||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 312 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 9,703 | — | 2,774 | ||||||||||||
Reinvested | 4,596 | 2,837 | 198 | 72 | ||||||||||||
Redeemed | (38,775 | ) | (25,920 | ) | (1,046 | ) | (7,838 | ) | ||||||||
Change in Class R6 Shares | 101,817 | 30,715 | 16,958 | 125 | ||||||||||||
Institutional Class (d) | ||||||||||||||||
Issued | — | — | 1,867 | 4,151 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | — | — | 2,130 | ||||||||||||
Reinvested | — | — | 152 | 80 | ||||||||||||
Redeemed | — | — | (4,609 | ) | (433 | ) | ||||||||||
Change in Institutional Class Shares | — | — | (2,590 | ) | 5,928 | |||||||||||
Select Class | ||||||||||||||||
Issued | 451,100 | 445,897 | 51,622 | 43,932 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 52,962 | — | 4,141 | ||||||||||||
Reinvested | 20,540 | 13,876 | 1,009 | 953 | ||||||||||||
Redeemed | (179,057 | ) | (141,414 | ) | (18,203 | ) | (23,802 | ) | ||||||||
Change in Select Class Shares | 292,583 | 371,321 | 34,428 | 25,224 | ||||||||||||
(a) | Amount rounds to less than 1,000 (shares or dollars). |
(b) | On December 23, 2010, certain affiliated shareholders of the Core Bond Fund exchanged approximately 51,670,000 Class R5 Shares for 51,625,000 Class R6 Shares. This exchange amounted to approximately $592,658,000. |
(c) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
(d) | Commencement of offering of class of shares effective June 19, 2009 for Core Plus Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 217 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Government Bond Fund | High Yield Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 234,332 | $ | 249,919 | $ | 556,378 | $ | 570,387 | ||||||||
Dividends and distributions reinvested | 10,735 | 9,730 | 44,269 | 33,852 | ||||||||||||
Cost of shares redeemed | (227,639 | ) | (184,105 | ) | (373,147 | ) | (314,911 | ) | ||||||||
Redemption fees | — | — | 40 | 30 | ||||||||||||
Change in net assets from Class A capital transactions | $ | 17,428 | $ | 75,544 | $ | 227,540 | $ | 289,358 | ||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 581 | $ | 5,186 | $ | 1,261 | $ | 5,451 | ||||||||
Dividends and distributions reinvested | 588 | 1,060 | 908 | 924 | ||||||||||||
Cost of shares redeemed | (17,120 | ) | (20,095 | ) | (8,159 | ) | (6,349 | ) | ||||||||
Redemption fees | — | — | 1 | 2 | ||||||||||||
Change in net assets from Class B capital transactions | $ | (15,951 | ) | $ | (13,849 | ) | $ | (5,989 | ) | $ | 28 | |||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 103,239 | $ | 123,938 | $ | 118,174 | $ | 120,545 | ||||||||
Dividends and distributions reinvested | 4,594 | 4,368 | 10,595 | 6,032 | ||||||||||||
Cost of shares redeemed | (122,817 | ) | (81,288 | ) | (54,088 | ) | (30,007 | ) | ||||||||
Redemption fees | — | — | 13 | 7 | ||||||||||||
Change in net assets from Class C capital transactions | $ | (14,984 | ) | $ | 47,018 | $ | 74,694 | $ | 96,577 | |||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 16,555 | $ | 3,609 | $ | 3,549 | $ | 966 | ||||||||
Dividends and distributions reinvested | 123 | 8 | 107 | 20 | ||||||||||||
Cost of shares redeemed | (4,002 | ) | (643 | ) | (1,234 | ) | (73 | ) | ||||||||
Redemption fees | — | — | — | (a) | — | (a) | ||||||||||
Change in net assets from Class R2 capital transactions | $ | 12,676 | $ | 2,974 | $ | 2,422 | $ | 913 | ||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 117,517 | $ | 77,289 | ||||||||
Dividends and distributions reinvested | — | — | 13,762 | 9,768 | ||||||||||||
Cost of shares redeemed | — | — | (262,979 | )(b) | (20,388 | ) | ||||||||||
Redemption fees | — | — | 12 | 8 | ||||||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | (131,688 | ) | $ | 66,677 | |||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 645,616 | (b) | $ | 333,303 | |||||||
Dividends and distributions reinvested | — | — | 18,515 | 3,858 | ||||||||||||
Cost of shares redeemed | — | — | (141,844 | ) | (109,799 | ) | ||||||||||
Redemption fees | — | — | 33 | 13 | ||||||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 522,320 | $ | 227,375 | ||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 251,390 | $ | 358,450 | $ | 3,512,844 | $ | 2,827,285 | ||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 4,090 | ||||||||||||
Dividends and distributions reinvested | 8,855 | 7,709 | 139,863 | 69,870 | ||||||||||||
Cost of shares redeemed | (171,404 | ) | (265,397 | ) | (1,201,843 | ) | (918,806 | ) | ||||||||
Redemption fees | — | — | 371 | 215 | ||||||||||||
Change in net assets from Select Class capital transactions | $ | 88,841 | $ | 100,762 | $ | 2,451,235 | $ | 1,982,654 | ||||||||
Total change in net assets from capital transactions | $ | 88,010 | $ | 212,449 | $ | 3,140,534 | $ | 2,663,582 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
218 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Government Bond Fund | High Yield Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 21,332 | 23,476 | 69,145 | 81,493 | ||||||||||||
Reinvested | 978 | 912 | 5,525 | 4,664 | ||||||||||||
Redeemed | (20,838 | ) | (17,265 | ) | (47,068 | ) | (42,776 | ) | ||||||||
Change in Class A Shares | 1,472 | 7,123 | 27,602 | 43,381 | ||||||||||||
Class B | ||||||||||||||||
Issued | 53 | 486 | 157 | 801 | ||||||||||||
Reinvested | 54 | 99 | 113 | 129 | ||||||||||||
Redeemed | (1,571 | ) | (1,891 | ) | (1,016 | ) | (909 | ) | ||||||||
Change in Class B Shares | (1,464 | ) | (1,306 | ) | (746 | ) | 21 | |||||||||
Class C | ||||||||||||||||
Issued | 9,380 | 11,674 | 14,691 | 17,448 | ||||||||||||
Reinvested | 420 | 411 | 1,322 | 828 | ||||||||||||
Redeemed | (11,320 | ) | (7,666 | ) | (6,732 | ) | (4,107 | ) | ||||||||
Change in Class C Shares | (1,520 | ) | 4,419 | 9,281 | 14,169 | |||||||||||
Class R2 | ||||||||||||||||
Issued | 1,522 | 338 | 443 | 128 | ||||||||||||
Reinvested | 11 | 1 | 14 | 3 | ||||||||||||
Redeemed | (367 | ) | (60 | ) | (153 | ) | (10 | ) | ||||||||
Change in Class R2 Shares | 1,166 | 279 | 304 | 121 | ||||||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 14,667 | 11,237 | ||||||||||||
Reinvested | — | — | 1,725 | 1,348 | ||||||||||||
Redeemed | — | — | (32,225 | )(b) | (2,654 | ) | ||||||||||
Change in Class R5 Shares | — | — | (15,833 | ) | 9,931 | |||||||||||
Class R6 (c) | ||||||||||||||||
Issued | — | — | 80,090 | (b) | 45,285 | |||||||||||
Reinvested | — | — | 2,285 | 532 | ||||||||||||
Redeemed | — | — | (17,524 | ) | (15,149 | ) | ||||||||||
Change in Class R6 Shares | — | — | 64,851 | 30,668 | ||||||||||||
Select Class | ||||||||||||||||
Issued | 22,987 | 33,658 | 436,489 | 391,080 | ||||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 690 | ||||||||||||
Reinvested | 807 | 723 | 17,411 | 9,481 | ||||||||||||
Redeemed | (15,684 | ) | (24,929 | ) | (149,268 | ) | (127,426 | ) | ||||||||
Change in Select Class Shares | 8,110 | 9,452 | 304,632 | 273,825 | ||||||||||||
(a) | Amount rounds to less than 1,000 (shares or dollars). |
(b) | On December 23, 2010, certain affiliated shareholders of the High Yield Fund exchanged approximately 30,054,000 Class R5 Shares for 30,090,000 Class R6 Shares. This exchange amounted to approximately $245,237,000. |
(c) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 219 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Limited Duration Bond Fund | Mortgage-Backed Securities Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 38,234 | $ | 35,791 | $ | 165,286 | $ | 94,102 | ||||||||
Dividends and distributions reinvested | 1,296 | 1,278 | 6,761 | 2,099 | ||||||||||||
Cost of shares redeemed | (49,142 | ) | (22,570 | ) | (101,004 | ) | (12,293 | ) | ||||||||
Change in net assets from Class A capital transactions | $ | (9,612 | ) | $ | 14,499 | $ | 71,043 | $ | 83,908 | |||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 120 | $ | 143 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 20 | 71 | — | — | ||||||||||||
Cost of shares redeemed | (1,253 | ) | (5,176 | ) | — | — | ||||||||||
Change in net assets from Class B capital transactions | $ | (1,113 | ) | $ | (4,962 | ) | $ | — | $ | — | ||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 18,131 | $ | 17,868 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 1,099 | 1,377 | — | — | ||||||||||||
Cost of shares redeemed | (22,525 | ) | (26,768 | ) | — | — | ||||||||||
Change in net assets from Class C capital transactions | $ | (3,295 | ) | $ | (7,523 | ) | $ | — | $ | — | ||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 2,715 | $ | 1 | $ | 222,666 | $ | 395,291 | ||||||||
Dividends and distributions reinvested | 5 | — | 66,963 | 65,387 | ||||||||||||
Cost of shares redeemed | (180 | ) | (33,382 | ) | (126,219 | ) | (178,510 | ) | ||||||||
Redemptions in-kind | — | (107,423 | ) | — | — | |||||||||||
Change in net assets from Class R6 capital transactions | $ | 2,540 | $ | (140,804 | ) | $ | 163,410 | $ | 282,168 | |||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 105,331 | $ | 57,408 | $ | 362,624 | $ | 350,357 | ||||||||
Dividends and distributions reinvested | 1,549 | 1,421 | 19,795 | 7,257 | ||||||||||||
Cost of shares redeemed | (46,632 | ) | (74,888 | ) | (239,604 | ) | (27,094 | ) | ||||||||
Change in net assets from Select Class capital transactions | $ | 60,248 | $ | (16,059 | ) | $ | 142,815 | $ | 330,520 | |||||||
Total change in net assets from capital transactions | $ | 48,768 | $ | (154,849 | ) | $ | 377,268 | $ | 696,596 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
220 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Limited Duration Bond Fund | Mortgage-Backed Securities Fund | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,141 | 4,199 | 14,441 | 8,448 | ||||||||||||
Reinvested | 140 | 153 | 590 | 190 | ||||||||||||
Redeemed | (5,310 | ) | (2,722 | ) | (8,784 | ) | (1,109 | ) | ||||||||
Change in Class A Shares | (1,029 | ) | 1,630 | 6,247 | 7,529 | |||||||||||
Class B | ||||||||||||||||
Issued | 13 | 18 | — | — | ||||||||||||
Reinvested | 2 | 9 | — | — | ||||||||||||
Redeemed | (137 | ) | (648 | ) | — | — | ||||||||||
Change in Class B Shares | (122 | ) | (621 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
Issued | 1,981 | 2,134 | — | — | ||||||||||||
Reinvested | 120 | 168 | — | — | ||||||||||||
Redeemed | (2,449 | ) | (3,285 | ) | — | — | ||||||||||
Change in Class C Shares | (348 | ) | (983 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
Issued | 287 | — | (b) | 19,857 | 36,477 | |||||||||||
Reinvested | — | (b) | — | 5,958 | 6,082 | |||||||||||
Redeemed | (19 | ) | (4,123 | ) | (11,228 | ) | (16,626 | ) | ||||||||
Redemptions in-kind | — | (13,361 | ) | — | — | |||||||||||
Change in Class R6 Shares | 268 | (17,484 | ) | 14,587 | 25,933 | |||||||||||
Select Class | ||||||||||||||||
Issued | 11,348 | 6,797 | 32,322 | 31,853 | ||||||||||||
Reinvested | 168 | 170 | 1,763 | 671 | ||||||||||||
Redeemed | (5,017 | ) | (9,328 | ) | (21,276 | ) | (2,490 | ) | ||||||||
Change in Select Class Shares | 6,499 | (2,361 | ) | 12,809 | 30,034 | |||||||||||
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
(b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 221 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Short Duration Bond Fund | Short Term Bond Fund II | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 207,816 | $ | 259,152 | $ | 925 | $ | 1,024 | ||||||||
Dividends and distributions reinvested | 3,609 | 3,608 | 119 | 166 | ||||||||||||
Cost of shares redeemed | (217,210 | ) | (102,680 | ) | (1,060 | ) | (464 | ) | ||||||||
Change in net assets from Class A capital transactions | $ | (5,785 | ) | $ | 160,080 | $ | (16 | ) | $ | 726 | ||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 825 | $ | 1,719 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 23 | 67 | — | — | ||||||||||||
Cost of shares redeemed | (2,190 | ) | (5,118 | ) | — | — | ||||||||||
Change in net assets from Class B capital transactions | $ | (1,342 | ) | $ | (3,332 | ) | $ | — | $ | — | ||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 235,112 | $ | 422,727 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 3,348 | 2,864 | — | — | ||||||||||||
Cost of shares redeemed | (263,450 | ) | (106,662 | ) | — | — | ||||||||||
Change in net assets from Class C capital transactions | $ | (24,990 | ) | $ | 318,929 | $ | — | $ | — | |||||||
Class M | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | — | (a) | |||||||
Cost of shares redeemed | — | — | (17,852 | ) | (21,165 | ) | ||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | (17,852 | ) | $ | (21,165 | ) | ||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 1,993,867 | $ | 2,500,432 | $ | — | $ | — | ||||||||
Subscriptions in-kind (See Note 10) | 11,698 | — | — | — | ||||||||||||
Dividends and distributions reinvested | 24,050 | 8,224 | — | — | ||||||||||||
Cost of shares redeemed | (1,173,029 | ) | (812,904 | ) | — | — | ||||||||||
Change in net assets from Class R6 capital transactions | $ | 856,586 | $ | 1,695,752 | $ | — | $ | — | ||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 4,834,205 | $ | 4,655,265 | $ | 691 | $ | 132 | ||||||||
Dividends and distributions reinvested | 8,205 | 7,101 | 20 | 20 | ||||||||||||
Cost of shares redeemed | (3,201,194 | ) | (1,604,106 | ) | (1,403 | ) | (3,431 | ) | ||||||||
�� | ||||||||||||||||
Change in net assets from Select Class capital transactions | $ | 1,641,216 | $ | 3,058,260 | $ | (692 | ) | $ | (3,279 | ) | ||||||
Total change in net assets from capital transactions | $ | 2,465,685 | $ | 5,229,689 | $ | (18,560 | ) | $ | (23,718 | ) | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
222 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Short Duration Bond Fund | Short Term Bond Fund II | |||||||||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18,959 | 23,999 | 105 | 117 | ||||||||||||
Reinvested | 329 | 334 | 13 | 20 | ||||||||||||
Redeemed | (19,817 | ) | (9,483 | ) | (120 | ) | (54 | ) | ||||||||
Change in Class A Shares | (529 | ) | 14,850 | (2 | ) | 83 | ||||||||||
Class B | ||||||||||||||||
Issued | 75 | 158 | — | — | ||||||||||||
Reinvested | 2 | 6 | — | — | ||||||||||||
Redeemed | (198 | ) | (473 | ) | — | — | ||||||||||
Change in Class B Shares | (121 | ) | (309 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
Issued | 21,331 | 38,823 | — | — | ||||||||||||
Reinvested | 304 | 262 | — | — | ||||||||||||
Redeemed | (23,892 | ) | (9,760 | ) | — | — | ||||||||||
Change in Class C Shares | (2,257 | ) | 29,325 | — | — | |||||||||||
Class M | ||||||||||||||||
Issued | — | — | — | — | (a) | |||||||||||
Redeemed | — | — | (2,018 | ) | (2,404 | ) | ||||||||||
Change in Class M Shares | — | — | (2,018 | ) | (2,404 | ) | ||||||||||
Class R6 (b) | ||||||||||||||||
Issued | 181,535 | 230,589 | — | — | ||||||||||||
Subscriptions in-kind (See Note 10) | 1,064 | — | — | — | ||||||||||||
Reinvested | 2,189 | 757 | — | — | ||||||||||||
Redeemed | (106,968 | ) | (74,562 | ) | — | — | ||||||||||
Change in Class R6 Shares | 77,820 | 156,784 | — | — | ||||||||||||
Select Class | ||||||||||||||||
Issued | 440,703 | 428,823 | 78 | 15 | ||||||||||||
Reinvested | 747 | 655 | 2 | 2 | ||||||||||||
Redeemed | (291,617 | ) | (147,579 | ) | (158 | ) | (390 | ) | ||||||||
Change in Select Class Shares | 149,833 | 281,899 | (78 | ) | (373 | ) | ||||||||||
(a) | Amount rounds to less than 1,000 (shares or dollars). |
(b) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 223 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Treasury & Agency Fund | ||||||||
Year Ended 2/28/2011 | Year Ended 2/28/2010 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 41,401 | $ | 43,462 | ||||
Dividends and distributions reinvested | 2,258 | 4,305 | ||||||
Cost of shares redeemed | (41,712 | ) | (60,690 | ) | ||||
Change in net assets from Class A capital transactions | $ | 1,947 | $ | (12,923 | ) | |||
Class B | ||||||||
Proceeds from shares issued | $ | 98 | $ | 302 | ||||
Dividends and distributions reinvested | 20 | 80 | ||||||
Cost of shares redeemed | (922 | ) | (2,305 | ) | ||||
Change in net assets from Class B capital transactions | $ | (804 | ) | $ | (1,923 | ) | ||
Select Class | ||||||||
Proceeds from shares issued | $ | 173,426 | $ | 234,806 | ||||
Dividends and distributions reinvested | 3,163 | 3,420 | ||||||
Cost of shares redeemed | (226,200 | ) | (354,586 | ) | ||||
Change in net assets from Select Class capital transactions | $ | (49,611 | ) | $ | (116,360 | ) | ||
Total change in net assets from capital transactions | $ | (48,468 | ) | $ | (131,206 | ) | ||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 4,167 | 4,267 | ||||||
Reinvested | 229 | 429 | ||||||
Redeemed | (4,200 | ) | (5,965 | ) | ||||
Change in Class A Shares | 196 | (1,269 | ) | |||||
Class B | ||||||||
Issued | 10 | 30 | ||||||
Reinvested | 2 | 8 | ||||||
Redeemed | (93 | ) | (226 | ) | ||||
Change in Class B Shares | (81 | ) | (188 | ) | ||||
Select Class | ||||||||
Issued | 17,423 | 23,154 | ||||||
Reinvested | 321 | 341 | ||||||
Redeemed | (22,735 | ) | (34,885 | ) | ||||
Change in Select Class Shares | (4,991 | ) | (11,390 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
224 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 225 |
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FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Core Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 11.23 | $ | 0.42 | (e) | $ | 0.22 | $ | 0.64 | $ | (0.41 | ) | ||||||||
Year Ended February 28, 2010 | 10.59 | 0.55 | (e) | 0.64 | (f) | 1.19 | (0.55 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.04 | 0.55 | (e) | (0.46 | ) | 0.09 | (0.54 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.48 | (e) | 0.37 | 0.85 | (0.48 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.57 | 0.46 | (e) | 0.10 | 0.56 | (0.46 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.34 | (e) | 0.22 | 0.56 | (0.33 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.48 | (e) | 0.63 | (f) | 1.11 | (0.47 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.47 | (e) | (0.45 | ) | 0.02 | (0.47 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.41 | (e) | 0.37 | 0.78 | (0.41 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.39 | (e) | 0.10 | 0.49 | (0.39 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.28 | 0.34 | (e) | 0.23 | 0.57 | (0.34 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.65 | 0.46 | (e) | 0.65 | (f) | 1.11 | (0.48 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.09 | 0.48 | (e) | (0.45 | ) | 0.03 | (0.47 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.73 | 0.42 | (e) | 0.35 | 0.77 | (0.41 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.62 | 0.39 | (e) | 0.11 | 0.50 | (0.39 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.39 | (e) | 0.22 | 0.61 | (0.38 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.49 | (e) | 0.67 | (f) | 1.16 | (0.53 | ) | ||||||||||||
November 3, 2008 (h) through February 28, 2009 | 10.26 | 0.17 | (e) | 0.34 | 0.51 | (0.18 | ) | |||||||||||||
Class R5 (i) | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.21 | 0.45 | (e) | 0.22 | 0.67 | (0.44 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.58 | (e) | 0.63 | (f) | 1.21 | (0.58 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.02 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.52 | (e) | 0.35 | 0.87 | (0.51 | ) | |||||||||||||
May 15, 2006 (h) through February 28, 2007 | 10.35 | 0.39 | (e) | 0.33 | 0.72 | (0.41 | ) | |||||||||||||
Class R6 (j) | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.46 | (e) | 0.23 | 0.69 | (0.45 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.59 | (e) | 0.63 | (f) | 1.22 | (0.59 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.52 | (e) | 0.36 | 0.88 | (0.52 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.50 | (e) | 0.10 | 0.60 | (0.49 | ) | |||||||||||||
Select Class | �� | |||||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.44 | (e) | 0.22 | 0.66 | (0.43 | ) | |||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.56 | (e) | 0.64 | (f) | 1.20 | (0.56 | ) | ||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.56 | (e) | (0.46 | ) | 0.10 | (0.55 | ) | ||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.50 | (e) | 0.35 | 0.85 | (0.49 | ) | |||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.47 | (e) | 0.11 | 0.58 | (0.47 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
(g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) | Commencement of offering of class of shares. |
(i) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(j) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
226 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 11.46 | 5.75 | % | $ | 3,982,404 | 0.74 | % | 3.62 | % | 0.97 | % | 24 | % | |||||||||||||
11.23 | 11.45 | (f) | 3,154,129 | 0.73 | 4.94 | 0.97 | 18 | |||||||||||||||||||
10.59 | 0.87 | 1,322,130 | 0.75 | 5.12 | 0.98 | 18 | ||||||||||||||||||||
11.04 | 8.21 | (g) | 780,006 | 0.75 | 4.51 | 0.99 | 14 | |||||||||||||||||||
10.67 | 5.42 | 560,556 | 0.75 | 4.36 | 0.94 | 8 | ||||||||||||||||||||
11.45 | 5.06 | 76,034 | 1.39 | 2.98 | 1.46 | 24 | ||||||||||||||||||||
11.22 | 10.71 | (f) | 118,596 | 1.38 | 4.37 | 1.47 | 18 | |||||||||||||||||||
10.58 | 0.21 | 80,648 | 1.40 | 4.42 | 1.48 | 18 | ||||||||||||||||||||
11.03 | 7.49 | (g) | 78,048 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||
10.66 | 4.75 | 74,963 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||
11.51 | 5.04 | 2,181,719 | 1.39 | 2.97 | 1.47 | 24 | ||||||||||||||||||||
11.28 | 10.65 | (f) | 2,326,774 | 1.38 | 4.12 | 1.47 | 18 | |||||||||||||||||||
10.65 | 0.33 | 250,444 | 1.40 | 4.46 | 1.48 | 18 | ||||||||||||||||||||
11.09 | 7.38 | (g) | 133,975 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||
10.73 | 4.83 | 65,579 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||
11.45 | 5.51 | 37,096 | 0.99 | 3.36 | 1.22 | 24 | ||||||||||||||||||||
11.22 | 11.16 | (f) | 14,608 | 0.98 | 4.41 | 1.22 | 18 | |||||||||||||||||||
10.59 | 5.00 | 63 | 1.00 | 4.96 | 1.25 | 18 | ||||||||||||||||||||
11.44 | 6.06 | 123,327 | 0.44 | 3.91 | 0.51 | 24 | ||||||||||||||||||||
11.21 | 11.69 | (f) | 470,155 | 0.43 | 5.26 | 0.53 | 18 | |||||||||||||||||||
10.58 | 1.26 | 259,552 | 0.45 | 5.43 | 0.53 | 18 | ||||||||||||||||||||
11.02 | 8.41 | (g) | 177,019 | 0.45 | 4.82 | 0.54 | 14 | |||||||||||||||||||
10.66 | 7.03 | 55,785 | 0.45 | 4.64 | 0.50 | 8 | ||||||||||||||||||||
11.46 | 6.22 | 2,334,504 | 0.39 | 3.98 | 0.47 | 24 | ||||||||||||||||||||
11.22 | 11.72 | (f) | 1,144,420 | 0.39 | 5.36 | 0.47 | 18 | |||||||||||||||||||
10.59 | 1.30 | 754,336 | 0.40 | 5.41 | 0.48 | 18 | ||||||||||||||||||||
11.03 | 8.48 | (g) | 782,067 | 0.40 | 4.86 | 0.48 | 14 | |||||||||||||||||||
10.67 | 5.88 | 711,527 | 0.40 | 4.72 | 0.44 | 8 | ||||||||||||||||||||
11.45 | 5.96 | 10,523,393 | 0.57 | 3.79 | 0.72 | 24 | ||||||||||||||||||||
11.22 | 11.61 | (f) | 7,029,375 | 0.57 | 5.08 | 0.72 | 18 | |||||||||||||||||||
10.58 | 1.03 | 2,699,976 | 0.60 | 5.21 | 0.73 | 18 | ||||||||||||||||||||
11.03 | 8.25 | (g) | 2,456,097 | 0.60 | 4.66 | 0.73 | 14 | |||||||||||||||||||
10.67 | 5.69 | 2,128,674 | 0.60 | 4.52 | 0.69 | 8 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 227 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 7.85 | $ | 0.37 | (e) | $ | 0.34 | $ | 0.71 | $ | (0.37 | ) | ||||||||
Year Ended February 28, 2010 | 7.03 | 0.43 | (e) | 0.82 | (f) | 1.25 | (0.43 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.41 | (e) | (0.82 | ) | (0.41 | ) | (0.41 | ) | |||||||||||
Year Ended February 29, 2008 | 7.78 | 0.37 | 0.07 | 0.44 | (0.37 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.35 | 0.06 | 0.41 | (0.36 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.89 | 0.33 | (e) | 0.34 | 0.67 | (0.32 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.06 | 0.38 | (e) | 0.83 | (f) | 1.21 | (0.38 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.83 | ) | (0.46 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 7.82 | 0.32 | 0.08 | 0.40 | (0.33 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.88 | 0.32 | (e) | 0.35 | 0.67 | (0.32 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.05 | 0.38 | (e) | 0.84 | (f) | 1.22 | (0.39 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.84 | ) | (0.47 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 7.82 | 0.34 | 0.06 | 0.40 | (0.33 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.34 | (e) | 0.35 | 0.69 | (0.34 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.03 | 0.40 | (e) | 0.82 | (f) | 1.22 | (0.40 | ) | ||||||||||||
November 3, 2008 (h) through February 28, 2009 | 6.90 | 0.13 | (e) | 0.12 | 0.25 | (0.12 | ) | |||||||||||||
Class R6 (i) | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.40 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.45 | (e) | 0.84 | (f) | 1.29 | (0.46 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.44 | (e) | (0.82 | ) | (0.38 | ) | (0.45 | ) | |||||||||||
Year Ended February 29, 2008 | 7.78 | 0.42 | 0.06 | 0.48 | (0.41 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.39 | 0.06 | 0.45 | (0.40 | ) | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.39 | ) | |||||||||||||
June 19, 2009 (h) through February 28, 2010 | 7.38 | 0.31 | (e) | 0.48 | (f) | 0.79 | (0.32 | ) | ||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.38 | (e) | 0.34 | 0.72 | (0.38 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.44 | (e) | 0.83 | (f) | 1.27 | (0.44 | ) | ||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.42 | (e) | (0.82 | ) | (0.40 | ) | (0.43 | ) | |||||||||||
Year Ended February 29, 2008 | 7.78 | 0.39 | 0.07 | 0.46 | (0.39 | ) | ||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.38 | 0.05 | 0.43 | (0.38 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | The Advisor reimbursed the Fund for losses incurred from an operational error. Without this payment, the net realized and unrealized gains (losses) on investments per share for Class R6 would have been $0.83, and the total return would have been 18.61%. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class A, Class B, Class C, Class R2, Institutional Class and Select Class. |
(g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) | Commencement of offering of class of shares. |
(i) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
228 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 8.19 | 9.23 | % | $ | 327,106 | 0.73 | % | 4.62 | % | 0.97 | % | 22 | % | |||||||||||||
7.85 | 18.14 | (f) | 168,775 | 0.77 | 5.59 | 0.97 | 26 | |||||||||||||||||||
7.03 | (5.32 | ) | 50,659 | 0.92 | 5.51 | 0.99 | 17 | |||||||||||||||||||
7.85 | 5.81 | (g) | 52,808 | 0.92 | 4.81 | 0.97 | 31 | |||||||||||||||||||
7.78 | 5.49 | 45,383 | 0.91 | 4.64 | 0.96 | 26 | ||||||||||||||||||||
8.24 | 8.60 | 6,270 | 1.38 | 4.03 | 1.47 | 22 | ||||||||||||||||||||
7.89 | 17.49 | (f) | 7,674 | 1.40 | 5.00 | 1.48 | 26 | |||||||||||||||||||
7.06 | (5.93 | ) | 4,295 | 1.45 | 4.93 | 1.49 | 17 | |||||||||||||||||||
7.89 | 5.26 | (g) | 6,665 | 1.45 | 4.28 | 1.47 | 31 | |||||||||||||||||||
7.82 | 4.91 | 5,464 | 1.45 | 4.09 | 1.46 | 26 | ||||||||||||||||||||
8.23 | 8.63 | 287,042 | 1.38 | 3.97 | 1.47 | 22 | ||||||||||||||||||||
7.88 | 17.58 | (f) | 152,695 | 1.39 | 4.90 | 1.46 | 26 | |||||||||||||||||||
7.05 | (5.99 | ) | 16,495 | 1.45 | 5.08 | 1.50 | 17 | |||||||||||||||||||
7.89 | 5.27 | (g) | 5,737 | 1.45 | 4.27 | 1.47 | 31 | |||||||||||||||||||
7.82 | 4.90 | 3,512 | 1.45 | 4.11 | 1.46 | 26 | ||||||||||||||||||||
8.20 | 8.93 | 357 | 1.13 | 4.22 | 1.22 | 22 | ||||||||||||||||||||
7.85 | 17.71 | (f) | 210 | 1.14 | 5.21 | 1.22 | 26 | |||||||||||||||||||
7.03 | 3.68 | 52 | 1.17 | 5.83 | 1.29 | 17 | ||||||||||||||||||||
8.19 | 9.60 | 158,216 | 0.38 | 4.92 | 0.47 | 22 | ||||||||||||||||||||
7.85 | 18.76 | (f) | 18,465 | 0.40 | 5.94 | 0.48 | 26 | |||||||||||||||||||
7.02 | (4.98 | ) | 15,642 | 0.45 | 5.95 | 0.49 | 17 | |||||||||||||||||||
7.85 | 6.31 | (g) | 17,985 | 0.45 | 5.26 | 0.47 | 31 | |||||||||||||||||||
7.78 | 5.97 | 12,094 | 0.45 | 5.10 | 0.46 | 26 | ||||||||||||||||||||
8.20 | 9.63 | 27,374 | 0.47 | 4.93 | 0.57 | 22 | ||||||||||||||||||||
7.85 | 10.89 | (f) | 46,561 | 0.48 | 5.73 | 0.56 | 26 | |||||||||||||||||||
8.19 | 9.35 | 1,260,849 | 0.63 | 4.75 | 0.72 | 22 | ||||||||||||||||||||
7.85 | 18.46 | (f) | 937,874 | 0.65 | 5.81 | 0.73 | 26 | |||||||||||||||||||
7.02 | (5.21 | ) | 662,140 | 0.67 | 5.73 | 0.74 | 17 | |||||||||||||||||||
7.85 | 6.11 | (g) | 925,240 | 0.67 | 5.05 | 0.72 | 31 | |||||||||||||||||||
7.78 | 5.74 | 875,275 | 0.66 | 4.89 | 0.71 | 26 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 229 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Government Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.70 | $ | 0.39 | $ | 0.11 | $ | 0.50 | $ | (0.39 | ) | |||||||||
Year Ended February 28, 2010 | 10.56 | 0.42 | 0.14 | 0.56 | (0.42 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.42 | 0.01 | 0.43 | (0.42 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.48 | 0.40 | 0.88 | (0.48 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.15 | 0.45 | 0.01 | 0.46 | (0.46 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.31 | 0.11 | 0.42 | (0.31 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.55 | 0.34 | 0.14 | 0.48 | (0.34 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.54 | 0.35 | 0.01 | 0.36 | (0.35 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.14 | 0.41 | 0.40 | 0.81 | (0.41 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.14 | 0.38 | 0.01 | 0.39 | (0.39 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.66 | 0.31 | 0.12 | 0.43 | (0.31 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.53 | 0.35 | 0.13 | 0.48 | (0.35 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.53 | 0.34 | 0.01 | 0.35 | (0.35 | ) | ||||||||||||||
Year Ended February 29, 2008 | 10.13 | 0.42 | 0.39 | 0.81 | (0.41 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.13 | 0.38 | 0.01 | 0.39 | (0.39 | ) | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.37 | 0.11 | 0.48 | (0.37 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.41 | 0.12 | 0.53 | (0.40 | ) | ||||||||||||||
November 3, 2008 (f) through February 28, 2009 | 10.07 | 0.09 | 0.51 | 0.60 | (0.11 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.42 | 0.11 | 0.53 | (0.42 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.45 | 0.13 | 0.58 | (0.45 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.46 | — | (g) | 0.46 | (0.45 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.52 | 0.39 | 0.91 | (0.51 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.14 | 0.48 | 0.01 | 0.49 | (0.48 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(f) | Commencement of offering of class of shares. |
(g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
230 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 10.81 | 4.69 | % | $ | 474,402 | 0.74 | % | 3.56 | % | 0.99 | % | 18 | % | |||||||||||||
10.70 | 5.42 | 453,605 | 0.74 | 3.96 | 1.03 | 12 | ||||||||||||||||||||
10.56 | 4.27 | 372,703 | 0.75 | 4.04 | 1.02 | 13 | ||||||||||||||||||||
10.55 | 8.98 | (e) | 220,780 | 0.75 | 4.70 | 0.98 | 2 | |||||||||||||||||||
10.15 | 4.65 | 157,598 | 0.75 | 4.51 | 0.98 | 24 | ||||||||||||||||||||
10.80 | 3.92 | 19,524 | 1.47 | 2.85 | 1.49 | 18 | ||||||||||||||||||||
10.69 | 4.64 | 34,957 | 1.47 | 3.26 | 1.53 | 12 | ||||||||||||||||||||
10.55 | 3.50 | 48,296 | 1.48 | 3.34 | 1.52 | 13 | ||||||||||||||||||||
10.54 | 8.20 | (e) | 43,513 | 1.46 | 4.02 | 1.48 | 2 | |||||||||||||||||||
10.14 | 3.93 | 52,182 | 1.46 | 3.82 | 1.48 | 24 | ||||||||||||||||||||
10.78 | 4.02 | 171,114 | 1.47 | 2.83 | 1.49 | 18 | ||||||||||||||||||||
10.66 | 4.58 | 185,498 | 1.47 | 3.23 | 1.53 | 12 | ||||||||||||||||||||
10.53 | 3.46 | 136,707 | 1.48 | 3.24 | 1.52 | 13 | ||||||||||||||||||||
10.53 | 8.25 | (e) | 46,407 | 1.46 | 3.99 | 1.48 | 2 | |||||||||||||||||||
10.13 | 3.94 | 22,250 | 1.46 | 3.81 | 1.48 | 24 | ||||||||||||||||||||
10.80 | 4.45 | 15,782 | 0.99 | 3.28 | 1.24 | 18 | ||||||||||||||||||||
10.69 | 5.09 | 3,151 | 0.99 | 3.62 | 1.27 | 12 | ||||||||||||||||||||
10.56 | 5.97 | 164 | 1.00 | 2.59 | 1.30 | 13 | ||||||||||||||||||||
10.80 | 4.97 | 809,433 | 0.47 | 3.83 | 0.74 | 18 | ||||||||||||||||||||
10.69 | 5.59 | 714,113 | 0.47 | 4.23 | 0.78 | 12 | ||||||||||||||||||||
10.56 | 4.54 | 605,421 | 0.48 | 4.38 | 0.77 | 13 | ||||||||||||||||||||
10.55 | 9.26 | (e) | 616,581 | 0.48 | 5.01 | 0.73 | 2 | |||||||||||||||||||
10.15 | 4.99 | 891,369 | 0.50 | 4.74 | 0.73 | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 231 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 7.72 | $ | 0.63 | (e) | $ | 0.64 | $ | 1.27 | $ | (0.63 | ) | $ | (0.03 | ) | $ | (0.66 | ) | ||||||||||
Year Ended February 28, 2010 | 5.79 | 0.58 | 1.94 | (g) | 2.52 | (0.59 | ) | — | (0.59 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.52 | (1.78 | ) | (1.26 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.60 | 0.62 | (0.93 | ) | (0.31 | ) | (0.61 | ) | (0.09 | ) | (0.70 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.23 | 0.61 | 0.40 | 1.01 | (0.62 | ) | (0.02 | ) | (0.64 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.73 | 0.58 | (e) | 0.64 | 1.22 | (0.57 | ) | (0.03 | ) | (0.60 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.55 | 1.91 | (g) | 2.46 | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.51 | (1.80 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.58 | (0.94 | ) | (0.36 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.23 | 0.57 | 0.40 | 0.97 | (0.57 | ) | (0.02 | ) | (0.59 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.72 | 0.58 | (e) | 0.64 | 1.22 | (0.57 | ) | (0.03 | ) | (0.60 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.80 | 0.53 | 1.93 | (g) | 2.46 | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.50 | (1.79 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.57 | (0.94 | ) | (0.37 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.57 | 0.39 | 0.96 | (0.57 | ) | (0.02 | ) | (0.59 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.71 | 0.60 | (e) | 0.65 | 1.25 | (0.61 | ) | (0.03 | ) | (0.64 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.79 | 0.55 | 1.94 | (g) | 2.49 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||
November 3, 2008 (i) through February 28, 2009 | 5.96 | 0.16 | (0.17 | ) | (0.01 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Class R5 (j) | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.74 | 0.68 | (e) | 0.62 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.93 | (g) | 2.54 | (0.61 | ) | — | (0.61 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.61 | 0.55 | (1.79 | ) | (1.24 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.63 | 0.66 | (0.95 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | ||||||||||||||||
May 15, 2006 (i) through February 28, 2007 | 8.31 | 0.52 | 0.35 | 0.87 | (0.53 | ) | (0.02 | ) | (0.55 | ) | ||||||||||||||||||
Class R6 (k) | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.73 | 0.65 | (e) | 0.65 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.92 | (g) | 2.53 | (0.61 | ) | — | (0.61 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.57 | (1.80 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.65 | (0.93 | ) | (0.28 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.65 | 0.39 | 1.04 | (0.65 | ) | (0.02 | ) | (0.67 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 7.74 | 0.65 | (e) | 0.65 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.60 | 1.93 | (g) | 2.53 | (0.60 | ) | — | (0.60 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.56 | (1.79 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 8.62 | 0.63 | (0.92 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | ||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.64 | 0.40 | 1.04 | (0.64 | ) | (0.02 | ) | (0.66 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Amount rounds to less than $0.01. |
(g) | The Advisor reimbursed the Fund for losses incurred from operational errors. Without these payments, the net realized and unrealized gains (losses) on investments per share for Class A would have been $1.93, and the total return would have been 44.53%. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class B, Class C, Class R2, Class R5, Class R6 and Select Class. |
(h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(i) | Commencement of offering of class of shares. |
(j) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(k) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
232 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Redemption fees | Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||||
$ | — | (f) | $ | 8.33 | 17.07 | % | $ | 856,717 | 1.14 | % | 7.81 | % | 1.32 | % | 45 | % | ||||||||||||||
— | (f) | 7.72 | 44.71 | (g) | 580,690 | 1.14 | 8.40 | 1.32 | 45 | |||||||||||||||||||||
— | (f) | 5.79 | (17.28 | ) | 184,739 | 1.15 | 8.10 | 1.31 | 18 | |||||||||||||||||||||
— | (f) | 7.59 | (3.87 | )(h) | 79,217 | 1.12 | 7.54 | 1.32 | 48 | |||||||||||||||||||||
— | (f) | 8.60 | 12.82 | 83,790 | 1.12 | 7.42 | 1.31 | 69 | ||||||||||||||||||||||
— | (f) | 8.35 | 16.40 | 17,991 | 1.79 | 7.24 | 1.82 | 45 | ||||||||||||||||||||||
— | (f) | 7.73 | 43.46 | (g) | 22,430 | 1.79 | 7.80 | 1.82 | 45 | |||||||||||||||||||||
— | (f) | 5.81 | (17.68 | ) | 16,720 | 1.80 | 7.33 | 1.81 | 18 | |||||||||||||||||||||
— | (f) | 7.60 | (4.51 | )(h) | 26,052 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||||
— | (f) | 8.61 | 12.19 | 35,667 | 1.77 | 6.78 | 1.81 | 69 | ||||||||||||||||||||||
— | (f) | 8.34 | 16.45 | 248,488 | 1.79 | 7.17 | 1.82 | 45 | ||||||||||||||||||||||
— | (f) | 7.72 | 43.58 | (g) | 158,503 | 1.79 | 7.75 | 1.83 | 45 | |||||||||||||||||||||
— | (f) | 5.80 | (17.69 | ) | 36,872 | 1.80 | 7.37 | 1.81 | 18 | |||||||||||||||||||||
— | (f) | 7.59 | (4.61 | )(h) | 29,517 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||||
— | (f) | 8.61 | 12.05 | 29,953 | 1.77 | 6.77 | 1.81 | 69 | ||||||||||||||||||||||
— | (f) | 8.32 | 16.82 | 3,609 | 1.39 | 7.49 | 1.58 | 45 | ||||||||||||||||||||||
— | (f) | 7.71 | 44.25 | (g) | 1,004 | 1.39 | 8.10 | 1.60 | 45 | |||||||||||||||||||||
— | (f) | 5.79 | (0.05 | ) | 50 | 1.40 | 8.84 | 1.59 | 18 | |||||||||||||||||||||
— | (f) | 8.36 | 17.45 | 27,619 | 0.85 | 8.54 | 0.87 | 45 | ||||||||||||||||||||||
— | (f) | 7.74 | 44.95 | (g) | 148,162 | 0.84 | 8.71 | 0.87 | 45 | |||||||||||||||||||||
— | (f) | 5.81 | (16.99 | ) | 53,497 | 0.85 | 8.55 | 0.87 | 18 | |||||||||||||||||||||
— | (f) | 7.61 | (3.71 | )(h) | 18,807 | 0.86 | 7.83 | 0.86 | 48 | |||||||||||||||||||||
— | (f) | 8.63 | 10.90 | 8,732 | 0.86 | 7.57 | 0.86 | 69 | ||||||||||||||||||||||
— | (f) | 8.35 | 17.59 | 929,762 | 0.80 | 7.99 | 0.83 | 45 | ||||||||||||||||||||||
— | (f) | 7.73 | 44.84 | (g) | 359,553 | 0.79 | 8.76 | 0.83 | 45 | |||||||||||||||||||||
— | (f) | 5.81 | (16.84 | ) | 91,880 | 0.80 | 8.44 | 0.81 | 18 | |||||||||||||||||||||
— | (f) | 7.60 | (3.58 | )(h) | 77,356 | 0.81 | 7.87 | 0.81 | 48 | |||||||||||||||||||||
— | (f) | 8.61 | 13.12 | 64,497 | 0.81 | 7.74 | 0.81 | 69 | ||||||||||||||||||||||
— | (f) | 8.36 | 17.44 | 7,478,536 | 0.89 | 8.06 | 1.07 | 45 | ||||||||||||||||||||||
— | (f) | 7.74 | 44.86 | (g) | 4,567,712 | 0.89 | 8.67 | 1.08 | 45 | |||||||||||||||||||||
— | (f) | 5.81 | (16.93 | ) | 1,837,745 | 0.90 | 8.36 | 1.06 | 18 | |||||||||||||||||||||
— | (f) | 7.60 | (3.73 | )(h) | 1,544,252 | 0.87 | 7.81 | 1.06 | 48 | |||||||||||||||||||||
— | (f) | 8.62 | 13.18 | 1,038,528 | 0.87 | 7.67 | 1.06 | 69 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 233 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Limited Duration Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 8.90 | $ | 0.21 | (c) | $ | 0.56 | $ | 0.77 | $ | (0.21 | ) | ||||||||
Year Ended February 28, 2010 | 7.80 | 0.24 | (c) | 1.11 | (d) | 1.35 | (0.25 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.36 | (c) | (1.50 | ) | (1.14 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.46 | (0.46 | ) | — | (0.46 | ) | |||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.45 | 0.03 | 0.48 | (0.45 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.83 | 0.17 | (c) | 0.56 | 0.73 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.74 | 0.21 | (c) | 1.09 | (d) | 1.30 | (0.21 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.24 | 0.31 | (c) | (1.49 | ) | (1.18 | ) | (0.32 | ) | |||||||||||
Year Ended February 29, 2008 | 9.70 | 0.38 | (0.43 | ) | (0.05 | ) | (0.41 | ) | ||||||||||||
Year Ended February 28, 2007 | 9.67 | 0.38 | 0.05 | 0.43 | (0.40 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.82 | 0.17 | (c) | 0.55 | 0.72 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.72 | 0.20 | (c) | 1.11 | (d) | 1.31 | (0.21 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.23 | 0.31 | (c) | (1.50 | ) | (1.19 | ) | (0.32 | ) | |||||||||||
Year Ended February 29, 2008 | 9.68 | 0.38 | (0.42 | ) | (0.04 | ) | (0.41 | ) | ||||||||||||
Year Ended February 28, 2007 | 9.66 | 0.38 | 0.04 | 0.42 | (0.40 | ) | ||||||||||||||
Class R6 (f) | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.91 | 0.26 | (c) | 0.56 | 0.82 | (0.26 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.31 | (c) | 1.09 | (d) | 1.40 | (0.29 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.32 | 0.40 | (c) | (1.51 | ) | (1.11 | ) | (0.41 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.50 | (0.45 | ) | 0.05 | (0.50 | ) | |||||||||||||
Year Ended February 28, 2007 | 9.75 | 0.49 | 0.02 | 0.51 | (0.49 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.90 | 0.24 | (c) | 0.56 | 0.80 | (0.24 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.26 | (c) | 1.11 | (d) | 1.37 | (0.27 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.38 | (c) | (1.50 | ) | (1.12 | ) | (0.39 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.49 | (0.47 | ) | 0.02 | (0.48 | ) | |||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.47 | 0.03 | 0.50 | (0.47 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(d) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to the total return. |
(e) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(f) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
234 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 9.46 | 8.78 | % | $ | 69,464 | 0.67 | % | 2.32 | % | 0.95 | % | 28 | % | |||||||||||||
8.90 | 17.61 | (d) | 74,529 | 0.67 | 2.88 | 0.98 | 23 | |||||||||||||||||||
7.80 | (12.52 | ) | 52,560 | 0.70 | 4.12 | 0.95 | — | |||||||||||||||||||
9.31 | (0.06 | )(e) | 104,590 | 0.70 | 4.70 | 0.91 | 15 | |||||||||||||||||||
9.77 | 5.03 | 121,385 | 0.70 | 4.53 | 0.91 | 26 | ||||||||||||||||||||
9.39 | 8.29 | 820 | 1.17 | 1.82 | 1.45 | 28 | ||||||||||||||||||||
8.83 | 17.01 | (d) | 1,845 | 1.17 | 2.58 | 1.49 | 23 | |||||||||||||||||||
7.74 | (12.97 | ) | 6,423 | 1.20 | 3.62 | 1.44 | — | |||||||||||||||||||
9.24 | (0.56 | )(e) | 18,797 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||
9.70 | 4.54 | 32,930 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||
9.37 | 8.20 | 66,659 | 1.17 | 1.82 | 1.45 | 28 | ||||||||||||||||||||
8.82 | 17.22 | (d) | 65,806 | 1.17 | 2.41 | 1.48 | 23 | |||||||||||||||||||
7.72 | (13.09 | ) | 65,241 | 1.20 | 3.63 | 1.44 | — | |||||||||||||||||||
9.23 | (0.47 | )(e) | 145,000 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||
9.68 | 4.45 | 242,277 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||
9.47 | 9.25 | 3,873 | 0.22 | 2.78 | 0.45 | 28 | ||||||||||||||||||||
8.91 | 18.26 | (d) | 1,253 | 0.23 | 3.92 | 0.51 | 23 | |||||||||||||||||||
7.80 | (12.21 | ) | 137,474 | 0.25 | 4.56 | 0.44 | — | |||||||||||||||||||
9.32 | 0.51 | (e) | 573,714 | 0.25 | 5.15 | 0.41 | 15 | |||||||||||||||||||
9.77 | 5.37 | 648,283 | 0.25 | 5.01 | 0.41 | 26 | ||||||||||||||||||||
9.46 | 9.05 | 256,477 | 0.42 | 2.57 | 0.70 | 28 | ||||||||||||||||||||
8.90 | 17.91 | (d) | 183,481 | 0.42 | 3.14 | 0.73 | 23 | |||||||||||||||||||
7.80 | (12.27 | ) | 179,116 | 0.45 | 4.37 | 0.70 | — | |||||||||||||||||||
9.31 | 0.18 | (e) | 352,600 | 0.45 | 4.95 | 0.66 | 15 | |||||||||||||||||||
9.77 | 5.29 | 565,561 | 0.45 | 4.79 | 0.66 | 26 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 235 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 11.22 | $ | 0.55 | $ | 0.28 | $ | 0.83 | $ | (0.55 | ) | |||||||||
Year Ended February 28, 2010 | 10.42 | 0.73 | 0.82 | 1.55 | (0.75 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.97 | 0.61 | (0.57 | ) | 0.04 | (0.59 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.65 | 0.50 | 0.31 | 0.81 | (0.49 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.54 | 0.47 | 0.10 | 0.57 | (0.46 | ) | ||||||||||||||
Class R6 (d) | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.01 | 0.59 | 0.27 | 0.86 | (0.59 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.23 | 0.79 | 0.78 | 1.57 | (0.79 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.79 | 0.63 | (0.56 | ) | 0.07 | (0.63 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.48 | 0.54 | 0.31 | 0.85 | (0.54 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.38 | 0.50 | 0.10 | 0.60 | (0.50 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 11.01 | 0.57 | 0.26 | 0.83 | (0.57 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.23 | 0.76 | 0.79 | 1.55 | (0.77 | ) | ||||||||||||||
Year Ended February 28, 2009 | 10.79 | 0.62 | (0.57 | ) | 0.05 | (0.61 | ) | |||||||||||||
Year Ended February 29, 2008 | 10.48 | 0.52 | 0.31 | 0.83 | (0.52 | ) | ||||||||||||||
Year Ended February 28, 2007 | 10.38 | 0.49 | 0.10 | 0.59 | (0.49 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(d) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
236 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 11.50 | 7.48 | % | $ | 176,334 | 0.64 | % | 4.84 | % | 0.98 | % | 30 | % | |||||||||||||
11.22 | 15.26 | 101,955 | 0.64 | 6.58 | 0.99 | 21 | ||||||||||||||||||||
10.42 | 0.41 | 16,189 | 0.65 | 5.69 | 0.99 | 15 | ||||||||||||||||||||
10.97 | 7.88 | (c) | 18,011 | 0.65 | 4.70 | 0.98 | 16 | |||||||||||||||||||
10.65 | 5.60 | 14,063 | 0.65 | 4.46 | 0.98 | 18 | ||||||||||||||||||||
11.28 | 7.97 | 1,466,482 | 0.24 | 5.26 | 0.48 | 30 | ||||||||||||||||||||
11.01 | 15.79 | 1,271,776 | 0.24 | 7.35 | 0.49 | 21 | ||||||||||||||||||||
10.23 | 0.74 | 916,201 | 0.25 | 6.12 | 0.50 | 15 | ||||||||||||||||||||
10.79 | 8.33 | (c) | 882,626 | 0.25 | 5.09 | 0.48 | 16 | |||||||||||||||||||
10.48 | 5.97 | 829,330 | 0.25 | 4.83 | 0.48 | 18 | ||||||||||||||||||||
11.27 | 7.71 | 580,212 | 0.39 | 5.12 | 0.73 | 30 | ||||||||||||||||||||
11.01 | 15.64 | 425,701 | 0.39 | 6.87 | 0.74 | 21 | ||||||||||||||||||||
10.23 | 0.58 | 88,231 | 0.40 | 5.93 | 0.74 | 15 | ||||||||||||||||||||
10.79 | 8.18 | (c) | 96,870 | 0.40 | 4.94 | 0.73 | 16 | |||||||||||||||||||
10.48 | 5.83 | 111,656 | 0.40 | 4.71 | 0.73 | 18 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 237 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Short Duration Bond Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 10.90 | $ | 0.16 | (c) | $ | 0.06 | $ | 0.22 | $ | (0.16 | ) | $ | (0.01 | ) | $ | (0.17 | ) | ||||||||||
Year Ended February 28, 2010 | 10.61 | 0.26 | (c) | 0.29 | 0.55 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.80 | 0.38 | (0.19 | ) | 0.19 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.52 | 0.44 | (c) | 0.26 | 0.70 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.43 | 0.39 | (c) | 0.10 | 0.49 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 11.00 | 0.11 | (c) | 0.06 | 0.17 | (0.10 | ) | (0.01 | ) | (0.11 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.70 | 0.22 | (c) | 0.28 | 0.50 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.88 | 0.35 | (0.21 | ) | 0.14 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.60 | 0.39 | (c) | 0.26 | 0.65 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.50 | 0.33 | (c) | 0.11 | 0.44 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.97 | 0.10 | (c) | 0.06 | 0.16 | (0.10 | ) | (0.01 | ) | (0.11 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.68 | 0.20 | (c) | 0.30 | 0.50 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.87 | 0.33 | (0.20 | ) | 0.13 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.59 | 0.39 | (c) | 0.26 | 0.65 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.49 | 0.33 | (c) | 0.11 | 0.44 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Class R6 (e) | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.92 | 0.21 | (c) | 0.06 | 0.27 | (0.21 | ) | (0.01 | ) | (0.22 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.31 | (c) | 0.30 | 0.61 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.81 | 0.43 | (0.19 | ) | 0.24 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.53 | 0.49 | (c) | 0.27 | 0.76 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.44 | (c) | 0.10 | 0.54 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 10.92 | 0.19 | (c) | 0.05 | 0.24 | (0.19 | ) | (0.01 | ) | (0.20 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.29 | (c) | 0.30 | 0.59 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 10.80 | 0.40 | (0.18 | ) | 0.22 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.53 | 0.46 | (c) | 0.26 | 0.72 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.41 | (c) | 0.10 | 0.51 | (0.42 | ) | — | (0.42 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(d) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(e) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
238 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 10.95 | 2.04 | % | $ | 250,706 | 0.79 | % | 1.45 | % | 0.86 | % | 36 | % | |||||||||||||
10.90 | 5.23 | 255,356 | 0.79 | 2.43 | 0.88 | 31 | ||||||||||||||||||||
10.61 | 1.79 | 90,891 | 0.80 | 3.55 | 0.89 | 51 | ||||||||||||||||||||
10.80 | 6.84 | (d) | 56,496 | 0.80 | 4.14 | 0.91 | 40 | |||||||||||||||||||
10.52 | 4.75 | 94,199 | 0.80 | 3.69 | 0.91 | 44 | ||||||||||||||||||||
11.06 | 1.58 | 2,134 | 1.29 | 0.96 | 1.36 | 36 | ||||||||||||||||||||
11.00 | 4.71 | 3,458 | 1.29 | 2.05 | 1.38 | 31 | ||||||||||||||||||||
10.70 | 1.32 | 6,668 | 1.30 | 3.09 | 1.39 | 51 | ||||||||||||||||||||
10.88 | 6.23 | (d) | 11,328 | 1.30 | 3.65 | 1.41 | 40 | |||||||||||||||||||
10.60 | 4.27 | 17,787 | 1.30 | 3.17 | 1.41 | 44 | ||||||||||||||||||||
11.02 | 1.51 | 321,680 | 1.29 | 0.95 | 1.36 | 36 | ||||||||||||||||||||
10.97 | 4.76 | 344,957 | 1.29 | 1.83 | 1.38 | 31 | ||||||||||||||||||||
10.68 | 1.27 | 22,625 | 1.30 | 3.06 | 1.39 | 51 | ||||||||||||||||||||
10.87 | 6.26 | (d) | 19,135 | 1.30 | 3.64 | 1.41 | 40 | |||||||||||||||||||
10.59 | 4.26 | 20,777 | 1.30 | 3.15 | 1.41 | 44 | ||||||||||||||||||||
10.97 | 2.54 | 2,906,329 | 0.29 | 1.94 | 0.36 | 36 | ||||||||||||||||||||
10.92 | 5.81 | 2,043,695 | 0.29 | 2.87 | 0.38 | 31 | ||||||||||||||||||||
10.62 | 2.27 | 322,907 | 0.30 | 4.07 | 0.39 | 51 | ||||||||||||||||||||
10.81 | 7.39 | (d) | 321,055 | 0.30 | 4.64 | 0.41 | 40 | |||||||||||||||||||
10.53 | 5.24 | 299,838 | 0.30 | 4.18 | 0.41 | 44 | ||||||||||||||||||||
10.96 | 2.20 | 6,829,822 | 0.54 | 1.70 | 0.61 | 36 | ||||||||||||||||||||
10.92 | 5.57 | 5,163,875 | 0.54 | 2.67 | 0.63 | 31 | ||||||||||||||||||||
10.62 | 2.12 | 2,029,713 | 0.55 | 3.80 | 0.64 | 51 | ||||||||||||||||||||
10.80 | 7.03 | (d) | 1,255,422 | 0.55 | 4.31 | 0.64 | 40 | |||||||||||||||||||
10.53 | 4.99 | 277,452 | 0.55 | 3.89 | 0.66 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 239 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended February 28, 2011 | $ | 8.85 | $ | 0.15 | (e) | $ | (0.01 | ) | $ | 0.14 | $ | (0.16 | ) | |||||||
Year Ended February 28, 2010 | 8.76 | 0.20 | (e) | 0.11 | (f) | 0.31 | (0.22 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.34 | (e) | (0.90 | ) | (0.56 | ) | (0.34 | ) | |||||||||||
Year Ended February 29, 2008 | 9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.84 | 0.22 | (e) | 0.02 | 0.24 | (0.24 | ) | |||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.45 | (0.20 | ) | 0.25 | (0.43 | ) | |||||||||||||
Class M | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.85 | 0.13 | (e) | (0.02 | ) | 0.11 | (0.13 | ) | ||||||||||||
Year Ended February 28, 2010 | 8.76 | 0.18 | (e) | 0.11 | (f) | 0.29 | (0.20 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.29 | (e) | (0.88 | ) | (0.59 | ) | (0.31 | ) | |||||||||||
Year Ended February 29, 2008 | 9.85 | 0.41 | (0.18 | ) | 0.23 | (0.42 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.84 | 0.21 | (e) | 0.02 | 0.23 | (0.22 | ) | |||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.41 | (0.19 | ) | 0.22 | (0.40 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended February 28, 2011 | 8.87 | 0.17 | (e) | (0.02 | ) | 0.15 | (0.18 | ) | ||||||||||||
Year Ended February 28, 2010 | 8.77 | 0.22 | (e) | 0.12 | (f) | 0.34 | (0.24 | ) | ||||||||||||
Year Ended February 28, 2009 | 9.68 | 0.37 | (e) | (0.92 | ) | (0.55 | ) | (0.36 | ) | |||||||||||
Year Ended February 29, 2008 | 9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.86 | 0.23 | (e) | 0.02 | 0.25 | (0.25 | ) | |||||||||||||
Year Ended August 31, 2006 | 10.03 | 0.47 | (0.19 | ) | 0.28 | (0.45 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
(g) | The Fund changed its fiscal year end from August 31 to the last day of February. |
SEE NOTES TO FINANCIAL STATEMENTS.
240 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 8.83 | 1.54 | % | $ | 7,222 | 0.75 | % | 1.67 | % | 1.12 | % | 49 | % | |||||||||||||
8.85 | 3.61 | (f) | 7,263 | 0.74 | 2.26 | 1.05 | 48 | |||||||||||||||||||
8.76 | (5.93 | ) | 6,456 | 0.75 | 3.61 | 1.09 | 91 | |||||||||||||||||||
9.66 | 2.78 | 22,655 | 0.75 | 4.51 | 1.01 | 338 | ||||||||||||||||||||
9.84 | 2.42 | 24,652 | 0.75 | 4.53 | 0.98 | 246 | ||||||||||||||||||||
9.84 | 2.56 | 32,557 | 0.75 | 4.46 | 0.95 | 479 | ||||||||||||||||||||
8.83 | 1.26 | 75,712 | 1.00 | 1.43 | 1.22 | 49 | ||||||||||||||||||||
8.85 | 3.36 | (f) | 93,816 | 0.99 | 2.01 | 1.16 | 48 | |||||||||||||||||||
8.76 | (6.15 | ) | 113,828 | 1.00 | 3.19 | 1.19 | 91 | |||||||||||||||||||
9.66 | 2.42 | 144,078 | 1.00 | 4.26 | 1.11 | 338 | ||||||||||||||||||||
9.85 | 2.39 | 175,836 | 1.00 | 4.29 | 1.08 | 246 | ||||||||||||||||||||
9.84 | 2.30 | 209,284 | 1.00 | 4.19 | 1.05 | 479 | ||||||||||||||||||||
8.84 | 1.68 | 1,669 | 0.50 | 1.95 | 0.87 | 49 | ||||||||||||||||||||
8.87 | 3.98 | (f) | 2,366 | 0.49 | 2.51 | 0.84 | 48 | |||||||||||||||||||
8.77 | (5.76 | ) | 5,611 | 0.50 | 3.92 | 0.83 | 91 | |||||||||||||||||||
9.68 | 3.02 | 83,064 | 0.50 | 4.76 | 0.75 | 338 | ||||||||||||||||||||
9.86 | 2.54 | 151,633 | 0.50 | 4.75 | 0.72 | 246 | ||||||||||||||||||||
9.86 | 2.91 | 375,097 | 0.50 | 4.71 | 0.70 | 479 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 241 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Treasury & Agency Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | $ | 9.96 | $ | 0.13 | (c) | $ | (0.02 | ) | $ | 0.11 | $ | (0.13 | ) | $ | (0.16 | ) | $ | (0.29 | ) | |||||||||
Year Ended February 28, 2010 | 10.17 | 0.22 | (c) | 0.12 | 0.34 | (0.22 | ) | (0.33 | ) | (0.55 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.04 | 0.11 | 0.20 | 0.31 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.72 | 0.42 | 0.31 | 0.73 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Year Ended February 28, 2007 | 9.75 | 0.46 | (0.03 | ) | 0.43 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.94 | 0.08 | (c) | (0.02 | ) | 0.06 | (0.08 | ) | (0.16 | ) | (0.24 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.15 | 0.18 | (c) | 0.11 | 0.29 | (0.17 | ) | (0.33 | ) | (0.50 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.03 | 0.16 | 0.10 | 0.26 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.71 | 0.42 | 0.26 | 0.68 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.43 | (0.05 | ) | 0.38 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended February 28, 2011 | 9.95 | 0.16 | (c) | (0.02 | ) | 0.14 | (0.16 | ) | (0.16 | ) | (0.32 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.16 | 0.24 | (c) | 0.12 | 0.36 | (0.24 | ) | (0.33 | ) | (0.57 | ) | |||||||||||||||||
Year Ended February 28, 2009 | 10.02 | 0.13 | 0.22 | 0.35 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.70 | 0.44 | 0.31 | 0.75 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.48 | (0.04 | ) | 0.44 | (0.48 | ) | — | (0.48 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(d) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
242 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Ratios/Supplemental data | ||||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 9.78 | 1.15 | % | $ | 99,714 | 0.70 | % | 1.32 | % | 0.95 | % | 26 | % | |||||||||||||
9.96 | 3.39 | 99,593 | 0.69 | 2.12 | 0.97 | 51 | ||||||||||||||||||||
10.17 | 3.18 | 114,609 | 0.70 | 0.99 | 0.94 | 154 | ||||||||||||||||||||
10.04 | 7.71 | (d) | 77,234 | 0.69 | 4.33 | 1.01 | 83 | |||||||||||||||||||
9.72 | 4.48 | 69,390 | 0.70 | 4.70 | 1.03 | 10 | ||||||||||||||||||||
9.76 | 0.63 | 771 | 1.20 | 0.82 | 1.45 | 26 | ||||||||||||||||||||
9.94 | 2.86 | 1,588 | 1.19 | 1.75 | 1.47 | 51 | ||||||||||||||||||||
10.15 | 2.64 | 3,538 | 1.20 | 1.07 | 1.43 | 154 | ||||||||||||||||||||
10.03 | 7.17 | (d) | 6,691 | 1.20 | 3.96 | 1.52 | 83 | |||||||||||||||||||
9.71 | 3.97 | 10,948 | 1.20 | 4.19 | 1.53 | 10 | ||||||||||||||||||||
9.77 | 1.40 | 371,384 | 0.45 | 1.57 | 0.70 | 26 | ||||||||||||||||||||
9.95 | 3.63 | 427,880 | 0.44 | 2.40 | 0.72 | 51 | ||||||||||||||||||||
10.16 | 3.52 | 552,538 | 0.45 | 1.54 | 0.69 | 154 | ||||||||||||||||||||
10.02 | 8.01 | (d) | 620,461 | 0.43 | 3.98 | 0.74 | 83 | |||||||||||||||||||
9.70 | 4.65 | 67,699 | 0.45 | 4.95 | 0.78 | 10 |
SEE NOTES TO FINANCIAL STATEMENTS.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 243 |
Table of Contents
AS OF FEBRUARY 28, 2011
1. Organization
JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004. J.P. Morgan Mutual Fund Group (“MFG”) was organized as a Massachusetts business trust on May 11, 1987. JPM II and MFG (the “Trusts”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 9 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
Classes Offered | Trust | Diversified/Non-Diversified | ||||
Core Bond Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
Core Plus Bond Fund | Class A, Class B, Class C, Class R2, Class R6, Institutional Class, Select Class | JPM II | Diversified | |||
Government Bond Fund | Class A, Class B, Class C, Class R2 and Select Class | JPM II | Diversified | |||
High Yield Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
Limited Duration Bond Fund | Class A, Class B, Class C, Class R6 and Select Class | JPM II | Diversified | |||
Mortgage-Backed Securities Fund | Class A, Class R6 and Select Class | JPM II | Diversified | |||
Short Duration Bond Fund | Class A, Class B, Class C, Class R6 and Select Class | JPM II | Diversified | |||
Short-Term Bond Fund II | Class A, Class M and Select Class | MFG | Diversified | |||
Treasury & Agency Fund | Class A, Class B and Select Class | JPM II | Diversified |
Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Core Bond Fund, Core Plus Bond Fund, High Yield Fund, Limited Duration Bond Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund.
Effective November 1, 2009, Class B Shares of the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A and Class M Shares generally provide for a front-end sales charge while Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years (except for Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Class R2, Class R5, Class R6 Shares, Institutional Class and Select Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
244 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — quoted prices in active markets for identical securities |
Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Core Bond Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Utilities | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
Total Common Stocks | 1 | — | — | 1 | ||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 701,744 | 20,798 | 722,542 | ||||||||||||
Collateralized Mortgage Obligations | — | 7,323,446 | 42,662 | 7,366,108 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 365,745 | — | 365,745 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 184,426 | — | 184,426 | ||||||||||||
Consumer Staples | — | 101,799 | — | 101,799 | ||||||||||||
Energy | — | 150,172 | — | 150,172 | ||||||||||||
Financials | — | 1,536,168 | 1,572 | 1,537,740 | ||||||||||||
Health Care | — | 30,941 | — | 30,941 | ||||||||||||
Industrials | — | 87,932 | — | 87,932 | ||||||||||||
Information Technology | — | 91,470 | — | 91,470 | ||||||||||||
Materials | — | 51,816 | — | 51,816 | ||||||||||||
Telecommunication Services | — | 164,119 | — | 164,119 | ||||||||||||
Utilities | — | 206,155 | — | 206,155 | ||||||||||||
Total Corporate Bonds | — | 2,604,998 | 1,572 | 2,606,570 | ||||||||||||
Foreign Government Securities | — | 38,917 | — | 38,917 | ||||||||||||
Mortgage Pass-Through Securities | — | 2,198,738 | — | 2,198,738 | ||||||||||||
Municipal Bonds | — | 28,805 | — | 28,805 | ||||||||||||
Supranational | — | 777 | — | 777 | ||||||||||||
U.S. Government Agency Securities | — | 299,082 | — | 299,082 | ||||||||||||
U.S. Treasury Obligations | — | 5,310,579 | — | 5,310,579 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 220,224 | — | — | 220,224 | ||||||||||||
Total Investments in Securities | $ | 220,225 | $ | 18,872,831 | $ | 65,032 | $ | 19,158,088 | ||||||||
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 245 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Core Plus Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 2,119 | $ | — | $ | 248 | $ | 2,367 | ||||||||
Consumer Staples | 66 | — | 30 | 96 | ||||||||||||
Industrials | 136 | — | — | 136 | ||||||||||||
Information Technology | — | — | 1,688 | 1,688 | ||||||||||||
Materials | 10,215 | — | — | 10,215 | ||||||||||||
Telecommunication Services | 290 | — | — | 290 | ||||||||||||
Utilities | 20 | — | — | 20 | ||||||||||||
Total Common Stocks | 12,846 | — | 1,966 | 14,812 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 4,619 | — | 4,619 | ||||||||||||
Consumer Staples | — | — | 56 | 56 | ||||||||||||
Financials | 390 | 3,594 | 1,784 | 5,768 | ||||||||||||
Total Preferred Stocks | 390 | 8,213 | 1,840 | 10,443 | ||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 50,548 | 4,502 | 55,050 | ||||||||||||
Collateralized Mortgage Obligations | — | 447,135 | — | 447,135 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 67,487 | — | 67,487 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Materials | — | 844 | — | 844 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 118,111 | — | 118,111 | ||||||||||||
Consumer Staples | — | 35,566 | 153 | 35,719 | ||||||||||||
Energy | — | 64,787 | — | 64,787 | ||||||||||||
Financials | — | 247,119 | — | 247,119 | ||||||||||||
Health Care | — | 34,591 | — | 34,591 | ||||||||||||
Industrials | — | 72,325 | 311 | 72,636 | ||||||||||||
Information Technology | — | 25,105 | — | 25,105 | ||||||||||||
Materials | — | 67,898 | 368 | 68,266 | ||||||||||||
Telecommunication Services | — | 40,270 | — | 40,270 | ||||||||||||
Utilities | — | 56,666 | — | 56,666 | ||||||||||||
Total Corporate Bonds | — | 762,438 | 832 | 763,270 | ||||||||||||
Foreign Government Securities | — | 31,159 | 503 | 31,662 | ||||||||||||
Mortgage Pass-Through Securities | — | 88,112 | — | 88,112 | ||||||||||||
Municipal Bonds | — | 10,224 | — | 10,224 | ||||||||||||
Supranational | — | 361 | — | 361 | ||||||||||||
U.S. Government Agency Securities | — | 24,164 | — | 24,164 | ||||||||||||
U.S. Treasury Obligations | — | 357,452 | — | 357,452 | ||||||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 27,193 | — | 27,193 | ||||||||||||
Consumer Staples | — | 2,125 | — | 2,125 | ||||||||||||
Energy | — | 581 | — | 581 | ||||||||||||
Financials | — | 11,739 | — | 11,739 | ||||||||||||
Health Care | — | 426 | — | 426 | ||||||||||||
Industrials | — | 8,007 | — | 8,007 | ||||||||||||
Information Technology | — | 3,208 | 867 | 4,075 | ||||||||||||
Materials | — | 3,013 | — | 3,013 | ||||||||||||
Utilities | — | 5,196 | — | 5,196 | ||||||||||||
Total Loan Participations & Assignments | — | 61,488 | 867 | 62,355 | ||||||||||||
246 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Core Plus Bond Fund (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | $ | 145,512 | $ | — | $ | — | $ | 145,512 | ||||||||
Total Investments in Securities | $ | 158,748 | $ | 1,909,625 | $ | 10,510 | $ | 2,078,883 | ||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 20 | $ | — | $ | 20 | ||||||||
Futures Contracts | 1 | — | — | 1 | ||||||||||||
Unfunded Commitments | — | — | (a) | — | — | (a) | ||||||||||
Total Appreciation in Other Financial Instruments | $ | 1 | $ | 20 | $ | — | $ | 21 | ||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | — | (a) | $ | — | $ | — | (a) | ||||||
Swaps | — | (51 | ) | — | (51 | ) | ||||||||||
Total Depreciation in Other Financial Instruments | $ | — | $ | (51 | ) | $ | — | $ | (51 | ) | ||||||
Government Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 619,545 | $ | 864 | $ | 620,409 | ||||||||
Mortgage Pass-Through Securities | — | 111,073 | — | 111,073 | ||||||||||||
U.S. Government Agency Securities | — | 246,781 | — | 246,781 | ||||||||||||
U.S. Treasury Obligations | — | 341,265 | — | 341,265 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 116,197 | — | — | 116,197 | ||||||||||||
Total Investments in Securities | $ | 116,197 | $ | 1,318,664 | $ | 864 | $ | 1,435,725 | ||||||||
High Yield Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 16,082 | $ | 54 | $ | 3,666 | $ | 19,802 | ||||||||
Consumer Staples | 780 | — | 439 | 1,219 | ||||||||||||
Industrials | 974 | — | — | 974 | ||||||||||||
Information Technology | 3,417 | — | 10,896 | 14,313 | ||||||||||||
Materials | 58,719 | — | — | 58,719 | ||||||||||||
Telecommunication Services | 114 | — | — | 114 | ||||||||||||
Utilities | 79 | — | — | 79 | ||||||||||||
Total Common Stocks | 80,165 | 54 | 15,001 | 95,220 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 3,205 | 618 | 3,823 | ||||||||||||
Consumer Staples | — | — | 817 | 817 | ||||||||||||
Financials | 8,829 | 24,324 | 14,335 | 47,488 | ||||||||||||
Information Technology | — | — | — | (b) | — | (b) | ||||||||||
Total Preferred Stocks | 8,829 | 27,529 | 15,770 | 52,128 | ||||||||||||
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 247 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
High Yield Fund (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 249 | $ | 6,960 | $ | 7,209 | ||||||||
Convertible Bonds | ||||||||||||||||
Materials | — | 2,335 | — | 2,335 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 2,046,417 | 2,735 | 2,049,152 | ||||||||||||
Consumer Staples | — | 345,608 | 2,246 | 347,854 | ||||||||||||
Energy | — | 997,529 | — | 997,529 | ||||||||||||
Financials | — | 1,043,414 | 17,696 | 1,061,110 | ||||||||||||
Health Care | — | 411,130 | 4,662 | 415,792 | ||||||||||||
Industrials | — | 801,078 | 1,650 | 802,728 | ||||||||||||
Information Technology | — | 361,787 | 2,194 | 363,981 | ||||||||||||
Materials | — | 779,267 | 3,054 | 782,321 | ||||||||||||
Telecommunication Services | — | 553,412 | — | 553,412 | ||||||||||||
Utilities | — | 390,612 | — | 390,612 | ||||||||||||
Total Corporate Bonds | — | 7,730,254 | 34,237 | 7,764,491 | ||||||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 617,833 | — | 617,833 | ||||||||||||
Consumer Staples | — | 121,357 | — | 121,357 | ||||||||||||
Energy | — | 8,846 | — | 8,846 | ||||||||||||
Financials | — | 159,239 | 3,773 | 163,012 | ||||||||||||
Health Care | — | 15,924 | — | 15,924 | ||||||||||||
Industrials | — | 73,027 | — | 73,027 | ||||||||||||
Information Technology | — | 113,064 | 3,490 | 116,554 | ||||||||||||
Materials | — | 88,735 | 13,717 | 102,452 | ||||||||||||
Telecommunication Services | — | 43,396 | — | 43,396 | ||||||||||||
Utilities | — | 67,711 | — | 67,711 | ||||||||||||
Total Loan Participations & Assignments | — | 1,309,132 | 20,980 | 1,330,112 | ||||||||||||
Rights | ||||||||||||||||
Consumer Discretionary | — | — | — | (b) | — | (b) | ||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 361,506 | — | — | 361,506 | ||||||||||||
Investment of Cash Collateral for Securities on Loan | ||||||||||||||||
Investment Company | 1,024 | — | — | 1,024 | ||||||||||||
Total Investments in Securities | $ | 451,524 | $ | 9,069,553 | $ | 92,948 | $ | 9,614,025 | ||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Unfunded Commitments | $ | — | $ | 3 | $ | — | (b) | $ | 3 | |||||||
Limited Duration Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 49,030 | $ | 748 | $ | 49,778 | ||||||||
Collateralized Mortgage Obligations | — | 176,222 | — | 176,222 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 10,499 | — | 10,499 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Financials | — | 245 | 1,509 | 1,754 | ||||||||||||
Total Corporate Bonds | — | 245 | 1,509 | 1,754 | ||||||||||||
Mortgage Pass-Through Securities | — | 70,004 | — | 70,004 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 88,494 | — | — | 88,494 | ||||||||||||
Total Investments in Securities | $ | 88,494 | $ | 306,000 | $ | 2,257 | $ | 396,751 | ||||||||
248 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Mortgage-Backed Securities Fund
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 41,289 | $ | 3,327 | $ | 44,616 | ||||||||
Collateralized Mortgage Obligations | — | 1,594,243 | 6,113 | 1,600,356 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 21,660 | — | 21,660 | ||||||||||||
Mortgage Pass-Through Securities | — | 453,109 | — | 453,109 | ||||||||||||
U.S. Government Agency Securities | — | 11,405 | — | 11,405 | ||||||||||||
U.S. Treasury Obligations | — | 57,045 | — | 57,045 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 29,013 | — | — | 29,013 | ||||||||||||
Total Investments in Securities | $ | 29,013 | $ | 2,178,751 | $ | 9,440 | $ | 2,217,204 | ||||||||
Short Duration Bond Fund # | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities | $ | 287,480 | $ | 9,987,535 | $ | — | $ | 10,275,015 | ||||||||
Short Term Bond Fund II ## | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities | $ | 1,044 | $ | 83,344 | $ | — | $ | 84,388 | ||||||||
Treasury & Agency Fund ## | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities | $ | 5,365 | $ | 464,240 | $ | — | $ | 469,605 | ||||||||
There were no transfers between Levels 1 and 2 during the year ended February 28, 2011.
(a) | Amount rounds to less than $1,000. |
(b) | Security has zero value. |
# | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash and a money market mutual fund held as an investment of cash collateral for securities on loan. Please refer to the SOIs for industry specifics of the portfolio holdings. |
## | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for industry specifics of the portfolio holdings. |
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
Core Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 2,449 | $ | — | $ | 50 | $ | — | $ | 24,785 | $ | (4,037 | ) | $ | — | $ | (2,449 | ) | $ | 20,798 | ||||||||||||||||
Collateralized Mortgage Obligations | 7,560 | — | 1,358 | 44 | 43,618 | (4,668 | ) | — | (5,250 | ) | 42,662 | |||||||||||||||||||||||||
Corporate Bonds — Financials | — | — | 26 | — | (a) | — | — | 1,546 | — | 1,572 | ||||||||||||||||||||||||||
Total | $ | 10,009 | $ | — | $ | 1,434 | $ | 44 | $ | 68,403 | $ | (8,705 | ) | $ | 1,546 | $ | (7,699 | ) | $ | 65,032 | ||||||||||||||||
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 249 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Core Plus Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 5,019 | $ | — | $ | 47 | $ | 9 | $ | 3,000 | $ | (44 | ) | $ | — | $ | (3,529 | ) | $ | 4,502 | ||||||||||||||||
Collateralized Mortgage Obligations | 4,400 | — | — | — | — | — | — | (4,400 | ) | — | ||||||||||||||||||||||||||
Common Stocks — Consumer Discretionary | 216 | — | 32 | — | — | — | — | — | 248 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 20 | — | 10 | — | — | — | — | — | 30 | |||||||||||||||||||||||||||
Common Stocks — Industrials | 573 | 607 | (313 | ) | — | — | (867 | ) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Information Technology | 97 | — | 1,591 | — | — | — | — | — | 1,688 | |||||||||||||||||||||||||||
Common Stocks — Materials | 57 | (133 | ) | 118 | — | — | (42 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 173 | — | — | — | 23 | (43 | ) | — | — | 153 | ||||||||||||||||||||||||||
Corporate Bonds — Energy | 937 | — | (7 | ) | — | (a) | — | (930 | ) | — | — | — | ||||||||||||||||||||||||
Corporate Bonds — Financials | 3,001 | 1,122 | (44 | ) | 124 | 2,156 | (6,359 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Industrials | 1,091 | (689 | ) | 723 | — | (a) | — | (789 | ) | 183 | (208 | ) | 311 | |||||||||||||||||||||||
Corporate Bonds — Materials | 761 | — | 368 | — | — | (b) | — | — | (761 | ) | 368 | |||||||||||||||||||||||||
Foreign Government Securities | — | — | 1 | (7 | ) | 282 | — | 227 | — | 503 | ||||||||||||||||||||||||||
Loan Participations & Assignments —Industrials | 1,961 | — | — | — | — | — | — | (1,961 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 852 | — | 20 | 5 | — | (10 | ) | — | — | 867 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Materials | 1,335 | — | — | — | — | — | — | (1,335 | ) | — | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 53 | — | — | — | 3 | — | — | — | 56 | |||||||||||||||||||||||||||
Preferred Stocks — Financials | 769 | — | 202 | — | — | — | 813 | — | 1,784 | |||||||||||||||||||||||||||
Warrants — Telecommunications | 26 | — | 86 | — | — | (112 | ) | — | — | — | ||||||||||||||||||||||||||
Total | $ | 21,341 | $ | 907 | $ | 2,834 | $ | 131 | $ | 5,464 | $ | (9,196 | ) | $ | 1,223 | $ | (12,194 | ) | $ | 10,510 | ||||||||||||||||
Government Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | — | $ | (30 | ) | $ | (1 | ) | $ | 58 | $ | (115 | ) | $ | 952 | $ | — | $ | 864 | |||||||||||||||
Total | $ | — | $ | — | $ | (30 | ) | $ | (1 | ) | $ | 58 | $ | (115 | ) | $ | 952 | $ | — | $ | 864 | |||||||||||||||
High Yield Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 6,916 | $ | — | $ | 282 | $ | 40 | $ | — | $ | (278 | ) | $ | — | $ | — | $ | 6,960 | |||||||||||||||||
Common Stocks — Consumer Discretionary | 3,208 | — | 458 | — | — | — | — | — | 3,666 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 292 | — | 147 | — | — | — | — | — | 439 | |||||||||||||||||||||||||||
Common Stocks — Industrials | 5,510 | 5,846 | (3,016 | ) | — | — | (8,340 | ) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Information Technology | 628 | — | 10,268 | — | — | — | — | — | 10,896 | |||||||||||||||||||||||||||
Common Stocks — Materials | 745 | (1,658 | ) | 1,453 | — | — | (540 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Consumer Discretionary | 1,875 | — | 467 | 15 | 378 | — | — | — | 2,735 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 11,289 | 119 | 15 | (2 | ) | 342 | (9,517 | ) | — | — | 2,246 | |||||||||||||||||||||||||
Corporate Bonds — Energy | 628 | 24 | 3 | (1 | ) | — | (654 | ) | — | — | — | |||||||||||||||||||||||||
Corporate Bonds — Financials | 36,084 | 5,698 | (303 | ) | 991 | 10,390 | (35,164 | ) | — | — | 17,696 | |||||||||||||||||||||||||
Corporate Bonds — Health Care | 4,752 | — | (1,494 | ) | — | (a) | 1,404 | — | — | — | 4,662 | |||||||||||||||||||||||||
Corporate Bonds — Industrials | 14,079 | (12,605 | ) | 13,458 | 28 | 3,630 | (14,944 | ) | — | (1,996 | ) | 1,650 | ||||||||||||||||||||||||
Corporate Bonds — Information Technology | 2,133 | — | 61 | — | — | — | — | — | 2,194 | |||||||||||||||||||||||||||
Corporate Bonds — Materials | 8,381 | 1,584 | 1,820 | 96 | — | (4,590 | ) | — | (4,237 | ) | 3,054 | |||||||||||||||||||||||||
Loan Participations & Assignments — Energy | 2,857 | — | — | — | — | — | — | (2,857 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Financials | 1,766 | — | 1,172 | (6 | ) | 2,234 | (2,290 | ) | 897 | — | 3,773 | |||||||||||||||||||||||||
Loan Participations & Assignments — Industrials | 5,243 | — | — | — | — | — | — | (5,243 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 7,215 | — | 1,988 | (6 | ) | 268 | (5,975 | ) | — | — | 3,490 | |||||||||||||||||||||||||
Loan Participations & Assignments — Materials | 10,676 | — | 504 | 51 | 9,202 | — | — | (6,716 | ) | 13,717 | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Discretionary | 233 | — | 385 | — | — | — | — | — | 618 | |||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 769 | — | — | — | 48 | — | — | — | 817 | |||||||||||||||||||||||||||
Preferred Stocks — Financials | 4,308 | — | 1,309 | — | — | — | 8,718 | — | 14,335 |
250 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
High Yield Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Preferred Stocks — Information Technology | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | $ | — | $ | — | (b) | ||||||||||||||||||
Rights — Consumer Discretionary | — | (b) | — | — | — | — | — | — | $ | — | — | (b) | ||||||||||||||||||||||||
Warrants — Industrials | — | (b) | — | — | — | — | — | (b) | — | — | — | |||||||||||||||||||||||||
Warrants — Telecommunication Services | 11 | — | (11 | ) | — | — | — | (b) | — | — | — | |||||||||||||||||||||||||
Total | $ | 129,598 | $ | (992 | ) | $ | 28,966 | $ | 1,206 | $ | 27,896 | $ | (82,292 | ) | $ | 9,615 | $ | (21,049 | ) | $ | 92,948 | |||||||||||||||
Unfunded Commitments | ||||||||||||||||||||||||||||||||||||
Loan Participations & Assignments — Materials | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | $ | — | $ | — | $ | — | (b) | ||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | $ | — | $ | — | $ | — | (b) | ||||||||||||||||
Limited Duration Bond Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,087 | $ | — | $ | 561 | $ | — | $ | — | $ | — | $ | — | $ | (900 | ) | $ | 748 | |||||||||||||||||
Commercial Mortgage-Backed Securities | 766 | — | 114 | — | — | (880 | ) | — | �� | — | — | |||||||||||||||||||||||||
Corporate Bonds — Financials | 1,223 | — | 286 | — | — | — | — | — | 1,509 | |||||||||||||||||||||||||||
Mortgage Pass-Through Securities | 173 | — | — | — | (a) | — | — | — | (173 | ) | — | |||||||||||||||||||||||||
Total | $ | 3,249 | $ | — | $ | 961 | $ | — | (a) | $ | — | $ | (880 | ) | $ | — | $ | (1,073 | ) | $ | 2,257 | |||||||||||||||
Mortgage-Backed Securities Fund | Balance as of 02/28/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 02/28/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 317 | $ | — | $ | 8 | $ | — | $ | 3,965 | $ | (646 | ) | $ | — | $ | (317 | ) | $ | 3,327 | ||||||||||||||||
Collateralized Mortgage Obligations | 2,401 | — | 439 | 7 | 5,591 | (545 | ) | — | (1,780 | ) | 6,113 | |||||||||||||||||||||||||
Total | $ | 2,718 | $ | — | $ | 447 | $ | 7 | $ | 9,556 | $ | (1,191 | ) | $ | — | $ | (2,097 | ) | $ | 9,440 | ||||||||||||||||
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in a corporate action. |
(a) | Amount rounds to less than $1,000. |
(b) | Security has zero value. |
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.
Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to securities owned at February 28, 2011, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):
Core Bond Fund | $ | 1,434 | ||
Core Plus Bond Fund | 2,272 | |||
Government Bond Fund | (30 | ) | ||
High Yield Fund | 18,309 | |||
Limited Duration Bond Fund | 847 | |||
Mortgage-Backed Securities Fund | 447 |
These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations and Statements of Changes in Net Assets.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 251 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
B. Transactions with Affiliates — An issuer which is under common control with the Funds may be considered to be an affiliate. For the purposes of the report, the Funds assume the following to be an affiliated issuer (amounts in thousands):
For the year ended February 28, 2011 | ||||||||||||||||||||||||||||
Affiliate | Value at February 28, 2010 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend/ Interest Income | Shares/Principal Amount ($) at February 28, 2011 | Value at February 28, 2011 | |||||||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||||||
Bear Stearns Cos. LLC (The), 5.700%, 11/15/14* | $ | 1,099 | $ | — | $ | 1,096 | $ | 65 | $ | 3 | $ | — | $ | — | ||||||||||||||
Bear Stearns Cos. LLC (The), 7.250%, 02/01/18* | 1,624 | — | 1,641 | 244 | 7 | — | — | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Shares, 0.110% | 617,565 | 1,506,498 | 1,903,840 | — | 586 | 220,223 | 220,223 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 304,663 | 435,582 | 740,245 | — | 259 | — | — | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.110% | 600,111 | 3,334,344 | 3,934,454 | — | 689 | 1 | 1 | |||||||||||||||||||||
$ | 1,525,062 | $ | 309 | $ | 1,544 | $ | 220,224 | |||||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||
Bear Stearns Cos. LLC (The), 7.250%, 02/01/18* | $ | 429 | $ | — | $ | 429 | $ | 60 | $ | — | (a) | $ | — | $ | — | |||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | 86,930 | 571,359 | 512,777 | — | 257 | 145,512 | 145,512 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 17,954 | 164,923 | 182,877 | — | 46 | — | — | |||||||||||||||||||||
$ | 105,313 | $ | 60 | $ | 303 | $ | 145,512 | |||||||||||||||||||||
Government Bond Fund | ||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, | ||||||||||||||||||||||||||||
Institutional Class Shares, 0.000% | $ | 114,616 | $ | 450,531 | $ | 448,950 | $ | — | $ | 49 | $ | 116,197 | $ | 116,197 | ||||||||||||||
$ | 114,616 | $ | — | $ | 49 | $ | 116,197 | |||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | $ | 311,461 | $ | 2,422,167 | $ | 2,372,122 | $ | — | $ | 319 | $ | 361,506 | $ | 361,506 | ||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 197,822 | 793,765 | 990,563 | — | 398 | 1,024 | 1,024 | |||||||||||||||||||||
$ | 509,283 | $ | — | $ | 717 | $ | 362,530 | |||||||||||||||||||||
Limited Duration Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | $ | 81,717 | $ | 178,813 | $ | 172,036 | $ | — | $ | 88 | $ | 88,494 | $ | 88,494 | ||||||||||||||
$ | 81,717 | $ | — | $ | 88 | $ | 88,494 | |||||||||||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.110% | $ | 163,263 | $ | 800,471 | $ | 934,721 | $ | — | $ | 132 | $ | 29,013 | $ | 29,013 | ||||||||||||||
$ | 163,263 | $ | — | $ | 132 | $ | 29,013 | |||||||||||||||||||||
Short Duration Bond Fund | ||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000% | $ | 399,391 | $ | 3,210,938 | $ | 3,324,969 | $ | — | $ | 141 | $ | 285,360 | $ | 285,360 | ||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.140%** | 331,094 | 1,264,595 | 1,593,569 | — | 250 | 2,120 | 2,120 | |||||||||||||||||||||
$ | 730,485 | $ | — | $ | 391 | $ | 287,480 | |||||||||||||||||||||
252 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
For the year ended February 28, 2011 | ||||||||||||||||||||||||||||
Affiliate | Value at February 28, 2010 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend/ Interest Income | Shares/Principal Amount ($) at February 28, 2011 | Value at February 28, 2011 | |||||||||||||||||||||
Short Term Bond II | ||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.110% | $ | 927 | $ | 22,535 | $ | 22,418 | $ | — | $ | 1 | $ | 1,044 | $ | 1,044 | ||||||||||||||
$ | 927 | $ | — | $ | 1 | $ | 1,044 | |||||||||||||||||||||
Treasury and Agency Fund | ||||||||||||||||||||||||||||
JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.000% | $ | 8,240 | $ | 95,404 | $ | 98,279 | $ | — | $ | 3 | $ | 5,365 | $ | 5,365 | ||||||||||||||
$ | 8,240 | $ | — | $ | 3 | $ | 5,365 | |||||||||||||||||||||
(a) | Amount rounds to less than $1,000. |
* | Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
** | Represents investment of cash collateral related to securities on loan, as described in Note 2.H. Dividend income earned from this investment is included in, and represents a significant portion of, income from securities lending (net) in the Statements of Operations. |
C. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the value and percentage of net assets of illiquid securities as of February 28, 2011 (amounts in thousands):
Value | Percentage | |||||||
Core Bond Fund | $ | 65,032 | 0.34 | % | ||||
Core Plus Bond Fund | 10,510 | 0.51 | ||||||
Government Bond Fund | 864 | 0.06 | ||||||
High Yield Fund | 92,948 | 0.97 | ||||||
Limited Duration Bond Fund | 1,509 | 0.38 | ||||||
Mortgage-Backed Securities Fund | 9,440 | 0.42 |
D. Derivatives — Core Plus Bond Fund uses instruments including futures, foreign currency contracts, options, swaps and other derivatives, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest; to hedge portfolio investments or to generate income or gain to the Fund. Core Plus Bond Fund also uses derivatives to manage duration; sector and yield curve exposures; and credit and spread volatility. The Fund may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivatives’ counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities.
Notes D.(1). — D.(3). below describe the various derivatives used by the Fund.
(1). Futures — Core Plus Bond Fund uses treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. Core Plus Bond Fund also uses futures contracts to lengthen or shorten the duration of the overall investment portfolio.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
(2). Swaps — Core Plus Bond Fund engages in various swap transactions, including credit default swaps, to manage credit risks within the respective portfolio. The Fund also uses swaps as alternatives to direct investments. Swap transactions are negotiated contracts between a Fund and a counterparty to exchange swap investment cash flows or assets, at specified, future intervals.
Upfront payments made and/or received by the Fund is recognized as a realized gain or loss when the contract matures or is terminated. The value of a swap agreement is recorded at the beginning of the measurement period. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is recognized as unrealized appreciation or depreciation. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
Credit Default Swaps
Core Plus Bond Fund enters into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represent some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected in the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
(3). Forward Foreign Currency Exchange Contracts
Core Plus Bond Fund may be exposed to foreign currency risks associated with portfolio investments and therefore use forward foreign currency exchange contracts to hedge or manage these exposures. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward contract is closed, the Fund record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
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(4). Summary of Derivatives Information
The following tables present the value of derivatives held as of February 28, 2011, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
Value of Derivative Instruments as of February 28, 2011
Core Plus Bond Fund
Derivative Contract | Statement of Assets and Liabilities Location | |||||||||||||
Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Swaps | |||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 1 | $ | — | $ | — | |||||||
Foreign exchange contracts | Receivables | — | 20 | — | ||||||||||
Total | $ | 1 | $ | 20 | $ | — | ||||||||
Liabilities: | ||||||||||||||
Foreign exchange contracts | Payables | — | — | (b) | — | |||||||||
Credit contracts | Payables | — | — | (51 | ) | |||||||||
Total | $ | — | $ | — | (b) | $ | (51 | ) | ||||||
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the SOIs. The Statements of Assets & Liabilities only reflects the current day variation margin receivable/payable to brokers. |
(b) | Amount rounds to less than $1,000. |
The following tables present the effect of derivatives on the Statements of Operations for the year ended February 28, 2011, by primary underlying risk exposure (amounts in thousands):
The Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2011
Core Plus Bond Fund
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivative Contract | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | 16 | $ | — | $ | — | $ | 16 | ||||||||
Foreign exchange contracts | — | (13 | ) | — | (13 | ) | ||||||||||
Credit contracts | — | — | 20 | 20 | ||||||||||||
Total | $ | 16 | $ | (13 | ) | $ | 20 | $ | 23 | |||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivative Contract | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | (3 | ) | $ | — | $ | — | $ | (3 | ) | ||||||
Foreign exchange contracts | — | 21 | — | 21 | ||||||||||||
Credit contracts | — | — | 25 | 25 | ||||||||||||
Total | $ | (3 | ) | $ | 21 | $ | 25 | $ | 43 | |||||||
The Fund’s derivatives contracts held at February 28, 2011 are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Derivatives Volume
The table below discloses the volume of the Fund’s derivatives activities during the year ended February 28, 2011 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivatives-related gains and losses associated with volume activity.
Core Plus Bond Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Long | $ | 2,022 | ||
Average Notional Balance Short | 924 | |||
Ending Notional Balance Long | 2,230 | |||
Ending Notional Balance Short | 234 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 344 | |||
Average Settlement Value Sold | 592 | |||
Ending Settlement Value Purchased | 673 | |||
Ending Settlement Value Sold | 519 | |||
Credit Default Swaps: | ||||
Average Notional Balance — Buy Protection | — | |||
Average Notional Balance — Sell Protection | 1,000 | |||
Ending Notional Balance — Buy Protection | — | |||
Ending Notional Balance — Sell Protection | 1,000 |
E. Loan Participations and Assignments — Core Plus Bond Fund and High Yield Fund invest in loan participations and assignments of all or a portion of the loans. When the Funds purchase a loan participation, the Funds typically enter into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. In contrast, the Funds have direct rights against the borrower on a loan when it purchases an assignment; provided, however, that the Funds’ rights may be more limited than the lender from which it acquired the assignment and the Funds may be able to enforce their rights only through an administrative agent. As a result, the Funds assume the credit risk of the Borrower and the Selling Participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). Although certain loan assignments or participations are secured by collateral, the Funds could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. In addition, loan assignments and participations are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan assignments and participations and certain loan assignments and participations which were liquid, when purchased, may become illiquid.
F. Unfunded Commitments — Core Plus Bond Fund and High Yield Fund entered into commitments to buy and sell investments including commitments to buy loan assignments and participations to settle on future dates as part of their normal investment activities. Unfunded commitments are generally traded and priced as part of a related loan participation or assignment (Note 2.E.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation/depreciation from unfunded commitments is reported in the Statements of Assets and Liabilities. The Funds segregate security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risks exist on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.
At February 28, 2011, the Core Plus Bond Fund and High Yield Fund had the following unfunded loan commitments which could be extended at the option of the borrower (amounts in thousands):
Core Plus Bond Fund
Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Commitment | ||||||||||||||||||
Security Description | Amount | Value | ||||||||||||||||||||
Axcan Intermediate Holdings, Inc. | Term Loan | 2/10/17 | 0.000 | % | 5.500 | % | $ | 125 | $ | 125 |
High Yield Fund
Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Commitment | ||||||||||||||||||
Security Description | Amount | Value | ||||||||||||||||||||
Axcan Intermediate Holdings, Inc. | Term Loan | 2/10/17 | 0.000 | % | 5.500 | % | $ | 4,127 | $ | 4,130 | ||||||||||||
Constar International, Inc. | Senior Secured Dip Note | 10/1/11 | 2.000 | 9.000 | 988 | 988 |
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G. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions on the Statements of Operations.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency, purchase of foreign currency in certain countries (such as Brazil) that impose a tax on such purchases, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end.
H. Securities Lending — Each Fund (except Limited Duration Bond Fund) may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), in order to generate additional income. JPMorgan Chase Bank N.A. (“JPMCB”), an affiliate of the Funds, serves as lending agent for the Funds pursuant to an Amended and Restated Securities Lending Agreement effective February 9, 2010 (“Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended February 28, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Core Bond Fund | $ | 158 | ||
Core Plus Bond Fund | 29 | |||
High Yield Fund | 251 | |||
Short Duration Bond Fund | 150 |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% and 105% of the value of loaned U.S. dollar-denominated and non-dollar-denominated securities, respectively, subject to certain de minimis guidelines.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At February 28, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):
Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Instruments | ||||||||||
High Yield Fund | $ | 4,131 | $ | 1,024 | * | $ | 1,024 | |||||
Short Duration Bond Fund | 2,060 | 2,120 | * | 2,120 |
* | Subsequent to February 28, 2011, additional collateral was received from the borrowers. |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, JPMCB has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
The Advisor waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Core Bond Fund | $ | 101 | ||
Core Plus Bond Fund | 17 | |||
High Yield Fund | 147 | |||
Short Duration Bond Fund | 100 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the Securities Lending Agreement, JPMCB is entitled to a fee, paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the year ended February 28, 2011 (amounts in thousands):
Lending Agent Fee Incurred | ||||
Core Bond Fund | $ | 34 | ||
Core Plus Bond Fund | 5 | |||
High Yield Fund | 52 | |||
Short Duration Bond Fund | 34 |
I. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
Purchases of to be announced (“TBA”), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Funds’ policy to reserve assets with a current value at least equal to the amount of their TBA, when-issued or delayed delivery purchase commitments.
J. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
K. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, remains subject to examination by the Internal Revenue Service.
L. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
M. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
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The following amounts were reclassified within the capital accounts (amounts in thousands):
Paid-in-capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Core Bond Fund | $ | (91 | ) | $ | 82 | $ | 9 | |||||
Core Plus Bond Fund | (13 | ) | 308 | (295 | ) | |||||||
Government Bond Fund | (549 | ) | (1 | ) | 550 | |||||||
High Yield Fund | 1 | 1,817 | (1,818 | ) | ||||||||
Limited Duration Bond Fund | (3,954 | ) | 193 | 3,761 | ||||||||
Mortgage-Backed Securities Fund | (101 | ) | 102 | (1 | ) | |||||||
Short Duration Bond Fund | (3 | ) | 1 | 2 | ||||||||
Treasury & Agency Fund | 1 | 55 | (56 | ) |
The reclassifications for the Funds relate primarily to closing entry reversal (Core Bond Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund), defaulted bond interest reclass (Core Plus Bond Fund and High Yield Fund), foreign currency gains or losses (Core Plus Bond Fund), consent fees (Core Plus Bond Fund and High Yield Fund), expiration of capital loss carryforwards (Government Bond Fund and Limited Duration Bond Fund), non-taxable special dividends (High Yield Fund) and distribution reclassifications (Short Duration Bond Fund and Treasury & Agency Fund).
N. Equalization — Short Term Bond Fund II uses the accounting practice known as equalization by which a portion of the proceeds from sales and costs of redemptions of Fund shares of beneficial interest equivalent, on a per-share basis, to the amount of undistributed net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or redemptions of Fund shares.
O. Redemption Fees — Generally, shares of the High Yield Fund held for less than 60 days are subject to a redemption fee of 2.00%, based on the redeemed share’s market value. Redemption fees are paid directly to the High Yield Fund and are credited to paid in capital. Effective May 2, 2011, shares of the High Yield Fund will no longer be subject to a redemption fee regardless of how long such shares are held.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
Core Bond Fund | 0.30 | % | ||
Core Plus Bond Fund | 0.30 | |||
Government Bond Fund | 0.30 | |||
High Yield Fund | 0.65 | |||
Limited Duration Bond Fund | 0.25 | |||
Mortgage-Backed Securities Fund | 0.35 | |||
Short Duration Bond Fund | 0.25 | |||
Short-Term Bond II Fund | 0.25 | |||
Treasury & Agency Fund | 0.30 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended February 28, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C, Class M and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
Class A | Class B | Class C | Class M | Class R2 | ||||||||||||||
0.25% | 0.75 | % | 0.75 | % | 0.35 | % | 0.50 | % |
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A and Class M Shares and the CDSC from redemptions of Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the year ended February 28, 2011, the Distributor retained the following amounts (in thousands):
Front-end Sales Charge | CDSC | |||||||
Core Bond Fund | $ | 2,278 | $ | 1,249 | ||||
Core Plus Bond Fund | 443 | 168 | ||||||
Government Bond Fund | 253 | 140 | ||||||
High Yield Fund | 254 | 81 | ||||||
Limited Duration Bond Fund | 4 | 1 | ||||||
Mortgage-Backed Securities Fund | 104 | 6 | ||||||
Short Duration Bond Fund | 32 | 26 | ||||||
Short-Term Bond II Fund | — | (a) | — | |||||
Treasury & Agency Fund | 14 | 6 |
(a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class B | Class C | Class M | Class R2 | Class R5 | Institutional Class | Select Class | |||||||||||||||||||||||||
Core Bond Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.25 | % | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||||
Core Plus Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | 0.10 | % | 0.25 | |||||||||||||||||||||||
Government Bond Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.25 | ||||||||||||||||||||||||
High Yield Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||||||||
Limited Duration Bond Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 0.25 | n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Short Duration Bond Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Short-Term Bond II Fund | 0.25 | n/a | n/a | 0.25 | % | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||
Treasury & Agency Fund | 0.25 | 0.25 | n/a | n/a | n/a | n/a | n/a | 0.25 |
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class B | Class C | Class M | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||||||||
Core Bond Fund | 0.75 | % | 1.40 | % | 1.40 | % | n/a | 1.00 | % | 0.45 | % | 0.40 | % | n/a | 0.58 | % | ||||||||||||||||||||
Core Plus Bond Fund | 0.75 | 1.40 | 1.40 | n/a | 1.17 | n/a | 0.40 | 0.49 | % | 0.65 | ||||||||||||||||||||||||||
Government Bond Fund | 0.75 | 1.48 | 1.48 | n/a | 1.00 | n/a | n/a | n/a | 0.55 |
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Class A | Class B | Class C | Class M | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | ||||||||||||||||||||||||||||
High Yield Fund | 1.15 | 1.80 | 1.80 | n/a | 1.40 | 0.86 | 0.81 | n/a | 0.90 | |||||||||||||||||||||||||||
Limited Duration Bond Fund | 0.70 | 1.20 | 1.20 | n/a | n/a | n/a | 0.44 | n/a | 0.45 | |||||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 0.65 | n/a | n/a | n/a | n/a | n/a | 0.25 | n/a | 0.40 | |||||||||||||||||||||||||||
Short Duration Bond Fund | 0.80 | 1.30 | 1.30 | n/a | n/a | n/a | 0.30 | n/a | 0.55 | |||||||||||||||||||||||||||
Short-Term Bond II Fund | 0.75 | n/a | n/a | 1.00 | % | n/a | n/a | n/a | n/a | 0.50 | ||||||||||||||||||||||||||
Treasury & Agency Fund | 0.70 | 1.20 | n/a | n/a | n/a | n/a | n/a | n/a | 0.45 |
Prior to December 1, 2010, the contractual expense limitation for Core Bond Fund was 0.53% for Class R5 Shares.
Prior to December 1, 2010, the contractual expense limitation for Short Duration Bond Fund was 0.44% for Class R6 Shares.
Except as noted above, the contractual expense limitation agreements were in effect for the year ended February 28, 2011. The contractual expense limitation percentages in the table above are in place until at least June 30, 2011. In addition, the Government Bond Fund’s and Limited Duration Bond Fund’s service providers have voluntarily waived fees during the year ended February 28, 2011. However, the Government Bond Fund’s and Limited Duration Bond Fund’s service providers are under no obligation to do so and may discontinue such waivers at any time.
For the year ended February 28, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Core Bond Fund | $ | 11,407 | $ | — | $ | 11,961 | $ | 23,368 | ||||||||
Core Plus Bond Fund | 506 | 695 | 410 | 1,611 | ||||||||||||
Government Bond Fund | 2 | 83 | 2,636 | 2,721 | ||||||||||||
High Yield Fund | — | 1,048 | 10,550 | 11,598 | ||||||||||||
Limited Duration Bond Fund | 434 | 306 | 181 | 921 | ||||||||||||
Mortgage-Backed Securities Fund | 4,311 | 482 | 698 | 5,491 | ||||||||||||
Short Duration Bond Fund | 3,878 | 958 | — | 4,836 | ||||||||||||
Short-Term Bond II Fund | 118 | — | 109 | 227 | ||||||||||||
Treasury & Agency Fund | — | 20 | 1,255 | 1,275 |
Voluntary Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Core Bond Fund | $ | 260 | $ | — | $ | — | $ | 260 | ||||||||
Government Bond Fund | — | 89 | 456 | 545 | ||||||||||||
Limited Duration Bond Fund | 1 | 1 | — | 2 | ||||||||||||
Short Duration Bond Fund | 893 | 222 | — | 1,115 |
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of these waivers resulting from investments in the money market funds for the year ended February 28, 2011 were as follows (excluding the reimbursement disclosed in Note 2.H. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Core Bond Fund | $ | 1,940 | ||
Core Plus Bond Fund | 304 | |||
Government Bond Fund | 177 | |||
High Yield Fund | 427 | |||
Limited Duration Bond Fund | 112 | |||
Mortgage-Backed Securities Fund | 189 | |||
Short Duration Bond Fund | 575 | |||
Short-Term Bond II Fund | 2 | |||
Treasury & Agency Fund | 15 |
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
G. Other — Certain officers of the Trust are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officers’ fees in the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended February 28, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the year ended February 28, 2011, the Core Plus Bond Fund and High Yield Fund incurred approximately $6,000 and $52,000, respectively, in brokerage commissions with brokers/dealers affiliated with the Advisor.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.
4. Investment Transactions
During the year ended February 28, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Core Bond Fund | $ | 6,702,886 | $ | 2,949,878 | $ | 2,892,520 | $ | 997,072 | ||||||||
Core Plus Bond Fund | 819,605 | 314,675 | 167,453 | 41,141 | ||||||||||||
Government Bond Fund | 153,190 | 211,249 | 99,633 | 68,746 | ||||||||||||
High Yield Fund | 6,114,837 | 3,268,391 | — | — | ||||||||||||
Limited Duration Bond Fund | 105,163 | 84,043 | — | — | ||||||||||||
Mortgage-Backed Securities Fund | 1,091,720 | 490,679 | 27,315 | 101,635 | ||||||||||||
Short Duration Bond Fund | 4,134,560 | 2,477,302 | 1,824,737 | 755,783 | ||||||||||||
Short-Term Bond II Fund | 32,586 | 47,585 | 13,544 | 15,267 | ||||||||||||
Treasury & Agency Fund | 5,820 | 6,323 | 123,962 | 172,326 |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at February 28, 2011, were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Core Bond Fund | $ | 18,509,382 | $ | 783,367 | $ | 134,661 | $ | 648,706 | ||||||||
Core Plus Bond Fund | 2,002,580 | 107,847 | 31,544 | 76,303 | ||||||||||||
Government Bond Fund | 1,347,362 | 98,512 | 10,149 | 88,363 | ||||||||||||
High Yield Fund | 8,923,088 | 780,859 | 89,922 | 690,937 | ||||||||||||
Limited Duration Bond Fund | 439,235 | 4,070 | 46,554 | (42,484 | ) | |||||||||||
Mortgage-Backed Securities Fund | 2,122,327 | 117,388 | 22,511 | 94,877 | ||||||||||||
Short Duration Bond Fund | 10,149,364 | 153,381 | 27,730 | 125,651 | ||||||||||||
Short-Term Bond II Fund | 83,225 | 1,354 | 191 | 1,163 | ||||||||||||
Treasury & Agency Fund | 459,575 | 10,801 | 771 | 10,030 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals (Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund and Mortgage-Backed Securities Fund), interest only high-coupon bond write-off remaining (Core Bond Fund), defaulted bond interest outstanding (Core Plus Bond Fund) and outstanding interest only adjustment (Limited Duration Bond Fund).
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The tax character of distributions paid during the fiscal year ended February 28, 2011 was as follows (amounts in thousands):
Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Core Bond Fund | $ | 639,271 | $ | — | $ | 639,271 | ||||||
Core Plus Bond Fund | 82,354 | — | 82,354 | |||||||||
Government Bond Fund | 54,016 | — | 54,016 | |||||||||
High Yield Fund | 622,337 | 14,314 | 636,651 | |||||||||
Limited Duration Bond Fund | 8,642 | — | 8,642 | |||||||||
Mortgage-Backed Securities Fund | 109,055 | — | 109,055 | |||||||||
Short Duration Bond Fund | 170,685 | 4,988 | 175,673 | |||||||||
Short Term Bond Fund II | 1,446 | — | 1,446 | |||||||||
Treasury & Agency Fund | 7,999 | 7,609 | 15,608 |
The tax character of distributions paid during the fiscal year ended February 28, 2010 was as follows (amounts in thousands):
Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Core Bond Fund | $ | 489,477 | $ | — | $ | 489,477 | ||||||
Core Plus Bond Fund | 59,760 | — | 59,760 | |||||||||
Government Bond Fund | 49,702 | — | 49,702 | |||||||||
High Yield Fund | 345,441 | — | 345,441 | |||||||||
Limited Duration Bond Fund | 10,031 | — | 10,031 | |||||||||
Mortgage-Backed Securities Fund | 89,097 | — | 89,097 | |||||||||
Short Duration Bond Fund | 127,879 | — | 127,879 | |||||||||
Short Term Bond Fund II | 2,684 | — | 2,684 | |||||||||
Treasury & Agency Fund | 28,720 | 3,845 | 32,565 |
At February 28, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Core Bond Fund | $ | 14,722 | $ | (24,757 | ) | $ | 648,706 | |||||
Core Plus Bond Fund | 5,145 | (272,346 | ) | 76,252 | ||||||||
Government Bond Fund | 2,515 | (376 | ) | 88,363 | ||||||||
High Yield Fund | 94,840 | 66,735 | 690,940 | |||||||||
Limited Duration Bond Fund | — | (86,240 | ) | (42,484 | ) | |||||||
Mortgage-Backed Securities Fund | 1,659 | (9,825 | ) | 94,877 | ||||||||
Short Duration Bond Fund | 10,783 | 88 | 125,651 | |||||||||
Short-Term Bond II Fund | 71 | (60,466 | ) | 1,163 | ||||||||
Treasury & Agency Fund | 38 | 767 | 10,030 |
For the Funds, the cumulative timing differences primarily consist of distributions payable, wash sale loss deferrals (Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Mortgage-Backed Securities Fund and Short Duration Bond Fund), interest only high-coupon bond write-off remaining (Core Bond Fund), post-October loss deferrals (Limited Duration Bond Fund), outstanding interest only adjustment (Limited Duration Bond Fund) and trustee deferred compensation (Short Term Bond Fund II).
As of February 28, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | Total | ||||||||||||||||||||||||||||
Core Bond Fund | $ | — | $ | — | $ | — | $ | 7,785 | $ | 11,551 | * | $ | 5,421 | * | $ | — | $ | — | $ | 24,757 | ||||||||||||||||
Core Plus Bond Fund | — | — | 14,285 | * | 26,467 | * | 150,534 | * | 81,060 | * | — | — | 272,346 | |||||||||||||||||||||||
Government Bond Fund | 376 | — | — | — | — | — | — | — | 376 | |||||||||||||||||||||||||||
Limited Duration Bond Fund | 10,780 | 5,666 | 2,597 | 2,757 | 4,374 | 42,572 | 10,531 | 6,963 | 86,240 | |||||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 457 | 7,518 | 1,459 | — | 391 | — | — | — | 9,825 | |||||||||||||||||||||||||||
Short Term Bond Fund II | 835 | 657 | 14,799 | 10,312 | 2,292 | 6,859 | 24,712 | — | 60,466 |
* | Includes amounts from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
During the year ended February 28, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Core Bond Fund | $ | 59,463 | ||
Core Plus Bond Fund | 14,181 | |||
Government Bond Fund | 2,100 | |||
High Yield Fund | 21,360 | |||
Mortgage-Backed Securities Fund | 6,268 | |||
Short Duration Bond Fund | 1,785 | |||
Short Term Bond Fund II | 840 |
During the year ended February 28, 2011, the Funds had expired capital loss carryforwards as follows (amounts in thousands):
Government Bond Fund | $ | 550 | ||
Limited Duration Bond Fund | 3,761 |
During the year ended February 28, 2011, the Core Plus Bond Fund had capital loss carryforwards written off of approximately $368,000 due to Internal Revenue Code Section 382-383 limitations.
Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended February 28, 2011, the Funds deferred to March 1, 2011 post-October capital losses of (amounts in thousands):
Limited Duration Bond Fund | $ | 8 |
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at February 28, 2011, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for High Yield Fund, Short Duration Fund and Treasury & Agency Fund.
In addition J.P. Morgan Investor Funds, which are affiliated funds and funds of funds, own, in the aggregate more than 10% of the net assets of the Funds as follows:
J.P. Morgan Investor Funds | ||||
Core Plus Bond Fund | 45.36 | % | ||
Government Bond Fund | 21.00 | |||
Limited Duration Bond Fund | 44.72 |
Additionally, Core Bond Fund and Short Term Bond Fund II each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
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Significant shareholder transactions, if any, may impact the Funds’ performance.
The High Yield Fund and to a lesser extent, the Core Plus Bond Fund invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. The High Yield Fund invests at least 80% of its net assets in such investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts, credit linked notes and TBA securities.
The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage related securities such as collateralized mortgage obligations, mortgage pass through securities and commercial mortgage backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
A significant portion of the Funds’ (except High Yield Fund and Treasury & Agency Fund) investments are comprised of asset-backed or mortgage related securities, including securities backed by sub-prime mortgages.
The Funds are subject to the risk that should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deems to be representative of its value, the value of the Funds’ net assets could be adversely affected.
The Core Plus Bond Fund is party to various derivative contracts governed by International Swaps and Derivatives Association Master Agreements (ISDA agreements). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, typically contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparties (i.e. decline in a counterparty’s credit rating below a specified level). Such rights often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse impact on the Fund. The ISDA agreements with certain counterparties allow the Fund and counterparty to offset certain derivative instruments’ payables or receivables with collateral posted to a segregated custody account as described in Note 2.D.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settment, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
9. Business Combinations
On February 18, 2009, the Board of Trustees of JPM II approved management’s proposal to merge JPMorgan Intermediate Bond Fund (“Intermediate Bond Fund” or “JPM II Target Fund”) into JPMorgan Core Bond Fund (“Core Bond Acquiring Fund”). On the same date the Boards of Trustees of JPM II and JPMorgan Trust I (“JPM I”) approved management’s proposal to merge JPMorgan Bond Fund (“Bond Fund” or “JPM I Target Fund”), a fund of JPM I, into JPMorgan Core Plus Bond Fund (“Core Plus Bond Acquiring Fund”). The Agreement and Plan of Reorganization with respect to Intermediate Bond Fund was approved by Intermediate Bond Fund’s shareholders at a special meeting of shareholders held on June 15, 2009. The Agreement and Plan of Reorganization with respect to Bond Fund was approved by Bond Fund’s shareholders at a special meeting of shareholders held on June 22, 2009. The purpose of the transactions was to combine the portfolios with comparable investment objectives and strategies.
The reorganizations were effective after the close of business on June 26, 2009. Each Acquiring Fund acquired all of the assets and liabilities of the corresponding Target Fund as shown in the table below. Each merger transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class B, Class C, Select Class and Ultra shareholders of Intermediate Bond Fund received a number of shares of the corresponding class in Core Bond Acquiring Fund with a value equal to their holdings in Intermediate Bond Fund as of the close of business on the date of the reorganization. Pursuant to the Agreement and Plan of Reorganization, Class A, Class B, Class C, Institutional Class, Select Class and Ultra shareholders of Bond Fund received a number of shares of the corresponding Class in Core Plus Bond Acquiring Fund with a value equal to their holdings in Bond Fund as of the close of business on the date of the reorganization. The investment portfolios of Intermediate Bond Fund with a fair value of $871,833 and identified cost of $860,996 as of the date the reorganization were the principal assets acquired by the Core Bond Acquiring Fund. The investment portfolios of Bond Fund with a fair value of $87,385 and identified cost of $91,807 as of the date the reorganization were the principal assets acquired by the Core Plus Bond Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Funds were recorded at fair value; however, the cost basis of the investments received from the Target Funds were carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganizations (amounts in thousands, except per share amounts):
Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Target Fund | ||||||||||||||||
Intermediate Bond Fund | $ | 10,837 | ||||||||||||||
Class A | 9,994 | $ | 105,525 | $ | 10.56 | |||||||||||
Class B | 3,496 | 36,304 | 10.39 | |||||||||||||
Class C | 3,979 | 41,325 | 10.39 | |||||||||||||
Select Class | 54,611 | 576,149 | 10.55 | |||||||||||||
Ultra | 10,006 | 105,588 | 10.55 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Core Bond Fund | 99,832 | |||||||||||||||
Class A | 171,321 | 1,865,195 | 10.89 | |||||||||||||
Class B | 9,010 | 98,011 | 10.88 | |||||||||||||
Class C | 73,514 | 804,101 | 10.94 | |||||||||||||
Class R2 | 95 | 1,026 | 10.88 | |||||||||||||
Class R5 | 24,389 | 265,127 | 10.87 | |||||||||||||
Class R6* | 80,311 | 873,971 | 10.88 | |||||||||||||
Select Class | 322,376 | 3,506,978 | 10.88 | |||||||||||||
Post Reorganization | ||||||||||||||||
Core Bond Fund | 110,669 | |||||||||||||||
Class A | 181,014 | 1,970,720 | 10.89 | |||||||||||||
Class B | 12,347 | 134,315 | 10.88 | |||||||||||||
Class C | 77,293 | 845,426 | 10.94 | |||||||||||||
Class R2 | 94 | 1,026 | 10.88 | |||||||||||||
Class R5 | 24,389 | 265,127 | 10.87 | |||||||||||||
Class R6* | 90,014 | 979,559 | 10.88 | |||||||||||||
Select Class | 375,337 | 4,083,127 | 10.88 |
266 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Expenses related to the reorganization were incurred by the Target Fund. The Administrator voluntarily waived its fee and/or reimbursed expenses in an amount equal to the reorganization expense.
Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Target Fund | ||||||||||||||||
Bond Fund | $ | (4,422 | ) | |||||||||||||
Class A | 1,532 | $ | 10,165 | $ | 6.64 | |||||||||||
Class B | 370 | 2,437 | 6.59 | |||||||||||||
Class C | 770 | 5,095 | 6.62 | |||||||||||||
Institutional Class | 2,409 | 15,799 | 6.56 | |||||||||||||
Select Class | 4,674 | 30,681 | 6.56 | |||||||||||||
Ultra | 3,131 | 20,544 | 6.56 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Core Plus Bond Fund | (31,503 | ) | ||||||||||||||
Class A | 10,030 | 74,360 | 7.41 | |||||||||||||
Class B | 751 | 5,593 | 7.45 | |||||||||||||
Class C | 5,031 | 37,449 | 7.44 | |||||||||||||
Class R2 | 8 | 56 | 7.42 | |||||||||||||
Institutional Class | 5 | 40 | 7.42 | |||||||||||||
Class R6* | 3,859 | 28,582 | 7.41 | |||||||||||||
Select Class | 98,313 | 728,499 | 7.41 | |||||||||||||
Post Reorganization | ||||||||||||||||
Core Plus Bond Fund | (35,925 | ) | ||||||||||||||
Class A | 11,401 | 84,525 | 7.41 | |||||||||||||
Class B | 1,078 | 8,030 | 7.45 | |||||||||||||
Class C | 5,715 | 42,544 | 7.44 | |||||||||||||
Class R2 | 8 | 56 | 7.42 | |||||||||||||
Institutional Class | 2,134 | 15,839 | 7.42 | |||||||||||||
Class R6* | 6,633 | 49,126 | 7.41 | |||||||||||||
Select Class | 102,454 | 759,180 | 7.41 |
Expenses related to the reorganization were incurred by the Target Fund. The Administrator voluntarily waived its fee and/or reimbursed expenses in an amount equal to the reorganization expense.
* | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
10. Transfers-In-Kind
During the year ended February 28, 2011, certain shareholders of Short Duration Bond Fund purchased Class R6 Shares and the Short Duration Bond Fund received portfolio securities primarily by means of a subscription-in-kind for Class R6 Shares of the Short Duration Bond Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
Date | Value | Type | ||||||||||
Short Duration Bond Fund | 07/28/10 | $ | 11,698 | Subscription in-kind |
During the year ended February 28, 2010, certain shareholders of Core Plus Bond Fund purchased Class R6 Shares and the Core Plus Bond Fund received portfolio securities primarily by means of a subscription in-kind for Class R6 Shares of the Core Plus Bond Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
Date | Value | Type | ||||||||||
Core Plus Bond Fund | 04/28/09 | $ | 2,249 | Subscription in-kind |
During the year ended February 28, 2010, certain shareholders of High Yield Fund purchased Select Class Shares and the High Yield Fund received portfolio securities primarily by means of a subscription in-kind for Select Class Shares of the High Yield Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
Date | Value | Type | ||||||||||
High Yield Fund | 03/30/09 | $ | 4,090 | Subscription in-kind |
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 267 |
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NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 28, 2011 (continued)
Pursuant to procedures approved by the Board of Trustees, on June 29, 2009, certain shareholders of the Limited Duration Bond Fund redeemed Class R6 and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities (amounts in thousands):
Limited Duration Bond Fund | Value | Realized Losses | Type | |||||||||
Class R6 Shares | $ | 107,423 | $ | (31,903 | ) | Redemption in-kind |
268 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Mutual Fund Group and JPMorgan Trust II and Shareholders of JPMorgan Core Bond Fund, JPMorgan Core Plus Bond Fund, JPMorgan Government Bond Fund, JPMorgan High Yield Fund, JPMorgan Limited Duration Bond Fund, JPMorgan Mortgage-Backed Securities Fund, JPMorgan Short Duration Bond Fund, JPMorgan Short Term Bond Fund II and JPMorgan Treasury & Agency Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Core Bond Fund, JPMorgan Core Plus Bond Fund, JPMorgan Government Bond Fund, JPMorgan High Yield Fund, JPMorgan Limited Duration Bond Fund, JPMorgan Mortgage-Backed Securities Fund, JPMorgan Short Duration Bond Fund, JPMorgan Short Term Bond Fund II and JPMorgan Treasury & Agency Fund (hereafter referred to as the “Funds”) at February 28, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
April 29, 2011
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 269 |
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||
Independent Trustees | ||||||
William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 148 | None. | |||
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 148 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 148 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 148 | None. | |||
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 148 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 148 | Trustee, Carleton College (2003-present). | |||
William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 148 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 148 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 148 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). |
270 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex | |||||
Independent Trustees (continued) |
| |||||||
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 148 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||||
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 148 | None. | |||||
Interested Trustees | ||||||||
Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 148 | Trustee, The Victory Portfolios (2000-2008). | |||||
Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 148 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (148 funds). |
* | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
*** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 271 |
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), President and Principal Executive Officer (2010) | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Michael J. Tansley (1964), Controller (2008) | Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
272 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, September 1, 2010, and continued to hold your shares at the end of the reporting period, February 28, 2011.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Core Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.80 | $ | 3.67 | 0.74 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 997.50 | 6.88 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 997.60 | 6.88 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,000.60 | 4.91 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,002.20 | 2.18 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,003.40 | 1.94 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,001.90 | 2.83 | 0.57 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.97 | 2.86 | 0.57 | ||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,026.30 | 3.67 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 |
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 273 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Core Plus Bond Fund (continued) | ||||||||||||||||
Class B | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.90 | $ | 6.93 | $ | 1.38 | ||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,024.00 | 6.93 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,025.40 | 5.67 | 1.13 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,027.90 | 1.91 | 0.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.91 | 1.91 | 0.38 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,027.40 | 2.36 | 0.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,026.80 | 3.17 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 | ||||||||||||
Government Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 976.70 | 3.63 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 973.10 | 7.19 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 973.00 | 7.19 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 974.60 | 4.85 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 977.10 | 2.30 | 0.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.46 | 2.36 | 0.47 | ||||||||||||
High Yield Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,109.50 | 6.01 | 1.15 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,105.40 | 9.34 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,105.70 | 9.35 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,106.80 | 7.26 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,110.00 | 4.50 | 0.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.53 | 4.31 | 0.86 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,111.10 | 4.19 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 |
274 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
Table of Contents
Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
High Yield Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,110.30 | $ | 4.71 | $ | 0.90 | ||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Limited Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,034.60 | 3.38 | 0.67 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.47 | 3.36 | 0.67 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,032.40 | 5.90 | 1.17 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.99 | 5.86 | 1.17 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,032.50 | 5.90 | 1.17 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.99 | 5.86 | 1.17 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,036.90 | 1.11 | 0.22 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.70 | 1.10 | 0.22 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,035.90 | 2.21 | 0.42 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.71 | 2.11 | 0.42 | ||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,022.10 | 3.21 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,024.70 | 1.20 | 0.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.60 | 1.20 | 0.24 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,023.90 | 1.96 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Short Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,003.60 | 3.97 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,001.00 | 6.45 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,001.10 | 6.45 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.35 | 6.51 | 1.30 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,004.00 | 1.49 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,006.20 | 2.74 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Short Term Bond Fund II | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,001.70 | 3.72 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Class M | ||||||||||||||||
Actual | 1,000.00 | 1,000.30 | 4.96 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 |
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 275 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, September 1, 2010 | Ending Account Value, February 28, 2011 | Expenses Paid During, September 1, 2010 to February 28, 2011* | Annualized Expense Ratio | |||||||||||||
Short Term Bond Fund II (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.80 | $ | 2.48 | $ | 0.50 | ||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
Treasury & Agency Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 996.80 | 3.47 | 0.70 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.32 | 3.51 | 0.70 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 993.40 | 5.93 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 998.00 | 2.23 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
276 | J.P. MORGAN INCOME FUNDS | FEBRUARY 28, 2011 |
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended February 28, 2011 (amounts in thousands):
Long-Term Capital Gain Distribution | ||||
High Yield Fund | $ | 14,314 | ||
Short Duration Bond Fund | 4,988 | |||
Treasury & Agency Fund | 7,609 |
Qualified Interest Income (QII)
For the fiscal year ended February 28, 2011, the Funds designate the following amounts of ordinary distributions paid during the Funds’ fiscal year that are from qualified interest income (amounts in thousands):
Qualified Interest Income | ||||
Core Bond Fund | $ | 621,115 | ||
Core Plus Bond Fund | 74,899 | |||
Government Bond Fund | 53,959 | |||
High Yield Fund | 528,497 | |||
Limited Duration Bond Fund | 8,603 | |||
Short Duration Bond Fund | 154,257 | |||
Short Term Bond Fund II | 1,327 | |||
Treasury & Agency Fund | 7,662 |
Treasury Income
The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 28, 2011:
Income from U.S. Treasury Obligations | ||||
Core Bond Fund | 23.60 | % | ||
Core Plus Bond Fund | 15.92 | |||
Government Bond Fund | 44.33 | |||
Mortgage-Backed Securities Fund | 18.35 | |||
Short Duration Bond Fund | 24.12 | |||
Short Term Bond Fund II | 26.78 | |||
Treasury & Agency Fund | 96.53 |
FEBRUARY 28, 2011 | J.P. MORGAN INCOME FUNDS | 277 |
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Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
![]() | © JPMorgan Chase & Co., 2011 All rights reserved. February 2011. | AN-INC2-211 |
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ITEM 2. | CODE OF ETHICS. |
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
(a) | (1) Disclose that the registrant’s board of directors has determined that the registrant either: |
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is William Armstrong. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a)Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2011 – $44,000
2010 – $43,900
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2011 – $36,110
2010 – $11,800
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the Registrant that were reasonably related to the performance of the annual audit of the Registrant’s financial statements.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2011 – $9,590
2010 – $9,640
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2011 and 2010, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2011 – Not applicable
2010 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of
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Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2011 – 0.0%
2010 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two calendar year ends were:
2010 – $31.8 million
2009 – $25.8 million
These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
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(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this
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paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. | EXHIBITS. |
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Mutual Fund Group
BY: | /S/ | |
Patricia A. Maleski President and Principal Executive Officer May 9, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
BY: | /S/ | |
Patricia A. Maleski President and Principal Executive Officer May 9, 2011 |
BY: | /S/ | |
Joy C. Dowd Treasurer and Principal Financial Officer May 9, 2011 |