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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, 2011 through August 31, 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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Semi-Annual Report
J.P. Morgan Income Funds
August 31, 2011 (Unaudited)
JPMorgan Core Bond Fund
JPMorgan Core Plus Bond Fund
JPMorgan Government Bond Fund
JPMorgan High Yield 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 | |||
Fund Commentaries: | ||||
3 | ||||
5 | ||||
8 | ||||
10 | ||||
12 | ||||
14 | ||||
16 | ||||
18 | ||||
Schedules of Portfolio Investments | 20 | |||
Financial Statements | 204 | |||
Financial Highlights | 222 | |||
Notes to Financial Statements | 238 | |||
Schedule of Shareholder Expenses | 258 | |||
Board Approval of Investment Advisory Agreements | 261 |
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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SEPTEMBER 23, 2011 (Unaudited)
Dear Shareholder:
For many investors, the main concern appears to be whether the market volatility witnessed this summer will continue into the winter.
As we enter the last quarter of 2011, concerns about softening economic data and the deteriorating debt situation in Europe continue to persist. Although we are encouraged that corporate earnings and industrial production have continued to grow, the markets suggest that investors still lack confidence in both the U.S. and Europe’s ability to address their respective economic and debt issues.
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“For many investors, the main concern appears to be whether the market volatility witnessed this summer will continue into the winter.” |
Investors flee stocks as global growth concerns mount
Concerns about the U.S. debt ceiling crisis, the credit downgrade of U.S.-issued debt, softer economic data and contagion from the European debt crisis triggered heightened volatility and a significant market downturn. In early August, all three major U.S. stock indices experienced their worst one-day performance since December 1, 2008, while the S&P 500 Index posted its worst weekly decline since March 2009 and fell 5.4% in the month of August. As of the end of the six-month reporting period ended August 31, 2011, the S&P 500 Index was at a level of 1,219, a decrease of 7.2% from six months earlier.
U.S. Treasuries rally as growth concerns fuel equity sell-off
Despite historically low yields and a credit downgrade, investors continued to invest in U.S. Treasury securities, as concerns about global economic growth and the Euro zone’s debt
problems fueled a heavy rotation out of stocks and into U.S. Treasury securities. At one point, 10-year U.S. Treasury yields dipped below 2.2%, its lowest level since 1950. The yield on the 10-year U.S. Treasury declined from 3.4% to 2.2% as of the end of the six-month reporting period ended August 31, 2011, while the yield on the 2-year Treasury dipped from 0.7% to 0.2%. Meanwhile, the yield on the 30-year U.S. Treasury bond also fell from 4.5% to 3.6% as of the end of the same period.
The European debt crisis — how deep?
The seemingly interminable European sovereign debt crisis continues to impact global markets. Both European governments and the European Central Bank (ECB) have made attempts to calm financial markets with low-interest loans to Greece and limited ECB purchases of sovereign debt. However, many investors remain skeptical about the rescue attempts and concerns about the crisis persist and will likely continue to contribute to market volatility.
As always, we encourage investors to be mindful of the impact of continued market uncertainty and unexpected risks on the economy by taking a balanced and diversified approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. 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
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 1 |
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J.P. Morgan Income Funds
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
Uncertainty surrounding global economic growth began to dampen investors’ appetite for risk in April 2011. This negative mood among investors worsened as the market seemed to lack confidence in the ability of European governments to combat the region’s debt crisis, stoking fear about economic contagion. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors.
Despite the credit downgrade, investors still sought safety in U.S. Treasury securities, helping trigger a sharp decline in interest rates for 2-, 5-, 10-, 15- and 30-year U.S. Treasury securities. Prices for these securities were higher and yields declined.
Given investors’ declining appetite for risk, agency mortgage-backed securities outperformed non-agency mortgage-backed securities during the reporting period, credit spreads widened (generally, bond prices decrease when credit spreads widen), and fixed income securities with higher-rated credit quality outperformed. Accordingly, the high yield fixed income securities (also known as “junk bonds”) market underperformed and was among the weakest performing asset classes in the U.S. taxable fixed income segment of the market.
2 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 5.07% | |||
Barclays Capital U.S. Aggregate Index | 5.49% | |||
Net Assets as of 8/31/2011 (In Thousands) | $ | 21,471,655 | ||
Duration as of 8/31/2011 | 4.4 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?
During the six months ended August 31, 2011, the Fund’s relative underperformance versus the Barclays Capital U.S. Aggregate Index (the “Benchmark”) was caused, in part, by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark and detracted from its relative performance as interest rates declined during the reporting period. In addition, the Fund’s exposure to non-agency collateralized mortgage obligations (“CMOs”), which underperformed agency CMOs, hurt the Fund’s relative performance versus the Benchmark.
The Fund’s underweight of U.S. Treasury securities also detracted from relative performance. However, 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) contributed to 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’s security selection among agency collateralized mortgage obligations also contributed to the Fund’s 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 overweight mortgage-backed securities. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 35.3 | % | ||
U.S. Treasury Obligations | 26.0 | |||
Corporate Bonds | 14.8 | |||
Mortgage Pass-Through Securities | 13.1 | |||
Asset-Backed Securities | 4.0 | |||
Commercial Mortgage-Backed Securities | 2.5 | |||
U.S. Government Agency Securities | 1.5 | |||
Others (each less than 1.0%) | 0.6 | |||
Short-Term Investment | 2.2 |
* | 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 August 31, 2011. The Fund’s composition is subject to change. |
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 3 |
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JPMorgan Core Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 5/1/92 | |||||||||||||||||||
Without Sales Charge | 4.98 | % | 5.06 | % | 6.91 | % | 5.77 | % | ||||||||||||
With Sales Charge** | 1.01 | 1.16 | 6.10 | 5.37 | ||||||||||||||||
CLASS B SHARES | 8/26/96 | |||||||||||||||||||
Without CDSC | 4.63 | 4.37 | 6.21 | 5.22 | ||||||||||||||||
With CDSC*** | (0.37 | ) | (0.63 | ) | 5.89 | 5.22 | ||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||
Without CDSC | 4.69 | 4.44 | 6.22 | 5.09 | ||||||||||||||||
With CDSC**** | 3.69 | 3.44 | 6.22 | 5.09 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 4.85 | 4.91 | 6.65 | 5.53 | |||||||||||||||
CLASS R5 SHARES | 5/15/06 | 5.14 | 5.37 | 7.23 | 6.04 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 5.07 | 5.43 | 7.28 | 6.10 | |||||||||||||||
SELECT CLASS SHARES | 6/1/91 | 5.07 | 5.27 | 7.08 | 5.97 |
* | Not annualized. |
** | 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 (8/31/01 TO 8/31/11)
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. 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 Core Bond Fund, the Barclays Capital U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from August 31, 2001 to August 31, 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 | AUGUST 31, 2011 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 2.96% | |||
Barclays Capital U.S. Aggregate Index | 5.49% | |||
Net Assets as of 8/31/2011 (In Thousands) | $ | 2,072,133 | ||
Duration as of 8/31/2011 | 5.1 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?
During the six months ended August 31, 2011, the Fund invested a percentage of its assets in high yield bonds (also known as “junk bonds”) and distressed debt securities, finishing the reporting period with approximately 22% of its assets allocated to these securities. High yield bonds and distressed debt securities were hurt by concerns about slowing economic growth and detracted from the Fund’s relative performance versus the Barclays Capital U.S. Aggregate Index (the “Benchmark”).
The Fund’s relative underperformance versus the Benchmark was also hurt by its duration. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s duration was slightly shorter than the Benchmark and detracted from its relative performance as interest rates declined during the reporting period.
The Fund’s underweight of U.S. Treasury securities also detracted from relative performance. However, 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) contributed to 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’s security selection among agency collateralized mortgage obligations also contributed to the Fund’s 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. The Fund was overweight the intermediate part of the yield curve (5-10 years) and underweight the front (1-5 years) and long (20-30 years) segments of the yield curve. The Fund also invested in emerging markets debt, high yield bonds and distressed debt fixed income securities during the reporting period.
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 38.0 | % | ||
Collateralized Mortgage Obligations | 22.3 | |||
U.S. Treasury Obligations | 18.6 | |||
Mortgage Pass-Through Securities | 5.2 | |||
Commercial Mortgage-Backed Securities | 4.2 | |||
Loan Participations & Assignments | 2.6 | |||
Asset-Backed Securities | 2.5 | |||
Foreign Government Securities | 1.9 | |||
U.S. Government Agency Securities | 1.1 | |||
Others (each less than 1.0%) | 1.8 | |||
Short-Term Investment | 1.8 |
* | 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 as of August 31, 2011. The Fund’s composition is subject to change. |
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 5 |
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JPMorgan Core Plus Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||||||
Without Sales Charge | 2.92 | % | 5.63 | % | 6.64 | % | 5.55 | % | ||||||||||||
With Sales Charge** | (0.95 | ) | 1.64 | 5.83 | 5.15 | |||||||||||||||
CLASS B SHARES | 5/31/95 | |||||||||||||||||||
Without CDSC | 2.43 | 4.88 | 6.01 | 5.07 | ||||||||||||||||
With CDSC*** | (2.57 | ) | (0.12 | ) | 5.69 | 5.07 | ||||||||||||||
CLASS C SHARES | 5/30/00 | |||||||||||||||||||
Without CDSC | 2.44 | 4.89 | 6.00 | 4.93 | ||||||||||||||||
With CDSC**** | 1.44 | 3.89 | 6.00 | 4.93 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 2.61 | 5.22 | 6.29 | 5.22 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 3.09 | 5.97 | 7.09 | 5.95 | |||||||||||||||
INSTITUTIONAL CLASS SHARES | 6/19/09 | 2.93 | 5.75 | 6.90 | 5.82 | |||||||||||||||
SELECT CLASS SHARES | 3/5/93 | 2.96 | 5.72 | 6.84 | 5.79 |
* | Not annualized. |
** | 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 (8/31/01 TO 8/31/11)
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. Class R2, 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 August 31, 2001 to August 31, 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.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
6 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 7 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 8.35% | |||
Barclays Capital U.S. Government Bond Index | 6.53% | |||
Net Assets as of 8/31/2011 (In Thousands) | $ | 1,386,053 | ||
Duration as of 8/31/2011 | 5.5 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, including agency collateralized mortgage obligations and U.S. Treasury securities. U.S. Treasury securities rallied during the reporting period as their yields fell significantly (generally, bond prices increase when their yields decline). While the Fund was underweight U.S. Treasuries relative to the Barclays Capital U.S. Government Bond Index, the longer duration of its zero coupon agency and U.S. Treasury securities caused it to outperform. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers aimed to keep the duration of the Fund around five years and focused on security selection, using bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 42.2 | % | ||
U.S. Treasury Obligations | 22.0 | |||
U.S. Government Agency Securities | 20.5 | |||
Mortgage Pass-Through Securities | 7.3 | |||
Foreign Government Security | 0.5 | |||
Short-Term Investment | 7.5 |
* | 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 August 31, 2011. The Fund’s composition is subject to change. |
8 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||||||
Without Sales Charge | 8.11 | % | 5.59 | % | 6.97 | % | 5.80 | % | ||||||||||||
With Sales Charge** | 4.06 | 1.62 | 6.15 | 5.39 | ||||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||
Without CDSC | 7.81 | 4.91 | 6.21 | 5.20 | ||||||||||||||||
With CDSC*** | 2.81 | (0.09 | ) | 5.89 | 5.20 | |||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||
Without CDSC | 7.72 | 4.82 | 6.20 | 5.06 | ||||||||||||||||
With CDSC**** | 6.72 | 3.82 | 6.20 | 5.06 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 8.07 | 5.33 | 6.71 | 5.56 | |||||||||||||||
SELECT CLASS SHARES | 2/8/93 | 8.35 | 5.86 | 7.27 | 6.06 |
* | Not annualized. |
** | 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 (8/31/01 TO 8/31/11)
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. Class R2 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 Government Bond Fund, the Barclays Capital U.S. Government Bond Index and the Lipper General U.S. Government Funds Index from August 31, 2001 to August 31, 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 9 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | -3.57% | |||
Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index | -1.57% | |||
Net Assets as of 8/31/2011 (In Thousands) | $9,654,813 | |||
Duration as of 8/31/2011 | 4.3 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?
Concerns about slowing economic growth and investors’ declining appetite for risk negatively impacted the high yield securities (also known as “junk bonds”) and loan assignments (“Loans”) markets during the six months ended August 31, 2011. The Fund underperformed the Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”).
Relative to the Benchmark, the Fund was overweight the Not Rated (“NR”) segment of the market, some of which represents loans, bonds and equity of companies going through financial restructuring or having just emerged from restructuring. Given investors’ risk aversion during the reporting period, these investments underperformed and detracted from relative performance.
The Fund’s security selection in the consumer cyclical and utility sectors detracted from relative performance. The Fund’s security selection in the energy and banking sectors contributed to 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 the Ba-rated securities, overweight B-, Baa-, and NR securities, and market weight in the Caa- and Ca-D-rated securities. The Fund continued to migrate up in quality versus the Benchmark, but finished the reporting period with a level of credit volatility that closely matched the Benchmark.
As of the end of the reporting period, the Fund’s allocation to Loans was approximately 15%. 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 Loans may offer attractive downside protection from this risk due to their seniority over subordinated debt. In addition, the Fund’s portfolio managers believed that Loans may offer the potential for upside return in a rising interest rate environment.
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 80.2 | % | ||
Loan Participations & Assignments | 14.4 | |||
Others (each less than 1.0%) | 1.7 | |||
Short-Term Investments | 3.7 |
* | 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 August 31, 2011. The Fund’s composition is subject to change. |
10 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 11/13/98 | |||||||||||||||||||
Without Sales Charge | (3.70 | )% | 6.84 | % | 7.12 | % | 7.73 | % | ||||||||||||
With Sales Charge** | (7.26 | ) | 2.89 | 6.30 | 7.32 | |||||||||||||||
CLASS B SHARES | 11/13/98 | |||||||||||||||||||
Without CDSC | (3.99 | ) | 6.13 | 6.42 | 7.16 | |||||||||||||||
With CDSC*** | (8.99 | ) | 1.13 | 6.11 | 7.16 | |||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||
Without CDSC | (4.01 | ) | 6.14 | 6.42 | 7.03 | |||||||||||||||
With CDSC**** | (5.01 | ) | 5.14 | 6.42 | 7.03 | |||||||||||||||
CLASS R2 SHARES | 11/3/08 | (3.69 | ) | 6.60 | 6.83 | 7.43 | ||||||||||||||
CLASS R5 SHARES | 5/15/06 | (3.43 | ) | 7.20 | 7.44 | 8.03 | ||||||||||||||
CLASS R6 SHARES | 2/22/05 | (3.40 | ) | 7.32 | 7.50 | 8.06 | ||||||||||||||
SELECT CLASS SHARES | 11/13/98 | (3.57 | ) | 7.06 | 7.38 | 8.00 |
* | Not annualized. |
** | 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 (8/31/01 TO 8/31/11)
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 August 31, 2001 to August 31, 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 11 |
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JPMorgan Mortgage-Backed Securities Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 3.88% | |||
Barclays Capital U.S. MBS Index | 4.81% | |||
Net Assets as of 8/31/2011 (In Thousands) | $ | 2,750,367 | ||
Duration as of 8/31/2011 | 3.2 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. Non-agency CMOs underperformed agency CMOs and hurt the Fund’s relative performance versus the Benchmark. However, the Fund’s security selection among mortgage pass-through and agency CMOs was positive and contributed to relative performance.
In addition, the Fund’s duration was slightly shorter than the Benchmark and detracted from relative performance as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.
The Fund invested a small percentage of its assets in U.S. Treasury securities, mostly on the intermediate part of the yield curve (5-10 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 relative 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).
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.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 61.7 | % | ||
Mortgage Pass-Through Securities | 26.3 | |||
Asset-Backed Securities | 2.2 | |||
U.S. Treasury Obligations | 2.0 | |||
Commercial Mortgage-Backed Securities | 1.5 | |||
U.S. Government Agency Securities | 0.4 | |||
Short-Term Investment | 5.9 |
* | 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 August 31, 2011. The Fund’s composition is subject to change. |
12 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 8/18/00 | |||||||||||||||||||
Without Sales Charge | 3.76 | % | 6.06 | % | 7.56 | % | 6.24 | % | ||||||||||||
With Sales Charge** | (0.15 | ) | 2.07 | 6.74 | 5.83 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 3.86 | 6.43 | 7.97 | 6.57 | |||||||||||||||
SELECT CLASS SHARES | 8/18/00 | 3.88 | 6.36 | 7.84 | 6.47 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
TEN YEAR PERFORMANCE (8/31/01 TO 8/31/11)
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 August 31, 2001 to August 31, 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 13 |
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JPMorgan Short Duration Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 1.39% | |||
Barclays Capital 1–3 Year U.S. Government/Credit Bond Index | 1.35% | |||
Net Assets as of 8/31/2011 (In Thousands) | $ | 9,737,924 | ||
Duration as of 8/31/2011 | 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 security selection among mortgage-backed securities and corporate holdings.
The Fund’s investments in agency collateralized mortgage obligations and mortgage pass-through securities were particularly strong contributors to relative performance, as these two assets classes performed well and were not represented in the Benchmark. The Fund’s security selection in the corporate sector relative to the Benchmark was also strong during the reporting period. 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 contributed to relative performance. The Fund was overweight the 3-5-year segment of the yield curve, which performed well during the reporting period, and underweight the 2-year portion of the yield curve. Meanwhile, the Fund’s overweight to asset-backed securities detracted from relative performance 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, agency securities, non-agency and agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities and credit securities (corporate and non-corporate securities, such as foreign agency and sovereign debt).
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 28.7 | % | ||
U.S. Government Agency Securities | 23.3 | |||
Corporate Bonds | 16.1 | |||
Collateralized Mortgage Obligations | 10.6 | |||
Asset-Backed Securities | 8.3 | |||
Mortgage Pass-Through Securities | 8.3 | |||
Commercial Mortgage-Backed Securities | 3.6 | |||
Others (each less than 1.0%) | 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 (excluding Investments of Cash Collateral for Securities on Loan) as of August 31, 2011. The Fund’s composition is subject to change. |
14 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||||||
Without Sales Charge | 1.27 | % | 1.64 | % | 3.92 | % | 3.46 | % | ||||||||||||
With Sales Charge** | (0.99 | ) | (0.62 | ) | 3.45 | 3.22 | ||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||
Without CDSC | 1.00 | 1.10 | 3.40 | 3.14 | ||||||||||||||||
With CDSC*** | (2.00 | ) | (1.90 | ) | 3.40 | 3.14 | ||||||||||||||
CLASS C SHARES | 11/1/01 | 0.99 | 1.10 | 3.39 | 2.93 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 1.44 | 2.06 | 4.43 | 3.89 | |||||||||||||||
SELECT CLASS SHARES | 9/4/90 | 1.39 | 1.80 | 4.18 | 3.72 |
* | Not annualized. |
** | 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 (8/31/01 TO 8/31/11)
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. Class C, 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 August 31, 2001 to August 31, 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 15 |
Table of Contents
JPMorgan Short Term Bond Fund II
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 1.26% | |||
Barclays Capital 1–3 Year U.S. Government Bond Index | 1.39% | |||
Net Assets as of 8/31/2011 (In Thousands) | $74,396 | |||
Duration as of 8/31/2011 | 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 underperformance versus the Barclays Capital 1–3 Year U.S. Government Bond Index (the “Benchmark”) was due, in part, to the Fund’s overweight of asset-backed and commercial mortgage backed securities, as well as the Fund’s underweight of U.S. Treasury securities, which performed strongly during the reporting period.
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) contributed to relative performance. The Fund was overweight the 3-5-year segment of the yield curve, which performed well during the reporting period, and underweight the 2-year portion of the yield curve. The Fund’s exposure to mortgage-backed securities and credit securities (corporate and non-corporate securities, such as foreign agency and sovereign debt), which are not held in the Benchmark, and security selection among agency securities contributed to the Fund’s relative performance.
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, agency securities, non-agency and agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities and credit securities.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 29.6 | % | ||
U.S. Government Agency Securities | 28.6 | |||
Corporate Bonds | 27.9 | |||
Asset-Backed Securities | 7.2 | |||
Collateralized Mortgage Obligations | 4.7 | |||
Mortgage Pass-Through Securities | 1.1 | |||
Others (each less than 1.0%) | 0.9 |
* | 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 August 31, 2011. The Fund’s composition is subject to change. |
16 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 5/6/96 | |||||||||||||||||||
Without Sales Charge | 1.01 | % | 1.18 | % | 1.00 | % | 1.79 | % | ||||||||||||
With Sales Charge** | (1.23 | ) | (1.05 | ) | 0.54 | 1.56 | ||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||||
Without Sales Charge | 1.00 | 1.03 | 0.77 | 1.54 | ||||||||||||||||
With Sales Charge*** | (0.47 | ) | (0.54 | ) | 0.47 | 1.39 | ||||||||||||||
SELECT CLASS SHARES | 11/30/90 | 1.26 | 1.44 | 1.28 | 2.05 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Sales charge for Class M Shares is 1.50%. |
TEN YEAR PERFORMANCE (8/31/01 TO 8/31/11)
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 August 31, 2001 to August 31, 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 17 |
Table of Contents
JPMorgan Treasury & Agency Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 2.00% | |||
Barclays Capital 1–5 Year U.S. Treasury Index | 3.00% | |||
Net Assets as of 8/31/2011 (In Thousands) | $401,706 | |||
Duration as of 8/31/2011 | 2.1 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 underperformance versus the Barclays Capital 1-5 Year U.S. Treasury Index (“Benchmark”) was driven, in part, by its underweight of U.S. Treasury securities, which performed strongly during the reporting period. The Benchmark holds only U.S. Treasury securities.
In addition, the Fund’s shorter duration hurt its relative performance versus the Benchmark, as interest rates declined during the reporting period. Duration is used to measure the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease, respectively, in price as interest rates go down or up, respectively, versus bonds with shorter duration.
The Fund allocated a portion of its assets to agency securities, which performed well and contributed to the Fund’s absolute return 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 | 77.6 | % | ||
U.S. Government Agency Securities | 21.6 | |||
Short-Term Investment | 0.8 |
* | 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 as of August 31, 2011. The Fund’s composition is subject to change. |
18 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2011 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 1/20/97 | |||||||||||||||||||
Without Sales Charge | 1.88 | % | 1.55 | % | 3.92 | % | 3.67 | % | ||||||||||||
With Sales Charge** | (0.46 | ) | (0.73 | ) | 3.46 | 3.44 | ||||||||||||||
CLASS B SHARES | 1/20/97 | |||||||||||||||||||
Without CDSC | 1.64 | 0.98 | 3.41 | 3.37 | ||||||||||||||||
With CDSC*** | (1.36 | ) | (2.02 | ) | 3.41 | 3.37 | ||||||||||||||
SELECT CLASS SHARES | 1/20/97 | 2.00 | 1.79 | 4.20 | 3.93 |
* | Not annualized. |
** | 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 (8/31/01 TO 8/31/11)
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 August 31, 2001 to August 31, 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 $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 19 |
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 4.0% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
15,100 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 15,100 | ||||||
13,583 | Series SART-1, Class A1, 2.630%, 05/10/42 (e) | 13,600 | ||||||
49,850 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 49,900 | ||||||
Ally Auto Receivables Trust, | ||||||||
2,280 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 2,298 | ||||||
5,131 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,160 | ||||||
10,410 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 10,482 | ||||||
5,804 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 5,911 | ||||||
5,977 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 6,001 | ||||||
8,933 | Series 2011-1, Class A2, 0.810%, 10/15/13 | 8,943 | ||||||
4,100 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 4,145 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
2,457 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 2,565 | ||||||
1,963 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 1,981 | ||||||
2,023 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 2,029 | ||||||
8,000 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 8,033 | ||||||
12,328 | Series 2010-4, Class A2, 0.960%, 05/08/14 | 12,334 | ||||||
3,375 | Series 2010-4, Class A3, 1.270%, 04/08/15 | 3,402 | ||||||
7,942 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 7,943 | ||||||
3,400 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 3,420 | ||||||
14,281 | Series 2011-3, Class A2, 0.840%, 11/10/14 | 14,268 | ||||||
576 | Ameriquest Mortgage Securities, Inc., | 575 | ||||||
7,092 | Arch Bay Asset-Backed Securities, | 7,056 | ||||||
13,022 | Asset-Backed Funding Certificates, | 12,039 | ||||||
Bank of America Auto Trust, | ||||||||
4,942 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 4,968 | ||||||
3,235 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 3,317 | ||||||
4,366 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 4,387 | ||||||
3,163 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 3,178 | ||||||
4,132 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 4,150 | ||||||
4,255 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,363 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
310 | Series 2010-2, Class A2, 0.910%, 10/15/12 | 310 | ||||||
5,110 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 5,135 | ||||||
7,795 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 7,981 | ||||||
1,492 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36 | 1,063 | ||||||
CarMax Auto Owner Trust, | ||||||||
4,629 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 4,650 | ||||||
11,080 | Series 2011-1, Class A3, 1.290%, 09/15/15 | 11,200 | ||||||
11,120 | Series 2011-1, Class A4, 2.160%, 09/15/16 | 11,487 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
3,497 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 3,360 | ||||||
4,250 | Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34 | 3,658 | ||||||
12,852 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 12,118 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
1,822 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 1,840 | ||||||
16,500 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 16,538 | ||||||
5,400 | Series 2010-A, Class B, 1.650%, 11/08/13 | 5,423 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
8,282 | Series 2002-C2, Class C2, 6.950%, 02/18/14 | 8,523 | ||||||
950 | Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,204 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
1,059 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 1,059 | ||||||
5,350 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 5,403 | ||||||
2,334 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33 | 2,244 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
1,651 | Series 2003-HE3, Class A, VAR, 0.598%, 12/25/33 | 1,429 | ||||||
17,846 | Series 2011-5, Class 1A1, VAR, 0.384%, 02/25/46 (e) (f) (i) | 16,329 | ||||||
CNH Equipment Trust, | ||||||||
1,956 | Series 2008-B, Class A4A, 5.600%, 11/17/14 | 1,981 | ||||||
13 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 13 | ||||||
837 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 838 | ||||||
5,753 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 5,775 | ||||||
16,000 | Series 2010-C, Class A3, 1.170%, 05/15/15 | 16,055 | ||||||
5,888 | Series 2011-A, Class A3, 1.200%, 05/16/16 | 5,924 | ||||||
4,801 | Series 2011-A, Class A4, 2.040%, 10/17/16 | 4,891 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
Countrywide Asset-Backed Certificates, | ||||||||
816 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 | 501 | ||||||
11 | Series 2004-1, Class 3A, VAR, 0.778%, 04/25/34 | 8 | ||||||
1,290 | Series 2004-1, Class M1, VAR, 0.968%, 03/25/34 | 961 | ||||||
949 | Series 2004-1, Class M2, VAR, 1.043%, 03/25/34 | 836 | ||||||
1,065 | Series 2004-6, Class M1, VAR, 0.818%, 10/25/34 | 597 | ||||||
548 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.528%, 11/25/35 | 506 | ||||||
993 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 583 | ||||||
2,400 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 2,614 | ||||||
1,400 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.318%, 12/25/36 | 1,271 | ||||||
10,200 | Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13 | 10,198 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2,868 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 2,891 | ||||||
5,000 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 5,236 | ||||||
3,420 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 3,447 | ||||||
6,200 | Series 2011-B, Class A2, 0.680%, 01/15/14 | 6,225 | ||||||
10,000 | Freedom Trust, Series 2011-1, Class A13, VAR, 1.064%, 11/30/37 (e) (f) (i) | 9,450 | ||||||
16,000 | GE Capital Credit Card Master Note Trust, Series 2009-2, Class A, 3.690%, 07/15/15 | 16,416 | ||||||
1,053 | GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 955 | ||||||
220 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.298%, 03/25/36 | 105 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
3,266 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 3,278 | ||||||
4,144 | Series 2010-1, Class A2, 0.830%, 11/15/13 | 4,144 | ||||||
5,904 | Series 2010-1, Class A3, 1.160%, 02/15/15 | 5,936 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
1,737 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 1,746 | ||||||
3,500 | Series 2009-2, Class A4, 4.430%, 07/15/15 | 3,610 | ||||||
1,397 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 1,407 | ||||||
4,200 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 4,315 | ||||||
5,200 | Series 2011-1, Class A4, 1.800%, 04/17/17 | 5,330 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
HSBC Home Equity Loan Trust, | ||||||||
3,024 | Series 2005-2, Class A1, VAR, 0.483%, 01/20/35 | 2,669 | ||||||
2,464 | Series 2005-2, Class M2, VAR, 0.703%, 01/20/35 | 2,157 | ||||||
5,189 | Series 2006-1, Class A1, VAR, 0.373%, 01/20/36 | 4,851 | ||||||
2,280 | Series 2006-2, Class A1, VAR, 0.363%, 03/20/36 | 2,135 | ||||||
8,216 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 8,262 | ||||||
986 | Series 2007-1, Class AS, VAR, 0.413%, 03/20/36 | 830 | ||||||
12,319 | Series 2007-3, Class APT, VAR, 1.413%, 11/20/36 | 10,989 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1,644 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 1,654 | ||||||
4,590 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,612 | ||||||
6,300 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 6,408 | ||||||
5,675 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 5,724 | ||||||
4,680 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 4,801 | ||||||
3,880 | Series 2011-B, Class A3, 1.040%, 09/15/15 | 3,907 | ||||||
5,798 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 5,855 | ||||||
1,489 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.418%, 03/25/36 | 861 | ||||||
John Deere Owner Trust, | ||||||||
595 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 597 | ||||||
2,563 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 2,572 | ||||||
5,015 | Series 2011-A, Class A3, 1.290%, 01/15/16 | 5,067 | ||||||
3,915 | Series 2011-A, Class A4, 1.960%, 04/16/18 | 4,028 | ||||||
11,447 | LAI Vehicle Lease Securitization Trust, | 11,436 | ||||||
15,618 | Lake Country Mortgage Loan Trust, | 14,911 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
5,600 | Series 2004-1, Class M1, VAR, 0.968%, 02/25/34 | 4,258 | ||||||
1,500 | Series 2004-3, Class M1, VAR, 0.788%, 07/25/34 | 1,088 | ||||||
1,355 | Series 2006-8, Class 2A2, VAR, 0.308%, 09/25/36 | 442 | ||||||
1,807 | Series 2006-WL2, Class 2A3, VAR, 0.418%, 01/25/36 | 1,379 | ||||||
4,776 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 4,901 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 21 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
2,165 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 2,180 | ||||||
6,000 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 6,038 | ||||||
3,273 | Series 2011-1, Class A3, 0.850%, 03/16/15 | 3,284 | ||||||
6,912 | Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 7,003 | ||||||
1,851 | Morgan Stanley ABS Capital I, | 1,816 | ||||||
45,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.218%, 12/26/22 (e) | 45,031 | ||||||
11,920 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20 | 11,930 | ||||||
4,000 | New Century Home Equity Loan Trust, | 3,807 | ||||||
6,377 | Newcastle Investment Trust, | 6,449 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
7,420 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 7,425 | ||||||
4,740 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 4,789 | ||||||
266 | Option One Mortgage Loan Trust, | 209 | ||||||
PennyMac Loan Trust, | ||||||||
1,853 | Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) | 1,853 | ||||||
14,000 | Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e) | 13,790 | ||||||
Real Estate Asset Trust, | ||||||||
12,137 | Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i) | 12,137 | ||||||
10,205 | Series 2011-3A, Class A1, 5.440%, 06/25/31 (e) | 10,205 | ||||||
100 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 44 | ||||||
10,000 | Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class A3, VAR, 0.558%, 10/25/35 | 8,178 | �� | |||||
Residential Asset Securities Corp., | ||||||||
74 | Series 2002-KS4, Class AIIB, VAR, 0.718%, 07/25/32 | 43 | ||||||
97 | Series 2003-KS5, Class AIIB, VAR, 0.798%, 07/25/33 | 61 | ||||||
116 | Series 2003-KS9, Class A2B, VAR, 0.858%, 11/25/33 | 54 | ||||||
2,500 | Series 2005-KS9, Class A3, VAR, 0.588%, 10/25/35 | 2,352 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
19,974 | Residential Credit Solutions Trust, | 19,926 | ||||||
1,741 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e) | 1,468 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
8,055 | Series 2010-3, Class A2, 0.930%, 06/17/13 | 8,059 | ||||||
6,100 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 6,106 | ||||||
1,200 | Series 2010-A, Class A3, 1.830%, | 1,212 | ||||||
4,595 | Series 2010-A, Class A4, 2.390%, | 4,707 | ||||||
4,318 | Series 2011-S2A, Class B, 2.060%, | 4,315 | ||||||
5,441 | Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33 | 5,442 | ||||||
5,000 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35 | 4,574 | ||||||
Structured Asset Securities Corp., | ||||||||
2,748 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 2,786 | ||||||
1,151 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 1,048 | ||||||
4,442 | Series 2004-6XS, Class A5A, SUB, 5.530%, 03/25/34 | 4,239 | ||||||
3,554 | Series 2004-6XS, Class A5B, SUB, 5.550%, 03/25/34 | 3,393 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
12,510 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 12,523 | ||||||
11,810 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 11,876 | ||||||
4,585 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 4,672 | ||||||
331 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 361 | ||||||
USAA Auto Owner Trust, | ||||||||
4,364 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 4,385 | ||||||
3,080 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 3,165 | ||||||
Westlake Automobile Receivables Trust, | ||||||||
2,966 | Series 2011-1A, Class A2, 1.080%, 07/15/13 (e) | 2,965 | ||||||
4,154 | Series 2011-1A, Class A3, 1.490%, 06/16/14 (e) | 4,158 | ||||||
World Omni Auto Receivables Trust, | ||||||||
426 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 428 | ||||||
7,045 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 7,192 | ||||||
|
| |||||||
Total Asset-Backed Securities | 854,617 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 35.5% |
| ||||||
Agency CMO — 23.5% |
| |||||||
Federal Home Loan Bank, | ||||||||
10,776 | 4.720%, 09/20/12 | 11,172 | ||||||
1,208 | Series 2000-0606, Class Y, 5.270%, 12/28/12 | 1,264 | ||||||
23,068 | Series 2000-1067, Class 1, 5.300%, 06/15/12 | 23,495 | ||||||
11,919 | Series TQ-2015, Class A, 5.065%, 10/20/15 | 13,067 | ||||||
Federal Home Loan Mortgage Corp. — Government National Mortgage Association, | ||||||||
552 | Series 8, Class ZA, 7.000%, 03/25/23 | 622 | ||||||
334 | Series 24, Class ZE, 6.250%, 11/25/23 | 379 | ||||||
2,427 | Series 29, Class L, 7.500%, 04/25/24 | 2,526 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
77 | Series 11, Class D, 9.500%, 07/15/19 | 83 | ||||||
25 | Series 22, Class C, 9.500%, 04/15/20 | 27 | ||||||
39 | Series 23, Class F, 9.600%, 04/15/20 | 44 | ||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 2 | ||||||
16 | Series 46, Class B, 7.800%, 09/15/20 | 19 | ||||||
8 | Series 47, Class F, 10.000%, 06/15/20 | 9 | ||||||
— | (h) | Series 85, Class C, 8.600%, 01/15/21 | — | (h) | ||||
28 | Series 99, Class Z, 9.500%, 01/15/21 | 31 | ||||||
81 | Series 114, Class H, 6.950%, 01/15/21 | 91 | ||||||
— | (h) | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 | 16 | |||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
15 | Series 1065, Class J, 9.000%, 04/15/21 | 18 | ||||||
9 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 | 17 | ||||||
22 | Series 1084, Class F, VAR, 1.200%, 05/15/21 | 22 | ||||||
16 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 | 28 | ||||||
23 | Series 1116, Class I, 5.500%, 08/15/21 | 26 | ||||||
73 | Series 1144, Class KB, 8.500%, 09/15/21 | 85 | ||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 3 | |||||
1 | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 | 27 | ||||||
55 | Series 1206, Class IA, 7.000%, 03/15/22 | 62 | ||||||
71 | Series 1250, Class J, 7.000%, 05/15/22 | 83 | ||||||
172 | Series 1343, Class LA, 8.000%, 08/15/22 | 205 | ||||||
69 | Series 1343, Class LB, 7.500%, 08/15/22 | 82 | ||||||
113 | Series 1370, Class JA, VAR, 1.400%, 09/15/22 | 113 | ||||||
112 | Series 1455, Class WB, IF, 4.550%, 12/15/22 | 116 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,053 | Series 1466, Class PZ, 7.500%, 02/15/23 | 1,214 | ||||||
16 | Series 1470, Class F, VAR, 2.338%, 02/15/23 | 17 | ||||||
188 | Series 1491, Class I, 7.500%, 04/15/23 | 224 | ||||||
609 | Series 1498, Class I, VAR, 1.400%, 04/15/23 | 609 | ||||||
796 | Series 1502, Class PX, 7.000%, 04/15/23 | 912 | ||||||
106 | Series 1505, Class Q, 7.000%, 05/15/23 | 121 | ||||||
444 | Series 1518, Class G, IF, 8.854%, 05/15/23 | 524 | ||||||
81 | Series 1541, Class M, HB, IF, 22.220%, 07/15/23 | 126 | ||||||
387 | Series 1541, Class O, VAR, 1.920%, 07/15/23 | 397 | ||||||
22 | Series 1570, Class F, VAR, 2.838%, 08/15/23 | 23 | ||||||
821 | Series 1573, Class PZ, 7.000%, 09/15/23 | 939 | ||||||
485 | Series 1591, Class PV, 6.250%, 10/15/23 | 515 | ||||||
26 | Series 1595, Class D, 7.000%, 10/15/13 | 27 | ||||||
80 | Series 1596, Class D, 6.500%, 10/15/13 | 83 | ||||||
51 | Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 | 79 | ||||||
18 | Series 1607, Class SA, IF, 19.910%, 10/15/13 | 21 | ||||||
2,736 | Series 1608, Class L, 6.500%, 09/15/23 | 3,119 | ||||||
1,003 | Series 1609, Class LG, IF, 16.792%, 11/15/23 | 1,214 | ||||||
969 | Series 1642, Class PJ, 6.000%, 11/15/23 | 1,011 | ||||||
419 | Series 1658, Class GZ, 7.000%, 01/15/24 | 481 | ||||||
16 | Series 1671, Class L, 7.000%, 02/15/24 | 20 | ||||||
21 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 22 | ||||||
24 | Series 1686, Class SH, IF, 18.675%, 02/15/24 | 39 | ||||||
343 | Series 1695, Class EB, 7.000%, 03/15/24 | 394 | ||||||
65 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 | 65 | ||||||
429 | Series 1700, Class GA, PO, 02/15/24 | 371 | ||||||
1,799 | Series 1706, Class K, 7.000%, 03/15/24 | 2,094 | ||||||
32 | Series 1709, Class FA, VAR, 2.120%, 03/15/24 | 33 | ||||||
1,185 | Series 1720, Class PL, 7.500%, 04/15/24 | 1,377 | ||||||
1,322 | Series 1737, Class L, 6.000%, 06/15/24 | 1,452 | ||||||
163 | Series 1745, Class D, 7.500%, 08/15/24 | 195 | ||||||
1,002 | Series 1798, Class F, 5.000%, 05/15/23 | 1,099 | ||||||
21 | Series 1807, Class G, 9.000%, 10/15/20 | 23 | ||||||
218 | Series 1829, Class ZB, 6.500%, 03/15/26 | 244 | ||||||
19 | Series 1844, Class E, 6.500%, 10/15/13 | 20 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 23 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,422 | Series 1863, Class Z, 6.500%, 07/15/26 | 1,622 | ||||||
58 | Series 1865, Class D, PO, 02/15/24 | 39 | ||||||
144 | Series 1890, Class H, 7.500%, 09/15/26 | 170 | ||||||
386 | Series 1899, Class ZE, 8.000%, 09/15/26 | 456 | ||||||
906 | Series 1927, Class PH, 7.500%, 01/15/27 | 1,058 | ||||||
858 | Series 1927, Class ZA, 6.500%, 01/15/27 | 857 | ||||||
22 | Series 1935, Class FL, VAR, 0.950%, 02/15/27 | 23 | ||||||
311 | Series 1963, Class Z, 7.500%, 01/15/27 | 363 | ||||||
46 | Series 1970, Class PG, 7.250%, 07/15/27 | 54 | ||||||
877 | Series 1981, Class Z, 6.000%, 05/15/27 | 964 | ||||||
562 | Series 1983, Class Z, 6.500%, 12/15/23 | 646 | ||||||
336 | Series 1987, Class PE, 7.500%, 09/15/27 | 394 | ||||||
522 | Series 2019, Class Z, 6.500%, 12/15/27 | 606 | ||||||
129 | Series 2025, Class PE, 6.300%, 01/15/13 | 128 | ||||||
1,959 | Series 2033, Class J, 5.600%, 06/15/23 | 2,156 | ||||||
226 | Series 2033, Class SN, HB, IF, 25.422%, 03/15/24 | 156 | ||||||
601 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 130 | ||||||
1,667 | Series 2040, Class PE, 7.500%, 03/15/28 | 2,004 | ||||||
679 | Series 2054, Class PV, 7.500%, 05/15/28 | 699 | ||||||
123 | Series 2055, Class OE, 6.500%, 05/15/13 | 123 | ||||||
220 | Series 2056, Class TD, 6.500%, 05/15/18 | 242 | ||||||
987 | Series 2063, Class PG, 6.500%, 06/15/28 | 1,142 | ||||||
175 | Series 2064, Class TE, 7.000%, 06/15/28 | 208 | ||||||
616 | Series 2070, Class C, 6.000%, 07/15/28 | 693 | ||||||
2,016 | Series 2075, Class PH, 6.500%, 08/15/28 | 2,332 | ||||||
2,157 | Series 2075, Class PM, 6.250%, 08/15/28 | 2,280 | ||||||
532 | Series 2086, Class GB, 6.000%, 09/15/28 | 557 | ||||||
735 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 163 | ||||||
2,165 | Series 2095, Class PE, 6.000%, 11/15/28 | 2,453 | ||||||
428 | Series 2102, Class TC, 6.000%, 12/15/13 | 446 | ||||||
233 | Series 2102, Class TU, 6.000%, 12/15/13 | 243 | ||||||
3,083 | Series 2106, Class ZD, 6.000%, 12/15/28 | 3,384 | ||||||
5,821 | Series 2110, Class PG, 6.000%, 01/15/29 | 6,389 | ||||||
972 | Series 2115, Class PE, 6.000%, 01/15/14 | 999 | ||||||
1,176 | Series 2125, Class JZ, 6.000%, 02/15/29 | 1,251 | ||||||
2,710 | Series 2126, Class CB, 6.250%, 02/15/29 | 2,907 | ||||||
141 | Series 2132, Class SB, HB, IF, 29.734%, 03/15/29 | 244 | ||||||
100 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 16 | ||||||
28 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 2 | ||||||
78 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 17 | ||||||
258 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 61 | ||||||
4,046 | Series 2169, Class TB, 7.000%, 06/15/29 | 4,721 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,476 | Series 2172, Class QC, 7.000%, 07/15/29 | 1,725 | ||||||
905 | Series 2176, Class OJ, 7.000%, 08/15/29 | 1,080 | ||||||
5 | Series 2196, Class TL, 7.500%, 11/15/29 | 5 | ||||||
768 | Series 2201, Class C, 8.000%, 11/15/29 | 910 | ||||||
2,030 | Series 2208, Class PG, 7.000%, 01/15/30 | 2,418 | ||||||
385 | Series 2209, Class TC, 8.000%, 01/15/30 | 458 | ||||||
1,228 | Series 2210, Class Z, 8.000%, 01/15/30 | 1,485 | ||||||
361 | Series 2224, Class CB, 8.000%, 03/15/30 | 431 | ||||||
408 | Series 2230, Class Z, 8.000%, 04/15/30 | 486 | ||||||
334 | Series 2234, Class PZ, 7.500%, 05/15/30 | 394 | ||||||
286 | Series 2247, Class Z, 7.500%, 08/15/30 | 338 | ||||||
769 | Series 2256, Class MC, 7.250%, 09/15/30 | 917 | ||||||
1,319 | Series 2259, Class ZM, 7.000%, 10/15/30 | 1,544 | ||||||
28 | Series 2261, Class ZY, 7.500%, 10/15/30 | 33 | ||||||
96 | Series 2262, Class Z, 7.500%, 10/15/30 | 114 | ||||||
1,243 | Series 2271, Class PC, 7.250%, 12/15/30 | 1,484 | ||||||
2,186 | Series 2283, Class K, 6.500%, 12/15/23 | 2,360 | ||||||
662 | Series 2296, Class PD, 7.000%, 03/15/31 | 775 | ||||||
2,629 | Series 2301, Class PA, 6.000%, 10/15/13 | 2,698 | ||||||
252 | Series 2306, Class K, PO, 05/15/24 | 233 | ||||||
602 | Series 2306, Class SE, IF, IO, 7.630%, 05/15/24 | 115 | ||||||
450 | Series 2313, Class LA, 6.500%, 05/15/31 | 489 | ||||||
929 | Series 2325, Class PM, 7.000%, 06/15/31 | 1,044 | ||||||
1,719 | Series 2332, Class ZH, 7.000%, 07/15/31 | 1,875 | ||||||
277 | Series 2333, Class HC, 6.000%, 07/15/31 | 277 | ||||||
1,852 | Series 2344, Class QG, 6.000%, 08/15/16 | 1,990 | ||||||
9,673 | Series 2344, Class ZD, 6.500%, 08/15/31 | 10,776 | ||||||
1,059 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 1,185 | ||||||
848 | Series 2345, Class NE, 6.500%, 08/15/31 | 899 | ||||||
936 | Series 2345, Class PQ, 6.500%, 08/15/16 | 988 | ||||||
362 | Series 2347, Class VP, 6.500%, 03/15/20 | 370 | ||||||
1,124 | Series 2351, Class PZ, 6.500%, 08/15/31 | 1,213 | ||||||
2,448 | Series 2353, Class TD, 6.000%, 09/15/16 | 2,599 | ||||||
783 | Series 2355, Class BP, 6.000%, 09/15/16 | 840 | ||||||
253 | Series 2359, Class PM, 6.000%, 09/15/16 | 268 | ||||||
2,140 | Series 2359, Class ZB, 8.500%, 06/15/31 | 2,542 | ||||||
1,294 | Series 2360, Class PG, 6.000%, 09/15/16 | 1,396 | ||||||
219 | Series 2363, Class PF, 6.000%, 09/15/16 | 236 | ||||||
666 | Series 2366, Class MD, 6.000%, 10/15/16 | 717 | ||||||
799 | Series 2367, Class ME, 6.500%, 10/15/31 | 887 | ||||||
977 | Series 2388, Class FB, VAR, 0.807%, 01/15/29 | 980 | ||||||
1,957 | Series 2391, Class QR, 5.500%, 12/15/16 | 2,101 | ||||||
567 | Series 2394, Class MC, 6.000%, 12/15/16 | 611 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,000 | Series 2399, Class OH, 6.500%, 01/15/32 | 1,119 | ||||||
1,684 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,879 | ||||||
1,816 | Series 2410, Class NG, 6.500%, 02/15/32 | 2,055 | ||||||
997 | Series 2410, Class OE, 6.375%, 02/15/32 | 1,114 | ||||||
2,263 | Series 2410, Class QS, IF, 18.961%, 02/15/32 | 2,672 | ||||||
635 | Series 2410, Class QX, IF, IO, 8.443%, 02/15/32 | 148 | ||||||
2,321 | Series 2412, Class SP, IF, 15.686%, 02/15/32 | 2,957 | ||||||
4,497 | Series 2418, Class FO, VAR, 1.107%, 02/15/32 | 4,545 | ||||||
2,045 | Series 2420, Class XK, 6.500%, 02/15/32 | 2,278 | ||||||
1,173 | Series 2423, Class MC, 7.000%, 03/15/32 | 1,322 | ||||||
1,544 | Series 2423, Class MT, 7.000%, 03/15/32 | 1,739 | ||||||
1,840 | Series 2423, Class TB, 6.500%, 03/15/32 | 2,052 | ||||||
530 | Series 2425, Class OB, 6.000%, 03/15/17 | 574 | ||||||
2,552 | Series 2430, Class WF, 6.500%, 03/15/32 | 2,950 | ||||||
3,099 | Series 2434, Class TC, 7.000%, 04/15/32 | 3,558 | ||||||
6,368 | Series 2434, Class ZA, 6.500%, 04/15/32 | 7,365 | ||||||
1,797 | Series 2435, Class CJ, 6.500%, 04/15/32 | 2,125 | ||||||
875 | Series 2435, Class VH, 6.000%, 07/15/19 | 879 | ||||||
1,249 | Series 2436, Class MC, 7.000%, 04/15/32 | 1,419 | ||||||
664 | Series 2441, Class GF, 6.500%, 04/15/32 | 768 | ||||||
1,450 | Series 2444, Class ES, IF, IO, 7.743%, 03/15/32 | 291 | ||||||
1,177 | Series 2450, Class GZ, 7.000%, 05/15/32 | 1,375 | ||||||
946 | Series 2450, Class SW, IF, IO, 7.793%, 03/15/32 | 189 | ||||||
2,415 | Series 2455, Class GK, 6.500%, 05/15/32 | 2,771 | ||||||
398 | Series 2458, Class QE, 5.500%, 06/15/17 | 426 | ||||||
1,831 | Series 2458, Class ZM, 6.500%, 06/15/32 | 2,078 | ||||||
1,838 | Series 2463, Class CE, 6.000%, 06/15/17 | 1,979 | ||||||
1,618 | Series 2466, Class DH, 6.500%, 06/15/32 | 1,832 | ||||||
2,159 | Series 2466, Class PG, 6.500%, 04/15/32 | 2,283 | ||||||
1,400 | Series 2466, Class PH, 6.500%, 06/15/32 | 1,647 | ||||||
1,986 | Series 2474, Class NR, 6.500%, 07/15/32 | 2,271 | ||||||
5,140 | Series 2475, Class S, IF, IO, 7.793%, 02/15/32 | 859 | ||||||
3,106 | Series 2484, Class LZ, 6.500%, 07/15/32 | 3,603 | ||||||
264 | Series 2488, Class WS, IF, 16.264%, 08/15/17 | 307 | ||||||
5,166 | Series 2500, Class MC, 6.000%, 09/15/32 | 5,725 | ||||||
689 | Series 2508, Class AQ, 5.500%, 10/15/17 | 747 | ||||||
4,073 | Series 2512, Class PG, 5.500%, 10/15/22 | 4,512 | ||||||
142 | Series 2513, Class YO, PO, 02/15/32 | 141 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,406 | Series 2515, Class DE, 4.000%, 03/15/32 | 1,453 | ||||||
1,245 | Series 2515, Class MG, 4.000%, 09/15/17 | 1,295 | ||||||
794 | Series 2518, Class PX, 5.500%, 09/15/13 | 821 | ||||||
8 | Series 2519, Class BT, 8.500%, 09/15/31 | 8 | ||||||
1,594 | Series 2535, Class BK, 5.500%, 12/15/22 | 1,764 | ||||||
3,385 | Series 2537, Class TE, 5.500%, 12/15/17 | 3,650 | ||||||
1,595 | Series 2543, Class LX, 5.000%, 12/15/17 | 1,722 | ||||||
5,462 | Series 2543, Class YX, 6.000%, 12/15/32 | 6,222 | ||||||
3,276 | Series 2544, Class HC, 6.000%, 12/15/32 | 3,669 | ||||||
3,565 | Series 2549, Class ZG, 5.000%, 01/15/18 | 3,814 | ||||||
3,763 | Series 2552, Class ME, 6.000%, 01/15/33 | 4,231 | ||||||
1,904 | Series 2567, Class QD, 6.000%, 02/15/33 | 2,177 | ||||||
15,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 16,653 | ||||||
1,922 | Series 2571, Class FY, VAR, 0.957%, 12/15/32 | 1,935 | ||||||
335 | Series 2571, Class SK, HB, IF, 33.606%, 09/15/23 | 616 | ||||||
1,133 | Series 2571, Class SY, IF, 18.103%, 12/15/32 | 1,454 | ||||||
2,196 | Series 2574, Class HP, 5.000%, 02/15/18 | 2,373 | ||||||
8,791 | Series 2575, Class ME, 6.000%, 02/15/33 | 10,043 | ||||||
1,416 | Series 2586, Class HD, 5.500%, 03/15/23 | 1,538 | ||||||
1,477 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 279 | ||||||
1,705 | Series 2594, Class VQ, 6.000%, 08/15/20 | 1,730 | ||||||
1,420 | Series 2595, Class HC, 5.500%, 04/15/23 | 1,681 | ||||||
2,051 | Series 2596, Class QG, 6.000%, 03/15/33 | 2,307 | ||||||
1,154 | Series 2597, Class AD, 6.500%, 03/15/32 | 1,200 | ||||||
410 | Series 2597, Class DS, IF, IO, 7.343%, 02/15/33 | 23 | ||||||
539 | Series 2599, Class DS, IF, IO, 6.793%, 02/15/33 | 26 | ||||||
2,168 | Series 2610, Class DS, IF, IO, 6.893%, 03/15/33 | 67 | ||||||
1,320 | Series 2611, Class SH, IF, IO, 7.443%, 10/15/21 | 24 | ||||||
1,494 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,577 | ||||||
3,631 | Series 2617, Class GR, 4.500%, 05/15/18 | 3,876 | ||||||
138 | Series 2619, Class HR, 3.500%, 11/15/31 | 142 | ||||||
269 | Series 2619, Class IM, IO, 5.000%, 10/15/21 | 3 | ||||||
4,947 | Series 2626, Class NS, IF, IO, 6.343%, 06/15/23 | 362 | ||||||
184 | Series 2628, Class WA, 4.000%, 07/15/28 | 185 | ||||||
1,767 | Series 2629, Class BY, IO, 4.500%, 03/15/18 | 128 | ||||||
1,238 | Series 2630, Class S, IF, IO, 6.943%, 01/15/17 | 22 | ||||||
7,882 | Series 2631, Class LC, 4.500%, 06/15/18 | 8,406 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 25 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,546 | Series 2631, Class SA, IF, 14.470%, 06/15/33 | 7,889 | ||||||
12,288 | Series 2636, Class Z, 4.500%, 06/15/18 | 13,102 | ||||||
1,541 | Series 2637, Class SA, IF, IO, 5.893%, 06/15/18 | 177 | ||||||
920 | Series 2638, Class DS, IF, 8.393%, 07/15/23 | 997 | ||||||
142 | Series 2638, Class SA, IF, IO, 6.893%, 11/15/16 | 1 | ||||||
1,230 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 93 | ||||||
5,110 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 361 | ||||||
17 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | — | (h) | |||||
798 | Series 2640, Class VE, 3.250%, 07/15/22 | 824 | ||||||
738 | Series 2642, Class SL, IF, 6.706%, 07/15/33 | 753 | ||||||
469 | Series 2646, Class SH, IF, 13.529%, 07/15/33 | 499 | ||||||
1,629 | Series 2649, Class QE, 4.500%, 08/15/17 | 1,647 | ||||||
719 | Series 2650, Class PO, PO, 12/15/32 | 681 | ||||||
3,366 | Series 2650, Class SO, PO, 12/15/32 | 3,195 | ||||||
12,389 | Series 2651, Class VZ, 4.500%, 07/15/18 | 13,204 | ||||||
3,927 | Series 2655, Class EO, PO, 02/15/33 | 3,697 | ||||||
1,359 | Series 2658, Class PE, 4.500%, 11/15/16 | 1,379 | ||||||
730 | Series 2667, Class SW, IF, 6.598%, 01/15/18 | 759 | ||||||
156 | Series 2668, Class S, IF, 11.586%, 09/15/33 | 157 | ||||||
679 | Series 2668, Class SB, IF, 7.016%, 10/15/15 | 682 | ||||||
2,068 | Series 2671, Class S, IF, 14.378%, 09/15/33 | 2,487 | ||||||
3,598 | Series 2672, Class ME, 5.000%, 11/15/22 | 3,931 | ||||||
295 | Series 2672, Class SJ, IF, 6.971%, 09/15/16 | 299 | ||||||
11,345 | Series 2675, Class CK, 4.000%, 09/15/18 | 12,034 | ||||||
394 | Series 2676, Class TS, IF, 15.824%, 01/15/32 | 404 | ||||||
8,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 8,798 | ||||||
2,805 | Series 2682, Class YS, IF, 8.718%, 10/15/33 | 2,829 | ||||||
18,000 | Series 2684, Class PO, PO, 01/15/33 | 16,623 | ||||||
66 | Series 2684, Class SN, HB, IF, 27.214%, 10/15/33 | 73 | ||||||
1,192 | Series 2684, Class TO, PO, 10/15/33 | 1,131 | ||||||
208 | Series 2686, Class GB, 5.000%, 05/15/20 | 208 | ||||||
753 | Series 2686, Class NS, IF, IO, 7.393%, 10/15/21 | 26 | ||||||
12,300 | Series 2690, Class SJ, IF, 8.839%, 10/15/33 | 12,634 | ||||||
898 | Series 2691, Class ND, 5.000%, 10/15/28 | 902 | ||||||
807 | Series 2691, Class SE, IF, 9.248%, 12/15/28 | 820 | ||||||
950 | Series 2691, Class SM, IF, 8.839%, 10/15/33 | 961 | ||||||
1,297 | Series 2691, Class WS, IF, 8.689%, 10/15/33 | 1,310 | ||||||
2,326 | Series 2692, Class SC, IF, 12.872%, 07/15/33 | 2,629 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
461 | Series 2694, Class SQ, IF, 8.718%, 10/15/33 | 461 | ||||||
1,142 | Series 2695, Class DE, 4.000%, 01/15/17 | 1,163 | ||||||
2,142 | Series 2695, Class OB, PO, 10/15/33 | 1,823 | ||||||
465 | Series 2696, Class CO, PO, 10/15/18 | 427 | ||||||
237 | Series 2697, Class LE, 4.500%, 11/15/20 | 239 | ||||||
1,691 | Series 2698, Class SV, IF, 8.689%, 11/15/33 | 1,701 | ||||||
4,294 | Series 2700, Class S, IF, 8.689%, 11/15/33 | 4,349 | ||||||
1,791 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,938 | ||||||
1,209 | Series 2705, Class SC, IF, 8.689%, 11/15/33 | 1,222 | ||||||
1,938 | Series 2705, Class SD, IF, 8.734%, 11/15/33 | 1,999 | ||||||
7,400 | Series 2707, Class QE, 4.500%, 11/15/18 | 8,164 | ||||||
5,000 | Series 2709, Class PG, 5.000%, 11/15/23 | 5,669 | ||||||
2,000 | Series 2710, Class HB, 5.500%, 11/15/23 | 2,291 | ||||||
2,240 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,456 | ||||||
4,480 | Series 2716, Class UN, 4.500%, 12/15/23 | 4,876 | ||||||
1,985 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,182 | ||||||
3,233 | Series 2725, Class OP, PO, 10/15/33 | 3,030 | ||||||
15,954 | Series 2727, Class BS, IF, 8.764%, 01/15/34 | 16,185 | ||||||
10,505 | Series 2733, Class SB, IF, 7.824%, 10/15/33 | 11,839 | ||||||
1,503 | Series 2743, Class HD, 4.500%, 08/15/17 | 1,549 | ||||||
5,000 | Series 2743, Class HE, 4.500%, 02/15/19 | 5,512 | ||||||
236 | Series 2744, Class FE, VAR, 02/15/34 | 236 | ||||||
129 | Series 2744, Class PD, 5.500%, 08/15/33 | 130 | ||||||
2,535 | Series 2744, Class PE, 5.500%, 02/15/34 | 2,763 | ||||||
5,319 | Series 2744, Class TU, 5.500%, 05/15/32 | 5,676 | ||||||
2,752 | Series 2748, Class KO, PO, 10/15/23 | 2,613 | ||||||
10 | Series 2754, Class JG, 4.500%, 03/15/33 | 10 | ||||||
1,155 | Series 2755, Class PA, PO, 02/15/29 | 1,116 | ||||||
1,901 | Series 2755, Class SA, IF, 13.786%, 05/15/30 | 2,146 | ||||||
3,857 | Series 2758, Class AO, PO, 03/15/19 | 3,731 | ||||||
49 | Series 2762, Class LO, PO, 03/15/34 | 49 | ||||||
20 | Series 2766, Class SX, IF, 15.935%, 03/15/34 | 20 | ||||||
2,370 | Series 2770, Class TW, 4.500%, 03/15/19 | 2,626 | ||||||
298 | Series 2771, Class FG, VAR, 0.000%, 03/15/34 | 292 | ||||||
1,221 | Series 2776, Class SK, IF, 8.764%, 04/15/34 | 1,224 | ||||||
5,717 | Series 2777, Class KO, PO, 02/15/33 | 5,458 | ||||||
1,649 | Series 2778, Class US, IF, IO, 6.993%, 06/15/33 | 50 | ||||||
410 | Series 2780, Class JG, 4.500%, 04/15/19 | 433 | ||||||
1,000 | Series 2780, Class SY, IF, 16.044%, 11/15/33 | 1,184 | ||||||
5,672 | Series 2802, Class OH, 6.000%, 05/15/34 | 6,600 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
722 | Series 2809, Class UB, 4.000%, 09/15/17 | 734 | ||||||
2,000 | Series 2809, Class UC, 4.000%, 06/15/19 | 2,141 | ||||||
749 | Series 2812, Class AB, 4.500%, 10/15/18 | 774 | ||||||
4,031 | Series 2812, Class NO, PO, 10/15/33 | 3,067 | ||||||
6,150 | Series 2827, Class QE, 5.500%, 03/15/33 | 6,519 | ||||||
51 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 51 | ||||||
2,860 | Series 2835, Class BO, PO, 12/15/28 | 2,693 | ||||||
540 | Series 2835, Class QO, PO, 12/15/32 | 486 | ||||||
535 | Series 2840, Class JO, PO, 06/15/23 | 503 | ||||||
660 | Series 2863, Class JA, 4.500%, 09/15/19 | 699 | ||||||
1,837 | Series 2864, Class GB, 4.000%, 09/15/19 | 1,947 | ||||||
326 | Series 2865, Class GO, PO, 10/15/33 | 318 | ||||||
496 | Series 2897, Class EO, PO, 10/15/31 | 493 | ||||||
1,060 | Series 2903, Class UZ, 5.500%, 07/15/31 | 1,080 | ||||||
2,789 | Series 2903, Class Z, 5.000%, 12/15/24 | 3,087 | ||||||
7,872 | Series 2921, Class MD, 5.000%, 06/15/33 | 8,245 | ||||||
9,821 | Series 2922, Class JN, 4.500%, 02/15/20 | 10,598 | ||||||
200 | Series 2925, Class MW, VAR, 01/15/35 | 199 | ||||||
1,984 | Series 2929, Class MS, HB, IF, 27.248%, 02/15/35 | 3,279 | ||||||
13,621 | Series 2934, Class EC, PO, 02/15/20 | 13,124 | ||||||
763 | Series 2934, Class EN, PO, 02/15/18 | 725 | ||||||
4,057 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 454 | ||||||
2,920 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 343 | ||||||
1,514 | Series 2945, Class SA, IF, 11.921%, 03/15/20 | 1,764 | ||||||
2,319 | Series 2965, Class GD, 4.500%, 04/15/20 | 2,568 | ||||||
1,324 | Series 2967, Class S, HB, IF, 32.685%, 04/15/25 | 2,030 | ||||||
10,244 | Series 2968, Class EH, 6.000%, 04/15/35 | 12,182 | ||||||
5,000 | Series 2968, Class MD, 5.500%, 12/15/33 | 5,540 | ||||||
3,760 | Series 2981, Class FA, VAR, 0.607%, 05/15/35 | 3,741 | ||||||
3,519 | Series 2988, Class AF, VAR, 0.507%, 06/15/35 | 3,488 | ||||||
1,364 | Series 2988, Class GS, IF, 16.107%, 06/15/35 | 1,476 | ||||||
177 | Series 2988, Class SD, IF, 15.982%, 03/15/35 | 187 | ||||||
735 | Series 2989, Class PO, PO, 06/15/23 | 692 | ||||||
1,772 | Series 2990, Class GO, PO, 02/15/35 | 1,522 | ||||||
4,991 | Series 2990, Class LK, VAR, 0.577%, 10/15/34 | 4,979 | ||||||
4,020 | Series 2990, Class SL, HB, IF, 23.734%, 06/15/34 | 5,796 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,622 | Series 2990, Class WP, IF, 16.493%, 06/15/35 | 1,853 | ||||||
4,459 | Series 2991, Class EG, 5.500%, 11/15/34 | 4,687 | ||||||
5,000 | Series 2992, Class LB, 5.000%, 06/15/20 | 5,712 | ||||||
10,280 | Series 2995, Class FK, VAR, 0.457%, 05/15/34 | 10,235 | ||||||
798 | Series 2996, Class SL, IF, 15.245%, 06/15/35 | 821 | ||||||
6,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 6,251 | ||||||
4,500 | Series 2999, Class ND, 4.500%, 07/15/20 | 4,963 | ||||||
496 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | 47 | ||||||
317 | Series 3014, Class OD, PO, 08/15/35 | 275 | ||||||
724 | Series 3022, Class SX, IF, 16.357%, 08/15/25 | 861 | ||||||
1,836 | Series 3029, Class SO, PO, 09/15/35 | 1,655 | ||||||
167 | Series 3034, Class FB, VAR, 09/15/35 | 161 | ||||||
4,468 | Series 3042, Class PF, VAR, 0.457%, 08/15/35 | 4,442 | ||||||
62 | Series 3044, Class GU, VAR, 10/15/35 | 61 | ||||||
147 | Series 3044, Class VO, PO, 10/15/35 | 140 | ||||||
2,014 | Series 3047, Class OB, 5.500%, 12/15/33 | 2,115 | ||||||
19,896 | Series 3049, Class XF, VAR, 0.557%, 05/15/33 | 19,822 | ||||||
1,666 | Series 3051, Class DP, HB, IF, 27.116%, 10/15/25 | 2,501 | ||||||
160 | Series 3058, Class YO, PO, 10/15/35 | 151 | ||||||
1,340 | Series 3064, Class OB, 5.500%, 07/15/29 | 1,378 | ||||||
1,613 | Series 3064, Class SG, IF, 19.309%, 11/15/35 | 2,239 | ||||||
6,150 | Series 3065, Class DF, VAR, 0.587%, 04/15/35 | 6,138 | ||||||
872 | Series 3068, Class AO, PO, 01/15/35 | 835 | ||||||
4,133 | Series 3077, Class TO, PO, 04/15/35 | 3,838 | ||||||
6,912 | Series 3085, Class WF, VAR, 1.007%, 08/15/35 | 6,971 | ||||||
716 | Series 3100, Class MA, VAR, 2.781%, 12/15/35 | 709 | ||||||
7,682 | Series 3101, Class UZ, 6.000%, 01/15/36 | 8,972 | ||||||
7,186 | Series 3102, Class FB, VAR, 0.507%, 01/15/36 | 7,164 | ||||||
780 | Series 3102, Class HS, HB, IF, 23.807%, 01/15/36 | 1,125 | ||||||
8,431 | Series 3117, Class AO, PO, 02/15/36 | 7,776 | ||||||
1,722 | Series 3117, Class EO, PO, 02/15/36 | 1,592 | ||||||
1,666 | Series 3117, Class OK, PO, 02/15/36 | 1,488 | ||||||
5,155 | Series 3122, Class OH, PO, 03/15/36 | 4,737 | ||||||
4,819 | Series 3122, Class OP, PO, 03/15/36 | 4,486 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 27 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
127 | Series 3122, Class ZB, 6.000%, 03/15/36 | 134 | ||||||
676 | Series 3134, Class PO, PO, 03/15/36 | 618 | ||||||
4,821 | Series 3137, Class XP, 6.000%, 04/15/36 | 5,418 | ||||||
3,717 | Series 3138, Class PO, PO, 04/15/36 | 3,321 | ||||||
9,660 | Series 3147, Class PO, PO, 04/15/36 | 8,819 | ||||||
603 | Series 3149, Class SO, PO, 05/15/36 | 508 | ||||||
2,182 | Series 3151, Class PO, PO, 05/15/36 | 2,040 | ||||||
4,401 | Series 3153, Class EO, PO, 05/15/36 | 4,024 | ||||||
1,900 | Series 3162, Class OB, 6.000%, 11/15/30 | 1,946 | ||||||
2,400 | Series 3164, Class MG, 6.000%, 06/15/36 | 2,727 | ||||||
6,968 | Series 3171, Class MO, PO, 06/15/36 | 6,331 | ||||||
1,194 | Series 3174, Class PX, 5.000%, 06/15/17 | 1,313 | ||||||
3,168 | Series 3179, Class OA, PO, 07/15/36 | 2,821 | ||||||
3,823 | Series 3181, Class AZ, 6.500%, 07/15/36 | 4,565 | ||||||
7,532 | Series 3184, Class OA, PO, 02/15/33 | 7,202 | ||||||
130 | Series 3186, Class MT, IF, 4.607%, 07/15/36 | 131 | ||||||
7,300 | Series 3189, Class PC, 6.000%, 08/15/35 | 8,180 | ||||||
2,947 | Series 3194, Class SA, IF, IO, 6.893%, 07/15/36 | 439 | ||||||
7,030 | Series 3195, Class PD, 6.500%, 07/15/36 | 7,926 | ||||||
13,250 | Series 3200, Class AY, 5.500%, 08/15/36 | 14,719 | ||||||
30,067 | Series 3202, Class HI, IF, IO, 6.443%, 08/15/36 | 4,794 | ||||||
1,441 | Series 3213, Class OA, PO, 09/15/36 | 1,329 | ||||||
1,120 | Series 3218, Class AO, PO, 09/15/36 | 1,021 | ||||||
7,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 7,924 | ||||||
10,359 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 1,764 | ||||||
3,142 | Series 3225, Class EO, PO, 10/15/36 | 2,854 | ||||||
4,268 | Series 3232, Class ST, IF, IO, 6.493%, 10/15/36 | 625 | ||||||
1,244 | Series 3233, Class OP, PO, 05/15/36 | 1,136 | ||||||
525 | Series 3253, Class A, 5.000%, 08/15/20 | 548 | ||||||
19,333 | Series 3253, Class PO, PO, 12/15/21 | 18,902 | ||||||
1,308 | Series 3256, Class PO, PO, 12/15/36 | 1,177 | ||||||
2,537 | Series 3260, Class CS, IF, IO, 5.933%, 01/15/37 | 350 | ||||||
1,231 | Series 3261, Class OA, PO, 01/15/37 | 1,079 | ||||||
223 | Series 3263, Class TP, VAR, 08/15/35 | 223 | ||||||
9,000 | Series 3266, Class D, 5.000%, 01/15/22 | 10,049 | ||||||
8,200 | Series 3274, Class B, 6.000%, 02/15/37 | 9,223 | ||||||
1,870 | Series 3274, Class JO, PO, 02/15/37 | 1,663 | ||||||
5,160 | Series 3275, Class FL, VAR, 0.647%, 02/15/37 | 5,135 | ||||||
5,500 | Series 3284, Class CB, 5.000%, 03/15/22 | 6,308 | ||||||
2,728 | Series 3286, Class PO, PO, 03/15/37 | 2,420 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
4,701 | Series 3290, Class SB, IF, IO, 6.243%, 03/15/37 | 730 | ||||||
3,000 | Series 3302, Class UT, 6.000%, 04/15/37 | 3,426 | ||||||
3,982 | Series 3305, Class MG, IF, 2.427%, 07/15/34 | 4,020 | ||||||
6,448 | Series 3315, Class HZ, 6.000%, 05/15/37 | 7,579 | ||||||
300 | Series 3318, Class AO, PO, 05/15/37 | 269 | ||||||
5,000 | Series 3329, Class JD, 6.000%, 06/15/36 | 5,716 | ||||||
3,330 | Series 3329, Class WK, 6.000%, 12/15/31 | 3,441 | ||||||
2,310 | Series 3331, Class PO, PO, 06/15/37 | 1,969 | ||||||
2,723 | Series 3334, Class MC, 5.000%, 04/15/33 | 2,785 | ||||||
8,212 | Series 3344, Class FT, VAR, 0.557%, 07/15/34 | 8,185 | ||||||
3,776 | Series 3344, Class SL, IF, IO, 6.393%, 07/15/37 | 595 | ||||||
1,664 | Series 3365, Class PO, PO, 09/15/37 | 1,418 | ||||||
3,165 | Series 3369, Class VA, 6.000%, 07/15/18 | 3,380 | ||||||
1,390 | Series 3371, Class FA, VAR, 0.807%, 09/15/37 | 1,395 | ||||||
2,210 | Series 3373, Class TO, PO, 04/15/37 | 2,010 | ||||||
16,125 | Series 3383, Class SA, IF, IO, 6.243%, 11/15/37 | 2,277 | ||||||
20,977 | Series 3387, Class SA, IF, IO, 6.213%, 11/15/37 | 3,020 | ||||||
2,672 | Series 3389, Class DQ, 5.750%, 10/15/35 | 2,896 | ||||||
5,107 | Series 3393, Class JO, PO, 09/15/32 | 4,327 | ||||||
5,426 | Series 3398, Class PO, PO, 01/15/36 | 5,052 | ||||||
4,000 | Series 3402, Class NC, 5.000%, 12/15/22 | 4,527 | ||||||
21,640 | Series 3404, Class SC, IF, IO, 5.793%, 01/15/38 | 2,662 | ||||||
1,201 | Series 3422, Class SE, IF, 16.932%, 02/15/38 | 1,398 | ||||||
10,675 | Series 3424, Class PI, IF, IO, 6.593%, 04/15/38 | 1,849 | ||||||
12,449 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 121 | ||||||
534 | Series 3443, Class SY, IF, 9.000%, 03/15/37 | 557 | ||||||
14,500 | Series 3453, Class B, 5.500%, 05/15/38 | 15,961 | ||||||
7,356 | Series 3455, Class SE, IF, IO, 5.993%, 06/15/38 | 949 | ||||||
2,478 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,834 | ||||||
7,252 | Series 3461, Class Z, 6.000%, 06/15/38 | 8,620 | ||||||
13,071 | Series 3481, Class SJ, IF, IO, 5.643%, 08/15/38 | 1,620 | ||||||
7,500 | Series 3493, Class LA, 4.000%, 10/15/23 | 8,148 | ||||||
6,500 | Series 3501, Class CB, 5.500%, 01/15/39 | 7,155 | ||||||
11,681 | Series 3505, Class SA, IF, IO, 5.793%, 01/15/39 | 1,320 | ||||||
2,981 | Series 3510, Class OD, PO, 02/15/37 | 2,686 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
11,310 | Series 3511, Class SA, IF, IO, 5.793%, 02/15/39 | 1,285 | ||||||
2,251 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 275 | ||||||
3,036 | Series 3523, Class SD, IF, 19.093%, 06/15/36 | 3,959 | ||||||
68 | Series 3531, Class MZ, 4.500%, 05/15/39 | 68 | ||||||
16,814 | Series 3531, Class SA, IF, IO, 6.093%, 05/15/39 | 1,996 | ||||||
11,062 | Series 3531, Class SM, IF, IO, 5.893%, 05/15/39 | 1,522 | ||||||
3,915 | Series 3546, Class A, VAR, 5.929%, 02/15/39 | 4,229 | ||||||
12,684 | Series 3549, Class FA, VAR, 1.407%, 07/15/39 | 12,722 | ||||||
5,748 | Series 3564, Class JA, 4.000%, 01/15/18 | 6,067 | ||||||
5,750 | Series 3607, Class AO, PO, 04/15/36 | 5,012 | ||||||
10,538 | Series 3607, Class BO, PO, 04/15/36 | 9,185 | ||||||
5,224 | Series 3607, Class EO, PO, 02/15/33 | 4,919 | ||||||
7,374 | Series 3607, Class OP, PO, 07/15/37 | 6,398 | ||||||
5,176 | Series 3607, Class TO, PO, 10/15/39 | 4,467 | ||||||
16,923 | Series 3608, Class SC, IF, IO, 6.043%, 12/15/39 | 2,163 | ||||||
11,671 | Series 3611, Class PO, PO, 07/15/34 | 10,484 | ||||||
7,979 | Series 3621, Class BO, PO, 01/15/40 | 7,085 | ||||||
4,600 | Series 3632, Class BS, IF, 16.809%, 02/15/40 | 6,328 | ||||||
2,810 | Series 3645, Class KZ, 5.500%, 08/15/36 | 3,209 | ||||||
6,800 | Series 3654, Class DC, 5.000%, 04/15/30 | 7,684 | ||||||
4,039 | Series 3654, Class VB, 5.500%, 10/15/27 | 4,526 | ||||||
3,857 | Series 3659, Class VE, 5.000%, 03/15/26 | 4,268 | ||||||
12,068 | Series 3666, Class VA, 5.500%, 12/15/22 | 13,463 | ||||||
24,909 | Series 3680, Class MA, 4.500%, 07/15/39 | 27,215 | ||||||
18,718 | Series 3687, Class MA, 4.500%, 02/15/37 | 20,306 | ||||||
9,260 | Series 3688, Class CU, VAR, 6.808%, 11/15/21 | 10,639 | ||||||
31,135 | Series 3688, Class GT, VAR, 7.157%, 11/15/46 | 36,056 | ||||||
86,111 | Series 3704, Class CT, 7.000%, 12/15/36 | 99,736 | ||||||
38,658 | Series 3704, Class DT, 7.500%, 11/15/36 | 45,305 | ||||||
36,207 | Series 3704, Class ET, 7.500%, 12/15/36 | 42,454 | ||||||
22,501 | Series 3740, Class SB, IF, IO, 5.793%, 10/15/40 | 4,464 | ||||||
23,142 | Series 3740, Class SC, IF, IO, 5.793%, 10/15/40 | 4,092 | ||||||
52,868 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 7,781 | ||||||
30,456 | Series 3756, Class IP, IO, 4.000%, 08/15/35 | 4,174 | ||||||
40,441 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 7,116 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
33,588 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 6,118 | ||||||
24,048 | Series 3760, Class NI, IO, 4.000%, 10/15/37 | 4,094 | ||||||
19,198 | Series 3779, Class IH, IO, 4.000%, 11/15/34 | 2,857 | ||||||
9,266 | Series 3798, Class BF, VAR, 0.507%, 06/15/24 | 9,242 | ||||||
12,650 | Series 3800, Class AI, IO, 4.000%, 11/15/29 | 1,938 | ||||||
79,051 | Series 3802, Class LS, IF, IO, 4.597%, 01/15/40 | 6,176 | ||||||
30,758 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 35,728 | ||||||
10,108 | Series 3895, Class WA, VAR, 5.695%, 10/15/38 | 11,347 | ||||||
14,173 | Series R006, Class ZA, 6.000%, 04/15/36 | 16,464 | ||||||
19,169 | Series R007, Class ZA, 6.000%, 05/15/36 | 22,364 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
6 | Series 134, Class B, IO, 9.000%, 04/01/22 | 2 | ||||||
4,589 | Series 197, Class PO, PO, 04/01/28 | 4,332 | ||||||
12,504 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 1,820 | ||||||
10,168 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 1,465 | ||||||
19,748 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 2,853 | ||||||
60,270 | Series 239, Class S30, IF, IO, 7.493%, 08/15/36 | 8,802 | ||||||
5,911 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 562 | ||||||
3,739 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 368 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
1,278 | Series T-41, Class 3A, VAR, 7.010%, 07/25/32 | 1,473 | ||||||
5,428 | Series T-42, Class A5, 7.500%, 02/25/42 | 6,552 | ||||||
3,793 | Series T-48, Class 1A, VAR, 6.318%, 07/25/33 | 4,452 | ||||||
829 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 980 | ||||||
5,085 | Series T-54, Class 2A, 6.500%, 02/25/43 | 5,746 | ||||||
1,746 | Series T-54, Class 3A, 7.000%, 02/25/43 | 2,027 | ||||||
12,497 | Series T-56, Class A5, 5.231%, 05/25/43 | 13,591 | ||||||
1,434 | Series T-57, Class 1A3, 7.500%, 07/25/43 | 1,664 | ||||||
538 | Series T-57, Class 1AP, PO, 07/25/43 | 446 | ||||||
6,978 | Series T-58, Class 4A, 7.500%, 09/25/43 | 8,275 | ||||||
649 | Series T-58, Class APO, PO, 09/25/43 | 541 | ||||||
6,731 | Series T-59, Class 1A2, 7.000%, 10/25/43 | 7,812 | ||||||
741 | Series T-59, Class 1AP, PO, 10/25/43 | 559 | ||||||
34,137 | Series T-76, Class 2A, VAR, 4.787%, 10/25/37 | 35,159 | ||||||
Federal National Mortgage Association, | ||||||||
21,500 | Series 2010-M1, Class A2, 4.450%, 09/25/19 | 23,988 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 29 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,910 | Series 2010-M7, Class A2, 3.655%, 11/25/20 | 7,290 | ||||||
10,000 | Series 2011-M1, Class A3, 3.763%, 06/25/21 | 10,570 | ||||||
8,664 | Series 2011-M2, Class A2, 3.645%, 07/25/21 | 8,794 | ||||||
58,500 | Series 2011-M2, Class A3, 3.764%, 07/25/21 | 59,377 | ||||||
32,200 | Series 2011-M4, Class A2, 3.726%, 06/25/21 | 32,644 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
2,509 | Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39 | 2,880 | ||||||
2,940 | Series 2001-T10, Class A2, 7.500%, 12/25/41 | 3,225 | ||||||
2,806 | Series 2001-T3, Class A1, 7.500%, 11/25/40 | 3,234 | ||||||
3,171 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 3,696 | ||||||
955 | Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 1,075 | ||||||
6,915 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 8,088 | ||||||
3,845 | Series 2004-T2, Class 2A, VAR, 3.945%, 07/25/43 | 4,092 | ||||||
9,832 | Series 2004-T3, Class 1A2, 6.500%, 02/25/44 | 11,346 | ||||||
3,844 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 4,507 | ||||||
1,027 | Series 2004-T3, Class PT1, VAR, 9.270%, 01/25/44 | 1,204 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
20 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 22 | ||||||
82 | Series 1989-70, Class G, 8.000%, 10/25/19 | 97 | ||||||
40 | Series 1989-78, Class H, 9.400%, 11/25/19 | 47 | ||||||
34 | Series 1989-83, Class H, 8.500%, 11/25/19 | 42 | ||||||
35 | Series 1989-89, Class H, 9.000%, 11/25/19 | 41 | ||||||
21 | Series 1990-1, Class D, 8.800%, 01/25/20 | 24 | ||||||
9 | Series 1990-7, Class B, 8.500%, 01/25/20 | 11 | ||||||
12 | Series 1990-60, Class K, 5.500%, 06/25/20 | 13 | ||||||
18 | Series 1990-63, Class H, 9.500%, 06/25/20 | 21 | ||||||
13 | Series 1990-93, Class G, 5.500%, 08/25/20 | 14 | ||||||
— | (h) | Series 1990-94, Class H, HB, 505.000%, 08/25/20 | 2 | |||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 5 | |||||
96 | Series 1990-102, Class J, 6.500%, 08/25/20 | 106 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
78 | Series 1990-120, Class H, 9.000%, 10/25/20 | 90 | ||||||
10 | Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 | 14 | ||||||
1 | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 8 | ||||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
23 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 25 | ||||||
24 | Series 1991-42, Class S, IF, 17.238%, 05/25/21 | 32 | ||||||
3 | Series 1992-101, Class J, 7.500%, 06/25/22 | 4 | ||||||
646 | Series 1992-117, Class MA, 8.000%, 07/25/22 | 751 | ||||||
104 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 116 | ||||||
123 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 136 | ||||||
751 | Series 1992-150, Class M, 8.000%, 09/25/22 | 927 | ||||||
253 | Series 1992-163, Class M, 7.750%, 09/25/22 | 293 | ||||||
370 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 425 | ||||||
178 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 206 | ||||||
444 | Series 1993-25, Class J, 7.500%, 03/25/23 | 512 | ||||||
70 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 90 | ||||||
1,095 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 1,246 | ||||||
382 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 435 | ||||||
4,261 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 4,872 | ||||||
184 | Series 1993-62, Class SA, IF, 17.411%, 04/25/23 | 245 | ||||||
2,306 | �� | Series 1993-99, Class Z, 7.000%, 07/25/23 | 2,652 | |||||
104 | Series 1993-122, Class M, 6.500%, 07/25/23 | 118 | ||||||
2,094 | Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 | 2,388 | ||||||
3,325 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 3,824 | ||||||
96 | Series 1993-165, Class SD, IF, 12.018%, 09/25/23 | 117 | ||||||
120 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 148 | ||||||
65 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 65 | ||||||
173 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 196 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
79 | Series 1993-179, Class SB, HB, IF, 23.896%, 10/25/23 | 122 | ||||||
53 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 60 | ||||||
3,236 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 3,678 | ||||||
1,305 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 1,483 | ||||||
227 | Series 1993-199, Class FA, VAR, 0.800%, 10/25/23 | 228 | ||||||
152 | Series 1993-205, Class H, PO, 09/25/23 | 130 | ||||||
142 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 | 159 | ||||||
98 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 | 120 | ||||||
234 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 259 | ||||||
67 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 | 68 | ||||||
227 | Series 1993-247, Class FE, VAR, 1.250%, 12/25/23 | 230 | ||||||
277 | Series 1993-247, Class SA, HB, IF, 25.085%, 12/25/23 | 436 | ||||||
105 | Series 1993-247, Class SU, IF, 11.612%, 12/25/23 | 136 | ||||||
842 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 903 | ||||||
1,159 | Series 1993-257, Class C, PO, 06/25/23 | 1,125 | ||||||
17 | Series 1994-9, Class E, PO, 11/25/23 | 15 | ||||||
914 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,068 | ||||||
4,368 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 4,963 | ||||||
5,986 | Series 1994-62, Class PK, 7.000%, 04/25/24 | 6,962 | ||||||
3,085 | Series 1994-63, Class PK, 7.000%, 04/25/24 | 3,665 | ||||||
134 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 157 | ||||||
373 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 445 | ||||||
1,651 | Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23 | 312 | ||||||
64 | Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 | 65 | ||||||
1,330 | Series 1996-48, Class Z, 7.000%, 11/25/26 | 1,530 | ||||||
167 | Series 1996-59, Class J, 6.500%, 08/25/22 | 187 | ||||||
172 | Series 1996-59, Class K, 6.500%, 07/25/23 | 177 | ||||||
359 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 14 | ||||||
1,255 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 53 | ||||||
255 | Series 1997-27, Class J, 7.500%, 04/18/27 | 284 | ||||||
279 | Series 1997-29, Class J, 7.500%, 04/20/27 | 315 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
930 | Series 1997-32, Class PG, 6.500%, 04/25/27 | 1,090 | ||||||
1,109 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 1,262 | ||||||
227 | Series 1997-42, Class EN, 7.250%, 07/18/27 | 238 | ||||||
96 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 110 | ||||||
1,499 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 1,690 | ||||||
416 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 92 | ||||||
60 | Series 1998-4, Class C, PO, 04/25/23 | 56 | ||||||
1,030 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 1,165 | ||||||
316 | Series 1998-43, Class SA, IF, IO, 17.097%, 04/25/23 | 137 | ||||||
510 | Series 1998-66, Class SB, IF, IO, 7.932%, 12/25/28 | 124 | ||||||
293 | Series 1999-17, Class C, 6.350%, 04/25/29 | 337 | ||||||
1,899 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 2,126 | ||||||
501 | Series 1999-38, Class SK, IF, IO, 7.832%, 08/25/23 | 80 | ||||||
147 | Series 1999-52, Class NS, HB, IF, 22.769%, 10/25/23 | 228 | ||||||
386 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 452 | ||||||
2,129 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 2,493 | ||||||
611 | Series 2000-20, Class SA, IF, IO, 8.882%, 07/25/30 | 158 | ||||||
95 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 19 | ||||||
779 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 856 | ||||||
366 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 380 | ||||||
323 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 378 | ||||||
983 | Series 2001-7, Class PR, 6.000%, 03/25/16 | 1,025 | ||||||
971 | Series 2001-10, Class PR, 6.000%, 04/25/16 | 1,011 | ||||||
921 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 1,079 | ||||||
2,266 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 504 | ||||||
1,590 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 1,864 | ||||||
2,008 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 2,350 | ||||||
599 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 702 | ||||||
425 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 498 | ||||||
4,921 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 5,547 | ||||||
575 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 666 | ||||||
258 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 298 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 31 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
749 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 807 | ||||||
4,499 | Series 2001-60, Class PX, 6.000%, 11/25/31 | 5,105 | ||||||
1,228 | Series 2001-60, Class QS, HB, IF, 23.736%, 09/25/31 | 1,955 | ||||||
3,097 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 3,629 | ||||||
900 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 970 | ||||||
1,531 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 1,646 | ||||||
207 | Series 2001-72, Class SX, IF, 16.957%, 12/25/31 | 248 | ||||||
4,941 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 5,323 | ||||||
286 | Series 2001-80, Class PE, 6.000%, 07/25/29 | 289 | ||||||
164 | Series 2001-81, Class LO, PO, 01/25/32 | 153 | ||||||
1,517 | Series 2002-1, Class G, 7.000%, 07/25/23 | 1,736 | ||||||
788 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 849 | ||||||
544 | Series 2002-1, Class SA, HB, IF, 24.478%, 02/25/32 | 862 | ||||||
227 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 | 353 | ||||||
1,310 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 1,414 | ||||||
3,471 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 3,732 | ||||||
2,840 | Series 2002-5, Class PK, 6.000%, 02/25/22 | 3,291 | ||||||
604 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 649 | ||||||
1,992 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 2,138 | ||||||
662 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 709 | ||||||
2,877 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 133 | ||||||
48 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 52 | ||||||
9,714 | Series 2002-15, Class ZA, 6.000%, 04/25/32 | 10,963 | ||||||
3,202 | Series 2002-16, Class PG, 6.000%, 04/25/17 | 3,493 | ||||||
4,036 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 4,208 | ||||||
596 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 641 | ||||||
127 | Series 2002-21, Class LO, PO, 04/25/32 | 116 | ||||||
1,712 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 1,950 | ||||||
2,293 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 2,509 | ||||||
3,202 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 3,704 | ||||||
1,249 | Series 2002-31, Class S, IF, 18.796%, 05/25/17 | 1,556 | ||||||
1,524 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 1,767 | ||||||
7,130 | Series 2002-38, Class QE, 6.000%, 06/25/17 | 7,660 | ||||||
926 | Series 2002-42, Class C, 6.000%, 07/25/17 | 1,005 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
3,879 | Series 2002-48, Class GH, 6.500%, 08/25/32 | 4,415 | ||||||
5,000 | Series 2002-54, Class PG, 6.000%, 09/25/22 | 5,636 | ||||||
479 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 525 | ||||||
6,659 | Series 2002-56, Class UC, 5.500%, 09/25/17 | 7,191 | ||||||
2,576 | Series 2002-57, Class AE, 5.500%, 09/25/17 | 2,777 | ||||||
637 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 687 | ||||||
757 | Series 2002-71, Class AP, 5.000%, 11/25/32 | 838 | ||||||
5,733 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 6,183 | ||||||
882 | Series 2002-77, Class S, IF, 14.083%, 12/25/32 | 1,061 | ||||||
15,825 | Series 2002-78, Class Z, 5.500%, 12/25/32 | 17,610 | ||||||
6,967 | Series 2002-81, Class JO, PO, 04/25/32 | 6,718 | ||||||
1,817 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 2,075 | ||||||
1,743 | Series 2002-84, Class VB, 5.500%, 04/25/15 | 1,860 | ||||||
1,353 | Series 2002-90, Class A1, 6.500%, 06/25/42 | 1,570 | ||||||
174 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 7 | ||||||
6,216 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 6,710 | ||||||
1,257 | Series 2003-9, Class NZ, 6.500%, 02/25/33 | 1,447 | ||||||
1,484 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 271 | ||||||
5,000 | Series 2003-17, Class EQ, 5.500%, 03/25/23 | 5,798 | ||||||
4,550 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 4,834 | ||||||
8,000 | Series 2003-23, Class EQ, 5.500%, 04/25/23 | 9,239 | ||||||
4,629 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 4,799 | ||||||
535 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 546 | ||||||
1,400 | Series 2003-32, Class KC, 5.000%, 05/25/18 | 1,528 | ||||||
5,692 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 1,234 | ||||||
2,614 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 2,944 | ||||||
2,256 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 2,681 | ||||||
640 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 735 | ||||||
1,199 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 1,430 | ||||||
811 | Series 2003-35, Class EA, PO, 05/25/33 | 715 | ||||||
671 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 121 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,960 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 2,249 | ||||||
2,800 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 3,178 | ||||||
1,090 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 1,163 | ||||||
804 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 48 | ||||||
2,715 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 3,075 | ||||||
1,160 | Series 2003-52, Class SX, HB, IF, 22.295%, 10/25/31 | 1,743 | ||||||
4,200 | Series 2003-56, Class AZ, 5.500%, 08/25/31 | 4,352 | ||||||
20 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 20 | ||||||
2,323 | Series 2003-64, Class SX, IF, 13.279%, 07/25/33 | 2,560 | ||||||
5,000 | Series 2003-67, Class TJ, 4.750%, 07/25/18 | 5,505 | ||||||
99 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 101 | ||||||
142 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 145 | ||||||
3,728 | Series 2003-71, Class DS, IF, 7.216%, 08/25/33 | 3,773 | ||||||
16,169 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 2,778 | ||||||
5,000 | Series 2003-73, Class HC, 5.500%, 08/25/33 | 5,569 | ||||||
2,705 | Series 2003-73, Class HF, VAR, 0.668%, 01/25/31 | 2,705 | ||||||
434 | Series 2003-74, Class SH, IF, 9.777%, 08/25/33 | 444 | ||||||
2,261 | Series 2003-76, Class SH, IF, 13.763%, 09/25/31 | 2,632 | ||||||
6,132 | Series 2003-80, Class SY, IF, IO, 7.432%, 06/25/23 | 724 | ||||||
7,000 | Series 2003-81, Class HC, 4.750%, 09/25/18 | 7,541 | ||||||
1,580 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,711 | ||||||
1,929 | Series 2003-82, Class VB, 5.500%, 08/25/33 | 2,138 | ||||||
8,404 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 9,122 | ||||||
1,279 | Series 2003-91, Class SD, IF, 12.136%, 09/25/33 | 1,490 | ||||||
589 | Series 2003-92, Class GA, 4.500%, 09/25/18 | 604 | ||||||
169 | Series 2003-92, Class SH, IF, 9.234%, 09/25/18 | 176 | ||||||
18,529 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 22,054 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,758 | Series 2003-106, Class US, IF, 8.747%, 11/25/23 | 1,791 | ||||||
6,274 | Series 2003-116, Class SB, IF, IO, 7.382%, 11/25/33 | 1,330 | ||||||
6,167 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 6,501 | ||||||
2,240 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 2,449 | ||||||
853 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 881 | ||||||
3,300 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 3,531 | ||||||
2,166 | Series 2003-130, Class CS, IF, 13.663%, 12/25/33 | 2,625 | ||||||
1,094 | Series 2003-130, Class SX, IF, 11.192%, 01/25/34 | 1,237 | ||||||
1,102 | Series 2003-131, Class SK, IF, 15.763%, 01/25/34 | 1,385 | ||||||
563 | Series 2003-132, Class OA, PO, 08/25/33 | 515 | ||||||
5,895 | Series 2004-3, Class BE, 4.000%, 02/25/19 | 6,311 | ||||||
4,155 | Series 2004-4, Class QI, IF, IO, 6.882%, 06/25/33 | 809 | ||||||
3,090 | Series 2004-4, Class QM, IF, 13.763%, 06/25/33 | 3,817 | ||||||
2,739 | Series 2004-10, Class SC, HB, IF, 27.726%, 02/25/34 | 3,981 | ||||||
2,071 | Series 2004-14, Class SD, IF, 8.747%, 03/25/34 | 2,101 | ||||||
4,433 | Series 2004-17, Class H, 5.500%, 04/25/34 | 4,903 | ||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,072 | ||||||
1,878 | Series 2004-21, Class CO, PO, 04/25/34 | 1,635 | ||||||
438 | Series 2004-22, Class A, 4.000%, 04/25/19 | 449 | ||||||
3,275 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 3,675 | ||||||
4,271 | Series 2004-25, Class SA, IF, 18.924%, 04/25/34 | 5,888 | ||||||
8,100 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 8,728 | ||||||
6,766 | Series 2004-28, Class PF, VAR, 0.618%, 03/25/34 | 6,759 | ||||||
10,524 | Series 2004-36, Class FA, VAR, 0.618%, 05/25/34 | 10,515 | ||||||
2,157 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 2,424 | ||||||
4,500 | Series 2004-36, Class SA, IF, 18.924%, 05/25/34 | 6,239 | ||||||
1,663 | Series 2004-36, Class SN, IF, 13.763%, 07/25/33 | 2,086 | ||||||
7,376 | Series 2004-46, Class EP, PO, 03/25/34 | 6,690 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 33 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,278 | Series 2004-46, Class HS, IF, IO, 5.782%, 05/25/30 | 146 | ||||||
1,082 | Series 2004-46, Class QB, HB, IF, 23.126%, 05/25/34 | 1,613 | ||||||
953 | Series 2004-46, Class SK, IF, 15.899%, 05/25/34 | 1,220 | ||||||
1,108 | Series 2004-51, Class SY, IF, 13.803%, 07/25/34 | 1,353 | ||||||
1,273 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,363 | ||||||
1,074 | Series 2004-59, Class BG, PO, 12/25/32 | 968 | ||||||
1,050 | Series 2004-61, Class CO, PO, 10/25/31 | 1,027 | ||||||
281 | Series 2004-61, Class SH, HB, IF, 23.115%, 11/25/32 | 429 | ||||||
845 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 927 | ||||||
5,000 | Series 2004-65, Class EY, 5.500%, 08/25/24 | 5,721 | ||||||
12,000 | Series 2004-72, Class CB, 4.000%, 09/25/19 | 12,902 | ||||||
1,043 | Series 2004-74, Class SW, IF, 15.080%, 11/25/31 | 1,381 | ||||||
2,251 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 2,389 | ||||||
4,021 | Series 2004-79, Class S, IF, 19.199%, 08/25/32 | 5,341 | ||||||
1,341 | Series 2004-79, Class SP, IF, 19.199%, 11/25/34 | 1,850 | ||||||
2,000 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 2,119 | ||||||
9,600 | Series 2004-81, Class JG, 5.000%, 11/25/24 | 10,862 | ||||||
877 | Series 2004-89, Class EA, IF, 12.823%, 01/25/34 | 995 | ||||||
1,530 | Series 2004-92, Class BX, 5.500%, 09/25/34 | 1,676 | ||||||
124 | Series 2004-92, Class JO, PO, 12/25/34 | 118 | ||||||
2,120 | Series 2004-101, Class HD, 5.000%, 01/25/20 | 2,379 | ||||||
1,084 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 1,122 | ||||||
5,600 | Series 2005-16, Class LE, 5.500%, 07/25/33 | 6,211 | ||||||
4,600 | Series 2005-25, Class PF, VAR, 0.568%, 04/25/35 | 4,576 | ||||||
523 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 538 | ||||||
1,011 | Series 2005-42, Class PS, IF, 16.454%, 05/25/35 | 1,198 | ||||||
1,012 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 1,033 | ||||||
349 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 381 | ||||||
4,348 | Series 2005-56, Class S, IF, IO, 6.492%, 07/25/35 | 733 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,096 | Series 2005-56, Class TP, IF, 17.495%, 08/25/33 | 2,674 | ||||||
1,474 | Series 2005-57, Class CD, HB, IF, 24.306%, 01/25/35 | 2,086 | ||||||
437 | Series 2005-57, Class DC, HB, IF, 21.065%, 12/25/34 | 558 | ||||||
6,843 | Series 2005-57, Class EG, VAR, 0.518%, 03/25/35 | 6,825 | ||||||
1,000 | Series 2005-59, Class SU, HB, IF, 24.408%, 06/25/35 | 1,404 | ||||||
1,204 | Series 2005-66, Class SG, IF, 16.829%, 07/25/35 | 1,417 | ||||||
8,500 | Series 2005-67, Class EY, 5.500%, 08/25/25 | 9,514 | ||||||
1,500 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,653 | ||||||
6,072 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 6,840 | ||||||
2,500 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 2,739 | ||||||
6,496 | Series 2005-72, Class SB, IF, 16.329%, 08/25/35 | 7,598 | ||||||
1,848 | Series 2005-73, Class PS, IF, 16.154%, 08/25/35 | 2,188 | ||||||
9,538 | Series 2005-73, Class ZB, 5.500%, 08/25/35 | 10,863 | ||||||
1,578 | Series 2005-74, Class CP, HB, IF, 23.949%, 05/25/35 | 2,355 | ||||||
6,877 | Series 2005-74, Class CS, IF, 19.419%, 05/25/35 | 9,602 | ||||||
4,728 | Series 2005-74, Class SK, IF, 19.529%, 05/25/35 | 6,618 | ||||||
1,029 | Series 2005-75, Class SV, HB, IF, 23.326%, 09/25/35 | 1,519 | ||||||
7,478 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 8,326 | ||||||
152 | Series 2005-86, Class GB, 5.000%, 10/25/35 | 154 | ||||||
1,084 | Series 2005-88, Class QO, PO, 11/25/33 | 1,075 | ||||||
2,482 | Series 2005-90, Class ES, IF, 16.329%, 10/25/35 | 2,940 | ||||||
1,476 | Series 2005-90, Class PO, PO, 09/25/35 | 1,399 | ||||||
5,724 | Series 2005-93, Class MF, VAR, 0.468%, 08/25/34 | 5,693 | ||||||
12,676 | Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35 | 19,084 | ||||||
4,388 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 4,562 | ||||||
1,000 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 1,156 | ||||||
12,487 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 13,050 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
17,500 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 19,575 | ||||||
5,659 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 6,538 | ||||||
2,360 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 2,452 | ||||||
2,840 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 3,222 | ||||||
1,288 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,392 | ||||||
16,912 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 17,136 | ||||||
22,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 23,558 | ||||||
6,601 | Series 2005-123, Class FG, VAR, 0.668%, 07/25/34 | 6,557 | ||||||
4,000 | Series 2006-7, Class TC, 6.000%, 09/25/33 | 4,258 | ||||||
6,762 | Series 2006-8, Class JZ, 5.500%, 03/25/36 | 7,830 | ||||||
1,250 | Series 2006-11, Class PS, HB, IF, 23.766%, 03/25/36 | 1,797 | ||||||
6,762 | Series 2006-12, Class BZ, 5.500%, 03/25/36 | 7,746 | ||||||
2,153 | Series 2006-15, Class OT, PO, 01/25/36 | 2,037 | ||||||
4,297 | Series 2006-16, Class FC, VAR, 0.518%, 03/25/36 | 4,285 | ||||||
6,762 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 7,663 | ||||||
1,036 | Series 2006-16, Class OA, PO, 03/25/36 | 956 | ||||||
2,402 | Series 2006-22, Class AO, PO, 04/25/36 | 2,173 | ||||||
3,587 | Series 2006-23, Class FK, VAR, 0.468%, 04/25/36 | 3,565 | ||||||
1,865 | Series 2006-23, Class KO, PO, 04/25/36 | 1,755 | ||||||
4,923 | Series 2006-27, Class OH, PO, 04/25/36 | 4,605 | ||||||
1,079 | Series 2006-33, Class LS, HB, IF, 29.167%, 05/25/36 | 1,518 | ||||||
17,000 | Series 2006-35, Class GD, 6.000%, 12/25/34 | 19,056 | ||||||
2,000 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,247 | ||||||
2,182 | Series 2006-42, Class CF, VAR, 0.668%, 06/25/36 | 2,182 | ||||||
3,897 | Series 2006-43, Class DO, PO, 06/25/36 | 3,516 | ||||||
69 | Series 2006-43, Class G, 6.500%, 09/25/33 | 70 | ||||||
1,405 | Series 2006-43, Class PO, PO, 06/25/36 | 1,292 | ||||||
3,431 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,643 | ||||||
13,196 | Series 2006-44, Class FP, VAR, 0.618%, 06/25/36 | 13,169 | ||||||
2,400 | Series 2006-44, Class GO, PO, 06/25/36 | 2,189 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
7,757 | Series 2006-44, Class P, PO, 12/25/33 | 7,033 | ||||||
3,316 | Series 2006-46, Class FW, VAR, 0.618%, 06/25/36 | 3,310 | ||||||
531 | Series 2006-46, Class SW, HB, IF, 23.398%, 06/25/36 | 743 | ||||||
2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 2,248 | ||||||
9,019 | Series 2006-50, Class JO, PO, 06/25/36 | 8,061 | ||||||
12,852 | Series 2006-50, Class PS, PO, 06/25/36 | 11,571 | ||||||
12,377 | Series 2006-53, Class US, IF, IO, 6.362%, 06/25/36 | 1,839 | ||||||
18,805 | Series 2006-56, Class FC, VAR, 0.508%, 07/25/36 | 18,760 | ||||||
6,972 | Series 2006-56, Class PF, VAR, 0.568%, 07/25/36 | 6,952 | ||||||
921 | Series 2006-58, Class AP, PO, 07/25/36 | 855 | ||||||
2,488 | Series 2006-58, Class FL, VAR, 0.678%, 07/25/36 | 2,489 | ||||||
8,825 | Series 2006-58, Class IG, IF, IO, 6.302%, 07/25/36 | 1,311 | ||||||
1,506 | Series 2006-58, Class PO, PO, 07/25/36 | 1,359 | ||||||
225 | Series 2006-59, Class CO, PO, 08/25/35 | 219 | ||||||
4,322 | Series 2006-59, Class QO, PO, 01/25/33 | 4,056 | ||||||
1,130 | Series 2006-60, Class AK, HB, IF, 27.926%, 07/25/36 | 1,808 | ||||||
6,393 | Series 2006-60, Class DO, PO, 04/25/35 | 5,908 | ||||||
1,178 | Series 2006-62, Class PS, HB, IF, 38.590%, 07/25/36 | 2,009 | ||||||
9,785 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 11,620 | ||||||
2,819 | Series 2006-65, Class QO, PO, 07/25/36 | 2,571 | ||||||
2,497 | Series 2006-66, Class NV, 6.500%, 02/25/24 | 2,618 | ||||||
15,589 | Series 2006-71, Class ZL, 6.000%, 07/25/36 | 18,264 | ||||||
5,079 | Series 2006-72, Class GO, PO, 08/25/36 | 4,578 | ||||||
1,421 | Series 2006-72, Class TO, PO, 08/25/36 | 1,317 | ||||||
371 | Series 2006-75, Class CM, 6.500%, 12/25/33 | 374 | ||||||
10,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 12,309 | ||||||
2,781 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 3,260 | ||||||
9,280 | Series 2006-79, Class DF, VAR, 0.568%, 08/25/36 | 9,261 | ||||||
2,077 | Series 2006-79, Class DO, PO, 08/25/36 | 1,894 | ||||||
1,852 | Series 2006-79, Class OP, PO, 08/25/36 | 1,590 | ||||||
1,383 | Series 2006-85, Class MZ, 6.500%, 09/25/36 | 1,638 | ||||||
2,106 | Series 2006-86, Class OB, PO, 09/25/36 | 1,927 | ||||||
1,978 | Series 2006-90, Class AO, PO, 09/25/36 | 1,832 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 35 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,122 | Series 2006-94, Class GK, HB, IF, 32.158%, 10/25/26 | 1,691 | ||||||
1,916 | Series 2006-95, Class SG, HB, IF, 25.326%, 10/25/36 | 2,823 | ||||||
4,700 | Series 2006-102, Class MD, 6.000%, 01/25/35 | 5,238 | ||||||
559 | Series 2006-109, Class PO, PO, 11/25/36 | 505 | ||||||
6,203 | Series 2006-110, Class PO, PO, 11/25/36 | 5,691 | ||||||
2,100 | Series 2006-111, Class EO, PO, 11/25/36 | 1,882 | ||||||
3,105 | Series 2006-113, Class PO, PO, 07/25/36 | 2,961 | ||||||
508 | Series 2006-115, Class ES, HB, IF, 25.686%, 12/25/36 | 790 | ||||||
1,802 | Series 2006-115, Class OK, PO, 12/25/36 | 1,563 | ||||||
16,523 | Series 2006-117, Class GS, IF, IO, 6.432%, 12/25/36 | 2,492 | ||||||
4,841 | Series 2006-118, Class A1, VAR, 0.278%, 12/25/36 | 4,781 | ||||||
15,680 | Series 2006-118, Class A2, VAR, 0.278%, 12/25/36 | 15,495 | ||||||
2,213 | Series 2006-119, Class PO, PO, 12/25/36 | 2,014 | ||||||
1,300 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,476 | ||||||
1,380 | Series 2006-128, Class PO, PO, 01/25/37 | 1,234 | ||||||
6,452 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 1,129 | ||||||
724 | Series 2007-1, Class SD, HB, IF, 37.690%, 02/25/37 | 1,135 | ||||||
277 | Series 2007-2, Class FA, VAR, 0.418%, 02/25/37 | 276 | ||||||
2,085 | Series 2007-2, Class HF, VAR, 0.568%, 08/25/36 | 2,078 | ||||||
6,881 | Series 2007-7, Class SG, IF, IO, 6.282%, 08/25/36 | 982 | ||||||
7,415 | Series 2007-10, Class FD, VAR, 0.468%, 02/25/37 | 7,357 | ||||||
25,569 | Series 2007-14, Class ES, IF, IO, 6.222%, 03/25/37 | 3,740 | ||||||
2,465 | Series 2007-14, Class OP, PO, 03/25/37 | 2,246 | ||||||
5,047 | Series 2007-14, Class QD, 5.500%, 11/25/35 | 5,641 | ||||||
1,923 | Series 2007-15, Class NO, PO, 03/25/22 | 1,802 | ||||||
14,429 | Series 2007-16, Class FC, VAR, 0.968%, 03/25/37 | 14,373 | ||||||
2,618 | Series 2007-18, Class MZ, 6.000%, 03/25/37 | 3,099 | ||||||
1,824 | Series 2007-22, Class SC, IF, IO, 5.862%, 03/25/37 | 257 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,750 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,940 | ||||||
4,071 | Series 2007-29, Class SG, HB, IF, 21.938%, 04/25/37 | 5,806 | ||||||
14,345 | Series 2007-35, Class SI, IF, IO, 5.882%, 04/25/37 | 1,852 | ||||||
2,139 | Series 2007-42, Class AO, PO, 05/25/37 | 2,026 | ||||||
11,000 | Series 2007-42, Class B, 6.000%, 05/25/37 | 12,936 | ||||||
5,363 | Series 2007-43, Class FL, VAR, 0.518%, 05/25/37 | 5,332 | ||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,554 | ||||||
22,769 | Series 2007-53, Class SH, IF, IO, 5.882%, 06/25/37 | 2,916 | ||||||
30,687 | Series 2007-54, Class FA, VAR, 0.618%, 06/25/37 | 30,640 | ||||||
4,450 | Series 2007-54, Class WI, IF, IO, 5.882%, 06/25/37 | 639 | ||||||
38,634 | Series 2007-60, Class AX, IF, IO, 6.932%, 07/25/37 | 7,073 | ||||||
3,134 | Series 2007-62, Class SE, IF, 15.954%, 07/25/37 | 3,565 | ||||||
4,665 | Series 2007-64, Class FB, VAR, 0.588%, 07/25/37 | 4,660 | ||||||
33,816 | Series 2007-65, Class KI, IF, IO, 6.402%, 07/25/37 | 4,885 | ||||||
546 | Series 2007-65, Class PA, 6.000%, 03/25/31 | 553 | ||||||
6,187 | Series 2007-67, Class PO, PO, 07/25/37 | 5,657 | ||||||
3,771 | Series 2007-70, Class Z, 5.500%, 07/25/37 | 4,358 | ||||||
40,120 | Series 2007-72, Class EK, IF, IO, 6.182%, 07/25/37 | 5,846 | ||||||
1,515 | Series 2007-75, Class EO, PO, 01/25/36 | 1,433 | ||||||
5,630 | Series 2007-76, Class AZ, 5.500%, 08/25/37 | 6,445 | ||||||
3,831 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 4,488 | ||||||
7,130 | Series 2007-77, Class FG, VAR, 0.718%, 03/25/37 | 7,144 | ||||||
2,000 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 2,281 | ||||||
4,601 | Series 2007-78, Class PE, 6.000%, 08/25/37 | 5,358 | ||||||
2,000 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 2,109 | ||||||
4,176 | Series 2007-79, Class SB, HB, IF, 23.216%, 08/25/37 | 5,874 | ||||||
4,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 4,706 | ||||||
4,464 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 5,084 | ||||||
1,562 | Series 2007-85, Class SL, IF, 15.604%, 09/25/37 | 1,792 | ||||||
9,643 | Series 2007-88, Class VI, IF, IO, 6.322%, 09/25/37 | 1,612 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
9,878 | Series 2007-91, Class ES, IF, IO, 6.242%, 10/25/37 | 1,723 | ||||||
2,886 | Series 2007-92, Class YA, 6.500%, 06/25/37 | 3,289 | ||||||
4,810 | Series 2007-92, Class YS, IF, IO, 5.562%, 06/25/37 | 619 | ||||||
3,604 | Series 2007-97, Class FC, VAR, 0.718%, 07/25/37 | 3,610 | ||||||
7,176 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 1,467 | ||||||
1,049 | Series 2007-97, Class MS, IF, 14.266%, 12/25/31 | 1,089 | ||||||
2,328 | Series 2007-98, Class FB, VAR, 0.668%, 06/25/37 | 2,225 | ||||||
3,419 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 3,663 | ||||||
18,680 | Series 2007-100, Class SM, IF, IO, 6.232%, 10/25/37 | 2,991 | ||||||
66,777 | Series 2007-101, Class A2, VAR, 0.468%, 06/27/36 | 66,610 | ||||||
5,410 | Series 2007-106, Class A7, VAR, 5.969%, 10/25/37 | 5,779 | ||||||
9,588 | Series 2007-108, Class AN, VAR, 8.622%, 11/25/37 | 11,779 | ||||||
2,377 | Series 2007-108, Class SA, IF, IO, 6.142%, 12/25/37 | 346 | ||||||
24,400 | Series 2007-109, Class AI, IF, IO, 6.182%, 12/25/37 | 3,306 | ||||||
6,180 | Series 2007-112, Class MJ, 6.500%, 12/25/37 | 7,383 | ||||||
12,344 | Series 2007-112, Class SA, IF, IO, 6.232%, 12/25/37 | 1,793 | ||||||
44,000 | Series 2007-114, Class A6, VAR, 0.418%, 10/27/37 | 43,727 | ||||||
20,932 | Series 2007-116, Class HI, IO, VAR, 6.413%, 01/25/38 | 1,550 | ||||||
437 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 72 | ||||||
23,038 | Series 2008-1, Class BI, IF, IO, 5.692%, 02/25/38 | 3,126 | ||||||
23,772 | Series 2008-4, Class SD, IF, IO, 5.782%, 02/25/38 | 2,971 | ||||||
5,566 | Series 2008-10, Class XI, IF, IO, 6.012%, 03/25/38 | 797 | ||||||
10,400 | Series 2008-16, Class IS, IF, IO, 5.982%, 03/25/38 | 1,359 | ||||||
2,220 | Series 2008-18, Class SP, IF, 13.563%, 03/25/38 | 2,642 | ||||||
8,767 | Series 2008-20, Class SA, IF, IO, 6.772%, 03/25/38 | 1,580 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
17,129 | Series 2008-24, Class PF, VAR, 0.868%, 02/25/38 | 17,226 | ||||||
7,692 | Series 2008-27, Class SN, IF, IO, 6.682%, 04/25/38 | 1,383 | ||||||
2,530 | Series 2008-28, Class QS, HB, IF, 20.045%, 04/25/38 | 3,338 | ||||||
12,573 | Series 2008-32, Class SA, IF, IO, 6.632%, 04/25/38 | 2,145 | ||||||
18,267 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 46 | ||||||
33,063 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 367 | ||||||
2,000 | Series 2008-42, Class AO, PO, 09/25/36 | 1,833 | ||||||
457 | Series 2008-44, Class PO, PO, 05/25/38 | 393 | ||||||
9,169 | Series 2008-46, Class HI, IO, VAR, 6.658%, 06/25/38 | 628 | ||||||
5,114 | Series 2008-47, Class SI, IF, IO, 6.282%, 06/25/23 | 619 | ||||||
2,649 | Series 2008-53, Class CA, 5.000%, 07/25/23 | 2,960 | ||||||
5,474 | Series 2008-53, Class CI, IF, IO, 6.982%, 07/25/38 | 889 | ||||||
25,024 | Series 2008-55, Class S, IF, IO, 7.382%, 07/25/28 | 4,066 | ||||||
5,203 | Series 2008-56, Class AC, 5.000%, 07/25/38 | 5,688 | ||||||
635 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 33 | ||||||
1,500 | Series 2008-60, Class JC, 5.000%, 07/25/38 | 1,670 | ||||||
2,778 | Series 2008-61, Class BH, 4.500%, 07/25/23 | 3,076 | ||||||
3,778 | Series 2008-61, Class CB, 5.000%, 07/25/23 | 4,313 | ||||||
209 | Series 2008-66, Class GD, 6.000%, 06/25/30 | 217 | ||||||
7,346 | Series 2008-76, Class GF, VAR, 0.868%, 09/25/23 | 7,410 | ||||||
18,202 | Series 2008-80, Class SA, IF, IO, 5.632%, 09/25/38 | 2,331 | ||||||
8,992 | Series 2008-81, Class SB, IF, IO, 5.632%, 09/25/38 | 1,257 | ||||||
1,330 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 1,407 | ||||||
11,866 | Series 2009-6, Class GS, IF, IO, 6.332%, 02/25/39 | 1,839 | ||||||
7,228 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 796 | ||||||
9,053 | Series 2009-15, Class MI, IO, 5.000%, 03/25/24 | 909 | ||||||
14,543 | Series 2009-17, Class QS, IF, IO, 6.432%, 03/25/39 | 2,103 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 37 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,494 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 366 | ||||||
994 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,122 | ||||||
8,377 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 1,215 | ||||||
10,000 | Series 2009-59, Class HB, 5.000%, 08/25/39 | 11,193 | ||||||
924 | Series 2009-63, Class P, 5.000%, 03/25/37 | 995 | ||||||
8,586 | Series 2009-69, Class WA, VAR, 6.024%, 09/25/39 | 9,633 | ||||||
6,534 | Series 2009-70, Class CO, PO, 01/25/37 | 5,913 | ||||||
15,463 | Series 2009-84, Class WS, IF, IO, 5.682%, 10/25/39 | 1,983 | ||||||
30,089 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 5,109 | ||||||
33,166 | Series 2009-86, Class OT, PO, 10/25/37 | 28,831 | ||||||
29,809 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 2,079 | ||||||
14,896 | Series 2009-99, Class SC, IF, IO, 5.962%, 12/25/39 | 1,947 | ||||||
9,275 | Series 2009-99, Class WA, VAR, 6.303%, 12/25/39 | 10,678 | ||||||
15,853 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 16,884 | ||||||
20,310 | Series 2009-112, Class ST, IF, IO, 6.032%, 01/25/40 | 2,344 | ||||||
3,317 | Series 2009-113, Class AO, PO, 01/25/40 | 3,009 | ||||||
3,044 | Series 2010-1, Class WA, VAR, 6.153%, 02/25/40 | 3,462 | ||||||
8,939 | Series 2010-14, Class FJ, VAR, 0.818%, 03/25/40 | 8,959 | ||||||
7,882 | Series 2010-16, Class WA, VAR, 6.442%, 03/25/40 | 9,088 | ||||||
6,952 | Series 2010-16, Class WB, VAR, 6.215%, 03/25/40 | 7,934 | ||||||
18,504 | Series 2010-35, Class SB, IF, IO, 6.202%, 04/25/40 | 2,243 | ||||||
3,000 | Series 2010-35, Class SJ, IF, 16.939%, 04/25/40 | 4,157 | ||||||
1,786 | Series 2010-39, Class OT, PO, 10/25/35 | 1,628 | ||||||
7,039 | Series 2010-40, Class FJ, VAR, 0.818%, 04/25/40 | 7,063 | ||||||
15,832 | Series 2010-42, Class S, IF, IO, 6.182%, 05/25/40 | 1,936 | ||||||
2,134 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,329 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,716 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 3,008 | ||||||
17,043 | Series 2010-49, Class SC, IF, 12.223%, 03/25/40 | 19,849 | ||||||
9,760 | Series 2010-58, Class MB, 5.500%, 06/25/40 | 11,262 | ||||||
59,320 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 64,206 | ||||||
2,000 | Series 2010-102, Class PN, 5.000%, 09/25/40 | 2,245 | ||||||
12,313 | Series 2010-103, Class SB, IF, IO, 5.882%, 11/25/49 | 1,725 | ||||||
66,730 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 71,042 | ||||||
19,500 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 21,738 | ||||||
37,873 | Series 2010-125, Class SA, IF, IO, 4.222%, 11/25/40 | 3,594 | ||||||
46,201 | Series 2010-133, Class A, 5.500%, 05/25/38 | 49,441 | ||||||
21,444 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 23,023 | ||||||
16,520 | Series 2011-2, Class WA, VAR, 5.728%, 02/25/51 | 18,192 | ||||||
7,210 | Series 2011-17, Class EF, VAR, 0.518%, 07/25/25 | 7,191 | ||||||
2,847 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 3,206 | ||||||
105,645 | Series 2011-30, Class LS, IO, VAR, 4.835%, 04/25/41 | 8,304 | ||||||
10,138 | Series 2011-47, Class ZA, 5.500%, 07/25/38 | 11,546 | ||||||
4,772 | Series 2011-58, Class WA, VAR, 5.419%, 07/25/51 | 5,279 | ||||||
13,919 | Series 2011-75, Class FA, VAR, 0.768%, 08/25/41 | 13,928 | ||||||
17 | Series G-14, Class L, 8.500%, 06/25/21 | 20 | ||||||
1 | Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21 | 26 | ||||||
84 | Series G-18, Class Z, 8.750%, 06/25/21 | 98 | ||||||
21 | Series G-22, Class G, 6.000%, 12/25/16 | 23 | ||||||
75 | Series G-28, Class S, IF, 14.850%, 09/25/21 | 102 | ||||||
131 | Series G-35, Class M, 8.750%, 10/25/21 | 150 | ||||||
25 | Series G-51, Class SA, HB, IF, 23.729%, 12/25/21 | 38 | ||||||
1 | Series G92-15, Class Z, 7.000%, 01/25/22 | 1 | ||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22 | 54 | |||||
574 | Series G92-35, Class E, 7.500%, 07/25/22 | 645 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
— | (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 6 | |||||
53 | Series G92-42, Class Z, 7.000%, 07/25/22 | 59 | ||||||
1,678 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 1,913 | ||||||
755 | Series G92-45, Class Z, 6.000%, 08/25/22 | 814 | ||||||
52 | Series G92-52, Class FD, VAR, 0.271%, 09/25/22 | 51 | ||||||
709 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 801 | ||||||
53 | Series G92-59, Class F, VAR, 2.038%, 10/25/22 | 55 | ||||||
106 | Series G92-61, Class Z, 7.000%, 10/25/22 | 128 | ||||||
76 | Series G92-62, Class B, PO, 10/25/22 | 64 | ||||||
362 | Series G93-1, Class KA, 7.900%, 01/25/23 | 416 | ||||||
141 | Series G93-5, Class Z, 6.500%, 02/25/23 | 158 | ||||||
105 | Series G93-14, Class J, 6.500%, 03/25/23 | 117 | ||||||
248 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 258 | ||||||
234 | Series G93-27, Class FD, VAR, 1.130%, 08/25/23 | 237 | ||||||
58 | Series G93-37, Class H, PO, 09/25/23 | 49 | ||||||
165 | Series G95-1, Class C, 8.800%, 01/25/25 | 192 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
6 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 1 | ||||||
4 | Series 50, Class 2, IO, 10.500%, 03/01/19 | 1 | ||||||
54 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 10 | ||||||
32 | Series 265, Class 2, 9.000%, 03/01/24 | 38 | ||||||
911 | Series 329, Class 1, PO, 01/01/33 | 814 | ||||||
2,943 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 262 | ||||||
4,100 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 345 | ||||||
2,096 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 218 | ||||||
1,398 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 171 | ||||||
5,007 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 886 | ||||||
585 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 51 | ||||||
3,453 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 596 | ||||||
4,473 | Series 383, Class 33, IO, 6.000%, 01/01/38 | 711 | ||||||
1,153 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 140 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2,766 | Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42 | 3,290 | ||||||
660 | Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42 | 783 | ||||||
2,370 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 2,727 | ||||||
1,444 | Series 2003-W2, Class 2A9, 5.900%, 07/25/42 | 1,620 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
584 | Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42 | 652 | ||||||
4,595 | Series 2003-W6, Class 3A, 6.500%, 09/25/42 | 5,355 | ||||||
5,327 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 6,154 | ||||||
1,121 | Series 2003-W8, Class 3F1, VAR, 0.618%, 05/25/42 | 1,114 | ||||||
7,151 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 8,352 | ||||||
6,800 | Series 2004-W10, Class A6, 5.750%, 08/25/34 | 7,500 | ||||||
2,297 | Series 2004-W11, Class 1A1, 6.000%, 05/25/44 | 2,577 | ||||||
7,123 | Series 2004-W15, Class 2AF, VAR, 0.468%, 08/25/44 | 7,082 | ||||||
2,438 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 2,824 | ||||||
2,276 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 2,656 | ||||||
4,333 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 5,079 | ||||||
53,198 | Series 2005-W3, Class 2AF, VAR, 0.438%, 03/25/45 | 52,945 | ||||||
3,246 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 3,642 | ||||||
25,686 | Series 2006-W2, Class 1AF1, VAR, 0.438%, 02/25/36 | 25,562 | ||||||
5,975 | Series 2006-W2, Class 2A, VAR, 2.917%, 11/25/35 | 6,176 | ||||||
5,982 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 6,680 | ||||||
54,514 | Series 2007-W1, Class 1AF1, VAR, 0.478%, 11/25/46 | 54,333 | ||||||
894 | Series 2007-W10, Class 2A, VAR, 6.214%, 08/25/47 | 1,004 | ||||||
4,306 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 4,751 | ||||||
2,680 | Series 2007-W5, Class PO, PO, 06/25/37 | 2,344 | ||||||
3,046 | Series 2007-W7, Class 1A4, HB, IF, 37.870%, 07/25/37 | 5,281 | ||||||
32,498 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 36,458 | ||||||
Government National Mortgage Association, | ||||||||
1,512 | Series 1994-3, Class PQ, 7.488%, 07/16/24 | 1,809 | ||||||
1,442 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 1,669 | ||||||
5,252 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 6,091 | ||||||
326 | Series 1995-3, Class DQ, 8.050%, 06/16/25 | 378 | ||||||
81 | Series 1995-7, Class CQ, 7.500%, 09/16/25 | 92 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 39 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,233 | Series 1996-16, Class E, 7.500%, 08/16/26 | 1,415 | ||||||
936 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 1,070 | ||||||
209 | Series 1997-11, Class D, 7.500%, 07/20/27 | 241 | ||||||
614 | Series 1998-26, Class K, 7.500%, 09/17/25 | 712 | ||||||
4,575 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 5,115 | ||||||
4,269 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 4,929 | ||||||
604 | Series 1999-30, Class S, IF, IO, 8.392%, 08/16/29 | 124 | ||||||
31 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 | 35 | ||||||
490 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 541 | ||||||
913 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 1,067 | ||||||
408 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 472 | ||||||
4,765 | Series 1999-44, Class ZC, 8.500%, 12/16/29 | 5,929 | ||||||
742 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 866 | ||||||
963 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 1,089 | ||||||
370 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 433 | ||||||
4,754 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 5,881 | ||||||
547 | Series 2000-12, Class ST, HB, IF, 38.559%, 02/16/30 | 1,111 | ||||||
1,296 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 1,493 | ||||||
360 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 387 | ||||||
4,325 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 5,430 | ||||||
747 | Series 2000-26, Class TZ, 8.500%, 09/20/30 | 869 | ||||||
198 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 230 | ||||||
37 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 40 | ||||||
602 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 707 | ||||||
343 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 382 | ||||||
52 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 17 | ||||||
1,193 | Series 2000-37, Class B, 8.000%, 12/20/30 | 1,400 | ||||||
208 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 252 | ||||||
343 | Series 2001-4, Class SJ, IF, IO, 7.940%, 01/19/30 | 99 | ||||||
267 | Series 2001-6, Class SD, IF, IO, 8.342%, 03/16/31 | 93 | ||||||
1,099 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 1,195 | ||||||
1,617 | Series 2001-8, Class Z, 6.500%, 03/20/31 | 1,869 | ||||||
2,363 | Series 2001-22, Class PS, HB, IF, 20.461%, 03/17/31 | 3,350 | ||||||
59 | Series 2001-32, Class WA, IF, 19.592%, 07/20/31 | 87 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
465 | Series 2001-35, Class SA, IF, IO, 8.042%, 08/16/31 | 128 | ||||||
355 | Series 2001-36, Class S, IF, IO, 7.842%, 08/16/31 | 95 | ||||||
4,500 | Series 2001-53, Class PB, 6.500%, 11/20/31 | 5,423 | ||||||
3,064 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 3,260 | ||||||
445 | Series 2002-3, Class SP, IF, IO, 7.182%, 01/16/32 | 114 | ||||||
855 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 1,015 | ||||||
1,912 | Series 2002-24, Class AG, IF, IO, 7.742%, 04/16/32 | 461 | ||||||
171 | Series 2002-24, Class SB, IF, 11.613%, 04/16/32 | 208 | ||||||
263 | Series 2002-31, Class S, IF, IO, 8.492%, 01/16/31 | 74 | ||||||
4,480 | Series 2002-31, Class SE, IF, IO, 7.292%, 04/16/30 | 951 | ||||||
2,072 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 2,410 | ||||||
71 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 78 | ||||||
8,285 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 9,730 | ||||||
2,496 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 2,915 | ||||||
930 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 1,048 | ||||||
4,162 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 4,759 | ||||||
165 | Series 2002-51, Class SG, HB, IF, 31.577%, 04/20/31 | 313 | ||||||
2,781 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 3,199 | ||||||
1,208 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 1,389 | ||||||
2,120 | Series 2002-69, Class PO, PO, 02/20/32 | 2,004 | ||||||
326 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 327 | ||||||
2,232 | Series 2002-70, Class PS, IF, IO, 7.487%, 08/20/32 | 276 | ||||||
1,411 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,707 | ||||||
955 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 49 | ||||||
1,005 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 1,056 | ||||||
719 | Series 2003-8, Class PO, PO, 01/16/32 | 686 | ||||||
2,243 | Series 2003-11, Class SK, IF, IO, 7.492%, 02/16/33 | 516 | ||||||
932 | Series 2003-12, Class SP, IF, IO, 7.487%, 02/20/33 | 215 | ||||||
367 | Series 2003-24, Class PO, PO, 03/16/33 | 296 |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
5,529 | Series 2003-25, Class PZ, 5.500%, 04/20/33 | 6,355 | ||||||
672 | Series 2003-34, Class TO, PO, 02/16/32 | 642 | ||||||
1,787 | Series 2003-40, Class TC, 7.500%, 03/20/33 | 1,877 | ||||||
3,156 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 3,800 | ||||||
1,120 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 1,348 | ||||||
2,072 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 2,424 | ||||||
1,559 | Series 2003-52, Class AP, PO, 06/16/33 | 1,228 | ||||||
3,196 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 3,718 | ||||||
442 | Series 2003-60, Class NS, IF, 16.042%, 07/16/33 | 468 | ||||||
5,621 | Series 2003-75, Class ZX, 6.000%, 09/16/33 | 6,474 | ||||||
1,466 | Series 2003-76, Class LS, IF, IO, 6.987%, 09/20/31 | 105 | ||||||
252 | Series 2003-90, Class PO, PO, 10/20/33 | 213 | ||||||
3,514 | Series 2003-97, Class SA, IF, IO, 6.342%, 11/16/33 | 746 | ||||||
3,221 | Series 2003-112, Class SA, IF, IO, 6.342%, 12/16/33 | 611 | ||||||
20,000 | Series 2003-112, Class TS, IF, IO, 6.737%, 10/20/32 | 3,439 | ||||||
905 | Series 2003-114, Class SH, IF, 14.321%, 11/17/32 | 1,117 | ||||||
9,808 | Series 2004-11, Class SW, IF, IO, 5.287%, 02/20/34 | 1,229 | ||||||
4,730 | Series 2004-15, Class SA, IF, 19.077%, 12/20/32 | 5,968 | ||||||
347 | Series 2004-27, Class VJ, 6.000%, 02/20/15 | 349 | ||||||
1,149 | Series 2004-28, Class S, IF, 19.090%, 04/16/34 | 1,609 | ||||||
3,430 | Series 2004-34, Class JO, PO, 02/20/34 | 3,210 | ||||||
3,541 | Series 2004-46, Class PO, PO, 06/20/34 | 3,015 | ||||||
5,527 | Series 2004-49, Class Z, 6.000%, 06/20/34 | 6,625 | ||||||
1,788 | Series 2004-68, Class PO, PO, 05/20/31 | 1,690 | ||||||
1,912 | Series 2004-71, Class SB, HB, IF, 28.418%, 09/20/34 | 2,713 | ||||||
1,912 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 1,874 | ||||||
1,687 | Series 2004-73, Class AE, IF, 14.425%, 08/17/34 | 2,088 | ||||||
9,630 | Series 2004-73, Class JL, IF, IO, 6.342%, 09/16/34 | 1,767 | ||||||
1,225 | Series 2004-83, Class AP, IF, 13.806%, 10/16/34 | 1,457 | ||||||
774 | Series 2004-85, Class PO, PO, 01/17/33 | 720 | ||||||
1,136 | Series 2004-87, Class SB, IF, 7.431%, 03/17/33 | 1,230 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,073 | Series 2004-89, Class LS, HB, IF, 23.619%, 10/16/34 | 1,747 | ||||||
21,393 | Series 2004-90, Class SI, IF, IO, 5.887%, 10/20/34 | 3,074 | ||||||
9,546 | Series 2004-96, Class SC, IF, IO, 5.867%, 11/20/34 | 1,427 | ||||||
10,500 | Series 2005-3, Class SB, IF, IO, 5.887%, 01/20/35 | 1,482 | ||||||
15,543 | Series 2005-3, Class SK, IF, IO, 6.537%, 01/20/35 | 2,719 | ||||||
1,358 | Series 2005-6, Class GS, IF, 13.074%, 12/20/32 | 1,613 | ||||||
4,461 | Series 2005-7, Class JM, IF, 16.262%, 05/18/34 | 5,183 | ||||||
16,150 | Series 2005-17, Class SL, IF, IO, 6.487%, 07/20/34 | 2,853 | ||||||
2,250 | Series 2005-35, Class FL, VAR, 0.563%, 03/20/32 | 2,235 | ||||||
1,710 | Series 2005-44, Class SP, IF, 11.774%, 10/20/34 | 1,983 | ||||||
1,783 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 352 | ||||||
266 | Series 2005-65, Class SA, HB, IF, 21.925%, 08/20/35 | 342 | ||||||
584 | Series 2005-66, Class SP, HB, IF, 20.139%, 08/16/35 | 801 | ||||||
7,387 | Series 2005-68, Class DP, IF, 15.932%, 06/17/35 | 8,808 | ||||||
34,818 | Series 2005-68, Class KI, IF, IO, 6.087%, 09/20/35 | 5,920 | ||||||
6,626 | Series 2005-69, Class SY, IF, IO, 6.537%, 11/20/33 | 1,170 | ||||||
2,767 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 3,249 | ||||||
1,576 | Series 2005-82, Class PO, PO, 10/20/35 | 1,321 | ||||||
3,159 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 596 | ||||||
1,077 | Series 2005-93, Class JO, PO, 03/20/31 | 1,041 | ||||||
3,008 | Series 2006-16, Class OP, PO, 03/20/36 | 2,500 | ||||||
3,552 | Series 2006-20, Class QA, 5.750%, 02/20/36 | 3,929 | ||||||
5,561 | Series 2006-33, Class Z, 6.500%, 07/20/36 | 6,891 | ||||||
754 | Series 2006-34, Class PO, PO, 07/20/36 | 627 | ||||||
912 | Series 2006-38, Class SW, IF, IO, 6.287%, 06/20/36 | 118 | ||||||
5,808 | Series 2006-38, Class ZK, 6.500%, 08/20/36 | 7,042 | ||||||
10,665 | Series 2006-40, Class VB, 6.000%, 11/20/26 | 11,103 | ||||||
1,962 | Series 2006-57, Class PZ, 5.565%, 10/20/36 | 2,278 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 41 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
5,339 | Series 2006-59, Class SD, IF, IO, 6.487%, 10/20/36 | 830 | ||||||
11,039 | Series 2006-65, Class SA, IF, IO, 6.587%, 11/20/36 | 1,702 | ||||||
8,178 | Series 2007-9, Class CI, IF, IO, 5.987%, 03/20/37 | 1,187 | ||||||
13,819 | Series 2007-9, Class DI, IF, IO, 6.297%, 03/20/37 | 2,065 | ||||||
17,482 | Series 2007-17, Class AF, VAR, 0.408%, 04/16/37 | 17,377 | ||||||
12,200 | Series 2007-17, Class JI, IF, IO, 6.602%, 04/16/37 | 2,092 | ||||||
4,733 | Series 2007-17, Class JO, PO, 04/16/37 | 3,923 | ||||||
6,070 | Series 2007-19, Class SD, IF, IO, 5.987%, 04/20/37 | 863 | ||||||
3,815 | Series 2007-25, Class FN, VAR, 0.508%, 05/16/37 | 3,790 | ||||||
14,611 | Series 2007-26, Class SC, IF, IO, 5.987%, 05/20/37 | 2,318 | ||||||
31,989 | Series 2007-26, Class SW, IF, IO, 5.987%, 05/20/37 | 5,053 | ||||||
10,226 | Series 2007-27, Class SD, IF, IO, 5.987%, 05/20/37 | 1,768 | ||||||
1,111 | Series 2007-28, Class BO, PO, 05/20/37 | 924 | ||||||
12,585 | Series 2007-35, Class PO, PO, 06/16/37 | 10,192 | ||||||
927 | Series 2007-35, Class TO, PO, 04/20/35 | 890 | ||||||
1,903 | Series 2007-36, Class HO, PO, 06/16/37 | 1,595 | ||||||
8,157 | Series 2007-36, Class SE, IF, IO, 6.262%, 06/16/37 | 1,202 | ||||||
11,028 | Series 2007-36, Class SJ, IF, IO, 6.037%, 06/20/37 | 1,661 | ||||||
8,350 | Series 2007-40, Class SD, IF, IO, 6.537%, 07/20/37 | 1,272 | ||||||
14,673 | Series 2007-40, Class SN, IF, IO, 6.467%, 07/20/37 | 2,091 | ||||||
20,267 | Series 2007-42, Class SC, IF, IO, 6.537%, 07/20/37 | 3,070 | ||||||
12,682 | Series 2007-45, Class QA, IF, IO, 6.427%, 07/20/37 | 1,828 | ||||||
2,721 | Series 2007-49, Class NO, PO, 12/20/35 | 2,566 | ||||||
4,376 | Series 2007-50, Class AI, IF, IO, 6.562%, 08/20/37 | 706 | ||||||
7,821 | Series 2007-53, Class ES, IF, IO, 6.337%, 09/20/37 | 1,045 | ||||||
3,078 | Series 2007-53, Class SW, IF, 19.566%, 09/20/37 | 4,056 | ||||||
12,084 | Series 2007-57, Class PO, PO, 03/20/37 | 10,103 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
11,377 | Series 2007-57, Class QA, IF, IO, 6.287%, 10/20/37 | 1,624 | ||||||
11,722 | Series 2007-67, Class SI, IF, IO, 6.297%, 11/20/37 | 1,690 | ||||||
6,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 6,388 | ||||||
9,104 | Series 2007-71, Class SB, IF, IO, 6.487%, 07/20/36 | 1,044 | ||||||
10,000 | Series 2007-72, Class US, IF, IO, 6.337%, 11/20/37 | 1,323 | ||||||
11,042 | Series 2007-73, Class MI, IF, IO, 5.787%, 11/20/37 | 1,419 | ||||||
6,851 | Series 2007-74, Class SL, IF, IO, 6.332%, 11/16/37 | 1,152 | ||||||
21,499 | Series 2007-76, Class SB, IF, IO, 6.287%, 11/20/37 | 3,093 | ||||||
16,060 | Series 2007-79, Class SY, IF, IO, 6.337%, 12/20/37 | 2,126 | ||||||
12,346 | Series 2007-82, Class SA, IF, IO, 6.317%, 12/20/37 | 1,697 | ||||||
1,165 | Series 2008-7, Class SK, IF, 19.311%, 11/20/37 | 1,501 | ||||||
1,635 | Series 2008-7, Class SP, IF, 12.974%, 10/20/37 | 1,916 | ||||||
3,402 | Series 2008-17, Class IO, IO, 5.500%, 02/20/38 | 635 | ||||||
3,209 | Series 2008-20, Class PO, PO, 09/20/37 | 2,753 | ||||||
1,562 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 180 | ||||||
7,242 | Series 2008-25, Class SB, IF, IO, 6.687%, 03/20/38 | 1,125 | ||||||
3,585 | Series 2008-29, Class PO, PO, 02/17/33 | 3,122 | ||||||
16,993 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 2,497 | ||||||
5,090 | Series 2008-33, Class XS, IF, IO, 7.492%, 04/16/38 | 852 | ||||||
6,000 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 6,966 | ||||||
13,620 | Series 2008-36, Class SH, IF, IO, 6.087%, 04/20/38 | 1,906 | ||||||
28,421 | Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38 | 5,739 | ||||||
11,814 | Series 2008-41, Class SA, IF, IO, 6.127%, 05/20/38 | 1,703 | ||||||
1,436 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 1,538 | ||||||
3,500 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 4,090 | ||||||
4,260 | Series 2008-55, Class SA, IF, IO, 5.987%, 06/20/38 | 624 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
17,453 | Series 2008-60, Class CS, IF, IO, 5.937%, 07/20/38 | 2,274 | ||||||
3,075 | Series 2008-60, Class PO, PO, 01/20/38 | 2,751 | ||||||
1,639 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 1,812 | ||||||
10,000 | Series 2008-65, Class ME, 5.750%, 09/20/37 | 11,141 | ||||||
10,798 | Series 2008-69, Class QD, 5.750%, 07/20/38 | 12,118 | ||||||
6,805 | Series 2008-71, Class SC, IF, IO, 5.787%, 08/20/38 | 908 | ||||||
17,391 | Series 2008-76, Class US, IF, IO, 5.687%, 09/20/38 | 2,295 | ||||||
8,206 | Series 2008-79, Class CS, IF, 6.587%, 06/20/35 | 8,678 | ||||||
32,637 | Series 2008-81, Class S, IF, IO, 5.987%, 09/20/38 | 5,241 | ||||||
14,954 | Series 2008-93, Class AS, IF, IO, 5.487%, 12/20/38 | 1,895 | ||||||
32,337 | Series 2008-95, Class DS, IF, IO, 7.087%, 12/20/38 | 5,649 | ||||||
9,472 | Series 2008-96, Class SL, IF, IO, 5.787%, 12/20/38 | 1,190 | ||||||
10,544 | Series 2009-6, Class SA, IF, IO, 5.892%, 02/16/39 | 1,320 | ||||||
10,145 | Series 2009-6, Class SH, IF, IO, 5.827%, 02/20/39 | 1,334 | ||||||
16,037 | Series 2009-10, Class SA, IF, IO, 5.737%, 02/20/39 | 2,124 | ||||||
5,885 | Series 2009-10, Class SL, IF, IO, 6.292%, 03/16/34 | 728 | ||||||
11,966 | Series 2009-11, Class SC, IF, IO, 5.942%, 02/16/39 | 1,575 | ||||||
4,361 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 763 | ||||||
8,920 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 1,638 | ||||||
28,453 | Series 2009-22, Class SA, IF, IO, 6.057%, 04/20/39 | 3,864 | ||||||
15,473 | Series 2009-24, Class DS, IF, IO, 6.087%, 03/20/39 | 1,939 | ||||||
7,645 | Series 2009-25, Class SE, IF, IO, 7.387%, 09/20/38 | 1,345 | ||||||
15,791 | Series 2009-31, Class ST, IF, IO, 6.137%, 03/20/39 | 2,062 | ||||||
19,007 | Series 2009-31, Class TS, IF, IO, 6.087%, 03/20/39 | 2,553 | ||||||
4,721 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 848 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
4,738 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 881 | ||||||
12,270 | Series 2009-35, Class SN, IF, IO, 6.192%, 12/16/38 | 1,532 | ||||||
24,207 | Series 2009-42, Class SC, IF, IO, 5.867%, 06/20/39 | 3,158 | ||||||
16,832 | Series 2009-43, Class SA, IF, IO, 5.737%, 06/20/39 | 2,208 | ||||||
10,764 | Series 2009-44, Class MV, 6.000%, 04/20/20 | 12,140 | ||||||
3,868 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 4,271 | ||||||
34,743 | Series 2009-64, Class SN, IF, IO, 5.892%, 07/16/39 | 4,356 | ||||||
6,057 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 1,023 | ||||||
21,725 | Series 2009-72, Class SM, IF, IO, 6.042%, 08/16/39 | 2,850 | ||||||
3,070 | Series 2009-75, Class MN, 5.500%, 09/20/39 | 3,615 | ||||||
15,842 | Series 2009-79, Class OK, PO, 11/16/37 | 13,413 | ||||||
32,083 | Series 2009-81, Class SB, IF, IO, 5.877%, 09/20/39 | 4,207 | ||||||
14,856 | Series 2009-83, Class TS, IF, IO, 5.887%, 08/20/39 | 1,920 | ||||||
4,552 | Series 2009-89, Class VA, 5.000%, 07/20/20 | 5,103 | ||||||
54,687 | Series 2009-102, Class SM, IF, IO, 6.192%, 06/16/39 | 6,870 | ||||||
3,741 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 4,484 | ||||||
21,481 | Series 2009-106, Class AS, IF, IO, 6.192%, 11/16/39 | 2,741 | ||||||
80,221 | Series 2009-106, Class ST, IF, IO, 5.787%, 02/20/38 | 11,604 | ||||||
6,179 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 7,070 | ||||||
7,351 | Series 2010-14, Class AO, PO, 12/20/32 | 6,478 | ||||||
2,804 | Series 2010-14, Class AO, PO, 11/20/35 | 2,381 | ||||||
4,500 | Series 2010-14, Class CO, PO, 08/20/35 | 3,220 | ||||||
1,146 | Series 2010-14, Class EO, PO, 06/16/33 | 1,082 | ||||||
36,635 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 40,014 | ||||||
5,296 | Series 2010-41, Class WA, VAR, 5.853%, 10/20/33 | 5,943 | ||||||
3,400 | Series 2010-103, Class WA, VAR, 5.767%, 08/20/34 | 3,843 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 43 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
4,267 | Series 2010-129, Class AW, VAR, 6.151%, 04/20/37 | 4,851 | ||||||
30,773 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 36,400 | ||||||
21,890 | Series 2010-157, Class OP, PO, 12/20/40 | 17,247 | ||||||
1,895 | Series 2011-22, Class WA, 5.947%, 02/20/37 | 2,157 | ||||||
5,627 | Series 2011-43, Class ZQ, 5.500%, 01/16/33 | 6,621 | ||||||
33,135 | Series 2011-75, Class SM, IF, IO, 6.387%, 05/20/41 | 5,053 | ||||||
7,866 | Series 2011-97, Class WA, VAR, 6.069%, 11/20/38 | 8,918 | ||||||
NCUA Guaranteed Notes, | ||||||||
72,161 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 74,878 | ||||||
32,060 | Series 2010-R3, Class 1A, VAR, 0.761%, 12/08/20 | 32,310 | ||||||
9,595 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 9,883 | ||||||
Vendee Mortgage Trust, | ||||||||
12,050 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 14,008 | ||||||
2,378 | Series 1994-1, Class 1, VAR, 5.629%, 02/15/24 | 2,629 | ||||||
8,524 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 9,658 | ||||||
3,407 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 4,007 | ||||||
1,610 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,893 | ||||||
4,755 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 5,630 | ||||||
3,255 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,819 | ||||||
|
| |||||||
5,041,243 | ||||||||
|
| |||||||
Non-Agency CMO — 12.0% | ||||||||
6,426 | AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.478%, 02/02/37 (e) | 6,073 | ||||||
62 | ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 | 62 | ||||||
AH Mortgage Advance Trust, | ||||||||
23,366 | Series SART-2, Class A1, 3.270%, 09/15/43 (e) | 23,362 | ||||||
7,000 | Series SART-2, Class B1, 6.900%, 09/15/43 (e) | 7,000 | ||||||
American General Mortgage Loan Trust, | ||||||||
3,758 | Series 2006-1, Class A5, VAR, 5.736%, 12/25/35 (e) | 3,869 | ||||||
24,489 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 24,588 | ||||||
16,389 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 16,548 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
33,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 33,781 | ||||||
11,515 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 11,807 | ||||||
8,500 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35 | 3,304 | ||||||
ASG Resecuritization Trust, | ||||||||
7,313 | Series 2009-1, Class A60, VAR, 5.218%, 06/26/37 (e) | 7,386 | ||||||
19,373 | Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e) | 19,193 | ||||||
5,300 | Series 2009-2, Class G60, VAR, 5.345%, 05/24/36 (e) | 5,024 | ||||||
38,400 | Series 2009-3, Class A65, VAR, 5.235%, 03/26/37 (e) | 38,096 | ||||||
22,169 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 22,502 | ||||||
4,582 | Series 2009-5, Class A50, VAR, 5.568%, 02/28/37 (e) | 4,662 | ||||||
9,426 | Series 2010-1, Class A85, VAR, 0.621%, 02/27/36 (e) | 9,049 | ||||||
16,037 | Series 2010-2, Class A60, VAR, 4.964%, 01/28/37 (e) | 16,157 | ||||||
16,082 | Series 2010-3, Class 2A22, VAR, 0.395%, 10/28/36 (e) | 15,599 | ||||||
9,423 | Series 2010-4, Class 1A22, VAR, 0.351%, 07/28/36 (e) (f) (i) | 9,164 | ||||||
4,533 | Series 2010-4, Class 2A20, VAR, 0.344%, 11/28/36 (e) | 4,408 | ||||||
6,665 | Series 2011-1, Class 1A85, 4.000%, 09/28/20 (e) | 6,650 | ||||||
9,596 | Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e) | 10,124 | ||||||
9,647 | Series 2011-1, Class 3A50, VAR, 2.555%, 11/28/35 (e) (f) (i) | 9,261 | ||||||
2,399 | Series 2011-2, Class A48S, HB, IF, 23.364%, 02/28/36 (e) | 3,286 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
396 | Series 2003-1, Class APO, PO, 02/25/33 | 252 | ||||||
4,644 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 | 4,780 | ||||||
6,933 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 7,074 | ||||||
7,911 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 8,132 | ||||||
8,898 | Series 2003-11, Class 1A1, 6.000%, 01/25/34 | 8,914 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
7,189 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 7,219 | ||||||
956 | Series 2003-11, Class PO, PO, 01/25/34 | 784 | ||||||
2,566 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 2,696 | ||||||
2,486 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 2,510 | ||||||
509 | Series 2004-6, Class 15PO, PO, 07/25/19 | 394 | ||||||
1,142 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,155 | ||||||
3,820 | Series 2004-8, Class 3A1, 5.500%, 09/25/19 | 3,812 | ||||||
1,373 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,218 | ||||||
4,229 | Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 | 764 | ||||||
2,745 | Banc of America Commercial Mortgage, Inc., Series 2004-J, Class 3A1, VAR, 5.089%, 11/25/34 | 2,291 | ||||||
Banc of America Funding Corp., | ||||||||
1,326 | Series 2004-1, Class PO, PO, 03/25/34 | 1,061 | ||||||
1,766 | Series 2004-2, Class 1CB1, 5.750%, 09/20/34 | 1,815 | ||||||
2,862 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 2,872 | ||||||
3,910 | Series 2004-C, Class 1A1, VAR, 5.033%, 12/20/34 | 3,713 | ||||||
1,964 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,901 | ||||||
1,782 | Series 2005-7, Class 30PO, PO, 11/25/35 | 1,401 | ||||||
804 | Series 2005-8, Class 30PO, PO, 01/25/36 | 644 | ||||||
3,468 | Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35 | 3,118 | ||||||
2,142 | Series 2006-1, Class XPO, PO, 01/25/36 | 1,665 | ||||||
18,291 | Series 2010-R11A, Class 1A6, VAR, 5.421%, 08/26/35 (e) | 18,734 | ||||||
4,053 | Series 2010-R4, Class 5A1, VAR, 0.369%, 07/26/36 (e) | 3,921 | ||||||
14,857 | Series 2010-R5, Class 5A6, VAR, 0.519%, 05/26/37 (e) | 14,399 | ||||||
1,089 | Series 2010-R7, Class A1, VAR, 0.399%, 06/25/46 (e) (f) (i) | 1,071 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
10,000 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 10,259 | ||||||
3,710 | Series 2003-3, Class 2A1, VAR, 0.768%, 05/25/18 | 3,532 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
1,173 | Series 2003-5, Class 3A1, 7.500%, 02/25/31 | 1,225 | ||||||
1,763 | Series 2003-6, Class 2A1, VAR, 0.668%, 08/25/18 | 1,685 | ||||||
238 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 246 | ||||||
709 | Series 2003-8, Class APO, PO, 11/25/33 | 590 | ||||||
1,415 | Series 2003-C, Class 3A1, VAR, 2.872%, 04/25/33 | 1,358 | ||||||
4,486 | Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33 | 4,082 | ||||||
453 | Series 2004-1, Class APO, PO, 02/25/34 | 386 | ||||||
4,871 | Series 2004-3, Class 15IO, IO, VAR, 0.236%, 04/25/19 | 24 | ||||||
16,500 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 16,882 | ||||||
279 | Series 2004-4, Class APO, PO, 05/25/34 | 235 | ||||||
3,870 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 3,868 | ||||||
1,930 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 1,986 | ||||||
811 | Series 2004-6, Class 2A7, 5.500%, 07/25/34 | 841 | ||||||
1,471 | Series 2004-6, Class APO, PO, 07/25/34 | 1,217 | ||||||
102 | Series 2004-8, Class 5PO, PO, 05/25/32 | 90 | ||||||
579 | Series 2004-8, Class XPO, PO, 10/25/34 | 490 | ||||||
2,283 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 2,403 | ||||||
218 | Series 2004-9, Class 3PO, PO, 09/25/32 | 190 | ||||||
5,314 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 5,315 | ||||||
BCAP LLC Trust, | ||||||||
15,290 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 15,309 | ||||||
2,519 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 2,522 | ||||||
17,932 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 18,224 | ||||||
6,912 | Series 2009-RR14, Class 3A2, VAR, 2.720%, 08/26/35 (e) | 6,428 | ||||||
2,625 | Series 2009-RR14, Class 4A1, VAR, 2.757%, 03/26/36 (e) | 2,617 | ||||||
11,020 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 11,199 | ||||||
2,940 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 2,947 | ||||||
3,589 | Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i) | 3,585 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 45 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
4,377 | Series 2010-RR4, Class 2A1, VAR, 0.969%, 06/26/37 (e) | 4,070 | ||||||
4,241 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 4,154 | ||||||
12,601 | Series 2010-RR5, Class 2A5, VAR, 5.198%, 04/26/37 (e) | 12,522 | ||||||
7,652 | Series 2010-RR6, Class 22A3, VAR, 5.191%, 06/26/36 (e) | 7,652 | ||||||
4,229 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 4,103 | ||||||
8,595 | Series 2010-RR7, Class 15A1, VAR, 1.019%, 01/26/36 (e) | 8,015 | ||||||
12,193 | Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e) | 11,265 | ||||||
17,506 | Series 2010-RR7, Class 1A5, VAR, 5.011%, 04/26/35 (e) | 17,176 | ||||||
35,027 | Series 2010-RR7, Class 2A1, VAR, 5.127%, 07/26/45 (e) | 33,114 | ||||||
8,058 | Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e) | 7,966 | ||||||
10,000 | Series 2010-RR8, Class 3A4, VAR, 5.083%, 05/26/35 (e) | 9,020 | ||||||
8,456 | Series 2011-RR2, Class 3A3, VAR, 2.931%, 11/21/35 (e) | 8,456 | ||||||
17,563 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 16,773 | ||||||
23,275 | Series 2011-RR5, Class 14A3, VAR, 2.846%, 07/26/36 (e) (f) (i) | 22,286 | ||||||
26,995 | Series 2011-RR5-I, Class 11A3, VAR, 0.369%, 05/28/36 (e) | 25,105 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
4,346 | Series 2003-2, Class A5, VAR, 2.602%, 01/25/33 (e) | 4,060 | ||||||
487 | Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33 | 453 | ||||||
6,417 | Series 2004-2, Class 14A, VAR, 5.020%, 05/25/34 | 6,380 | ||||||
15,830 | Series 2005-5, Class A1, VAR, 2.220%, 08/25/35 | 14,693 | ||||||
11,236 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 9,586 | ||||||
6,947 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.718%, 03/25/35 | 5,460 | ||||||
Cendant Mortgage Corp., | ||||||||
1,205 | Series 2003-8, Class 1P, PO, 10/25/33 | 990 | ||||||
371 | Series 2004-1, Class P, PO, 02/25/34 | 298 | ||||||
Chase Mortgage Finance Corp., | ||||||||
3,817 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 3,932 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
1,223 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 1,243 | ||||||
740 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 755 | ||||||
2,302 | Series 2003-S9, Class AP, PO, 10/25/18 | 2,164 | ||||||
6,404 | Series 2007-A1, Class 2A1, VAR, 2.753%, 02/25/37 | 6,122 | ||||||
1,005 | Series 2007-A1, Class 7A1, VAR, 2.758%, 02/25/37 | 943 | ||||||
3,230 | Series 2007-A1, Class 9A1, VAR, 2.790%, 02/25/37 | 3,116 | ||||||
2,482 | Series 2007-A2, Class 1A1, VAR, 2.775%, 07/25/37 | 2,174 | ||||||
3,723 | Series 2007-A2, Class 2A1, VAR, 2.955%, 07/25/37 | 3,511 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
161 | Series 1993-14, Class A3, VAR, 1.418%, 11/25/23 | 154 | ||||||
1,037 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 1,045 | ||||||
3,117 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 3,147 | ||||||
8,220 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 8,580 | ||||||
915 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 945 | ||||||
1,615 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 1,600 | ||||||
5,000 | Series 2006-4, Class 1A2, 6.000%, 08/25/36 | 4,736 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
4,383 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 4,447 | ||||||
599 | Series 2003-1, Class 2A6, PO, 10/25/33 | 484 | ||||||
574 | Series 2003-1, Class PO2, PO, 10/25/33 | 471 | ||||||
444 | Series 2003-1, Class PO3, PO, 09/25/33 | 368 | ||||||
41 | Series 2003-1, Class WPO1, PO, 06/25/16 | 40 | ||||||
508 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 520 | ||||||
2,242 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 2,346 | ||||||
468 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 434 | ||||||
329 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 307 | ||||||
2,427 | Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34 | 2,422 | ||||||
614 | Series 2005-1, Class 2A1A, VAR, 2.724%, 04/25/35 | 379 | ||||||
4,735 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 4,616 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
1,766 | Series 2005-5, Class 1A2, VAR, 2.701%, 08/25/35 | 975 | ||||||
24,849 | Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38 (e) | 24,513 | ||||||
4,811 | Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) | 5,027 | ||||||
15,023 | Series 2009-10, Class 1A1, VAR, 2.589%, 09/25/33 (e) | 14,854 | ||||||
11,841 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 12,292 | ||||||
13,000 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 13,357 | ||||||
6,403 | Series 2010-7, Class 10A1, VAR, 2.729%, 02/25/35 (e) | 6,364 | ||||||
2,397 | Series 2010-7, Class 4A1, VAR, 1.188%, 09/25/37 (e) | 2,382 | ||||||
6,456 | Series 2010-10, Class 2A1, VAR, 2.655%, 02/25/36 (e) | 6,375 | ||||||
6,820 | Series 2011-3, Class 1A1, VAR, 0.298%, 02/25/47 (e) | 6,667 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
2,223 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 2,339 | ||||||
389 | Series 2002-12, Class PO, PO, 11/25/32 | 251 | ||||||
3,541 | Series 2002-18, Class M, 6.000%, 02/25/33 | 3,371 | ||||||
583 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 548 | ||||||
10,969 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 10,447 | ||||||
2,630 | Series 2004-14T2, Class A5, 5.500%, 08/25/34 | 2,592 | ||||||
7,637 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 7,815 | ||||||
1,102 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 1,121 | ||||||
9,568 | Series 2005-1CB, Class 1A6, IF, IO, 6.882%, 03/25/35 | 1,244 | ||||||
19,382 | Series 2005-20CB, Class 3A8, IF, IO, 4.532%, 07/25/35 | 2,229 | ||||||
21,198 | Series 2005-22T1, Class A2, IF, IO, 4.852%, 06/25/35 | 2,504 | ||||||
263 | Series 2005-26CB, Class A10, IF, 12.654%, 07/25/35 | 268 | ||||||
7,730 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 6,048 | ||||||
134 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 130 | ||||||
304 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 270 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
67,691 | Series 2005-37T1, Class A2, IF, IO, 4.832%, 09/25/35 | 9,124 | ||||||
9,300 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 7,688 | ||||||
39,159 | Series 2005-54CB, Class 1A2, IF, IO, 4.632%, 11/25/35 | 5,629 | ||||||
160 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 149 | ||||||
3,512 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 2,756 | ||||||
15,211 | Series 2005-J1, Class 1A4, IF, IO, 4.882%, 02/25/35 | 1,587 | ||||||
1,500 | Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i) | 171 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
430 | Series 2002-18, Class PO, PO, 11/25/32 | 357 | ||||||
2,152 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 2,234 | ||||||
4,335 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 4,165 | ||||||
1,633 | Series 2003-29, Class A1, 5.500%, 08/25/33 | 1,679 | ||||||
2,592 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 2,612 | ||||||
8,944 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 8,791 | ||||||
1,110 | Series 2003-44, Class A9, PO, 10/25/33 | 997 | ||||||
9,004 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 9,351 | ||||||
238 | Series 2003-J13, Class PO, PO, 01/25/34 | 201 | ||||||
1,853 | Series 2003-J7, Class 4A3, IF, 9.491%, 08/25/18 | 1,843 | ||||||
1,396 | Series 2004-3, Class A4, 5.750%, 04/25/34 | 1,437 | ||||||
7,961 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 8,236 | ||||||
382 | Series 2004-7, Class 2A1, VAR, 2.276%, 06/25/34 | 326 | ||||||
7,520 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 7,656 | ||||||
694 | Series 2004-HYB1, Class 2A, VAR, 2.855%, 05/20/34 | 571 | ||||||
2,807 | Series 2004-HYB3, Class 2A, VAR, 2.554%, 06/20/34 | 2,147 | ||||||
1,791 | Series 2004-HYB6, Class A3, VAR, 3.007%, 11/20/34 | 1,455 | ||||||
779 | Series 2004-J6, Class 2A1, 4.750%, 07/25/14 | 788 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 47 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
661 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 674 | ||||||
1,091 | Series 2005-14, Class A2, 5.500%, 07/25/35 | 1,106 | ||||||
1,000 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 928 | ||||||
6,745 | Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35 | 4,258 | ||||||
324 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 261 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
11,092 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 10,981 | ||||||
6,928 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 6,950 | ||||||
7,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 6,825 | ||||||
8,437 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 8,542 | ||||||
7,124 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 7,420 | ||||||
17,726 | Series 2010-11R, Class A1, VAR, 1.221%, 06/28/47 (e) | 17,449 | ||||||
7,813 | Series 2010-12R, Class 14A1, VAR, 2.749%, 09/26/46 (e) | 7,813 | ||||||
6,406 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 6,453 | ||||||
5,658 | Series 2010-15R, Class 7A1, VAR, 5.271%, 10/26/37 (e) | 5,704 | ||||||
3,010 | Series 2010-15R, Class 7A2, VAR, 5.271%, 10/26/37 (e) | 2,732 | ||||||
7,590 | Series 2010-17R, Class 1A1, VAR, 2.539%, 06/26/36 (e) | 7,170 | ||||||
10,048 | Series 2010-17R, Class 5A1, VAR, 2.876%, 07/26/36 (e) | 9,658 | ||||||
40,534 | Series 2011-1R, Class A1, VAR, 1.221%, 02/27/47 (e) | 40,477 | ||||||
8,775 | Series 2011-6R, Class 3A1, VAR, 2.876%, 07/28/36 (e) | 8,160 | ||||||
50,680 | Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e) | 50,648 | ||||||
59,942 | Series 2011-9R, Class A1, VAR, 2.218%, 03/27/46 (e) | 59,946 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
70 | Series 1997-2, Class A, 7.500%, 06/25/20 (e) | 73 | ||||||
2,008 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,767 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
5,680 | Series 2003-21, Class 1A4, 5.250%, 09/25/33 | 5,784 | ||||||
3,235 | Series 2003-23, Class 1P, PO, 10/25/33 | 2,680 | ||||||
2,671 | Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 2,743 | ||||||
589 | Series 2003-25, Class 2A1, 4.500%, 10/25/18 | 597 | ||||||
6,754 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 7,024 | ||||||
2,957 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 3,059 | ||||||
1,493 | Series 2003-AR15, Class 3A1, VAR, 2.684%, 06/25/33 | 1,401 | ||||||
4,028 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 4,251 | ||||||
3,710 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 3,786 | ||||||
152 | Series 2004-5, Class 5P, PO, 08/25/19 | 142 | ||||||
5,836 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 6,213 | ||||||
2,743 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 2,821 | ||||||
1,386 | Series 2005-4, Class 3A24, IF, 18.319%, 06/25/35 | 1,439 | ||||||
1,015 | Series 2005-9, Class AP, PO, 10/25/35 | 606 | ||||||
7,544 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 1,055 | ||||||
487 | Series 2005-10, Class AP, PO, 11/25/35 | 375 | ||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, | ||||||||
2,646 | Series 2005-1, Class 2A1, VAR, 5.714%, 02/25/20 | 2,696 | ||||||
3,632 | Series 2005-3, Class 1A1, VAR, 5.297%, 06/25/20 | 3,395 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
249 | Series 2004-1, Class 2APO, PO, 10/25/18 | 231 | ||||||
6,083 | Series 2009-RS2, Class 4A1, VAR, 0.317%, 04/26/37 (e) | 5,749 | ||||||
5,920 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 5,868 | ||||||
11,830 | Series 2010-RS2, Class A1, VAR, 1.437%, 06/28/47 (e) | 11,815 | ||||||
First Boston Mortgage Securities Corp. 1987 STRIPS, | ||||||||
47 | Series C, Class IO, IO, 10.965%, 04/25/17 | 7 | ||||||
26 | Series C, Class PO, PO, 04/25/17 | 25 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
First Horizon Alternative Mortgage Securities, | ||||||||
3,459 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 2,389 | ||||||
25,115 | Series 2007-FA4, Class 1A2, IF, IO, 5.432%, 08/25/37 | 3,391 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
268 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 276 | ||||||
3,202 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 3,227 | ||||||
3,243 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 3,305 | ||||||
2,412 | Series 2004-AR2, Class 2A1, VAR, 2.761%, 05/25/34 | 2,168 | ||||||
1,550 | Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35 | 1,456 | ||||||
798 | Series 2004-AR7, Class 2A2, VAR, 2.741%, 02/25/35 | 700 | ||||||
6,311 | Series 2005-AR1, Class 2A2, VAR, 2.750%, 04/25/35 | 5,703 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
13,418 | Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33 | 12,756 | ||||||
8,273 | Series 2003-AR2, Class 2A4, VAR, 3.217%, 12/19/33 | 7,559 | ||||||
1,178 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 1,233 | ||||||
13,304 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 13,717 | ||||||
721 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 738 | ||||||
7,012 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 7,382 | ||||||
3,962 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 4,060 | ||||||
1,424 | Series 2005-AR3, Class 3A3, VAR, 3.088%, 06/19/35 | 1,326 | ||||||
5,000 | Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35 | 3,973 | ||||||
1,780 | Series 2010-1, Class A, 4.250%, 07/25/40 (e) | 1,785 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
1,335 | Series 2004-4, Class 1AF, VAR, 0.618%, 06/25/34 (e) | 1,084 | ||||||
2,469 | Series 2005-RP2, Class 1AF, VAR, 0.568%, 03/25/35 (e) | 2,035 | ||||||
GSR Mortgage Loan Trust, | ||||||||
1,638 | Series 2003-3F, Class 4A3, 5.750%, 04/25/33 | 1,651 | ||||||
835 | Series 2003-6F, Class A2, VAR, 0.618%, 09/25/32 | 800 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
996 | Series 2004-9, Class 5A5, VAR, 2.275%, 08/25/34 | 989 | ||||||
9,317 | Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 9,689 | ||||||
3,218 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 3,433 | ||||||
329 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 334 | ||||||
1,003 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 980 | ||||||
155 | Series 2004-15F, Class AP, PO, 12/25/34 | 131 | ||||||
2,297 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 2,301 | ||||||
7,508 | Series 2005-5F, Class 8A3, VAR, 0.718%, 06/25/35 | 7,295 | ||||||
9,460 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 9,145 | ||||||
503 | Series 2005-AR6, Class 3A1, VAR, 2.722%, 09/25/35 | 426 | ||||||
4,000 | Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 3,559 | ||||||
11,678 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 9,417 | ||||||
13,000 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 12,185 | ||||||
4,652 | Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.518%, 05/25/35 | 3,972 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
2,349 | Series 2003-2, Class A1, 5.500%, 08/25/33 | 2,447 | ||||||
101 | Series 2004-3, Class 1A4, VAR, 1.018%, 11/25/34 | 91 | ||||||
11,797 | Series 2006-1, Class 2A1, VAR, 0.568%, 05/25/36 | 10,374 | ||||||
26,175 | Series 2006-2, Class 2A1, VAR, 0.568%, 08/25/36 | 22,855 | ||||||
31,539 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.213%, 08/25/35 | 158 | ||||||
JP Morgan Mortgage Trust, | ||||||||
1,781 | Series 2004-A3, Class 4A1, VAR, 2.749%, 07/25/34 | 1,728 | ||||||
3,728 | Series 2004-A4, Class 1A1, VAR, 2.759%, 09/25/34 | 3,607 | ||||||
2,851 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 2,936 | ||||||
7,550 | Series 2005-A1, Class 3A4, VAR, 5.016%, 02/25/35 | 6,965 | ||||||
2,828 | Series 2005-A1, Class 5A1, VAR, 4.477%, 02/25/35 | 2,794 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 49 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
43,371 | Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34 | 41,022 | ||||||
23,861 | Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33 | 23,108 | ||||||
5,885 | Series 2006-A3, Class 6A1, VAR, 2.808%, 08/25/34 | 5,116 | ||||||
3,968 | Series 2007-A1, Class 5A1, VAR, 2.907%, 07/25/35 | 3,503 | ||||||
1,587 | Series 2007-A1, Class 5A2, VAR, 2.907%, 07/25/35 | 1,433 | ||||||
JP Morgan Reremic, | ||||||||
7,815 | Series 2009-6, Class 4A1, VAR, 5.958%, 09/26/36 (e) | 8,108 | ||||||
8,059 | Series 2010-4, Class 7A1, VAR, 4.285%, 08/26/35 (e) | 7,724 | ||||||
Lehman Mortgage Trust, | ||||||||
2,527 | Series 2006-2, Class 1A1, VAR, 6.482%, 04/25/36 | 2,412 | ||||||
2,025 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 1,560 | ||||||
10,000 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 7,497 | ||||||
LVII Resecuritization Trust, | ||||||||
18,541 | Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e) | 18,135 | ||||||
16,500 | Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e) | 16,490 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
1,543 | Series 2004-3, Class 4A2, VAR, 2.286%, 04/25/34 | 1,348 | ||||||
3,640 | Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34 | 3,416 | ||||||
11,817 | Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34 | 11,631 | ||||||
766 | Series 2004-15, Class 3A1, VAR, 3.241%, 12/25/34 | 572 | ||||||
MASTR Alternative Loans Trust, | ||||||||
4,804 | Series 2003-9, Class 2A1, 6.000%, 12/25/33 | 4,809 | ||||||
820 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 821 | ||||||
1,995 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 2,020 | ||||||
5,854 | Series 2004-3, Class 3A1, 6.000%, 04/25/34 | 5,981 | ||||||
1,181 | Series 2004-6, Class 30PO, PO, 07/25/34 | 1,013 | ||||||
638 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 633 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
1,024 | Series 2004-7, Class 30PO, PO, 08/25/34 | 631 | ||||||
3,040 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 3,088 | ||||||
1,114 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,134 | ||||||
3,642 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 3,426 | ||||||
MASTR Asset Securitization Trust, | ||||||||
811 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 835 | ||||||
461 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 468 | ||||||
1,467 | Series 2003-2, Class 2A10, 4.500%, 03/25/18 | 1,490 | ||||||
461 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 483 | ||||||
922 | Series 2003-9, Class 15PO, PO, 10/25/18 | 858 | ||||||
811 | Series 2003-9, Class 2A7, 5.500%, 10/25/33 | 841 | ||||||
528 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 536 | ||||||
581 | Series 2003-12, Class 30PO, PO, 12/25/33 | 469 | ||||||
1,485 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 1,511 | ||||||
371 | Series 2004-1, Class 30PO, PO, 02/25/34 | 297 | ||||||
5,162 | Series 2004-4, Class 1A6, 5.250%, 12/26/33 | 5,356 | ||||||
201 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 205 | ||||||
551 | Series 2004-6, Class 15PO, PO, 05/25/19 | 505 | ||||||
1,982 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 2,037 | ||||||
401 | Series 2004-8, Class PO, PO, 08/25/19 | 373 | ||||||
1,327 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 1,368 | ||||||
148 | Series 2004-10, Class 5A1, VAR, 0.618%, 11/25/34 | 147 | ||||||
4,363 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 4,619 | ||||||
2,300 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 2,057 | ||||||
MASTR Reperforming Loan Trust, | ||||||||
20,217 | Series 2005-2, Class 1A1F, VAR, 0.568%, 05/25/35 (e) | 16,124 | ||||||
2,394 | Series 2006-2, Class 1A1, VAR, 5.352%, 05/25/36 (e) | 2,139 | ||||||
6,323 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 4,300 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
394 | Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.442%, 05/25/35 | 375 | ||||||
Mellon Residential Funding Corp., | ||||||||
9,344 | Series 2000-TBC2, Class A1, VAR, 0.687%, 06/15/30 | 8,655 | ||||||
2,097 | Series 2000-TBC3, Class A1, VAR, 0.647%, 12/15/30 | 1,843 | ||||||
5,724 | Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.457%, 06/25/37 | 4,899 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
2,534 | Series 2003-A5, Class 2A6, VAR, 2.400%, 08/25/33 | 2,295 | ||||||
4,109 | Series 2004-A4, Class A2, VAR, 2.608%, 08/25/34 | 3,840 | ||||||
7,571 | Series 2005-A2, Class A1, VAR, 2.622%, 02/25/35 | 6,352 | ||||||
115 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 129 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
3,022 | Series 2003-E, Class A1, VAR, 0.838%, 10/25/28 | 2,638 | ||||||
4,472 | Series 2004-1, Class 2A1, VAR, 2.138%, 12/25/34 | 4,208 | ||||||
4,776 | Series 2004-C, Class A2, VAR, 0.996%, 07/25/29 | 4,269 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
9,698 | Series 2004-3, Class 4A, VAR, 5.651%, 04/25/34 | 9,809 | ||||||
2,981 | Series 2004-9, Class 4A, VAR, 5.427%, 11/25/19 | 3,061 | ||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,254.000%, 04/20/21 | 22 | |||||
2,433 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35 | 1,876 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
1,124 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 1,159 | ||||||
388 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 405 | ||||||
149 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 155 | ||||||
62 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 63 | ||||||
1,410 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 1,421 | ||||||
Paine Webber CMO Trust, | ||||||||
6 | Series H, Class 4, 8.750%, 04/01/18 | 6 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
26 | Series P, Class 4, 8.500%, 08/01/19 | 30 | ||||||
4,358 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 4,588 | ||||||
RBSSP Resecuritization Trust, | ||||||||
7,574 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 7,830 | ||||||
3,501 | Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) | 3,678 | ||||||
5,129 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 5,162 | ||||||
6,995 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 7,152 | ||||||
5,861 | Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) | 5,865 | ||||||
6,789 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 6,970 | ||||||
19,450 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 20,473 | ||||||
6,775 | Series 2009-12, Class 3A1, VAR, 0.458%, 12/25/35 (e) | 6,419 | ||||||
3,781 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 3,828 | ||||||
2,114 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 2,149 | ||||||
6,367 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 6,350 | ||||||
4,572 | Series 2010-4, Class 2A1, SUB, 5.749%, 11/26/35 (e) | 4,653 | ||||||
10,812 | Series 2010-9, Class 1A1, VAR, 0.403%, 07/26/37 (e) (f) (i) | 9,351 | ||||||
9,984 | Series 2010-9, Class 3A1, VAR, 5.000%, 10/26/34 (e) | 10,034 | ||||||
26,500 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 26,268 | ||||||
3,774 | Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) | 3,779 | ||||||
Residential Accredit Loans, Inc., | ||||||||
1,702 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 1,735 | ||||||
734 | Series 2002-QS16, Class A3, IF, 16.166%, 10/25/17 | 815 | ||||||
3,109 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 3,177 | ||||||
3,120 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 3,059 | ||||||
1,779 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 1,780 | ||||||
770 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 772 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 51 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
2,152 | Series 2003-QS12, Class A2A, IF, IO, 7.382%, 06/25/18 | 299 | ||||||
655 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 67 | ||||||
5,076 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 5,162 | ||||||
7,756 | Series 2003-QS15, Class A7, 5.500%, 08/25/33 | 7,791 | ||||||
1,600 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,648 | ||||||
12,360 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 12,781 | ||||||
1,435 | Series 2003-QS3, Class A2, IF, 16.020%, 02/25/18 | 1,657 | ||||||
1,414 | Series 2003-QS3, Class A8, IF, IO, 7.382%, 02/25/18 | 154 | ||||||
4,049 | Series 2003-QS9, Class A3, IF, IO, 7.332%, 05/25/18 | 580 | ||||||
11,352 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 9,939 | ||||||
629 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 632 | ||||||
3,000 | Series 2005-QA6, Class A32, VAR, 5.576%, 05/25/35 | 1,618 | ||||||
527 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 330 | ||||||
Residential Asset Securitization Trust, | ||||||||
1,574 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 1,572 | ||||||
160 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 162 | ||||||
3,181 | Series 2003-A8, Class A5, 4.250%, 10/25/18 | 3,254 | ||||||
21,217 | Series 2005-A2, Class A4, IF, IO, 4.832%, 03/25/35 | 2,692 | ||||||
2,651 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,664 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
1,680 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,711 | ||||||
587 | Series 2003-S14, Class A4, PO, 07/25/18 | 549 | ||||||
1,768 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 1,825 | ||||||
2,511 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 2,567 | ||||||
313 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 259 | ||||||
1,843 | Series 2005-S1, Class 2A1, 4.750%, 02/25/20 | 1,889 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
2,121 | Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35 | 1,435 | ||||||
111 | Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 92 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., |
| |||||||
7,552 | Series 2003-HYB1, Class A, VAR, 3.189%, 09/25/33 | 7,045 | ||||||
303 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 241 | ||||||
Sequoia Mortgage Trust, | ||||||||
3,094 | Series 2004-8, Class A1, VAR, 0.563%, 09/20/34 | 2,638 | ||||||
4,838 | Series 2004-8, Class A2, VAR, 0.833%, 09/20/34 | 4,089 | ||||||
1,435 | Series 2004-10, Class A1A, VAR, 0.523%, 11/20/34 | 1,251 | ||||||
5,753 | Series 2004-12, Class A3, VAR, 0.715%, 01/20/35 | 4,490 | ||||||
20,092 | Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 08/25/35 (e) | 20,076 | ||||||
Station Place Securitization Trust, | ||||||||
73,000 | Series 2010-1, Class A, VAR, 1.213%, 12/20/42 (e) | 73,000 | ||||||
5,250 | Series 2010-1, Class M1, VAR, 1.963%, 12/20/42 (e) | 5,250 | ||||||
4,200 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.931%, 06/25/34 | 3,959 | ||||||
3,745 | Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.542%, 10/19/34 | 3,091 | ||||||
Structured Asset Securities Corp., | ||||||||
1,133 | Series 2002-17, Class B1, VAR, 6.095%, 09/25/32 | 1,117 | ||||||
121 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 90 | ||||||
857 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 877 | ||||||
5,938 | Series 2003-16, Class A3, VAR, 0.718%, 06/25/33 | 5,647 | ||||||
369 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 373 | ||||||
5,069 | Series 2003-29, Class 1A1, 4.750%, 09/25/18 | 5,194 | ||||||
1,271 | Series 2003-30, Class 1A1, 5.500%, 10/25/33 | 1,318 | ||||||
1,711 | Series 2003-30, Class 3A2, VAR, 0.718%, 10/25/33 | 1,662 | ||||||
1,091 | Series 2003-32, Class 1A1, VAR, 5.218%, 11/25/33 | 1,143 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
1,406 | Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33 | 534 | ||||||
8,140 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 8,236 | ||||||
1,940 | Series 2003-34A, Class 3A3, VAR, 2.558%, 11/25/33 | 1,801 | ||||||
8,597 | Series 2003-37A, Class 2A, VAR, 5.013%, 12/25/33 | 8,529 | ||||||
2,291 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 | 2,306 | ||||||
17,246 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 16,801 | ||||||
5,710 | Series 2004-4XS, Class 1A5, SUB, 5.490%, 02/25/34 | 5,787 | ||||||
2,946 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 2,897 | ||||||
1,953 | Series 2005-RF3, Class 1A, VAR, 0.568%, 06/25/35 (e) | 1,552 | ||||||
3,604 | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.538%, 09/25/43 | 3,253 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
17,302 | Series 2011-NL1A, Class A1, 5.926%, 12/26/50 (e) (f) (i) | 17,312 | ||||||
18,000 | Series 2011-NL1A, Class A2, 9.077%, 12/26/50 (e) (f) (i) | 18,000 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
4,207 | Series 2003-AR7, Class A7, VAR, 2.446%, 08/25/33 | 3,967 | ||||||
21,833 | Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33 | 20,656 | ||||||
4,173 | Series 2003-AR9, Class 2A, VAR, 2.608%, 09/25/33 | 3,975 | ||||||
5,240 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 5,408 | ||||||
908 | Series 2003-S10, Class A2, 5.000%, 10/25/18 | 945 | ||||||
282 | Series 2003-S10, Class A6, PO, 10/25/18 | 278 | ||||||
5,797 | Series 2003-S11, Class 2A5, IF, 16.449%, 11/25/33 | 6,080 | ||||||
2,205 | Series 2003-S13, Class 23A1, VAR, 0.768%, 12/25/18 | 2,131 | ||||||
1,773 | Series 2003-S4, Class 2A10, IF, 16.862%, 06/25/33 | 1,849 | ||||||
3,127 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 3,176 | ||||||
1,946 | Series 2003-S8, Class A5, 4.500%, 09/25/18 | 1,981 | ||||||
1,437 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,466 | ||||||
21,194 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 21,971 | ||||||
651 | Series 2003-S9, Class P, PO, 10/25/33 | 532 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
5,609 | Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34 | 5,530 | ||||||
7,208 | Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34 | 7,107 | ||||||
2,868 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 2,996 | ||||||
3,141 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 3,288 | ||||||
1,442 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 1,443 | ||||||
1,045 | Series 2004-S1, Class 1A3, VAR, 0.618%, 03/25/34 | 1,015 | ||||||
10,122 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 10,114 | ||||||
5,194 | Series 2004-S3, Class 1A5, 5.000%, 07/25/34 | 5,370 | ||||||
565 | Series 2006-AR10, Class 2P, VAR, 09/25/36 | 297 | ||||||
2,000 | Series 2006-AR8, Class 1A2, VAR, 2.561%, 08/25/46 | 1,194 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
6,136 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 5,371 | ||||||
435 | Series 2005-1, Class CP, PO, 03/25/35 | 264 | ||||||
24,232 | Series 2005-2, Class 1A4, IF, IO, 4.832%, 04/25/35 | 2,931 | ||||||
6,783 | Series 2005-2, Class 2A3, IF, IO, 4.782%, 04/25/35 | 719 | ||||||
7,510 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 6,200 | ||||||
8,012 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 1,226 | ||||||
2,000 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,614 | ||||||
812 | Series 2006-1, Class 3A2, 5.750%, 02/25/36 | 655 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
898 | Series 2003-MS5, Class 1A4, VAR, 0.718%, 03/25/18 | 877 | ||||||
105 | Series 2003-MS7, Class P, PO, 03/25/33 | 94 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
426 | Series 2003-1, Class APO, PO, 09/25/33 | 280 | ||||||
1,202 | Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 | 818 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
861 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 888 | ||||||
1,421 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 1,420 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 53 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
667 | Series 2003-11, Class 1APO, PO, 10/25/18 | 585 | ||||||
2,397 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 2,431 | ||||||
11,877 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 12,260 | ||||||
279 | Series 2003-15, Class APO, PO, 12/25/18 | 258 | ||||||
803 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 820 | ||||||
985 | Series 2003-J, Class 2A5, VAR, 4.417%, 10/25/33 | 986 | ||||||
14,211 | Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33 | 13,595 | ||||||
544 | Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33 | 532 | ||||||
1,893 | Series 2003-L, Class 2A1, VAR, 4.531%, 11/25/33 | 1,808 | ||||||
2,237 | Series 2004-4, Class A9, 5.500%, 05/25/34 | 2,300 | ||||||
999 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 1,021 | ||||||
1,172 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,211 | ||||||
1,416 | Series 2004-8, Class APO, PO, 08/25/19 | 1,308 | ||||||
4,424 | Series 2004-B, Class A1, VAR, 4.903%, 02/25/34 | 4,376 | ||||||
3,018 | Series 2004-BB, Class A4, VAR, 2.742%, 01/25/35 | 2,881 | ||||||
566 | Series 2004-E, Class A8, VAR, 4.889%, 05/25/34 | 563 | ||||||
7,950 | Series 2004-EE, Class 2A1, VAR, 2.749%, 12/25/34 | 7,572 | ||||||
5,408 | Series 2004-EE, Class 2A2, VAR, 2.749%, 12/25/34 | 5,213 | ||||||
7,994 | Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34 | 7,674 | ||||||
2,610 | Series 2004-EE, Class 3A2, VAR, 2.848%, 12/25/34 | 2,537 | ||||||
9,883 | Series 2004-I, Class 1A1, VAR, 2.832%, 07/25/34 | 9,205 | ||||||
9,158 | Series 2004-P, Class 2A1, VAR, 2.682%, 09/25/34 | 8,515 | ||||||
5,387 | Series 2004-V, Class 1A1, VAR, 2.747%, 10/25/34 | 5,085 | ||||||
6,909 | Series 2004-V, Class 1A2, VAR, 2.747%, 10/25/34 | 6,575 | ||||||
5,932 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 6,163 | ||||||
5,033 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 5,184 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
3,126 | Series 2005-14, Class 1A1, 5.500%, 12/25/35 | 3,246 | ||||||
1,082 | Series 2005-14, Class 2APO, PO, 12/25/35 | 846 | ||||||
6,966 | Series 2005-AR8, Class 2A1, VAR, 2.759%, 06/25/35 | 6,455 | ||||||
1,550 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,482 | ||||||
11,000 | Series 2007-9, Class 1A8, 5.500%, 07/25/37 | 10,587 | ||||||
8,961 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 8,193 | ||||||
|
| |||||||
2,586,340 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 7,627,583 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 2.5% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
5,000 | Series 2005-1, Class AJ, VAR, 5.353%, 11/10/42 | 4,566 | ||||||
5,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 5,336 | ||||||
10,625 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 10,242 | ||||||
2,500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 2,713 | ||||||
642,617 | Series 2005-5, Class XC, IO, VAR, 0.091%, 10/10/45 (e) | 2,380 | ||||||
8,517 | Series 2005-6, Class ASB, VAR, 5.368%, 09/10/47 | 8,906 | ||||||
2,855 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 3,088 | ||||||
7,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 7,588 | ||||||
11,500 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 12,425 | ||||||
2,500 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 2,634 | ||||||
262,481 | Series 2006-5, Class XC, IO, VAR, 0.324%, 09/10/47 (e) | 4,062 | ||||||
9,500 | Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.691%, 06/24/50 (e) | 10,365 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
9,145 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 9,842 | ||||||
3,195 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 3,312 | ||||||
8,560 | Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39 | 9,394 | ||||||
345 | Series 2006-PW14, Class A1, 5.044%, 12/11/38 | 345 | ||||||
279,063 | Series 2006-PW14, Class X1, IO, VAR, 0.255%, 12/11/38 (e) | 4,790 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
2,700 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 2,981 | ||||||
787,297 | Series 2007-T26, Class X1, IO, VAR, 0.117%, 01/12/45 (e) | 4,145 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
7,200 | Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 6,874 | ||||||
296 | Series 2006-C4, Class A1, VAR, 5.922%, 03/15/49 | 295 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
186,391 | Series 2006-CD3, Class XS, IO, VAR, 0.186%, 10/15/48 (e) | 2,573 | ||||||
302,540 | Series 2007-CD4, Class XC, IO, VAR, 0.167%, 12/11/49 (e) | 2,555 | ||||||
4,700 | Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 4,895 | ||||||
6,300 | Commercial Mortgage Pass-Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 6,799 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2,150 | Series 2006-C2, Class A3, VAR, 5.850%, 03/15/39 | 2,279 | ||||||
287,196 | Series 2007-C2, Class AX, IO, VAR, 0.272%, 01/15/49 (e) | 1,857 | ||||||
1,700 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 1,707 | ||||||
266,559 | CW Capital Cobalt Ltd., Series 2006-C1, Class IO, IO, VAR, 0.916%, 08/15/48 | 6,558 | ||||||
15,767 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 16,410 | ||||||
36,327 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 37,784 | ||||||
11,500 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 10,298 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
217 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 218 | ||||||
14,000 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 14,895 | ||||||
3,500 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 3,214 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
11,100 | Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 11,831 | ||||||
7,300 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 7,794 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
167,789 | Series 2006-GG8, Class X, IO, VAR, 0.856%, 11/10/39 (e) | 3,899 | ||||||
5,500 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 5,260 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
8,300 | Series 2004-CB8, Class A4, 4.404%, 01/12/39 | 8,695 | ||||||
6,000 | Series 2004-CB9, Class A4, VAR, 5.789%, 06/12/41 | 6,496 | ||||||
5,150 | Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37 | 4,644 | ||||||
655,516 | Series 2005-CB11, Class X1, IO, VAR, 0.100%, 08/12/37 (e) | 3,039 | ||||||
687,827 | Series 2005-LDP5, Class X1, IO, VAR, 0.099%, 12/15/44 (e) | 2,262 | ||||||
461,206 | Series 2006-CB15, Class X1, IO, VAR, 0.115%, 06/12/43 | 3,186 | ||||||
2,195 | Series 2006-CB16, Class A4, 5.552%, 05/12/45 | 2,418 | ||||||
1,600 | Series 2006-LDP8, Class A4, 5.399%, 05/15/45 | 1,740 | ||||||
6,000 | Series 2006-LDP9, Class A3SF, VAR, 0.362%, 05/15/47 | 5,378 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
11,528 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 12,079 | ||||||
5,000 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 5,403 | ||||||
1,470 | Series 2006-C4, Class A4, VAR, 6.067%, 06/15/38 | 1,621 | ||||||
212,880 | Series 2007-C2, Class XW, IO, VAR, 0.750%, 02/15/40 | 4,447 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
2,500 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 2,721 | ||||||
3,325 | Series 2005-LC1, Class AJ, VAR, 5.505%, 01/12/44 | 2,985 | ||||||
5,221 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 5,414 | ||||||
2,200 | Series 2006-C1, Class A4, 5.863%, 05/12/39 | 2,431 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
4,950 | Series 2006-1, Class A4, VAR, 5.608%, 02/12/39 | 5,420 | ||||||
517,360 | Series 2006-4, Class XC, IO, VAR, 0.346%, 12/12/49 (e) | 6,595 | ||||||
Morgan Stanley Capital I, | ||||||||
3,700 | Series 2004-HQ4, Class A7, 4.970%, 04/14/40 | 3,927 | ||||||
270,962 | Series 2006-IQ12, Class X1, IO, VAR, 0.203%, 12/15/43 (e) | 3,548 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 55 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
499,853 | Series 2007-HQ11, Class X, IO, VAR, 0.404%, 02/12/44 (e) | 4,178 | ||||||
128,214 | Series 2007-HQ13, Class X1, IO, VAR, 0.617%, 12/15/44 (e) | 2,478 | ||||||
397,855 | Series 2007-IQ13, Class X, IO, VAR, 0.603%, 03/15/44 (e) | 6,107 | ||||||
22 | Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39 | 22 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
9,370 | Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) | 9,417 | ||||||
23,300 | Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) | 23,999 | ||||||
26,000 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 27,217 | ||||||
39,964 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 39,764 | ||||||
1,770 | Multi Security Asset Trust, Series 2005-RR4A, Class A3, 5.000%, 11/28/35 (e) | 1,770 | ||||||
6,060 | RBSCF Trust, Series 2010-RR3, Class MS4A, VAR, 4.970%, 04/14/40 (e) | 6,375 | ||||||
27,950 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39 | 30,329 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
6,628 | Series 2003-C9, Class A4, VAR, 5.012%, 12/15/35 | 7,017 | ||||||
10,719 | Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 11,440 | ||||||
5,758 | Series 2004-C15, Class A2, 4.039%, 10/15/41 | 5,752 | ||||||
1,037,810 | Series 2006-C24, Class XC, IO, VAR, 0.080%, 03/15/45 (e) | 4,619 | ||||||
10,265 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 10,074 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $524,318) | 542,116 | |||||||
|
| |||||||
| Corporate Bonds — 14.9% |
| ||||||
Consumer Discretionary — 1.1% | ||||||||
Auto Components — 0.0% (g) | ||||||||
3,335 | Johnson Controls, Inc., 4.250%, 03/01/21 | 3,475 | ||||||
|
| |||||||
Automobiles — 0.0% (g) | ||||||||
Daimler Finance North America LLC, | ||||||||
3,600 | 7.300%, 01/15/12 | 3,684 | ||||||
1,500 | 8.500%, 01/18/31 | 2,060 | ||||||
|
| |||||||
5,744 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Broadcasting & Cable TV — 0.1% | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
5,600 | 4.600%, 02/15/21 | 5,862 | ||||||
12,465 | 6.000%, 08/15/40 | 13,132 | ||||||
|
| |||||||
18,994 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (g) | ||||||||
2,025 | McDonald’s Corp., 4.300%, 03/01/13 | 2,135 | ||||||
|
| |||||||
Household Durables — 0.0% (g) | ||||||||
3,000 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 3,095 | ||||||
|
| |||||||
Media — 0.8% | ||||||||
CBS Corp., | ||||||||
750 | 5.500%, 05/15/33 | 707 | ||||||
1,426 | 5.750%, 04/15/20 | 1,593 | ||||||
6,025 | 7.875%, 07/30/30 | 7,510 | ||||||
1,500 | 8.875%, 05/15/19 | 1,938 | ||||||
Comcast Cable Communications Holdings, Inc., | ||||||||
6,417 | 8.375%, 03/15/13 | 7,127 | ||||||
5,250 | 9.455%, 11/15/22 | 7,699 | ||||||
Comcast Cable Communications LLC, | ||||||||
2,200 | 7.125%, 06/15/13 | 2,437 | ||||||
1,000 | 8.875%, 05/01/17 | 1,305 | ||||||
Comcast Cable Holdings LLC, | ||||||||
7,039 | 9.800%, 02/01/12 | 7,287 | ||||||
1,800 | 10.125%, 04/15/22 | 2,585 | ||||||
Comcast Corp., | ||||||||
1,300 | 5.900%, 03/15/16 | 1,507 | ||||||
3,000 | 6.450%, 03/15/37 | 3,334 | ||||||
1,000 | 6.500%, 01/15/17 | 1,187 | ||||||
4,600 | 6.500%, 11/15/35 | 5,169 | ||||||
Cox Communications, Inc., | ||||||||
2,600 | 5.450%, 12/15/14 | 2,899 | ||||||
1,300 | 8.375%, 03/01/39 (e) | 1,775 | ||||||
2,650 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 3,215 | ||||||
4,322 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.000%, 03/01/21 | 4,646 | ||||||
6,674 | Discovery Communications LLC, 4.375%, 06/15/21 | 6,918 | ||||||
3,365 | Historic TW, Inc., 9.150%, 02/01/23 | 4,686 | ||||||
NBC Universal Media LLC, | ||||||||
4,000 | 4.375%, 04/01/21 | 4,105 | ||||||
5,102 | 5.950%, 04/01/41 | 5,364 | ||||||
News America, Inc., | ||||||||
2,500 | 6.200%, 12/15/34 | 2,626 | ||||||
3,000 | 6.650%, 11/15/37 | 3,246 |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued | ||||||||
1,500 | 6.900%, 08/15/39 | 1,699 | ||||||
1,965 | 7.250%, 05/18/18 | 2,290 | ||||||
4,400 | 7.300%, 04/30/28 | 4,955 | ||||||
3,000 | 7.625%, 11/30/28 | 3,465 | ||||||
1,100 | 8.000%, 10/17/16 | 1,330 | ||||||
1,050 | 8.875%, 04/26/23 | 1,392 | ||||||
TCI Communications, Inc., | ||||||||
1,337 | 7.125%, 02/15/28 | 1,607 | ||||||
426 | 8.750%, 08/01/15 | 520 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
2,150 | 4.700%, 10/15/19 | 2,416 | ||||||
1,125 | 5.950%, 07/15/13 | 1,222 | ||||||
Time Warner Cable, Inc., | ||||||||
1,700 | 5.850%, 05/01/17 | 1,917 | ||||||
4,600 | 5.875%, 11/15/40 | 4,813 | ||||||
2,595 | 6.550%, 05/01/37 | 2,870 | ||||||
4,550 | 6.750%, 07/01/18 | 5,358 | ||||||
2,000 | 6.750%, 06/15/39 | 2,245 | ||||||
2,450 | 7.300%, 07/01/38 | 2,900 | ||||||
1,590 | 8.250%, 02/14/14 | 1,834 | ||||||
2,150 | 8.250%, 04/01/19 | 2,722 | ||||||
1,785 | 8.750%, 02/14/19 | 2,310 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
2,020 | 8.375%, 03/15/23 | 2,632 | ||||||
6,500 | 8.375%, 07/15/33 | 8,363 | ||||||
2,165 | 10.150%, 05/01/12 | 2,296 | ||||||
Time Warner, Inc., | ||||||||
5,670 | 4.750%, 03/29/21 | 6,089 | ||||||
3,125 | 6.200%, 03/15/40 | 3,361 | ||||||
4,139 | 6.250%, 03/29/41 | 4,594 | ||||||
3,825 | 7.625%, 04/15/31 | 4,702 | ||||||
1,255 | 7.700%, 05/01/32 | 1,553 | ||||||
|
| |||||||
172,320 | ||||||||
|
| |||||||
Multiline Retail — 0.1% | ||||||||
1,000 | Kohl’s Corp., 6.250%, 12/15/17 | 1,194 | ||||||
Target Corp., | ||||||||
2,100 | 6.000%, 01/15/18 | 2,541 | ||||||
1,900 | 7.000%, 01/15/38 | 2,445 | ||||||
|
| |||||||
6,180 | ||||||||
|
| |||||||
Specialty Retail — 0.1% | ||||||||
1,559 | Gap, Inc. (The), 5.950%, 04/12/21 | 1,480 | ||||||
4,600 | Home Depot, Inc., 5.400%, 03/01/16 | 5,225 | ||||||
3,500 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 4,370 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — Continued | ||||||||
1,775 | Staples, Inc., 9.750%, 01/15/14 | 2,081 | ||||||
|
| |||||||
13,156 | ||||||||
|
| |||||||
Total Consumer Discretionary | 225,099 | |||||||
|
| |||||||
Consumer Staples — 0.6% | ||||||||
Beverages — 0.2% | ||||||||
Anheuser-Busch Cos., Inc., | ||||||||
1,000 | 5.500%, 01/15/18 | 1,166 | ||||||
1,100 | 5.750%, 04/01/36 | 1,241 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
3,615 | 1.500%, 07/14/14 | 3,664 | ||||||
7,050 | 7.750%, 01/15/19 | 9,279 | ||||||
Coca-Cola Co. (The), | ||||||||
1,550 | 3.625%, 03/15/14 | 1,666 | ||||||
1,550 | 4.875%, 03/15/19 | 1,790 | ||||||
1,650 | Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 | 1,703 | ||||||
2,780 | Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 | 3,102 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
2,150 | 5.300%, 10/28/15 | 2,458 | ||||||
3,600 | 5.500%, 04/01/13 | 3,867 | ||||||
3,975 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 4,401 | ||||||
PepsiCo, Inc., | ||||||||
935 | 0.800%, 08/25/14 | 934 | ||||||
2,503 | 3.000%, 08/25/21 | 2,509 | ||||||
231 | 7.900%, 11/01/18 | 306 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
1,900 | 5.500%, 08/15/13 (e) | 2,051 | ||||||
4,600 | 5.700%, 01/15/14 (e) | 5,033 | ||||||
850 | 6.500%, 07/01/16 (e) | 1,007 | ||||||
|
| |||||||
46,177 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% | ||||||||
CVS Caremark Corp., | ||||||||
6,794 | 5.750%, 05/15/41 | 7,088 | ||||||
2,000 | 6.125%, 09/15/39 | 2,192 | ||||||
Kroger Co. (The), | ||||||||
924 | 5.400%, 07/15/40 | 948 | ||||||
2,000 | 6.150%, 01/15/20 | 2,388 | ||||||
2,225 | 7.500%, 01/15/14 | 2,543 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,820 | 4.550%, 05/01/13 | 1,941 | ||||||
1,200 | 5.250%, 09/01/35 | 1,294 | ||||||
1,050 | 6.200%, 04/15/38 | 1,265 | ||||||
700 | 7.550%, 02/15/30 | 958 | ||||||
|
| |||||||
20,617 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 57 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Food Products — 0.3% | ||||||||
Bunge Ltd. Finance Corp., | ||||||||
2,125 | 5.875%, 05/15/13 | 2,239 | ||||||
7,760 | 8.500%, 06/15/19 | 9,900 | ||||||
605 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 665 | ||||||
Cargill, Inc., | ||||||||
2,724 | 4.307%, 05/14/21 (e) | 2,910 | ||||||
1,550 | 6.000%, 11/27/17 (e) | 1,845 | ||||||
2,850 | 7.350%, 03/06/19 (e) | 3,607 | ||||||
1,270 | General Mills, Inc., 6.000%, 02/15/12 | 1,300 | ||||||
Kellogg Co., | ||||||||
1,500 | 4.250%, 03/06/13 | 1,576 | ||||||
2,600 | 5.125%, 12/03/12 | 2,739 | ||||||
Kraft Foods, Inc., | ||||||||
5,888 | 5.375%, 02/10/20 | 6,688 | ||||||
4,250 | 6.125%, 02/01/18 | 5,029 | ||||||
2,000 | 6.125%, 08/23/18 | 2,378 | ||||||
8,705 | 6.500%, 08/11/17 | 10,521 | ||||||
1,000 | 6.750%, 02/19/14 | 1,130 | ||||||
1,600 | 6.875%, 02/01/38 | 1,906 | ||||||
2,700 | 6.875%, 01/26/39 | 3,260 | ||||||
1,200 | 7.000%, 08/11/37 | 1,460 | ||||||
|
| |||||||
59,153 | ||||||||
|
| |||||||
Household Products — 0.0% (g) | ||||||||
500 | Kimberly-Clark Corp., 7.500%, 11/01/18 | 650 | ||||||
2,192 | Procter & Gamble — ESOP, 9.360%, 01/01/21 | 2,953 | ||||||
1,000 | Procter & Gamble Co. (The), 5.500%, 02/01/34 | 1,144 | ||||||
|
| |||||||
4,747 | ||||||||
|
| |||||||
Total Consumer Staples | 130,694 | |||||||
|
| |||||||
Energy — 0.8% | ||||||||
Energy Equipment & Services — 0.1% | ||||||||
Halliburton Co., | ||||||||
750 | 6.150%, 09/15/19 | 916 | ||||||
5,050 | 7.450%, 09/15/39 | 6,696 | ||||||
6,750 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 7,664 | ||||||
|
| |||||||
15,276 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.7% | ||||||||
2,655 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 3,157 | ||||||
Anadarko Petroleum Corp., | ||||||||
405 | 5.750%, 06/15/14 | 448 | ||||||
8,500 | 7.625%, 03/15/14 | 9,724 | ||||||
1,100 | 8.700%, 03/15/19 | 1,418 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
2,500 | Apache Corp., 6.900%, 09/15/18 | 3,168 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
1,380 | 3.125%, 03/10/12 | 1,398 | ||||||
5,500 | 3.875%, 03/10/15 | 5,863 | ||||||
6,200 | 4.742%, 03/11/21 | 6,792 | ||||||
9,100 | 5.250%, 11/07/13 | 9,845 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
400 | 5.900%, 02/01/18 | 473 | ||||||
2,000 | 6.750%, 02/01/39 | 2,360 | ||||||
400 | 7.200%, 01/15/32 | 487 | ||||||
5,100 | Chevron Corp., 4.950%, 03/03/19 | 5,960 | ||||||
1,040 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 1,366 | ||||||
ConocoPhillips, | ||||||||
1,500 | 5.200%, 05/15/18 | 1,736 | ||||||
2,000 | 5.750%, 02/01/19 | 2,385 | ||||||
1,450 | 6.000%, 01/15/20 | 1,780 | ||||||
1,450 | 6.500%, 02/01/39 | 1,830 | ||||||
900 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 905 | ||||||
2,750 | Encana Corp., (Canada), 6.500%, 05/15/19 | 3,282 | ||||||
5,400 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 5,307 | ||||||
EOG Resources, Inc., | ||||||||
5,300 | 4.100%, 02/01/21 | 5,610 | ||||||
1,800 | 6.875%, 10/01/18 | 2,232 | ||||||
1,155 | Husky Energy, Inc., (Canada), 6.150%, 06/15/19 | 1,326 | ||||||
1,230 | Kerr-McGee Corp., 6.950%, 07/01/24 | 1,446 | ||||||
Marathon Oil Corp., | ||||||||
2,819 | 5.900%, 03/15/18 | 3,302 | ||||||
2,800 | 6.000%, 10/01/17 | 3,246 | ||||||
2,430 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 2,417 | ||||||
1,150 | PC Financial Partnership, 5.000%, 11/15/14 | 1,262 | ||||||
Petro-Canada, (Canada), | ||||||||
2,549 | 6.050%, 05/15/18 | 2,955 | ||||||
3,200 | 6.800%, 05/15/38 | 3,757 | ||||||
2,045 | Pioneer Natural Resources Co., 5.875%, 07/15/16 | 2,139 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
2,330 | 1.875%, 03/25/13 | 2,378 | ||||||
994 | 3.100%, 06/28/15 | 1,056 | ||||||
2,330 | 4.000%, 03/21/14 | 2,513 | ||||||
3,000 | 4.300%, 09/22/19 | 3,318 | ||||||
8,580 | 4.375%, 03/25/20 | 9,369 |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
6,000 | 6.375%, 12/15/38 | 7,675 | ||||||
2,950 | Statoil ASA, (Norway), 3.125%, 08/17/17 | 3,140 | ||||||
Suncor Energy, Inc., (Canada), | ||||||||
1,900 | 6.100%, 06/01/18 | 2,204 | ||||||
900 | 6.850%, 06/01/39 | 1,054 | ||||||
5,355 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 6,732 | ||||||
Tosco Corp., | ||||||||
300 | 7.800%, 01/01/27 | 398 | ||||||
3,500 | 8.125%, 02/15/30 | 4,795 | ||||||
Total Capital S.A., (France), | ||||||||
10,000 | 2.300%, 03/15/16 | 10,343 | ||||||
2,218 | 4.125%, 01/28/21 | 2,380 | ||||||
2,800 | XTO Energy, Inc., 5.750%, 12/15/13 | 3,125 | ||||||
|
| |||||||
159,856 | ||||||||
|
| |||||||
Total Energy | 175,132 | |||||||
|
| |||||||
Financials — 8.4% | ||||||||
Capital Markets — 1.8% | ||||||||
Bank of New York Mellon Corp. (The), | ||||||||
8,000 | 2.950%, 06/18/15 | 8,316 | ||||||
2,500 | 3.100%, 01/15/15 | 2,638 | ||||||
3,750 | 4.600%, 01/15/20 | 4,101 | ||||||
1,000 | 5.125%, 08/27/13 | 1,078 | ||||||
BlackRock, Inc., | ||||||||
3,245 | 3.500%, 12/10/14 | 3,470 | ||||||
9,294 | 5.000%, 12/10/19 | 10,251 | ||||||
10,200 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 10,775 | ||||||
1,600 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 1,756 | ||||||
Credit Suisse USA, Inc., | ||||||||
1,200 | 4.875%, 01/15/15 | 1,283 | ||||||
1,803 | 5.125%, 01/15/14 | 1,923 | ||||||
15,099 | 6.125%, 11/15/11 | 15,248 | ||||||
2,500 | FMR LLC, 6.450%, 11/15/39 (e) | 2,626 | ||||||
2,095 | Goldman Sachs Capital I, 6.345%, 02/15/34 | 1,938 | ||||||
1,000 | Goldman Sachs Group LP, 8.000%, 03/01/13 (e) | 1,064 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
6,465 | 3.625%, 02/07/16 | 6,471 | ||||||
4,020 | 3.700%, 08/01/15 | 4,063 | ||||||
2,694 | 4.750%, 07/15/13 | 2,804 | ||||||
12,876 | 5.250%, 10/15/13 | 13,424 | ||||||
3,927 | 5.250%, 07/27/21 | 3,981 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued | ||||||||
7,151 | 5.375%, 03/15/20 | 7,266 | ||||||
12,900 | 5.950%, 01/18/18 | 13,726 | ||||||
18,425 | 6.000%, 06/15/20 | 19,665 | ||||||
650 | 6.150%, 04/01/18 | 695 | ||||||
7,470 | 6.250%, 09/01/17 | 8,067 | ||||||
1,600 | 6.750%, 10/01/37 | 1,519 | ||||||
27,505 | 7.500%, 02/15/19 | 31,421 | ||||||
Jefferies Group, Inc., | ||||||||
3,075 | 3.875%, 11/09/15 | 3,125 | ||||||
2,750 | 5.125%, 04/13/18 | 2,741 | ||||||
5,600 | 6.450%, 06/08/27 | 5,603 | ||||||
7,100 | 8.500%, 07/15/19 | 8,570 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
151 | 3.950%, 11/10/09 (d) | 38 | ||||||
3,480 | 4.800%, 03/13/14 (d) | 866 | ||||||
800 | 5.750%, 05/17/13 (d) | 199 | ||||||
3,000 | 6.000%, 07/19/12 (d) | 746 | ||||||
3,962 | 6.625%, 01/18/12 (d) | 986 | ||||||
450 | 6.750%, 12/28/17 (d) | — | (h) | |||||
219 | 7.875%, 11/01/09 (d) | 54 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
10,015 | 6.250%, 01/14/21 (e) | 9,725 | ||||||
6,992 | 7.300%, 08/01/14 (e) | 7,746 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
700 | 5.000%, 01/15/15 | 703 | ||||||
3,723 | 5.450%, 07/15/14 | 3,835 | ||||||
1,000 | 5.700%, 05/02/17 | 979 | ||||||
6,929 | 6.150%, 04/25/13 | 7,207 | ||||||
21,186 | 6.400%, 08/28/17 | 21,710 | ||||||
6,348 | 6.875%, 04/25/18 | 6,588 | ||||||
Morgan Stanley, | ||||||||
6,626 | 4.000%, 07/24/15 | 6,594 | ||||||
4,263 | 4.200%, 11/20/14 | 4,273 | ||||||
2,711 | 4.750%, 04/01/14 | 2,749 | ||||||
9,078 | 5.300%, 03/01/13 | 9,393 | ||||||
5,200 | 5.450%, 01/09/17 | 5,332 | ||||||
7,503 | 5.500%, 07/24/20 | 7,338 | ||||||
3,245 | 5.500%, 07/28/21 | 3,240 | ||||||
14,220 | 5.625%, 09/23/19 | 14,454 | ||||||
1,300 | 5.750%, 08/31/12 | 1,347 | ||||||
5,800 | 6.000%, 05/13/14 | 6,090 | ||||||
3,294 | 6.000%, 04/28/15 | 3,448 | ||||||
1,070 | 6.250%, 08/28/17 | 1,132 | ||||||
4,425 | 6.625%, 04/01/18 | 4,741 | ||||||
7,000 | 7.300%, 05/13/19 | 7,818 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 59 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued | ||||||||
Nomura Holdings, Inc., (Japan), | ||||||||
10,600 | 4.125%, 01/19/16 | 10,865 | ||||||
2,828 | 5.000%, 03/04/15 | 2,980 | ||||||
6,114 | 6.700%, 03/04/20 | 6,907 | ||||||
887 | Northern Trust Corp., 5.500%, 08/15/13 | 962 | ||||||
1,250 | State Street Corp., 4.300%, 05/30/14 | 1,351 | ||||||
UBS AG, (Switzerland), | ||||||||
2,927 | 2.250%, 08/12/13 | 2,957 | ||||||
13,050 | 3.875%, 01/15/15 | 13,538 | ||||||
2,000 | 4.875%, 08/04/20 | 2,006 | ||||||
3,755 | 5.750%, 04/25/18 | 4,002 | ||||||
1,025 | 5.875%, 12/20/17 | 1,096 | ||||||
|
| |||||||
385,603 | ||||||||
|
| |||||||
Commercial Banks — 2.6% | ||||||||
2,930 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 2,963 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
6,200 | 3.250%, 03/01/16 (e) | 6,391 | ||||||
2,867 | 4.875%, 01/12/21 (e) | 3,061 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
8,206 | 1.650%, 10/29/15 (e) | 8,310 | ||||||
3,630 | 2.375%, 12/17/13 | 3,737 | ||||||
3,441 | 3.400%, 01/22/15 | 3,655 | ||||||
4,367 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 4,644 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
9,400 | 2.500%, 01/23/13 | 9,413 | ||||||
8,375 | 2.500%, 09/21/15 (e) | 8,487 | ||||||
3,858 | 3.900%, 04/07/15 | 3,864 | ||||||
1,100 | 5.000%, 09/22/16 | 1,134 | ||||||
4,500 | 5.125%, 01/08/20 | 4,532 | ||||||
9,300 | 5.200%, 07/10/14 | 9,784 | ||||||
3,700 | 6.050%, 12/04/17 (e) | 3,663 | ||||||
500 | 6.750%, 05/22/19 | 549 | ||||||
BB&T Corp., | ||||||||
5,008 | 2.050%, 04/28/14 | 5,071 | ||||||
10,800 | 3.850%, 07/27/12 | 11,092 | ||||||
6,250 | 3.950%, 04/29/16 | 6,664 | ||||||
2,750 | 4.900%, 06/30/17 | 2,943 | ||||||
2,350 | 5.700%, 04/30/14 | 2,589 | ||||||
1,650 | 6.850%, 04/30/19 | 1,973 | ||||||
Branch Banking & Trust Co., | ||||||||
598 | 4.875%, 01/15/13 | 616 | ||||||
4,650 | 5.625%, 09/15/16 | 5,277 | ||||||
1,500 | Cadets Trust, 4.800%, 07/15/13 (e) (f) (i) | 1,585 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued | ||||||||
37,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 39,044 | ||||||
1,250 | Comerica Bank, 5.200%, 08/22/17 | 1,377 | ||||||
1,960 | Comerica, Inc., 3.000%, 09/16/15 | 2,005 | ||||||
2,340 | Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands), 2.125%, 10/13/15 | 2,366 | ||||||
Credit Suisse, (Switzerland), | ||||||||
2,700 | 3.450%, 07/02/12 | 2,756 | ||||||
3,290 | 4.375%, 08/05/20 | 3,231 | ||||||
6,300 | 5.300%, 08/13/19 | 6,594 | ||||||
4,000 | 5.400%, 01/14/20 | 3,984 | ||||||
4,995 | 5.500%, 05/01/14 | 5,386 | ||||||
5,150 | 6.000%, 02/15/18 | 5,428 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
7,800 | 3.250%, 01/11/16 | 7,831 | ||||||
3,520 | 3.875%, 08/18/14 | 3,658 | ||||||
14,418 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 14,746 | ||||||
1,450 | Fifth Third Bancorp, 5.450%, 01/15/17 | 1,572 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
10,761 | 1.625%, 07/07/14 (e) | 10,891 | ||||||
9,146 | 3.100%, 05/24/16 (e) | 9,298 | ||||||
4,624 | 3.500%, 06/28/15 (e) | 4,740 | ||||||
5,961 | 4.125%, 08/12/20 (e) | 5,973 | ||||||
10,000 | 4.750%, 01/19/21 (e) | 10,367 | ||||||
6,805 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 7,033 | ||||||
4,669 | HSBC Holdings plc, (United Kingdom), 5.100%, 04/05/21 | 5,009 | ||||||
3,150 | KeyBank N.A., 5.500%, 09/17/12 | 3,267 | ||||||
3,750 | KeyCorp, 6.500%, 05/14/13 | 4,031 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
4,500 | 6.625%, 12/04/17 | 5,293 | ||||||
6,250 | VAR, 1.746%, 04/01/13 | 6,243 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
18,650 | 2.500%, 01/08/13 (e) | 18,912 | ||||||
7,800 | 2.750%, 09/28/15 (e) | 7,943 | ||||||
7,000 | 3.000%, 07/27/16 (e) | 7,085 | ||||||
3,455 | 3.750%, 03/02/15 (e) | 3,624 | ||||||
8,677 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 8,854 | ||||||
4,000 | National City Bank, 5.800%, 06/07/17 | 4,398 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
5,000 | 1.750%, 10/04/13 (e) | 4,955 | ||||||
6,198 | 4.875%, 05/13/21 (e) | 5,657 | ||||||
2,000 | PNC Bank N.A., 6.875%, 04/01/18 | 2,297 |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
PNC Funding Corp., | ||||||||
1,015 | 3.000%, 05/19/14 | 1,060 | ||||||
4,534 | 4.375%, 08/11/20 | 4,800 | ||||||
5,700 | 5.125%, 02/08/20 | 6,296 | ||||||
1,200 | 5.250%, 11/15/15 | 1,313 | ||||||
1,230 | 5.625%, 02/01/17 | 1,370 | ||||||
4,100 | 6.700%, 06/10/19 | 4,902 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
12,700 | 3.200%, 03/11/15 (e) | 13,349 | ||||||
6,900 | 4.500%, 01/11/21 | 7,400 | ||||||
3,500 | 5.800%, 09/30/10 (e) | 3,610 | ||||||
4,000 | Royal Bank of Canada, (Canada), 2.300%, 07/20/16 | 4,057 | ||||||
2,450 | SouthTrust Bank, 7.690%, 05/15/25 | 2,870 | ||||||
SunTrust Banks, Inc., | ||||||||
4,015 | 5.250%, 11/05/12 | 4,190 | ||||||
1,000 | 6.000%, 09/11/17 | 1,092 | ||||||
505 | 7.250%, 03/15/18 | 597 | ||||||
6,699 | Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16 | 6,771 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
9,045 | 2.200%, 07/29/15 (e) | 9,352 | ||||||
5,384 | 2.500%, 07/14/16 | 5,540 | ||||||
U.S. Bancorp, | ||||||||
4,680 | 2.450%, 07/27/15 | 4,804 | ||||||
4,299 | 2.875%, 11/20/14 | 4,474 | ||||||
3,558 | 4.125%, 05/24/21 | 3,764 | ||||||
1,400 | 7.500%, 06/01/26 | 1,827 | ||||||
690 | U.S. Bank N.A., 6.300%, 02/04/14 | 770 | ||||||
Wachovia Bank N.A., | ||||||||
4,700 | 5.000%, 08/15/15 | 5,069 | ||||||
15,190 | 6.000%, 11/15/17 | 17,104 | ||||||
2,700 | 6.600%, 01/15/38 | 3,080 | ||||||
4,430 | VAR, 0.577%, 03/15/16 | 4,100 | ||||||
Wachovia Corp., | ||||||||
2,130 | 4.875%, 02/15/14 | 2,248 | ||||||
8,400 | 5.500%, 05/01/13 | 8,980 | ||||||
3,050 | 5.750%, 06/15/17 | 3,457 | ||||||
13,275 | 5.750%, 02/01/18 | 15,187 | ||||||
Wells Fargo & Co., | ||||||||
16,700 | 3.676%, 06/15/16 | 17,654 | ||||||
8,500 | 4.600%, 04/01/21 | 9,169 | ||||||
9,185 | 5.625%, 12/11/17 | 10,533 | ||||||
Wells Fargo Bank N.A., | ||||||||
4,870 | 4.750%, 02/09/15 | 5,166 | ||||||
2,000 | 5.750%, 05/16/16 | 2,200 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued | ||||||||
Westpac Banking Corp., (Australia), | ||||||||
4,800 | 4.200%, 02/27/15 | 5,098 | ||||||
10,711 | 4.875%, 11/19/19 | 11,268 | ||||||
|
| |||||||
562,366 | ||||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
4,900 | American Express Centurion Bank, 6.000%, 09/13/17 | 5,645 | ||||||
2,750 | American Express Co., 7.000%, 03/19/18 | 3,274 | ||||||
American Express Credit Corp., | ||||||||
9,100 | 5.875%, 05/02/13 | 9,721 | ||||||
5,650 | 7.300%, 08/20/13 | 6,240 | ||||||
1,479 | American General Finance Corp., 5.375%, 10/01/12 | 1,442 | ||||||
American Honda Finance Corp., | ||||||||
2,060 | 2.375%, 03/18/13 (e) | 2,100 | ||||||
1,335 | 7.625%, 10/01/18 (e) | 1,712 | ||||||
13,599 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 16,792 | ||||||
Capital One Financial Corp., | ||||||||
2,502 | 4.750%, 07/15/21 | 2,518 | ||||||
1,175 | 5.700%, 09/15/11 | 1,177 | ||||||
3,105 | 6.250%, 11/15/13 | 3,366 | ||||||
8,300 | 6.750%, 09/15/17 | 9,486 | ||||||
2,970 | 7.375%, 05/23/14 | 3,342 | ||||||
HSBC Finance Corp., | ||||||||
311 | 4.750%, 07/15/13 | 324 | ||||||
6,500 | 5.000%, 06/30/15 | 6,871 | ||||||
1,600 | 5.250%, 01/15/14 | 1,702 | ||||||
200 | 5.500%, 01/19/16 | 216 | ||||||
2,251 | 6.375%, 10/15/11 | 2,264 | ||||||
1,078 | 6.375%, 11/27/12 | 1,131 | ||||||
308 | 7.350%, 11/27/32 | 307 | ||||||
1,700 | VAR, 0.499%, 01/15/14 | 1,647 | ||||||
John Deere Capital Corp., | ||||||||
450 | 4.500%, 04/03/13 | 477 | ||||||
4,750 | 5.250%, 10/01/12 | 4,989 | ||||||
2,437 | SLM Corp., 5.375%, 01/15/13 | 2,462 | ||||||
5,538 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 5,849 | ||||||
2,002 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 2,022 | ||||||
|
| |||||||
97,076 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 61 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — 2.0% | ||||||||
10,250 | Associates Corp. of North America, 6.950%, 11/01/18 | 11,194 | ||||||
18,700 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 19,276 | ||||||
Bank of America Corp., | ||||||||
2,385 | 3.625%, 03/17/16 | 2,328 | ||||||
5,500 | 4.900%, 05/01/13 | 5,632 | ||||||
2,715 | 5.000%, 05/13/21 | 2,658 | ||||||
6,500 | 5.625%, 10/14/16 | 6,621 | ||||||
11,580 | 5.625%, 07/01/20 | 11,728 | ||||||
7,980 | 5.650%, 05/01/18 | 8,143 | ||||||
4,635 | 5.750%, 12/01/17 | 4,818 | ||||||
5,000 | 6.500%, 08/01/16 | 5,366 | ||||||
3,000 | 7.375%, 05/15/14 | 3,283 | ||||||
3,500 | 7.625%, 06/01/19 | 3,954 | ||||||
7,420 | Bank of America N.A., 5.300%, 03/15/17 | 7,263 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
1,600 | 5.400%, 03/29/17 | 1,861 | ||||||
1,150 | 5.500%, 04/01/14 | 1,281 | ||||||
2,750 | 6.500%, 04/01/19 | 3,387 | ||||||
6,049 | Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e) | 6,331 | ||||||
Caterpillar Financial Services Corp., | ||||||||
1,900 | 4.900%, 08/15/13 | 2,044 | ||||||
1,000 | 5.450%, 04/15/18 | 1,171 | ||||||
900 | 5.500%, 03/15/16 | 1,050 | ||||||
4,800 | 6.200%, 09/30/13 | 5,284 | ||||||
3,500 | 7.050%, 10/01/18 | 4,469 | ||||||
600 | 7.150%, 02/15/19 | 769 | ||||||
Citigroup, Inc., | ||||||||
11,602 | 4.587%, 12/15/15 | 12,050 | ||||||
1,500 | 4.700%, 05/29/15 | 1,535 | ||||||
5,400 | 4.750%, 05/19/15 | 5,632 | ||||||
5,286 | 5.000%, 09/15/14 | 5,428 | ||||||
4,470 | 5.375%, 08/09/20 | 4,745 | ||||||
2,400 | 5.500%, 04/11/13 | 2,500 | ||||||
1,000 | 5.500%, 02/15/17 | 1,019 | ||||||
1,575 | 6.000%, 12/13/13 | 1,670 | ||||||
13,500 | 6.000%, 08/15/17 | 14,638 | ||||||
7,525 | 6.010%, 01/15/15 | 8,081 | ||||||
5,350 | 6.125%, 11/21/17 | 5,860 | ||||||
3,675 | 6.375%, 08/12/14 | 4,008 | ||||||
700 | 6.875%, 03/05/38 | 744 | ||||||
2,850 | 8.125%, 07/15/39 | 3,432 | ||||||
13,075 | 8.500%, 05/22/19 | 15,981 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — Continued | ||||||||
CME Group, Inc., | ||||||||
7,200 | 5.400%, 08/01/13 | 7,741 | ||||||
700 | 5.750%, 02/15/14 | 775 | ||||||
1,225 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,439 | ||||||
ERAC USA Finance LLC, | ||||||||
2,728 | 2.250%, 01/10/14 (e) | 2,773 | ||||||
3,874 | 4.500%, 08/16/21 (e) | 3,945 | ||||||
FUEL Trust, | ||||||||
12,102 | 3.984%, 06/15/16 (e) | 12,067 | ||||||
3,346 | 4.207%, 04/15/16 (e) | 3,365 | ||||||
General Electric Capital Corp., | ||||||||
4,131 | 2.250%, 11/09/15 | 4,155 | ||||||
14,400 | 4.375%, 09/16/20 | 14,674 | ||||||
3,050 | 4.625%, 01/07/21 | 3,144 | ||||||
16,000 | 5.250%, 10/19/12 | 16,754 | ||||||
1,787 | 5.300%, 02/11/21 | 1,903 | ||||||
1,500 | 5.400%, 02/15/17 | 1,659 | ||||||
2,000 | 5.500%, 06/04/14 | 2,199 | ||||||
10,250 | 5.500%, 01/08/20 | 11,308 | ||||||
7,400 | 5.625%, 09/15/17 | 8,221 | ||||||
29,075 | 5.625%, 05/01/18 | 32,221 | ||||||
24,103 | 5.875%, 02/15/12 | 24,665 | ||||||
1,900 | 5.875%, 01/14/38 | 1,936 | ||||||
4,700 | 5.900%, 05/13/14 | 5,214 | ||||||
24,792 | 6.000%, 06/15/12 | 25,814 | ||||||
5,300 | 6.000%, 08/07/19 | 5,963 | ||||||
7,841 | 6.750%, 03/15/32 | 8,816 | ||||||
900 | 6.875%, 01/10/39 | 1,036 | ||||||
2,625 | VAR, 0.366%, 04/10/12 | 2,625 | ||||||
3,500 | VAR, 0.456%, 02/15/17 | 3,135 | ||||||
10,530 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 10,741 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
530 | 2.625%, 09/16/12 | 541 | ||||||
3,550 | 4.750%, 03/01/14 | 3,881 | ||||||
2,155 | 10.375%, 11/01/18 | 3,082 | ||||||
2,400 | Textron Financial Corp., 5.400%, 04/28/13 | 2,509 | ||||||
|
| |||||||
435,535 | ||||||||
|
| |||||||
Insurance — 1.1% | ||||||||
ACE INA Holdings, Inc., | ||||||||
3,636 | 2.600%, 11/23/15 | 3,695 | ||||||
2,000 | 5.600%, 05/15/15 | 2,205 |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued | ||||||||
Aflac, Inc., | ||||||||
2,118 | 6.450%, 08/15/40 | 2,071 | ||||||
1,500 | 8.500%, 05/15/19 | 1,862 | ||||||
1,150 | AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e) | 1,226 | ||||||
5,000 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 5,340 | ||||||
American International Group, Inc., | ||||||||
3,284 | 4.250%, 05/15/13 | 3,324 | ||||||
2,800 | 5.450%, 05/18/17 | 2,852 | ||||||
1,425 | 5.600%, 10/18/16 | 1,476 | ||||||
AON Corp., | ||||||||
2,483 | 3.125%, 05/27/16 | 2,486 | ||||||
2,012 | 3.500%, 09/30/15 | 2,088 | ||||||
1,668 | 6.250%, 09/30/40 | 1,843 | ||||||
5,641 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 5,810 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
3,000 | 2.450%, 12/15/15 | 3,089 | ||||||
3,500 | 4.000%, 04/15/12 | 3,576 | ||||||
3,800 | 4.600%, 05/15/13 | 4,004 | ||||||
750 | 5.000%, 08/15/13 | 805 | ||||||
11,700 | 5.400%, 05/15/18 | 13,375 | ||||||
1,300 | 5.750%, 01/15/40 | 1,401 | ||||||
5,859 | Berkshire Hathaway, Inc., 3.750%, 08/15/21 | 5,996 | ||||||
1,130 | Chubb Corp., 5.750%, 05/15/18 | 1,322 | ||||||
CNA Financial Corp., | ||||||||
6,800 | 5.850%, 12/15/14 | 7,284 | ||||||
5,063 | 5.875%, 08/15/20 | 5,283 | ||||||
Jackson National Life Global Funding, | ||||||||
3,400 | 5.375%, 05/08/13 (e) | 3,615 | ||||||
4,115 | 6.125%, 05/30/12 (e) | 4,268 | ||||||
2,980 | Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e) | 3,139 | ||||||
1,625 | Lincoln National Corp., 4.850%, 06/24/21 | 1,579 | ||||||
MassMutual Global Funding II, | ||||||||
2,714 | 2.300%, 09/28/15 (e) | 2,745 | ||||||
1,628 | 2.875%, 04/21/14 (e) | 1,692 | ||||||
5,150 | 3.625%, 07/16/12 (e) | 5,270 | ||||||
7,358 | MetLife Institutional Funding II, VAR, 1.146%, 04/04/14 (e) | 7,363 | ||||||
815 | MetLife, Inc., 6.817%, 08/15/18 | 964 | ||||||
Metropolitan Life Global Funding I, | ||||||||
2,500 | 2.000%, 01/10/14 (e) | 2,527 | ||||||
9,335 | 2.500%, 01/11/13 (e) | 9,473 | ||||||
8,000 | 2.875%, 09/17/12 (e) | 8,122 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued | ||||||||
3,235 | 3.125%, 01/11/16 (e) | 3,363 | ||||||
13,300 | 3.650%, 06/14/18 (e) | 13,615 | ||||||
3,000 | 5.125%, 04/10/13 (e) | 3,169 | ||||||
2,497 | 5.200%, 09/18/13 (e) | 2,693 | ||||||
1,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 1,062 | ||||||
Nationwide Financial Services, | ||||||||
1,130 | 5.900%, 07/01/12 | 1,162 | ||||||
1,661 | 6.250%, 11/15/11 | 1,672 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
1,000 | 6.600%, 04/15/34 | 931 | ||||||
5,990 | 9.375%, 08/15/39 (e) | 7,078 | ||||||
New York Life Global Funding, | ||||||||
3,000 | 3.000%, 05/04/15 (e) | 3,151 | ||||||
5,910 | 4.650%, 05/09/13 (e) | 6,280 | ||||||
5,914 | 5.375%, 09/15/13 (e) | 6,407 | ||||||
Pacific Life Global Funding, | ||||||||
4,000 | 5.000%, 05/15/17 (e) | 4,306 | ||||||
2,500 | 5.150%, 04/15/13 (e) | 2,637 | ||||||
1,600 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 2,118 | ||||||
6,400 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 7,042 | ||||||
Principal Life Global Funding I, | ||||||||
1,600 | 5.050%, 03/15/15 (e) | 1,748 | ||||||
11,236 | 6.250%, 02/15/12 (e) | 11,505 | ||||||
Principal Life Income Funding Trusts, | ||||||||
5,900 | 5.100%, 04/15/14 | 6,420 | ||||||
2,215 | 5.300%, 12/14/12 | 2,332 | ||||||
2,900 | 5.300%, 04/24/13 | 3,096 | ||||||
11,540 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 14,543 | ||||||
1,070 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 1,232 | ||||||
3,200 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 3,535 | ||||||
890 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 941 | ||||||
|
| |||||||
245,208 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
CommonWealth REIT, | ||||||||
7,010 | 5.875%, 09/15/20 | 7,276 | ||||||
3,890 | 6.650%, 01/15/18 | 4,385 | ||||||
6,185 | HCP, Inc., 5.375%, 02/01/21 | 6,301 | ||||||
Simon Property Group LP, | ||||||||
450 | 4.200%, 02/01/15 | 480 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 63 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
2,400 | 4.375%, 03/01/21 | 2,401 | ||||||
1,775 | 5.625%, 08/15/14 | 1,981 | ||||||
1,100 | 5.650%, 02/01/20 | 1,210 | ||||||
2,120 | 6.100%, 05/01/16 | 2,408 | ||||||
3,675 | 6.125%, 05/30/18 | 4,139 | ||||||
1,645 | 6.750%, 05/15/14 | 1,868 | ||||||
10,077 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 11,426 | ||||||
|
| |||||||
43,875 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||
8,600 | Countrywide Financial Corp., 6.250%, 05/15/16 | 8,685 | ||||||
24,170 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 24,434 | ||||||
|
| |||||||
33,119 | ||||||||
|
| |||||||
Total Financials | 1,802,782 | |||||||
|
| |||||||
Health Care — 0.2% | ||||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc., | ||||||||
1,188 | 4.500%, 03/15/20 | 1,301 | ||||||
4,500 | 4.950%, 10/01/41 | 4,484 | ||||||
2,348 | 5.650%, 06/15/42 | 2,569 | ||||||
1,975 | 5.700%, 02/01/19 | 2,327 | ||||||
3,541 | 5.750%, 03/15/40 | 3,929 | ||||||
|
| |||||||
14,610 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
Baxter International, Inc., | ||||||||
1,150 | 4.000%, 03/01/14 | 1,237 | ||||||
500 | 4.625%, 03/15/15 | 554 | ||||||
700 | Becton Dickinson and Co., 5.000%, 05/15/19 | 801 | ||||||
|
| |||||||
2,592 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.0% (g) | ||||||||
2,158 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 2,208 | ||||||
WellPoint, Inc., | ||||||||
492 | 5.875%, 06/15/17 | 572 | ||||||
340 | 7.000%, 02/15/19 | 422 | ||||||
|
| |||||||
3,202 | ||||||||
|
| |||||||
Pharmaceuticals — 0.1% | ||||||||
350 | Abbott Laboratories, 6.150%, 11/30/37 | 431 | ||||||
3,200 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 3,610 | ||||||
1,095 | Eli Lilly & Co., 3.550%, 03/06/12 | 1,112 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued | ||||||||
GlaxoSmithKline Capital, Inc., | ||||||||
1,000 | 4.375%, 04/15/14 | 1,093 | ||||||
3,100 | 5.650%, 05/15/18 | 3,715 | ||||||
2,100 | 6.375%, 05/15/38 | 2,612 | ||||||
1,040 | Merck & Co., Inc., 6.000%, 09/15/17 | 1,271 | ||||||
790 | Wyeth, 6.450%, 02/01/24 | 1,011 | ||||||
|
| |||||||
14,855 | ||||||||
|
| |||||||
Total Health Care | 35,259 | |||||||
|
| |||||||
Industrials — 0.7% | ||||||||
Aerospace & Defense — 0.1% | ||||||||
Boeing Co. (The), | ||||||||
250 | 3.500%, 02/15/15 | 269 | ||||||
500 | 4.875%, 02/15/20 | 564 | ||||||
1,500 | Honeywell International, Inc., 5.300%, 03/01/18 | 1,763 | ||||||
Lockheed Martin Corp., | ||||||||
1,000 | 4.250%, 11/15/19 | 1,092 | ||||||
3,993 | 5.720%, 06/01/40 | 4,368 | ||||||
United Technologies Corp., | ||||||||
5 | 6.100%, 05/15/12 | 5 | ||||||
8,400 | 6.125%, 02/01/19 | 10,427 | ||||||
|
| |||||||
18,488 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
1,679 | American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 | 1,561 | ||||||
567 | Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 | 591 | ||||||
4,120 | Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 | 4,181 | ||||||
4,485 | Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 4,356 | ||||||
1,522 | Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19 | 1,484 | ||||||
|
| |||||||
12,173 | ||||||||
|
| |||||||
Building Products — 0.0% (g) | ||||||||
800 | Masco Corp., 5.850%, 03/15/17 | 796 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.1% | ||||||||
2,850 | Allied Waste North America, Inc., 6.875%, 06/01/17 | 3,071 | ||||||
Pitney Bowes, Inc., | ||||||||
4,300 | 4.875%, 08/15/14 | 4,669 | ||||||
7,170 | 5.000%, 03/15/15 | 7,758 | ||||||
1,700 | 5.600%, 03/15/18 | 1,878 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Services & Supplies — Continued |
| |||||||
Waste Management, Inc., | ||||||||
1,885 | 4.750%, 06/30/20 | 2,040 | ||||||
1,365 | 7.375%, 03/11/19 | 1,735 | ||||||
800 | 7.750%, 05/15/32 | 1,039 | ||||||
|
| |||||||
22,190 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.0% (g) | ||||||||
Koninklijke Philips Electronics N.V., (Netherlands), | ||||||||
1,666 | 5.750%, 03/11/18 | 1,922 | ||||||
550 | 7.200%, 06/01/26 | 687 | ||||||
1,350 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 1,581 | ||||||
2,650 | Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 | 3,485 | ||||||
3,100 | Tyco International Ltd./Tyco International Finance S.A., (Switzerland), 7.000%, 12/15/19 | 3,781 | ||||||
|
| |||||||
11,456 | ||||||||
|
| |||||||
Machinery — 0.1% | ||||||||
3,748 | Danaher Corp., 3.900%, 06/23/21 | 3,988 | ||||||
Eaton Corp., | ||||||||
2,650 | 5.600%, 05/15/18 | 3,119 | ||||||
2,000 | 7.625%, 04/01/24 | 2,687 | ||||||
775 | Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 | 929 | ||||||
350 | PACCAR, Inc., 6.375%, 02/15/12 | 358 | ||||||
775 | Parker Hannifin Corp., 5.500%, 05/15/18 | 919 | ||||||
|
| |||||||
12,000 | ||||||||
|
| |||||||
Road & Rail — 0.3% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
2,080 | 3.450%, 09/15/21 | 2,076 | ||||||
1,418 | 3.600%, 09/01/20 | 1,421 | ||||||
5,250 | 5.400%, 06/01/41 | 5,487 | ||||||
3,660 | 5.650%, 05/01/17 | 4,264 | ||||||
1,675 | 5.750%, 03/15/18 | 1,960 | ||||||
2,000 | 5.750%, 05/01/40 | 2,194 | ||||||
600 | 6.700%, 08/01/28 | 728 | ||||||
1,300 | 7.000%, 02/01/14 | 1,483 | ||||||
1,300 | 7.290%, 06/01/36 | 1,721 | ||||||
CSX Corp., | ||||||||
1,986 | 4.250%, 06/01/21 | 2,079 | ||||||
3,900 | 5.500%, 04/15/41 | 4,062 | ||||||
1,700 | 6.250%, 04/01/15 | 1,975 | ||||||
850 | 6.300%, 03/15/12 | 874 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — Continued | ||||||||
700 | 7.375%, 02/01/19 | 883 | ||||||
4,000 | 7.900%, 05/01/17 | 5,042 | ||||||
400 | ERAC USA Finance LLC, 6.375%, 10/15/17 (e) | 474 | ||||||
2,579 | Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 | 2,975 | ||||||
Norfolk Southern Corp., | ||||||||
299 | 5.590%, 05/17/25 | 342 | ||||||
871 | 5.640%, 05/17/29 | 983 | ||||||
1,500 | 6.000%, 03/15/99 | 1,638 | ||||||
3,143 | 6.000%, 05/23/11 | 3,382 | ||||||
326 | 7.250%, 02/15/31 | 433 | ||||||
135 | 7.700%, 05/15/17 | 171 | ||||||
34 | 7.800%, 05/15/27 | 46 | ||||||
2,690 | Ryder System, Inc., 3.600%, 03/01/16 | 2,791 | ||||||
Union Pacific Corp., | ||||||||
4,388 | 4.163%, 07/15/22 (e) | 4,656 | ||||||
175 | 4.875%, 01/15/15 | 194 | ||||||
1,484 | 5.650%, 05/01/17 | 1,728 | ||||||
1,000 | 5.780%, 07/15/40 | 1,098 | ||||||
United Parcel Service of America, Inc., | ||||||||
2,350 | 8.375%, 04/01/20 | 3,273 | ||||||
600 | SUB, 8.375%, 04/01/30 | 855 | ||||||
|
| |||||||
61,288 | ||||||||
|
| |||||||
Total Industrials | 138,391 | |||||||
|
| |||||||
Information Technology — 0.6% | ||||||||
Communications Equipment — 0.1% | ||||||||
Cisco Systems, Inc., | ||||||||
1,500 | 5.500%, 02/22/16 | 1,737 | ||||||
4,660 | 5.500%, 01/15/40 | 5,083 | ||||||
4,990 | 5.900%, 02/15/39 | 5,654 | ||||||
|
| |||||||
12,474 | ||||||||
|
| |||||||
Computers & Peripherals — 0.2% | ||||||||
Dell, Inc., | ||||||||
6,526 | 3.100%, 04/01/16 | 6,822 | ||||||
2,200 | 4.625%, 04/01/21 | 2,323 | ||||||
570 | 5.650%, 04/15/18 | 650 | ||||||
1,900 | 7.100%, 04/15/28 | 2,295 | ||||||
Hewlett-Packard Co., | ||||||||
650 | 2.950%, 08/15/12 | 661 | ||||||
7,667 | 4.300%, 06/01/21 | 7,964 | ||||||
1,000 | 4.500%, 03/01/13 | 1,049 | ||||||
1,900 | 4.750%, 06/02/14 | 2,069 | ||||||
2,525 | 5.400%, 03/01/17 | 2,870 | ||||||
4,400 | 6.125%, 03/01/14 | 4,853 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 65 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Computers & Peripherals — Continued | ||||||||
International Business Machines Corp., | ||||||||
5,151 | 1.950%, 07/22/16 | 5,227 | ||||||
3,950 | 5.700%, 09/14/17 | 4,737 | ||||||
660 | 6.220%, 08/01/27 | 810 | ||||||
4,500 | 7.625%, 10/15/18 | 5,952 | ||||||
450 | 8.000%, 10/15/38 | 666 | ||||||
|
| |||||||
48,948 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
855 | 3.375%, 11/01/15 | 884 | ||||||
4,635 | 6.000%, 04/01/20 | 5,015 | ||||||
5,270 | 6.875%, 07/01/13 | 5,678 | ||||||
3,600 | 7.500%, 01/15/27 | 4,139 | ||||||
|
| |||||||
15,716 | ||||||||
|
| |||||||
IT Services — 0.0% (g) | ||||||||
HP Enterprise Services LLC, | ||||||||
2,950 | 6.000%, 08/01/13 | 3,207 | ||||||
2,420 | 7.450%, 10/15/29 | 3,235 | ||||||
|
| |||||||
6,442 | ||||||||
|
| |||||||
Office Electronics — 0.0% (g) | ||||||||
Xerox Corp., | ||||||||
1,770 | 4.500%, 05/15/21 | 1,830 | ||||||
3,450 | 5.625%, 12/15/19 | 3,867 | ||||||
3,200 | 6.750%, 02/01/17 | 3,750 | ||||||
310 | 8.250%, 05/15/14 | 359 | ||||||
|
| |||||||
9,806 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
8,285 | National Semiconductor Corp., 6.600%, 06/15/17 | 10,124 | ||||||
5,000 | Texas Instruments, Inc., 1.375%, 05/15/14 | 5,070 | ||||||
|
| |||||||
15,194 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
1,796 | Intuit, Inc., 5.750%, 03/15/17 | 2,067 | ||||||
Microsoft Corp., | ||||||||
7,590 | 1.625%, 09/25/15 | 7,738 | ||||||
1,214 | 4.500%, 10/01/40 | 1,233 | ||||||
Oracle Corp., | ||||||||
5,300 | 5.000%, 07/08/19 | 6,095 | ||||||
2,320 | 5.250%, 01/15/16 | 2,667 | ||||||
3,400 | 5.750%, 04/15/18 | 4,072 | ||||||
1,950 | 6.500%, 04/15/38 | 2,427 | ||||||
|
| |||||||
26,299 | ||||||||
|
| |||||||
Total Information Technology | 134,879 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Materials — 0.3% | ||||||||
Chemicals — 0.3% | ||||||||
850 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 890 | ||||||
Dow Chemical Co. (The), | �� | |||||||
4,831 | 4.250%, 11/15/20 | 4,934 | ||||||
650 | 6.000%, 10/01/12 | 685 | ||||||
1,345 | 7.375%, 11/01/29 | 1,682 | ||||||
6,770 | 7.600%, 05/15/14 | 7,803 | ||||||
2,044 | 8.550%, 05/15/19 | 2,656 | ||||||
El du Pont de Nemours & Co., | ||||||||
3,706 | 1.950%, 01/15/16 | 3,775 | ||||||
125 | 4.125%, 03/06/13 | 131 | ||||||
500 | 4.875%, 04/30/14 | 551 | ||||||
2,150 | 4.900%, 01/15/41 | 2,210 | ||||||
1,500 | 5.600%, 12/15/36 | 1,681 | ||||||
5,000 | 6.000%, 07/15/18 | 6,037 | ||||||
3,750 | Monsanto Co., 7.375%, 08/15/12 | 3,979 | ||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
1,450 | 4.875%, 03/01/13 | 1,535 | ||||||
3,800 | 6.500%, 05/15/19 | 4,652 | ||||||
PPG Industries, Inc., | ||||||||
1,144 | 5.500%, 11/15/40 | 1,259 | ||||||
2,150 | 5.750%, 03/15/13 | 2,299 | ||||||
1,800 | 6.650%, 03/15/18 | 2,211 | ||||||
2,100 | 9.000%, 05/01/21 | 2,913 | ||||||
Praxair, Inc., | ||||||||
850 | 4.375%, 03/31/14 | 923 | ||||||
1,900 | 4.625%, 03/30/15 | 2,110 | ||||||
480 | 5.200%, 03/15/17 | 560 | ||||||
1,295 | 5.250%, 11/15/14 | 1,463 | ||||||
Union Carbide Corp., | ||||||||
6,050 | 7.500%, 06/01/25 | 7,033 | ||||||
1,800 | 7.750%, 10/01/96 | 1,985 | ||||||
|
| |||||||
65,957 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) | ||||||||
1,666 | CRH America, Inc., 6.000%, 09/30/16 | 1,842 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) | ||||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
1,280 | 3.500%, 11/02/20 | 1,273 | ||||||
1,585 | 8.950%, 05/01/14 | 1,901 | ||||||
|
| |||||||
3,174 | ||||||||
|
| |||||||
Total Materials | 70,973 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Telecommunication Services — 1.0% | ||||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
270 | AT&T Corp., 8.000%, 11/15/31 | 365 | ||||||
AT&T, Inc., | ||||||||
7,000 | 4.450%, 05/15/21 | 7,512 | ||||||
8,300 | 4.950%, 01/15/13 | 8,718 | ||||||
1,120 | 5.100%, 09/15/14 | 1,238 | ||||||
10,603 | 5.350%, 09/01/40 | 10,803 | ||||||
2,925 | 5.500%, 02/01/18 | 3,365 | ||||||
1,300 | 5.600%, 05/15/18 | 1,502 | ||||||
2,295 | 5.625%, 06/15/16 | 2,621 | ||||||
7,200 | 6.300%, 01/15/38 | 8,058 | ||||||
500 | 6.800%, 05/15/36 | 588 | ||||||
BellSouth Corp., | ||||||||
4,550 | 5.200%, 09/15/14 | 5,037 | ||||||
1,000 | 6.550%, 06/15/34 | 1,129 | ||||||
3,840 | 6.875%, 10/15/31 | 4,543 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
1,541 | 6.300%, 12/15/15 | 1,655 | ||||||
1,200 | 7.000%, 10/01/25 | 1,445 | ||||||
2,300 | 7.000%, 12/01/95 | 2,585 | ||||||
British Telecommunications plc, (United Kingdom), | ||||||||
5,000 | 5.150%, 01/15/13 | 5,272 | ||||||
2,800 | 5.950%, 01/15/18 | 3,162 | ||||||
300 | 9.875%, 12/15/30 | 438 | ||||||
4,500 | Centel Capital Corp., 9.000%, 10/15/19 | 5,178 | ||||||
CenturyLink, Inc., | ||||||||
9,400 | 6.450%, 06/15/21 | 9,153 | ||||||
6,000 | Series P, 7.600%, 09/15/39 | 5,532 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
4,200 | 4.875%, 07/08/14 | 4,566 | ||||||
785 | 5.250%, 07/22/13 | 839 | ||||||
2,025 | 6.000%, 07/08/19 | 2,412 | ||||||
5,800 | 8.750%, 06/15/30 | 7,844 | ||||||
1,000 | France Telecom S.A., (France), 8.500%, 03/01/31 | 1,331 | ||||||
GTE Corp., | ||||||||
17,200 | 6.840%, 04/15/18 | 20,652 | ||||||
1,000 | 8.750%, 11/01/21 | 1,401 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
4,360 | 4.950%, 09/30/14 | 4,297 | ||||||
2,300 | 5.250%, 11/15/13 | 2,303 | ||||||
2,650 | 6.175%, 06/18/14 | 2,674 | ||||||
2,125 | 6.999%, 06/04/18 | 2,191 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
2,258 | 5.462%, 02/16/21 | 2,184 | ||||||
4,000 | 5.855%, 02/04/13 | 4,131 | ||||||
1,500 | 5.877%, 07/15/19 | 1,505 | ||||||
3,250 | 6.221%, 07/03/17 | 3,357 | ||||||
2,400 | 6.421%, 06/20/16 | 2,522 | ||||||
Verizon Communications, Inc., | ||||||||
2,175 | 5.500%, 02/15/18 | 2,523 | ||||||
250 | 5.550%, 02/15/16 | 284 | ||||||
1,443 | 5.850%, 09/15/35 | 1,602 | ||||||
4,400 | 7.350%, 04/01/39 | 5,643 | ||||||
1,500 | 8.750%, 11/01/18 | 2,032 | ||||||
6,498 | Verizon Florida LLC, 6.125%, 01/15/13 | 6,924 | ||||||
8,025 | Verizon Global Funding Corp., 7.750%, 12/01/30 | 10,584 | ||||||
Verizon Maryland, Inc., | ||||||||
2,363 | 6.125%, 03/01/12 | 2,424 | ||||||
3,100 | 7.150%, 05/01/23 | 3,280 | ||||||
900 | Verizon New England, Inc., 4.750%, 10/01/13 | 956 | ||||||
880 | Verizon New York, Inc., 7.375%, 04/01/32 | 1,037 | ||||||
5,232 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 6,823 | ||||||
2,788 | Verizon Virginia, Inc., 4.625%, 03/15/13 | 2,930 | ||||||
|
| |||||||
201,150 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
4,274 | America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16 | 4,239 | ||||||
1,500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 1,650 | ||||||
2,780 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 2,849 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
5,125 | 5.000%, 09/15/15 | 5,748 | ||||||
753 | 5.450%, 06/10/19 | 880 | ||||||
|
| |||||||
15,366 | ||||||||
|
| |||||||
Total Telecommunication Services | 216,516 | |||||||
|
| |||||||
Utilities — 1.2% | ||||||||
Electric Utilities — 0.9% | ||||||||
2,123 | Alabama Power Co., 6.125%, 05/15/38 | 2,628 | ||||||
2,250 | Appalachian Power Co., 6.700%, 08/15/37 | 2,665 | ||||||
Arizona Public Service Co., | ||||||||
1,110 | 4.650%, 05/15/15 | 1,206 | ||||||
3,385 | 5.050%, 09/01/41 | 3,296 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 67 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — continued | ||||||||
Carolina Power & Light Co., | ||||||||
2,177 | 5.125%, 09/15/13 | 2,359 | ||||||
2,000 | 5.300%, 01/15/19 | 2,357 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
3,100 | 5.750%, 01/15/14 | 3,430 | ||||||
3,725 | 7.000%, 03/01/14 | 4,253 | ||||||
3,450 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 4,400 | ||||||
1,550 | Columbus Southern Power Co., 6.050%, 05/01/18 | 1,848 | ||||||
5,342 | Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e) | 5,489 | ||||||
925 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 1,098 | ||||||
3,078 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 3,548 | ||||||
Duke Energy Carolinas LLC, | ||||||||
1,991 | 4.300%, 06/15/20 | 2,178 | ||||||
1,400 | 5.100%, 04/15/18 | 1,635 | ||||||
1,795 | 5.625%, 11/30/12 | 1,901 | ||||||
1,816 | 6.250%, 01/15/12 | 1,852 | ||||||
Duke Energy Corp., | ||||||||
2,966 | 3.550%, 09/15/21 | 2,932 | ||||||
1,875 | 3.950%, 09/15/14 | 2,012 | ||||||
Duke Energy Indiana, Inc., | ||||||||
2,260 | 3.750%, 07/15/20 | 2,378 | ||||||
3,100 | 6.350%, 08/15/38 | 3,837 | ||||||
Enel Finance International N.V., (Luxembourg), | ||||||||
6,030 | 5.125%, 10/07/19 (e) | 6,032 | ||||||
1,000 | 6.000%, 10/07/39 (e) | 864 | ||||||
Exelon Generation Co. LLC, | ||||||||
6,000 | 4.000%, 10/01/20 | 5,968 | ||||||
1,857 | 5.750%, 10/01/41 | 1,891 | ||||||
Florida Power & Light Co., | ||||||||
500 | 5.950%, 10/01/33 | 603 | ||||||
1,000 | 5.950%, 02/01/38 | 1,227 | ||||||
Florida Power Corp., | ||||||||
500 | 4.800%, 03/01/13 | 529 | ||||||
1,125 | 5.650%, 06/15/18 | 1,339 | ||||||
700 | 6.400%, 06/15/38 | 871 | ||||||
Georgia Power Co., | ||||||||
400 | 5.950%, 02/01/39 | 472 | ||||||
1,100 | 6.000%, 11/01/13 | 1,214 | ||||||
1,507 | Great Plains Energy, Inc., 4.850%, 06/01/21 | 1,588 | ||||||
1,085 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 1,357 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued | ||||||||
300 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 382 | ||||||
192 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 194 | ||||||
700 | MidAmerican Energy Co., 5.300%, 03/15/18 | 812 | ||||||
Nevada Power Co., | ||||||||
367 | 5.375%, 09/15/40 | 404 | ||||||
950 | 6.500%, 08/01/18 | 1,145 | ||||||
1,825 | 7.125%, 03/15/19 | 2,291 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
900 | 5.350%, 06/15/13 | 960 | ||||||
1,200 | 6.000%, 03/01/19 | 1,390 | ||||||
1,600 | 7.875%, 12/15/15 | 1,918 | ||||||
1,625 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 1,819 | ||||||
2,560 | Nisource Finance Corp., 6.150%, 03/01/13 | 2,727 | ||||||
2,500 | Northern States Power Co., 6.250%, 06/01/36 | 3,160 | ||||||
2,400 | Ohio Power Co., 5.750%, 09/01/13 | 2,609 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
820 | 5.950%, 09/01/13 | 894 | ||||||
6,150 | 6.800%, 09/01/18 | 7,453 | ||||||
Pacific Gas & Electric Co., | ||||||||
1,980 | 5.625%, 11/30/17 | 2,322 | ||||||
750 | 8.250%, 10/15/18 | 999 | ||||||
PacifiCorp, | ||||||||
250 | 5.500%, 01/15/19 | 296 | ||||||
2,850 | 5.650%, 07/15/18 | 3,369 | ||||||
125 | 6.900%, 11/15/11 | 127 | ||||||
900 | Peco Energy Co., 5.350%, 03/01/18 | 1,060 | ||||||
900 | Pennsylvania Electric Co., 6.050%, 09/01/17 | 1,031 | ||||||
1,320 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,706 | ||||||
Progress Energy, Inc., | ||||||||
3,778 | 4.400%, 01/15/21 | 4,019 | ||||||
730 | 6.050%, 03/15/14 | 813 | ||||||
1,480 | 7.750%, 03/01/31 | 1,956 | ||||||
PSEG Power LLC, | ||||||||
2,411 | 5.125%, 04/15/20 | 2,631 | ||||||
2,190 | 5.500%, 12/01/15 | 2,447 | ||||||
1,255 | 8.625%, 04/15/31 | 1,699 | ||||||
Public Service Co. of Colorado, | ||||||||
1,160 | 3.200%, 11/15/20 | 1,181 | ||||||
275 | 5.800%, 08/01/18 | 334 | ||||||
Public Service Co. of Oklahoma, | ||||||||
1,964 | 4.400%, 02/01/21 | 2,093 |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued | ||||||||
3,350 | 6.625%, 11/15/37 | 4,043 | ||||||
Public Service Electric & Gas Co., | ||||||||
825 | 5.300%, 05/01/18 | 967 | ||||||
1,138 | 5.375%, 11/01/39 | 1,282 | ||||||
5,300 | 6.330%, 11/01/13 | 5,877 | ||||||
Southern California Edison Co., | ||||||||
988 | 3.875%, 06/01/21 | 1,059 | ||||||
1,200 | 4.150%, 09/15/14 | 1,306 | ||||||
1,400 | 5.500%, 08/15/18 | 1,654 | ||||||
1,650 | 5.750%, 03/15/14 | 1,838 | ||||||
645 | 5.950%, 02/01/38 | 786 | ||||||
2,450 | 6.050%, 03/15/39 | 3,035 | ||||||
Southern Co., | ||||||||
2,973 | 1.950%, 09/01/16 | 2,970 | ||||||
580 | 4.150%, 05/15/14 | 621 | ||||||
3,400 | Southwestern Public Service Co., 8.750%, 12/01/18 | 4,592 | ||||||
Spectra Energy Capital LLC, | ||||||||
2,900 | 5.500%, 03/01/14 | 3,159 | ||||||
350 | 5.668%, 08/15/14 | 389 | ||||||
3,645 | 6.250%, 02/15/13 | 3,879 | ||||||
1,000 | 7.500%, 09/15/38 | 1,281 | ||||||
3,850 | 8.000%, 10/01/19 | 4,863 | ||||||
Virginia Electric and Power Co., | ||||||||
2,550 | 5.100%, 11/30/12 | 2,684 | ||||||
4,600 | 5.400%, 04/30/18 | 5,391 | ||||||
800 | 5.950%, 09/15/17 | 966 | ||||||
|
| |||||||
190,140 | ||||||||
|
| |||||||
Gas Utilities — 0.1% | ||||||||
AGL Capital Corp., | ||||||||
1,700 | 4.450%, 04/15/13 | 1,772 | ||||||
4,728 | 5.875%, 03/15/41 | 5,465 | ||||||
1,530 | ANR Pipeline Co., 9.625%, 11/01/21 | 2,217 | ||||||
Atmos Energy Corp., | ||||||||
320 | 5.125%, 01/15/13 | 338 | ||||||
690 | 8.500%, 03/15/19 | 931 | ||||||
CenterPoint Energy Resources Corp., | ||||||||
1,000 | 4.500%, 01/15/21 (e) | 1,061 | ||||||
530 | 6.125%, 11/01/17 | 626 | ||||||
1,037 | Southern California Gas Co., 4.800%, 10/01/12 | 1,083 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
1,515 | 4.000%, 06/15/13 | 1,599 | ||||||
1,500 | 6.200%, 10/15/37 | 1,780 | ||||||
1,900 | 6.500%, 08/15/18 | 2,313 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — Continued | ||||||||
2,650 | 7.125%, 01/15/19 | 3,367 | ||||||
2,100 | 7.250%, 08/15/38 | 2,741 | ||||||
|
| |||||||
25,293 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% | ||||||||
3,780 | CenterPoint Energy, Inc., 6.500%, 05/01/18 | 4,492 | ||||||
Dominion Resources, Inc., | ||||||||
2,052 | 4.900%, 08/01/41 | 2,029 | ||||||
590 | 6.000%, 11/30/17 | 701 | ||||||
1,879 | 6.250%, 06/30/12 | 1,959 | ||||||
1,200 | 7.000%, 06/15/38 | 1,547 | ||||||
1,600 | 8.875%, 01/15/19 | 2,120 | ||||||
4,650 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 | 5,043 | ||||||
1,625 | MidAmerican Energy Holdings Co., 5.750%, 04/01/18 | 1,893 | ||||||
1,550 | PG&E Corp., 5.750%, 04/01/14 | 1,711 | ||||||
Sempra Energy, | ||||||||
1,500 | 6.000%, 10/15/39 | 1,719 | ||||||
2,300 | 6.150%, 06/15/18 | 2,684 | ||||||
900 | 6.500%, 06/01/16 | 1,071 | ||||||
2,760 | 8.900%, 11/15/13 | 3,173 | ||||||
4,900 | 9.800%, 02/15/19 | 6,899 | ||||||
Wisconsin Electric Power Co., | ||||||||
1,400 | 6.000%, 04/01/14 | 1,584 | ||||||
1,295 | 6.250%, 12/01/15 | 1,550 | ||||||
601 | Xcel Energy, Inc., 4.700%, 05/15/20 | 663 | ||||||
|
| |||||||
40,838 | ||||||||
|
| |||||||
Water Utilities — 0.0% (g) | ||||||||
American Water Capital Corp., | ||||||||
2,025 | 6.085%, 10/15/17 | 2,396 | ||||||
3,740 | 6.593%, 10/15/37 | 4,378 | ||||||
|
| |||||||
6,774 | ||||||||
|
| |||||||
Total Utilities | 263,045 | |||||||
|
| |||||||
Total Corporate Bonds | 3,192,770 | |||||||
|
| |||||||
| Foreign Government Securities — 0.3% |
| ||||||
Israel Government AID Bond, (Israel), | ||||||||
27,000 | Zero Coupon, 08/15/17 | 24,409 | ||||||
3,040 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 3,127 | ||||||
Province of Ontario, (Canada), | ||||||||
5,500 | 2.700%, 06/16/15 | 5,822 | ||||||
12,250 | 2.950%, 02/05/15 | 13,045 | ||||||
560 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 | 783 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 69 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Foreign Government Securities — Continued |
| ||||||
United Mexican States, (Mexico), | ||||||||
5,706 | 5.750%, 10/12/10 | 5,621 | ||||||
2,035 | 5.875%, 01/15/14 | 2,228 | ||||||
3,398 | 6.375%, 01/16/13 | 3,627 | ||||||
850 | 6.625%, 03/03/15 | 983 | ||||||
4,881 | 7.500%, 04/08/33 | 6,565 | ||||||
2,925 | 8.300%, 08/15/31 | 4,219 | ||||||
|
| |||||||
Total Foreign Government Securities | 70,429 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 13.2% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
1,715 | ARM, 2.107%, 07/01/36 | 1,805 | ||||||
95 | ARM, 2.210%, 07/01/19 | 99 | ||||||
755 | ARM, 2.289%, 08/01/36 | 790 | ||||||
212 | ARM, 2.308%, 01/01/27 | 222 | ||||||
63 | ARM, 2.375%, 07/01/26 | 63 | ||||||
89 | ARM, 2.430%, 04/01/30 | 94 | ||||||
990 | ARM, 2.480%, 12/01/33 | 1,038 | ||||||
5,574 | ARM, 2.495%, 05/01/36 | 5,949 | ||||||
1,915 | ARM, 2.496%, 07/01/36 | 2,005 | ||||||
1,881 | ARM, 2.500%, 01/01/35 | 1,980 | ||||||
4,956 | ARM, 2.509%, 05/01/33 | 5,213 | ||||||
1,809 | ARM, 2.510%, 04/01/34 | 1,902 | ||||||
933 | ARM, 2.529%, 08/01/35 | 984 | ||||||
1,151 | ARM, 2.565%, 02/01/36 | 1,209 | ||||||
2,547 | ARM, 2.574%, 12/01/35 | 2,687 | ||||||
1,543 | ARM, 2.617%, 07/01/37 | 1,637 | ||||||
3,469 | ARM, 2.624%, 09/01/34 | 3,644 | ||||||
214 | ARM, 2.628%, 09/01/32 | 223 | ||||||
5,666 | ARM, 2.758%, 09/01/36 | 6,018 | ||||||
5,882 | ARM, 2.790%, 03/01/36 | 6,253 | ||||||
707 | ARM, 2.803%, 01/01/37 | 747 | ||||||
1,602 | ARM, 3.066%, 05/01/36 | 1,691 | ||||||
6,082 | ARM, 3.308%, 03/01/36 | 6,492 | ||||||
3,604 | ARM, 3.501%, 09/01/36 | 3,812 | ||||||
966 | ARM, 3.883%, 11/01/36 | 1,003 | ||||||
9,762 | ARM, 4.294%, 12/01/36 | 10,306 | ||||||
11,279 | ARM, 4.541%, 08/01/36 | 11,872 | ||||||
2,394 | ARM, 4.613%, 08/01/36 | 2,521 | ||||||
8,271 | ARM, 4.918%, 02/01/36 | 8,831 | ||||||
14,706 | ARM, 4.994%, 01/01/35 | 15,773 | ||||||
7,146 | ARM, 5.012%, 05/01/37 | 7,597 | ||||||
5,286 | ARM, 5.061%, 07/01/36 | 5,672 | ||||||
2,899 | ARM, 5.114%, 11/01/36 | 3,061 | ||||||
10,130 | ARM, 5.126%, 03/01/37 | 10,718 | ||||||
3,187 | ARM, 5.295%, 05/01/38 | 3,385 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
5,991 | ARM, 5.535%, 05/01/36 | 6,417 | ||||||
3,870 | ARM, 5.612%, 04/01/38 | 4,117 | ||||||
3,060 | ARM, 5.626%, 10/01/36 | 3,190 | ||||||
1,476 | ARM, 5.655%, 04/01/37 | 1,577 | ||||||
5,339 | ARM, 5.673%, 06/01/37 | 5,776 | ||||||
4,528 | ARM, 5.729%, 02/01/37 | 4,817 | ||||||
3,846 | ARM, 5.739%, 05/01/37 | 4,094 | ||||||
2,533 | ARM, 5.748%, 05/01/37 | 2,709 | ||||||
3,094 | ARM, 5.754%, 06/01/36 | 3,318 | ||||||
3,688 | ARM, 5.785%, 01/01/37 | 3,909 | ||||||
4,303 | ARM, 5.794%, 11/01/36 | 4,575 | ||||||
3,022 | ARM, 5.823%, 10/01/36 | 3,156 | ||||||
280 | ARM, 5.865%, 02/01/37 | 298 | ||||||
3,580 | ARM, 5.876%, 04/01/37 | 3,810 | ||||||
983 | ARM, 5.882%, 05/01/37 | 1,046 | ||||||
1,638 | ARM, 5.927%, 04/01/37 | 1,770 | ||||||
2,099 | ARM, 5.929%, 03/01/37 | 2,234 | ||||||
7,136 | ARM, 5.948%, 10/01/36 | 7,464 | ||||||
748 | ARM, 6.011%, 02/01/37 | 795 | ||||||
15,144 | ARM, 6.013%, 11/01/36 | 16,336 | ||||||
12,745 | ARM, 6.014%, 06/01/36 | 13,742 | ||||||
8,963 | ARM, 6.037%, 12/01/36 | 9,584 | ||||||
8,633 | ARM, 6.058%, 12/01/36 | 9,186 | ||||||
1,629 | ARM, 6.073%, 05/01/37 | 1,737 | ||||||
1,196 | ARM, 6.090%, 03/01/37 | 1,262 | ||||||
568 | ARM, 6.114%, 12/01/36 | 597 | ||||||
839 | ARM, 6.227%, 10/01/36 | 864 | ||||||
3,761 | ARM, 6.293%, 05/01/37 | 3,989 | ||||||
6,796 | ARM, 6.296%, 02/01/37 | 7,152 | ||||||
1,201 | ARM, 6.398%, 02/01/37 | 1,298 | ||||||
2,448 | ARM, 6.429%, 10/01/36 | 2,547 | ||||||
1,059 | ARM, 6.454%, 12/01/36 | 1,145 | ||||||
1,197 | ARM, 6.463%, 11/01/37 | 1,288 | ||||||
2,608 | ARM, 6.464%, 10/01/36 | 2,721 | ||||||
4,188 | ARM, 6.534%, 10/01/36 | 4,359 | ||||||
4,085 | ARM, 6.666%, 11/01/36 | 4,420 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
3,190 | 4.000%, 06/01/18 - 05/01/19 | 3,372 | ||||||
3,135 | 4.500%, 08/01/18 - 10/01/18 | 3,340 | ||||||
14,710 | 5.000%, 10/01/17 - 12/01/18 | 15,834 | ||||||
65,951 | 5.500%, 06/01/17 - 02/01/24 | 71,842 | ||||||
32,961 | 6.000%, 04/01/17 - 03/01/22 | 35,624 | ||||||
5,370 | 6.500%, 07/01/16 - 03/01/22 | 5,805 | ||||||
56 | 7.000%, 09/01/12 - 04/01/17 | 61 | ||||||
32 | 7.500%, 10/01/14 - 11/01/15 | 33 |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
12 | 8.500%, 11/01/15 | 14 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
5,732 | 5.500%, 01/01/23 - 11/01/23 | 6,305 | ||||||
422 | 6.000%, 12/01/22 | 469 | ||||||
2,920 | 6.500%, 12/01/13 - 01/01/28 | 3,274 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
5,178 | 4.000%, 10/01/33 | 5,417 | ||||||
79,820 | 4.500%, 05/01/41 | 84,390 | ||||||
107,347 | 5.000%, 01/01/34 - 08/01/40 | 115,828 | ||||||
11,128 | 5.500%, 10/01/33 - 12/01/36 | 12,215 | ||||||
3,865 | 6.000%, 10/01/29 - 12/01/36 | 4,330 | ||||||
20,496 | 6.500%, 08/01/29 - 03/01/38 | 23,395 | ||||||
5,098 | 7.000%, 04/01/22 - 02/01/37 | 5,856 | ||||||
11,979 | 7.500%, 08/01/25 - 09/01/38 | 13,825 | ||||||
49 | 8.000%, 07/01/20 - 11/01/24 | 57 | ||||||
135 | 8.500%, 07/01/28 | 162 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
17,281 | 7.500%, 01/01/32 - 12/01/36 | 20,198 | ||||||
9,923 | 10.000%, 10/01/30 | 11,924 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
14,452 | 5.500%, 04/01/18 | 15,337 | ||||||
2,383 | 6.000%, 11/01/36 | 2,627 | ||||||
40,667 | 6.500%, 12/01/35 - 06/01/37 | 45,426 | ||||||
1,166 | 7.000%, 07/01/29 - 08/01/47 | 1,328 | ||||||
2,039 | 10.000%, 03/17/26 | 2,388 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
27 | 12.000%, 08/01/15 - 07/01/19 | 30 | ||||||
Federal National Mortgage Association, | ||||||||
800 | ARM, 1.583%, 08/01/34 | 815 | ||||||
1,581 | ARM, 1.811%, 09/01/33 | 1,631 | ||||||
667 | ARM, 1.921%, 02/01/35 | 697 | ||||||
66 | ARM, 1.970%, 03/01/19 | 67 | ||||||
9,939 | ARM, 1.981%, 01/01/35 | 10,439 | ||||||
1,543 | ARM, 2.113%, 05/01/35 | 1,613 | ||||||
325 | ARM, 2.135%, 08/01/35 | 338 | ||||||
5,479 | ARM, 2.251%, 01/01/36 | 5,680 | ||||||
204 | ARM, 2.264%, 07/01/34 | 215 | ||||||
1,636 | ARM, 2.273%, 08/01/36 | 1,719 | ||||||
1,401 | ARM, 2.310%, 03/01/35 | 1,471 | ||||||
864 | ARM, 2.331%, 04/01/34 | 908 | ||||||
2,264 | ARM, 2.335%, 07/01/35 | 2,383 | ||||||
1,127 | ARM, 2.345%, 08/01/33 | 1,185 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
704 | ARM, 2.364%, 08/01/34 | 726 | ||||||
945 | ARM, 2.432%, 09/01/35 | 999 | ||||||
325 | ARM, 2.434%, 01/01/34 | 341 | ||||||
1,294 | ARM, 2.452%, 11/01/33 | 1,357 | ||||||
234 | ARM, 2.470%, 05/01/35 | 248 | ||||||
2,245 | ARM, 2.484%, 01/01/36 | 2,359 | ||||||
1,444 | ARM, 2.487%, 06/01/36 | 1,525 | ||||||
4,708 | ARM, 2.499%, 08/01/36 | 4,915 | ||||||
2,152 | ARM, 2.520%, 07/01/36 | 2,266 | ||||||
894 | ARM, 2.522%, 10/01/34 | 940 | ||||||
192 | ARM, 2.526%, 09/01/34 | 203 | ||||||
2,140 | ARM, 2.545%, 06/01/34 | 2,251 | ||||||
6,845 | ARM, 2.569%, 06/01/36 | 7,251 | ||||||
1,386 | ARM, 2.599%, 05/01/36 | 1,470 | ||||||
2,220 | ARM, 2.683%, 06/01/36 | 2,355 | ||||||
627 | ARM, 2.721%, 09/01/33 | 663 | ||||||
13 | ARM, 2.755%, 01/01/19 | 13 | ||||||
10 | ARM, 2.797%, 08/01/19 | 10 | ||||||
2,268 | ARM, 2.827%, 04/01/35 | 2,389 | ||||||
14 | ARM, 2.848%, 06/01/26 | 14 | ||||||
687 | ARM, 2.916%, 02/01/36 | 723 | ||||||
19,584 | ARM, 2.959%, 03/01/36 | 20,610 | ||||||
149 | ARM, 3.000%, 01/01/36 | 157 | ||||||
1,489 | ARM, 3.110%, 10/01/34 | 1,568 | ||||||
270 | ARM, 3.190%, 09/01/27 | 274 | ||||||
7,442 | ARM, 3.719%, 11/01/37 | 7,738 | ||||||
253 | ARM, 3.934%, 03/01/29 | 261 | ||||||
564 | ARM, 4.313%, 11/01/34 | 596 | ||||||
860 | ARM, 4.369%, 11/01/34 | 910 | ||||||
5,931 | ARM, 4.633%, 09/01/36 | 6,359 | ||||||
479 | ARM, 5.003%, 01/01/34 | 516 | ||||||
10,745 | ARM, 5.091%, 07/01/37 | 11,421 | ||||||
631 | ARM, 5.110%, 01/01/35 | 668 | ||||||
1,303 | ARM, 5.116%, 09/01/36 | 1,368 | ||||||
4,250 | ARM, 5.228%, 01/01/38 | 4,560 | ||||||
3,097 | ARM, 5.374%, 10/01/35 | 3,301 | ||||||
2,268 | ARM, 5.376%, 11/01/37 | 2,411 | ||||||
3,542 | ARM, 5.486%, 10/01/36 | 3,775 | ||||||
1,417 | ARM, 5.498%, 01/01/37 | 1,507 | ||||||
2,794 | ARM, 5.516%, 07/01/37 | 2,980 | ||||||
2,302 | ARM, 5.528%, 12/01/36 | 2,437 | ||||||
1,804 | ARM, 5.579%, 08/01/36 | 1,942 | ||||||
21,345 | ARM, 5.629%, 01/01/23 | 23,200 | ||||||
2,612 | ARM, 5.632%, 10/01/36 | 2,791 | ||||||
6,476 | ARM, 5.662%, 10/01/36 | 6,820 | ||||||
13,391 | ARM, 5.666%, 12/01/37 | 14,319 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 71 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
2,775 | ARM, 5.684%, 11/01/36 | 2,919 | ||||||
8,003 | ARM, 5.723%, 08/01/37 | 8,513 | ||||||
5,132 | ARM, 5.734%, 04/01/37 | 5,463 | ||||||
8,736 | ARM, 5.767%, 12/01/36 | 9,284 | ||||||
2,584 | ARM, 5.781%, 02/01/37 | 2,749 | ||||||
336 | ARM, 5.799%, 07/01/37 | 357 | ||||||
2,219 | ARM, 5.848%, 09/01/36 | 2,318 | ||||||
1,976 | ARM, 5.874%, 11/01/36 | 2,088 | ||||||
2,832 | ARM, 5.904%, 09/01/37 | 3,056 | ||||||
2,429 | ARM, 5.959%, 09/01/37 | 2,658 | ||||||
1,129 | ARM, 5.960%, 09/01/37 | 1,206 | ||||||
2,839 | ARM, 5.992%, 09/01/37 | 3,040 | ||||||
2,259 | ARM, 6.071%, 07/01/37 | 2,410 | ||||||
8,457 | ARM, 6.108%, 09/01/36 | 9,202 | ||||||
1,522 | ARM, 6.135%, 09/01/36 | 1,590 | ||||||
5,247 | ARM, 6.240%, 08/01/36 | 5,760 | ||||||
1,271 | ARM, 6.301%, 09/01/37 | 1,371 | ||||||
3,117 | ARM, 6.314%, 02/01/37 | 3,278 | ||||||
2,232 | ARM, 6.520%, 01/01/37 | 2,386 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
679 | 3.500%, 04/01/19 | 726 | ||||||
9,840 | 4.000%, 07/01/18 - 12/01/20 | 10,484 | ||||||
36,058 | 4.500%, 05/01/18 - 12/01/19 | 38,768 | ||||||
40,120 | 5.000%, 12/01/16 - 08/01/24 | 43,458 | ||||||
36,302 | 5.500%, 02/01/18 - 07/01/20 | 39,559 | ||||||
80,716 | 6.000%, 06/01/16 - 07/01/24 | 87,745 | ||||||
9,726 | 6.500%, 05/01/13 - 02/01/24 | 10,680 | ||||||
1,159 | 7.000%, 03/01/17 - 11/01/17 | 1,257 | ||||||
73 | 7.500%, 10/01/12 - 03/01/17 | 78 | ||||||
35 | 8.000%, 11/01/12 - 11/01/15 | 36 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,478 | 5.000%, 10/01/25 | 1,612 | ||||||
4,861 | 5.500%, 07/01/25 | 5,374 | ||||||
48,459 | 6.000%, 02/01/14 - 09/01/29 | 53,733 | ||||||
9,054 | 6.500%, 05/01/22 - 08/01/26 | 10,116 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
288 | 6.000%, 09/01/33 | 323 | ||||||
503 | 6.500%, 03/01/29 | 579 | ||||||
80 | 7.000%, 02/01/33 | 93 | ||||||
116 | 8.000%, 06/01/28 | 136 | ||||||
109 | 8.500%, 08/01/27 - 02/01/30 | 128 | ||||||
138 | 9.000%, 05/01/18 - 12/01/30 | 159 | ||||||
39 | 9.500%, 12/01/18 | 45 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
1,573 | 4.000%, 12/01/33 | 1,648 | ||||||
7,190 | 4.130%, 07/01/20 | 7,753 | ||||||
3,627 | 4.500%, 11/01/33 - 09/01/34 | 3,861 | ||||||
75,456 | 5.000%, 06/01/33 - 08/01/40 | 81,709 | ||||||
86,642 | 5.500%, 11/01/32 - 12/01/39 | 95,406 | ||||||
54,379 | 6.000%, 12/01/28 - 04/01/38 | 60,656 | ||||||
133,118 | 6.500%, 11/01/29 - 10/01/38 | 151,206 | ||||||
64,966 | 7.000%, 04/01/17 - 01/01/39 | 74,984 | ||||||
37,517 | 7.500%, 11/01/22 - 04/01/39 | 43,774 | ||||||
1,816 | 8.000%, 03/01/21 - 01/01/38 | 2,125 | ||||||
47 | 8.500%, 07/01/24 - 06/01/25 | 55 | ||||||
6 | 9.000%, 04/01/26 | 6 | ||||||
43 | 9.500%, 07/01/28 | 51 | ||||||
20 | 10.000%, 02/01/24 | 23 | ||||||
31 | 12.500%, 01/01/16 | 32 | ||||||
Federal National Mortgage Association, Other, | ||||||||
644 | VAR, 2.500%, 08/01/34 | 677 | ||||||
5,973 | VAR, 6.070%, 11/01/18 | 6,532 | ||||||
4,827 | 2.573%, 10/01/17 | 4,892 | ||||||
4,000 | 2.779%, 10/01/17 | 4,092 | ||||||
14,816 | 2.970%, 11/01/18 | 15,156 | ||||||
8,000 | 3.290%, 10/01/20 | 8,175 | ||||||
6,000 | 3.337%, 11/01/20 | 6,104 | ||||||
7,880 | 3.379%, 11/01/20 | 8,017 | ||||||
6,500 | 3.461%, 11/01/20 | 6,663 | ||||||
8,000 | 3.472%, 10/01/20 | 8,214 | ||||||
10,000 | 3.492%, 01/01/18 | 10,516 | ||||||
2,655 | 3.503%, 08/01/17 | 2,799 | ||||||
9,878 | 3.544%, 09/01/20 | 10,193 | ||||||
15,150 | 3.590%, 10/01/20 | 15,785 | ||||||
8,500 | 3.596%, 12/01/20 | 8,779 | ||||||
1,978 | 3.600%, 09/01/20 | 2,062 | ||||||
20,325 | 3.616%, 09/01/20 - 10/01/20 | 21,057 | ||||||
29,578 | 3.621%, 09/01/20 | 30,672 | ||||||
6,500 | 3.637%, 01/01/18 | 6,897 | ||||||
10,000 | 3.638%, 12/01/20 | 10,288 | ||||||
14,866 | 3.658%, 01/01/18 - 10/01/20 | 15,667 | ||||||
19,987 | 3.730%, 06/01/18 | 21,543 | ||||||
3,000 | 3.751%, 01/01/18 | 3,192 | ||||||
7,000 | 3.761%, 06/01/18 | 7,457 | ||||||
5,967 | 3.800%, 03/01/18 | 6,412 | ||||||
3,643 | 3.802%, 09/01/20 | 3,819 | ||||||
3,959 | 3.823%, 12/01/20 | 4,149 | ||||||
19,211 | 3.864%, 07/01/20 - 08/01/20 | 20,233 |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
12,088 | 3.895%, 01/01/21 | 12,714 | ||||||
10,000 | 3.926%, 08/01/20 | 10,504 | ||||||
15,000 | 3.930%, 07/01/20 | 15,986 | ||||||
10,000 | 3.960%, 08/01/20 | 10,672 | ||||||
10,000 | 3.980%, 11/01/16 | 10,659 | ||||||
9,989 | 3.988%, 07/01/21 | 10,527 | ||||||
11,400 | 3.999%, 01/01/21 | 12,068 | ||||||
1,134 | 4.000%, 04/01/20 | 1,189 | ||||||
21,449 | 4.019%, 08/01/20 - 07/01/21 | 22,737 | ||||||
4,000 | 4.061%, 01/01/21 | 4,250 | ||||||
15,000 | 4.081%, 07/01/20 | 15,963 | ||||||
6,495 | 4.102%, 06/01/21 | 6,892 | ||||||
5,593 | 4.123%, 07/01/21 | 5,949 | ||||||
9,667 | 4.195%, 07/01/21 | 10,327 | ||||||
32,000 | 4.201%, 07/01/20 | 34,299 | ||||||
7,050 | 4.236%, 06/01/21 | 7,550 | ||||||
10,000 | 4.250%, 04/01/21 | 10,764 | ||||||
8,500 | 4.267%, 11/01/19 | 9,163 | ||||||
17,900 | 4.298%, 03/01/21 | 19,279 | ||||||
5,500 | 4.329%, 06/01/21 | 5,926 | ||||||
15,000 | 4.350%, 04/01/20 | 16,402 | ||||||
20,790 | 4.381%, 11/01/19 - 06/01/21 | 22,488 | ||||||
7,600 | 4.391%, 04/01/21 | 8,180 | ||||||
19,581 | 4.424%, 01/01/20 | 21,342 | ||||||
7,933 | 4.443%, 08/01/20 - 04/01/21 | 8,597 | ||||||
12,478 | 4.474%, 02/01/21 - 04/01/21 | 13,811 | ||||||
18,000 | 4.484%, 06/01/21 | 19,464 | ||||||
2,930 | 4.500%, 03/01/20 | 3,205 | ||||||
23,465 | 4.514%, 04/01/20 | 25,720 | ||||||
11,831 | 4.515%, 02/01/20 | 12,976 | ||||||
7,600 | 4.536%, 05/01/21 | 8,293 | ||||||
3,432 | 4.540%, 01/01/20 | 3,794 | ||||||
64,300 | 4.546%, 02/01/20 | 70,560 | ||||||
4,369 | 4.598%, 01/01/21 | 4,791 | ||||||
9,000 | 4.629%, 06/01/21 | 9,822 | ||||||
23,682 | 4.681%, 12/01/19 | 26,202 | ||||||
12,929 | 4.794%, 01/01/21 | 14,325 | ||||||
711 | 5.000%, 12/01/32 | 766 | ||||||
9,000 | 5.414%, 05/01/17 | 10,166 | ||||||
16,265 | 5.500%, 03/01/17 - 06/01/39 | 17,590 | ||||||
22,540 | 6.000%, 02/01/36 - 11/01/48 | 24,756 | ||||||
7,492 | 6.500%, 04/01/36 - 05/01/37 | 8,259 | ||||||
6,161 | 7.000%, 02/01/36 - 01/01/38 | 7,041 | ||||||
430 | 7.500%, 10/01/37 | 496 | ||||||
2,164 | 8.000%, 11/01/37 | 2,497 | ||||||
204 | 10.890%, 04/15/19 | 233 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
24,282 | 6.000%, 03/20/28 - 08/20/39 | 27,327 | ||||||
3,279 | 6.500%, 07/20/29 | 3,769 | ||||||
1,993 | 7.000%, 08/20/38 | 2,321 | ||||||
201 | 7.500%, 02/20/28 - 09/20/28 | 235 | ||||||
389 | 8.000%, 12/20/25 - 10/20/28 | 460 | ||||||
180 | 8.500%, 03/20/25 - 05/20/25 | 216 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
176 | 6.000%, 10/15/17 | 193 | ||||||
213 | 6.500%, 06/15/17 - 12/15/17 | 235 | ||||||
3 | 7.500%, 02/15/12 - 03/15/12 | 3 | ||||||
373 | 8.000%, 01/15/16 | 401 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
12,220 | 5.500%, 04/15/33 - 09/15/34 | 13,713 | ||||||
455 | 6.000%, 11/15/28 | 517 | ||||||
8,310 | 6.500%, 01/15/24 - 12/15/35 | 9,527 | ||||||
13,461 | 7.000%, 08/15/23 - 04/15/37 | 15,479 | ||||||
3,253 | 7.500%, 11/15/22 - 10/15/37 | 3,799 | ||||||
93 | 8.000%, 05/15/22 - 08/15/28 | 109 | ||||||
35 | 8.500%, 03/15/17 - 11/15/17 | 39 | ||||||
68 | 9.000%, 08/15/16 - 11/15/24 | 78 | ||||||
4,057 | 9.500%, 01/15/17 - 12/15/25 | 4,849 | ||||||
31 | 12.000%, 11/15/19 | 35 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 2,830,536 | |||||||
|
| |||||||
| Municipal Bonds — 0.2% |
| ||||||
Illinois — 0.0% (g) | ||||||||
5,450 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 4,742 | ||||||
|
| |||||||
New York — 0.1% | ||||||||
2,500 | New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 | 2,886 | ||||||
12,225 | Port Authority of New York & New Jersey, Taxable Construction 164, Construction 164, Rev., 5.647%, 11/01/40 | 13,431 | ||||||
|
| |||||||
16,317 | ||||||||
|
| |||||||
Ohio — 0.1% | ||||||||
13,075 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 15,821 | ||||||
|
| |||||||
Total Municipal Bonds | 36,880 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 73 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Supranational — 0.1% | |||||||
Corp. Andina de Fomento, (Supranational), | ||||||||
9,103 | 3.750%, 01/15/16 | 9,285 | ||||||
720 | 5.200%, 05/21/13 | 763 | ||||||
|
| |||||||
Total Supranational | 10,048 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 1.5% | |||||||
Federal Farm Credit Bank, | ||||||||
5,000 | 1.875%, 12/07/12 | 5,100 | ||||||
10,000 | 5.125%, 11/15/18 | 12,013 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
38,500 | 4.125%, 12/21/12 | 40,410 | ||||||
4,000 | 5.125%, 11/17/17 | 4,808 | ||||||
25,500 | 5.500%, 08/23/17 | 31,127 | ||||||
1,260 | 5.750%, 01/15/12 | 1,287 | ||||||
Federal National Mortgage Association, | ||||||||
26,500 | Zero Coupon, 06/01/17 | 23,950 | ||||||
45,000 | Zero Coupon, 07/05/14 | 43,910 | ||||||
26,700 | 5.000%, 05/11/17 | 31,762 | ||||||
33,400 | 5.375%, 06/12/17 | 40,395 | ||||||
2,735 | 6.125%, 03/15/12 | 2,821 | ||||||
11,500 | Federal National Mortgage Association Interest Strip, 11/15/21 | 8,369 | ||||||
Financing Corp. Fico, | ||||||||
16,800 | Zero Coupon, 04/05/19 | 14,298 | ||||||
13,200 | Zero Coupon, 09/26/19 | 10,984 | ||||||
Government Trust Certificate, | ||||||||
4,488 | Zero Coupon, 10/01/15 | 4,202 | ||||||
5,741 | Zero Coupon, 04/01/16 | 5,289 | ||||||
13,319 | Zero Coupon, 04/01/19 | 10,849 | ||||||
10,000 | Residual Funding Corp., Principal Strip, Zero Coupon, 07/15/20 | 8,043 | ||||||
Tennessee Valley Authority, | ||||||||
2,935 | 4.625%, 09/15/60 | 3,178 | ||||||
1,195 | 5.250%, 09/15/39 | 1,404 | ||||||
9,500 | 5.500%, 07/18/17 | 11,500 | ||||||
Tennessee Valley Authority STRIP, | ||||||||
7,506 | 01/15/19 | 6,296 | ||||||
12,000 | 05/01/19 | 9,944 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 331,939 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 26.2% | |||||||
U.S. Treasury Bonds, | ||||||||
20,300 | 4.500%, 02/15/36 | 23,865 | ||||||
2,000 | 4.500%, 08/15/39 | 2,336 | ||||||
650 | 5.250%, 11/15/28 | 840 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
4,500 | 5.375%, 02/15/31 | 5,935 | ||||||
12,350 | 5.500%, 08/15/28 | 16,379 | ||||||
4,300 | 6.000%, 02/15/26 | 5,911 | ||||||
2,050 | 6.125%, 11/15/27 | 2,884 | ||||||
1,000 | 6.125%, 08/15/29 | 1,419 | ||||||
1,000 | 6.250%, 08/15/23 | 1,383 | ||||||
7,650 | 6.250%, 05/15/30 | 11,041 | ||||||
4,750 | 6.375%, 08/15/27 | 6,833 | ||||||
7,550 | 6.500%, 11/15/26 | 10,910 | ||||||
5,100 | 6.625%, 02/15/27 | 7,469 | ||||||
7,800 | 6.750%, 08/15/26 | 11,490 | ||||||
14,620 | 7.125%, 02/15/23 | 21,469 | ||||||
19,490 | 7.250%, 08/15/22 (m) | 28,705 | ||||||
102,392 | 7.500%, 11/15/16 (m) | 136,301 | ||||||
8,717 | 7.875%, 02/15/21 (m) | 13,074 | ||||||
8,000 | 8.000%, 11/15/21 | 12,236 | ||||||
137,482 | 8.125%, 08/15/19 | 203,388 | ||||||
16,650 | 8.125%, 05/15/21 | 25,452 | ||||||
48,180 | 8.500%, 02/15/20 | 73,486 | ||||||
25,150 | 8.750%, 05/15/20 | 38,996 | ||||||
73,089 | 8.750%, 08/15/20 | 113,928 | ||||||
236,750 | 8.875%, 08/15/17 (m) | 341,678 | ||||||
4,594 | 9.875%, 11/15/15 (m) | 6,351 | ||||||
U.S. Treasury Bonds STRIPS, | ||||||||
4,750 | 11/15/13 | 4,727 | ||||||
58,755 | 02/15/14 (m) | 58,367 | ||||||
25,507 | 05/15/14 (m) | 25,309 | ||||||
55,062 | 08/15/14 (m) | 54,398 | ||||||
33,961 | 11/15/14 | 33,460 | ||||||
40,209 | 02/15/15 (m) | 39,442 | ||||||
9,895 | 05/15/15 | 9,670 | ||||||
15,750 | 08/15/15 | 15,368 | ||||||
4,941 | 08/15/15 | 4,810 | ||||||
7,010 | 11/15/15 | 6,807 | ||||||
38,361 | 11/15/15 | 37,158 | ||||||
94,812 | 02/15/16 (m) | 91,259 | ||||||
32,950 | 05/15/16 | 31,542 | ||||||
44,427 | 08/15/16 | 42,224 | ||||||
46,981 | 11/15/16 | 44,353 | ||||||
118,866 | 02/15/17 | 111,331 | ||||||
40,461 | 08/15/17 | 37,365 | ||||||
90,980 | 11/15/17 | 83,276 | ||||||
33,450 | 02/15/18 | 30,362 | ||||||
15,500 | 05/15/18 | 13,961 | ||||||
41,786 | 08/15/18 | 37,260 |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
11,897 | 02/15/19 | 10,418 | ||||||
105,365 | 05/15/19 | 91,370 | ||||||
182,720 | 08/15/19 | 156,655 | ||||||
11,000 | 02/15/20 | 9,224 | ||||||
4,550 | 05/15/20 | 3,786 | ||||||
398,096 | 05/15/20 | 328,967 | ||||||
163,400 | 08/15/20 | 133,458 | ||||||
17,050 | 11/15/20 | 13,781 | ||||||
42,800 | 08/15/21 | 33,411 | ||||||
55,600 | 11/15/21 | 42,892 | ||||||
17,208 | 02/15/22 | 13,105 | ||||||
1,200 | 02/15/24 | 830 | ||||||
7,000 | 05/15/24 | 4,782 | ||||||
12,925 | 08/15/24 | 8,715 | ||||||
20,400 | 11/15/24 | 13,590 | ||||||
5,800 | 02/15/25 | 3,817 | ||||||
2,700 | 05/15/25 | 1,755 | ||||||
16,000 | 08/15/25 | 10,287 | ||||||
22,300 | 05/15/26 | 13,813 | ||||||
25,050 | 11/15/26 | 15,158 | ||||||
10,800 | 02/15/27 | 6,472 | ||||||
20,725 | 05/15/27 | 12,262 | ||||||
31,300 | 08/15/27 | 18,307 | ||||||
24,650 | 11/15/27 | 14,226 | ||||||
9,300 | 05/15/28 | 5,241 | ||||||
19,300 | 11/15/28 | 10,610 | ||||||
20,115 | 02/15/29 | 10,921 | ||||||
3,200 | 05/15/29 | 1,717 | ||||||
13,420 | 11/15/29 | 7,036 | ||||||
102,900 | 02/15/30 | 53,264 | ||||||
41,000 | 05/15/30 | 20,996 | ||||||
33,550 | 08/15/30 | 16,983 | ||||||
20,000 | 11/15/30 | 10,013 | ||||||
12,875 | 05/15/31 | 6,292 | ||||||
14,125 | 08/15/31 | 6,828 | ||||||
12,400 | 11/15/31 | 5,922 | ||||||
9,425 | 02/15/32 | 4,446 | ||||||
9,200 | 11/15/32 | 4,185 | ||||||
21,750 | 05/15/33 | 9,669 | ||||||
21,875 | 08/15/33 | 9,601 | ||||||
32,500 | 11/15/33 | 14,082 | ||||||
18,675 | 02/15/34 | 8,000 | ||||||
9,550 | 05/15/34 | 4,040 | ||||||
10,500 | 02/15/35 | 4,276 | ||||||
10,109 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 (m) | 20,233 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
1,000 | 2.000%, 04/15/12 | 1,129 | ||||||
12,000 | 2.000%, 01/15/14 | 15,691 | ||||||
2,000 | 2.000%, 07/15/14 | 2,600 | ||||||
U.S. Treasury Notes, | ||||||||
40,000 | 0.750%, 11/30/11 | 40,070 | ||||||
40,000 | 1.125%, 12/15/11 | 40,125 | ||||||
10,000 | 1.250%, 02/15/14 | 10,246 | ||||||
8,050 | 1.375%, 09/15/12 | 8,152 | ||||||
20,060 | 1.375%, 10/15/12 | 20,336 | ||||||
15,990 | 1.375%, 11/15/12 | 16,224 | ||||||
2,700 | 1.375%, 02/15/13 | 2,747 | ||||||
15,000 | 1.750%, 04/15/13 | 15,380 | ||||||
20,500 | 1.750%, 03/31/14 | 21,283 | ||||||
12,000 | 1.875%, 02/28/14 | 12,485 | ||||||
25,000 | 2.000%, 04/30/16 | 26,338 | ||||||
35,980 | 2.125%, 12/31/15 | 38,136 | ||||||
5,475 | 2.250%, 11/30/17 | 5,772 | ||||||
26,600 | 2.375%, 10/31/14 | 28,269 | ||||||
6,000 | 2.375%, 02/28/15 | 6,397 | ||||||
10,000 | 2.500%, 06/30/17 | 10,713 | ||||||
92,900 | 2.625%, 07/31/14 | 99,113 | ||||||
239,500 | 2.625%, 12/31/14 | 256,938 | ||||||
19,000 | 2.625%, 02/29/16 | 20,550 | ||||||
36,325 | 2.625%, 04/30/16 | 39,291 | ||||||
26,000 | 2.625%, 01/31/18 | 27,986 | ||||||
218,675 | 2.750%, 05/31/17 | 237,536 | ||||||
34,140 | 2.750%, 12/31/17 | 37,031 | ||||||
30,610 | 2.875%, 03/31/18 | 33,410 | ||||||
169,500 | 3.125%, 10/31/16 | 187,562 | ||||||
20,000 | 3.125%, 01/31/17 | 22,144 | ||||||
143,855 | 3.125%, 04/30/17 | 159,319 | ||||||
242,792 | 3.125%, 05/15/19 | 268,134 | ||||||
241,700 | 3.250%, 12/31/16 | 268,966 | ||||||
76,500 | 3.250%, 03/31/17 | 85,250 | ||||||
5,000 | 3.375%, 11/15/19 | 5,595 | ||||||
5,000 | 3.500%, 02/15/18 | 5,657 | ||||||
63,800 | 4.250%, 11/15/17 | 75,065 | ||||||
20,000 | 4.500%, 11/30/11 | 20,220 | ||||||
55,060 | 4.500%, 05/15/17 | 65,233 | ||||||
9,500 | 4.625%, 02/15/17 | 11,278 | ||||||
136,865 | 4.750%, 08/15/17 | 164,612 | ||||||
U.S. Treasury STRIPS, | ||||||||
399 | 08/15/12 | 398 | ||||||
2,914 | 11/15/12 | 2,910 | ||||||
29,374 | 08/15/13 | 29,240 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 75 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
1,000 | 02/15/21 | 799 | ||||||
7,869 | 02/15/23 | 5,712 | ||||||
7,300 | 02/15/26 | 4,577 | ||||||
46,650 | 02/15/28 | 26,601 | ||||||
5,900 | 08/15/28 | 3,285 | ||||||
2,800 | 08/15/29 | 1,486 | ||||||
12,100 | 02/15/31 | 5,990 | ||||||
1,700 | 08/15/32 | 783 | ||||||
2,100 | 11/15/34 | 866 | ||||||
1,700 | 08/15/35 | 675 | ||||||
1,175 | 05/15/36 | 449 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 5,628,398 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.2% |
| ||||||
Investment Company — 2.2% | ||||||||
483,599 | JPMorgan Liquid Assets Money Market | 483,599 | ||||||
|
| |||||||
Total Investments — 100.6% | 21,608,915 | |||||||
Liabilities in Excess of | (137,260 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 21,471,655 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — 2.5% |
| ||||||
1,230 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.398%, 04/25/36 | 1,008 | ||||||
AH Mortgage Advance Trust, | ||||||||
1,280 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,280 | ||||||
4,583 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 4,588 | ||||||
Ally Auto Receivables Trust, | ||||||||
1,341 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 1,349 | ||||||
565 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 575 | ||||||
355 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 359 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1,390 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 1,451 | ||||||
249 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 250 | ||||||
Ameriquest Mortgage Securities, Inc., | ||||||||
1,249 | Series 2003-5, Class A6, SUB, 4.541%, 04/25/33 | 1,121 | ||||||
563 | Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 562 | ||||||
24 | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13 | 21 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
852 | Series 2003-SD2, Class 2A, VAR, 3.069%, 06/25/43 | 765 | ||||||
1,306 | Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36 | 930 | ||||||
Centex Home Equity, | ||||||||
506 | Series 2001-B, Class A6, 6.360%, 07/25/32 | 501 | ||||||
435 | Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 401 | ||||||
135 | Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32 | 117 | ||||||
1,040 | Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 985 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
515 | Series 2003-5, Class 1A4, 4.396%, 02/25/30 | 507 | ||||||
650 | Series 2003-6, Class 1A4, 4.499%, 11/25/34 | 642 | ||||||
1,372 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,739 | ||||||
966 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33 | 929 | ||||||
1,383 | CNH Equipment Trust, Series 2010-A, Class A3, 1.540%, 07/15/14 | 1,388 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
8 | Series 2004-1, Class 3A, VAR, 0.778%, 04/25/34 | 6 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
590 | Series 2004-1, Class M1, VAR, 0.968%, 03/25/34 | 440 | ||||||
430 | Series 2004-1, Class M2, VAR, 1.043%, 03/25/34 | 378 | ||||||
1,539 | Series 2004-6, Class M1, VAR, 0.818%, 10/25/34 | 862 | ||||||
230 | Series 2004-13, Class MV8, VAR, 1.918%, 01/25/35 (f) (i) | 12 | ||||||
323 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 189 | ||||||
99 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 93 | ||||||
635 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 692 | ||||||
1,941 | Distressed Asset Portfolio I, LLC, 3.500%, 12/31/15 (f) (i) | 2,165 | ||||||
1,587 | Equity One ABS, Inc., Series 2003-2, Class M1, VAR, 5.050%, 09/25/33 | 1,306 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
68 | Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25 | 71 | ||||||
126 | Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25 | 126 | ||||||
1,425 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF9, Class A3, VAR, 0.498%, 10/25/35 | 1,338 | ||||||
1,358 | GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29 | 1,397 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
224 | Series 2005-2, Class A1, VAR, 0.483%, 01/20/35 | 198 | ||||||
896 | Series 2005-2, Class M1, VAR, 0.673%, 01/20/35 | 788 | ||||||
896 | Series 2005-2, Class M2, VAR, 0.703%, 01/20/35 | 784 | ||||||
328 | Series 2006-1, Class A1, VAR, 0.373%, 01/20/36 | 306 | ||||||
782 | Series 2006-2, Class A1, VAR, 0.363%, 03/20/36 | 732 | ||||||
171 | Series 2006-3, Class A2F, SUB, 5.660%, 03/20/36 | 171 | ||||||
1,075 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 1,097 | ||||||
228 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 230 | ||||||
1,455 | Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36 | 1,438 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 77 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,006 | Series 2007-3, Class APT, VAR, 1.413%, 11/20/36 | 897 | ||||||
1,301 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.568%, 07/25/34 (e) | 1,243 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
166 | Series 2004-1, Class M3, VAR, 1.268%, 02/25/34 | 125 | ||||||
3 | Series 2004-2, Class B, VAR, 3.718%, 06/25/34 (e) (f) (i) | 2 | ||||||
51 | Series 2004-5, Class M6, VAR, 2.718%, 09/25/34 (f) (i) | 10 | ||||||
1,029 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.468%, 03/25/33 | 602 | ||||||
New Century Home Equity Loan Trust, | ||||||||
1,000 | Series 2003-5, Class AI6, SUB, 5.241%, 11/25/33 | 952 | ||||||
610 | Series 2005-1, Class M1, VAR, 0.668%, 03/25/35 | 400 | ||||||
2,400 | Park Place Securities, Inc., Series 2004-WCW1, Class M2, VAR, 0.898%, 09/25/34 | 2,127 | ||||||
2,100 | Residential Asset Securities Corp., Series 2005-EMX3, Class M1, VAR, 0.648%, 09/25/35 | 1,829 | ||||||
616 | Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28 | 600 | ||||||
1,220 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e) | 1,029 | ||||||
717 | Santander Drive Auto Receivables Trust, Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 717 | ||||||
86 | Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, VAR, 0.298%, 06/25/37 | 74 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
2,500 | Series 2003-BC10, Class A4, VAR, 1.218%, 10/25/33 | 1,979 | ||||||
1,500 | Series 2005-5, Class A9, VAR, 0.488%, 06/25/35 | 1,372 | ||||||
39 | Structured Asset Securities Corp., Series 2007-OSI, Class A2, VAR, 0.308%, 06/25/37 | 32 | ||||||
207 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 226 | ||||||
1,500 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 1,482 | ||||||
295 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 303 | ||||||
|
| |||||||
Total Asset-Backed Securities | 52,288 | |||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — 22.1% |
| ||||||
Agency CMO — 13.8% |
| |||||||
604 | Federal Home Loan Bank, Series 2000-0606, Class Y, 5.270%, 12/28/12 | 632 | ||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | ||||||||
198 | Series 23, Class KZ, 6.500%, 11/25/23 | 227 | ||||||
1,405 | Series 24, Class J, 6.250%, 11/25/23 | 1,502 | ||||||
251 | Series 31, Class Z, 8.000%, 04/25/24 | 288 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
27 | Series 11, Class D, 9.500%, 07/15/19 | 29 | ||||||
18 | Series 38, Class D, 9.500%, 05/15/20 | 21 | ||||||
9 | Series 81, Class A, 8.125%, 11/15/20 | 10 | ||||||
21 | Series 84, Class F, 9.200%, 10/15/20 | 24 | ||||||
11 | Series 109, Class I, 9.100%, 01/15/21 | 12 | ||||||
3 | Series 198, Class Z, 8.500%, 09/15/22 | 4 | ||||||
136 | Series 1316, Class Z, 8.000%, 06/15/22 | 158 | ||||||
49 | Series 1343, Class LB, 7.500%, 08/15/22 | 58 | ||||||
2 | Series 1351, Class TF, HB, 1,010.000%, 08/15/22 | 35 | ||||||
98 | Series 1456, Class Z, 7.500%, 01/15/23 | 114 | ||||||
721 | Series 1543, Class VN, 7.000%, 07/15/23 | 825 | ||||||
11 | Series 1556, Class H, 6.500%, 08/15/13 | 12 | ||||||
420 | Series 1577, Class PV, 6.500%, 09/15/23 | 453 | ||||||
39 | Series 1595, Class D, 7.000%, 10/15/13 | 41 | ||||||
1,144 | Series 1611, Class Z, 6.500%, 11/15/23 | 1,301 | ||||||
1,169 | Series 1628, Class LZ, 6.500%, 12/15/23 | 1,324 | ||||||
560 | Series 1630, Class PK, 6.000%, 11/15/23 | 629 | ||||||
1,000 | Series 1671, Class I, 7.000%, 02/15/24 | 1,178 | ||||||
16 | Series 1671, Class QC, 10.000%, 02/15/24 | 17 | ||||||
100 | Series 1695, Class G, HB, IF, 25.422%, 03/15/24 | 148 | ||||||
63 | Series 1710, Class GB, HB, 38.302%, 04/15/24 | 133 | ||||||
257 | Series 1911, Class SD, IO, 10.169%, 07/15/23 | 71 | ||||||
128 | Series 2022, Class PE, 6.500%, 01/15/28 | 148 | ||||||
989 | Series 2033, Class K, 6.050%, 08/15/23 | 1,014 | ||||||
783 | Series 2036, Class PG, 6.500%, 01/15/28 | 903 | ||||||
211 | Series 2055, Class OE, 6.500%, 05/15/13 | 211 | ||||||
124 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 27 | ||||||
2,751 | Series 2091, Class PG, 6.000%, 11/15/28 | 2,987 | ||||||
188 | Series 2148, Class ZA, 6.000%, 04/15/29 | 203 | ||||||
350 | Series 2201, Class C, 8.000%, 11/15/29 | 414 | ||||||
90 | Series 2261, Class ZY, 7.500%, 10/15/30 | 107 | ||||||
954 | Series 2293, Class ZA, 6.000%, 03/15/31 | 1,078 | ||||||
96 | Series 2297, Class NB, 6.000%, 03/15/16 | 100 | ||||||
155 | Series 2310, Class Z, 6.000%, 04/15/31 | 167 | ||||||
60 | Series 2313, Class LA, 6.500%, 05/15/31 | 66 |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
512 | Series 2325, Class JO, PO, 06/15/31 | 473 | ||||||
1,392 | Series 2330, Class PE, 6.500%, 06/15/31 | 1,489 | ||||||
384 | Series 2344, Class QG, 6.000%, 08/15/16 | 412 | ||||||
466 | Series 2345, Class PQ, 6.500%, 08/15/16 | 492 | ||||||
345 | Series 2368, Class TG, 6.000%, 10/15/16 | 369 | ||||||
742 | Series 2394, Class MC, 6.000%, 12/15/16 | 799 | ||||||
268 | Series 2399, Class PG, 6.000%, 01/15/17 | 289 | ||||||
300 | Series 2410, Class QB, 6.250%, 02/15/32 | 351 | ||||||
760 | Series 2430, Class WF, 6.500%, 03/15/32 | 878 | ||||||
812 | Series 2466, Class DH, 6.500%, 06/15/32 | 919 | ||||||
2,256 | Series 2530, Class SK, IO, 7.893%, 06/15/29 | 541 | ||||||
266 | Series 2534, Class SI, HB, IF, 20.521%, 02/15/32 | 370 | ||||||
2,000 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,278 | ||||||
1,924 | Series 2545, Class SQ, IO, 7.393%, 05/15/17 | 79 | ||||||
817 | Series 2557, Class HL, 5.300%, 01/15/33 | 910 | ||||||
1,711 | Series 2586, Class IO, IO, 6.500%, 03/15/33 | 359 | ||||||
1,300 | Series 2587, Class XS, IO, 7.443%, 09/15/17 | 71 | ||||||
490 | Series 2594, Class IV, IO, 7.000%, 03/15/32 | 113 | ||||||
117 | Series 2602, Class BX, 3.500%, 12/15/22 | 121 | ||||||
1,517 | Series 2610, Class UI, IO, 6.500%, 05/15/33 | 258 | ||||||
1,515 | Series 2613, Class H, 4.500%, 05/15/18 | 1,652 | ||||||
1,894 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,021 | ||||||
787 | Series 2630, Class S, IO, 6.943%, 01/15/17 | 14 | ||||||
3,708 | Series 2636, Class Z, 4.500%, 06/15/18 | 3,954 | ||||||
2,809 | Series 2641, Class SK, IO, 6.943%, 01/15/18 | 232 | ||||||
141 | Series 2643, Class SA, HB, IF, 44.153%, 03/15/32 | 284 | ||||||
168 | Series 2650, Class PO, PO, 12/15/32 | 159 | ||||||
168 | Series 2650, Class SO, PO, 12/15/32 | 160 | ||||||
528 | Series 2656, Class AC, 6.000%, 08/15/33 | 598 | ||||||
1,375 | Series 2656, Class PE, 4.500%, 07/15/18 | 1,515 | ||||||
907 | Series 2658, Class A, 4.500%, 08/15/18 | 965 | ||||||
141 | Series 2668, Class SB, 7.016%, 10/15/15 | 142 | ||||||
239 | Series 2686, Class GB, 5.000%, 05/15/20 | 240 | ||||||
689 | Series 2695, Class OB, PO, 10/15/33 | 586 | ||||||
880 | Series 2701, Class ST, IO, 6.793%, 08/15/21 | 34 | ||||||
1,331 | Series 2707, Class KA, 4.500%, 11/15/18 | 1,448 | ||||||
557 | Series 2707, Class KJ, 5.000%, 11/15/18 | 599 | ||||||
5,000 | Series 2708, Class N, 4.000%, 11/15/18 | 5,302 | ||||||
122 | Series 2717, Class BA, 6.000%, 11/15/30 | 124 | ||||||
705 | Series 2733, Class SB, 7.824%, 10/15/33 | 795 | ||||||
1,050 | Series 2736, Class PD, 5.000%, 03/15/32 | 1,108 | ||||||
230 | Series 2755, Class SA, 13.786%, 05/15/30 | 259 | ||||||
1,157 | Series 2756, Class NA, 5.000%, 02/15/24 | 1,284 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
2,000 | Series 2764, Class OE, 4.500%, 03/15/19 | 2,209 | ||||||
322 | Series 2764, Class S, 13.232%, 07/15/33 | 364 | ||||||
198 | Series 2776, Class SK, 8.764%, 04/15/34 | 198 | ||||||
750 | Series 2779, Class SM, IO, 6.943%, 10/15/18 | 51 | ||||||
63 | Series 2827, Class SQ, 7.500%, 01/15/19 | 63 | ||||||
1,000 | Series 2845, Class QH, 5.000%, 08/15/34 | 1,105 | ||||||
1,540 | Series 2864, Class NB, 5.500%, 07/15/33 | 1,733 | ||||||
3,617 | Series 2864, Class NS, IO, 6.893%, 09/15/34 | 380 | ||||||
1,219 | Series 2888, Class IN, IO, 5.000%, 10/15/18 | 51 | ||||||
1,502 | Series 2912, Class EH, 5.500%, 01/15/35 | 1,734 | ||||||
60 | Series 2915, Class SY, 15.731%, 01/15/35 | 61 | ||||||
273 | Series 2931, Class GA, 5.000%, 11/15/28 | 276 | ||||||
123 | Series 2980, Class QB, 6.500%, 05/15/35 | 142 | ||||||
1,680 | Series 2989, Class TG, 5.000%, 06/15/25 | 1,863 | ||||||
301 | Series 2990, Class SL, HB, IF, 23.734%, 06/15/34 | 435 | ||||||
3,685 | Series 2994, Class SC, IO, 5.393%, 02/15/33 | 388 | ||||||
681 | Series 2995, Class FT, VAR, 0.457%, 05/15/29 | 678 | ||||||
361 | Series 3005, Class PV, 12.403%, 10/15/33 | 417 | ||||||
1,287 | Series 3028, Class ME, 5.000%, 02/15/34 | 1,422 | ||||||
494 | Series 3031, Class BN, HB, IF, 21.066%, 08/15/35 | 644 | ||||||
982 | Series 3059, Class B, 5.000%, 02/15/35 | 1,089 | ||||||
1,000 | Series 3064, Class OG, 5.500%, 06/15/34 | 1,110 | ||||||
145 | Series 3068, Class AO, PO, 01/15/35 | 139 | ||||||
2,476 | Series 3080, Class TZ, 5.500%, 02/15/33 | 2,572 | ||||||
861 | Series 3117, Class EO, PO, 02/15/36 | 796 | ||||||
416 | Series 3134, Class PO, PO, 03/15/36 | 380 | ||||||
489 | Series 3138, Class PO, PO, 04/15/36 | 437 | ||||||
1,505 | Series 3151, Class PD, 6.000%, 11/15/34 | 1,639 | ||||||
1,161 | Series 3152, Class MO, PO, 03/15/36 | 1,033 | ||||||
1,595 | Series 3184, Class YO, PO, 03/15/36 | 1,209 | ||||||
1,800 | Series 3189, Class PC, 6.000%, 08/15/35 | 2,017 | ||||||
4,847 | Series 3201, Class IN, IO, 6.043%, 08/15/36 | 738 | ||||||
5,638 | Series 3202, Class HI, IO, 6.443%, 08/15/36 | 899 | ||||||
785 | Series 3219, Class OD, 6.000%, 06/15/33 | 851 | ||||||
1,581 | Series 3219, Class PD, 6.000%, 11/15/35 | 1,798 | ||||||
2,000 | Series 3274, Class B, 6.000%, 02/15/37 | 2,249 | ||||||
974 | Series 3292, Class DO, PO, 03/15/37 | 885 | ||||||
4,755 | Series 3305, Class IW, IO, 6.243%, 04/15/37 | 685 | ||||||
279 | Series 3306, Class TB, 2.957%, 04/15/37 | 286 | ||||||
246 | Series 3306, Class TC, 2.417%, 04/15/37 | 249 | ||||||
577 | Series 3331, Class PO, PO, 06/15/37 | 492 | ||||||
1,455 | Series 3336, Class GD, 5.000%, 04/15/36 | 1,537 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 79 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,021 | Series 3383, Class OP, PO, 11/15/37 | 943 | ||||||
1,999 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 15 | ||||||
2,212 | Series 3531, Class SM, IO, 5.893%, 05/15/39 | 304 | ||||||
426 | Series 3542, Class TN, 6.000%, 07/15/36 | 414 | ||||||
534 | Series 3546, Class A, VAR, 5.929%, 02/15/39 | 577 | ||||||
1,267 | Series 3572, Class JS, IO, 6.593%, 09/15/39 | 207 | ||||||
1,086 | Series 3605, Class NC, 5.500%, 06/15/37 | 1,257 | ||||||
2,950 | Series 3609, Class SA, IO, 6.133%, 12/15/39 | 696 | ||||||
1,136 | Series 3610, Class CA, 4.500%, 12/15/39 | 1,240 | ||||||
780 | Series 3611, Class PO, PO, 07/15/34 | 701 | ||||||
1,778 | Series 3620, Class TV, 5.500%, 12/15/20 | 1,911 | ||||||
1,169 | Series 3653, Class HJ, 5.000%, 04/15/40 | 1,288 | ||||||
970 | Series 3688, Class GT, VAR, 7.157%, 11/15/46 | 1,123 | ||||||
2,822 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 415 | ||||||
1,307 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 1,518 | ||||||
654 | Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27 | 557 | ||||||
905 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-76, Class 2A, VAR, 4.787%, 10/25/37 | 932 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
2,270 | Series 2011-M2, Class A2, 3.645%, 07/25/21 | 2,304 | ||||||
1,680 | Series 2011-M4, Class A2, 3.726%, 06/25/21 | 1,703 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
50,931 | Series 2001-T12, Class IO, IO, VAR, 0.539%, 08/25/41 | 819 | ||||||
1,250 | Series 2002-T19, Class A1, 6.500%, 07/25/42 | 1,396 | ||||||
2,079 | Series 2002-T4, Class A4, 9.500%, 12/25/41 | 2,503 | ||||||
97,840 | Series 2002-T4, Class IO, IO, VAR, 0.439%, 12/25/41 | — | (h) | |||||
1,019 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,146 | ||||||
677 | Series 2004-T2, Class 1A3, 7.000%, 11/25/43 | 772 | ||||||
785 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 918 | ||||||
11,282 | Series 2004-T3, Class 1IO4, IO, VAR, 0.597%, 02/25/44 | 180 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
4,220 | Series 203, Class 2, IO, 8.000%, 02/01/23 | 880 | ||||||
707 | Series 266, Class 2, IO, 7.500%, 08/01/24 | 135 | ||||||
1,250 | Series 348, Class 30, IO, 5.500%, 12/01/18 | 153 | ||||||
1,199 | Series 348, Class 31, IO, VAR, 5.500%, 12/01/18 | 140 | ||||||
984 | Series 356, Class 42, IO, 5.500%, 12/01/19 | 121 | ||||||
2,309 | Series 380, Class S36, IO, 7.682%, 07/25/37 | 366 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
1,287 | Series 383, Class 68, IO, 6.500%, 09/01/37 | 249 | ||||||
2,002 | Series 383, Class 69, IO, VAR, 6.500%, 10/01/37 | 325 | ||||||
580 | Series 383, Class 86, IO, VAR, 7.000%, 09/01/37 | 91 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
14 | Series 1988-13, Class C, 9.300%, 05/25/18 | 16 | ||||||
130 | Series 1989-72, Class E, 9.350%, 10/25/19 | 151 | ||||||
5 | Series 1989-98, Class H, 11.500%, 12/25/19 | 6 | ||||||
8 | Series 1990-1, Class D, 8.800%, 01/25/20 | 9 | ||||||
10 | Series 1990-110, Class H, 8.750%, 09/25/20 | 11 | ||||||
8 | Series 1990-117, Class E, 8.950%, 10/25/20 | 9 | ||||||
79 | Series 1991-141, Class PZ, 8.000%, 10/25/21 | 90 | ||||||
40 | Series 1992-31, Class M, 7.750%, 03/25/22 | 47 | ||||||
44 | Series 1992-79, Class Z, 9.000%, 06/25/22 | 51 | ||||||
31 | Series 1992-101, Class J, 7.500%, 06/25/22 | 33 | ||||||
400 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 460 | ||||||
455 | Series 1992-200, Class SK, HB, IF, 22.086%, 11/25/22 | 686 | ||||||
34 | Series 1993-23, Class PZ, 7.500%, 03/25/23 | 39 | ||||||
269 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 308 | ||||||
146 | Series 1993-60, Class Z, 7.000%, 05/25/23 | 166 | ||||||
312 | Series 1993-79, Class PL, 7.000%, 06/25/23 | 357 | ||||||
499 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 574 | ||||||
244 | Series 1993-149, Class M, 7.000%, 08/25/23 | 280 | ||||||
899 | Series 1993-160, Class ZA, 6.500%, 09/25/23 | 1,017 | ||||||
87 | Series 1993-165, Class SA, 19.240%, 09/25/23 | 118 | ||||||
9 | Series 1993-205, Class H, PO, 09/25/23 | 8 | ||||||
81 | Series 1993-247, Class SM, HB, IF, 24.927%, 12/25/23 | 128 | ||||||
88 | Series 1993-255, Class E, 7.100%, 12/25/23 | 101 | ||||||
92 | Series 1993-257, Class C, PO, 06/25/23 | 89 | ||||||
149 | Series 1994-1, Class L, 6.500%, 01/25/14 | 156 | ||||||
2,212 | Series 1994-23, Class PX, 6.000%, 08/25/23 | 2,341 | ||||||
124 | Series 1994-65, Class PK, PO, 04/25/24 | 115 | ||||||
417 | Series 1995-4, Class Z, 7.500%, 10/25/22 | 497 | ||||||
649 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 775 | ||||||
44 | Series 1996-59, Class K, 6.500%, 07/25/23 | 45 | ||||||
132 | Series 1997-11, Class E, 7.000%, 03/18/27 | 153 | ||||||
494 | Series 1997-20, Class D, 7.000%, 03/17/27 | 565 | ||||||
59 | Series 1997-27, Class J, 7.500%, 04/18/27 | 66 | ||||||
1,414 | Series 1997-37, Class SM, IO, 7.750%, 12/25/22 | 277 | ||||||
500 | Series 1997-42, Class EG, 8.000%, 07/18/27 | 609 | ||||||
788 | Series 1997-63, Class ZA, 6.500%, 09/18/27 | 901 |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
730 | Series 1998-66, Class FB, VAR, 0.568%, 12/25/28 | 730 | ||||||
1,326 | Series 1999-47, Class JZ, 8.000%, 09/18/29 | 1,601 | ||||||
403 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 466 | ||||||
581 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 639 | ||||||
146 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 151 | ||||||
907 | Series 2001-14, Class Z, 6.000%, 05/25/31 | 1,025 | ||||||
1,069 | Series 2001-16, Class Z, 6.000%, 05/25/31 | 1,211 | ||||||
759 | Series 2001-36, Class ST, IO, 8.282%, 11/25/30 | 171 | ||||||
2,687 | Series 2001-72, Class SB, IO, 7.282%, 12/25/31 | 556 | ||||||
514 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 550 | ||||||
202 | Series 2002-19, Class SC, 13.807%, 03/17/32 | 265 | ||||||
475 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 521 | ||||||
531 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 572 | ||||||
224 | Series 2002-73, Class AN, 5.000%, 11/25/17 | 241 | ||||||
95 | Series 2003-8, Class QD, 5.000%, 09/25/16 | 95 | ||||||
1,700 | Series 2003-14, Class EH, IO, 7.382%, 03/25/18 | 209 | ||||||
1,100 | Series 2003-17, Class EQ, 5.500%, 03/25/23 | 1,275 | ||||||
1,000 | Series 2003-18, Class GT, 5.000%, 03/25/18 | 1,104 | ||||||
1,978 | Series 2003-30, Class IP, IO, 5.750%, 08/25/32 | 139 | ||||||
2,000 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,265 | ||||||
10 | Series 2003-60, Class DA, 4.250%, 06/25/21 | 10 | ||||||
1,195 | Series 2003-64, Class KS, 9.401%, 07/25/18 | 1,331 | ||||||
310 | Series 2003-64, Class SX, 13.279%, 07/25/33 | 342 | ||||||
900 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 927 | ||||||
1,894 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 2,056 | ||||||
62 | Series 2003-91, Class SD, 12.136%, 09/25/33 | 72 | ||||||
1,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 1,110 | ||||||
2,000 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 2,149 | ||||||
2,471 | Series 2003-109, Class TS, IO, 6.882%, 08/25/22 | 178 | ||||||
344 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 355 | ||||||
9,247 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 9,896 | ||||||
1,000 | Series 2004-8, Class GD, 4.500%, 10/25/32 | 1,085 | ||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,072 | ||||||
98 | Series 2004-22, Class A, 4.000%, 04/25/19 | 100 | ||||||
909 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 974 | ||||||
608 | Series 2004-72, Class F, VAR, 0.718%, 09/25/34 | 610 | ||||||
305 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 | 8 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
1,000 | Series 2004-101, Class PD, 5.000%, 06/25/30 | 1,039 | ||||||
171 | Series 2005-42, Class PS, 16.454%, 05/25/35 | 203 | ||||||
950 | Series 2005-51, Class MO, PO, 06/25/35 | 715 | ||||||
3,465 | Series 2005-53, Class CS, IO, 6.482%, 06/25/35 | 861 | ||||||
2,275 | Series 2005-59, Class PC, 5.500%, 03/25/31 | 2,374 | ||||||
525 | Series 2005-65, Class KO, PO, 08/25/35 | 487 | ||||||
6,800 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 7,496 | ||||||
5,683 | Series 2005-72, Class WS, IO, 6.532%, 08/25/35 | 732 | ||||||
1,246 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,388 | ||||||
403 | Series 2005-90, Class ES, 16.329%, 10/25/35 | 478 | ||||||
1,094 | Series 2005-97, Class B, 5.500%, 11/25/35 | 1,219 | ||||||
424 | Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35 | 638 | ||||||
515 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 557 | ||||||
2,514 | Series 2006-20, Class IB, IO, 6.372%, 04/25/36 | 373 | ||||||
667 | Series 2006-22, Class AO, PO, 04/25/36 | 604 | ||||||
697 | Series 2006-27, Class OH, PO, 04/25/36 | 652 | ||||||
877 | Series 2006-46, Class LI, IO, 6.000%, 02/25/34 | 39 | ||||||
1,194 | Series 2006-59, Class QO, PO, 01/25/33 | 1,120 | ||||||
987 | Series 2006-61, Class AP, 6.000%, 08/25/35 | 1,083 | ||||||
2,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 2,931 | ||||||
1,680 | Series 2006-110, Class PO, PO, 11/25/36 | 1,541 | ||||||
394 | Series 2006-114, Class DS, VAR, 12/25/36 | 371 | ||||||
1,860 | Series 2006-114, Class HD, 5.500%, 10/25/35 | 2,087 | ||||||
113 | Series 2006-115, Class OM, PO, 12/25/36 | 109 | ||||||
627 | Series 2006-128, Class PO, PO, 01/25/37 | 561 | ||||||
881 | Series 2007-10, Class Z, 6.000%, 02/25/37 | 1,013 | ||||||
2,189 | Series 2007-22, Class SC, IO, 5.862%, 03/25/37 | 309 | ||||||
1,990 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 2,061 | ||||||
816 | Series 2007-68, Class IA, IO, 6.500%, 06/25/37 | 144 | ||||||
1,600 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 1,687 | ||||||
1,071 | Series 2007-100, Class ND, 5.750%, 10/25/35 | 1,163 | ||||||
492 | Series 2007-100, Class SM, IO, 6.232%, 10/25/37 | 79 | ||||||
1,165 | Series 2008-24, Class VB, 5.000%, 09/25/25 | 1,286 | ||||||
6,081 | Series 2008-62, Class SM, IO, 5.982%, 07/25/38 | 905 | ||||||
852 | Series 2008-68, Class VK, 5.500%, 03/25/27 | 954 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 81 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,075 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 1,190 | ||||||
17,396 | Series 2008-91, Class SI, IO, 5.782%, 03/25/38 | 2,027 | ||||||
1,266 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 122 | ||||||
1,225 | Series 2009-17, Class AI, IO, 5.000%, 03/25/24 | 125 | ||||||
3,012 | Series 2009-23, Class MI, IO, 4.500%, 04/25/24 | 267 | ||||||
1,528 | Series 2009-29, Class LA, VAR, 4.453%, 05/25/39 | 1,543 | ||||||
3,284 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 476 | ||||||
1,541 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 1,699 | ||||||
7,830 | Series 2009-112, Class ST, IO, 6.032%, 01/25/40 | 904 | ||||||
5,147 | Series 2009-112, Class SW, IO, 6.032%, 01/25/40 | 594 | ||||||
1,381 | Series 2010-10, Class NT, 5.000%, 02/25/40 | 1,549 | ||||||
1,785 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 1,964 | ||||||
10,664 | Series 2010-35, Class SB, IO, 6.202%, 04/25/40 | 1,293 | ||||||
2,718 | Series 2010-43, Class CI, IO, 4.500%, 02/25/25 | 246 | ||||||
219 | Series 2010-45, Class PO, PO, 05/25/40 | 211 | ||||||
1,497 | Series 2010-49, Class SC, 12.223%, 03/25/40 | 1,744 | ||||||
1,004 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 1,087 | ||||||
1,559 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 1,660 | ||||||
1,879 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 2,116 | ||||||
32 | Series G-29, Class O, 8.500%, 09/25/21 | 37 | ||||||
1 | Series G92-15, Class Z, 7.000%, 01/25/22 | 1 | ||||||
20 | Series G92-30, Class Z, 7.000%, 06/25/22 | 22 | ||||||
41 | Series G92-62, Class B, PO, 10/25/22 | 34 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
949 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 1,132 | ||||||
13,147 | Series 2002-W10, Class IO, IO, VAR, 0.975%, 08/25/42 | 250 | ||||||
19,140 | Series 2002-W7, Class IO1, IO, VAR, 0.930%, 06/25/29 | 407 | ||||||
39 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 | 43 | ||||||
414 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 462 | ||||||
535 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 | 593 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
37,910 | Series 2004-W11, Class 1IO1, IO, VAR, 0.353%, 05/25/44 | 379 | ||||||
1,223 | Series 2004-W2, Class 1A, 6.000%, 02/25/44 | 1,372 | ||||||
219 | Series 2004-W2, Class 1A3F, VAR, 0.568%, 02/25/44 | 217 | ||||||
328 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 380 | ||||||
1,088 | Series 2004-W6, Class 3A4, 6.500%, 07/25/34 | 1,215 | ||||||
765 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 893 | ||||||
1,250 | Series 2004-W9, Class 1A3, 6.050%, 02/25/44 | 1,390 | ||||||
1,398 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,568 | ||||||
Government National Mortgage Association, | ||||||||
175 | Series 1997-7, Class ZA, 9.000%, 05/16/27 | 205 | ||||||
204 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 233 | ||||||
2,678 | Series 1999-15, Class S, IO, 7.992%, 05/16/29 | 613 | ||||||
44 | Series 1999-43, Class TA, 9.350%, 11/16/29 | 48 | ||||||
498 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 581 | ||||||
308 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 360 | ||||||
232 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 270 | ||||||
2,762 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 3,359 | ||||||
1,915 | Series 2002-13, Class QA, IO, 7.842%, 02/16/32 | 437 | ||||||
1,091 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 1,282 | ||||||
61 | Series 2002-47, Class HM, 6.000%, 07/16/32 | 69 | ||||||
6,618 | Series 2002-68, Class SC, IO, 5.492%, 10/16/32 | 1,148 | ||||||
1,880 | Series 2002-84, Class PH, 6.000%, 11/16/32 | 2,189 | ||||||
703 | Series 2003-4, Class TI, IO, 5.500%, 05/16/31 | 20 | ||||||
1,174 | Series 2003-18, Class PG, 5.500%, 03/20/33 | 1,357 | ||||||
303 | Series 2003-52, Class SB, 11.185%, 06/16/33 | 354 | ||||||
890 | Series 2003-79, Class PV, 5.500%, 10/20/23 | 999 | ||||||
5,516 | Series 2003-101, Class SK, IO, 6.352%, 10/17/33 | 1,110 | ||||||
240 | Series 2004-2, Class SA, 19.843%, 01/16/34 | 388 | ||||||
7,799 | Series 2004-59, Class SG, IO, 6.287%, 07/20/34 | 1,237 | ||||||
57 | Series 2004-73, Class AE, 14.425%, 08/17/34 | 71 | ||||||
3,711 | Series 2004-86, Class SP, IO, 5.887%, 09/20/34 | 504 | ||||||
2,567 | Series 2004-90, Class SI, IO, 5.887%, 10/20/34 | 369 | ||||||
4,734 | Series 2004-105, Class SN, IO, 5.887%, 12/20/34 | 722 |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
7,004 | Series 2005-3, Class SD, IO, 5.887%, 01/20/31 | 475 | ||||||
5,600 | Series 2005-48, Class CS, IO, 6.087%, 04/20/33 | 518 | ||||||
479 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 95 | ||||||
8,496 | Series 2006-23, Class S, IO, 6.287%, 01/20/36 | 1,156 | ||||||
6,346 | Series 2006-26, Class S, IO, 6.287%, 06/20/36 | 1,074 | ||||||
723 | Series 2006-59, Class PC, 5.500%, 04/20/35 | 792 | ||||||
7,890 | Series 2007-7, Class EI, IO, 5.987%, 02/20/37 | 1,202 | ||||||
3,503 | Series 2007-9, Class CI, IO, 5.987%, 03/20/37 | 508 | ||||||
6,206 | Series 2007-16, Class KU, IO, 6.437%, 04/20/37 | 908 | ||||||
441 | Series 2007-17, Class JO, PO, 04/16/37 | 366 | ||||||
1,000 | Series 2007-22, Class PK, 5.500%, 04/20/37 | 1,164 | ||||||
7,306 | Series 2007-24, Class SA, IO, 6.297%, 05/20/37 | 1,151 | ||||||
2,290 | Series 2007-26, Class SC, IO, 5.987%, 05/20/37 | 363 | ||||||
1,641 | Series 2007-67, Class SI, IO, 6.297%, 11/20/37 | 237 | ||||||
498 | Series 2008-29, Class PO, PO, 02/17/33 | 434 | ||||||
226 | Series 2008-34, Class OC, PO, 06/20/37 | 135 | ||||||
2,003 | Series 2008-40, Class PS, IO, 6.292%, 05/16/38 | 317 | ||||||
3,760 | Series 2008-40, Class SA, IO, 6.192%, 05/16/38 | 759 | ||||||
517 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 553 | ||||||
10,703 | Series 2008-50, Class SA, IO, 6.017%, 06/20/38 | 1,565 | ||||||
1,980 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 716 | ||||||
6,769 | Series 2009-16, Class SJ, IO, 6.587%, 05/20/37 | 1,048 | ||||||
3,796 | Series 2009-72, Class SM, IO, 6.042%, 08/16/39 | 498 | ||||||
293 | Series 2009-75, Class IY, IO, 5.500%, 06/20/39 | 124 | ||||||
5,614 | Series 2009-77, Class CS, IO, 6.792%, 06/16/38 | 883 | ||||||
1,155 | Series 2009-79, Class OK, PO, 11/16/37 | 978 | ||||||
2,388 | Series 2009-83, Class TS, IO, 5.887%, 08/20/39 | 309 | ||||||
3,957 | Series 2009-106, Class XL, IO, 6.537%, 06/20/37 | 602 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
5,704 | Series 2010-4, Class SB, IO, 6.292%, 08/16/39 | 757 | ||||||
803 | Series 2010-14, Class DO, PO, 03/20/36 | 737 | ||||||
992 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 1,084 | ||||||
1,497 | Series 2010-31, Class SK, IO, 5.887%, 11/20/34 | 207 | ||||||
1,500 | Series 2010-107, Class AY, 5.000%, 10/20/36 | 1,660 | ||||||
1,600 | Series 2010-157, Class OP, PO, 12/20/40 | 1,261 | ||||||
NCUA Guaranteed Notes, | ||||||||
3,854 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 3,999 | ||||||
448 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 461 | ||||||
Vendee Mortgage Trust, | ||||||||
1,161 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,365 | ||||||
3,022 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,545 | ||||||
424 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 500 | ||||||
|
| |||||||
287,537 | ||||||||
|
| |||||||
Non-Agency CMO — 8.3% | ||||||||
ABN Amro Mortgage Corp., | ||||||||
656 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 657 | ||||||
1,235 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 1,253 | ||||||
Adjustable Rate Mortgage Trust, | ||||||||
— | (h) | Series 2005-4, Class 7A2, VAR, 0.448%, 08/25/35 | — | (h) | ||||
294 | Series 2005-5, Class 6A21, VAR, 0.448%, 09/25/35 | 225 | ||||||
American General Mortgage Loan Trust, | ||||||||
1,503 | Series 2006-1, Class A5, VAR, 5.736%, 12/25/35 (e) | 1,548 | ||||||
2,540 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 2,550 | ||||||
3,000 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 3,043 | ||||||
4,943 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35 | 1,921 | ||||||
244 | ASG Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e) | 242 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
650 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 652 | ||||||
659 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 667 | ||||||
Banc of America Funding Corp., | ||||||||
1,500 | Series 2005-5, Class 3A5, 5.500%, 08/25/35 | 1,243 | ||||||
461 | Series 2005-7, Class 30PO, PO, 11/25/35 | 362 | ||||||
1,962 | Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35 | 1,764 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 83 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (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 |
| |||||||
Banc of America Mortgage Securities, Inc., | ||||||||
2,030 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 2,083 | ||||||
833 | Series 2003-4, Class 1B1, 5.500%, 06/25/33 | 773 | ||||||
426 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 439 | ||||||
389 | Series 2004-2, Class 2A4, 5.500%, 03/25/34 | 364 | ||||||
3,055 | Series 2004-3, Class 2A1, 5.500%, 04/25/34 | 3,112 | ||||||
1,181 | Series 2004-5, Class 3A3, 5.000%, 06/25/19 | 1,217 | ||||||
496 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 510 | ||||||
677 | Series 2004-7, Class 2A2, 5.750%, 08/25/34 | 691 | ||||||
253 | Series 2004-8, Class XPO, PO, 10/25/34 | 214 | ||||||
8 | Series 2004-11, Class 15PO, PO, 01/25/20 | 8 | ||||||
918 | Series 2004-F, Class 1A1, VAR, 2.748%, 07/25/34 | 824 | ||||||
197 | Series 2005-1, Class 15PO, PO, 02/25/20 | 178 | ||||||
504 | Series 2005-1, Class 1A17, 5.500%, 02/25/35 | 494 | ||||||
1,303 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 1,303 | ||||||
180 | Series 2005-10, Class 15PO, PO, 11/25/20 | 163 | ||||||
291 | Series 2005-11, Class 15PO, PO, 12/25/20 | 265 | ||||||
71 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 71 | ||||||
BCAP LLC Trust, | ||||||||
444 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 452 | ||||||
1,352 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 1,355 | ||||||
1,524 | Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e) | 1,408 | ||||||
1,418 | Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e) | 1,402 | ||||||
1,930 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 1,843 | ||||||
325 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33 | 302 | ||||||
8 | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 7.177%, 03/25/31 | 9 | ||||||
269 | Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.250%, 10/25/33 | 271 | ||||||
Chase Mortgage Finance Corp., | ||||||||
473 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 487 | ||||||
658 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 683 | ||||||
1,118 | Series 2004-S1, Class M, VAR, 5.093%, 02/25/19 | 990 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
678 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 684 | ||||||
1,007 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,051 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
718 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 711 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
92 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 85 | ||||||
224 | Series 2004-HYB4, Class AA, VAR, 0.548%, 12/25/34 | 177 | ||||||
694 | Series 2004-UST1, Class A3, VAR, 2.397%, 08/25/34 | 666 | ||||||
167 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 | 168 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
391 | Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 410 | ||||||
1,529 | Series 2004-16CB, Class 2A2, 5.000%, 08/25/19 | 1,551 | ||||||
382 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 391 | ||||||
1,469 | Series 2004-22CB, Class 1A1, 6.000%, 10/25/34 | 1,446 | ||||||
1,368 | Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35 | 1,381 | ||||||
493 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 502 | ||||||
800 | Series 2005-23CB, Class A2, 5.500%, 07/25/35 | 619 | ||||||
5,500 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 4,547 | ||||||
1,966 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 1,395 | ||||||
261 | Series 2005-J6, Class 2A1, 5.500%, 07/25/25 | 246 | ||||||
95 | Series 2005-J7, Class 1A9, 5.500%, 07/25/35 | 36 | ||||||
499 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 327 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
279 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 289 | ||||||
998 | Series 2003-40, Class A3, 4.500%, 10/25/18 | 1,020 | ||||||
1,090 | Series 2003-50, Class A1, 5.000%, 11/25/18 | 1,121 | ||||||
188 | Series 2003-J7, Class 2A13, 5.000%, 08/25/33 | 179 | ||||||
1,129 | Series 2004-3, Class A25, 5.750%, 04/25/34 | 1,073 | ||||||
2,463 | Series 2004-4, Class A13, 5.250%, 05/25/34 | 2,528 | ||||||
1,306 | Series 2004-5, Class 2A9, 5.250%, 05/25/34 | 1,339 | ||||||
2,013 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 2,049 | ||||||
1,365 | Series 2004-J1, Class 2A1, 4.750%, 01/25/19 | 1,396 | ||||||
416 | Series 2005-13, Class A2, 5.500%, 06/25/35 | 410 | ||||||
1,320 | Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35 | 833 |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
770 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 763 | ||||||
1,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,365 | ||||||
997 | Series 2010-20R, Class 2A3, VAR, 3.500%, 06/27/37 (e) | 817 | ||||||
1,856 | Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e) | 1,855 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
346 | Series 2003-29, Class 8A1, 6.000%, 11/25/18 | 355 | ||||||
3,227 | Series 2004-4, Class 5A4, IO, 7.332%, 08/25/34 | 427 | ||||||
1,000 | Series 2005-1, Class 1A16, 5.500%, 02/25/35 | 800 | ||||||
567 | Series 2005-7, Class 5A1, 4.750%, 08/25/20 | 572 | ||||||
462 | Series 2005-10, Class 10A4, 6.000%, 11/25/35 | 258 | ||||||
881 | Series 2005-10, Class 6A13, 5.500%, 11/25/35 | 662 | ||||||
219 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35 | 127 | ||||||
880 | DLJ Mortgage Acceptance Corp., Series 1993-19, Class A7, 6.750%, 01/25/24 | 891 | ||||||
718 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.208%, 09/25/34 | 612 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
255 | Series 2003-8, Class 1A43, PO, 10/25/33 | 158 | ||||||
1,211 | Series 2004-AR6, Class 2A1, VAR, 2.758%, 12/25/34 | 1,084 | ||||||
200 | Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35 | 188 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
2,114 | Series 2003-J10, Class A1, 4.750%, 01/25/19 | 2,180 | ||||||
588 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 620 | ||||||
325 | Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35 | 258 | ||||||
GSR Mortgage Loan Trust, | ||||||||
574 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 566 | ||||||
1,697 | Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 1,765 | ||||||
898 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 958 | ||||||
742 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 784 | ||||||
3,384 | Series 2005-2F, Class 1A5, 5.500%, 03/25/35 | 3,428 | ||||||
776 | Series 2005-5F, Class 8A1, VAR, 0.718%, 06/25/35 | 754 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued | ||||||||
1,000 | Series 2007-2F, Class 2A7, 5.750%, 02/25/37 | 916 | ||||||
Impac CMB Trust, | ||||||||
1,628 | Series 2004-10, Class 3A1, VAR, 0.918%, 03/25/35 | 1,221 | ||||||
987 | Series 2004-10, Class 3A2, VAR, 1.018%, 03/25/35 | 555 | ||||||
28 | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33 | 30 | ||||||
JP Morgan Mortgage Trust, | ||||||||
2,247 | Series 2004-S1, Class 3A1, 5.500%, 09/25/34 | 2,324 | ||||||
1,345 | Series 2004-S2, Class 4A5, 6.000%, 11/25/34 | 1,327 | ||||||
1,309 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 1,322 | ||||||
1,793 | Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34 | 1,696 | ||||||
1,298 | Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33 | 1,257 | ||||||
397 | Series 2007-A1, Class 5A2, VAR, 2.907%, 07/25/35 | 358 | ||||||
972 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.285%, 08/26/35 (e) | 932 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
448 | Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34 | 420 | ||||||
310 | Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34 | 305 | ||||||
MASTR Alternative Loans Trust, | ||||||||
650 | Series 2003-7, Class 4A3, 8.000%, 11/25/18 | 690 | ||||||
329 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 334 | ||||||
882 | Series 2003-9, Class 5A1, 4.500%, 12/25/18 | 904 | ||||||
1,268 | Series 2004-6, Class 6A1, 6.500%, 07/25/34 | 1,340 | ||||||
196 | Series 2004-7, Class 30PO, PO, 08/25/34 | 121 | ||||||
97 | Series 2004-7, Class 3A1, 6.500%, 08/25/34 | 99 | ||||||
912 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 926 | ||||||
1,562 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,589 | ||||||
412 | Series 2004-11, Class 8A3, 5.500%, 11/25/19 | 415 | ||||||
72 | Series 2005-1, Class 5A1, 5.500%, 01/25/20 | 74 | ||||||
MASTR Asset Securitization Trust, | ||||||||
86 | Series 2003-6, Class 8A1, 5.500%, 07/25/33 | 88 | ||||||
561 | Series 2003-10, Class 3A1, 5.500%, 11/25/33 | 584 | ||||||
209 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 213 | ||||||
352 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 358 | ||||||
130 | Series 2004-6, Class 15PO, PO, 05/25/19 | 119 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 85 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (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 |
| |||||||
884 | Series 2004-6, Class 3A1, 5.250%, 07/25/19 | 906 | ||||||
432 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 445 | ||||||
203 | Series 2004-8, Class PO, PO, 08/25/19 | 189 | ||||||
331 | Series 2004-10, Class 1A1, 4.500%, 10/25/19 | 344 | ||||||
1,818 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 1,925 | ||||||
308 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 210 | ||||||
— | (h) | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.498%, 08/25/35 | —(h) | |||||
MLCC Mortgage Investors, Inc., | ||||||||
1,090 | Series 2004-C, Class A2, VAR, 0.996%, 07/25/29 | 975 | ||||||
842 | Series 2004-D, Class A3, VAR, 2.109%, 08/25/29 | 766 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
1,552 | Series 2004-3, Class 4A, VAR, 5.651%, 04/25/34 | 1,570 | ||||||
542 | Series 2004-7AR, Class 2A6, VAR, 2.477%, 09/25/34 | 473 | ||||||
430 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35 | 332 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
348 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 351 | ||||||
1,216 | Series 2005-AR1, Class 1A1, VAR, 2.662%, 02/25/35 | 933 | ||||||
Paine Webber CMO Trust, | ||||||||
9 | Series H, Class 4, 8.750%, 04/01/18 | 10 | ||||||
9 | Series L, Class 4, 8.950%, 07/01/18 | 10 | ||||||
2,554 | PHH Mortgage Capital LLC, Series 2008-CIM2, Class 5A1, 6.000%, 07/25/38 | 2,618 | ||||||
792 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 834 | ||||||
Residential Accredit Loans, Inc., | ||||||||
890 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 906 | ||||||
1,456 | Series 2003-QS19, Class NB2, 5.750%, 10/25/33 | 1,369 | ||||||
394 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 395 | ||||||
4,000 | Series 2005-QS5, Class A4, 5.750%, 04/25/35 | 2,900 | ||||||
419 | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 293 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
Residential Funding Mortgage Securities I, | ||||||||
774 | Series 2004-S4, Class 2A7, 4.500%, 04/25/19 | 781 | ||||||
530 | Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35 | 359 | ||||||
4,181 | Series 2006-S1, Class 1A8, 5.750%, 01/25/36 | 3,746 | ||||||
286 | Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18 | 293 | ||||||
97 | SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) | 100 | ||||||
1,645 | Sequoia Mortgage Trust, Series 2004-8, Class A2, VAR, 0.833%, 09/20/34 | 1,390 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
654 | Series 2004-14, Class 1A, VAR, 2.690%, 10/25/34 | 547 | ||||||
606 | Series 2005-5, Class A1, VAR, 0.448%, 05/25/35 | 519 | ||||||
282 | Series 2005-5, Class A2, VAR, 0.448%, 05/25/35 | 242 | ||||||
Structured Asset Securities Corp., | ||||||||
88 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 89 | ||||||
4,559 | Series 2003-26A, Class 3A5, VAR, 2.466%, 09/25/33 | 3,894 | ||||||
935 | Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33 | 355 | ||||||
729 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 738 | ||||||
700 | Series 2003-37A, Class 2A, VAR, 5.013%, 12/25/33 | 694 | ||||||
544 | Series 2004-7, Class 2A1, VAR, 5.421%, 05/25/24 | 564 | ||||||
1,433 | Series 2005-5, Class 2A1, 5.500%, 04/25/35 | 1,401 | ||||||
1,331 | Vericrest Opportunity Loan Transferee, Series 2011-NL1A, Class A1, 5.926%, 12/26/50 (e) (f) (i) | 1,332 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
377 | Series 2002-S4, Class A4, 6.500%, 10/19/29 | 392 | ||||||
382 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 392 | ||||||
910 | Series 2003-AR8, Class A, VAR, 2.476%, 08/25/33 | 858 | ||||||
648 | Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33 | 613 | ||||||
180 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 | 188 | ||||||
280 | Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34 | 276 | ||||||
2,590 | Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34 | 2,554 |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
660 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 691 | ||||||
645 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 667 | ||||||
1,823 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 1,822 | ||||||
193 | Series 2005-AR2, Class 2A21, VAR, 0.548%, 01/25/45 | 144 | ||||||
1,784 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,472 | ||||||
1,897 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.000%, 03/25/34 | 1,960 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
436 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 449 | ||||||
141 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 145 | ||||||
211 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 211 | ||||||
588 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 604 | ||||||
1,177 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 1,215 | ||||||
391 | Series 2003-17, Class 2A9, PO, 01/25/34 | 262 | ||||||
369 | Series 2003-18, Class A1, 5.500%, 12/25/33 | 383 | ||||||
748 | Series 2003-F, Class A1, VAR, 4.841%, 06/25/33 | 731 | ||||||
224 | Series 2003-J, Class 2A5, VAR, 4.417%, 10/25/33 | 224 | ||||||
769 | Series 2003-M, Class A1, VAR, 4.691%, 12/25/33 | 771 | ||||||
529 | Series 2004-B, Class A1, VAR, 4.903%, 02/25/34 | 524 | ||||||
320 | Series 2004-DD, Class 2A8, VAR, 2.740%, 01/25/35 | 209 | ||||||
435 | Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34 | 418 | ||||||
600 | Series 2004-EE, Class 3A2, VAR, 2.848%, 12/25/34 | 583 | ||||||
1,319 | Series 2004-K, Class 1A2, VAR, 2.722%, 07/25/34 | 1,316 | ||||||
129 | Series 2004-Q, Class 1A3, VAR, 2.918%, 09/25/34 | 121 | ||||||
467 | Series 2004-Q, Class 2A2, VAR, 2.849%, 09/25/34 | 373 | ||||||
516 | Series 2004-U, Class A1, VAR, 2.798%, 10/25/34 | 485 | ||||||
514 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 529 | ||||||
1,075 | Series 2005-1, Class B1, VAR, 4.921%, 01/25/20 | 1,016 | ||||||
2,175 | Series 2005-9, Class 2A10, 5.250%, 10/25/35 | 1,886 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
776 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 800 | ||||||
148 | Series 2005-AR13, Class A1, VAR, 5.250%, 05/25/35 | 141 | ||||||
840 | Series 2006-5, Class 1A2, 5.250%, 04/25/36 | 844 | ||||||
|
| |||||||
171,499 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 459,036 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 4.1% |
| ||||||
Banc of America Large Loan, Inc., | ||||||||
500 | Series 2009-UB1, Class A4A, VAR, 5.691%, 06/24/50 (e) | 546 | ||||||
1,212 | Series 2010-HLTN, Class HLTN, VAR, 1.957%, 11/15/15 (e) | 1,080 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
1,730 | Series 2005-1, Class AJ, VAR, 5.353%, 11/10/42 | 1,580 | ||||||
1,050 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 1,121 | ||||||
2,435 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 2,347 | ||||||
1,050 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 1,139 | ||||||
1,756 | Series 2005-6, Class ASB, VAR, 5.368%, 09/10/47 | 1,836 | ||||||
485 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 525 | ||||||
3,010 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 3,263 | ||||||
1,005 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 1,086 | ||||||
2,056 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 2,166 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
1,655 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 1,781 | ||||||
406 | Series 2004-T14, Class A3, 4.800%, 01/12/41 | 412 | ||||||
640 | Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41 | 692 | ||||||
2,570 | Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39 | 2,820 | ||||||
75 | Series 2006-PW12, Class A4, VAR, 5.903%, 09/11/38 | 83 | ||||||
250 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 276 | ||||||
1,973 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 1,884 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
1,500 | Series 2005-CD1, Class AM, VAR, 5.399%, 07/15/44 | 1,531 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 87 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
108,054 | Series 2007-CD4, Class XC, IO, VAR, 0.167%, 12/11/49 (e) | 912 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
1,500 | Series 2006-C2, Class A3, VAR, 5.850%, 03/15/39 | 1,590 | ||||||
152,746 | Series 2007-C2, Class AX, IO, VAR, 0.272%, 01/15/49 (e) | 987 | ||||||
2,321 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 2,331 | ||||||
2,180 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 2,322 | ||||||
2,505 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 2,243 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
72 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 73 | ||||||
550 | Series 2005-C1, Class AM, 4.754%, 05/10/43 | 546 | ||||||
645 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 686 | ||||||
2,330 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 2,140 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
2,150 | Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 2,292 | ||||||
465 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 496 | ||||||
793 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 758 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
2,500 | Series 2005-CB11, Class AJ, VAR, 5.457%, 08/12/37 | 2,254 | ||||||
210,245 | Series 2005-CB11, Class X1, IO, VAR, 0.100%, 08/12/37 (e) | 975 | ||||||
2,000 | Series 2005-CB13, Class A4, VAR, 5.455%, 01/12/43 | 2,146 | ||||||
200 | Series 2005-LDP2, Class AM, 4.780%, 07/15/42 | 200 | ||||||
296,791 | Series 2005-LDP5, Class X1, IO, VAR, 0.099%, 12/15/44 (e) | 976 | ||||||
1,000 | Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44 | 1,078 | ||||||
92,241 | Series 2006-CB15, Class X1, IO, VAR, 0.115%, 06/12/43 | 637 | ||||||
2,060 | Series 2006-CB16, Class A4, 5.552%, 05/12/45 | 2,269 | ||||||
285 | Series 2006-CB17, Class A4, 5.429%, 12/12/43 | 302 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
620 | Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43 | 678 | ||||||
160 | Series 2006-LDP7, Class A4, VAR, 6.074%, 04/15/45 | 176 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
1,212 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 1,270 | ||||||
405 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 438 | ||||||
1,060 | Series 2006-C4, Class A4, VAR, 6.067%, 06/15/38 | 1,169 | ||||||
560 | Series 2006-C6, Class A4, 5.372%, 09/15/39 | 606 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
602 | Series 2005-CKI1, Class A6, VAR, 5.392%, 11/12/37 | 662 | ||||||
1,425 | Series 2005-CKI1, Class AM, VAR, 5.392%, 11/12/37 | 1,385 | ||||||
1,750 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 1,905 | ||||||
1,750 | Series 2005-LC1, Class AJ, VAR, 5.505%, 01/12/44 | 1,571 | ||||||
2,000 | Series 2005-LC1, Class AM, VAR, 5.446%, 01/12/44 | 1,965 | ||||||
1,755 | Series 2006-C1, Class A4, VAR, 5.863%, 05/12/39 | 1,939 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
1,725 | Series 2006-1, Class A4, VAR, 5.608%, 02/12/39 | 1,889 | ||||||
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 | 699 | ||||||
1,575 | Series 2006-T23, Class AM, VAR, 5.997%, 08/12/41 | 1,615 | ||||||
105,498 | Series 2007-HQ11, Class X, IO, VAR, 0.404%, 02/12/44 (e) | 882 | ||||||
785 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35 | 813 | ||||||
3,000 | Morgan Stanley Reremic Trust, Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 3,140 | ||||||
1,290 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39 | 1,400 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
932 | Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 995 | ||||||
1,122 | Series 2004-C15, Class A2, 4.039%, 10/15/41 | 1,121 |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
193 | Series 2005-C16, Class AJ, VAR, 4.896%, 10/15/41 | 185 | ||||||
170 | Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 | 182 | ||||||
1,500 | Series 2005-C21, Class AM, VAR, 5.381%, 10/15/44 | 1,477 | ||||||
250 | Series 2006-C25, Class A4, VAR, 5.923%, 05/15/43 | 276 | ||||||
2,500 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 2,454 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 85,539 | |||||||
|
| |||||||
| Convertible Bond — 0.0% (g) |
| ||||||
Materials — 0.0% (g) | ||||||||
Construction Materials — 0.0% (g) | ||||||||
665 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 638 | ||||||
|
| |||||||
| Corporate Bonds — 37.8% |
| ||||||
Consumer Discretionary — 5.0% | ||||||||
Auto Components — 0.0% (g) | ||||||||
890 | Johnson Controls, Inc., 5.700%, 03/01/41 | 953 | ||||||
|
| |||||||
Automobiles — 0.2% | ||||||||
Daimler Finance North America LLC, | ||||||||
2,000 | 7.300%, 01/15/12 | 2,046 | ||||||
320 | 8.500%, 01/18/31 | 440 | ||||||
Ford Motor Co., | ||||||||
220 | 7.450%, 07/16/31 | 241 | ||||||
400 | 9.215%, 09/15/21 | 458 | ||||||
Motors Liquidation Co., | ||||||||
120 | 5.250%, 03/06/32 | 49 | ||||||
385 | 6.250%, 07/15/33 | 158 | ||||||
21 | 7.250%, 04/15/41 | 9 | ||||||
1 | 7.250%, 07/15/41 | — | (h) | |||||
42 | 7.250%, 02/15/52 | 17 | ||||||
55 | 7.375%, 05/15/48 | 23 | ||||||
1 | 7.375%, 10/01/51 | — | (h) | |||||
2,500 | 7.700%, 04/15/16 (d) | 19 | ||||||
250 | Navistar International Corp., 8.250%, 11/01/21 | 258 | ||||||
|
| |||||||
3,718 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 0.7% | ||||||||
2,004 | Adelphia Communications Corp., 9.375%, 11/15/09 (d) | 1 | ||||||
80 | Cablevision Systems Corp., 8.000%, 04/15/20 | 84 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Broadcasting & Cable TV — Continued | ||||||||
350 | CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16 | 404 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
2,000 | 6.500%, 04/30/21 | 1,955 | ||||||
1,075 | 7.000%, 01/15/19 | 1,081 | ||||||
425 | 7.000%, 01/15/19 (e) | 426 | ||||||
1,125 | 7.250%, 10/30/17 | 1,160 | ||||||
125 | 7.875%, 04/30/18 | 130 | ||||||
330 | 8.125%, 04/30/20 | 349 | ||||||
1,280 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 1,331 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., | ||||||||
530 | 5.000%, 03/01/21 | 570 | ||||||
580 | 6.000%, 08/15/40 | 611 | ||||||
DISH DBS Corp., | ||||||||
1,060 | 6.750%, 06/01/21 (e) | 1,068 | ||||||
230 | 7.125%, 02/01/16 | 234 | ||||||
975 | 7.875%, 09/01/19 | 1,036 | ||||||
380 | Insight Communications Co., Inc., 9.375%, 07/15/18 (e) | 434 | ||||||
872 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 881 | ||||||
1,750 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 1,785 | ||||||
1,000 | Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19 | 1,078 | ||||||
|
| |||||||
14,618 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.3% | ||||||||
750 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) | 720 | ||||||
500 | Mac-Gray Corp., 7.625%, 08/15/15 | 504 | ||||||
Service Corp. International, | ||||||||
495 | 7.000%, 06/15/17 | 517 | ||||||
700 | 7.000%, 05/15/19 | 716 | ||||||
2,073 | 7.625%, 10/01/18 | 2,218 | ||||||
Stewart Enterprises, Inc., | ||||||||
165 | 3.125%, 07/15/14 | 164 | ||||||
615 | 6.500%, 04/15/19 | 598 | ||||||
|
| |||||||
5,437 | ||||||||
|
| |||||||
Gaming — 0.9% | ||||||||
2,502 | Chukchansi Economic Development Authority, 8.000%, 11/15/13 (e) | 1,826 | ||||||
2,639 | CityCenter Holdings LLC/CityCenter Finance Corp., PIK, 11.500%, 01/15/17 (e) | 2,533 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 89 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Gaming — Continued | ||||||||
250 | Mashantucket Western Pequot Tribe, 5.912%, 09/01/21 (d) (e) | 120 | ||||||
32 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 35 | ||||||
MGM Resorts International, | ||||||||
1,000 | 6.875%, 04/01/16 | 850 | ||||||
1,700 | 9.000%, 03/15/20 | 1,815 | ||||||
3,675 | 10.000%, 11/01/16 (e) | 3,712 | ||||||
825 | 11.375%, 03/01/18 | 893 | ||||||
900 | Peninsula Gaming LLC, 8.375%, 08/15/15 | 914 | ||||||
870 | Pinnacle Entertainment, Inc., 8.625%, 08/01/17 | 907 | ||||||
500 | Seminole Hard Rock Entertainment, Inc., VAR, 2.747%, 03/15/14 (e) | 450 | ||||||
700 | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 (e) | 711 | ||||||
525 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 516 | ||||||
2,000 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) | 1,315 | ||||||
1,675 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.875%, 05/01/20 | 1,796 | ||||||
350 | Yonkers Racing Corp., 11.375%, 07/15/16 (e) | 366 | ||||||
|
| |||||||
18,759 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.3% | ||||||||
900 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 884 | ||||||
225 | Landry’s Restaurants, Inc., 11.625%, 12/01/15 | 237 | ||||||
500 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 403 | ||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
7 | 6.875%, 12/01/13 | 7 | ||||||
1,608 | 11.875%, 07/15/15 | 1,882 | ||||||
1,750 | Speedway Motorsports, Inc., 6.750%, 02/01/19 | 1,662 | ||||||
910 | Vail Resorts, Inc., 6.500%, 05/01/19 (e) | 910 | ||||||
|
| |||||||
5,985 | ||||||||
|
| |||||||
Household Durables — 0.4% | ||||||||
175 | American Standard Americas, 10.750%, 01/15/16 (e) | 142 | ||||||
D.R. Horton, Inc., | ||||||||
1,225 | 5.625%, 01/15/16 | 1,216 | ||||||
435 | 6.500%, 04/15/16 | 438 | ||||||
2,500 | K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 2,231 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Household Durables — Continued | ||||||||
KB Home, | ||||||||
1,000 | 5.750%, 02/01/14 | 948 | ||||||
615 | 5.875%, 01/15/15 | 530 | ||||||
1,575 | Lennar Corp., 6.950%, 06/01/18 | 1,431 | ||||||
420 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 433 | ||||||
Standard Pacific Corp., | ||||||||
1,050 | 8.375%, 05/15/18 | 922 | ||||||
165 | 10.750%, 09/15/16 | 163 | ||||||
|
| |||||||
8,454 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.0% (g) | ||||||||
122 | FGI Holding Co., Inc., PIK, 13.000%, 10/01/15 | 120 | ||||||
|
| |||||||
Media — 1.3% | ||||||||
125 | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e) | 126 | ||||||
CBS Corp., | ||||||||
200 | 7.875%, 07/30/30 | 249 | ||||||
160 | 8.875%, 05/15/19 | 207 | ||||||
1,500 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 1,208 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
360 | 9.250%, 12/15/17 | 382 | ||||||
650 | 9.250%, 12/15/17 | 695 | ||||||
240 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 352 | ||||||
1,500 | Comcast Cable Holdings LLC, 9.800%, 02/01/12 | 1,553 | ||||||
Comcast Corp., | ||||||||
850 | 5.900%, 03/15/16 | 985 | ||||||
240 | 6.300%, 11/15/17 | 286 | ||||||
CSC Holdings LLC, | ||||||||
900 | 7.625%, 07/15/18 | 945 | ||||||
139 | 7.875%, 02/15/18 | 147 | ||||||
Gannett Co., Inc., | ||||||||
270 | 6.375%, 09/01/15 (e) | 270 | ||||||
750 | 7.125%, 09/01/18 (e) | 715 | ||||||
500 | 8.750%, 11/15/14 | 536 | ||||||
245 | 9.375%, 11/15/17 | 263 | ||||||
1,000 | Historic TW, Inc., 9.150%, 02/01/23 | 1,393 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
300 | 7.250%, 04/01/19 (e) | 289 | ||||||
700 | 7.250%, 10/15/20 (e) | 672 | ||||||
500 | 7.500%, 04/01/21 (e) | 484 | ||||||
475 | 8.500%, 11/01/19 | 493 | ||||||
750 | Lamar Media Corp., 6.625%, 08/15/15 | 744 |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued | ||||||||
475 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 480 | ||||||
810 | NBCUniversal Media LLC, 5.950%, 04/01/41 | 852 | ||||||
News America, Inc., | ||||||||
600 | 6.750%, 01/09/38 | 652 | ||||||
800 | 7.750%, 01/20/24 | 987 | ||||||
200 | 7.850%, 03/01/39 | 236 | ||||||
147 | 8.875%, 04/26/23 | 195 | ||||||
900 | Nielsen Finance LLC/Nielsen Finance Co., 7.750%, 10/15/18 (e) | 929 | ||||||
1,200 | RadioShack Corp., 6.750%, 05/15/19 (e) | 1,122 | ||||||
865 | Sinclair Television Group, Inc., 9.250%, 11/01/17 (e) | 921 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
280 | 4.700%, 10/15/19 | 315 | ||||||
410 | 5.950%, 07/15/13 | 445 | ||||||
200 | 6.500%, 07/15/18 | 244 | ||||||
335 | Time Warner Cable, Inc., 7.300%, 07/01/38 | 397 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
415 | 8.375%, 03/15/23 | 541 | ||||||
1,445 | 8.375%, 07/15/33 | 1,859 | ||||||
750 | 10.150%, 05/01/12 | 795 | ||||||
600 | Univision Communications, Inc., 6.875%, 05/15/19 (e) | 555 | ||||||
850 | Valassis Communications, Inc., 6.625%, 02/01/21 | 805 | ||||||
50 | Viacom, Inc., 6.875%, 04/30/36 | 59 | ||||||
500 | Walt Disney Co. (The), 5.875%, 12/15/17 | 610 | ||||||
WMG Acquisition Corp., | ||||||||
1,303 | 9.500%, 06/15/16 | 1,329 | ||||||
600 | 11.500%, 10/01/18 (e) | 546 | ||||||
|
| |||||||
27,868 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
2,050 | HSN, Inc., 11.250%, 08/01/16 | 2,255 | ||||||
QVC, Inc., | ||||||||
75 | 7.125%, 04/15/17 (e) | 78 | ||||||
75 | 7.375%, 10/15/20 (e) | 81 | ||||||
2,050 | 7.500%, 10/01/19 (e) | 2,209 | ||||||
2,020 | Sears Holdings Corp., 6.625%, 10/15/18 (e) | 1,676 | ||||||
310 | Target Corp., 7.000%, 01/15/38 | 399 | ||||||
|
| |||||||
6,698 | ||||||||
|
| |||||||
Specialty Retail — 0.6% |
| |||||||
3,170 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 3,329 | ||||||
1,600 | Ltd. Brands, Inc., 8.500%, 06/15/19 | 1,802 | ||||||
951 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 1,188 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Specialty Retail — Continued |
| |||||||
1,950 | NBC Acquisition Corp., 11.000%, 03/15/13 (d) | 39 | ||||||
Nebraska Book Co., Inc., | ||||||||
1,039 | 8.625%, 03/15/12 (d) | 634 | ||||||
102 | 10.000%, 12/01/11 | 96 | ||||||
600 | Rent-A-Center, Inc., 6.625%, 11/15/20 | 576 | ||||||
200 | Staples, Inc., 9.750%, 01/15/14 | 234 | ||||||
1,000 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 970 | ||||||
1,750 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 1,785 | ||||||
|
| |||||||
10,653 | ||||||||
|
| |||||||
Total Consumer Discretionary | 103,263 | |||||||
|
| |||||||
Consumer Staples — 1.8% |
| |||||||
Beverages — 0.5% |
| |||||||
Anheuser-Busch Cos., Inc., | ||||||||
325 | 5.500%, 01/15/18 | 379 | ||||||
550 | 5.750%, 04/01/36 | 620 | ||||||
280 | 7.550%, 10/01/30 | 380 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
160 | 6.875%, 11/15/19 | 205 | ||||||
275 | 7.750%, 01/15/19 | 362 | ||||||
528 | Coca-Cola Refreshments USA, Inc., 8.500%, 02/01/12 | 545 | ||||||
Constellation Brands, Inc., | ||||||||
330 | 7.250%, 09/01/16 | 351 | ||||||
1,000 | 7.250%, 05/15/17 | 1,060 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
575 | 5.300%, 10/28/15 | 658 | ||||||
325 | 5.500%, 04/01/13 | 349 | ||||||
1,000 | Diageo Investment Corp., 7.450%, 04/15/35 | 1,325 | ||||||
PepsiCo, Inc., | ||||||||
572 | 3.000%, 08/25/21 | 573 | ||||||
800 | 3.750%, 03/01/14 | 858 | ||||||
70 | 7.900%, 11/01/18 | 93 | ||||||
150 | Pernod-Ricard S.A., (France), 5.750%, 04/07/21 (e) | 159 | ||||||
1,235 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 1,333 | ||||||
|
| |||||||
9,250 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
CVS Caremark Corp., | ||||||||
225 | 5.750%, 06/01/17 | 259 | ||||||
555 | 6.125%, 09/15/39 | 608 | ||||||
1,610 | Ingles Markets, Inc., 8.875%, 05/15/17 | 1,675 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 91 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Food & Staples Retailing — Continued |
| |||||||
Kroger Co. (The), | ||||||||
215 | 6.400%, 08/15/17 | 257 | ||||||
712 | 7.500%, 04/01/31 | 906 | ||||||
300 | 7.700%, 06/01/29 | 383 | ||||||
Rite Aid Corp., | ||||||||
64 | 7.500%, 03/01/17 | 62 | ||||||
1,500 | 8.000%, 08/15/20 | 1,575 | ||||||
6,000 | 9.500%, 06/15/17 | 5,250 | ||||||
2,000 | SUPERVALU, Inc., 8.000%, 05/01/16 | 1,960 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,500 | 3.625%, 07/08/20 | 1,560 | ||||||
160 | 5.250%, 09/01/35 | 173 | ||||||
1,000 | 6.200%, 04/15/38 | 1,205 | ||||||
260 | 7.550%, 02/15/30 | 356 | ||||||
|
| |||||||
16,229 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
370 | 5.875%, 05/15/13 | 390 | ||||||
655 | 8.500%, 06/15/19 | 836 | ||||||
148 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 163 | ||||||
Cargill, Inc., | ||||||||
200 | 6.000%, 11/27/17 (e) | 238 | ||||||
1,000 | 7.350%, 03/06/19 (e) | 1,266 | ||||||
135 | ConAgra Foods, Inc., 7.000%, 04/15/19 | 158 | ||||||
165 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 145 | ||||||
641 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 711 | ||||||
Kraft Foods, Inc., | ||||||||
810 | 6.125%, 02/01/18 | 958 | ||||||
335 | 6.500%, 08/11/17 | 405 | ||||||
575 | 6.875%, 02/01/38 | 685 | ||||||
409 | Smithfield Foods, Inc., 7.750%, 05/15/13 | 427 | ||||||
|
| |||||||
6,382 | ||||||||
|
| |||||||
Household Products — 0.2% |
| |||||||
1,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 | 1,210 | ||||||
783 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 1,055 | ||||||
1,750 | Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 (e) | 1,730 | ||||||
567 | Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19 | 614 | ||||||
|
| |||||||
4,609 | ||||||||
|
| |||||||
Tobacco — 0.0% (g) |
| |||||||
250 | Alliance One International, Inc., 10.000%, 07/15/16 | 226 | ||||||
|
| |||||||
Total Consumer Staples | 36,696 | |||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Energy — 3.5% |
| |||||||
Energy Equipment & Services — 0.5% |
| |||||||
720 | Baker Hughes, Inc., 5.125%, 09/15/40 | 765 | ||||||
860 | Cie Generale de Geophysique - Veritas, (France), 6.500%, 06/01/21 (e) | 808 | ||||||
70 | Diamond Offshore Drilling, Inc., 5.875%, 05/01/19 | 82 | ||||||
470 | Exterran Holdings, Inc., 7.250%, 12/01/18 (e) | 456 | ||||||
Halliburton Co., | ||||||||
500 | 7.450%, 09/15/39 | 663 | ||||||
700 | 8.750%, 02/15/21 | 986 | ||||||
445 | Key Energy Services, Inc., 6.750%, 03/01/21 | 436 | ||||||
850 | Oil States International, Inc., 6.500%, 06/01/19 (e) | 850 | ||||||
550 | PHI, Inc., 8.625%, 10/15/18 | 549 | ||||||
Precision Drilling Corp., (Canada), | ||||||||
210 | 6.500%, 12/15/21 (e) | 210 | ||||||
360 | 6.625%, 11/15/20 | 364 | ||||||
700 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 658 | ||||||
1,600 | Sevan Marine ASA, (Norway), VAR, 3.417%, 05/14/13 (e) | 1,120 | ||||||
2,110 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 2,396 | ||||||
280 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 286 | ||||||
|
| |||||||
10,629 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% |
| |||||||
175 | Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31 | 208 | ||||||
Alpha Natural Resources, Inc., | ||||||||
475 | 6.000%, 06/01/19 | 464 | ||||||
475 | 6.250%, 06/01/21 | 465 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp., | ||||||||
1,315 | 6.250%, 08/20/19 | 1,279 | ||||||
1,360 | 6.500%, 05/20/21 | 1,333 | ||||||
278 | Anadarko Holding Co., 7.150%, 05/15/28 | 314 | ||||||
Anadarko Petroleum Corp., | ||||||||
350 | 6.950%, 06/15/19 | 415 | ||||||
125 | 7.625%, 03/15/14 | 143 | ||||||
100 | 7.950%, 06/15/39 | 126 | ||||||
225 | 8.700%, 03/15/19 | 290 | ||||||
775 | Apache Corp., 6.900%, 09/15/18 | 982 | ||||||
Arch Coal, Inc., |
| |||||||
1,250 | 7.000%, 06/15/19 (e) | 1,231 | ||||||
190 | 7.250%, 10/01/20 | 187 | ||||||
500 | 7.250%, 06/15/21 (e) | 493 |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
1,500 | Bill Barrett Corp., 9.875%, 07/15/16 | 1,646 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
1,835 | 3.875%, 03/10/15 | 1,956 | ||||||
515 | 4.750%, 03/10/19 | 569 | ||||||
325 | 5.250%, 11/07/13 | 351 | ||||||
330 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 | 384 | ||||||
Chesapeake Energy Corp., | ||||||||
550 | 6.125%, 02/15/21 | 558 | ||||||
520 | 6.500%, 08/15/17 | 542 | ||||||
285 | 6.875%, 08/15/18 | 298 | ||||||
250 | 9.500%, 02/15/15 | 283 | ||||||
450 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 495 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
450 | 8.250%, 12/15/17 | 464 | ||||||
500 | 8.500%, 12/15/19 | 511 | ||||||
Comstock Resources, Inc., | ||||||||
400 | 7.750%, 04/01/19 | 400 | ||||||
1,000 | 8.375%, 10/15/17 | 1,030 | ||||||
Concho Resources, Inc., | ||||||||
545 | 6.500%, 01/15/22 | 548 | ||||||
1,425 | 7.000%, 01/15/21 | 1,460 | ||||||
ConocoPhillips, | ||||||||
275 | 5.750%, 02/01/19 | 328 | ||||||
750 | 6.500%, 02/01/39 | 947 | ||||||
410 | 7.000%, 03/30/29 | 519 | ||||||
425 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 558 | ||||||
300 | ConocoPhillips Holding Co., 6.950%, 04/15/29 | 383 | ||||||
Consol Energy, Inc., | ||||||||
200 | 6.375%, 03/01/21 (e) | 198 | ||||||
300 | 8.000%, 04/01/17 | 319 | ||||||
1,250 | 8.250%, 04/01/20 | 1,344 | ||||||
160 | Continental Resources, Inc., 7.125%, 04/01/21 | 165 | ||||||
454 | Denbury Resources, Inc., 8.250%, 02/15/20 | 478 | ||||||
270 | Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31 | 364 | ||||||
El Paso Corp., | ||||||||
1,900 | 6.875%, 06/15/14 | 2,116 | ||||||
150 | 7.000%, 06/15/17 | 167 | ||||||
150 | El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20 | 170 | ||||||
Encana Corp., (Canada), | ||||||||
150 | 6.500%, 05/15/19 | 179 | ||||||
215 | 6.625%, 08/15/37 | 238 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
1,210 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 1,189 | ||||||
EOG Resources, Inc., | ||||||||
1,700 | 4.100%, 02/01/21 | 1,799 | ||||||
200 | 6.875%, 10/01/18 | 248 | ||||||
300 | Ferrellgas LP/Ferrellgas Finance Corp., 6.500%, 05/01/21 | 269 | ||||||
500 | Forest Oil Corp., 7.250%, 06/15/19 | 495 | ||||||
Frontier Oil Corp., | ||||||||
175 | 6.875%, 11/15/18 | 180 | ||||||
1,000 | 8.500%, 09/15/16 | 1,055 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
220 | 7.625%, 04/15/21 (e) | 222 | ||||||
1,370 | 8.000%, 02/15/20 (e) | 1,425 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
675 | 6.250%, 03/01/15 | 662 | ||||||
150 | 8.250%, 03/15/18 | 155 | ||||||
650 | HollyFrontier Corp., 9.875%, 06/15/17 | 712 | ||||||
Inergy LP/Inergy Finance Corp., | ||||||||
240 | 6.875%, 08/01/21 (e) | 230 | ||||||
550 | 7.000%, 10/01/18 | 535 | ||||||
KazMunayGas National Co., (Kazakhstan), | ||||||||
745 | 6.375%, 04/09/21 (e) | 778 | ||||||
200 | Reg. S., 6.375%, 04/09/21 | 208 | ||||||
260 | Reg. S., 7.000%, 05/05/20 | 281 | ||||||
220 | Reg. S., 8.375%, 07/02/13 | 237 | ||||||
410 | Marathon Oil Corp., 6.000%, 10/01/17 | 475 | ||||||
415 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.750%, 11/01/20 | 425 | ||||||
Newfield Exploration Co., | ||||||||
750 | 6.875%, 02/01/20 | 776 | ||||||
890 | 7.125%, 05/15/18 | 926 | ||||||
Pemex Project Funding Master Trust, | ||||||||
258 | 5.750%, 03/01/18 | 286 | ||||||
40 | 6.625%, 06/15/35 | 44 | ||||||
57 | 6.625%, 06/15/35 | 63 | ||||||
210 | Penn Virginia Corp., 7.250%, 04/15/19 | 201 | ||||||
Pertamina Persero PT, (Indonesia), | ||||||||
200 | 5.250%, 05/23/21 (e) | 208 | ||||||
200 | 6.500%, 05/27/41 (e) | 212 | ||||||
Petro-Canada, (Canada), | ||||||||
400 | 6.800%, 05/15/38 | 469 | ||||||
335 | 7.875%, 06/15/26 | 429 | ||||||
610 | Petrohawk Energy Corp., 6.250%, 06/01/19 (e) | 709 | ||||||
Petroleos de Venezuela S.A., (Venezuela), | ||||||||
245 | 4.900%, 10/28/14 | 181 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 93 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
393 | 8.500%, 11/02/17 (e) | 281 | ||||||
55 | Petroleos Mexicanos, (Mexico), 5.500%, 01/21/21 (e) | 60 | ||||||
125 | Petronas Capital Ltd., (Malaysia), Reg. S., 5.250%, 08/12/19 | 140 | ||||||
Pioneer Natural Resources Co., | ||||||||
150 | 6.650%, 03/15/17 | 162 | ||||||
1,075 | 7.500%, 01/15/20 | 1,204 | ||||||
115 | Plains All American Pipelines LP, 6.500%, 05/01/18 | 132 | ||||||
Plains Exploration & Production Co., | ||||||||
165 | 6.625%, 05/01/21 | 166 | ||||||
150 | 7.625%, 04/01/20 | 156 | ||||||
1,315 | QEP Resources, Inc., 6.875%, 03/01/21 | 1,381 | ||||||
Range Resources Corp., | ||||||||
375 | 5.750%, 06/01/21 | 377 | ||||||
45 | 6.750%, 08/01/20 | 47 | ||||||
25 | 7.250%, 05/01/18 | 27 | ||||||
770 | Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21 | 772 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
1,030 | 1.875%, 03/25/13 | 1,051 | ||||||
679 | 3.100%, 06/28/15 | 722 | ||||||
500 | 4.300%, 09/22/19 | 553 | ||||||
1,790 | SM Energy Co., 6.625%, 02/15/19 (e) | 1,790 | ||||||
375 | Southern Star Central Corp., 6.750%, 03/01/16 | 367 | ||||||
435 | Statoil ASA, (Norway), 7.150%, 11/15/25 | 556 | ||||||
815 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 | 955 | ||||||
1,000 | Swift Energy Co., 7.125%, 06/01/17 | 990 | ||||||
120 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 151 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
400 | 6.875%, 02/01/21 (e) | 396 | ||||||
295 | 7.875%, 10/15/18 | 310 | ||||||
640 | Tosco Corp., 8.125%, 02/15/30 | 877 | ||||||
1,900 | Total Capital S.A., (France), 2.300%, 03/15/16 | 1,965 | ||||||
165 | Unit Corp., 6.625%, 05/15/21 | 162 | ||||||
Western Refining, Inc., | ||||||||
1,282 | 11.250%, 06/15/17 (e) | 1,404 | ||||||
250 | VAR, 10.750%, 06/15/14 (e) | 264 | ||||||
750 | Whiting Petroleum Corp., 6.500%, 10/01/18 | 750 | ||||||
|
| |||||||
62,150 | ||||||||
|
| |||||||
Total Energy | 72,779 | |||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Financials — 12.4% | ||||||||
Capital Markets — 1.9% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
525 | 2.950%, 06/18/15 | 546 | ||||||
440 | 4.300%, 05/15/14 | 476 | ||||||
530 | 4.600%, 01/15/20 | 579 | ||||||
978 | BlackRock, Inc., 5.000%, 12/10/19 | 1,079 | ||||||
1,000 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 1,056 | ||||||
750 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 823 | ||||||
1,690 | Credit Suisse USA, Inc., 6.125%, 11/15/11 | 1,707 | ||||||
1,000 | FMR LLC, 4.750%, 03/01/13 (e) | 1,043 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
920 | 3.625%, 02/07/16 | 921 | ||||||
326 | 3.700%, 08/01/15 | 329 | ||||||
2,780 | 5.250%, 10/15/13 | 2,898 | ||||||
1,191 | 5.250%, 07/27/21 | 1,208 | ||||||
819 | 5.375%, 03/15/20 | 832 | ||||||
450 | 5.750%, 10/01/16 | 492 | ||||||
2,100 | 5.950%, 01/18/18 | 2,235 | ||||||
127 | 6.000%, 06/15/20 | 135 | ||||||
115 | 6.250%, 09/01/17 | 124 | ||||||
965 | 6.750%, 10/01/37 | 916 | ||||||
180 | 7.500%, 02/15/19 | 206 | ||||||
Jefferies Group, Inc., | ||||||||
950 | 6.250%, 01/15/36 | 924 | ||||||
140 | 6.450%, 06/08/27 | 140 | ||||||
880 | 8.500%, 07/15/19 | 1,062 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
235 | 3.600%, 03/13/09 (d) | 58 | ||||||
1,000 | 5.750%, 05/17/13 (d) | 249 | ||||||
950 | 6.500%, 07/19/17 (d) | 1 | ||||||
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) | 621 | ||||||
2,125 | 7.300%, 08/01/14 (e) | 2,354 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
900 | 5.700%, 05/02/17 | 881 | ||||||
500 | 6.400%, 08/28/17 | 512 | ||||||
1,710 | 6.875%, 04/25/18 | 1,775 | ||||||
Morgan Stanley, | ||||||||
198 | 4.000%, 07/24/15 | 197 | ||||||
505 | 4.200%, 11/20/14 | 506 | ||||||
1,690 | 5.300%, 03/01/13 | 1,749 |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued | ||||||||
243 | 5.500%, 07/24/20 | 238 | ||||||
919 | 5.500%, 07/28/21 | 917 | ||||||
810 | 5.625%, 01/09/12 | 821 | ||||||
310 | 5.625%, 09/23/19 | 315 | ||||||
150 | 6.000%, 05/13/14 | 158 | ||||||
1,315 | 6.000%, 04/28/15 | 1,376 | ||||||
320 | 6.250%, 08/28/17 | 339 | ||||||
1,250 | 6.625%, 04/01/18 | 1,339 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
500 | 5.000%, 03/04/15 | 527 | ||||||
757 | 6.700%, 03/04/20 | 855 | ||||||
740 | Northern Trust Co. (The), 5.850%, 11/09/17 | 864 | ||||||
113 | Northern Trust Corp., 5.500%, 08/15/13 | 123 | ||||||
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 | 675 | ||||||
900 | 5.750%, 04/25/18 | 959 | ||||||
450 | 5.875%, 12/20/17 | 481 | ||||||
|
| |||||||
39,220 | ||||||||
|
| |||||||
Commercial Banks — 3.7% | ||||||||
705 | ANZ National (International) Ltd., | 713 | ||||||
190 | Banco del Estado de Chile, (Chile), Reg. S., 4.125%, 10/07/20 | 191 | ||||||
Bank of America Corp., | ||||||||
735 | 3.125%, 06/15/12 | 751 | ||||||
500 | 5.625%, 07/01/20 | 507 | ||||||
695 | 5.650%, 05/01/18 | 709 | ||||||
1,500 | 6.975%, 03/07/37 | 1,425 | ||||||
1,005 | 7.375%, 05/15/14 | 1,100 | ||||||
500 | 7.800%, 09/15/16 | 543 | ||||||
2,000 | VAR, 8.000%, 01/30/18 (x) | 1,891 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
1,082 | 1.650%, 10/29/15 (e) | 1,096 | ||||||
614 | 3.400%, 01/22/15 | 652 | ||||||
679 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 722 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
1,615 | 2.500%, 01/23/13 | 1,617 | ||||||
1,280 | 5.125%, 01/08/20 | 1,289 | ||||||
980 | 6.050%, 12/04/17 (e) | 970 | ||||||
305 | 6.750%, 05/22/19 | 335 | ||||||
125 | VAR, 5.926%, 12/15/16 (e) (x) | 103 | ||||||
575 | VAR, 7.434%, 12/15/17 (e) (x) | 517 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Banks — Continued | ||||||||
BB&T Corp., | ||||||||
500 | 3.850%, 07/27/12 | 514 | ||||||
1,250 | 3.950%, 04/29/16 | 1,333 | ||||||
500 | 4.900%, 06/30/17 | 535 | ||||||
150 | 6.850%, 04/30/19 | 179 | ||||||
1,750 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 1,801 | ||||||
2,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 2,358 | ||||||
1,225 | Capital One Capital V, 10.250%, 08/15/39 | 1,272 | ||||||
500 | Capital One Capital VI, 8.875%, 05/15/40 | 507 | ||||||
Capital One Financial Corp., | ||||||||
500 | 6.250%, 11/15/13 | 542 | ||||||
485 | 6.750%, 09/15/17 | 554 | ||||||
690 | 7.375%, 05/23/14 | 777 | ||||||
1,045 | Comerica Bank, 5.200%, 08/22/17 | 1,151 | ||||||
185 | Comerica, Inc., 3.000%, 09/16/15 | 189 | ||||||
Cooperative Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands), | ||||||||
2,150 | 3.200%, 03/11/15 (e) | 2,260 | ||||||
1,045 | 4.500%, 01/11/21 | 1,121 | ||||||
400 | Countrywide Capital III, 8.050%, 06/15/27 | 400 | ||||||
2,660 | Credit Suisse, (Switzerland), 5.500%, 05/01/14 | 2,868 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
1,475 | 2.375%, 01/11/13 | 1,475 | ||||||
375 | 3.875%, 08/18/14 | 390 | ||||||
250 | Deutsche Bank Trust Corp., 7.250%, 10/15/11 | 252 | ||||||
DnB NOR Boligkreditt, | ||||||||
674 | (Norway), 2.100%, 10/14/15 (e) | 689 | ||||||
500 | Fifth Third Bancorp, 5.450%, 01/15/17 | 542 | ||||||
395 | HSBC Bank, 6.000%, 08/09/17 | 426 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
728 | 1.625%, 07/07/14 (e) | 737 | ||||||
927 | 4.125%, 08/12/20 (e) | 929 | ||||||
650 | 4.750%, 01/19/21 (e) | 674 | ||||||
700 | KeyBank N.A., 5.700%, 08/15/12 | 727 | ||||||
725 | KeyCorp, 6.500%, 05/14/13 | 779 | ||||||
1,250 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 1,470 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
3,010 | 2.500%, 01/08/13 (e) | 3,052 | ||||||
255 | 3.750%, 03/02/15 (e) | 268 | ||||||
1,420 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 1,449 | ||||||
1,500 | National City Bank, 4.625%, 05/01/13 | 1,574 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 95 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
500 | NB Capital Trust II, 7.830%, 12/15/26 | 490 | ||||||
886 | Nordea Bank AB, (Sweden), 4.875%, 05/13/21 (e) | 809 | ||||||
PNC Funding Corp., | ||||||||
1,115 | 3.000%, 05/19/14 | 1,165 | ||||||
1,057 | 4.375%, 08/11/20 | 1,119 | ||||||
625 | 5.250%, 11/15/15 | 684 | ||||||
625 | 5.625%, 02/01/17 | 696 | ||||||
1,200 | Royal Bank of Canada, (Canada), 2.300%, 07/20/16 | 1,217 | ||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, (Luxembourg), | ||||||||
195 | Reg. S., 7.175%, 05/16/13 | 206 | ||||||
300 | Reg. S., 9.000%, 06/11/14 | 335 | ||||||
225 | Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e) | 245 | ||||||
2,500 | SunTrust Banks, Inc., 6.000%, 02/15/26 | 2,619 | ||||||
2,500 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 2,585 | ||||||
2,000 | U.S. Bancorp, 7.500%, 06/01/26 | 2,610 | ||||||
500 | UnionBanCal Corp., 5.250%, 12/16/13 | 539 | ||||||
Wachovia Bank N.A., | ||||||||
2,110 | 5.600%, 03/15/16 | 2,320 | ||||||
750 | 6.000%, 11/15/17 | 844 | ||||||
750 | 6.600%, 01/15/38 | 856 | ||||||
1,995 | Wachovia Capital Trust III, VAR, 5.570%, 10/03/11 (x) | 1,746 | ||||||
Wachovia Corp., | ||||||||
760 | 5.500%, 05/01/13 | 813 | ||||||
1,555 | 5.750%, 02/01/18 | 1,779 | ||||||
515 | SUB, 7.574%, 08/01/26 | 618 | ||||||
Wells Fargo & Co., | ||||||||
1,025 | 3.676%, 06/15/16 | 1,084 | ||||||
1,665 | 5.625%, 12/11/17 | 1,909 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
670 | 4.200%, 02/27/15 | 712 | ||||||
942 | 4.875%, 11/19/19 | 991 | ||||||
|
| |||||||
77,916 | ||||||||
|
| |||||||
Consumer Finance — 0.9% | ||||||||
Ally Financial, Inc., | ||||||||
1,500 | 6.250%, 12/01/17 | 1,443 | ||||||
2,025 | 8.000%, 11/01/31 | 1,979 | ||||||
475 | American Express Co., 7.250%, 05/20/14 | 542 | ||||||
American Express Credit Corp., | ||||||||
2,225 | 5.875%, 05/02/13 | 2,377 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Consumer Finance — Continued | ||||||||
1,100 | 7.300%, 08/20/13 | 1,215 | ||||||
American Honda Finance Corp., | ||||||||
375 | 2.375%, 03/18/13 (e) | 382 | ||||||
810 | 4.625%, 04/02/13 (e) | 853 | ||||||
835 | 7.625%, 10/01/18 (e) | 1,071 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
325 | 5.750%, 02/01/21 | 324 | ||||||
125 | 6.625%, 08/15/17 | 131 | ||||||
3,000 | 8.125%, 01/15/20 | 3,353 | ||||||
HSBC Finance Corp., | ||||||||
1,000 | 5.000%, 06/30/15 | 1,057 | ||||||
500 | 6.375%, 11/27/12 | 525 | ||||||
400 | 7.350%, 11/27/32 | 399 | ||||||
John Deere Capital Corp., | ||||||||
230 | 5.250%, 10/01/12 | 242 | ||||||
515 | 5.350%, 04/03/18 | 603 | ||||||
Springleaf Finance Corp., | ||||||||
350 | VAR, 0.497%, 12/15/11 | 341 | ||||||
1,750 | 6.900%, 12/15/17 | 1,479 | ||||||
670 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 708 | ||||||
662 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 669 | ||||||
|
| |||||||
19,693 | ||||||||
|
| |||||||
Diversified Financial Services — 2.7% |
| |||||||
2,465 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 2,323 | ||||||
1,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 1,031 | ||||||
Block Financial LLC, | ||||||||
500 | 5.125%, 10/30/14 | 517 | ||||||
500 | 7.875%, 01/15/13 | 524 | ||||||
3,000 | Capmark Financial Group, Inc., 3.158%, 05/10/10 (d) | 1,643 | ||||||
852 | Cardtronics, Inc., 8.250%, 09/01/18 | 895 | ||||||
Caterpillar Financial Services Corp., | ||||||||
800 | 1.550%, 12/20/13 | 811 | ||||||
850 | 5.450%, 04/15/18 | 995 | ||||||
CIT Group, Inc., | ||||||||
155 | 6.625%, 04/01/18 (e) | 155 | ||||||
3,600 | 7.000%, 05/02/17 (e) | 3,555 | ||||||
Citigroup, Inc., | ||||||||
1,117 | 4.587%, 12/15/15 | 1,160 | ||||||
291 | 5.375%, 08/09/20 | 309 | ||||||
1,550 | 5.500%, 02/15/17 | 1,579 | ||||||
510 | 6.000%, 12/13/13 | 540 |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
1,350 | 6.000%, 08/15/17 | 1,464 | ||||||
865 | 6.010%, 01/15/15 | 929 | ||||||
260 | 6.375%, 08/12/14 | 284 | ||||||
645 | 6.875%, 06/01/25 | 722 | ||||||
1,115 | 7.000%, 12/01/25 | 1,241 | ||||||
1,260 | 8.500%, 05/22/19 | 1,540 | ||||||
CME Group, Inc., | ||||||||
1,500 | 5.400%, 08/01/13 | 1,613 | ||||||
200 | 5.750%, 02/15/14 | 221 | ||||||
1,000 | CNG Holdings, Inc., 13.750%, 08/15/15 (e) | 1,065 | ||||||
Deluxe Corp., | ||||||||
1,000 | 7.000%, 03/15/19 (e) | 988 | ||||||
1,075 | 7.375%, 06/01/15 | 1,083 | ||||||
FUEL Trust, | ||||||||
505 | 3.984%, 06/15/16 (e) | 504 | ||||||
639 | 4.207%, 04/15/16 (e) | 642 | ||||||
General Electric Capital Corp., | ||||||||
294 | 5.300%, 02/11/21 | 313 | ||||||
1,115 | 5.625%, 05/01/18 | 1,236 | ||||||
5,760 | 5.875%, 02/15/12 | 5,894 | ||||||
3,370 | 5.875%, 01/14/38 | 3,434 | ||||||
130 | 5.900%, 05/13/14 | 144 | ||||||
1,000 | 6.000%, 06/15/12 | 1,041 | ||||||
1,100 | 6.750%, 03/15/32 | 1,237 | ||||||
145 | 6.875%, 01/10/39 | 167 | ||||||
2,205 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 2,249 | ||||||
1,400 | ILFC E-Capital Trust I, VAR, 5.740%, | 1,012 | ||||||
600 | ILFC E-Capital Trust II, VAR, 6.250%, | 468 | ||||||
International Lease Finance Corp., | ||||||||
845 | 8.250%, 12/15/20 | 860 | ||||||
320 | 8.625%, 09/15/15 | 326 | ||||||
1,820 | 8.750%, 03/15/17 | 1,870 | ||||||
600 | 8.875%, 09/01/17 | 614 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
385 | 4.750%, 03/01/14 | 421 | ||||||
334 | 7.250%, 03/01/12 | 345 | ||||||
170 | 10.375%, 11/01/18 | 243 | ||||||
2,450 | SquareTwo Financial Corp., 11.625%, 04/01/17 | 2,413 | ||||||
505 | Textron Financial Corp., 5.400%, 04/28/13 | 528 | ||||||
180 | Ukreximbank Via Biz Finance plc, (United Kingdom), Reg. S., 8.375%, 04/27/15 | 180 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Financial Services — Continued |
| |||||||
1,510 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 1,487 | ||||||
100 | Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e) | 102 | ||||||
|
| |||||||
54,917 | ||||||||
|
| |||||||
FDIC Guaranteed Securities (~) — 0.1% |
| |||||||
735 | Citigroup, Inc., 2.875%, 12/09/11 | 740 | ||||||
750 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 768 | ||||||
|
| |||||||
1,508 | ||||||||
|
| |||||||
Insurance — 2.0% | ||||||||
1,310 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 1,444 | ||||||
558 | Aflac, Inc., 6.450%, 08/15/40 | 546 | ||||||
190 | Allstate Corp. (The), 7.450%, 05/16/19 | 231 | ||||||
1,132 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 1,209 | ||||||
American International Group, Inc., | ||||||||
435 | 5.600%, 10/18/16 | 450 | ||||||
2,785 | VAR, 8.175%, 05/15/58 | 2,765 | ||||||
AON Corp., | ||||||||
191 | 3.500%, 09/30/15 | 198 | ||||||
240 | 6.250%, 09/30/40 | 265 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
1,000 | 5.400%, 05/15/18 | 1,143 | ||||||
500 | 5.750%, 01/15/40 | 539 | ||||||
975 | Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x) | 873 | ||||||
315 | Chubb Corp., 5.750%, 05/15/18 | 368 | ||||||
642 | CNA Financial Corp., 5.875%, 08/15/20 | 670 | ||||||
2,725 | Hartford Financial Services Group, Inc., VAR, 8.125%, 06/15/38 | 2,752 | ||||||
2,000 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) | 1,895 | ||||||
1,950 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 2,074 | ||||||
Liberty Mutual Group, Inc., | ||||||||
2,025 | 7.800%, 03/15/37 (e) | 1,903 | ||||||
1,700 | VAR, 10.750%, 06/15/58 (e) | 2,091 | ||||||
MassMutual Global Funding II, | ||||||||
382 | 2.300%, 09/28/15 (e) | 386 | ||||||
600 | 3.625%, 07/16/12 (e) | 614 | ||||||
160 | MetLife, Inc., 6.750%, 06/01/16 | 188 | ||||||
Metropolitan Life Global Funding I, | ||||||||
400 | 3.650%, 06/14/18 (e) | 409 | ||||||
190 | 5.125%, 04/10/13 (e) | 201 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 97 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued |
| |||||||
875 | 5.200%, 09/18/13 (e) | 944 | ||||||
315 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 334 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
1,465 | 7.875%, 04/01/33 (e) | 1,536 | ||||||
1,720 | 9.375%, 08/15/39 (e) | 2,032 | ||||||
New York Life Global Funding, | ||||||||
250 | 3.000%, 05/04/15 (e) | 263 | ||||||
1,680 | 4.650%, 05/09/13 (e) | 1,785 | ||||||
Pacific Life Global Funding, | ||||||||
400 | 5.000%, 05/15/17 (e) | 431 | ||||||
770 | 5.150%, 04/15/13 (e) | 812 | ||||||
1,000 | Pacific Life Insurance Co., 9.250%, | 1,323 | ||||||
800 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 880 | ||||||
175 | Principal Financial Group, Inc., 8.875%, 05/15/19 | 231 | ||||||
300 | Principal Life Global Funding I, 5.250%, 01/15/13 (e) | 317 | ||||||
Principal Life Income Funding Trusts, | ||||||||
1,165 | 5.300%, 12/14/12 | 1,227 | ||||||
1,025 | 5.300%, 04/24/13 | 1,094 | ||||||
205 | Prudential Financial, Inc., 7.375%, 06/15/19 | 245 | ||||||
405 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 466 | ||||||
2,550 | Travelers Life & Annunity Global Funding I, 5.125%, 08/15/14 (e) | 2,817 | ||||||
700 | Travelers Property Casualty Corp., 7.750%, 04/15/26 | 927 | ||||||
200 | XL Group plc, (Ireland), VAR, 6.500%, | 177 | ||||||
|
| |||||||
41,055 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% | ||||||||
405 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 396 | ||||||
1,015 | CNL Lifestyle Properties, Inc., 7.250%, 04/15/19 | 878 | ||||||
CommonWealth REIT, | ||||||||
1,865 | 5.875%, 09/15/20 | 1,936 | ||||||
375 | 6.250%, 08/15/16 | 410 | ||||||
300 | 6.650%, 01/15/18 | 338 | ||||||
820 | Developers Diversified Realty Corp., 7.875%, 09/01/20 | 912 | ||||||
500 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 528 | ||||||
2,300 | First Industrial LP, 6.420%, 06/01/14 | 2,394 | ||||||
500 | HCP, Inc., 5.375%, 02/01/21 | 509 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
Host Hotels & Resorts LP, | ||||||||
2,350 | 6.000%, 11/01/20 | 2,285 | ||||||
750 | 6.875%, 11/01/14 | 766 | ||||||
3,000 | Rouse Co. LP (The), 5.375%, 11/26/13 | 2,989 | ||||||
Simon Property Group LP, | ||||||||
340 | 5.625%, 08/15/14 | 380 | ||||||
492 | 5.650%, 02/01/20 | 541 | ||||||
915 | 6.100%, 05/01/16 | 1,039 | ||||||
675 | 6.125%, 05/30/18 | 760 | ||||||
310 | 6.750%, 05/15/14 | 352 | ||||||
1,341 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 1,520 | ||||||
|
| |||||||
18,933 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
335 | Kennedy-Wilson, Inc., 8.750%, 04/01/19 (e) | 320 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||
525 | Countrywide Financial Corp., 6.250%, 05/15/16 | 530 | ||||||
3,065 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 3,099 | ||||||
|
| |||||||
3,629 | ||||||||
|
| |||||||
Total Financials | 257,191 | |||||||
|
| |||||||
Health Care — 2.0% | ||||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc., | ||||||||
289 | 5.650%, 06/15/42 | 316 | ||||||
150 | 5.700%, 02/01/19 | 177 | ||||||
618 | 5.750%, 03/15/40 | 686 | ||||||
300 | 6.375%, 06/01/37 | 360 | ||||||
130 | 6.900%, 06/01/38 | 167 | ||||||
1,250 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 1,366 | ||||||
|
| |||||||
3,072 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.2% | ||||||||
Baxter International, Inc., | ||||||||
250 | 4.000%, 03/01/14 | 269 | ||||||
550 | 4.625%, 03/15/15 | 610 | ||||||
Becton Dickinson and Co., | ||||||||
100 | 5.000%, 05/15/19 | 114 | ||||||
400 | 6.000%, 05/15/39 | 486 | ||||||
2,200 | Teleflex, Inc., 6.875%, 06/01/19 | 2,183 | ||||||
|
| |||||||
3,662 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.9% | ||||||||
115 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 112 |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Health Care Providers & Services — Continued | ||||||||
400 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 406 | ||||||
DaVita, Inc., | ||||||||
600 | 6.375%, 11/01/18 | 589 | ||||||
600 | 6.625%, 11/01/20 | 588 | ||||||
Fresenius Medical Care U.S. Finance, Inc., | ||||||||
500 | 5.750%, 02/15/21 (e) | 480 | ||||||
1,000 | 6.875%, 07/15/17 | 1,042 | ||||||
HCA, Inc., | ||||||||
1,260 | 6.500%, 02/15/20 | 1,274 | ||||||
750 | 7.250%, 09/15/20 | 771 | ||||||
200 | 8.500%, 04/15/19 | 218 | ||||||
2,028 | Health Management Associates, Inc., 6.125%, 04/15/16 | 1,977 | ||||||
800 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 | 780 | ||||||
305 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 312 | ||||||
1,555 | Omega Healthcare Investors, Inc., 6.750%, 10/15/22 | 1,493 | ||||||
Omnicare, Inc., | ||||||||
30 | 6.875%, 12/15/15 | 31 | ||||||
3,600 | 7.750%, 06/01/20 | 3,672 | ||||||
Roche Holdings, Inc., | ||||||||
635 | 5.000%, 03/01/14 (e) | 698 | ||||||
1,220 | 6.000%, 03/01/19 (e) | 1,471 | ||||||
1,395 | Tenet Healthcare Corp., 8.875%, 07/01/19 | 1,479 | ||||||
250 | Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16 | 258 | ||||||
1,550 | WellPoint, Inc., 6.800%, 08/01/12 | 1,631 | ||||||
|
| |||||||
19,282 | ||||||||
|
| |||||||
Pharmaceuticals — 0.8% |
| |||||||
400 | Abbott Laboratories, 6.150%, 11/30/37 | 492 | ||||||
504 | AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12 | 529 | ||||||
910 | Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16 | 942 | ||||||
Endo Pharmaceuticals Holdings, Inc., | ||||||||
450 | 7.000%, 07/15/19 (e) | 456 | ||||||
600 | 7.250%, 01/15/22 (e) | 612 | ||||||
200 | Giant Funding Corp., 8.250%, 02/01/18 (e) | 200 | ||||||
920 | GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38 | 1,144 | ||||||
1,000 | Merck & Co., Inc., 6.550%, 09/15/37 | 1,295 | ||||||
Mylan, Inc., | ||||||||
1,125 | 7.625%, 07/15/17 (e) | 1,201 | ||||||
899 | 7.875%, 07/15/20 (e) | 962 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Pharmaceuticals — Continued |
| |||||||
Novartis Capital Corp., | ||||||||
435 | 4.125%, 02/10/14 | 470 | ||||||
335 | 4.400%, 04/24/20 | 371 | ||||||
250 | Pfizer, Inc., 6.200%, 03/15/19 | 307 | ||||||
Valeant Pharmaceuticals International, | ||||||||
1,500 | 6.500%, 07/15/16 (e) | 1,425 | ||||||
250 | 6.750%, 10/01/17 (e) | 233 | ||||||
900 | 6.875%, 12/01/18 (e) | 828 | ||||||
1,145 | 7.000%, 10/01/20 (e) | 1,036 | ||||||
Wyeth, | ||||||||
2,350 | 5.500%, 02/01/14 | 2,603 | ||||||
555 | 5.500%, 02/15/16 | 640 | ||||||
|
| |||||||
15,746 | ||||||||
|
| |||||||
Total Health Care | 41,762 | |||||||
|
| |||||||
Industrials — 3.7% | ||||||||
Aerospace & Defense — 0.6% | ||||||||
400 | Alliant Techsystems, Inc., 6.875%, 09/15/20 | 399 | ||||||
BAE Systems Holdings, Inc., | ||||||||
850 | 5.200%, 08/15/15 (e) | 936 | ||||||
145 | 6.375%, 06/01/19 (e) | 170 | ||||||
725 | BE Aerospace, Inc., 6.875%, 10/01/20 | 743 | ||||||
1,772 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 | 1,143 | ||||||
Esterline Technologies Corp., | ||||||||
1,000 | 6.625%, 03/01/17 | 1,015 | ||||||
250 | 7.000%, 08/01/20 | 261 | ||||||
167 | Hexcel Corp., 6.750%, 02/01/15 | 170 | ||||||
Huntington Ingalls Industries, Inc., | ||||||||
515 | 6.875%, 03/15/18 (e) | 484 | ||||||
780 | 7.125%, 03/15/21 (e) | 733 | ||||||
250 | ITT Corp., 6.125%, 05/01/19 | 311 | ||||||
910 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 935 | ||||||
952 | Lockheed Martin Corp., 5.720%, 06/01/40 | 1,042 | ||||||
1,900 | McDonnell Douglas Corp., 9.750%, 04/01/12 | 1,993 | ||||||
750 | Moog, Inc., 6.250%, 01/15/15 | 752 | ||||||
643 | Spirit Aerosystems, Inc., 6.750%, 12/15/20 | 641 | ||||||
Triumph Group, Inc., | ||||||||
232 | 8.000%, 11/15/17 | 240 | ||||||
575 | 8.625%, 07/15/18 | 612 | ||||||
735 | United Technologies Corp., 6.125%, 02/01/19 | 912 | ||||||
|
| |||||||
13,492 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
1,000 | Federal Express Corp., 9.650%, 06/15/12 | 1,066 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 99 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Airlines — 0.4% |
| |||||||
235 | American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19 | 256 | ||||||
2,202 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 2,180 | ||||||
681 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 708 | ||||||
364 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 | 376 | ||||||
1,138 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 1,059 | ||||||
Delta Air Lines, Inc., | ||||||||
72 | 8.021%, 08/10/22 | 72 | ||||||
70 | 8.954%, 08/10/14 | 71 | ||||||
44 | 9.500%, 09/15/14 (e) | 45 | ||||||
417 | 9.750%, 12/17/16 | 428 | ||||||
610 | 10.000%, 12/05/14 (d) (e) (f) (i) | 152 | ||||||
1,214 | Northwest Airlines, Inc., 7.027%, 11/01/19 | 1,214 | ||||||
1,331 | UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19 | 1,198 | ||||||
227 | UAL 2009-1 Pass-Through Trust, 10.400%, 11/01/16 | 249 | ||||||
|
| |||||||
8,008 | ||||||||
|
| |||||||
Building Products — 0.3% | ||||||||
Building Materials Corp. of America, | ||||||||
2,235 | 6.750%, 05/01/21 (e) | 2,140 | ||||||
750 | 6.875%, 08/15/18 (e) | 735 | ||||||
700 | 7.000%, 02/15/20 (e) | 700 | ||||||
Masco Corp., | ||||||||
1,000 | 6.125%, 10/03/16 | 980 | ||||||
2,500 | 7.125%, 03/15/20 | 2,446 | ||||||
|
| |||||||
7,001 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.5% |
| |||||||
875 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 921 | ||||||
990 | Clean Harbors, Inc., 7.625%, 08/15/16 | 1,047 | ||||||
Corrections Corp. of America, | ||||||||
572 | 6.250%, 03/15/13 | 573 | ||||||
1,050 | 6.750%, 01/31/14 | 1,058 | ||||||
FTI Consulting, Inc., | ||||||||
290 | 6.750%, 10/01/20 | 286 | ||||||
1,750 | 7.750%, 10/01/16 | 1,781 | ||||||
271 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 278 | ||||||
818 | Geo Group, Inc. (The), 7.750%, 10/15/17 | 859 | ||||||
1,673 | Pitney Bowes, Inc., 5.250%, 01/15/37 | 1,752 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Services & Supplies — Continued |
| |||||||
Power Sector Assets & Liabilities Management Corp., (Philippines), | ||||||||
130 | 7.250%, 05/27/19 (e) | 157 | ||||||
100 | 7.390%, 12/02/24 (e) | 122 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
1,145 | 6.125%, 11/15/13 (d) | 25 | ||||||
1,160 | 6.500%, 08/01/27 (d) | 25 | ||||||
265 | 9.750%, 01/15/15 (d) | 6 | ||||||
R.R. Donnelley & Sons Co., | ||||||||
300 | 7.250%, 05/15/18 | 274 | ||||||
1,500 | 7.625%, 06/15/20 | 1,388 | ||||||
|
| |||||||
10,552 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
1,450 | Dycom Investments, Inc., 7.125%, 01/15/21 | 1,435 | ||||||
1,150 | New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e) | 1,018 | ||||||
158 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14 | 158 | ||||||
2,475 | Tutor Perini Corp., 7.625%, 11/01/18 | 2,178 | ||||||
United Rentals North America, Inc., | ||||||||
650 | 9.250%, 12/15/19 | 678 | ||||||
100 | 10.875%, 06/15/16 | 109 | ||||||
|
| |||||||
5,576 | ||||||||
|
| |||||||
Electrical Equipment — 0.0% (g) | ||||||||
Belden, Inc., | ||||||||
500 | 7.000%, 03/15/17 | 500 | ||||||
250 | 9.250%, 06/15/19 | 265 | ||||||
185 | International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e) | 189 | ||||||
|
| |||||||
954 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% | ||||||||
459 | Danaher Corp., 3.900%, 06/23/21 | 488 | ||||||
215 | Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 | 269 | ||||||
Siemens Financieringsmaatschappij N.V., (Netherlands), | ||||||||
1,830 | 5.750%, 10/17/16 (e) | 2,143 | ||||||
300 | 6.125%, 08/17/26 (e) | 355 | ||||||
|
| |||||||
3,255 | ||||||||
|
| |||||||
Machinery — 0.4% | ||||||||
310 | Altra Holdings, Inc., 8.125%, 12/01/16 | 320 | ||||||
500 | Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e) | 496 | ||||||
3,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 3,008 |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Machinery — Continued | ||||||||
640 | Caterpillar, Inc., 5.200%, 05/27/41 | 687 | ||||||
550 | Eaton Corp., 5.600%, 05/15/18 | 647 | ||||||
740 | Griffon Corp., 7.125%, 04/01/18 | 699 | ||||||
210 | Ingersoll-Rand Co., (Bermuda), 7.200%, 06/01/25 | 244 | ||||||
110 | PACCAR, Inc., 6.375%, 02/15/12 | 113 | ||||||
440 | Parker Hannifin Corp., 6.250%, 05/15/38 | 544 | ||||||
SPX Corp., | ||||||||
1,500 | 6.875%, 09/01/17 | 1,564 | ||||||
250 | 7.625%, 12/15/14 | 269 | ||||||
320 | Titan International, Inc., 7.875%, 10/01/17 | 336 | ||||||
|
| |||||||
8,927 | ||||||||
|
| |||||||
Marine — 0.3% | ||||||||
1,700 | Bluewater Holding B.V., (Netherlands), VAR, 3.250%, 07/17/14 (e) | 1,275 | ||||||
3,290 | CMA CGM S.A., (France), 8.500%, 04/15/17 (e) | 1,497 | ||||||
832 | General Maritime Corp., 12.000%, 11/15/17 | 437 | ||||||
174 | Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17 (e) | 145 | ||||||
1,250 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 1,156 | ||||||
750 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 733 | ||||||
|
| |||||||
5,243 | ||||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
1,300 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 03/15/18 | 1,329 | ||||||
634 | Burlington Northern and Santa Fe Railway Co. 2000 Pass-Through Trust, 7.908%, 01/15/20 | 743 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
220 | 5.650%, 05/01/17 | 256 | ||||||
1,150 | 6.700%, 08/01/28 | 1,395 | ||||||
927 | Canadian National Railway Co., (Canada), 6.375%, 11/15/37 | 1,143 | ||||||
Canadian Pacific Railway Co., (Canada), | ||||||||
165 | 7.250%, 05/15/19 | 207 | ||||||
280 | 9.450%, 08/01/21 | 408 | ||||||
1,075 | CSX Corp., 7.375%, 02/01/19 | 1,356 | ||||||
Erac USA Finance LLC, | ||||||||
250 | 6.375%, 10/15/17 (e) | 296 | ||||||
800 | 6.700%, 06/01/34 (e) | 893 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
170 | 6.125%, 06/15/21 (e) | 170 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Road & Rail — Continued | ||||||||
375 | 6.625%, 12/15/20 (e) | 390 | ||||||
595 | Norfolk Southern Corp., 6.000%, 05/23/11 | 640 | ||||||
1,683 | RailAmerica, Inc., 9.250%, 07/01/17 | 1,818 | ||||||
576 | Ryder System, Inc., 3.600%, 03/01/16 | 598 | ||||||
341 | Union Pacific Corp., 4.163%, 07/15/22 (e) | 362 | ||||||
235 | United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30 | 335 | ||||||
|
| |||||||
12,339 | ||||||||
|
| |||||||
Transportation Services — 0.0% (g) | ||||||||
750 | Wabtec Corp., 6.875%, 07/31/13 | 799 | ||||||
|
| |||||||
Total Industrials | 77,212 | |||||||
|
| |||||||
Information Technology — 1.5% | ||||||||
Communications Equipment — 0.1% | ||||||||
540 | Brightstar Corp., 9.500%, 12/01/16 (e) | 556 | ||||||
Cisco Systems, Inc., | ||||||||
500 | 5.500%, 01/15/40 | 545 | ||||||
375 | 5.900%, 02/15/39 | 425 | ||||||
EH Holding Corp., | ||||||||
500 | 6.500%, 06/15/19 (e) | 500 | ||||||
150 | 7.625%, 06/15/21 (e) | 149 | ||||||
135 | Nokia OYJ, (Finland), 5.375%, 05/15/19 | 135 | ||||||
|
| |||||||
2,310 | ||||||||
|
| |||||||
Computers & Peripherals — 0.5% | ||||||||
Dell, Inc., | ||||||||
981 | 3.100%, 04/01/16 | 1,025 | ||||||
1,000 | 7.100%, 04/15/28 | 1,208 | ||||||
Hewlett-Packard Co., | ||||||||
80 | 2.950%, 08/15/12 | 81 | ||||||
1,113 | 4.300%, 06/01/21 | 1,156 | ||||||
500 | 5.400%, 03/01/17 | 568 | ||||||
250 | 5.500%, 03/01/18 | 286 | ||||||
International Business Machines Corp., | ||||||||
744 | 1.950%, 07/22/16 | 755 | ||||||
770 | 5.875%, 11/29/32 | 917 | ||||||
650 | 7.000%, 10/30/25 | 873 | ||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
230 | 6.875%, 05/01/20 | 220 | ||||||
2,000 | 7.750%, 12/15/18 (e) | 1,985 | ||||||
1,000 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 1,015 | ||||||
|
| |||||||
10,089 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 101 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||
Arrow Electronics, Inc., | ||||||||
250 | 6.000%, 04/01/20 | 271 | ||||||
769 | 6.875%, 07/01/13 | 828 | ||||||
100 | 7.500%, 01/15/27 | 115 | ||||||
50 | Intcomex, Inc., 13.250%, 12/15/14 | 49 | ||||||
750 | Sanmina-SCI Corp., VAR, 2.997%, 06/15/14 (e) | 724 | ||||||
|
| |||||||
1,987 | ||||||||
|
| |||||||
Internet Software & Services — 0.1% | ||||||||
500 | eAccess Ltd., (Japan), 8.250%, 04/01/18 (e) | 482 | ||||||
Equinix, Inc., | ||||||||
480 | 7.000%, 07/15/21 | 487 | ||||||
225 | 8.125%, 03/01/18 | 239 | ||||||
|
| |||||||
1,208 | ||||||||
|
| |||||||
IT Services — 0.2% | ||||||||
106 | Fidelity National Information Services, Inc., 7.625%, 07/15/17 | 110 | ||||||
First Data Corp., | ||||||||
600 | 8.875%, 08/15/20 (e) | 594 | ||||||
670 | 12.625%, 01/15/21 (e) | 633 | ||||||
900 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 979 | ||||||
875 | iGate Corp., 9.000%, 05/01/16 (e) | 827 | ||||||
3,860 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 | 3,281 | ||||||
|
| |||||||
6,424 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.3% |
| |||||||
Advanced Micro Devices, Inc., | ||||||||
500 | 7.750%, 08/01/20 | 508 | ||||||
415 | 8.125%, 12/15/17 | 426 | ||||||
1,280 | Amkor Technology, Inc., 7.375%, 05/01/18 | 1,290 | ||||||
310 | MEMC Electronic Materials, Inc., 7.750%, 04/01/19 (e) | 272 | ||||||
National Semiconductor Corp., | ||||||||
575 | 3.950%, 04/15/15 | 624 | ||||||
475 | 6.600%, 06/15/17 | 580 | ||||||
326 | NXP B.V./NXP Funding LLC, (Netherlands), VAR, 2.999%, 10/15/13 | 316 | ||||||
150 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 158 | ||||||
1,400 | Texas Instruments, Inc., 2.375%, 05/16/16 | 1,445 | ||||||
|
| |||||||
5,619 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Software — 0.2% | ||||||||
275 | Audatex North America, Inc., 6.750%, 06/15/18 (e) | 270 | ||||||
115 | Intuit, Inc., 5.750%, 03/15/17 | 132 | ||||||
595 | Microsoft Corp., 4.500%, 10/01/40 | 604 | ||||||
Oracle Corp., | ||||||||
1,000 | 5.250%, 01/15/16 | 1,150 | ||||||
241 | 5.375%, 07/15/40 (e) | 265 | ||||||
1,030 | 6.500%, 04/15/38 | 1,282 | ||||||
|
| |||||||
3,703 | ||||||||
|
| |||||||
Total Information Technology | 31,340 | |||||||
|
| |||||||
Materials — 3.1% | ||||||||
Chemicals — 0.7% | ||||||||
275 | Celanese US Holdings LLC, 6.625%, 10/15/18 | 292 | ||||||
CF Industries, Inc., | ||||||||
300 | 6.875%, 05/01/18 | 340 | ||||||
340 | 7.125%, 05/01/20 | 389 | ||||||
885 | Chemtura Corp., 7.875%, 09/01/18 | 909 | ||||||
242 | Dow Chemical Co. (The), 4.250%, 11/15/20 | 247 | ||||||
EI du Pont de Nemours & Co., | ||||||||
721 | 1.950%, 01/15/16 | 735 | ||||||
410 | 3.250%, 01/15/15 | 437 | ||||||
1,175 | 4.900%, 01/15/41 | 1,208 | ||||||
130 | 5.000%, 07/15/13 | 140 | ||||||
Lyondell Chemical Co., | ||||||||
505 | 8.000%, 11/01/17 (e) | 559 | ||||||
1,537 | 11.000%, 05/01/18 | 1,716 | ||||||
525 | Monsanto Co., 7.375%, 08/15/12 | 557 | ||||||
775 | PolyOne Corp., 7.375%, 09/15/20 | 798 | ||||||
450 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 | 476 | ||||||
200 | PPG Industries, Inc., 9.000%, 05/01/21 | 277 | ||||||
Praxair, Inc., | ||||||||
1,535 | 4.625%, 03/30/15 | 1,705 | ||||||
375 | 5.200%, 03/15/17 | 438 | ||||||
650 | 5.250%, 11/15/14 | 734 | ||||||
200 | Rhodia S.A., (France), 6.875%, 09/15/20 (e) | 234 | ||||||
1,305 | Union Carbide Corp., 7.750%, 10/01/96 | 1,440 | ||||||
|
| |||||||
13,631 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
75 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 77 | ||||||
Vulcan Materials Co., | ||||||||
455 | 6.500%, 12/01/16 | 445 |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction Materials — Continued | ||||||||
410 | 7.500%, 06/15/21 | 404 | ||||||
|
| |||||||
926 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% | ||||||||
900 | Ardagh Packaging Finance plc, (Ireland), 7.375%, 10/15/17 (e) | 887 | ||||||
Ball Corp., | ||||||||
1,465 | 5.750%, 05/15/21 | 1,454 | ||||||
1,500 | 6.750%, 09/15/20 | 1,575 | ||||||
125 | 7.125%, 09/01/16 | 134 | ||||||
125 | 7.375%, 09/01/19 | 136 | ||||||
642 | Constar International, Inc., 11.000%, 02/15/12 (f) (i) | 642 | ||||||
725 | Crown Americas LLC/Crown Americas Capital Corp III, 6.250%, 02/01/21 (e) | 729 | ||||||
675 | Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16 | 705 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
1,000 | 6.875%, 02/15/21 (e) | 930 | ||||||
1,975 | 7.125%, 04/15/19 (e) | 1,871 | ||||||
700 | 8.500%, 10/15/16 (e) | 716 | ||||||
500 | Sealed Air Corp., 7.875%, 06/15/17 | 526 | ||||||
700 | Silgan Holdings, Inc., 7.250%, 08/15/16 | 731 | ||||||
|
| |||||||
11,036 | ||||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
875 | AK Steel Corp., 7.625%, 05/15/20 | 805 | ||||||
925 | APERAM, (Luxembourg), 7.750%, 04/01/18 (e) | 855 | ||||||
106 | Arch Western Finance LLC, 6.750%, 07/01/13 | 106 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
570 | 4.800%, 04/15/13 | 607 | ||||||
575 | 5.400%, 03/29/17 | 669 | ||||||
1,110 | 5.500%, 04/01/14 | 1,236 | ||||||
120 | 6.500%, 04/01/19 | 148 | ||||||
230 | Corp. Nacional del Cobre de Chile, (Chile), Reg. S., 7.500%, 01/15/19 | 293 | ||||||
1,500 | Edgen Murray Corp., 12.250%, 01/15/15 | 1,429 | ||||||
FMG Resources August 2006 Pty Ltd., (Australia), | ||||||||
1,875 | 6.875%, 02/01/18 (e) | 1,856 | ||||||
150 | 7.000%, 11/01/15 (e) | 150 | ||||||
1,510 | Nucor Corp., 6.400%, 12/01/37 | 1,819 | ||||||
538 | Rio Tinto Finance USA Ltd., (Australia), 3.500%, 11/02/20 | 535 | ||||||
270 | Severstal Columbus LLC, 10.250%, 02/15/18 | 279 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Metals & Mining — Continued | ||||||||
Steel Dynamics, Inc., | ||||||||
1,500 | 6.750%, 04/01/15 | 1,504 | ||||||
10 | 7.750%, 04/15/16 | 10 | ||||||
United States Steel Corp., | ||||||||
474 | 6.050%, 06/01/17 | 454 | ||||||
280 | 7.000%, 02/01/18 | 269 | ||||||
1,000 | 7.375%, 04/01/20 | 947 | ||||||
225 | Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i) | 225 | ||||||
|
| |||||||
14,196 | ||||||||
|
| |||||||
Paper & Forest Products — 1.1% | ||||||||
710 | AbitibiBowater, Inc., 10.250%, 10/15/18 (e) | 746 | ||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
14,926 | 6.000%, 06/20/13 (d) | 37 | ||||||
7,648 | 8.375%, 04/01/15 (d) | 19 | ||||||
Abitibi-Consolidated, Inc., (Canada), | ||||||||
1,199 | 7.500%, 04/01/28 (d) | 3 | ||||||
1,999 | 7.750%, 06/15/11 (d) | 5 | ||||||
730 | 8.850%, 08/01/30 (d) | 2 | ||||||
2,300 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 2,306 | ||||||
500 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 511 | ||||||
Cascades, Inc., (Canada), | ||||||||
750 | 7.750%, 12/15/17 | 727 | ||||||
400 | 7.875%, 01/15/20 | 385 | ||||||
700 | Clearwater Paper Corp., 7.125%, 11/01/18 | 704 | ||||||
Domtar Corp., | ||||||||
126 | 7.125%, 08/15/15 | 138 | ||||||
950 | 10.750%, 06/01/17 | 1,183 | ||||||
Georgia-Pacific LLC, | ||||||||
1,000 | 5.400%, 11/01/20 (e) | 1,031 | ||||||
875 | 7.125%, 01/15/17 (e) | 927 | ||||||
1,200 | 7.750%, 11/15/29 | 1,355 | ||||||
400 | 8.250%, 05/01/16 (e) | 457 | ||||||
1,154 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) (f) (i) | 20 | ||||||
NewPage Corp., | ||||||||
4,000 | 10.000%, 05/01/12 | 470 | ||||||
5,650 | 11.375%, 12/31/14 | 4,972 | ||||||
P.H. Glatfelter Co., | ||||||||
1,500 | 7.125%, 05/01/16 | 1,523 | ||||||
1,000 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 1,080 | ||||||
1,650 | Potlatch Corp., 7.500%, 11/01/19 | 1,675 | ||||||
300 | Sappi Papier Holding GmbH, (Austria), 6.625%, 04/15/21 (e) | 267 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 103 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Paper & Forest Products — Continued | ||||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
1,640 | 8.000%, 03/15/17 (d) (f) (i) | 29 | ||||||
2,656 | 8.375%, 07/01/12 (d) (f) (i) | 46 | ||||||
675 | Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 | 715 | ||||||
Weyerhaeuser Co., | ||||||||
350 | 7.375%, 10/01/19 | 397 | ||||||
1,750 | 7.375%, 03/15/32 | 1,866 | ||||||
|
| |||||||
23,596 | ||||||||
|
| |||||||
Total Materials | 63,385 | |||||||
|
| |||||||
Telecommunication Services — 1.9% | ||||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
AT&T, Inc., | ||||||||
1,030 | 5.350%, 09/01/40 | 1,049 | ||||||
220 | 5.600%, 05/15/18 | 254 | ||||||
465 | 5.800%, 02/15/19 | 549 | ||||||
1,500 | 6.300%, 01/15/38 | 1,679 | ||||||
31 | AT&T, Corp.,.8.000%, 11/15/31 | 42 | ||||||
BellSouth Corp., | ||||||||
2,090 | 5.200%, 09/15/14 | 2,314 | ||||||
100 | 6.875%, 10/15/31 | 118 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
412 | 6.300%, 12/15/15 | 442 | ||||||
330 | 7.000%, 12/01/95 | 371 | ||||||
Cincinnati Bell, Inc., | ||||||||
800 | 8.250%, 10/15/17 | 798 | ||||||
145 | 8.750%, 03/15/18 | 136 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
100 | 6.750%, 08/20/18 | 121 | ||||||
1,000 | 8.750%, 06/15/30 | 1,352 | ||||||
Frontier Communications Corp., | ||||||||
785 | 7.125%, 03/15/19 | 772 | ||||||
1,165 | 8.125%, 10/01/18 | 1,204 | ||||||
15 | 8.250%, 04/15/17 | 16 | ||||||
215 | 8.500%, 04/15/20 | 225 | ||||||
15 | 8.750%, 04/15/22 | 16 | ||||||
800 | GTE Corp., 6.840%, 04/15/18 | 961 | ||||||
2,750 | Level 3 Communications, Inc., 11.875%, 02/01/19 (e) | 2,853 | ||||||
Qwest Communications International, Inc., | ||||||||
1,000 | 7.125%, 04/01/18 | 1,050 | ||||||
90 | 8.000%, 10/01/15 | 96 | ||||||
1,000 | Qwest Corp., 6.500%, 06/01/17 | 1,071 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
562 | 5.250%, 11/15/13 | 562 | ||||||
190 | 7.721%, 06/04/38 | 185 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
138 | 5.462%, 02/16/21 | 133 | ||||||
600 | 5.855%, 02/04/13 | 620 | ||||||
80 | 5.877%, 07/15/19 | 80 | ||||||
Verizon Communications, Inc., | ||||||||
585 | 6.900%, 04/15/38 | 714 | ||||||
75 | 7.350%, 04/01/39 | 96 | ||||||
Verizon Global Funding Corp., | ||||||||
820 | 7.750%, 12/01/30 | 1,082 | ||||||
290 | 7.750%, 06/15/32 | 382 | ||||||
2,000 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 2,608 | ||||||
1,000 | Virgin Media Secured Finance plc, (United Kingdom), 5.250%, 01/15/21 (e) | 1,087 | ||||||
Windstream Corp., | ||||||||
800 | 7.750%, 10/01/21 | 812 | ||||||
525 | 8.125%, 08/01/13 | 558 | ||||||
125 | 8.125%, 09/01/18 | 130 | ||||||
|
| |||||||
26,538 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% | ||||||||
732 | America Movil S.A.B. de C.V., (Mexico), 2.375%, 09/08/16 | 726 | ||||||
450 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 482 | ||||||
144 | Cricket Communications, Inc., 7.750%, 05/15/16 | 146 | ||||||
1,260 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 1,291 | ||||||
75 | MetroPCS Wireless, Inc., 7.875%, 09/01/18 | 76 | ||||||
2,750 | Nextel Communications, Inc., 7.375%, 08/01/15 | 2,705 | ||||||
NII Capital Corp., | ||||||||
365 | 8.875%, 12/15/19 | 386 | ||||||
185 | 10.000%, 08/15/16 | 208 | ||||||
240 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 | 293 | ||||||
1,050 | SBA Telecommunications, Inc., 8.000%, 08/15/16 | 1,105 | ||||||
800 | Sprint Capital Corp., 8.750%, 03/15/32 | 820 | ||||||
125 | Sprint Nextel Corp., 8.375%, 08/15/17 | 131 | ||||||
1,650 | Vimpel Communications Via VIP Finance Ireland Ltd.,OJSC, (Ireland), 7.748%, 02/02/21 (e) | 1,621 | ||||||
VimpelCom Holdings B.V., (Netherlands), | ||||||||
250 | 6.255%, 03/01/17 (e) | 238 |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Wireless Telecommunication Services — Continued |
| |||||||
450 | 7.504%, 03/01/22 (e) | 429 | ||||||
870 | Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 | 976 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
775 | 7.250%, 02/15/18 (e) | 727 | ||||||
275 | 11.750%, 07/15/17 (e) | 285 | ||||||
|
| |||||||
12,645 | ||||||||
|
| |||||||
Total Telecommunication Services | 39,183 | |||||||
|
| |||||||
Utilities — 2.9% | ||||||||
Electric Utilities — 1.7% | ||||||||
891 | Alabama Power Co., 6.125%, 05/15/38 | 1,103 | ||||||
Carolina Power & Light Co., | ||||||||
90 | 5.300%, 01/15/19 | 106 | ||||||
500 | 6.300%, 04/01/38 | 637 | ||||||
1,000 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 1,106 | ||||||
100 | Centrais Eletricas Brasileiras S.A., (Brazil), 6.875%, 07/30/19 (e) | 115 | ||||||
300 | Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39 | 336 | ||||||
925 | Consumers Energy Co., 6.700%, 09/15/19 | 1,158 | ||||||
80 | Dubai Electricity & Water Authority, (United Arab Emirates), 8.500%, 04/22/15 (e) | 88 | ||||||
Duke Energy Carolinas LLC, | ||||||||
780 | 4.300%, 06/15/20 | 853 | ||||||
200 | 5.250%, 01/15/18 | 234 | ||||||
500 | 5.625%, 11/30/12 | 530 | ||||||
1,100 | 6.050%, 04/15/38 | 1,329 | ||||||
500 | 6.250%, 01/15/12 | 510 | ||||||
280 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 295 | ||||||
1,200 | Enel Finance International N.V., (Luxembourg), 5.125%, 10/07/19 (e) | 1,200 | ||||||
115 | Florida Power Corp., 5.650%, 06/15/18 | 137 | ||||||
Georgia Power Co., | ||||||||
562 | 5.250%, 12/15/15 | 643 | ||||||
140 | 5.950%, 02/01/39 | 165 | ||||||
2,000 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 2,143 | ||||||
988 | Massachusetts Electric Co., 5.900%, 11/15/39 (e) | 1,168 | ||||||
860 | MidAmerican Energy Co., 5.300%, 03/15/18 | 998 | ||||||
Nevada Power Co., | ||||||||
446 | 5.375%, 09/15/40 | 492 | ||||||
600 | 7.125%, 03/15/19 | 753 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
275 | 5.350%, 06/15/13 | 293 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Electric Utilities — Continued | ||||||||
265 | 7.875%, 12/15/15 | 318 | ||||||
300 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 336 | ||||||
Nisource Finance Corp., | ||||||||
1,470 | 6.400%, 03/15/18 | 1,730 | ||||||
150 | 6.800%, 01/15/19 | 179 | ||||||
Northern States Power Co., | ||||||||
173 | 5.350%, 11/01/39 | 197 | ||||||
765 | 6.250%, 06/01/36 | 967 | ||||||
1,010 | Pacific Gas & Electric Co., 5.625%, 11/30/17 | 1,185 | ||||||
Pacificorp, | ||||||||
1,900 | 5.750%, 04/01/37 | 2,185 | ||||||
250 | 7.240%, 08/16/23 | 323 | ||||||
Peco Energy Co., | ||||||||
1,880 | 5.350%, 03/01/18 | 2,215 | ||||||
500 | 5.950%, 11/01/11 | 504 | ||||||
360 | Potomac Electric Power Co., 6.500%, 11/15/37 | 465 | ||||||
50 | Progress Energy, Inc., 6.050%, 03/15/14 | 56 | ||||||
1,121 | PSEG Power LLC, 5.125%, 04/15/20 | 1,223 | ||||||
Public Service Co. of Colorado, | ||||||||
198 | 3.200%, 11/15/20 | 202 | ||||||
35 | 6.500%, 08/01/38 | 45 | ||||||
1,050 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 1,194 | ||||||
Public Service Co. of Oklahoma, | ||||||||
88 | 5.150%, 12/01/19 | 99 | ||||||
1,100 | 6.625%, 11/15/37 | 1,328 | ||||||
Public Service Electric & Gas Co., | ||||||||
350 | 2.700%, 05/01/15 | 371 | ||||||
155 | 5.300%, 05/01/18 | 182 | ||||||
416 | 5.375%, 11/01/39 | 468 | ||||||
San Diego Gas & Electric Co., | ||||||||
249 | 4.500%, 08/15/40 | 254 | ||||||
500 | 6.000%, 06/01/39 | 625 | ||||||
Southern California Edison Co., | ||||||||
450 | 5.550%, 01/15/37 | 519 | ||||||
285 | 5.950%, 02/01/38 | 348 | ||||||
292 | Southern Co., 1.950%, 09/01/16 | 292 | ||||||
145 | Spectra Energy Capital LLC, 7.500%, 09/15/38 | 186 | ||||||
120 | Union Electric Co., 8.450%, 03/15/39 | 185 | ||||||
Virginia Electric and Power Co., | ||||||||
235 | 6.350%, 11/30/37 | 288 | ||||||
670 | 8.875%, 11/15/38 | 1,050 | ||||||
|
| |||||||
35,911 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 105 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Gas Utilities — 0.2% |
| |||||||
250 | ANR Pipeline Co., 9.625%, 11/01/21 | 362 | ||||||
600 | Atmos Energy Corp., 5.125%, 01/15/13 | 633 | ||||||
570 | CenterPoint Energy Resources Corp., 6.625%, 11/01/37 | 683 | ||||||
155 | EQT Corp., 8.125%, 06/01/19 | 191 | ||||||
325 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e) | 314 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
1,505 | 4.000%, 06/15/13 | 1,589 | ||||||
1,000 | 6.200%, 10/15/37 | 1,187 | ||||||
|
| |||||||
4,959 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.8% |
| |||||||
AES Eastern Energy LP, | ||||||||
481 | 9.000%, 01/02/17 | 289 | ||||||
2,000 | 9.670%, 01/02/29 | 1,200 | ||||||
3,450 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 3,648 | ||||||
Dynegy Holdings, Inc., | ||||||||
105 | 7.625%, 10/15/26 | 59 | ||||||
4,770 | 7.750%, 06/01/19 | 2,910 | ||||||
Edison Mission Energy, | ||||||||
2,335 | 7.000%, 05/15/17 | 1,635 | ||||||
800 | 7.200%, 05/15/19 | 532 | ||||||
165 | 7.750%, 06/15/16 | 125 | ||||||
267 | FPL Energy National Wind Portfolio LLC, 6.125%, 03/25/19 (e) | 261 | ||||||
255 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 227 | ||||||
733 | Homer City Funding LLC, 8.137%, 10/01/19 | 601 | ||||||
1,553 | Midwest Generation LLC, 8.560%, 01/02/16 | 1,530 | ||||||
2,750 | NRG Energy, Inc., 7.625%, 01/15/18 (e) | 2,723 | ||||||
348 | Ormat Funding Corp., 8.250%, 12/30/20 | 330 | ||||||
235 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 91 | ||||||
|
| |||||||
16,161 | ||||||||
|
| |||||||
Multi-Utilities — 0.1% |
| |||||||
Dominion Resources, Inc., | ||||||||
46 | 4.900%, 08/01/41 | 45 | ||||||
400 | 7.000%, 06/15/38 | 516 | ||||||
160 | DTE Energy Co., 7.625%, 05/15/14 | 185 | ||||||
Sempra Energy, | ||||||||
255 | 6.150%, 06/15/18 | 298 | ||||||
75 | 6.500%, 06/01/16 | 89 | ||||||
220 | 8.900%, 11/15/13 | 253 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Multi-Utilities — Continued |
| |||||||
420 | 9.800%, 02/15/19 | 591 | ||||||
|
| |||||||
1,977 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
925 | American Water Capital Corp., 6.085%, 10/15/17 | 1,094 | ||||||
|
| |||||||
Total Utilities | 60,102 | |||||||
|
| |||||||
Total Corporate Bonds | 782,913 | |||||||
|
| |||||||
| Foreign Government Securities — 1.9% |
| ||||||
200 | Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e) | 227 | ||||||
BRL | 620 | Brazil Notas do Tesouro Nacional Serie F, (Brazil), 10.000%, 01/01/17 (d) | 367 | |||||
100 | Citigroup Funding, Inc., CLN, 10.993%, 07/27/20 (linked to Republic of Colombia, 10.993%, 07/27/20; credit rating BBB+) (e) (f) (i) | 96 | ||||||
270 | Citigroup Funding, Inc., CLN, 11.000%, 07/27/20 (linked to Republic of Colombia, 11.000%, 07/27/20; credit rating BBB+), | 263 | ||||||
220 | Citigroup Funding, Inc., CLN, 13.300%, 10/02/13 (linked to Republic of Ghana, 13.300%, 10/02/13; credit rating BBB+) (e) (f) (i) | 201 | ||||||
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) | 102 | ||||||
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) | 121 | ||||||
60 | Credit Suisse First Boston International for CJSC The EXIM of Ukraine, (Ukraine), 7.650%, 09/07/11 | 60 | ||||||
280 | Deutsche Bank AG, CLN, 10.250%, 07/15/17 (linked to Indonesia Government Bond, 10.250%; credit rating BB+), (Germany), 10.250%,07/15/27 (f) (i) | 407 | ||||||
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) | 140 | ||||||
Federal Republic of Brazil, (Brazil), | ||||||||
400 | 8.250%, 01/20/34 | 581 | ||||||
380 | 11.000%, 08/17/40 | 523 |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Foreign Government Securities — Continued |
| ||||||
299 | 12.250%, 03/06/30 | 574 | ||||||
BRL565 | 12.500%, 01/05/22 | 458 | ||||||
Government of Dominican Republic, (Dominican Republic), | ||||||||
210 | Reg. S., 7.500%, 05/06/21 | 215 | ||||||
186 | Reg. S., 9.040%, 01/23/18 | 208 | ||||||
DOP 8,500 | 15.950%, 06/04/21 (e) | 215 | ||||||
Government of Ukraine, (Ukraine), | ||||||||
730 | 6.580%, 11/21/16 (e) | 732 | ||||||
235 | Reg. S., 7.750%, 09/23/20 | 243 | ||||||
108 | IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24 | 121 | ||||||
200 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 206 | ||||||
655 | Province of Nova Scotia, (Canada), 9.250%, 03/01/20 | 968 | ||||||
Province of Ontario, (Canada), | ||||||||
780 | 2.700%, 06/16/15 | 826 | ||||||
1,635 | 2.950%, 02/05/15 | 1,741 | ||||||
300 | Province of Quebec, (Canada), 6.350%, 01/30/26 | 388 | ||||||
160 | Provincia de Buenos Aires, (Argentina), 11.750%, 10/05/15 (e) | 158 | ||||||
Republic of Argentina, (Argentina), | ||||||||
ARS 500 | VAR, 0.000%, 12/31/33 | 186 | ||||||
50 | SUB, 2.500%, 12/31/38 | 20 | ||||||
1,227 | SUB, 2.500%, 12/31/38 | 497 | ||||||
575 | 7.000%, 10/03/15 | 549 | ||||||
216 | 8.280%, 12/31/33 | 177 | ||||||
845 | 8.750%, 06/02/17 | 843 | ||||||
Republic of Belarus, (Belarus), | ||||||||
520 | 8.750%, 08/03/15 | 429 | ||||||
190 | 8.950%, 01/26/18 | 155 | ||||||
Republic of Colombia, (Colombia), | ||||||||
200 | 4.375%, 07/12/21 | 211 | ||||||
240 | 8.125%, 05/21/24 | 331 | ||||||
270 | 10.375%, 01/28/33 | 440 | ||||||
Republic of Croatia, (Croatia), | ||||||||
400 | 6.375%, 03/24/21 (e) | 394 | ||||||
190 | Reg. S., 6.625%, 07/14/20 | 192 | ||||||
200 | Republic of Ecuador, (Ecuador), 9.375%, 12/15/15 | 196 | ||||||
Republic of El Salvador, (El Salvador), | ||||||||
130 | Reg. S., 7.375%, 12/01/19 | 145 | ||||||
240 | Reg. S., 7.650%, 06/15/35 | 253 | ||||||
140 | Reg. S., 8.250%, 04/10/32 | 158 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Republic of Hungary, (Hungary), | ||||||||
401 | 6.250%, 01/29/20 | 412 | ||||||
120 | 6.375%, 03/29/21 | 123 | ||||||
190 | 7.625%, 03/29/41 | 199 | ||||||
288 | 7.625%, 03/29/41 | 301 | ||||||
Republic of Indonesia, (Indonesia), | ||||||||
255 | Reg. S., 6.750%, 03/10/14 | 283 | ||||||
50 | Reg. S., 7.750%, 01/17/38 | 67 | ||||||
340 | Reg. S., 8.500%, 10/12/35 | 485 | ||||||
350 | 11.625%, 03/04/19 (e) | 527 | ||||||
250 | Republic of Iraq, (Iraq), Reg. S., 5.800%, 01/15/28 | 223 | ||||||
6,000 | Republic of Israel, (Israel), Zero Coupon, 08/15/17 | 5,424 | ||||||
320 | Republic of Ivory Coast, (Ivory Coast), Reg. S., 0.000%, 12/31/32 | 172 | ||||||
Republic of Lithuania, (Lithuania), | ||||||||
435 | 5.125%, 09/14/17 (e) | 449 | ||||||
130 | Reg. S., 5.125%, 09/14/17 | 135 | ||||||
160 | Reg. S., 6.750%, 01/15/15 | 174 | ||||||
200 | Republic of Nigeria, (Nigeria), Reg. S., 6.750%, 01/28/21 | 213 | ||||||
170 | Republic of Pakistan, (Pakistan), Reg. S., 7.125%, 03/31/16 | 146 | ||||||
Republic of Panama, (Panama), | ||||||||
280 | 7.250%, 03/15/15 | 328 | ||||||
90 | 8.875%, 09/30/27 | 133 | ||||||
380 | 9.375%, 04/01/29 | 582 | ||||||
Republic of Peru, (Peru), | ||||||||
310 | 5.625%, 11/18/50 | 322 | ||||||
PEN 737 | Reg. S., 6.950%, 08/12/31 | 288 | ||||||
330 | 7.350%, 07/21/25 | 429 | ||||||
60 | 8.375%, 05/03/16 | 75 | ||||||
218 | 8.750%, 11/21/33 | 325 | ||||||
88 | 9.875%, 02/06/15 | 110 | ||||||
Republic of Philippines, (Philippines), | ||||||||
170 | 4.000%, 01/15/21 | 173 | ||||||
100 | 6.500%, 01/20/20 | 119 | ||||||
390 | 7.750%, 01/14/31 | 522 | ||||||
100 | 9.500%, 02/02/30 | 154 | ||||||
470 | 10.625%, 03/16/25 | 746 | ||||||
90 | Republic of Serbia, (Serbia), Reg. S., SUB, 6.750%, 11/01/24 | 90 | ||||||
Republic of South Africa, (South Africa), | ||||||||
430 | 5.500%, 03/09/20 | 489 | ||||||
125 | 6.875%, 05/27/19 | 154 | ||||||
ZAR 1,515 | 10.500%, 12/21/26 | 261 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 107 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Foreign Government Securities — Continued |
| ||||||
470 | Republic of Sri Lanka, (Sri Lanka), 6.250%, 10/04/20 (e) | 478 | ||||||
Republic of Turkey, (Turkey), | ||||||||
190 | 5.625%, 03/30/21 | 204 | ||||||
500 | 6.750%, 04/03/18 | 575 | ||||||
115 | 6.875%, 03/17/36 | 129 | ||||||
335 | 7.250%, 03/15/15 | 380 | ||||||
477 | 7.250%, 03/05/38 | 560 | ||||||
100 | 7.500%, 07/14/17 | 118 | ||||||
Republic of Uruguay, (Uruguay), | ||||||||
UYU 584 | 4.993%, 06/26/37 | 39 | ||||||
UYU 3,000 | 5.781%, 04/05/27 | 230 | ||||||
300 | 7.625%, 03/21/36 | 396 | ||||||
Republic of Venezuela, (Venezuela), | ||||||||
662 | Reg. S., 5.750%, 02/26/16 | 500 | ||||||
525 | Reg. S., 6.000%, 12/09/20 | 311 | ||||||
305 | Reg. S., 7.750%, 10/13/19 | 209 | ||||||
93 | Reg. S., 9.000%, 05/07/23 | 63 | ||||||
108 | Reg. S., 12.750%, 08/23/22 | 94 | ||||||
Russian Federation, (Russia), | ||||||||
1,742 | Reg. S., SUB, 7.500%, 03/31/30 | 2,087 | ||||||
130 | Reg. S., 12.750%, 06/24/28 | 231 | ||||||
330 | State of Qatar, (Qatar), Reg. S., 5.250%, 01/20/20 | 371 | ||||||
United Mexican States, (Mexico), | ||||||||
640 | 5.625%, 01/15/17 | 734 | ||||||
230 | 5.750%, 10/12/10 | 227 | ||||||
498 | 5.950%, 03/19/19 | 588 | ||||||
260 | 6.050%, 01/11/40 | 298 | ||||||
100 | 6.750%, 09/27/34 | 125 | ||||||
MXN 4,000 | 7.750%, 12/14/17 | 366 | ||||||
100 | 8.300%, 08/15/31 | 144 | ||||||
|
| |||||||
Total Foreign Government Securities | 39,407 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 5.2% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
160 | ARM, 2.000%, 08/01/36 | 168 | ||||||
419 | ARM, 2.790%, 03/01/36 | 445 | ||||||
813 | ARM, 3.308%, 03/01/36 | 868 | ||||||
348 | ARM, 4.979%, 10/01/36 | 370 | ||||||
735 | ARM, 5.550%, 10/01/37 | 787 | ||||||
137 | ARM, 5.938%, 05/01/37 | 146 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
1,833 | 4.000%, 08/01/18 - 05/01/19 | 1,939 | ||||||
942 | 4.500%, 10/01/18 | 1,001 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
115 | 5.000%, 05/01/18 | 125 | ||||||
772 | 5.500%, 01/01/21 | 846 | ||||||
746 | 6.000%, 11/01/21 | 812 | ||||||
441 | 6.500%, 07/01/14 | 465 | ||||||
92 | 7.500%, 01/01/17 | 100 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
1,499 | 6.500%, 11/01/22 - 03/01/26 | 1,681 | ||||||
419 | 7.000%, 01/01/27 | 481 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
475 | 4.000%, 09/01/33 | 497 | ||||||
2,841 | 4.500%, 05/01/41 | 3,004 | ||||||
150 | 6.000%, 02/01/29 | 168 | ||||||
1,157 | 6.500%, 01/01/24 - 11/01/36 | 1,314 | ||||||
1,241 | 7.000%, 09/01/24 - 10/01/36 (m) | 1,424 | ||||||
145 | 7.500%, 10/01/19 - 02/01/27 | 162 | ||||||
150 | 8.000%, 08/01/27 - 03/01/30 | 179 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
2,614 | 7.500%, 01/01/32 - 12/01/36 | 3,056 | ||||||
595 | 10.000%, 10/01/30 | 715 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
154 | 7.000%, 12/01/14 - 03/01/16 | 166 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
5 | 7.500%, 02/01/17 | 5 | ||||||
7 | 12.000%, 08/01/15 - 07/01/19 | 8 | ||||||
— | (h) | 13.000%, 06/01/14 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
217 | ARM, 2.434%, 01/01/34 | 228 | ||||||
351 | ARM, 2.470%, 05/01/35 | 371 | ||||||
25 | ARM, 2.750%, 10/01/33 | 25 | ||||||
687 | ARM, 4.478%, 04/01/37 | 724 | ||||||
119 | ARM, 5.057%, 04/01/37 | 127 | ||||||
1,423 | ARM, 5.629%, 01/01/23 | 1,547 | ||||||
490 | ARM, 5.646%, 03/01/37 | 521 | ||||||
368 | ARM, 5.657%, 07/01/37 | 393 | ||||||
482 | ARM, 6.000%, 02/01/37 | 521 | ||||||
174 | ARM, 6.071%, 07/01/37 | 185 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
5,671 | 3.500%, 09/01/18 - 07/01/19 | 6,060 | ||||||
3,470 | 4.000%, 07/01/18 - 12/01/18 | 3,696 | ||||||
416 | 4.500%, 07/01/18 | 447 | ||||||
2,243 | 5.000%, 05/01/18 - 11/01/18 | 2,432 |
SEE NOTES TO FINANCIAL STATEMENTS.
108 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
1,144 | 5.500%, 08/01/17 - 07/01/20 | 1,243 | ||||||
2,165 | 6.000%, 01/01/14 - 08/01/22 | 2,355 | ||||||
53 | 6.500%, 05/01/13 | 55 | ||||||
— | (h) | 7.000%, 03/01/15 | — | (h) | ||||
2 | 7.500%, 02/01/12 | 2 | ||||||
20 | 8.000%, 01/01/16 | 20 | ||||||
— | (h) | 8.500%, 11/01/11 | — | (h) | ||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,931 | 3.500%, 12/01/30 | 1,989 | ||||||
2,175 | 6.000%, 04/01/24 - 08/01/27 | 2,416 | ||||||
941 | 6.500%, 11/01/18 | 1,052 | ||||||
311 | Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34 | 342 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
512 | 5.500%, 12/01/28 - 07/01/29 | 565 | ||||||
1,915 | 6.000%, 04/01/35 - 08/01/37 | 2,144 | ||||||
3,790 | 6.500%, 04/01/28 - 10/01/38 | 4,287 | ||||||
2,053 | 7.000%, 03/01/28 - 04/01/37 | 2,365 | ||||||
852 | 7.500%, 09/01/25 - 11/01/38 | 988 | ||||||
— | (h) | 8.000%, 08/01/22 | — | (h) | ||||
68 | 8.500%, 10/01/25 - 12/01/25 | 80 | ||||||
5 | 9.000%, 01/01/19 - 04/01/25 | 6 | ||||||
22 | 12.500%, 01/01/16 | 22 | ||||||
Federal National Mortgage Association, Other, | ||||||||
1,891 | 2.573%, 10/01/17 | 1,917 | ||||||
1,750 | 3.482%, 11/01/20 | 1,797 | ||||||
1,680 | 3.492%, 01/01/18 | 1,767 | ||||||
1,575 | 3.590%, 10/01/20 | 1,641 | ||||||
1,514 | 3.730%, 06/01/18 | 1,632 | ||||||
1,652 | 3.937%, 01/01/19 | 1,764 | ||||||
1,275 | 4.195%, 07/01/21 | 1,362 | ||||||
2,465 | 4.515%, 02/01/20 | 2,703 | ||||||
3,000 | 4.546%, 02/01/20 | 3,292 | ||||||
1,989 | 4.794%, 01/01/21 | 2,204 | ||||||
1,597 | 5.000%, 12/01/32 - 08/01/33 | 1,721 | ||||||
925 | 5.500%, 09/01/17 | 1,000 | ||||||
500 | 6.500%, 04/01/36 - 07/01/36 | 558 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
9,956 | 6.000%, 11/20/32 - 09/20/36 | 11,249 | ||||||
1,240 | 6.500%, 02/20/29 - 10/20/39 | 1,406 | ||||||
6,999 | 7.000%, 06/20/32 - 01/20/39 | 8,165 | ||||||
765 | 7.500%, 08/20/25 - 05/20/32 | 880 | ||||||
1,107 | 8.000%, 08/20/26 - 09/20/31 | 1,319 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
1,151 | Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23 | 1,278 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
458 | 6.500%, 02/15/28 - 10/15/29 | 528 | ||||||
149 | 7.000%, 02/15/24 - 02/15/28 | 173 | ||||||
139 | 7.250%, 07/15/21 - 01/15/28 | 161 | ||||||
79 | 7.500%, 10/15/22 - 09/15/29 | 84 | ||||||
7 | 7.750%, 02/15/27 | 7 | ||||||
3 | 8.500%, 11/15/25 | 4 | ||||||
120 | 9.000%, 04/15/16 - 01/15/25 | 137 | ||||||
5 | 10.000%, 11/15/20 | 5 | ||||||
2 | 13.000%, 01/15/15 | 2 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 106,896 | |||||||
|
| |||||||
| Municipal Bonds — 0.5% |
| ||||||
California — 0.1% | ||||||||
1,000 | Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39 | 1,146 | ||||||
|
| |||||||
Illinois — 0.1% | ||||||||
780 | Railsplitter Tobacco Settlement Authority, Rev., 5.250%, 06/01/21 | 828 | ||||||
1,960 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 1,705 | ||||||
|
| |||||||
2,533 | ||||||||
|
| |||||||
New York — 0.2% | ||||||||
900 | New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.375%, 06/15/43 | 987 | ||||||
New York State Dormitory Authority, State Personal Taxable General Purpose, Build America Bonds, | ||||||||
560 | Series H, Rev., 5.289%, 03/15/33 | 581 | ||||||
1,165 | Series H, Rev., 5.389%, 03/15/40 | 1,215 | ||||||
1,450 | Port Authority of New York & New Jersey, Rev., 5.647%, 11/01/40 | 1,593 | ||||||
|
| |||||||
4,376 | ||||||||
|
| |||||||
Ohio — 0.1% | ||||||||
1,040 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 1,258 | ||||||
|
| |||||||
Oklahoma — 0.0% (g) | ||||||||
900 | Oklahoma City Water Utilities Trust, Water & Sewer, Rev., 5.375%, 07/01/40 | 1,012 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 109 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Municipal Bonds — Continued |
| ||||||
Washington — 0.0% (g) | ||||||||
900 | City of Seattle, Light & Power Improvement, Series A, Rev., 5.250%, 02/01/33 | 982 | ||||||
|
| |||||||
Total Municipal Bonds | 11,307 | |||||||
|
| |||||||
| Supranational — 0.1% |
| ||||||
1,260 | Corp. Andina de Fomento, 3.750%, 01/15/16 | 1,285 | ||||||
330 | Eurasian Development Bank, Reg. S., 7.375%, 09/29/14 | 352 | ||||||
|
| |||||||
Total Supranational | 1,637 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 1.1% |
| ||||||
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 | 964 | ||||||
635 | 5.250%, 04/18/16 | 754 | ||||||
385 | 6.750%, 09/15/29 | 549 | ||||||
Federal National Mortgage Association, | ||||||||
7,360 | Zero Coupon, 06/01/17 | 6,652 | ||||||
825 | 5.000%, 05/11/17 | 981 | ||||||
1,500 | 5.625%, 07/15/37 | 1,888 | ||||||
1,000 | 8.200%, 03/10/16 | 1,310 | ||||||
1,000 | Federal National Mortgage Association Interest Strip, 11/15/21 | 728 | ||||||
Financing Corp. Fico, | ||||||||
1,285 | Zero Coupon, 04/05/19 | 1,094 | ||||||
500 | Zero Coupon, 09/26/19 | 416 | ||||||
426 | New Valley Generation II, 5.572%, 05/01/20 | 504 | ||||||
669 | New Valley Generation III, 4.929%, 01/15/21 | 775 | ||||||
2,870 | Residual Funding Corp., Principal Strip, Zero Coupon, 07/15/20 | 2,309 | ||||||
Tennessee Valley Authority, | ||||||||
902 | 4.625%, 09/15/60 | 977 | ||||||
869 | 5.250%, 09/15/39 | 1,021 | ||||||
500 | Tennessee Valley Authority Principal Strip, Zero Coupon, 11/01/25 | 293 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 22,742 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 18.5% |
| ||||||
U.S. Treasury Bonds, | ||||||||
85 | 3.500%, 02/15/39 | 84 | ||||||
555 | 4.375%, 02/15/38 | 637 | ||||||
5,000 | 4.500%, 02/15/36 | 5,878 | ||||||
3,890 | 4.500%, 05/15/38 | 4,554 | ||||||
2,500 | 5.250%, 02/15/29 | 3,229 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
1,000 | 5.500%, 08/15/28 | 1,326 | ||||||
2,340 | 6.000%, 02/15/26 | 3,217 | ||||||
5,000 | 6.250%, 08/15/23 | 6,912 | ||||||
4,250 | 6.375%, 08/15/27 | 6,113 | ||||||
7,600 | 7.125%, 02/15/23 | 11,160 | ||||||
7,200 | 7.250%, 08/15/22 | 10,604 | ||||||
20,000 | 7.500%, 11/15/16 (m) | 26,623 | ||||||
4,800 | 7.500%, 11/15/24 | 7,381 | ||||||
2,625 | 7.875%, 02/15/21 | 3,937 | ||||||
1,937 | 8.125%, 08/15/19 | 2,866 | ||||||
13,600 | 8.125%, 05/15/21 (m) | 20,790 | ||||||
10,000 | 8.125%, 08/15/21 | 15,350 | ||||||
5,000 | 8.500%, 02/15/20 | 7,626 | ||||||
6,000 | 8.750%, 08/15/20 | 9,353 | ||||||
24,560 | 8.875%, 08/15/17 (m) | 35,445 | ||||||
1,000 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 | 2,001 | ||||||
U.S. Treasury Notes, | ||||||||
90 | 1.000%, 10/31/11 | 90 | ||||||
45 | 1.375%, 04/15/12 (k) | 46 | ||||||
4,000 | 1.375%, 09/15/12 | 4,051 | ||||||
6,625 | 1.375%, 10/15/12 (m) | 6,716 | ||||||
5,275 | 1.375%, 11/15/12 | 5,352 | ||||||
10,000 | 1.875%, 06/15/12 | 10,139 | ||||||
100 | 2.000%, 04/30/16 | 105 | ||||||
225 | 2.250%, 05/31/14 | 237 | ||||||
335 | 2.250%, 01/31/15 | 356 | ||||||
11,000 | 2.250%, 11/30/17 | 11,597 | ||||||
2,780 | 2.625%, 02/29/16 | 3,007 | ||||||
130 | 2.625%, 04/30/16 | 140 | ||||||
16,440 | 2.750%, 05/31/17 | 17,858 | ||||||
7,115 | 2.875%, 03/31/18 | 7,766 | ||||||
1,000 | 3.125%, 10/31/16 | 1,107 | ||||||
10,654 | 3.125%, 05/15/19 | 11,766 | ||||||
2,250 | 3.250%, 03/31/17 | 2,507 | ||||||
7,860 | 4.750%, 08/15/17 | 9,453 | ||||||
U.S. Treasury STRIPS, | ||||||||
308 | 05/15/14 | 306 | ||||||
2,000 | 11/15/14 | 1,970 | ||||||
2,425 | 11/15/15 | 2,349 | ||||||
6,980 | 05/15/16 | 6,682 | ||||||
6,916 | 02/15/17 | 6,478 | ||||||
12,239 | 08/15/17 | 11,303 | ||||||
19,170 | 11/15/17 | 17,547 | ||||||
6,000 | 02/15/18 | 5,446 | ||||||
1,606 | 08/15/18 | 1,432 |
SEE NOTES TO FINANCIAL STATEMENTS.
110 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
185 | 08/15/19 | 159 | ||||||
4,701 | 05/15/20 | 3,885 | ||||||
5,185 | 11/15/20 | 4,191 | ||||||
5,000 | 05/15/21 | 3,949 | ||||||
22,000 | 11/15/21 (m) | 16,971 | ||||||
5,000 | 08/15/22 | 3,719 | ||||||
5,000 | 11/15/22 | 3,676 | ||||||
4,000 | 08/15/24 | 2,697 | ||||||
5,000 | 11/15/24 | 3,331 | ||||||
2,900 | 02/15/25 | 1,908 | ||||||
2,550 | 02/15/27 | 1,528 | ||||||
8,000 | 11/15/27 | 4,617 | ||||||
2,615 | 02/15/28 | 1,491 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 383,014 | |||||||
|
| |||||||
SHARES | ||||||||
| Common Stocks — 0.6% |
| ||||||
Consumer Discretionary — 0.2% | ||||||||
Automobiles — 0.1% | ||||||||
72 | General Motors Co. (a) | 1,729 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.0% (g) | ||||||||
31 | True Temper Holdings Corp., Inc. (a) (f) (i) | 232 | ||||||
|
| |||||||
Media — 0.1% | ||||||||
56 | Charter Communications, Inc., Class A (a) | 2,772 | ||||||
|
| |||||||
Total Consumer Discretionary | 4,733 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) | ||||||||
Food Products — 0.0% (g) | ||||||||
40 | Eurofresh, Inc., ADR (a) (f) (i) | — | ||||||
|
| |||||||
Financials — 0.0% (g) | ||||||||
Diversified Financial Services — 0.0% (g) | ||||||||
— | (h) | Leucadia National Corp. | 6 | |||||
|
| |||||||
Industrials — 0.0% (g) | ||||||||
Airlines — 0.0% (g) | ||||||||
2 | Delta Air Lines, Inc. (a) | 13 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) | ||||||||
3 | Quad/Graphics, Inc. | 60 | ||||||
|
| |||||||
Total Industrials | 73 | |||||||
|
| |||||||
Information Technology — 0.0% (g) | ||||||||
Semiconductors & Semiconductor Equipment — 0.0% (g) |
| |||||||
87 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., | 580 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Materials — 0.4% | ||||||||
Chemicals — 0.1% | ||||||||
46 | LyondellBasell Industries N.V., (Netherlands), Class A | 1,579 | ||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
264 | U.S. Concrete, Inc. (a) | 1,506 | ||||||
|
| |||||||
Containers & Packaging — 0.0% (g) | ||||||||
9 | Constar International, Inc., ADR (a) (f) (i) | 3 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) | ||||||||
8 | Wolverine Tube, Inc., ADR (a) (f) (i) | 208 | ||||||
|
| |||||||
Paper & Forest Products — 0.2% | ||||||||
211 | AbitibiBowater, Inc., (Canada) (a) | 3,588 | ||||||
|
| |||||||
Total Materials | 6,884 | |||||||
|
| |||||||
Telecommunication Services — 0.0% (g) | ||||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
4 | AboveNet, Inc. | 274 | ||||||
— | (h) | XO Holdings, Inc. (a) (f) (i) | — | |||||
|
| |||||||
274 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
— | (h) | Sprint Nextel Corp. (a) | — | (h) | ||||
|
| |||||||
Total Telecommunication Services | 274 | |||||||
|
| |||||||
Utilities — 0.0% (g) | ||||||||
Independent Power Producers & Energy Traders — 0.0% (g) |
| |||||||
1 | NRG Energy, Inc. (a) | 23 | ||||||
|
| |||||||
Total Common Stocks | 12,573 | |||||||
|
| |||||||
| Preferred Stocks — 0.5% |
| ||||||
Consumer Discretionary — 0.3% | ||||||||
Automobiles — 0.1% | ||||||||
35 | General Motors Co., 4.750%, 12/01/13 | 1,395 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% | ||||||||
34 | Carriage Services Capital Trust, 7.000%, 06/01/29 | 1,273 | ||||||
|
| |||||||
Household Durables — 0.1% | ||||||||
153 | M/I Homes, Inc., Series A, 9.750%, 03/15/12 (a) (x) | 2,206 | ||||||
|
| |||||||
Total Consumer Discretionary | 4,874 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) | ||||||||
Food Products — 0.0% (g) | ||||||||
— | (h) | Eurofresh, Inc., ADR (a) (f) (i) | — | |||||
|
| |||||||
Financials — 0.2% | ||||||||
Commercial Banks — 0.1% | ||||||||
8 | CoBank ACB, 7.000%, 10/03/11 (e) (x) | 366 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 111 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Preferred Stocks — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
10 | CoBank ACB, Series C, 11.000%, 07/01/13 (e) (x) | 549 | ||||||
15 | CoBank ACB, Series D, 11.000%, 10/01/14 (x) | 818 | ||||||
|
| |||||||
1,733 | ||||||||
|
| |||||||
Consumer Finance — 0.1% | ||||||||
3 | Ally Financial, Inc., 7.000%, 12/31/11 (e) (x) | 2,417 | ||||||
14 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 375 | ||||||
|
| |||||||
2,792 | ||||||||
|
| |||||||
Total Financials | 4,525 | |||||||
|
| |||||||
Materials — 0.0% (g) | ||||||||
Containers & Packaging — 0.0% (g) | ||||||||
1 | Constar International, Inc. (a) (f) (i) | 191 | ||||||
|
| |||||||
Total Preferred Stocks | 9,590 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
| Loan Participations & Assignments — 2.6% | |||||||
Consumer Discretionary — 1.3% | ||||||||
Automobiles — 0.1% | ||||||||
1,550 | Chrysler, Term Loan B, VAR, 6.000%, 05/24/17 | 1,390 | ||||||
|
| |||||||
Broadcasting & Cable TV — 0.2% |
| |||||||
2,076 | Atlantic Broadband, Term Loan B, VAR, 4.000%, 03/08/16 | 1,963 | ||||||
1,990 | Midcontinent Communications, Term Loan B, VAR, 4.000%, 12/31/16 | 1,930 | ||||||
|
| |||||||
3,893 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.0% (g) | ||||||||
290 | Tishman Speyer Office, Term Loan, VAR, 8.000%, 05/04/12 | 284 | ||||||
|
| |||||||
Gaming — 0.3% | ||||||||
1,978 | CCM Merger, Inc., Term Loan, VAR, 7.000%, 03/01/17 | 1,909 | ||||||
Caesars Entertainment Operating Co., Inc., Term B-2 Loan, | ||||||||
1,398 | VAR, 3.218%, 01/28/15 | 1,204 | ||||||
2,602 | VAR, 3.253%, 01/28/15 | 2,242 | ||||||
Golden Nugget, Inc., Additional Term Advance, | ||||||||
139 | VAR, 3.190%, 06/30/14 | 118 | ||||||
46 | VAR, 3.190%, 06/30/14 | 40 | ||||||
46 | VAR, 3.190%, 06/30/14 | 39 | ||||||
41 | VAR, 3.190%, 06/30/14 | 35 | ||||||
Golden Nugget, Inc., Term Advance, | ||||||||
227 | VAR, 3.190%, 06/30/14 | 194 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Gaming — Continued | ||||||||
251 | VAR, 3.190%, 06/30/14 | 214 | ||||||
|
| |||||||
5,995 | ||||||||
|
| |||||||
Media — 0.5% | ||||||||
995 | Bresnan Communications, Term Loan B, VAR, 4.500%, 12/14/17 | 948 | ||||||
1,019 | Cengage Learning Acquisitions, Term Loan, VAR, 2.500%, 07/03/14 | 842 | ||||||
2,383 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.837%, 01/29/16 | 1,783 | ||||||
399 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 391 | ||||||
Media General, Inc., Term Loan, | ||||||||
156 | VAR, 4.719%, 03/29/13 | 133 | ||||||
919 | VAR, 4.819%, 03/29/13 | 787 | ||||||
1,460 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 1,431 | ||||||
1,750 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 1,807 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
136 | VAR, 9.000%, 10/24/14 | 77 | ||||||
537 | VAR, 9.000%, 10/24/14 | 304 | ||||||
554 | VAR, 9.000%, 10/24/14 | 314 | ||||||
437 | Univision Communications, Inc., Initial Term Loan, VAR, 2.221%, 09/29/14 | 392 | ||||||
Vertis, Inc., 1st Lien Term Loan, | ||||||||
2,542 | VAR, 11.750%, 12/21/15 | 2,110 | ||||||
41 | VAR, 11.750%, 12/21/15 | 34 | ||||||
|
| |||||||
11,353 | ||||||||
|
| |||||||
Specialty Retail — 0.2% | ||||||||
Claire’s Stores, Term Loan B, | ||||||||
2,880 | VAR, 2.996%, 05/29/14 | 2,502 | ||||||
604 | VAR, 3.003%, 05/29/14 | 524 | ||||||
721 | Gymboree, 1st Lien Term Loan, VAR, 5.000%, 02/23/18 | 641 | ||||||
|
| |||||||
3,667 | ||||||||
|
| |||||||
Total Consumer Discretionary | 26,582 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) | ||||||||
Food Products — 0.0% (g) | ||||||||
Bolthouse Farms, 1st Lien Term Loan, | ||||||||
138 | VAR, 5.500%, 02/11/16 | 134 | ||||||
— | (h) | VAR, 5.750%, 02/11/16 | — | (h) | ||||
|
| |||||||
Total Consumer Staples | 134 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
112 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued | |||||||
Energy — 0.1% | ||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||
211 | Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16 | 209 | ||||||
575 | MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18 | 550 | ||||||
239 | Western Refining, Inc., Term Loan B, VAR, 7.500%, 03/15/17 | 235 | ||||||
|
| |||||||
Total Energy | 994 | |||||||
|
| |||||||
Financials — 0.5% | ||||||||
Capital Markets — 0.1% | ||||||||
2,049 | Pinafore LLC, Term Loan B1, VAR, 4.250%, 09/29/16 | 1,967 | ||||||
|
| |||||||
Diversified Financial Services — 0.3% | ||||||||
11,427 | Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d) | 6,228 | ||||||
850 | Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d) | 465 | ||||||
|
| |||||||
6,693 | ||||||||
|
| |||||||
Insurance — 0.0% (g) | ||||||||
88 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14 | 83 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
I-Star, Term Loan A-1, | ||||||||
736 | VAR, 5.000%, 06/28/13 | 715 | ||||||
534 | VAR, 5.000%, 06/28/13 | 519 | ||||||
|
| |||||||
1,234 | ||||||||
|
| |||||||
Total Financials | 9,977 | |||||||
|
| |||||||
Health Care — 0.0% (g) | ||||||||
Health Care Providers & Services — 0.0% (g) | ||||||||
174 | Inventive Health, Consolidated Term Loan, VAR, 4.750%, 08/04/16 | 164 | ||||||
|
| |||||||
Pharmaceuticals — 0.0% (g) | ||||||||
Axcan Intermediate Holdings, Inc., Term Loan, | ||||||||
337 | VAR, 5.500%, 02/10/17 | 304 | ||||||
36 | VAR, 5.500%, 02/10/17 | 33 | ||||||
|
| |||||||
337 | ||||||||
|
| |||||||
Total Health Care | 501 | |||||||
|
| |||||||
Industrials — 0.3% | ||||||||
Aerospace & Defense — 0.0% (g) | ||||||||
550 | Ducommun, Inc., Term Loan B, VAR, 5.500%, 06/28/17 | 534 | ||||||
|
| |||||||
Air Freight & Logistics — 0.1% | ||||||||
2,000 | Ozborn-Hessey Logistics, 2nd Lien Term Loan, VAR, 10.500%, 10/08/16 | 1,780 | ||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Building Products — 0.1% | ||||||||
290 | Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.146%, 02/07/14 | 209 | ||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||
5 | VAR, 2.469%, 02/07/14 | 4 | ||||||
2,497 | VAR, 2.503%, 02/07/14 | 1,798 | ||||||
|
| |||||||
2,011 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% | ||||||||
350 | Baker Corp., International, Term Loan, VAR, 5.000%, 06/01/18 | 333 | ||||||
423 | Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16 | 405 | ||||||
800 | SCH Group, 1st Lien Term Loan, VAR, 6.625%, 04/28/17 | 696 | ||||||
|
| |||||||
1,434 | ||||||||
|
| |||||||
Electrical Equipment — 0.0% (g) | ||||||||
25 | Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16 | 24 | ||||||
393 | Electrical Components International, Inc., Term Loan, VAR, 6.750%, 02/04/17 (f) (i) | 379 | ||||||
150 | Sensata Technologies B.V., Term Loan, VAR, 4.000%, 05/12/18 | 144 | ||||||
|
| |||||||
547 | ||||||||
|
| |||||||
Machinery — 0.0% (g) | ||||||||
350 | Terex Corp., Term Loan, VAR, 5.500%, 04/28/17 | 343 | ||||||
|
| |||||||
Road & Rail — 0.0% (g) | ||||||||
Swift Transportation Co., Term Loan, | ||||||||
538 | VAR, 6.000%, 12/21/16 | 512 | ||||||
59 | VAR, 6.000%, 12/21/16 | 56 | ||||||
|
| |||||||
568 | ||||||||
|
| |||||||
Total Industrials | 7,217 | |||||||
|
| |||||||
Information Technology — 0.1% | ||||||||
Communications Equipment — 0.0% (g) | ||||||||
Syniverse Holdings, Inc., Term Loan B, | ||||||||
397 | VAR, 5.250%, 12/21/17 | 386 | ||||||
1 | VAR, 5.250%, 12/21/17 | 1 | ||||||
|
| |||||||
387 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% (g) |
| |||||||
Sensus USA, Inc., 1st Lien Term Loan, | ||||||||
298 | VAR, 4.750%, 05/09/17 | 286 | ||||||
1 | VAR, 5.750%, 05/09/17 | 2 | ||||||
|
| |||||||
288 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 113 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued | |||||||
IT Services — 0.1% | ||||||||
EVERTEC, Inc. Term Loan B1, | ||||||||
28 | VAR, 5.250%, 09/30/16 | 26 | ||||||
863 | VAR, 5.500%, 09/30/16 | 810 | ||||||
28 | VAR, 5.500%, 09/30/16 | 27 | ||||||
3 | VAR, 5.500%, 09/30/16 | 2 | ||||||
762 | First Data Corp., Initial Tranche B-1, VAR, 2.967%, 09/24/14 | 670 | ||||||
525 | First Data Corp., Initial Tranche B-3, VAR, 2.967%, 09/24/14 | 461 | ||||||
|
| |||||||
1,996 | ||||||||
|
| |||||||
Total Information Technology | 2,671 | |||||||
|
| |||||||
Materials — 0.1% | ||||||||
Chemicals — 0.1% | ||||||||
487 | AZ Chem U.S., Inc., Term Loan, VAR, 4.750%, 11/21/16 | 470 | ||||||
620 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, VAR, 2.496%, 05/15/14 | 590 | ||||||
Nexeo Solutions, Term Loan, | ||||||||
115 | VAR, 5.000%, 09/08/17 | 105 | ||||||
92 | VAR, 5.000%, 09/08/17 | 85 | ||||||
92 | VAR, 5.000%, 09/08/17 | 85 | ||||||
275 | Om Group, Term Loan B, VAR, 5.750%, 08/01/17 | 269 | ||||||
Styron, 1st Lien Term Loan, | ||||||||
536 | VAR, 6.000%, 08/02/17 | 493 | ||||||
1 | VAR, 6.000%, 08/02/17 | 1 | ||||||
|
| |||||||
2,098 | ||||||||
|
| |||||||
Metals & Mining — 0.0% (g) | ||||||||
299 | American Rock Salt, 1st Lien Term Loan, VAR, 5.500%, 04/25/17 | 287 | ||||||
|
| |||||||
Total Materials | 2,385 | |||||||
|
| |||||||
Utilities — 0.2% | ||||||||
Independent Power Producers & Energy Traders — 0.2% |
| |||||||
Texas Competitive Electric Holdings Co. LLC, Extended-Term Loan, | ||||||||
1,026 | VAR, 4.706%, 10/10/17 | 754 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Independent Power Producers & Energy Traders — Continued |
| |||||||
1,090 | VAR, 4.772%, 10/10/17 | 801 | ||||||
1 | VAR, 4.772%, 10/10/17 | 1 | ||||||
Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan, | ||||||||
2,114 | VAR, 3.706%, 10/10/14 | 1,606 | ||||||
3 | VAR, 3.772%, 10/10/14 | 2 | ||||||
|
| |||||||
Total Utilities | 3,164 | |||||||
|
| |||||||
Total Loan Participations & Assignments | 53,625 | |||||||
|
| |||||||
NUMBER OF WARRANTS | ||||||||
| Warrants — 0.1% | |||||||
Consumer Discretionary — 0.1% | ||||||||
Automobiles — 0.1% | ||||||||
General Motors Co., | ||||||||
65 | expiring 7/10/16 (Strike Price $10.00) (a) | 1,000 | ||||||
65 | expiring 7/10/19 (Strike Price $18.33) (a) | 691 | ||||||
|
| |||||||
Total Warrants | 1,691 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 1.8% |
| ||||||
Investment Company — 1.8% | ||||||||
36,667 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) | 36,667 | ||||||
|
| |||||||
Total Investments — 99.4% | 2,059,563 | |||||||
Other Assets in Excess of | 12,570 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,072,133 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
114 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 08/31/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
23 | 10 Year U.S. Treasury Note | 12/20/11 | 2,968 | (5 | ) | |||||||||||
7 | 2 Year U.S. Treasury Note | 12/30/11 | 1,543 | — | (h) | |||||||||||
Short Futures Outstanding | ||||||||||||||||
(7 | ) | 30 Year U.S. Treasury Bond | 12/20/11 | (952 | ) | 5 | ||||||||||
(2 | ) | 5 Year U.S. Treasury Note | 12/30/11 | (245 | ) | — | (h) | |||||||||
|
| |||||||||||||||
— | (h) | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
CONTRACTS TO BUY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 08/31/11 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
250,000 | EUR | Deutsche Bank AG | 09/21/11 | 356 | 359 | 3 | ||||||||||||||||
4,500,000 | MXN | Barclays Bank plc | 09/15/11 | 377 | 364 | (13 | ) | |||||||||||||||
4,100,000 | MXN | Deutsche Bank AG | 09/15/11 | 340 | 332 | (8 | ) | |||||||||||||||
100,000 | ZAR | Barclays Bank plc | 09/21/11 | 14 | 14 | — | (h) | |||||||||||||||
1,087 | 1,069 | (18 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
CONTRACTS TO SELL | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 08/31/11 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
250,000 | EUR | Deutsche Bank AG | 09/21/11 | 365 | 360 | 5 | ||||||||||||||||
130,000 | EUR | Barclays Bank plc | 09/30/11 | 184 | 186 | (2 | ) | |||||||||||||||
4,300,000 | MXN | Citibank, N.A. | 09/15/11 | 360 | 348 | 12 | ||||||||||||||||
4,300,000 | MXN | Deutsche Bank AG | 09/15/11 | 357 | 348 | 9 | ||||||||||||||||
1,880,000 | ZAR | Citibank, N.A. | 09/21/11 | 269 | 268 | 1 | ||||||||||||||||
1,535 | 1,510 | 25 | ||||||||||||||||||||
|
|
Credit Default Swaps—Buy Protection [1]
Credit Indices:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND PAYS FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT SPREAD AS OF 8/31/11 [3] | NOTIONAL AMOUNT [4] | VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||
CDX.NA.HY.16 | 5.000% quarterly | 6/20/16 | 6.371 | % | 8,000 | 343 | 331 | |||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||
CDX.NA.HY.13 | 5.000% quarterly | 12/20/14 | 4.939 | 12,000 | (141 | ) | 758 | |||||||||||||||
Morgan Stanley Capital Services: | ||||||||||||||||||||||
CDX.NA.HY.16 | 5.000% quarterly | 6/20/16 | 6.371 | 8,000 | 343 | 240 | ||||||||||||||||
|
|
|
| |||||||||||||||||||
545 | 1,329 | |||||||||||||||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 115 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
Credit Default Swaps—Sell Protection [2]
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND RECEIVES FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT SPREAD AS OF 08/31/11 [3] | NOTIONAL AMOUNT [4] | VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||||
Goldman Sachs Capital Management: | ||||||||||||||||||||||
FSA Global Funding Ltd., 6.110%, 06/29/15 | 1.950% quarterly | 3/20/13 | 6.580 | % | 1,000 | (64 | ) | — |
[1] | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[2] | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay any upfront premium from or to 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. |
[3] | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
[4] | 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. |
[5] | Upfront premiums generally relate 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.
116 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 42.1% |
| ||||||
Agency CMO — 42.1% | ||||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
98 | Series 1343, Class LA, 8.000%, 08/15/22 | 117 | ||||||
666 | Series 1367, Class K, 5.500%, 09/15/22 | 735 | ||||||
133 | Series 1591, Class E, 10.000%, 10/15/23 | 147 | ||||||
1,152 | Series 1633, Class Z, 6.500%, 12/15/23 | 1,248 | ||||||
1,431 | Series 1694, Class PK, 6.500%, 03/15/24 | 1,547 | ||||||
6,496 | Series 1785, Class A, 6.000%, 10/15/23 | 6,658 | ||||||
361 | Series 1999, Class PU, 7.000%, 10/15/27 | 429 | ||||||
610 | Series 2031, Class PG, 7.000%, 02/15/28 | 711 | ||||||
1,708 | Series 2035, Class PC, 6.950%, 03/15/28 | 1,987 | ||||||
1,407 | Series 2064, Class PD, 6.500%, 06/15/28 (m) | 1,424 | ||||||
1,277 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,446 | ||||||
446 | Series 2152, Class BD, 6.500%, 05/15/29 | 495 | ||||||
2,790 | Series 2162, Class TH, 6.000%, 06/15/29 | 3,147 | ||||||
214 | Series 2345, Class PQ, 6.500%, 08/15/16 | 225 | ||||||
1,358 | Series 2367, Class ME, 6.500%, 10/15/31 | 1,508 | ||||||
3,351 | Series 2480, Class EJ, 6.000%, 08/15/32 | 3,751 | ||||||
6,000 | Series 2562, Class PG, 5.000%, 01/15/18 | 6,527 | ||||||
2,737 | Series 2571, Class PV, 5.500%, 01/15/14 | 2,860 | ||||||
2,338 | Series 2580, Class QM, 5.000%, 10/15/31 | 2,394 | ||||||
3,019 | Series 2611, Class QZ, 5.000%, 05/15/33 | 3,423 | ||||||
3,858 | Series 2630, Class KS, 4.000%, 01/15/17 | 3,918 | ||||||
672 | Series 2647, Class A, 3.250%, 04/15/32 | 695 | ||||||
3,666 | Series 2651, Class VZ, 4.500%, 07/15/18 | 3,908 | ||||||
9,000 | Series 2656, Class BG, 5.000%, 10/15/32 | 9,830 | ||||||
4,434 | Series 2684, Class PD, 5.000%, 03/15/29 | 4,453 | ||||||
2,500 | Series 2688, Class DG, 4.500%, 10/15/23 | 2,741 | ||||||
8,588 | Series 2727, Class PE, 4.500%, 07/15/32 | 9,338 | ||||||
2,632 | Series 2749, Class TD, 5.000%, 06/15/21 | 2,688 | ||||||
6,000 | Series 2773, Class TB, 4.000%, 04/15/19 | 6,439 | ||||||
391 | Series 2780, Class TD, 5.000%, 04/15/28 | 391 | ||||||
7,450 | Series 2841, Class AT, 4.000%, 08/15/19 | 8,029 | ||||||
2,601 | Series 2882, Class QD, 4.500%, 07/15/34 | 2,817 | ||||||
6,342 | Series 2915, Class MU, 5.000%, 01/15/35 | 7,080 | ||||||
3,586 | Series 2927, Class GA, 5.500%, 10/15/34 | 3,999 | ||||||
374 | Series 2929, Class PC, 5.000%, 01/15/28 | 374 | ||||||
5,500 | Series 2931, Class QD, 4.500%, 02/15/20 | 6,117 | ||||||
9,137 | Series 2976, Class HP, 4.500%, 01/15/33 | 9,579 | ||||||
10,600 | Series 3036, Class ND, 5.000%, 05/15/34 (m) | 11,699 | ||||||
3,204 | Series 3045, Class HN, 4.500%, 09/15/33 | 3,349 | ||||||
2,387 | Series 3085, Class VS, HB, IF, 27.891%, 12/15/35 | 3,732 | ||||||
2,192 | Series 3114, Class KB, 5.000%, 09/15/27 | 2,211 | ||||||
5,432 | Series 3181, Class OP, PO, 07/15/36 | 4,938 | ||||||
4,500 | Series 3188, Class GE, 6.000%, 07/15/26 | 5,044 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued | ||||||||
15,609 | Series 3325, Class JL, 5.500%, 06/15/37 | 17,128 | ||||||
6,000 | Series 3341, Class PE, 6.000%, 07/15/37 | 7,090 | ||||||
7,000 | Series 3413, Class B, 5.500%, 04/15/37 | 7,758 | ||||||
6,000 | Series 3544, Class PC, 5.000%, 05/15/37 | 6,706 | ||||||
4,000 | Series 3699, Class QH, 5.500%, 07/15/40 | 4,620 | ||||||
25,657 | Series 3737, Class DG, 5.000%, 10/15/30 | 28,231 | ||||||
7,000 | Series 3798, Class AY, 3.500%, 01/15/26 | 7,049 | ||||||
5,000 | Series 3809, Class BC, 3.500%, 02/15/26 | 5,165 | ||||||
96 | 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, | ||||||||
2,586 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 2,967 | ||||||
2,935 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,317 | ||||||
1,195 | Series T-56, Class APO, PO, 05/25/43 | 925 | ||||||
1,175 | Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 1,324 | ||||||
Federal National Mortgage Association Interest STRIPS, | ||||||||
3,670 | Series 278, Class 1, VAR, 0.977%, 08/01/25 | 3,544 | ||||||
1,616 | Series 278, Class 3, VAR, 1.052%, 11/01/23 | 1,566 | ||||||
2,344 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 212 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
131 | Series 1988-16, Class B, 9.500%, 06/25/18 (m) | 150 | ||||||
61 | Series 1990-57, Class J, 7.000%, 05/25/20 (m) | 65 | ||||||
321 | Series 1993-110, Class H, 6.500%, 05/25/23 | 370 | ||||||
248 | Series 1993-146, Class E, PO, 05/25/23 | 226 | ||||||
4,362 | Series 1993-155, Class PJ, 7.000%, 09/25/23 | 4,996 | ||||||
46 | Series 1993-205, Class H, PO, 09/25/23 | 39 | ||||||
67 | Series 1993-217, Class H, PO, 08/25/23 | 59 | ||||||
53 | Series 1993-228, Class G, PO, 09/25/23 | 46 | ||||||
1,469 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,716 | ||||||
1,705 | Series 1994-43, Class PJ, 6.350%, 12/25/23 | 1,725 | ||||||
5,270 | Series 1994-51, Class PV, 6.000%, 03/25/24 | 5,906 | ||||||
1,038 | Series 1994-62, Class PJ, 7.000%, 01/25/24 | 1,052 | ||||||
2,761 | Series 1998-58, Class PC, 6.500%, 10/25/28 | 3,081 | ||||||
537 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 621 | ||||||
1,769 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 394 | ||||||
619 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 668 | ||||||
1,008 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 1,068 | ||||||
5,388 | Series 2002-73, Class OE, 5.000%, 11/25/17 | 5,857 | ||||||
1,776 | Series 2002-92, Class FB, VAR, 0.868%, 04/25/30 | 1,784 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 117 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued | ||||||||
7,324 | Series 2003-21, Class PZ, 4.500%, 03/25/33 | 8,138 | ||||||
2,346 | Series 2003-35, Class MD, 5.000%, 11/25/16 | 2,359 | ||||||
601 | Series 2003-67, Class SA, HB, IF, 44.080%, 10/25/31 | 1,217 | ||||||
5,000 | Series 2003-74, Class VL, 5.500%, 11/25/22 | 5,453 | ||||||
20,000 | Series 2003-81, Class MC, 5.000%, 12/25/32 (m) | 21,764 | ||||||
5,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 5,548 | ||||||
10,000 | Series 2003-128, Class DY, 4.500%, 01/25/24 (m) | 10,893 | ||||||
16,000 | Series 2004-7, Class JK, 4.000%, 02/25/19 | 17,117 | ||||||
3,588 | Series 2004-46, Class QD, HB, IF, 23.126%, 03/25/34 | 5,041 | ||||||
3,934 | Series 2004-54, Class FL, VAR, 0.618%, 07/25/34 | 3,936 | ||||||
7,753 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 8,465 | ||||||
835 | Series 2005-16, Class LC, 5.500%, 05/25/28 | 838 | ||||||
7,805 | Series 2005-22, Class EH, 5.000%, 04/25/35 | 8,696 | ||||||
2,689 | Series 2005-29, Class AK, 4.500%, 04/25/35 | 2,835 | ||||||
5,051 | Series 2005-58, Class EP, 5.500%, 07/25/35 | 5,630 | ||||||
7,000 | Series 2005-62, Class DX, 5.000%, 05/25/34 | 7,671 | ||||||
4,859 | Series 2005-83, Class LA, 5.500%, 10/25/35 | 5,477 | ||||||
5,498 | Series 2005-116, Class PC, 6.000%, 01/25/36 | 6,168 | ||||||
15,630 | Series 2006-3, Class SB, IF, IO, 6.482%, 07/25/35 | 2,469 | ||||||
26,953 | Series 2006-51, Class FP, VAR, 0.568%, 03/25/36 | 26,848 | ||||||
1,060 | Series 2006-69, Class SP, IF, 14.556%, 05/25/30 | 1,172 | ||||||
388 | Series 2006-81, Class FA, VAR, 0.568%, 09/25/36 | 387 | ||||||
5,169 | Series 2006-110, Class PO, PO, 11/25/36 | 4,742 | ||||||
7,773 | Series 2007-76, Class PE, 6.000%, 08/25/37 | 8,983 | ||||||
1,920 | Series 2009-89, Class A1, 5.410%, 05/25/35 | 2,203 | ||||||
1,717 | Series 2010-4, Class SL, IF, 11.096%, 02/25/40 | 1,781 | ||||||
7,518 | Series 2010-11, Class CB, 4.500%, 02/25/40 | 7,668 | ||||||
6,000 | Series 2010-47, Class MB, 5.000%, 09/25/39 | 6,693 | ||||||
4,274 | Series 2010-155, Class B, 3.500%, 01/25/26 | 4,286 | ||||||
27 | Series G92-35, Class EB, 7.500%, 07/25/22 | 31 | ||||||
288 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 329 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
440 | Series 1999-W4, Class A9, 6.250%, 02/25/29 | 501 | ||||||
3,201 | Series 2002-W7, Class A4, 6.000%, 06/25/29 | 3,607 | ||||||
1,357 | Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42 | 1,615 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued | ||||||||
655 | Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42 | 776 | ||||||
4,088 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 4,509 | ||||||
4,890 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 5,732 | ||||||
4,840 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 5,430 | ||||||
Government National Mortgage Association, | ||||||||
820 | Series 1998-22, Class PD, 6.500%, 09/20/28 | 900 | ||||||
471 | Series 1999-17, Class L, 6.000%, 05/20/29 | 517 | ||||||
4,614 | Series 2001-10, Class PE, 6.500%, 03/16/31 | 5,227 | ||||||
5,838 | Series 2001-64, Class PB, 6.500%, 12/20/31 | 6,392 | ||||||
34,619 | Series 2003-59, Class XA, IO, VAR, 1.362%, 06/16/34 | 1,280 | ||||||
3,285 | Series 2004-27, Class PD, 5.500%, 04/20/34 | 3,894 | ||||||
2,132 | Series 2004-62, Class VA, 5.500%, 07/20/15 | 2,234 | ||||||
13,535 | Series 2005-28, Class AJ, 5.500%, 04/20/35 | 15,253 | ||||||
12,466 | Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38 | 2,517 | ||||||
28,693 | Series 2009-42, Class TX, 4.500%, 06/20/39 | 31,479 | ||||||
8,312 | Series 2009-52, Class MA, 5.000%, 11/20/36 | 9,145 | ||||||
4,752 | Series 2009-69, Class WM, 5.500%, 08/20/39 | 5,475 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 582,914 | |||||||
|
| |||||||
| Foreign Government Security — 0.4% | |||||||
7,527 | Israel Government AID Bond, (Israel), 09/15/19 | 6,251 | ||||||
|
| |||||||
| Mortgage Pass-Through Securities — 7.3% | |||||||
Federal Home Loan Mortgage Corp., | ||||||||
258 | ARM, 2.308%, 01/01/27 | 271 | ||||||
32 | ARM, 2.430%, 04/01/30 | 33 | ||||||
21 | ARM, 2.610%, 02/01/19 | 22 | ||||||
14 | ARM, 2.696%, 07/01/30 | 15 | ||||||
131 | ARM, 2.929%, 03/01/18 - 08/01/18 | 136 | ||||||
3 | ARM, 3.243%, 01/01/20 | 4 | ||||||
44 | ARM, 3.250%, 06/01/18 | 44 | ||||||
125 | ARM, 3.354%, 01/01/21 | 125 | ||||||
64 | ARM, 3.548%, 11/01/18 | 66 | ||||||
3,012 | ARM, 5.972%, 03/01/37 | 3,208 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
530 | 5.000%, 12/01/13 - 12/01/16 | 570 | ||||||
398 | 6.000%, 04/01/14 | 431 | ||||||
552 | 6.500%, 12/01/12 - 06/01/14 | 581 | ||||||
— | (h) | 7.000%, 12/01/14 | — | (h) |
SEE NOTES TO FINANCIAL STATEMENTS.
118 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
1,494 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24 | 1,612 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
1,777 | 5.500%, 11/01/33 | 1,954 | ||||||
339 | 6.000%, 02/01/32 | 380 | ||||||
1,369 | 6.500%, 01/01/24 - 07/01/29 | 1,568 | ||||||
1,598 | 7.000%, 08/01/25 - 09/01/29 (m) | 1,863 | ||||||
91 | 7.500%, 09/01/24 - 08/01/25 | 106 | ||||||
94 | 8.000%, 11/01/24 - 09/01/25 | 112 | ||||||
225 | 8.500%, 05/01/24 - 07/01/28 | 269 | ||||||
6 | 9.000%, 10/01/17 - 11/01/21 | 7 | ||||||
— | (h) | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
135 | ARM, 2.588%, 11/01/27 - 08/01/41 | 138 | ||||||
109 | ARM, 2.594%, 07/01/17 | 111 | ||||||
114 | ARM, 2.624%, 11/01/40 | 119 | ||||||
170 | ARM, 2.625%, 08/01/30 | 175 | ||||||
50 | ARM, 2.725%, 06/01/29 | 51 | ||||||
41 | ARM, 2.746%, 06/01/20 | 42 | ||||||
29 | ARM, 2.750%, 06/01/17 | 29 | ||||||
90 | ARM, 2.776%, 09/01/14 | 91 | ||||||
25 | ARM, 2.875%, 09/01/17 | 25 | ||||||
19 | ARM, 3.027%, 10/01/16 | 19 | ||||||
190 | ARM, 3.125%, 06/01/15 - 01/01/29 | 196 | ||||||
6 | ARM, 3.154%, 07/01/27 | 6 | ||||||
123 | ARM, 3.475%, 08/01/19 | 123 | ||||||
10 | ARM, 3.500%, 10/01/14 | 10 | ||||||
3 | ARM, 3.575%, 11/01/16 | 3 | ||||||
104 | ARM, 3.741%, 09/01/27 | 104 | ||||||
38 | ARM, 3.825%, 08/01/19 | 39 | ||||||
27 | ARM, 5.921%, 04/01/19 | 29 | ||||||
21 | ARM, 6.000%, 12/01/18 | 21 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
14,465 | 4.000%, 04/01/19 - 09/01/25 | 15,296 | ||||||
2,890 | 4.500%, 03/01/19 | 3,102 | ||||||
1,995 | 5.500%, 11/01/16 - 03/01/18 | 2,169 | ||||||
94 | 6.000%, 04/01/13 - 08/01/14 | 99 | ||||||
20 | 8.000%, 11/01/12 | 20 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,391 | 5.000%, 11/01/23 | 1,525 | ||||||
1,653 | 6.000%, 03/01/22 | 1,831 | ||||||
60 | 7.500%, 06/01/14 - 07/01/14 | 65 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
3,221 | 4.500%, 03/01/38 | 3,411 | ||||||
5,329 | 5.000%, 11/01/33 | 5,832 | ||||||
32,420 | 5.500%, 02/01/29 - 05/01/36 (m) | 35,869 | ||||||
4,708 | 6.000%, 07/01/36 | 5,333 | ||||||
927 | 6.500%, 06/01/26 - 04/01/32 | 1,064 | ||||||
5,426 | 7.000%, 02/01/24 - 03/01/35 | 6,283 | ||||||
227 | 7.500%, 03/01/30 - 04/01/30 | 266 | ||||||
186 | 10.000%, 10/01/16 - 11/01/21 | 207 | ||||||
168 | Federal National Mortgage Association, Other, 6.000%, 09/01/28 | 188 | ||||||
368 | Government National Mortgage Association II, 30 Year, Single Family, 8.000%, 11/20/26 - 11/20/27 | 434 | ||||||
Government National Mortgage Association, | ||||||||
56 | 6.000%, 10/15/23 | 64 | ||||||
1,136 | 6.500%, 06/15/23 - 02/15/24 (m) | 1,293 | ||||||
474 | 7.000%, 12/15/22 – 06/15/28 | 550 | ||||||
576 | 7.500%, 02/15/22 – 02/15/28 | 674 | ||||||
249 | 8.000%, 07/15/22 – 08/15/26 | 293 | ||||||
582 | 9.000%, 06/15/16 – 11/15/24 | 684 | ||||||
32 | 9.500%, 08/15/16 – 12/15/20 | 35 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 101,295 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 20.4% |
| ||||||
12,824 | Federal Farm Credit Bank, 5.750%, 12/07/28 | 16,113 | ||||||
Federal National Mortgage Association, | ||||||||
25,000 | Zero Coupon, 10/09/19 | 18,632 | ||||||
10,000 | 6.250%, 05/15/29 | 13,381 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
34,750 | 11/15/20 | 26,596 | ||||||
8,000 | 05/15/23 | 5,419 | ||||||
9,200 | 05/29/26 | 5,371 | ||||||
26,153 | Financing Corp., Principal STRIPS, 12/06/18 | 22,563 | ||||||
Residual Funding Corp., Principal STRIPS, | ||||||||
34,520 | 10/15/19 | 28,887 | ||||||
90,500 | 07/15/20 | 72,791 | ||||||
10,000 | 01/15/30 | 5,062 | ||||||
5,000 | 04/15/30 | 2,503 | ||||||
Resolution Funding Corp. Interest STRIPS, | ||||||||
50,000 | 07/15/20 | 39,936 | ||||||
15,000 | 04/15/28 | 8,120 | ||||||
14,740 | Tennessee Valley Authority Principal STRIPS, 12/15/17 | 12,939 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 119 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
4,500 | Tennessee Valley Authority STRIPS, 07/15/16 | 4,161 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 282,474 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 21.9% |
| ||||||
U.S. Treasury Bonds, | ||||||||
20,000 | 5.250%, 11/15/28 | 25,831 | ||||||
20,000 | 5.250%, 02/15/29 | 25,835 | ||||||
2,500 | 7.125%, 02/15/23 | 3,671 | ||||||
13,140 | 7.250%, 05/15/16 | 17,036 | ||||||
3,935 | 7.250%, 08/15/22 | 5,795 | ||||||
3,635 | 8.000%, 11/15/21 | 5,560 | ||||||
3,190 | 8.875%, 08/15/17 | 4,604 | ||||||
1,020 | 9.000%, 11/15/18 | 1,544 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
25,000 | 1.375%, 07/15/18 | 29,305 | ||||||
1,450 | 1.625%, 01/15/15 | 1,862 | ||||||
U.S. Treasury Notes, | ||||||||
25,000 | 2.625%, 08/15/20 | 26,217 | ||||||
25,000 | 2.625%, 11/15/20 | 26,119 | ||||||
25,000 | 3.750%, 11/15/18 | 28,756 | ||||||
25,000 | 4.250%, 11/15/17 | 29,414 | ||||||
1,020 | 4.750%, 08/15/17 | 1,226 | ||||||
U.S. Treasury STRIPS, | ||||||||
5,845 | 02/15/15 | 5,734 | ||||||
1,655 | 05/15/15 | 1,617 | ||||||
1,900 | 08/15/15 | 1,854 | ||||||
600 | 08/15/15 | 584 | ||||||
1,190 | 05/15/16 | 1,139 | ||||||
72,500 | 05/15/20 | 60,325 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 304,028 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 7.5% |
| ||||||
Investment Company — 7.5% | ||||||||
104,030 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.010% (b) (l) | 104,030 | ||||||
|
| |||||||
Total Investments — 99.6% | 1,380,992 | |||||||
Other Assets in Excess of | 5,061 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,386,053 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
120 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 0.1% | |||||||
460 | Countrywide Asset-Backed Certificates, Series 2004-13, Class MV8, VAR, 1.918%, 01/25/35 (f) (i) | 24 | ||||||
220 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.298%, 03/25/36 | 105 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
18 | Series 2004-2, Class B, VAR, 3.718%, 06/25/34 (e) (f) (i) | 17 | ||||||
102 | Series 2004-5, Class M6, VAR, 2.718%, 09/25/34 (f) (i) | 19 | ||||||
7,000 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 6,914 | ||||||
|
| |||||||
Total Asset-Backed Securities | 7,079 | |||||||
|
| |||||||
| 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) | 1,766 | ||||||
|
| |||||||
| Corporate Bonds — 79.9% |
| ||||||
Consumer Discretionary — 20.8% | ||||||||
Auto Components — 0.1% | ||||||||
51 | Meritor, Inc., 8.750%, 03/01/12 | 52 | ||||||
3,280 | Pittsburgh Glass Works LLC, 8.500%, 04/15/16 (e) | 3,140 | ||||||
5,200 | UCI International, Inc., 8.625%, 02/15/19 | 5,044 | ||||||
|
| |||||||
8,236 | ||||||||
|
| |||||||
Automobiles — 1.1% | ||||||||
Chrysler Group LLC/CG Co- Issuer, Inc., | ||||||||
13,000 | 8.000%, 06/15/19 (e) | 11,342 | ||||||
13,350 | 8.250%, 06/15/21 (e) | 11,548 | ||||||
Ford Holdings LLC, | ||||||||
37,822 | 9.300%, 03/01/30 (m) | 46,661 | ||||||
7,750 | 9.375%, 03/01/20 | 8,875 | ||||||
Ford Motor Co., | ||||||||
5,500 | 7.450%, 07/16/31 | 6,030 | ||||||
325 | 7.500%, 08/01/26 | 327 | ||||||
4,545 | 7.750%, 06/15/43 | 4,559 | ||||||
3,425 | 8.900%, 01/15/32 | 3,932 | ||||||
3,529 | 9.215%, 09/15/21 | 4,039 | ||||||
6,228 | 9.980%, 02/15/47 | 7,481 | ||||||
Motors Liquidation Co., | ||||||||
50 | 06/01/49 | 21 | ||||||
9,300 | 0.000%, 09/01/25 (d) | 70 | ||||||
6,000 | 0.000%, 05/23/48 (d) | 45 | ||||||
34,006 | 0.000%, 07/15/33 (d) | 255 | ||||||
12,550 | 0.000%, 06/15/24 (d) | 94 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Automobiles — Continued | ||||||||
3,415 | 0.000%, 03/15/36 (d) | 21 | ||||||
973 | 5.250%, 03/06/32 | 399 | ||||||
953 | 6.250%, 07/15/33 | 391 | ||||||
10,255 | 6.750%, 05/01/28 (d) | 77 | ||||||
246 | 7.250%, 04/15/41 | 101 | ||||||
284 | 7.250%, 07/15/41 | 116 | ||||||
548 | 7.250%, 02/15/52 | 225 | ||||||
404 | 7.375%, 05/15/48 | 166 | ||||||
47 | 7.375%, 10/01/51 | 19 | ||||||
25,800 | 7.700%, 04/15/16 (d) | 193 | ||||||
20,000 | 8.250%, 07/15/23 (d) | 150 | ||||||
3,000 | Navistar International Corp., 8.250%, 11/01/21 | 3,105 | ||||||
|
| |||||||
110,242 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 3.1% | ||||||||
Adelphia Communications Corp., | ||||||||
1,075 | 7.750%, 01/15/09 (d) | 1 | ||||||
1,450 | 8.125%, 07/15/03 (d) | 1 | ||||||
3,175 | 9.375%, 11/15/09 (d) | 2 | ||||||
3,500 | 10.875%, 10/01/10 (d) | 2 | ||||||
Cablevision Systems Corp., | ||||||||
4,400 | 7.750%, 04/15/18 | 4,554 | ||||||
10,210 | 8.000%, 04/15/20 | 10,695 | ||||||
3,075 | 8.625%, 09/15/17 | 3,260 | ||||||
18,575 | CCH II LLC/CCH II Capital Corp., 13.500%, 11/30/16 | 21,454 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
30,120 | 6.500%, 04/30/21 | 29,442 | ||||||
15,165 | 7.000%, 01/15/19 | 15,241 | ||||||
5,565 | 7.000%, 01/15/19 (e) | 5,579 | ||||||
21,373 | 7.250%, 10/30/17 | 22,041 | ||||||
10,295 | 7.875%, 04/30/18 | 10,707 | ||||||
2,511 | 8.125%, 04/30/20 | 2,655 | ||||||
36,900 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 38,376 | ||||||
4,585 | Charter Communications Operating LLC/Charter Communications Operating Capital, 10.875%, 09/15/14 (e) | 4,946 | ||||||
CSC Holdings LLC, | ||||||||
4,329 | 7.875%, 02/15/18 | 4,578 | ||||||
8,405 | 8.625%, 02/15/19 | 9,266 | ||||||
2,000 | DISH DBS Corp., 7.125%, 02/01/16 | 2,040 | ||||||
10,500 | Insight Communications Co., Inc., 9.375%, 07/15/18 (e) | 11,996 | ||||||
5,450 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15 | 5,504 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 121 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Broadcasting & Cable TV — Continued | ||||||||
23,117 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 23,348 | ||||||
Sirius XM Radio, Inc., | ||||||||
2,844 | 8.750%, 04/01/15 (e) | 3,086 | ||||||
10,680 | 9.750%, 09/01/15 (e) | 11,668 | ||||||
18,940 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 19,319 | ||||||
16,775 | Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19 | 18,075 | ||||||
XM Satellite Radio, Inc., | ||||||||
5,353 | 7.625%, 11/01/18 (e) | 5,474 | ||||||
14,328 | 13.000%, 08/01/13 (e) | 16,083 | ||||||
|
| |||||||
299,393 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.8% |
| |||||||
3,000 | Carriage Services, Inc., 7.875%, 01/15/15 | 2,955 | ||||||
21,575 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m) | 20,712 | ||||||
6,075 | Mac-Gray Corp., 7.625%, 08/15/15 | 6,120 | ||||||
Service Corp. International, | ||||||||
925 | 6.750%, 04/01/15 | 971 | ||||||
3,000 | 6.750%, 04/01/16 | 3,143 | ||||||
11,755 | 7.000%, 06/15/17 (m) | 12,284 | ||||||
6,630 | 7.000%, 05/15/19 | 6,779 | ||||||
3,850 | 7.625%, 10/01/18 | 4,119 | ||||||
7,300 | 8.000%, 11/15/21 | 7,775 | ||||||
Stewart Enterprises, Inc., | ||||||||
6,435 | 3.125%, 07/15/14 | 6,411 | ||||||
5,625 | 3.375%, 07/15/16 | 5,541 | ||||||
3,445 | 6.500%, 04/15/19 | 3,350 | ||||||
|
| |||||||
80,160 | ||||||||
|
| |||||||
Gaming — 4.5% | ||||||||
23,250 | Ameristar Casinos, Inc., 7.500%, 04/15/21 (e) | 23,192 | ||||||
8,635 | Boyd Gaming Corp., 9.125%, 12/01/18 (e) | 8,052 | ||||||
8,250 | Caesars Entertainment Operating Co., Inc., 11.250%, 06/01/17 | 8,889 | ||||||
Chukchansi Economic Development Authority, | ||||||||
13,768 | 8.000%, 11/15/13 (e) | 10,051 | ||||||
12,450 | VAR, 3.917%, 11/15/12 (e) | 9,119 | ||||||
CityCenter Holdings LLC/CityCenter Finance Corp., | ||||||||
3,325 | 7.625%, 01/15/16 (e) | 3,234 | ||||||
40,397 | PIK, 11.500%, 01/15/17 (e) | 38,781 | ||||||
13,750 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19 (e) | 13,200 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Gaming — Continued | ||||||||
2,575 | FireKeepers Development Authority, 13.875%, 05/01/15 (e) | 2,936 | ||||||
Isle of Capri Casinos, Inc., | ||||||||
16,388 | 7.000%, 03/01/14 (m) | 15,774 | ||||||
21,595 | 7.750%, 03/15/19 (e) | 21,163 | ||||||
7,500 | Mandalay Resort Group, 7.625%, 07/15/13 | 7,238 | ||||||
3,982 | Mashantucket Western Pequot Tribe, 5.912%, 09/01/21 (d) (e) | 1,912 | ||||||
15,379 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 16,994 | ||||||
MGM Resorts International, | ||||||||
1,728 | 6.625%, 07/15/15 | 1,555 | ||||||
4,340 | 7.500%, 06/01/16 | 3,852 | ||||||
44,321 | 7.625%, 01/15/17 | 40,221 | ||||||
1,000 | 9.000%, 03/15/20 | 1,067 | ||||||
20,375 | 10.000%, 11/01/16 (e) | 20,579 | ||||||
15,150 | 11.375%, 03/01/18 | 16,400 | ||||||
Peninsula Gaming LLC, | ||||||||
5,610 | 8.375%, 08/15/15 | 5,694 | ||||||
27,937 | 10.750%, 08/15/17 | 28,705 | ||||||
23,196 | Pinnacle Entertainment, Inc., 8.750%, 05/15/20 | 23,312 | ||||||
22,500 | ROC Finance LLC/ROC Finance 1 Corp., 12.125%, 09/01/18 (e) | 23,175 | ||||||
San Pasqual Casino, | ||||||||
11,459 | 8.000%, 09/15/13 (e) | 11,287 | ||||||
17,800 | Seminole Hard Rock Entertainment, Inc., VAR, 2.747%, 03/15/14 (e) | 16,020 | ||||||
9,085 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 8,926 | ||||||
16,700 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m) | 10,980 | ||||||
8,965 | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 8.625%, 04/15/16 (e) | 8,920 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
7,980 | 7.750%, 08/15/20 | 8,718 | ||||||
1,250 | 7.875%, 11/01/17 | 1,363 | ||||||
12,420 | 7.875%, 05/01/20 | 13,320 | ||||||
7,600 | Yonkers Racing Corp., 11.375%, 07/15/16 (e) | 7,942 | ||||||
|
| |||||||
432,571 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% | ||||||||
11,800 | AMC Entertainment, Inc., 8.750%, 06/01/19 (m) | 11,888 | ||||||
42,327 | Banc of America Large Loan, Inc., VAR, 1.957%, 11/15/15 (e) | 37,747 | ||||||
5,150 | Burger King Corp., 9.875%, 10/15/18 | 5,498 |
SEE NOTES TO FINANCIAL STATEMENTS.
122 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Hotels, Restaurants & Leisure — Continued | ||||||||
6,650 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 9.125%, 08/01/18 | 7,016 | ||||||
4,500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 4,725 | ||||||
4,930 | CKE Holdings, Inc., PIK, 10.500%, 03/14/16 (e) | 4,844 | ||||||
21,654 | CKE Restaurants, Inc., 11.375%, 07/15/18 | 23,034 | ||||||
4,948 | Dave & Buster’s, Inc., 11.000%, 06/01/18 | 5,146 | ||||||
7,670 | DineEquity, Inc., 9.500%, 10/30/18 | 7,958 | ||||||
4,415 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 4,338 | ||||||
Landry’s Restaurants, Inc., | ||||||||
20,173 | 11.625%, 12/01/15 (e) | 21,232 | ||||||
2,550 | O’Charley’s, Inc., 9.000%, 11/01/13 | 2,505 | ||||||
3,250 | Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp., 8.875%, 04/15/17 (e) | 3,161 | ||||||
7,940 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 6,392 | ||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
6,666 | 7.250%, 06/15/16 | 6,883 | ||||||
11,820 | 11.875%, 07/15/15 (m) | 13,829 | ||||||
Speedway Motorsports, Inc., | ||||||||
2,250 | 6.750%, 02/01/19 | 2,137 | ||||||
7,500 | 8.750%, 06/01/16 | 7,913 | ||||||
Universal City Development Partners Ltd./UCDP Finance, Inc., | ||||||||
2,693 | 8.875%, 11/15/15 | 2,969 | ||||||
3,604 | 10.875%, 11/15/16 | 4,320 | ||||||
6,101 | Wendy’s/Arby’s Restaurants LLC, 10.000%, 07/15/16 | 6,551 | ||||||
|
| |||||||
190,086 | ||||||||
|
| |||||||
Household Durables — 1.1% | ||||||||
3,250 | American Standard Americas, 10.750%, 01/15/16 (e) | 2,633 | ||||||
6,100 | Beazer Homes USA, Inc., 6.875%, 07/15/15 | 4,422 | ||||||
D.R. Horton, Inc., | ||||||||
353 | 5.625%, 09/15/14 | 357 | ||||||
4,648 | 6.500%, 04/15/16 | 4,683 | ||||||
25,355 | K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 22,629 | ||||||
Lennar Corp., | ||||||||
5,175 | 5.600%, 05/31/15 | 4,839 | ||||||
23,463 | 6.950%, 06/01/18 | 21,322 | ||||||
8,000 | 12.250%, 06/01/17 | 9,060 | ||||||
10,650 | M/I Homes, Inc., 8.625%, 11/15/18 | 9,825 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Durables — Continued | ||||||||
Standard Pacific Corp., | ||||||||
13,545 | 8.375%, 05/15/18 | 11,886 | ||||||
15,250 | 8.375%, 01/15/21 | 13,115 | ||||||
3,940 | 10.750%, 09/15/16 | 3,900 | ||||||
|
| |||||||
108,671 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% | ||||||||
7,260 | Affinion Group, Inc., 7.875%, 12/15/18 | 6,425 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.6% |
| |||||||
43,349 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 37,497 | ||||||
11,375 | FGI Holding Co., Inc., PIK, 13.000%, 10/01/15 | 11,204 | ||||||
11,440 | Icon Health & Fitness, 11.875%, 10/15/16 (e) | 10,868 | ||||||
2,412 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 2,418 | ||||||
|
| |||||||
61,987 | ||||||||
|
| |||||||
Media — 4.1% | ||||||||
7,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 6,808 | ||||||
4,150 | Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., 10.500%, 08/15/14 | 3,870 | ||||||
15,400 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 15,535 | ||||||
3,500 | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 (e) | 3,535 | ||||||
2,000 | Cengage Learning Acquisitions, Inc., 10.500%, 01/15/15 (e) | 1,540 | ||||||
40,620 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 32,699 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
4,500 | 9.250%, 12/15/17 | 4,770 | ||||||
18,210 | 9.250%, 12/15/17 | 19,485 | ||||||
DISH DBS Corp., | ||||||||
24,965 | 6.750%, 06/01/21 (e) | 25,152 | ||||||
19,515 | 7.875%, 09/01/19 | 20,735 | ||||||
2,985 | Entravision Communications Corp., 8.750%, 08/01/17 | 2,910 | ||||||
4,288 | Fisher Communications, Inc., 8.625%, 09/15/14 | 4,192 | ||||||
Gannett Co., Inc., | ||||||||
4,510 | 7.125%, 09/01/18 (e) | 4,296 | ||||||
3,975 | 8.750%, 11/15/14 | 4,263 | ||||||
1,348 | 9.375%, 11/15/17 | 1,449 | ||||||
4,714 | 10.000%, 04/01/16 | 5,185 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
7,940 | 7.250%, 10/15/20 (e) | 7,622 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 123 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Media — Continued | ||||||||
5,250 | 8.500%, 11/01/19 | 5,447 | ||||||
Intelsat Luxembourg S.A., (Luxembourg), | ||||||||
92,034 | PIK, 12.500%, 02/04/17 (e) | 89,388 | ||||||
3,045 | Interactive Data Corp., 10.250%, 08/01/18 | 3,289 | ||||||
1,000 | Lamar Media Corp., 7.875%, 04/15/18 | 1,012 | ||||||
406 | LIN Television Corp., 6.500%, 05/15/13 | 394 | ||||||
15,240 | McClatchy Co. (The), 11.500%, 02/15/17 | 14,707 | ||||||
22,525 | Media General, Inc., 11.750%, 02/15/17 | 18,752 | ||||||
5,850 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 5,909 | ||||||
Nexstar Broadcasting, Inc., | ||||||||
4,560 | 7.000%, 01/15/14 | 4,469 | ||||||
4,850 | Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 04/15/17 | 4,971 | ||||||
8,705 | Nielsen Finance LLC/Nielsen Finance Co., 7.750%, 10/15/18 (e) | 8,988 | ||||||
3,750 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 | 3,778 | ||||||
7,745 | Radio One, Inc., PIK, 15.000%, 05/24/16 (e) | 7,299 | ||||||
5,500 | RadioShack Corp., 6.750%, 05/15/19 (e) | 5,143 | ||||||
13,862 | Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15 | 14,884 | ||||||
19,000 | Univision Communications, Inc., 6.875%, 05/15/19 (e) | 17,575 | ||||||
10,415 | Valassis Communications, Inc., 6.625%, 02/01/21 | 9,868 | ||||||
WMG Acquisition Corp., | ||||||||
8,170 | 9.500%, 06/15/16 (e) | 8,333 | ||||||
6,000 | 11.500%, 10/01/18 (e) | 5,460 | ||||||
|
| |||||||
393,712 | ||||||||
|
| |||||||
Multiline Retail — 1.0% | ||||||||
11,445 | HSN, Inc., 11.250%, 08/01/16 | 12,589 | ||||||
QVC, Inc., | ||||||||
2,425 | 7.125%, 04/15/17 (e) | 2,534 | ||||||
12,425 | 7.375%, 10/15/20 (e) | 13,357 | ||||||
14,550 | 7.500%, 10/01/19 (e) | 15,678 | ||||||
58,475 | Sears Holdings Corp., 6.625%, 10/15/18 (e) | 48,534 | ||||||
|
| |||||||
92,692 | ||||||||
|
| |||||||
Specialty Retail — 2.1% | ||||||||
1,900 | Academy Ltd./Academy Finance Corp., 9.250%, 08/01/19 (e) | 1,815 | ||||||
9,150 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 9,608 | ||||||
4,118 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 | 4,046 | ||||||
11,950 | Claire’s Stores, Inc., 8.875%, 03/15/19 | 10,202 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — Continued | ||||||||
13,327 | Gymboree Corp., 9.125%, 12/01/18 | 11,528 | ||||||
11,425 | J. Crew Group, Inc., 8.125%, 03/01/19 | 10,197 | ||||||
15,000 | Limited Brands, Inc., 6.625%, 04/01/21 | 15,188 | ||||||
Michaels Stores, Inc., | ||||||||
16,815 | 7.750%, 11/01/18 | 15,911 | ||||||
12,665 | 11.375%, 11/01/16 | 13,140 | ||||||
48,074 | SUB, 11/01/16 | 49,035 | ||||||
Nebraska Book Co., Inc., | ||||||||
13,173 | 8.625%, 03/15/12 (d) | 8,035 | ||||||
3,907 | 10.000%, 12/01/11 | 3,702 | ||||||
1,500 | Needle Merger Sub Corp., 8.125%, 03/15/19 (e) | 1,395 | ||||||
11,850 | Penske Automotive Group, Inc., 7.750%, 12/15/16 (m) | 11,998 | ||||||
19,420 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 18,837 | ||||||
9,950 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 10,149 | ||||||
|
| |||||||
194,786 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||||||
2,805 | Broder Brothers Co., PIK, 12.000%, 10/15/13 (e) | 2,798 | ||||||
17,391 | Quiksilver, Inc., 6.875%, 04/15/15 (m) | 16,304 | ||||||
|
| |||||||
19,102 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,998,063 | |||||||
|
| |||||||
Consumer Staples — 3.4% | ||||||||
Beverages — 0.2% | ||||||||
Constellation Brands, Inc., | ||||||||
2,900 | 7.250%, 09/01/16 | 3,085 | ||||||
5,375 | 7.250%, 05/15/17 | 5,697 | ||||||
6,240 | 8.375%, 12/15/14 | 6,927 | ||||||
1,120 | Cott Beverages, Inc., 8.125%, 09/01/18 | 1,159 | ||||||
|
| |||||||
16,868 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% | ||||||||
22,665 | Ingles Markets, Inc., 8.875%, 05/15/17 (m) | 23,572 | ||||||
Rite Aid Corp., | ||||||||
24,990 | 7.500%, 03/01/17 (m) | 24,303 | ||||||
20,800 | 9.500%, 06/15/17 | 18,200 | ||||||
13,400 | 9.750%, 06/12/16 | 14,388 | ||||||
9,050 | 10.250%, 10/15/19 | 9,480 | ||||||
8,750 | 10.375%, 07/15/16 | 9,176 | ||||||
SUPERVALU, Inc., | ||||||||
15,525 | 7.500%, 11/15/14 | 15,525 |
SEE NOTES TO FINANCIAL STATEMENTS.
124 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Food & Staples Retailing — Continued | ||||||||
33,850 | 8.000%, 05/01/16 | 33,173 | ||||||
|
| |||||||
147,817 | ||||||||
|
| |||||||
Food Products — 1.0% | ||||||||
5,272 | Chiquita Brands International, Inc., 7.500%, 11/01/14 (m) | 5,272 | ||||||
2,000 | Dean Foods Co., 7.000%, 06/01/16 | 1,900 | ||||||
11,690 | Del Monte Foods Co., 7.625%, 02/15/19 (e) | 11,602 | ||||||
309 | Dole Food Co., Inc., 13.875%, 03/15/14 | 359 | ||||||
2,418 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 2,128 | ||||||
JBS USA LLC/JBS USA Finance, Inc., | ||||||||
19,500 | 7.250%, 06/01/21 (e) | 17,721 | ||||||
7,754 | 11.625%, 05/01/14 | 8,607 | ||||||
1,000 | Michael Foods, Inc., 9.750%, 07/15/18 | 1,050 | ||||||
25,345 | Pilgrim’s Pride Corp., 7.875%, 12/15/18 (e) | 21,543 | ||||||
8,250 | Simmons Foods, Inc., 10.500%, 11/01/17 (e) | 7,528 | ||||||
Smithfield Foods, Inc., | ||||||||
8,285 | 7.750%, 07/01/17 | 8,668 | ||||||
435 | 10.000%, 07/15/14 | 492 | ||||||
7,014 | Tyson Foods, Inc., 6.850%, 04/01/16 (m) | 7,601 | ||||||
|
| |||||||
94,471 | �� | |||||||
|
| |||||||
Household Products — 0.3% | ||||||||
5,160 | Armored Autogroup, Inc., 9.250%, 11/01/18 (e) | 4,541 | ||||||
19,814 | Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19 | 21,474 | ||||||
|
| |||||||
26,015 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
18,695 | American Achievement Corp., 10.875%, 04/15/16 (e) | 14,956 | ||||||
|
| |||||||
Tobacco — 0.3% | ||||||||
22,705 | Alliance One International, Inc., 10.000%, 07/15/16 | 20,520 | ||||||
7,000 | Vector Group Ltd., 11.000%, 08/15/15 | 7,227 | ||||||
|
| |||||||
27,747 | ||||||||
|
| |||||||
Total Consumer Staples | 327,874 | |||||||
|
| |||||||
Energy — 10.9% | ||||||||
Energy Equipment & Services — 1.8% |
| |||||||
10,665 | Cie Generale de Geophysique- Veritas, (France), 6.500%, 06/01/21 (e) | 10,025 | ||||||
7,343 | Exterran Holdings, Inc., 7.250%, 12/01/18 (e) | 7,123 | ||||||
6,247 | Global Geophysical Services, Inc., 10.500%, 05/01/17 | 6,325 | ||||||
5,513 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m) | 5,623 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — Continued |
| |||||||
10,725 | Key Energy Services, Inc., 6.750%, 03/01/21 | 10,510 | ||||||
20,505 | McJunkin Red Man Corp., 9.500%, 12/15/16 | 20,608 | ||||||
27,200 | Ocean Rig UDW, Inc., 9.500%, 04/27/16 | 24,752 | ||||||
22,000 | Oil States International, Inc., 6.500%, 06/01/19 (e) | 22,000 | ||||||
11,000 | PHI, Inc., 8.625%, 10/15/18 | 10,973 | ||||||
Precision Drilling Corp., (Canada), | ||||||||
5,550 | 6.500%, 12/15/21 (e) | 5,550 | ||||||
9,845 | 6.625%, 11/15/20 | 9,968 | ||||||
16,200 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 15,228 | ||||||
21,500 | Sevan Marine ASA, (Norway), VAR, 3.417%, 05/14/13 (e) | 15,050 | ||||||
7,930 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 8,089 | ||||||
|
| |||||||
171,824 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.1% |
| |||||||
Alpha Natural Resources, Inc., | ||||||||
9,675 | 6.000%, 06/01/19 | 9,457 | ||||||
8,925 | 6.250%, 06/01/21 | 8,736 | ||||||
14,950 | Alta Mesa Holdings/Alta Mesa Finance Services Corp., 9.625%, 10/15/18 | 14,202 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp., | ||||||||
10,125 | 6.250%, 08/20/19 | 9,846 | ||||||
6,270 | 6.500%, 05/20/21 | 6,145 | ||||||
5,755 | Antero Resources Finance Corp., 9.375%, 12/01/17 | 6,100 | ||||||
Arch Coal, Inc., | ||||||||
13,000 | 7.000%, 06/15/19 (e) | 12,805 | ||||||
4,870 | 7.250%, 10/01/20 | 4,797 | ||||||
13,000 | 7.250%, 06/15/21 (e) | 12,805 | ||||||
41,857 | Bill Barrett Corp., 9.875%, 07/15/16 (m) | 45,938 | ||||||
Brigham Exploration Co., | ||||||||
5,700 | 6.875%, 06/01/19 (e) | 5,657 | ||||||
17,920 | 8.750%, 10/01/18 | 19,533 | ||||||
6,385 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 05/01/19 (e) | 6,162 | ||||||
Chesapeake Energy Corp., | ||||||||
15,065 | 6.125%, 02/15/21 | 15,291 | ||||||
2,100 | 6.625%, 08/15/20 | 2,194 | ||||||
7,560 | 6.875%, 08/15/18 | 7,900 | ||||||
8,120 | 6.875%, 11/15/20 | 8,567 | ||||||
6,880 | 7.250%, 12/15/18 | 7,396 | ||||||
10,775 | 9.500%, 02/15/15 | 12,176 | ||||||
18,587 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 20,446 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 125 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
11,455 | 8.250%, 12/15/17 | 11,799 | ||||||
8,310 | 8.500%, 12/15/19 | 8,497 | ||||||
37,653 | Comstock Resources, Inc., 8.375%, 10/15/17 | 38,783 | ||||||
Concho Resources, Inc., | ||||||||
7,855 | 6.500%, 01/15/22 | 7,894 | ||||||
7,304 | 7.000%, 01/15/21 | 7,487 | ||||||
Consol Energy, Inc., | ||||||||
1,410 | 6.375%, 03/01/21 (e) | 1,399 | ||||||
6,055 | 8.000%, 04/01/17 | 6,441 | ||||||
7,825 | 8.250%, 04/01/20 | 8,412 | ||||||
3,575 | Continental Resources, Inc., 7.125%, 04/01/21 | 3,682 | ||||||
13,993 | Denbury Resources, Inc., 8.250%, 02/15/20 | 14,745 | ||||||
El Paso Corp., | ||||||||
4,950 | 6.500%, 09/15/20 | 5,346 | ||||||
4,305 | 6.875%, 06/15/14 | 4,795 | ||||||
950 | 7.000%, 06/15/17 | 1,056 | ||||||
3,869 | 7.250%, 06/01/18 | 4,286 | ||||||
4,800 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 5,451 | ||||||
2,000 | Encore Acquisition Co., 9.500%, 05/01/16 | 2,190 | ||||||
7,870 | Energy XXI Gulf Coast, Inc., 7.750%, 06/15/19 | 7,398 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., | ||||||||
7,200 | 6.500%, 05/01/21 | 6,462 | ||||||
3,750 | 9.125%, 10/01/17 | 3,844 | ||||||
10,870 | Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 (e) | 10,924 | ||||||
Forest Oil Corp., | ||||||||
35,123 | 7.250%, 06/15/19 (m) | 34,772 | ||||||
8,165 | 8.500%, 02/15/14 | 8,736 | ||||||
Frontier Oil Corp., | ||||||||
4,250 | 6.875%, 11/15/18 | 4,377 | ||||||
7,355 | 8.500%, 09/15/16 | 7,760 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
14,605 | 7.625%, 04/15/21 (e) | 14,751 | ||||||
9,410 | 8.000%, 02/15/20 (e) | 9,786 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
11,575 | 6.250%, 03/01/15 (m) | 11,344 | ||||||
5,700 | 8.250%, 03/15/18 | 5,899 | ||||||
7,270 | HollyFrontier Corp., 9.875%, 06/15/17 | 7,961 | ||||||
Inergy LP/Inergy Finance Corp., | ||||||||
10,525 | 6.875%, 08/01/21 (e) | 10,104 | ||||||
14,000 | 7.000%, 10/01/18 | 13,615 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
5,325 | Linn Energy LLC/Linn Energy Finance Corp., 6.500%, 05/15/19 (e) | 5,085 | ||||||
13,403 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.750%, 11/01/20 | 13,738 | ||||||
Newfield Exploration Co., | ||||||||
6,180 | 6.625%, 09/01/14 | 6,227 | ||||||
10,265 | 6.875%, 02/01/20 | 10,624 | ||||||
3,675 | 7.125%, 05/15/18 | 3,822 | ||||||
NFR Energy LLC/NFR Energy Finance Corp., | ||||||||
28,141 | 9.750%, 02/15/17 (e) | 25,045 | ||||||
7,500 | Patriot Coal Corp., 8.250%, 04/30/18 | 7,050 | ||||||
Penn Virginia Corp., | ||||||||
2,025 | 7.250%, 04/15/19 | 1,934 | ||||||
17,277 | 10.375%, 06/15/16 (m) | 18,832 | ||||||
4,800 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 4,680 | ||||||
16,000 | Petrohawk Energy Corp., 6.250%, 06/01/19 (e) | 18,600 | ||||||
7,000 | Pioneer Drilling Co., 9.875%, 03/15/18 | 7,315 | ||||||
Pioneer Natural Resources Co., | ||||||||
2,499 | 5.875%, 07/15/16 | 2,614 | ||||||
4,635 | 6.650%, 03/15/17 | 4,999 | ||||||
4,950 | 6.875%, 05/01/18 | 5,362 | ||||||
15,897 | 7.500%, 01/15/20 | 17,811 | ||||||
Plains Exploration & Production Co., | ||||||||
5,040 | 7.625%, 04/01/20 | 5,241 | ||||||
7,475 | 10.000%, 03/01/16 | 8,260 | ||||||
18,154 | QEP Resources, Inc., 6.875%, 03/01/21 | 19,062 | ||||||
Range Resources Corp., | ||||||||
8,330 | 5.750%, 06/01/21 | 8,372 | ||||||
1,080 | 6.750%, 08/01/20 | 1,131 | ||||||
3,270 | 7.250%, 05/01/18 | 3,466 | ||||||
2,000 | 7.500%, 10/01/17 | 2,115 | ||||||
2,000 | 8.000%, 05/15/19 | 2,175 | ||||||
12,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21 | 12,030 | ||||||
19,399 | SM Energy Co., 6.625%, 02/15/19 (e) | 19,399 | ||||||
Swift Energy Co., | ||||||||
16,772 | 7.125%, 06/01/17 | 16,604 | ||||||
12,536 | 8.875%, 01/15/20 | 13,288 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
15,310 | 6.875%, 02/01/21 (e) | 15,157 | ||||||
9,090 | 7.875%, 10/15/18 | 9,544 | ||||||
10,956 | 8.250%, 07/01/16 | 11,449 |
SEE NOTES TO FINANCIAL STATEMENTS.
126 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
6,375 | Unit Corp., 6.625%, 05/15/21 | 6,248 | ||||||
7,000 | Venoco, Inc., 8.875%, 02/15/19 | 6,265 | ||||||
18,776 | W&T Offshore, Inc., 8.500%, 06/15/19 (e) | 18,776 | ||||||
Western Refining, Inc., | ||||||||
5,967 | 11.250%, 06/15/17 (e) | 6,534 | ||||||
9,872 | VAR, 10.750%, 06/15/14 (e) | 10,415 | ||||||
3,280 | Whiting Petroleum Corp., 6.500%, 10/01/18 | 3,280 | ||||||
|
| |||||||
878,698 | ||||||||
|
| |||||||
Total Energy | 1,050,522 | |||||||
|
| |||||||
Financials — 9.9% | ||||||||
Capital Markets — 0.0% (g) | ||||||||
4,320 | Oppenheimer Holdings, Inc., 8.750%, 04/15/18 | 4,320 | ||||||
|
| |||||||
Commercial Banks — 1.7% | ||||||||
Bank of America Corp., | ||||||||
3,550 | 5.625%, 07/01/20 | 3,595 | ||||||
45,644 | VAR, 8.000%, 01/30/18 (x) | 43,157 | ||||||
20,195 | VAR, 8.125%, 05/15/18 (x) | 19,094 | ||||||
1,100 | BankAmerica Capital II, 8.000%, 12/15/26 | 1,094 | ||||||
12,575 | BankAmerica Institutional Capital B, 7.700%, 12/31/26 (e) | 12,324 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
6,175 | VAR, 5.926%, 12/15/16 (e) (m) (x) | 5,064 | ||||||
17,350 | VAR, 7.434%, 12/15/17 (e) (m) (x) | 15,615 | ||||||
12,671 | Countrywide Capital III, 8.050%, 06/15/27 | 12,671 | ||||||
1,922 | NB Capital Trust II, 7.830%, 12/15/26 | 1,884 | ||||||
4,750 | NB Capital Trust IV, 8.250%, 04/15/27 | 4,750 | ||||||
52,588 | Wachovia Capital Trust III, VAR, 5.570%, 10/03/11 (m) (x) | 46,014 | ||||||
|
| |||||||
165,262 | ||||||||
|
| |||||||
Consumer Finance — 2.3% | ||||||||
Ally Financial, Inc., | ||||||||
22,325 | 6.250%, 12/01/17 | 21,475 | ||||||
6,100 | 7.500%, 09/15/20 | 5,993 | ||||||
79,739 | 8.000%, 11/01/31 | 77,945 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2,100 | 5.000%, 05/15/18 | 2,038 | ||||||
8,250 | 5.750%, 02/01/21 | 8,226 | ||||||
5,525 | 6.625%, 08/15/17 | 5,784 | ||||||
5,500 | 8.000%, 06/01/14 (m) | 5,948 | ||||||
29,945 | 8.000%, 12/15/16 (m) | 33,221 | ||||||
10,500 | 8.125%, 01/15/20 | 11,736 | ||||||
6,850 | 8.700%, 10/01/14 | 7,590 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — Continued | ||||||||
47,079 | Springleaf Finance Corp., 6.900%, 12/15/17 | 39,782 | ||||||
|
| |||||||
219,738 | ||||||||
|
| |||||||
Diversified Financial Services — 2.4% |
| |||||||
7,610 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 7,172 | ||||||
3,500 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 3,684 | ||||||
6,495 | Cardtronics, Inc., 8.250%, 09/01/18 | 6,820 | ||||||
CIT Group, Inc., | ||||||||
32,570 | 6.625%, 04/01/18 (e) | 32,570 | ||||||
15,600 | 7.000%, 05/02/16 (e) | 15,522 | ||||||
22,815 | 7.000%, 05/02/17 (e) | 22,530 | ||||||
CNG Holdings, Inc., | ||||||||
5,750 | 12.250%, 02/15/15 (e) | 6,124 | ||||||
1,300 | 13.750%, 08/15/15 (e) | 1,384 | ||||||
5,695 | Community Choice Financial, Inc., 10.750%, 05/01/19 (e) | 5,809 | ||||||
Deluxe Corp., | ||||||||
2,258 | 7.000%, 03/15/19 (e) | 2,230 | ||||||
8,132 | 7.375%, 06/01/15 | 8,193 | ||||||
10,878 | Highland Ranch, 6.700%, 09/01/20 (f) (i) | 10,062 | ||||||
9,885 | ILFC E-Capital Trust I, VAR, 5.740%, 12/21/65 (e) | 7,145 | ||||||
12,270 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 9,570 | ||||||
International Lease Finance Corp., | ||||||||
13,040 | 6.250%, 05/15/19 | 11,802 | ||||||
16,960 | 8.250%, 12/15/20 | 17,257 | ||||||
700 | 8.625%, 09/15/15 | 714 | ||||||
13,045 | 8.750%, 03/15/17 | 13,404 | ||||||
10,600 | 8.875%, 09/01/17 | 10,838 | ||||||
10,165 | NBC Acquisition Corp., 11.000%, 03/15/13 (d) | 203 | ||||||
1,115 | Speedy Cash, Inc., 10.750%, 05/15/18 (e) | 1,115 | ||||||
5,851 | SquareTwo Financial Corp., 11.625%, 04/01/17 | 5,763 | ||||||
12,950 | Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15 | 13,047 | ||||||
19,950 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 19,651 | ||||||
|
| |||||||
232,609 | ||||||||
|
| |||||||
Insurance — 2.5% | ||||||||
32,940 | American International Group, Inc., VAR, 8.175%, 05/15/58 | 32,703 | ||||||
26,550 | Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x) | 23,762 | ||||||
8,509 | CNO Financial Group, Inc., 9.000%, 01/15/18 (e) | 8,849 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 127 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued | ||||||||
34,242 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) (m) | 32,444 | ||||||
Liberty Mutual Group, Inc., | ||||||||
17,175 | 7.800%, 03/15/37 (e) | 16,145 | ||||||
78,067 | VAR, 10.750%, 06/15/58 (e) | 96,022 | ||||||
2,500 | Stoneheath RE, (Cayman Islands), VAR, 6.868%, 10/15/11 (x) | 2,275 | ||||||
USI Holdings Corp., | ||||||||
17,386 | 9.750%, 05/15/15 (e) (m) | 16,430 | ||||||
8,455 | VAR, 4.161%, 11/15/14 (e) | 7,567 | ||||||
5,500 | XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x) | 4,854 | ||||||
|
| |||||||
241,051 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
15,100 | Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.750%, 02/15/19 | 15,025 | ||||||
14,425 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 14,101 | ||||||
27,230 | CNL Lifestyle Properties, Inc., 7.250%, 04/15/19 | 23,554 | ||||||
10,086 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 10,641 | ||||||
12,229 | First Industrial LP, 6.420%, 06/01/14 | 12,728 | ||||||
Host Hotels & Resorts LP, | ||||||||
8,500 | 6.000%, 11/01/20 | 8,266 | ||||||
790 | 6.875%, 11/01/14 | 807 | ||||||
5,000 | 9.000%, 05/15/17 | 5,475 | ||||||
|
| |||||||
90,597 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
9,190 | Kennedy-Wilson, Inc., 8.750%, 04/01/19 (e) | 8,788 | ||||||
|
| |||||||
Total Financials | 962,365 | |||||||
|
| |||||||
Health Care — 5.0% | ||||||||
Biotechnology — 0.0% (g) |
| |||||||
1,925 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 2,103 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.2% |
| |||||||
13,650 | Biomet, Inc., 10.000%, 10/15/17 (m) | 14,298 | ||||||
3,500 | Teleflex, Inc., 6.875%, 06/01/19 | 3,474 | ||||||
2,286 | VWR Funding, Inc., 10.750%, 06/30/17 (e) | 2,218 | ||||||
|
| |||||||
19,990 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
6,936 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 6,780 | ||||||
10,825 | CDRT Merger Sub, Inc., 8.125%, 06/01/19 (e) | 10,094 | ||||||
43,531 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 44,130 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
DaVita, Inc., | ||||||||
8,500 | 6.375%, 11/01/18 | 8,351 | ||||||
8,450 | 6.625%, 11/01/20 | 8,281 | ||||||
Fresenius Medical Care U.S. Finance, Inc., | ||||||||
6,000 | 5.750%, 02/15/21 (e) | 5,760 | ||||||
8,669 | 6.875%, 07/15/17 | 9,037 | ||||||
HCA, Inc., | ||||||||
3,716 | 5.750%, 03/15/14 | 3,679 | ||||||
2,550 | 6.300%, 10/01/12 (m) | 2,588 | ||||||
5,553 | 6.375%, 01/15/15 | 5,456 | ||||||
21,135 | 6.500%, 02/15/20 | 21,373 | ||||||
1,275 | 6.750%, 07/15/13 | 1,300 | ||||||
5,275 | 7.250%, 09/15/20 | 5,420 | ||||||
16,070 | 7.500%, 02/15/22 | 15,909 | ||||||
8,556 | 8.500%, 04/15/19 | 9,326 | ||||||
3,765 | 9.875%, 02/15/17 | 4,123 | ||||||
8,992 | Health Management Associates, Inc., 6.125%, 04/15/16 | 8,767 | ||||||
32,800 | IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19 (e) | 28,700 | ||||||
14,210 | inVentiv Health, Inc., 10.000%, 08/15/18 (e) | 12,825 | ||||||
5,250 | Kindred Healthcare, Inc., 8.250%, 06/01/19 (e) | 4,672 | ||||||
5,200 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 | 5,070 | ||||||
18,600 | Multiplan, Inc., 9.875%, 09/01/18 (e) | 18,879 | ||||||
6,395 | Omega Healthcare Investors, Inc., 6.750%, 10/15/22 | 6,139 | ||||||
Omnicare, Inc., | ||||||||
8,501 | 6.875%, 12/15/15 | 8,671 | ||||||
5,418 | 7.750%, 06/01/20 | 5,526 | ||||||
8,400 | OnCure Holdings, Inc., 11.750%, 05/15/17 | 7,581 | ||||||
8,100 | Radiation Therapy Services, Inc., 9.875%, 04/15/17 | 7,492 | ||||||
5,468 | Select Medical Corp., 7.625%, 02/01/15 | 5,031 | ||||||
Tenet Healthcare Corp., | ||||||||
13,394 | 8.875%, 07/01/19 | 14,198 | ||||||
425 | 9.000%, 05/01/15 | 451 | ||||||
425 | 10.000%, 05/01/18 | 467 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., | ||||||||
11,862 | 7.750%, 02/01/19 | 11,120 | ||||||
33,350 | 8.000%, 02/01/18 | 31,766 | ||||||
Ventas Realty LP/Ventas Capital Corp., | ||||||||
1,899 | 6.500%, 06/01/16 | 1,959 | ||||||
3,000 | 6.750%, 04/01/17 | 3,130 | ||||||
|
| |||||||
344,051 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
128 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Pharmaceuticals — 1.3% | ||||||||
14,378 | Catalent Pharma Solutions, Inc., PIK, 9.500%, 04/15/15 | 13,300 | ||||||
10,120 | Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 (f) (i) | 3,960 | ||||||
Elan Finance plc/Elan Finance Corp., (Ireland), | ||||||||
38,600 | 8.750%, 10/15/16 | 39,951 | ||||||
Endo Pharmaceuticals Holdings, Inc., | ||||||||
4,500 | 7.000%, 07/15/19 (e) | 4,556 | ||||||
6,000 | 7.250%, 01/15/22 (e) | 6,120 | ||||||
3,650 | Giant Funding Corp., 8.250%, 02/01/18 (e) | 3,650 | ||||||
16,802 | Mylan, Inc., 7.875%, 07/15/20 (e) | 17,978 | ||||||
Valeant Pharmaceuticals International, | ||||||||
9,225 | 6.500%, 07/15/16 (e) | 8,764 | ||||||
5,450 | 6.750%, 10/01/17 (e) | 5,069 | ||||||
9,400 | 6.875%, 12/01/18 (e) | 8,648 | ||||||
10,570 | 7.000%, 10/01/20 (e) | 9,566 | ||||||
950 | 7.250%, 07/15/22 (e) | 845 | ||||||
|
| |||||||
122,407 | ||||||||
|
| |||||||
Total Health Care | 488,551 | |||||||
|
| |||||||
Industrials — 8.3% | ||||||||
Aerospace & Defense — 1.3% | ||||||||
6,380 | Alliant Techsystems, Inc., 6.875%, 09/15/20 | 6,364 | ||||||
6,575 | BE Aerospace, Inc., 6.875%, 10/01/20 | 6,740 | ||||||
5,750 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 | 3,709 | ||||||
16,465 | CPI International, Inc., 8.000%, 02/15/18 | 14,819 | ||||||
Esterline Technologies Corp., | ||||||||
4,910 | 6.625%, 03/01/17 | 4,984 | ||||||
1,565 | 7.000%, 08/01/20 | 1,631 | ||||||
1,250 | Hexcel Corp., 6.750%, 02/01/15 | 1,272 | ||||||
Huntington Ingalls Industries, Inc., | ||||||||
13,022 | 6.875%, 03/15/18 (e) | 12,241 | ||||||
7,270 | 7.125%, 03/15/21 (e) | 6,834 | ||||||
Kratos Defense & Security Solutions, Inc., | ||||||||
17,990 | 10.000%, 06/01/17 | 18,485 | ||||||
7,100 | 10.000%, 06/01/17 (e) | 7,224 | ||||||
2,777 | Moog, Inc., 7.250%, 06/15/18 | 2,867 | ||||||
Spirit Aerosystems, Inc., | ||||||||
13,558 | 6.750%, 12/15/20 | 13,524 | ||||||
4,500 | 7.500%, 10/01/17 | 4,646 | ||||||
Triumph Group, Inc., | ||||||||
9,066 | 8.000%, 11/15/17 | 9,360 | ||||||
8,380 | 8.625%, 07/15/18 | 8,925 | ||||||
|
| |||||||
123,625 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — 1.1% | ||||||||
384 | American Airlines Pass Through Trust 2001-01, 7.377%, 05/23/19 | 280 | ||||||
2,483 | American Airlines Pass Through Trust 2011-01, 7.000%, 01/31/18 (e) | 2,136 | ||||||
13,601 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 13,465 | ||||||
2,002 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 2,082 | ||||||
12,644 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m) | 13,087 | ||||||
2,561 | Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.603%, 06/02/13 | 2,420 | ||||||
5,386 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 5,009 | ||||||
600 | Continental Airlines 2010-1 Class A Pass-Through Trust, 4.750%, 01/12/21 | 561 | ||||||
3,200 | Continental Airlines, Inc., 6.750%, 09/15/15 (e) | 3,120 | ||||||
Delta Air Lines, Inc., | ||||||||
4,983 | 8.021%, 08/10/22 | 4,984 | ||||||
6,419 | 8.954%, 08/10/14 | 6,483 | ||||||
602 | 9.500%, 09/15/14 (e) | 617 | ||||||
417 | 9.750%, 12/17/16 | 428 | ||||||
Northwest Airlines, Inc., | ||||||||
32,657 | 7.027%, 11/01/19 | 32,657 | ||||||
1,933 | 8.028%, 11/01/17 | 1,953 | ||||||
1,276 | UAL 2007-1 Class C Pass- Through Trust, VAR, 2.647%, 07/02/14 | 1,123 | ||||||
UAL 2007-1 Pass-Through Trust, | ||||||||
8,007 | 6.636%, 07/02/22 | 8,027 | ||||||
988 | 7.336%, 07/02/19 | 889 | ||||||
4,429 | UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17 | 4,850 | ||||||
|
| |||||||
104,171 | ||||||||
|
| |||||||
Building Products — 0.7% | ||||||||
5,460 | Associated Materials LLC, 9.125%, 11/01/17 | 4,805 | ||||||
Building Materials Corp. of America, | ||||||||
12,540 | 6.750%, 05/01/21 (e) | 12,007 | ||||||
19,475 | 6.875%, 08/15/18 (e) | 19,086 | ||||||
5,265 | 7.000%, 02/15/20 (e) | 5,265 | ||||||
8,225 | Calcipar S.A., (Luxembourg), 6.875%, 05/01/18 (e) | 7,793 | ||||||
567 | Masco Corp., 5.850%, 03/15/17 | 564 | ||||||
15,300 | Nortek, Inc., 8.500%, 04/15/21 (e) | 13,081 | ||||||
|
| |||||||
62,601 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 129 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Commercial Services & Supplies — 1.2% |
| |||||||
5,975 | B-Corp. Merger Sub, Inc., 8.250%, 06/01/19 (e) | 5,557 | ||||||
Cenveo Corp., | ||||||||
27,503 | 8.875%, 02/01/18 | 22,277 | ||||||
7,250 | 10.500%, 08/15/16 (e) | 6,308 | ||||||
FTI Consulting, Inc., | ||||||||
8,500 | 6.750%, 10/01/20 | 8,383 | ||||||
2,000 | 7.750%, 10/01/16 | 2,035 | ||||||
12,104 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 12,407 | ||||||
4,345 | Geo Group, Inc. (The), 6.625%, 02/15/21 | 4,280 | ||||||
Harland Clarke Holdings Corp., | ||||||||
8,297 | 9.500%, 05/15/15 | 6,762 | ||||||
25,740 | VAR, 6.000%, 05/15/15 | 19,176 | ||||||
Iron Mountain, Inc., | ||||||||
2,938 | 8.000%, 06/15/20 | 3,004 | ||||||
631 | 8.375%, 08/15/21 | 653 | ||||||
3,205 | 8.750%, 07/15/18 | 3,285 | ||||||
2,485 | Liberty Tire Recycling, 11.000%, 10/01/16 (e) | 2,616 | ||||||
2,465 | Mobile Mini, Inc., 7.875%, 12/01/20 | 2,397 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
8,325 | 6.125%, 11/15/13 (d) | 183 | ||||||
6,815 | 6.500%, 08/01/27 (d) | 150 | ||||||
3,825 | 9.750%, 01/15/15 (d) | 84 | ||||||
R.R. Donnelley & Sons Co., | ||||||||
8,100 | 7.250%, 05/15/18 | 7,411 | ||||||
4,150 | 7.625%, 06/15/20 | 3,839 | ||||||
5,210 | WCA Waste Corp., 7.500%, 06/15/19 (e) | 5,210 | ||||||
|
| |||||||
116,017 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% | ||||||||
2,200 | Dycom Investments, Inc., 7.125%, 01/15/21 | 2,178 | ||||||
2,580 | Great Lakes Dredge & Dock Corp., 7.375%, 02/01/19 (e) | 2,451 | ||||||
1,000 | New Enterprise Stone & Lime Co., 11.000%, 09/01/18 (e) | 885 | ||||||
RSC Equipment Rental, Inc./RSC Holdings III LLC, | ||||||||
13,240 | 8.250%, 02/01/21 | 12,346 | ||||||
12,919 | 9.500%, 12/01/14 (m) | 12,919 | ||||||
9,400 | Tutor Perini Corp., 7.625%, 11/01/18 | 8,272 | ||||||
United Rentals North America, Inc., | ||||||||
11,750 | 8.375%, 09/15/20 | 10,722 | ||||||
12,250 | 9.250%, 12/15/19 (m) | 12,771 | ||||||
8,865 | 10.875%, 06/15/16 | 9,707 | ||||||
|
| |||||||
72,251 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 0.2% | ||||||||
Belden, Inc., | ||||||||
5,358 | 7.000%, 03/15/17 | 5,358 | ||||||
5,315 | 9.250%, 06/15/19 | 5,634 | ||||||
5,910 | International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e) | 6,028 | ||||||
|
| |||||||
17,020 | ||||||||
|
| |||||||
Environmental Services — 0.1% | ||||||||
Casella Waste Systems, Inc., | ||||||||
2,395 | 7.750%, 02/15/19 (e) | 2,305 | ||||||
7,455 | 11.000%, 07/15/14 | 7,986 | ||||||
|
| |||||||
10,291 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% | ||||||||
1,350 | Dynacast International LLC/Dynacast Finance, Inc., 9.250%, 07/15/19 (e) | 1,286 | ||||||
26,680 | JB Poindexter & Co., Inc., 8.750%, 03/15/14 (m) | 26,413 | ||||||
12,725 | Trimas Corp., 9.750%, 12/15/17 (m) | 13,680 | ||||||
|
| |||||||
41,379 | ||||||||
|
| |||||||
Machinery — 0.4% | ||||||||
5,440 | Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e) | 5,399 | ||||||
9,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 9,023 | ||||||
3,995 | Columbus McKinnon Corp., 7.875%, 02/01/19 | 3,935 | ||||||
4,778 | Commercial Vehicle Group, Inc., 7.875%, 04/15/19 (e) | 4,563 | ||||||
3,000 | Griffon Corp., 7.125%, 04/01/18 | 2,835 | ||||||
SPX Corp., | ||||||||
5,175 | 6.875%, 09/01/17 | 5,395 | ||||||
1,325 | 7.625%, 12/15/14 | 1,428 | ||||||
4,550 | Thermadyne Holdings Corp., 9.000%, 12/15/17 | 4,618 | ||||||
8,165 | Titan International, Inc., 7.875%, 10/01/17 | 8,573 | ||||||
|
| |||||||
45,769 | ||||||||
|
| |||||||
Marine — 1.1% | ||||||||
14,590 | ACL I Corp., PIK, 11.375%, 02/15/16 (e) | 12,183 | ||||||
9,400 | Bluewater Holding B.V., (Netherlands), VAR, 3.250%, 07/17/14 (e) | 7,050 | ||||||
26,540 | CMA CGM S.A., (France), 8.500%, 04/15/17 (e) | 12,076 | ||||||
16,808 | Commercial Barge Line Co., 12.500%, 07/15/17 | 18,258 | ||||||
22,860 | General Maritime Corp., 12.000%, 11/15/17 | 12,001 | ||||||
4,537 | Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17 (e) | 3,783 |
SEE NOTES TO FINANCIAL STATEMENTS.
130 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Marine — Continued | ||||||||
25,881 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 23,940 | ||||||
6,000 | Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 9.250%, 04/15/19 (e) | 5,250 | ||||||
13,580 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 13,274 | ||||||
|
| |||||||
107,815 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
4,475 | 7.750%, 05/15/16 | 4,436 | ||||||
9,075 | 8.250%, 01/15/19 | 8,780 | ||||||
16,295 | 9.625%, 03/15/18 | 16,661 | ||||||
Hertz Corp. (The), | ||||||||
7,127 | 6.750%, 04/15/19 (e) | 6,646 | ||||||
2,298 | 7.500%, 10/15/18 (e) | 2,252 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
5,975 | 6.125%, 06/15/21 (e) | 5,960 | ||||||
5,873 | 6.625%, 12/15/20 (e) | 6,108 | ||||||
4,484 | Kansas City Southern Railway, 8.000%, 06/01/15 (m) | 4,764 | ||||||
10,515 | Quality Distribution LLC/QD Capital Corp., 9.875%, 11/01/18 | 10,502 | ||||||
23,824 | RailAmerica, Inc., 9.250%, 07/01/17 | 25,730 | ||||||
|
| |||||||
91,839 | ||||||||
|
| |||||||
Total Industrials | 792,778 | |||||||
|
| |||||||
Information Technology — 4.0% | ||||||||
Communications Equipment — 0.7% | ||||||||
Avaya, Inc., | ||||||||
14,925 | 7.000%, 04/01/19 (e) | 13,432 | ||||||
39,750 | 9.750%, 11/01/15 | 33,788 | ||||||
17,145 | Brightstar Corp., 9.500%, 12/01/16 (e) | 17,659 | ||||||
EH Holding Corp., | ||||||||
5,340 | 6.500%, 06/15/19 (e) | 5,340 | ||||||
2,355 | 7.625%, 06/15/21 (e) | 2,343 | ||||||
|
| |||||||
72,562 | ||||||||
|
| |||||||
Computers & Peripherals — 0.5% | ||||||||
7,390 | Seagate HDD, (Cayman Islands), 6.875%, 05/01/20 | 7,076 | ||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
4,665 | 7.000%, 11/01/21 (e) | 4,409 | ||||||
13,570 | 7.750%, 12/15/18 (e) | 13,468 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Computers & Peripherals — Continued | ||||||||
18,075 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 18,346 | ||||||
8,193 | Stratus Technologies Bermuda Ltd./Stratus Technologies, Inc., (Bermuda), 12.000%, 03/29/15 | 7,251 | ||||||
|
| |||||||
50,550 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
15,559 | Intcomex, Inc., 13.250%, 12/15/14 | 15,170 | ||||||
12,358 | Kemet Corp., 10.500%, 05/01/18 | 13,161 | ||||||
3,200 | Sanmina-SCI Corp., VAR, 2.997%, 06/15/14 (e) | 3,088 | ||||||
2,219 | Smart Modular Technologies WWH, Inc., (Cayman Islands), VAR, 5.746%, 04/01/12 (f) (i) | 2,219 | ||||||
9,527 | Viasystems, Inc., 12.000%, 01/15/15 (e) | 10,444 | ||||||
|
| |||||||
44,082 | ||||||||
|
| |||||||
Internet Software & Services — 0.2% | ||||||||
14,000 | eAccess Ltd., (Japan), 8.250%, 04/01/18 (e) | 13,510 | ||||||
Equinix, Inc., | ||||||||
1,200 | 7.000%, 07/15/21 | 1,218 | ||||||
7,225 | 8.125%, 03/01/18 | 7,658 | ||||||
|
| |||||||
22,386 | ||||||||
|
| |||||||
IT Services — 0.9% | ||||||||
625 | Compucom Systems, Inc., 12.500%, 10/01/15 (e) | 630 | ||||||
First Data Corp., | ||||||||
4,795 | 8.250%, 01/15/21 (e) | 4,100 | ||||||
1,080 | 8.875%, 08/15/20 (e) | 1,069 | ||||||
1,073 | 9.875%, 09/24/15 | 982 | ||||||
25,067 | 12.625%, 01/15/21 (e) | 23,688 | ||||||
24,020 | iGate Corp., 9.000%, 05/01/16 (e) | 22,699 | ||||||
22,490 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 | 19,117 | ||||||
15,310 | Stream Global Services, Inc., 11.250%, 10/01/14 | 15,693 | ||||||
2,395 | Unisys Corp., 12.750%, 10/15/14 (e) | 2,682 | ||||||
|
| |||||||
90,660 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.1% |
| |||||||
Advanced Micro Devices, Inc., | ||||||||
9,370 | 7.750%, 08/01/20 | 9,511 | ||||||
11,200 | 8.125%, 12/15/17 | 11,508 | ||||||
Amkor Technology, Inc., | ||||||||
13,120 | 6.625%, 06/01/21 (e) | 12,201 | ||||||
10,090 | 7.375%, 05/01/18 | 10,166 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 131 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
Freescale Semiconductor, Inc., | ||||||||
22,425 | 8.050%, 02/01/20 | 21,416 | ||||||
8,000 | 9.250%, 04/15/18 (e) | 8,420 | ||||||
8,169 | 10.125%, 03/15/18 (e) | 8,863 | ||||||
1,009 | 10.750%, 08/01/20 | 1,057 | ||||||
18,478 | MEMC Electronic Materials, Inc., 7.750%, 04/01/19 (e) | 16,214 | ||||||
NXP B.V./NXP Funding LLC, (Netherlands), | ||||||||
1,100 | 9.750%, 08/01/18 (e) | 1,158 | ||||||
5,270 | VAR, 2.999%, 10/15/13 (e) | 5,112 | ||||||
2,850 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 2,993 | ||||||
|
| |||||||
108,619 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
2,500 | Audatex North America, Inc., 6.750%, 06/15/18 (e) | 2,456 | ||||||
4,070 | Lawson Software, Inc., 11.500%, 07/15/18 (e) | 3,724 | ||||||
|
| |||||||
6,180 | ||||||||
|
| |||||||
Total Information Technology | 395,039 | |||||||
|
| |||||||
Materials — 8.2% | ||||||||
Chemicals — 1.9% | ||||||||
7,869 | Celanese US Holdings LLC, 6.625%, 10/15/18 | 8,341 | ||||||
CF Industries, Inc., | ||||||||
10,150 | 6.875%, 05/01/18 | 11,508 | ||||||
5,085 | 7.125%, 05/01/20 | 5,822 | ||||||
23,995 | Chemtura Corp., 7.875%, 09/01/18 | 24,655 | ||||||
Lyondell Chemical Co., | ||||||||
16,111 | 8.000%, 11/01/17 (e) | 17,843 | ||||||
45,380 | 11.000%, 05/01/18 | 50,656 | ||||||
7,085 | Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.375%, 03/01/18 (e) | 7,315 | ||||||
151 | Nova Chemicals Corp., (Canada), 6.500%, 01/15/12 | 151 | ||||||
6,770 | Omnova Solutions, Inc., 7.875%, 11/01/18 | 5,941 | ||||||
41,510 | PolyOne Corp., 7.375%, 09/15/20 | 42,755 | �� | |||||
4,510 | Rhodia S.A., (France), 6.875%, 09/15/20 (e) | 5,265 | ||||||
|
| |||||||
180,252 | ||||||||
|
| |||||||
Construction Materials — 0.6% | ||||||||
Cemex S.A.B. de C.V., (Mexico), | ||||||||
2,350 | 9.000%, 01/11/18 (e) | 1,939 | ||||||
12,000 | VAR, 5.246%, 09/30/15 (e) | 9,360 | ||||||
13,560 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 13,899 | ||||||
15,160 | Texas Industries, Inc., 9.250%, 08/15/20 | 13,720 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction Materials — Continued | ||||||||
Vulcan Materials Co., | ||||||||
12,015 | 6.500%, 12/01/16 | 11,748 | ||||||
13,170 | 7.500%, 06/15/21 | 12,971 | ||||||
|
| |||||||
63,637 | ||||||||
|
| |||||||
Containers & Packaging — 1.8% | ||||||||
Ardagh Packaging Finance plc, (Ireland), | ||||||||
4,400 | 7.375%, 10/15/17 (e) | 4,334 | ||||||
7,750 | 9.125%, 10/15/20 (e) | 7,479 | ||||||
Ball Corp., | ||||||||
8,000 | 5.750%, 05/15/21 | 7,940 | ||||||
4,125 | 6.750%, 09/15/20 | 4,331 | ||||||
1,650 | 7.125%, 09/01/16 | 1,774 | ||||||
1,650 | 7.375%, 09/01/19 | 1,790 | ||||||
Berry Plastics Corp., | ||||||||
5,750 | 8.250%, 11/15/15 | 5,922 | ||||||
18,266 | 9.500%, 05/15/18 | 16,805 | ||||||
8,750 | 9.750%, 01/15/21 | 8,116 | ||||||
5,450 | VAR, 4.999%, 02/15/15 | 5,123 | ||||||
1,500 | BWAY Holding Co., 10.000%, 06/15/18 | 1,590 | ||||||
Constar International, Inc., | ||||||||
1,853 | 05/31/15 (f) (i) | 1,853 | ||||||
4,127 | 11.000%, 12/31/17 (f) (i) | 4,127 | ||||||
Graphic Packaging International, Inc., | ||||||||
5,200 | 7.875%, 10/01/18 | 5,460 | ||||||
4,275 | 9.500%, 06/15/17 | 4,649 | ||||||
1,000 | Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16 | 1,045 | ||||||
Plastipak Holdings, Inc., | ||||||||
4,116 | 8.500%, 12/15/15 (e) | 4,137 | ||||||
8,500 | 10.625%, 08/15/19 (e) | 9,095 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
11,100 | 6.875%, 02/15/21 (e) | 10,323 | ||||||
7,633 | 7.125%, 04/15/19 (e) | 7,232 | ||||||
8,700 | 7.875%, 08/15/19 (e) | 8,613 | ||||||
11,540 | 8.250%, 02/15/21 (e) | 9,722 | ||||||
6,600 | 8.500%, 10/15/16 (e) | 6,748 | ||||||
13,525 | 8.750%, 05/15/18 (e) | 12,071 | ||||||
11,125 | 9.000%, 04/15/19 (e) | 10,013 | ||||||
7,970 | 9.875%, 08/15/19 (e) | 7,492 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
25,818 | 8.000%, 03/15/17 (d) (f) (i) | 452 | ||||||
19,431 | 8.375%, 07/01/12 (d) (f) (i) | 340 | ||||||
5,925 | Solo Cup Co., 10.500%, 11/01/13 | 6,043 | ||||||
|
| |||||||
174,619 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
132 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Metals & Mining — 2.1% | ||||||||
6,923 | AK Steel Corp., 7.625%, 05/15/20 | 6,369 | ||||||
2,785 | Aleris International, Inc., 7.625%, 02/15/18 (e) | 2,562 | ||||||
APERAM, (Luxembourg), | ||||||||
4,900 | 7.375%, 04/01/16 (e) | 4,508 | ||||||
7,043 | 7.750%, 04/01/18 (e) | 6,515 | ||||||
1,323 | Arch Western Finance LLC, 6.750%, 07/01/13 | 1,320 | ||||||
8,420 | Atkore International, Inc., 9.875%, 01/01/18 (e) | 8,188 | ||||||
1,000 | Edgen Murray Corp., 12.250%, 01/15/15 | 952 | ||||||
11,858 | Essar Steel Algoma, Inc., (Canada), 9.375%, 03/15/15 (e) | 11,295 | ||||||
FMG Resources August 2006 Pty Ltd., (Australia), | ||||||||
13,245 | 6.875%, 02/01/18 (e) | 13,113 | ||||||
15,811 | 7.000%, 11/01/15 (e) | 15,771 | ||||||
3,875 | Gibraltar Industries, Inc., 8.000%, 12/01/15 | 3,817 | ||||||
3,300 | James River Escrow, Inc., 7.875%, 04/01/19 (e) | 2,987 | ||||||
4,170 | JMC Steel Group, 8.250%, 03/15/18 (e) | 4,076 | ||||||
17,110 | Murray Energy Corp., 10.250%, 10/15/15 (e) | 16,853 | ||||||
7,169 | Noranda Aluminum Acquisition Corp., PIK, 4.417%, 05/15/15 | 6,614 | ||||||
Novelis, Inc., (Canada), | ||||||||
16,820 | 8.375%, 12/15/17 | 17,367 | ||||||
8,255 | 8.750%, 12/15/20 | 8,688 | ||||||
6,835 | Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e) | 6,835 | ||||||
4,500 | Ryerson, Inc., 12.000%, 11/01/15 | 4,618 | ||||||
12,275 | Severstal Columbus LLC, 10.250%, 02/15/18 | 12,705 | ||||||
5,950 | Steel Dynamics, Inc., 7.625%, 03/15/20 | 6,292 | ||||||
7,865 | Taseko Mines Ltd., (Canada), 7.750%, 04/15/19 | 7,452 | ||||||
9,265 | Thompson Creek Metals Co., Inc., (Canada), 7.375%, 06/01/18 (e) | 8,454 | ||||||
United States Steel Corp., | ||||||||
1,075 | 6.050%, 06/01/17 | 1,029 | ||||||
5,231 | 7.000%, 02/01/18 | 5,022 | ||||||
9,685 | 7.375%, 04/01/20 | 9,177 | ||||||
1,252 | Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i) | 1,252 | ||||||
6,675 | Xinergy Corp., 9.250%, 05/15/19 (e) | 6,208 | ||||||
|
| |||||||
200,039 | ||||||||
|
| |||||||
Paper & Forest Products — 1.8% | ||||||||
24,290 | AbitibiBowater, Inc., 10.250%, 10/15/18 (e) | 25,505 | ||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
8,431 | 6.000%, 06/20/13 (d) | 21 | ||||||
20,371 | 8.375%, 04/01/15 (d) | 51 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Paper & Forest Products — Continued | ||||||||
Abitibi-Consolidated, Inc., | ||||||||
3,880 | 7.400%, 04/01/18 (d) | 10 | ||||||
2,425 | 7.500%, 04/01/28 (d) | 6 | ||||||
15,841 | 7.750%, 06/15/11 (d) | 39 | ||||||
680 | 8.550%, 08/01/10 (d) | 2 | ||||||
44,081 | 8.850%, 08/01/30 (d) | 110 | ||||||
17,760 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 17,804 | ||||||
5,250 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 5,368 | ||||||
4,150 | Bowater Canada Finance Corp., (Canada), 7.950%, 11/15/11 (d) | 871 | ||||||
Cascades, Inc., (Canada), | ||||||||
6,710 | 7.750%, 12/15/17 | 6,509 | ||||||
4,000 | 7.875%, 01/15/20 | 3,850 | ||||||
Domtar Corp., | ||||||||
2,015 | 7.125%, 08/15/15 | 2,217 | ||||||
5,377 | 10.750%, 06/01/17 | 6,694 | ||||||
Georgia-Pacific LLC, | ||||||||
7,090 | 7.125%, 01/15/17 (e) | 7,509 | ||||||
3,800 | 8.250%, 05/01/16 (e) | 4,340 | ||||||
4,200 | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 (e) | 4,158 | ||||||
NewPage Corp., | ||||||||
14,950 | 10.000%, 05/01/12 | 1,757 | ||||||
78,532 | 11.375%, 12/31/14 | 69,108 | ||||||
7,000 | VAR, 6.504%, 05/01/12 | 822 | ||||||
P.H. Glatfelter Co., | ||||||||
6,810 | 7.125%, 05/01/16 | 6,912 | ||||||
3,200 | Potlatch Corp., 7.500%, 11/01/19 | 3,248 | ||||||
1,100 | Sappi Papier Holding GmbH, (Austria), 6.625%, 04/15/21 (e) | 979 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., | ||||||||
8,000 | 8.750%, 02/01/19 | 6,380 | ||||||
945 | 11.500%, 07/01/14 | 1,002 | ||||||
|
| |||||||
175,272 | ||||||||
|
| |||||||
Total Materials | 793,819 | |||||||
|
| |||||||
Telecommunication Services — 5.2% | ||||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
Cincinnati Bell, Inc., | ||||||||
37 | 7.000%, 02/15/15 | 37 | ||||||
7,125 | 8.250%, 10/15/17 | 7,107 | ||||||
4,840 | 8.750%, 03/15/18 | 4,537 | ||||||
Clearwire Communications LLC/Clearwire Finance, Inc., | ||||||||
160 | 12.000%, 12/01/15 (e) | 150 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 133 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Diversified Telecommunication Services — Continued |
| |||||||
49,404 | 12.000%, 12/01/15 (e) | 46,687 | ||||||
Frontier Communications Corp., | ||||||||
6,340 | 7.125%, 03/15/19 | 6,237 | ||||||
800 | 8.125%, 10/01/18 | 827 | ||||||
3,945 | 8.250%, 04/15/17 | 4,103 | ||||||
13,095 | 8.500%, 04/15/20 | 13,717 | ||||||
3,945 | 8.750%, 04/15/22 | 4,043 | ||||||
2,965 | Global Crossing Ltd., (Bermuda), 12.000%, 09/15/15 | 3,388 | ||||||
6,900 | Level 3 Communications, Inc., 11.875%, 02/01/19 (e) | 7,159 | ||||||
18,070 | Level 3 Escrow, Inc., 8.125%, 07/01/19 (e) | 17,166 | ||||||
Level 3 Financing, Inc., | ||||||||
5,500 | 8.750%, 02/15/17 | 5,390 | ||||||
15,396 | 9.250%, 11/01/14 (m) | 15,588 | ||||||
22,370 | 9.375%, 04/01/19 (e) | 21,923 | ||||||
14,015 | PAETEC Holding Corp., 8.875%, 06/30/17 (m) | 14,961 | ||||||
Qwest Communications International, Inc., | ||||||||
15,705 | 7.125%, 04/01/18 | 16,490 | ||||||
4,115 | 8.000%, 10/01/15 | 4,393 | ||||||
Qwest Corp., | ||||||||
996 | 7.625%, 06/15/15 (m) | 1,108 | ||||||
1,000 | 8.375%, 05/01/16 | 1,140 | ||||||
Windstream Corp., | ||||||||
500 | 7.000%, 03/15/19 | 490 | ||||||
2,500 | 7.750%, 10/01/21 | 2,538 | ||||||
8,200 | 7.875%, 11/01/17 | 8,620 | ||||||
10,190 | 8.125%, 09/01/18 | 10,572 | ||||||
|
| |||||||
218,371 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 2.9% |
| |||||||
6,160 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 6,591 | ||||||
Cricket Communications, Inc., | ||||||||
4,810 | 7.750%, 05/15/16 | 4,870 | ||||||
27,325 | 7.750%, 10/15/20 | 24,319 | ||||||
1,370 | Crown Castle International Corp., 9.000%, 01/15/15 | 1,476 | ||||||
4,270 | iPCS, Inc., VAR, 2.379%, 05/01/13 | 3,961 | ||||||
MetroPCS Wireless, Inc., | ||||||||
9,000 | 6.625%, 11/15/20 | 8,415 | ||||||
8,200 | 7.875%, 09/01/18 | 8,313 | ||||||
68,800 | Nextel Communications, Inc., 7.375%, 08/01/15 (m) | 67,682 | ||||||
NII Capital Corp., | ||||||||
19,530 | 8.875%, 12/15/19 | 20,653 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — Continued |
| |||||||
7,455 | 10.000%, 08/15/16 | 8,387 | ||||||
1,025 | SBA Telecommunications, Inc., 8.250%, 08/15/19 | 1,084 | ||||||
Sprint Nextel Corp., | ||||||||
67,435 | 6.000%, 12/01/16 (m) | 64,906 | ||||||
5,425 | 8.375%, 08/15/17 | 5,683 | ||||||
8,197 | Vimpel Communications Via VIP Finance Ireland Ltd., OJSC, (Ireland), 7.748%, 02/02/21 (e) | 8,054 | ||||||
VimpelCom Holdings B.V., (Netherlands), | ||||||||
4,550 | 6.255%, 03/01/17 (e) | 4,322 | ||||||
11,900 | 7.504%, 03/01/22 (e) | 11,347 | ||||||
1,300 | VAR, 4.246%, 06/29/14 (e) | 1,313 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
9,025 | 7.250%, 02/15/18 (e) | 8,461 | ||||||
10,915 | 11.750%, 07/15/17 (e) | 11,324 | ||||||
8,815 | PIK, 12.250%, 07/15/17 (e) | 8,815 | ||||||
|
| |||||||
279,976 | ||||||||
|
| |||||||
Total Telecommunication Services | 498,347 | |||||||
|
| |||||||
Utilities — 4.2% | ||||||||
Electric Utilities — 0.1% | ||||||||
2,500 | PNM Resources, Inc., 9.250%, 05/15/15 | 2,788 | ||||||
4,000 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 4,549 | ||||||
|
| |||||||
7,337 | ||||||||
|
| |||||||
Gas Utilities — 0.1% | ||||||||
8,570 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 (e) | 8,270 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders — 3.3% |
| |||||||
9,800 | AES Corp. (The), 7.375%, 07/01/21 (e) | 9,898 | ||||||
AES Eastern Energy LP, | ||||||||
2,688 | 9.000%, 01/02/17 | 1,613 | ||||||
29,145 | 9.670%, 01/02/29 | 17,487 | ||||||
8,275 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 8,751 | ||||||
Calpine Corp., | ||||||||
10,011 | 7.250%, 10/15/17 (e) | 10,136 | ||||||
45,750 | 7.500%, 02/15/21 (e) | 46,207 | ||||||
2,700 | 7.875%, 07/31/20 (e) | 2,768 | ||||||
16,900 | 7.875%, 01/15/23 (e) | 17,238 | ||||||
Dynegy Holdings, Inc., | ||||||||
12,200 | 7.125%, 05/15/18 (m) | 7,076 | ||||||
3,900 | 7.500%, 06/01/15 | 2,613 | ||||||
48,825 | 7.750%, 06/01/19 | 29,783 | ||||||
151 | 8.375%, 05/01/16 | 100 |
SEE NOTES TO FINANCIAL STATEMENTS.
134 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued | |||||||
Independent Power Producers & Energy Traders — Continued |
| |||||||
41,590 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 (m) | 28,073 | ||||||
Edison Mission Energy, | ||||||||
13,102 | 7.000%, 05/15/17 | 9,171 | ||||||
58,706 | 7.200%, 05/15/19 (m) | 39,040 | ||||||
3,980 | First Wind Capital LLC, 10.250%, 06/01/18 (e) | 3,801 | ||||||
646 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 575 | ||||||
GenOn Energy, Inc., | ||||||||
2,600 | 7.875%, 06/15/17 (m) | 2,522 | ||||||
19,285 | 9.875%, 10/15/20 | 19,381 | ||||||
Homer City Funding LLC, | ||||||||
4,948 | 8.137%, 10/01/19 | 4,058 | ||||||
9,167 | 8.734%, 10/01/26 | 7,425 | ||||||
13,055 | Midwest Generation LLC, 8.560%, 01/02/16 | 12,859 | ||||||
1,949 | Mirant Mid Atlantic Pass-Through Trust, 10.060%, 12/30/28 | 2,124 | ||||||
NRG Energy, Inc., | ||||||||
9,145 | 7.625%, 05/15/19 (e) | 8,916 | ||||||
9,740 | 7.875%, 05/15/21 (e) | 9,594 | ||||||
11,050 | 8.500%, 06/15/19 | 11,271 | ||||||
2,157 | Ormat Funding Corp., 8.250%, 12/30/20 (m) | 2,049 | ||||||
13,903 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 5,353 | ||||||
|
| |||||||
319,882 | ||||||||
|
| |||||||
Multi-Utilities — 0.7% | ||||||||
Energy Future Holdings Corp., | ||||||||
11,306 | 9.750%, 10/15/19 | 11,015 | ||||||
650 | 10.875%, 11/01/17 | 533 | ||||||
53,990 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20 | 54,469 | ||||||
|
| |||||||
66,017 | ||||||||
|
| |||||||
Total Utilities | 401,506 | |||||||
|
| |||||||
Total Corporate Bonds | 7,708,864 | |||||||
|
| |||||||
SHARES | ||||||||
| Common Stocks — 0.8% | |||||||
Consumer Discretionary — 0.4% | ||||||||
Automobiles — 0.3% | ||||||||
1,302 | General Motors Co. (a) | 31,292 | ||||||
|
| |||||||
Broadcasting & Cable TV — 0.0% (g) |
| |||||||
9,055 | Adelphia Recovery Trust | 9 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Leisure Equipment & Products — 0.1% |
| |||||||
458 | New True Temper Holdings Corp., Inc. (a) (f) (i) | 3,437 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) |
| |||||||
228 | Broder Brothers Co. (a) (f) (i) | 2,399 | ||||||
66 | WestPoint International, Inc. (a) (f) (i) | — | ||||||
|
| |||||||
2,399 | ||||||||
|
| |||||||
Total Consumer Discretionary | 37,137 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
585 | Eurofresh, Inc., ADR (a) (f) (i) | — | ||||||
|
| |||||||
Financials — 0.0% (g) |
| |||||||
Diversified Financial Services — 0.0% (g) |
| |||||||
1 | Leucadia National Corp. | 23 | ||||||
|
| |||||||
Industrials — 0.0% (g) |
| |||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
22 | Quad/Graphics, Inc. | 466 | ||||||
|
| |||||||
Information Technology — 0.1% |
| |||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
575 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | ||||||
|
| |||||||
IT Services — 0.0% (g) |
| |||||||
92 | Unisys Corp. (a) | 1,617 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
325 | MagnaChip Semiconductor S.A., (Luxembourg) (a) (f) (i) | 2,171 | ||||||
236 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg) (a) (f) (i) | 1,572 | ||||||
|
| |||||||
3,743 | ||||||||
|
| |||||||
Total Information Technology | 5,360 | |||||||
|
| |||||||
Materials — 0.3% |
| |||||||
Chemicals — 0.2% |
| |||||||
482 | LyondellBasell Industries N.V., (Netherlands), Class A | 16,695 | ||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
399 | U.S. Concrete, Inc. (a) | 2,274 | ||||||
|
| |||||||
Containers & Packaging — 0.0% (g) |
| |||||||
58 | Constar International, Inc., ADR (a) (f) (i) | 16 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) |
| |||||||
46 | Wolverine Tube, Inc., ADR (a) (f) (i) | 1,161 | ||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
787 | AbitibiBowater, Inc., (Canada) (a) | 13,367 | ||||||
|
| |||||||
Total Materials | 33,513 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 135 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Telecommunication Services — 0.0% (g) |
| |||||||
Diversified Telecommunication Services — 0.0% (g) |
| |||||||
2 | AboveNet, Inc. | 107 | ||||||
1 | XO Holdings, Inc. (a) (f) (i) | — | ||||||
|
| |||||||
107 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
— | (h) | USA Mobility, Inc. | 1 | |||||
|
| |||||||
Total Telecommunication Services | 108 | |||||||
|
| |||||||
Utilities — 0.0% (g) |
| |||||||
Independent Power Producers & Energy Traders — 0.0% (g) |
| |||||||
19 | GenOn Energy, Inc. (a) | 59 | ||||||
|
| |||||||
Total Common Stocks | 76,666 | |||||||
|
| |||||||
| Preferred Stocks — 0.5% | |||||||
Consumer Discretionary — 0.0% (g) |
| |||||||
Automobiles — 0.0% (g) |
| |||||||
63 | General Motors Co., 4.750%, 12/01/13 | 2,512 | ||||||
|
| |||||||
Media — 0.0% (g) |
| |||||||
77 | Spanish Broadcasting System, Inc. (a) (f) (i) | — | (h) | |||||
1 | Spanish Broadcasting System, Inc., PIK, 10.750%, 10/03/11 (a) (f) (i) (x) | 553 | ||||||
|
| |||||||
Total Consumer Discretionary | 3,065 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
1 | Eurofresh, Inc., ADR (a) (f) (i) | — | ||||||
|
| |||||||
Financials — 0.5% |
| |||||||
Commercial Banks — 0.2% |
| |||||||
112 | CoBank ACB, 7.000%, 10/03/11 (e) (x) | 5,135 | ||||||
95 | CoBank ACB, Series C, 11.000%, 07/01/13 (e) (x) | 5,219 | ||||||
161 | CoBank ACB, Series D, 11.000%, 10/01/14 (x) | 8,763 | ||||||
|
| |||||||
19,117 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
20 | Ally Financial, Inc., 7.000%, 12/31/11 (e) (x) | 15,123 | ||||||
326 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 8,499 | ||||||
226 | GMAC Capital Trust I, VAR, 8.125%, 02/15/40 | 4,825 | ||||||
|
| |||||||
28,447 | ||||||||
|
| |||||||
Total Financials | 47,564 | |||||||
|
| |||||||
Information Technology — 0.0% (g) |
| |||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
131 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Materials — 0.0% (g) |
| |||||||
Containers & Packaging — 0.0% (g) |
| |||||||
6 | Constar International, Inc. (a) (f) (i) | 1,228 | ||||||
|
| |||||||
Total Preferred Stocks | 51,857 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
| Loan Participations & Assignments — 14.4% |
| ||||||
Consumer Discretionary — 5.7% |
| |||||||
Auto Components — 0.3% |
| |||||||
Autoparts Holdings Ltd., Term Loan, | ||||||||
3,245 | VAR, 6.500%, 07/29/17 | 3,180 | ||||||
1,655 | VAR, 6.500%, 07/29/17 | 1,622 | ||||||
19,975 | Remy International, Term Loan B, VAR, 6.250%, 12/16/16 | 19,176 | ||||||
2,935 | UCI International, Inc., Term Loan, VAR, 5.500%, 07/26/17 | 2,851 | ||||||
|
| |||||||
26,829 | ||||||||
|
| |||||||
Automobiles — 0.4% |
| |||||||
43,750 | Chrysler, Term Loan B, VAR, 6.000%, 05/24/17 | 39,244 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
3,000 | Realogy Corp., Extended Term Loan/Extended Synthetic Commitments, VAR, 10/10/16^ | 2,469 | ||||||
11,600 | Tishman Speyer Office, Term Loan, VAR, 8.000%, 05/04/12 | 11,353 | ||||||
|
| |||||||
13,822 | ||||||||
|
| |||||||
Gaming — 1.4% |
| |||||||
5,057 | Boyd Gaming Corp., Term Loan, VAR, 3.721%, 12/17/15 | 4,615 | ||||||
Caesars Entertainment Operating Co., Inc., Term B-2 Loan, | ||||||||
29,252 | VAR, 3.218%, 01/28/15 | 25,202 | ||||||
47,274 | VAR, 3.253%, 01/28/15 | 40,730 | ||||||
23,160 | CCM Merger, Inc., Term Loan, VAR, 7.000%, 03/01/17 | 22,349 | ||||||
1,000 | Citycenter Holdings LLC, Term Loan, VAR, 7.500%, 01/21/15 | 969 | ||||||
Golden Nugget, Inc., Additional Term Advance, | ||||||||
74 | VAR, 3.190%, 06/30/14 | 63 | ||||||
66 | VAR, 3.190%, 06/30/14 | 56 | ||||||
222 | VAR, 3.190%, 06/30/14 | 189 | ||||||
73 | VAR, 3.190%, 06/30/14 | 63 | ||||||
Golden Nugget, Inc., Term Advance, | ||||||||
765 | VAR, 3.190%, 06/30/14 | 652 |
SEE NOTES TO FINANCIAL STATEMENTS.
136 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Gaming — Continued |
| |||||||
Isle of Capri Casinos, Inc., Term Loan B, | ||||||||
4,844 | VAR, 4.750%, 11/01/13 | 4,646 | ||||||
229 | VAR, 4.750%, 11/01/13 | 220 | ||||||
MGM Resorts International, Class C Loan, | ||||||||
8,075 | VAR, 7.000%, 02/21/14 | 7,696 | ||||||
7,925 | VAR, 7.000%, 02/21/14 | 7,552 | ||||||
18,000 | MGM Resorts International, Extended Term Loan E, VAR, 7.000%, 02/21/14 | 17,172 | ||||||
|
| |||||||
132,174 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
4,000 | Burger King Corp., Tranche B Term Loan, VAR, 10/19/16^ | 3,790 | ||||||
7,547 | DineEquity Inc., Term B1 Loan, VAR, 4.250%, 10/19/17 | 7,245 | ||||||
2,141 | Outback Steakhouse, Prefunded RC Commitment, VAR, 0.069%, 06/14/13 | 1,966 | ||||||
24,400 | Outback Steakhouse, Term Loan B, VAR, 2.563%, 06/14/14 | 22,414 | ||||||
12,825 | Rock Ohio Caesars LLC, Term Loan, VAR, 08/15/17^ | 12,440 | ||||||
4,232 | Wendy’s/Arby’s Restaurants LLC, Term Loan, VAR, 5.000%, 05/24/17 | 4,172 | ||||||
|
| |||||||
52,027 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
17,135 | Cengage Learning Acquisitions, Term Loan, VAR, 2.500%, 07/03/14 | 14,166 | ||||||
34,626 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.837%, 01/29/16 | 25,915 | ||||||
Entercom Radio LLC, Term Loan A, | ||||||||
5,866 | VAR, 1.346%, 06/30/12 | 5,570 | ||||||
3,719 | VAR, 3.375%, 06/30/12 | 3,532 | ||||||
5,138 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 5,035 | ||||||
5,125 | Hubbard Radio LLC, 1st Lien Term Loan B, VAR, 5.250%, 04/28/17 | 4,877 | ||||||
2,425 | Hubbard Radio LLC, 2nd Lien Term Loan C, VAR, 8.750%, 04/30/18 | 2,332 | ||||||
1,250 | Live Nation Entertainment, Inc., Term Loan B, VAR, 11/07/16^ | 1,185 | ||||||
Media General, Inc., Term Loan, | ||||||||
2,005 | VAR, 4.719%, 03/29/13 | 1,716 | ||||||
6,677 | VAR, 4.819%, 03/29/13 | 5,714 | ||||||
Miramax Film NY LLC, 1st Lien Term Loan, | ||||||||
2,945 | VAR, 7.750%, 06/22/16 | 2,901 | ||||||
18,797 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 18,422 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
3,820 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 3,944 | ||||||
2,000 | Nielsen Finance LLC, Class B Dollar Term Loan, VAR, 3.956%, 05/02/16 | 1,880 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
2,889 | VAR, 9.000%, 10/24/14 | 1,636 | ||||||
11,369 | VAR, 9.000%, 10/24/14 | 6,437 | ||||||
11,728 | VAR, 9.000%, 10/24/14 | 6,641 | ||||||
15,461 | Radio One, 1st Lien Term Loan B, VAR, 7.500%, 03/31/16 | 14,920 | ||||||
11,703 | Univision Communications, Inc., Extended 1st Lien Term Loan, | |||||||
VAR, 4.471%, 03/31/17 | 10,064 | |||||||
25,856 | Univision Communications, Inc., Initial Term Loan, VAR, 2.221%, 09/29/14 | 23,158 | ||||||
Vertis, Inc., 1st Lien Term Loan, | ||||||||
14,641 | VAR, 11.750%, 12/21/15 | 12,153 | ||||||
238 | VAR, 11.750%, 12/21/15 | 197 | ||||||
2,000 | Weather Channel (The), Term Loan, VAR, 02/11/17^ | 1,927 | ||||||
|
| |||||||
174,322 | ||||||||
|
| |||||||
Specialty Retail — 1.2% |
| |||||||
4,350 | Academy Sports & Outdoors, 1st Lien Term Loan, VAR, 6.000%, 08/03/18 | 4,129 | ||||||
Claire’s Stores, Term Loan B, | ||||||||
70,592 | VAR, 2.996%, 05/29/14 | 61,326 | ||||||
17,094 | VAR, 3.003%, 05/29/14 | 14,851 | ||||||
11,744 | Gymboree , 1st Lien Term Loan, VAR, 5.000%, 02/23/18 | 10,443 | ||||||
J. Crew, 1st Lien Term Loan, | ||||||||
8,678 | VAR, 4.750%, 03/07/18 | 7,729 | ||||||
2,893 | VAR, 4.750%, 03/07/18 | 2,576 | ||||||
4,000 | J. Crew, Initial Loan, VAR, 03/04/18^ | 3,563 | ||||||
2,400 | Michael’s Stores, Term B-1 Loan, VAR, 10/31/13^ | 2,268 | ||||||
Michael’s Stores, Term B-2 Loan, | ||||||||
7,120 | VAR, 4.750%, 07/31/16 | 6,700 | ||||||
|
| |||||||
113,585 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) |
| |||||||
2,250 | BCBG Max Azria, 1st Lien Term Loan, VAR, 9.720%, 06/09/15 | 2,108 | ||||||
|
| |||||||
Total Consumer Discretionary | 554,111 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 137 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Consumer Staples — 1.1% |
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
15,759 | Rite Aid Corp., 1st Lien Term Loan 5, VAR, 4.500%, 03/03/18 | 14,577 | ||||||
Rite Aid Corp., Tranche 2 Term Loan, | ||||||||
9,936 | VAR, 1.960%, 06/04/14 | 9,085 | ||||||
10,012 | VAR, 1.970%, 06/04/14 | 9,155 | ||||||
8,467 | VAR, 1.980%, 06/04/14 | 7,742 | ||||||
|
| |||||||
40,559 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
Bolthouse Farms, 1st Lien Term Loan, | ||||||||
9,442 | VAR, 5.500%, 02/11/16 | 9,190 | ||||||
8 | VAR, 5.750%, 02/11/16 | 8 | ||||||
1,500 | Del Monte Corp., Initial Term Loan, VAR, 03/08/18^ | 1,414 | ||||||
Dole Food Co., Tranche B-2 Term Loan, | ||||||||
471 | VAR, 5.000%, 07/08/18 | 453 | ||||||
471 | VAR, 5.000%, 07/08/18 | 454 | ||||||
471 | VAR, 5.000%, 07/08/18 | 453 | ||||||
471 | VAR, 5.000%, 07/08/18 | 454 | ||||||
471 | VAR, 5.000%, 07/08/18 | 454 | ||||||
471 | VAR, 5.000%, 07/08/18 | 454 | ||||||
141 | VAR, 6.000%, 07/08/18 | 136 | ||||||
Dole Food Co., Tranche C-2 Term Loan, | ||||||||
707 | VAR, 5.000%, 07/08/18 | 680 | ||||||
707 | VAR, 5.000%, 07/08/18 | 680 | ||||||
707 | VAR, 5.000%, 07/08/18 | 680 | ||||||
471 | VAR, 5.000%, 07/08/18 | 454 | ||||||
471 | VAR, 5.000%, 07/08/18 | 454 | ||||||
707 | VAR, 5.000%, 07/08/18 | 680 | ||||||
707 | VAR, 5.000%, 07/08/18 | 681 | ||||||
707 | VAR, 5.000%, 07/08/18 | 680 | ||||||
330 | VAR, 6.000%, 07/08/18 | 318 | ||||||
Pierre Foods, Inc., 1st Lien Term Loan, | ||||||||
10,329 | VAR, 7.000%, 09/30/16 | 9,987 | ||||||
25 | VAR, 7.000%, 09/30/16 | 24 | ||||||
6,160 | Pierre Foods, Inc., 2nd Lien Term Loan, VAR, 11.250%, 09/29/17 | 6,037 | ||||||
|
| |||||||
34,825 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
NBTY, Inc., Term B-1 Loan, | ||||||||
7,750 | VAR, 4.250%, 10/01/17 | 7,450 | ||||||
503 | VAR, 4.250%, 10/01/17 | 483 | ||||||
503 | VAR, 4.250%, 10/01/17 | 484 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — Continued |
| |||||||
Targus, 1st Lien Term Loan, | ||||||||
4,489 | VAR, 11.000%, 05/24/16 | 4,303 | ||||||
11 | VAR, 11.000%, 05/24/16 | 11 | ||||||
17,164 | Visant Corp., 1st Lien Term Loan, VAR, 5.250%, 12/22/16 | 15,558 | ||||||
|
| |||||||
28,289 | ||||||||
|
| |||||||
Total Consumer Staples | 103,673 | |||||||
|
| |||||||
Energy — 0.3% |
| |||||||
Oil, Gas & Consumable Fuels — 0.3% |
| |||||||
4,632 | Big West Oil, Term Loan B, VAR, 7.000%, 03/31/16 | 4,585 | ||||||
15,780 | MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18 | 15,090 | ||||||
6,334 | Western Refining, Inc., Term Loan B, VAR, 7.500%, 03/15/17 | 6,226 | ||||||
|
| |||||||
Total Energy | 25,901 | |||||||
|
| |||||||
Financials — 1.9% |
| |||||||
Capital Markets — 0.2% |
| |||||||
20,356 | Pinafore LLC/Pinafore, Inc., Term Loan B1, VAR, 4.250%, 09/29/16 | 19,536 | ||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
137,120 | Capmark Financial Group, U.S. Term Loan, VAR, 5.250%, 03/23/11 (d) | 74,731 | ||||||
7,575 | Capmark Financial Group, Unsecured Bridge Loan, VAR, 5.250%, 03/23/11 (d) | 4,147 | ||||||
Clarke American Corp., Term Loan B, | ||||||||
8,561 | VAR, 2.721%, 06/30/14 | 7,105 | ||||||
6,237 | VAR, 2.721%, 06/30/14 | 5,177 | ||||||
5,173 | VAR, 2.746%, 06/30/14 | 4,294 | ||||||
13,392 | VAR, 2.746%, 06/30/14 | 11,115 | ||||||
8,903 | VAR, 2.746%, 06/30/14 | 7,390 | ||||||
3,350 | International Lease Finance Corp., Term Loan 1, VAR, 6.750%, 03/17/15 | 3,350 | ||||||
22,000 | Ocwen Financial Corp., Term Loan, VAR, 06/30/16^ | 21,230 | ||||||
|
| |||||||
138,539 | ||||||||
|
| |||||||
Insurance — 0.0% (g) |
| |||||||
2,493 | CNO Financial Group, Inc., B-1 Term Loan, VAR, 6.250%, 09/30/16 | 2,437 | ||||||
983 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14 | 929 | ||||||
|
| |||||||
3,366 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
138 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||
I-Star, Term Loan A-1, | ||||||||
13,634 | VAR, 5.000%, 06/28/13 | 13,248 | ||||||
9,896 | VAR, 5.000%, 06/28/13 | 9,616 | ||||||
|
| |||||||
22,864 | ||||||||
|
| |||||||
Total Financials | 184,305 | |||||||
|
| |||||||
Health Care — 0.3% |
| |||||||
Health Care Providers & Services — 0.1% |
| |||||||
1,000 | Community Health Systems, Inc., Extended Term Loan, VAR, 01/25/17^ | 914 | ||||||
486 | Community Health Systems, Inc., Non Extended Delay Draw, VAR, 07/25/14^ | 450 | ||||||
3,000 | HCA, Inc., Term Loan B-3, VAR, 3.496%, 05/01/18 | 2,815 | ||||||
1,000 | IASIS Healthcare, Term Loan B, VAR, 05/03/18^ | 922 | ||||||
3,588 | inVentiv Health, Consolidated Term Loan, VAR, 4.750%, 08/04/16 | 3,385 | ||||||
1,629 | Vanguard Health Systems, Term Loan B, VAR, 5.000%, 01/29/16 | 1,545 | ||||||
|
| |||||||
10,031 | ||||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
Axcan Pharmaceuticals, Term Loan, | ||||||||
11,119 | VAR, 5.500%, 02/10/17 | 10,029 | ||||||
1,199 | VAR, 5.500%, 02/10/17 | 1,082 | ||||||
Capsugel Holdings, Inc., Term Loan, | ||||||||
4,040 | VAR, 5.250%, 08/01/18 | 3,902 | ||||||
20 | VAR, 5.250%, 08/01/18 | 20 | ||||||
2,431 | Catalent Pharma Solutions, Inc., Dollar Term Loan, VAR, 2.437%, 04/10/14 | 2,142 | ||||||
|
| |||||||
17,175 | ||||||||
|
| |||||||
Total Health Care | 27,206 | |||||||
|
| |||||||
Industrials — 1.4% |
| |||||||
Aerospace & Defense — 0.1% |
| |||||||
10,300 | Ducommun, Inc., Term Loan B, VAR, 5.500%, 06/28/17 | 9,991 | ||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
10,424 | Delta Air Lines, Inc., Term Loan, VAR, 4.250%, 03/07/16 | 9,473 | ||||||
United Airlines, Term Loan B, | ||||||||
1,432 | VAR, 2.250%, 02/01/14 | 1,310 | ||||||
568 | VAR, 2.250%, 02/01/14 | 519 | ||||||
|
| |||||||
11,302 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Building Products — 0.2% |
| |||||||
561 | Jacuzzi Brands, Inc., 1st Lien Synthetic Credit Facility, VAR, 0.146%, 02/07/14 | 404 | ||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||
13 | VAR, 2.469%, 02/07/14 | 9 | ||||||
6,129 | VAR, 2.503%, 02/07/14 | 4,413 | ||||||
Nortek, Inc., 1st Lien Term Loan, | ||||||||
11,882 | VAR, 5.250%, 04/26/17 | 10,693 | ||||||
34 | VAR, 5.250%, 04/26/17 | 31 | ||||||
4 | VAR, 6.250%, 04/26/17 | 4 | ||||||
|
| |||||||
15,554 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
4,150 | Baker Corp. International, Term Loan, VAR, 5.000%, 06/01/18 | 3,943 | ||||||
14,343 | Cenveo Corp., Term Loan, VAR, 6.250%, 12/21/16 | 13,749 | ||||||
14,700 | SCH Group, 1st Lien Term Loan, VAR, 6.625%, 04/28/17 | 12,789 | ||||||
7,680 | SCH Group, 2nd Lien Term Loan, VAR, 10.500%, 04/30/18 | 6,758 | ||||||
|
| |||||||
37,239 | ||||||||
|
| |||||||
Electrical Equipment — 0.1% |
| |||||||
216 | Electrical Components International, Inc., Synthetic Revolving Loan Commitment, VAR, 1.400%, 02/04/16 | 208 | ||||||
3,437 | Electrical Components International, Inc., Term Loan, VAR, 6.750%, 02/04/17 (f) (i) | 3,317 | ||||||
3,150 | Sensata Technologies B.V., Term Loan, VAR, 4.000%, 05/12/18 | 3,028 | ||||||
|
| |||||||
6,553 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
12,790 | BOC Edwards, Extended Term Loan, VAR, 5.500%, 05/31/16 | 11,756 | ||||||
398 | BOC Edwards, New Term Loan, VAR, 5.500%, 05/31/16 | 366 | ||||||
2,000 | Norit Holding B.V., Term Loan, VAR, 7.500%, 07/10/17 | 1,950 | ||||||
|
| |||||||
14,072 | ||||||||
|
| |||||||
Industrial Machinery — 0.1% |
| |||||||
13,138 | Intelligrated Inc., Term Loan, VAR, 7.500%, 02/17/17 | 12,744 | ||||||
|
| |||||||
Machinery — 0.2% |
| |||||||
17,800 | Milacron Holdings, Inc., Term Loan, VAR, 7.500%, 05/15/17 | 17,266 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 139 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Road & Rail — 0.1% |
| |||||||
Swift Transportation Co., Term Loan, | ||||||||
10,365 | VAR, 6.000%, 12/21/16 | 9,873 | ||||||
1,140 | VAR, 6.000%, 12/21/16 | 1,086 | ||||||
|
| |||||||
10,959 | ||||||||
|
| |||||||
Total Industrials | 135,680 | |||||||
|
| |||||||
Information Technology — 1.2% |
| |||||||
Communications Equipment — 0.4% |
| |||||||
7,740 | Avaya, Inc., Term Loan B-1, VAR, 3.064%, 10/24/14 | 6,886 | ||||||
15,548 | Avaya, Inc., Term Loan B-3 Extending Tranche, VAR, 4.814%, 10/26/17 | 13,394 | ||||||
Syniverse Holdings, Inc., Term Loan B, | ||||||||
14,323 | VAR, 5.250%, 12/21/17 | 13,929 | ||||||
36 | VAR, 5.250%, 12/21/17 | 35 | ||||||
|
| |||||||
34,244 | ||||||||
|
| |||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
3,499 | Stratus Technologies, Inc., 2nd Lien Term Loan, VAR, 5.330%, 06/30/15 | 1,872 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
11,974 | CDW Corp., Extended Term Loan, VAR, 4.500%, 07/15/17 | 10,866 | ||||||
2,935 | CDW Corp., Non Extended B-1 Term Loan, VAR, 3.707%, 10/10/14 | 2,759 | ||||||
Sensus USA, Inc., 1st Lien Term Loan, | ||||||||
5,645 | VAR, 4.750%, 05/09/17 | 5,419 | ||||||
26 | VAR, 5.750%, 05/09/17 | 25 | ||||||
1,430 | Sensus USA, Inc., 2nd Lien Term Loan, VAR, 8.500%, 05/09/18 | 1,380 | ||||||
|
| |||||||
20,449 | ||||||||
|
| |||||||
Internet Software & Services — 0.1% |
| |||||||
6,766 | Softlayer Technologies, Inc., Term Loan, VAR, 7.250%, 11/09/16 | 6,478 | ||||||
|
| |||||||
IT Services — 0.4% |
| |||||||
1,155 | CompuCom Systems, Term Loan, VAR, 3.730%, 08/25/14 (f) (i) | 1,039 | ||||||
10,586 | First Data Corp., Initial Tranche B1, VAR, 2.967%, 09/24/14 | 9,307 | ||||||
22,924 | First Data Corp., Initial Tranche B3, VAR, 2.967%, 09/24/14 | 20,144 | ||||||
4,512 | Interactive Data Corp., Term Loan B, VAR, 4.500%, 02/11/18 | 4,267 | ||||||
Transaction Network Services, Inc., Initial Term Loan, | ||||||||
3,953 | VAR, 6.000%, 11/18/15 | 3,848 | ||||||
|
| |||||||
38,605 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
13,758 | Freescale Semiconductor, Inc., Extended Maturity Term Loan, VAR, 4.438%, 12/01/16 | 12,509 | ||||||
|
| |||||||
Total Information Technology | 114,157 | |||||||
|
| |||||||
Materials — 1.1% |
| |||||||
Chemicals — 0.8% |
| |||||||
8,549 | AZ Chem U.S., Inc., Term Loan, VAR, 4.750%, 11/21/16 | 8,242 | ||||||
7,925 | Cristal Inorganic Chemicals (Millennium), 2nd Lien Term Loan, VAR, 5.996%, 11/15/14 | 7,667 | ||||||
23,203 | Momentive Performance, Tranche B-1B Term Loan, VAR, 3.750%, 05/05/15 | 20,651 | ||||||
Nexeo Solutions, Term Loan, | ||||||||
2,910 | VAR, 5.000%, 09/08/17 | 2,679 | ||||||
2,343 | VAR, 5.000%, 09/08/17 | 2,158 | ||||||
2,343 | VAR, 5.000%, 09/08/17 | 2,158 | ||||||
7,325 | OM Group, Term Loan B, VAR, 5.750%, 08/01/17 | 7,160 | ||||||
12,870 | Rentech Energy Midwest Corp., Term Loan, VAR, 10.000%, 06/10/16 | 12,613 | ||||||
Styron, 1st Lien Term Loan, | ||||||||
15,946 | VAR, 6.000%, 08/02/17 | 14,650 | ||||||
35 | VAR, 6.000%, 08/02/17 | 32 | ||||||
|
| |||||||
78,010 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
750 | BWAY Holding Co., Term Loan B/Term Loan C, 4.500%, 02/23/18^ | 707 | ||||||
Graham Packaging Co. LP, Term Loan D, | ||||||||
495 | VAR, 6.000%, 09/23/16 | 490 | ||||||
5 | VAR, 6.000%, 09/23/16 | 5 | ||||||
493 | VAR, 6.000%, 09/23/16 | 488 | ||||||
Reynolds Group Holdings, U.S. Term Loan, | ||||||||
5,951 | VAR, 6.500%, 02/09/18 | 5,689 | ||||||
5,285 | VAR, 6.500%, 02/09/18 | 5,052 | ||||||
3,078 | VAR, 6.500%, 02/09/18 | 2,943 | ||||||
|
| |||||||
15,374 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
7,282 | American Rock Salt, 1st Lien Term Loan, VAR, 5.500%, 04/25/17 | 6,981 | ||||||
2,250 | Novelis, Inc., Term Loan, VAR, 03/10/17^ | 2,126 | ||||||
|
| |||||||
9,107 | ||||||||
|
| |||||||
Total Materials | 102,491 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
140 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Telecommunication Services — 0.4% |
| |||||||
Diversified Telecommunication Services — 0.4% |
| |||||||
Level 3 Communications, Inc., Tranche A Term Loan, | ||||||||
8,679 | VAR, 2.492%, 03/13/14 | 8,019 | ||||||
21,696 | VAR, 2.496%, 03/13/14 | 20,047 | ||||||
12,300 | Level 3 Communications, Tranche B II Term Loan, VAR, 10/31/18^ | 11,593 | ||||||
1,000 | Level 3 Communications, Tranche B Term Loan, VAR, 11.500%, 03/13/14 | 1,039 | ||||||
|
| |||||||
Total Telecommunication Services | 40,698 | |||||||
|
| |||||||
Utilities — 1.0% |
| |||||||
Electric Utilities — 0.2% |
| |||||||
7,095 | Dynegy Midwest Generation, Term Loan, VAR, 9.250%, 08/05/16 | 6,853 | ||||||
13,655 | Dynegy Power LLC, Term Loan, VAR, 9.250%, 08/05/16 | 13,416 | ||||||
|
| |||||||
20,269 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.8% |
| |||||||
3,889 | GenOn Energy, Inc., Term Loan B, VAR, 6.000%, 09/20/17 | 3,721 | ||||||
Texas Competitive Electric Holdings Co. LLC, Extended-Term Loan, | ||||||||
23,015 | VAR, 4.706%, 10/10/17 | 16,916 | ||||||
24,452 | VAR, 4.772%, 10/10/17 | 17,972 | ||||||
28 | VAR, 4.772%, 10/10/17 | 21 | ||||||
Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan, | ||||||||
45,943 | VAR, 3.706%, 10/10/14 | 34,917 | ||||||
56 | VAR, 3.772%, 10/10/14 | 42 | ||||||
5,500 | TPF Generation Holdings LLC, 2nd Lien Term Loan, VAR, 4.496%, 12/15/14 | 5,106 | ||||||
|
| |||||||
78,695 | ||||||||
|
| |||||||
Total Utilities | 98,964 | |||||||
|
| |||||||
Total Loan Participations & Assignments | 1,387,186 | |||||||
|
|
NUMBER OF RIGHTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Rights — 0.0% (g) |
| ||||||
Consumer Discretionary — 0.0% (g) |
| |||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) |
| |||||||
65 | WestPoint International, Inc., expiring 02/15/18 (a) (f) (i) | — | ||||||
|
| |||||||
NUMBER OF WARRANTS | ||||||||
| Warrants — 0.2% |
| ||||||
Consumer Discretionary — 0.2% |
| |||||||
Automobiles — 0.2% |
| |||||||
General Motors Co., | ||||||||
748 | expiring 7/10/16 (Strike Price $10.00) (a) | 11,434 | ||||||
748 | expiring 7/10/19 (Strike Price $18.33) (a) | 7,896 | ||||||
|
| |||||||
Total Warrants | 19,330 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investments — 3.7% |
| ||||||
Investment Companies — 3.7% |
| |||||||
354,095 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.060% (b) (l) | 354,095 | ||||||
|
| |||||||
5,000 | JPMorgan U.S. Government Money Market Fund, Capital Shares, 0.010% (b) (l) | 5,000 | ||||||
|
| |||||||
Total Short-Term Investments | 359,095 | |||||||
|
| |||||||
Total Investments — 99.6% | 9,611,843 | |||||||
Other Assets in Excess of | 42,970 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 9,654,813 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 141 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
Credit Default Swaps—Sell Protection [1]
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND RECEIVES FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT AS OF 8/31/11 [2] | NOTIONAL AMOUNT [3] | VALUE | UPFRONT RECEIVED [4] | ||||||||||||||||
Bank of America: | ||||||||||||||||||||||
Clear Channel Communications Inc., 6.875%, 06/15/18 | 5.000% quarterly | 9/20/2012 | 8.696 | % | $ | 5,000 | $ | (138 | ) | $ | 315 |
[1] | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay any upfront premium from or to 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 occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap amounts, are also indicative contract. Increasing values, in absolute terms and relative to notional 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 relate 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.
142 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 2.2% |
| ||||||
AH Mortgage Advance Trust, | ||||||||
1,750 | Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,750 | ||||||
1,894 | Series SART-1, Class A1, 2.630%, 05/10/42 (e) | 1,896 | ||||||
7,667 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 7,675 | ||||||
1,281 | Arch Bay Asset-Backed Securities, Series 2010-2, Class A, VAR, 4.125%, 04/25/57 (e) | 1,274 | ||||||
1,929 | Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35 | 1,783 | ||||||
373 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36 | 266 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
2,276 | Series 2002-3, Class 1A5, SUB, 5.407%, 06/25/32 | 2,215 | ||||||
1,332 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 1,280 | ||||||
1,505 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,419 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
294 | Series 2003-HE3, Class A, VAR, 0.598%, 12/25/33 | 254 | ||||||
2,757 | Series 2011-5, Class 1A1, VAR, 0.384%, 02/25/46 (e) (f) (i) | 2,523 | ||||||
129 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 76 | ||||||
200 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.318%, 12/25/36 | 182 | ||||||
1,200 | Freedom Trust, Series 2011-1, Class A13, VAR, 1.064%, 11/30/37 (e) (f) (i) | 1,134 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
448 | Series 2005-2, Class A1, VAR, 0.483%, 01/20/35 | 395 | ||||||
584 | Series 2006-1, Class A1, VAR, 0.373%, 01/20/36 | 546 | ||||||
423 | Series 2006-2, Class A1, VAR, 0.363%, 03/20/36 | 397 | ||||||
658 | Series 2007-1, Class AS, VAR, 0.413%, 03/20/36 | 553 | ||||||
1,760 | Series 2007-3, Class APT, VAR, 1.413%, 11/20/36 | 1,570 | ||||||
346 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.418%, 03/25/36 | 200 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,432 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.568%, 07/25/34 (e) | 1,367 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
2,200 | Series 2004-1, Class M1, VAR, 0.968%, 02/25/34 | 1,673 | ||||||
371 | Series 2006-8, Class 2A2, VAR, 0.308%, 09/25/36 | 121 | ||||||
645 | Series 2006-WL2, Class 2A3, VAR, 0.418%, 01/25/36 | 492 | ||||||
1,728 | Mid-State Trust, Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 1,751 | ||||||
10,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.218%, 12/26/22 (e) | 10,007 | ||||||
1,434 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20 | 1,435 | ||||||
700 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.241%, 11/25/33 | 666 | ||||||
857 | Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e) | 867 | ||||||
PennyMac Loan Trust, | ||||||||
355 | Series 2010-NPL1, Class A, VAR, 4.250%, 05/25/50 (e) | 355 | ||||||
1,605 | Series 2010-NPL1, Class M1, VAR, 5.000%, 05/25/50 (e) | 1,581 | ||||||
Real Estate Asset Trust, | ||||||||
1,175 | Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i) | 1,174 | ||||||
1,482 | Series 2011-3A, Class A1, 5.440%, 06/25/31 (e) | 1,482 | ||||||
500 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 219 | ||||||
Residential Asset Mortgage Products, Inc., | ||||||||
1,104 | Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32 | 1,095 | ||||||
412 | Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34 | 390 | ||||||
1,200 | Series 2005-EFC5, Class A3, VAR, 0.558%, 10/25/35 | 981 | ||||||
1,500 | Residential Asset Securities Corp., Series 2005-KS9, Class A3, VAR, 0.588%, 10/25/35 | 1,411 | ||||||
2,840 | Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) | 2,834 | ||||||
348 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e) | 294 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 143 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,360 | Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33 | 1,360 | ||||||
1,000 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35 | 915 | ||||||
Structured Asset Securities Corp., | ||||||||
785 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 796 | ||||||
685 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 624 | ||||||
|
| |||||||
Total Asset-Backed Securities | 61,278 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 62.2% | |||||||
Agency CMO — 41.4% |
| |||||||
1,908 | Federal Home Loan Bank, 4.720%, 09/20/12 | 1,978 | ||||||
1,945 | Federal Home Loan Bank System, Series 2000-1067, Class 1, 5.300%, 06/15/12 | 1,981 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
28 | Series 11, Class D, 9.500%, 07/15/19 | 30 | ||||||
16 | Series 22, Class C, 9.500%, 04/15/20 | 18 | ||||||
23 | Series 23, Class F, 9.600%, 04/15/20 | 25 | ||||||
14 | Series 30, Class D, 9.500%, 02/15/20 | 16 | ||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | ||||||
7 | Series 47, Class F, 10.000%, 06/15/20 | 8 | ||||||
89 | Series 77, Class H, 8.500%, 09/15/20 | 100 | ||||||
3 | Series 81, Class A, 8.125%, 11/15/20 | 4 | ||||||
8 | Series 84, Class F, 9.200%, 10/15/20 | 9 | ||||||
8 | Series 99, Class Z, 9.500%, 01/15/21 | 8 | ||||||
— | (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 | |||||
1,835 | Series 197, Class PO, PO, 04/01/28 | 1,733 | ||||||
— | (h) | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 | 9 | |||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 2 | |||||
5 | S’eries 1065, Class J, 9.000%, 04/15/21 | 6 | ||||||
11 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 | 21 | ||||||
— | (h) | Series 1082, Class D, HB, 1,007.780%, 05/15/21 | 1 | |||||
6 | Series 1084, Class F, VAR, 1.200%, 05/15/21 | 7 | ||||||
5 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 | 8 | ||||||
8 | Series 1133, Class H, 7.000%, 09/15/21 | 9 | ||||||
19 | Series 1144, Class KB, 8.500%, 09/15/21 | 23 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 1 | |||||
— | (h) | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 | 8 | |||||
51 | Series 1343, Class LA, 8.000%, 08/15/22 | 61 | ||||||
25 | Series 1343, Class LB, 7.500%, 08/15/22 | 30 | ||||||
83 | Series 1374, Class Z, 7.000%, 10/15/22 | 94 | ||||||
24 | Series 1395, Class G, 6.000%, 10/15/22 | 27 | ||||||
212 | Series 1401, Class J, 7.000%, 10/15/22 | 240 | ||||||
304 | Series 1466, Class PZ, 7.500%, 02/15/23 | 350 | ||||||
9 | Series 1470, Class F, VAR, 2.338%, 02/15/23 | 9 | ||||||
9 | Series 1505, Class QB, HB, IF, 20.183%, 05/15/23 | 13 | ||||||
91 | Series 1518, Class G, IF, 8.854%, 05/15/23 | 108 | ||||||
70 | Series 1526, Class L, 6.500%, 06/15/23 | 74 | ||||||
15 | Series 1540, Class IA, 7.000%, 06/15/13 | 15 | ||||||
97 | Series 1541, Class O, VAR, 1.920%, 07/15/23 | 99 | ||||||
915 | Series 1552, Class IA, IF, 15.557%, 08/15/23 | 1,167 | ||||||
23 | Series 1570, Class F, VAR, 2.838%, 08/15/23 | 24 | ||||||
58 | Series 1570, Class SA, HB, IF, 21.698%, 08/15/23 | 84 | ||||||
248 | Series 1578, Class K, 6.900%, 09/15/23 | 283 | ||||||
28 | Series 1578, Class V, IO, 7.000%, 09/15/23 | 6 | ||||||
560 | Series 1591, Class PV, 6.250%, 10/15/23 | 595 | ||||||
74 | Series 1596, Class D, 6.500%, 10/15/13 | 77 | ||||||
15 | Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 | 23 | ||||||
157 | Series 1609, Class LG, IF, 16.792%, 11/15/23 | 190 | ||||||
736 | Series 1628, Class LZ, 6.500%, 12/15/23 | 834 | ||||||
681 | Series 1638, Class H, 6.500%, 12/15/23 | 790 | ||||||
969 | Series 1644, Class K, 6.750%, 12/15/23 | 1,012 | ||||||
838 | Series 1658, Class GZ, 7.000%, 01/15/24 | 962 | ||||||
6 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 6 | ||||||
349 | Series 1677, Class Z, 7.500%, 07/15/23 | 403 | ||||||
10 | Series 1686, Class SH, IF, 18.675%, 02/15/24 | 16 | ||||||
26 | Series 1688, Class W, 7.250%, 03/15/14 | 27 | ||||||
317 | Series 1695, Class EB, 7.000%, 03/15/24 | 364 | ||||||
40 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 | 40 | ||||||
51 | Series 1745, Class D, 7.500%, 08/15/24 | 61 | ||||||
1,285 | Series 1760, Class ZD, VAR, 2.470%, 02/15/24 | 1,364 | ||||||
137 | Series 1798, Class F, 5.000%, 05/15/23 | 150 | ||||||
8 | Series 1807, Class G, 9.000%, 10/15/20 | 8 | ||||||
1,167 | Series 1813, Class I, PO, 11/15/23 | 1,088 | ||||||
4,512 | Series 1813, Class J, IF, IO, 5.750%, 11/15/23 | 638 |
SEE NOTES TO FINANCIAL STATEMENTS.
144 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
252 | Series 1829, Class ZB, 6.500%, 03/15/26 | 282 | ||||||
11 | Series 1844, Class E, 6.500%, 10/15/13 | 11 | ||||||
455 | Series 1863, Class Z, 6.500%, 07/15/26 | 519 | ||||||
6 | Series 1865, Class D, PO, 02/15/24 | 4 | ||||||
133 | Series 1899, Class ZE, 8.000%, 09/15/26 | 158 | ||||||
115 | Series 1963, Class Z, 7.500%, 01/15/27 | 134 | ||||||
37 | Series 1985, Class PR, IO, 8.000%, 07/15/27 | 8 | ||||||
54 | Series 1987, Class PE, 7.500%, 09/15/27 | 64 | ||||||
11 | Series 2025, Class PE, 6.300%, 01/15/13 | 11 | ||||||
490 | Series 2033, Class J, 5.600%, 06/15/23 | 539 | ||||||
26 | Series 2033, Class SN, HB, IF, 25.422%, 03/15/24 | 18 | ||||||
34 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 7 | ||||||
290 | Series 2040, Class PE, 7.500%, 03/15/28 | 349 | ||||||
41 | Series 2042, Class T, 7.000%, 03/15/28 | 47 | ||||||
66 | Series 2055, Class OE, 6.500%, 05/15/13 | 66 | ||||||
122 | Series 2060, Class Z, 6.500%, 05/15/28 | 141 | ||||||
313 | Series 2061, Class DC, IO, 6.500%, 06/15/28 | 74 | ||||||
23,524 | Series 2065, Class PX, IO, 0.750%, 08/17/27 | 487 | ||||||
748 | Series 2075, Class PH, 6.500%, 08/15/28 | 865 | ||||||
164 | Series 2086, Class GB, 6.000%, 09/15/28 | 172 | ||||||
53 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 12 | ||||||
292 | Series 2102, Class TC, 6.000%, 12/15/13 (m) | 304 | ||||||
185 | Series 2102, Class TU, 6.000%, 12/15/13 (m) | 192 | ||||||
621 | Series 2110, Class PG, 6.000%, 01/15/29 | 682 | ||||||
544 | Series 2111, Class SB, IF, IO, 7.293%, 01/15/29 | 125 | ||||||
176 | Series 2115, Class PE, 6.000%, 01/15/14 | 181 | ||||||
212 | Series 2125, Class JZ, 6.000%, 02/15/29 | 225 | ||||||
469 | Series 2130, Class QS, 6.000%, 03/15/29 | 511 | ||||||
83 | Series 2132, Class SB, HB, IF, 29.734%, 03/15/29 | 143 | ||||||
124 | Series 2132, Class ZL, 6.500%, 03/15/29 | 137 | ||||||
8 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | — | (h) | |||||
18 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 4 | ||||||
43 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 10 | ||||||
97 | Series 2178, Class PB, 7.000%, 08/15/29 | 112 | ||||||
145 | Series 2201, Class C, 8.000%, 11/15/29 | 172 | ||||||
442 | Series 2209, Class TC, 8.000%, 01/15/30 | 525 | ||||||
225 | Series 2210, Class Z, 8.000%, 01/15/30 | 273 | ||||||
90 | Series 2224, Class CB, 8.000%, 03/15/30 | 108 | ||||||
53 | Series 2247, Class Z, 7.500%, 08/15/30 | 63 | ||||||
294 | Series 2254, Class Z, 9.000%, 09/15/30 | 354 | ||||||
262 | Series 2256, Class MC, 7.250%, 09/15/30 | 313 | ||||||
407 | Series 2259, Class ZM, 7.000%, 10/15/30 | 476 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
439 | Series 2271, Class PC, 7.250%, 12/15/30 | 524 | ||||||
380 | Series 2283, Class K, 6.500%, 12/15/23 | 410 | ||||||
129 | Series 2296, Class PD, 7.000%, 03/15/31 | 151 | ||||||
131 | Series 2301, Class PA, 6.000%, 10/15/13 | 135 | ||||||
1,765 | Series 2303, Class ZD, 7.000%, 04/15/31 | 1,926 | ||||||
1,074 | Series 2303, Class ZN, 8.500%, 04/15/29 | 1,193 | ||||||
60 | Series 2306, Class K, PO, 05/15/24 | 55 | ||||||
150 | Series 2306, Class SE, IF, IO, 7.630%, 05/15/24 | 29 | ||||||
530 | Series 2344, Class QG, 6.000%, 08/15/16 | 570 | ||||||
1,010 | Series 2344, Class ZD, 6.500%, 08/15/31 | 1,125 | ||||||
113 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 126 | ||||||
76 | Series 2345, Class NE, 6.500%, 08/15/31 | 81 | ||||||
235 | Series 2347, Class VP, 6.500%, 03/15/20 | 240 | ||||||
208 | Series 2353, Class TD, 6.000%, 09/15/16 | 221 | ||||||
205 | Series 2355, Class BP, 6.000%, 09/15/16 | 220 | ||||||
163 | Series 2358, Class PD, 6.000%, 09/15/16 | 175 | ||||||
352 | Series 2359, Class PM, 6.000%, 09/15/16 | 371 | ||||||
473 | Series 2359, Class ZB, 8.500%, 06/15/31 | 562 | ||||||
384 | Series 2360, Class PG, 6.000%, 09/15/16 | 414 | ||||||
105 | Series 2363, Class PF, 6.000%, 09/15/16 | 113 | ||||||
196 | Series 2366, Class MD, 6.000%, 10/15/16 | 211 | ||||||
68 | Series 2368, Class AS, HB, IF, 20.391%, 10/15/31 | 94 | ||||||
143 | Series 2368, Class TG, 6.000%, 10/15/16 | 153 | ||||||
80 | Series 2372, Class F, VAR, 0.707%, 10/15/31 | 80 | ||||||
86 | Series 2383, Class FD, VAR, 0.707%, 11/15/31 | 86 | ||||||
138 | Series 2388, Class UZ, 8.500%, 06/15/31 | 165 | ||||||
901 | Series 2391, Class QR, 5.500%, 12/15/16 | 968 | ||||||
96 | Series 2394, Class MC, 6.000%, 12/15/16 | 104 | ||||||
1,329 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,483 | ||||||
233 | Series 2410, Class OE, 6.375%, 02/15/32 | 260 | ||||||
291 | Series 2410, Class QS, IF, 18.961%, 02/15/32 | 344 | ||||||
158 | Series 2410, Class QX, IF, IO, 8.443%, 02/15/32 | 37 | ||||||
236 | Series 2423, Class MC, 7.000%, 03/15/32 | 266 | ||||||
300 | Series 2423, Class MT, 7.000%, 03/15/32 | 338 | ||||||
245 | Series 2425, Class OB, 6.000%, 03/15/17 | 265 | ||||||
591 | Series 2433, Class SA, HB, IF, 20.391%, 02/15/32 | 808 | ||||||
369 | Series 2434, Class TC, 7.000%, 04/15/32 | 423 | ||||||
671 | Series 2436, Class MC, 7.000%, 04/15/32 | 763 | ||||||
209 | Series 2444, Class ES, IF, IO, 7.743%, 03/15/32 | 42 | ||||||
212 | Series 2450, Class GZ, 7.000%, 05/15/32 | 248 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 145 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
237 | Series 2450, Class SW, IF, IO, 7.793%, 03/15/32 | 47 | ||||||
483 | Series 2458, Class QE, 5.500%, 06/15/17 | 518 | ||||||
589 | Series 2462, Class NB, 6.500%, 06/15/22 | 664 | ||||||
1,128 | Series 2464, Class FE, VAR, 1.207%, 03/15/32 | 1,141 | ||||||
68 | Series 2470, Class SL, IF, 9.000%, 01/15/27 | 76 | ||||||
335 | Series 2474, Class SJ, IF, IO, 7.443%, 07/15/17 | 33 | ||||||
3,707 | Series 2494, Class SX, IF, IO, 6.793%, 02/15/32 | 724 | ||||||
45 | Series 2513, Class YO, PO, 02/15/32 | 45 | ||||||
1,254 | Series 2513, Class ZC, 5.500%, 10/15/32 | 1,378 | ||||||
273 | Series 2515, Class DE, 4.000%, 03/15/32 | 283 | ||||||
1,335 | Series 2517, Class Z, 5.500%, 10/15/32 | 1,484 | ||||||
3 | Series 2519, Class BT, 8.500%, 09/15/31 | 3 | ||||||
835 | Series 2533, Class HB, 5.500%, 12/15/17 | 905 | ||||||
356 | Series 2535, Class BK, 5.500%, 12/15/22 | 394 | ||||||
1,426 | Series 2549, Class ZG, 5.000%, 01/15/18 | 1,526 | ||||||
53 | Series 2553, Class GF, VAR, 0.607%, 02/15/17 | 53 | ||||||
2,330 | Series 2557, Class HL, 5.300%, 01/15/33 | 2,595 | ||||||
10,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 11,102 | ||||||
154 | Series 2571, Class SK, HB, IF, 33.606%, 09/15/23 | 282 | ||||||
1,302 | Series 2574, Class HP, 5.000%, 02/15/18 | 1,407 | ||||||
1,063 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 201 | ||||||
702 | Series 2587, Class CO, PO, 03/15/32 | 678 | ||||||
2,148 | Series 2590, Class IP, IO, 5.500%, 08/15/31 | 86 | ||||||
1,400 | Series 2591, Class QO, 4.500%, 03/15/18 | 1,500 | ||||||
550 | Series 2594, Class DJ, 4.250%, 10/15/30 | 561 | ||||||
41 | Series 2597, Class DS, IF, IO, 7.343%, 02/15/33 | 2 | ||||||
55 | Series 2599, Class DS, IF, IO, 6.793%, 02/15/33 | 3 | ||||||
169 | Series 2610, Class DS, IF, IO, 6.893%, 03/15/33 | 5 | ||||||
1,962 | Series 2610, Class DZ, 5.500%, 05/15/33 | 2,189 | ||||||
272 | Series 2611, Class SH, IF, IO, 7.443%, 10/15/21 | 5 | ||||||
315 | Series 2611, Class SQ, IF, 12.586%, 05/15/33 | 344 | ||||||
921 | Series 2611, Class UH, 4.500%, 05/15/18 | 973 | ||||||
2,206 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,355 | ||||||
2,745 | Series 2626, Class NS, IF, IO, 6.343%, 06/15/23 | 201 | ||||||
3,028 | Series 2627, Class GY, 4.500%, 06/15/18 | 3,232 | ||||||
1,907 | Series 2631, Class LC, 4.500%, 06/15/18 | 2,034 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
237 | Series 2631, Class SA, IF, 14.470%, 06/15/33 | 286 | ||||||
932 | Series 2637, Class SA, IF, IO, 5.893%, 06/15/18 | 107 | ||||||
490 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 37 | ||||||
1,278 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 90 | ||||||
11 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | — | (h) | |||||
2,327 | Series 2641, Class WI, IO, 5.000%, 01/15/33 | 264 | ||||||
1,000 | Series 2649, Class IG, IO, 5.000%, 11/15/31 | 84 | ||||||
1,070 | Series 2650, Class PO, PO, 12/15/32 | 1,014 | ||||||
1,811 | Series 2650, Class SO, PO, 12/15/32 | 1,719 | ||||||
476 | Series 2657, Class MD, 5.000%, 12/15/20 | 487 | ||||||
11 | Series 2668, Class S, IF, 11.586%, 09/15/33 | 12 | ||||||
397 | Series 2668, Class SB, IF, 7.016%, 10/15/15 | 399 | ||||||
442 | Series 2671, Class S, IF, 14.378%, 09/15/33 | 531 | ||||||
1,036 | Series 2672, Class ME, 5.000%, 11/15/22 | 1,132 | ||||||
164 | Series 2672, Class SJ, IF, 6.971%, 09/15/16 | 166 | ||||||
6,732 | Series 2675, Class CK, 4.000%, 09/15/18 (m) | 7,141 | ||||||
7,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 7,698 | ||||||
702 | Series 2682, Class YS, IF, 8.718%, 10/15/33 | 708 | ||||||
11,562 | Series 2684, Class PO, PO, 01/15/33 | 10,677 | ||||||
295 | Series 2684, Class TO, PO, 10/15/33 | 280 | ||||||
287 | Series 2686, Class GB, 5.000%, 05/15/20 | 288 | ||||||
307 | Series 2686, Class NS, IF, IO, 7.393%, 10/15/21 | 11 | ||||||
497 | Series 2690, Class SJ, IF, 8.839%, 10/15/33 | 510 | ||||||
898 | Series 2691, Class ND, 5.000%, 10/15/28 | 902 | ||||||
323 | Series 2691, Class SE, IF, 9.248%, 12/15/28 | 328 | ||||||
378 | Series 2691, Class WS, IF, 8.689%, 10/15/33 | 382 | ||||||
872 | Series 2692, Class SC, IF, 12.872%, 07/15/33 | 986 | ||||||
165 | Series 2694, Class BA, 4.000%, 06/15/31 | 176 | ||||||
393 | Series 2695, Class OB, PO, 10/15/33 | 334 | ||||||
716 | Series 2695, Class SX, IF, 16.120%, 10/15/33 | 805 | ||||||
358 | Series 2695, Class WS, IF, 15.982%, 10/15/33 | 402 | ||||||
1,554 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,682 | ||||||
253 | Series 2705, Class SC, IF, 8.689%, 11/15/33 | 256 | ||||||
598 | Series 2705, Class SD, IF, 8.734%, 11/15/33 | 617 | ||||||
2,000 | Series 2710, Class HB, 5.500%, 11/15/23 | 2,291 | ||||||
2,589 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,839 | ||||||
3,679 | Series 2716, Class UN, 4.500%, 12/15/23 | 4,005 | ||||||
1,836 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,018 | ||||||
729 | Series 2725, Class SC, IF, 8.793%, 11/15/33 | 769 | ||||||
2,866 | Series 2727, Class BS, IF, 8.764%, 01/15/34 | 2,907 | ||||||
52 | Series 2744, Class FE, VAR, 02/15/34 | 52 | ||||||
253 | Series 2744, Class PD, 5.500%, 08/15/33 | 254 | ||||||
1,715 | Series 2744, Class TU, 5.500%, 05/15/32 | 1,831 |
SEE NOTES TO FINANCIAL STATEMENTS.
146 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
9 | Series 2754, Class JG, 4.500%, 03/15/33 | 9 | ||||||
1,532 | Series 2755, Class PA, PO, 02/15/29 | 1,481 | ||||||
417 | Series 2755, Class SA, IF, 13.786%, 05/15/30 | 470 | ||||||
449 | Series 2756, Class NA, 5.000%, 02/15/24 | 499 | ||||||
15 | Series 2762, Class LO, PO, 03/15/34 | 15 | ||||||
685 | Series 2764, Class OE, 4.500%, 03/15/19 | 757 | ||||||
2 | Series 2774, Class QO, PO, 04/15/34 | 2 | ||||||
205 | Series 2776, Class SK, IF, 8.764%, 04/15/34 | 206 | ||||||
37 | Series 2777, Class DV, 6.500%, 11/15/17 | 38 | ||||||
3,500 | Series 2780, Class BE, 4.500%, 04/15/19 | 3,772 | ||||||
664 | Series 2780, Class JG, 4.500%, 04/15/19 | 700 | ||||||
1,678 | Series 2780, Class YC, 5.000%, 04/15/19 | 1,866 | ||||||
1,361 | Series 2802, Class ZY, 6.000%, 05/15/34 | 1,524 | ||||||
374 | Series 2812, Class AB, 4.500%, 10/15/18 | 387 | ||||||
1,943 | Series 2812, Class NO, PO, 10/15/33 | 1,478 | ||||||
2,906 | Series 2827, Class QE, 5.500%, 03/15/33 | 3,080 | ||||||
50 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 50 | ||||||
618 | Series 2835, Class BO, PO, 12/15/28 | 582 | ||||||
540 | Series 2835, Class QO, PO, 12/15/32 | 486 | ||||||
220 | Series 2863, Class JA, 4.500%, 09/15/19 | 233 | ||||||
1,258 | Series 2864, Class GB, 4.000%, 09/15/19 | 1,334 | ||||||
295 | Series 2877, Class KO, PO, 03/15/19 | 282 | ||||||
181 | Series 2897, Class EO, PO, 10/15/31 | 179 | ||||||
697 | Series 2903, Class UZ, 5.500%, 07/15/31 | 711 | ||||||
2,000 | Series 2921, Class MD, 5.000%, 06/15/33 | 2,095 | ||||||
1,964 | Series 2922, Class JN, 4.500%, 02/15/20 | 2,120 | ||||||
21 | Series 2925, Class MW, VAR, 01/15/35 | 21 | ||||||
1,000 | Series 2930, Class AN, 4.500%, 06/15/19 | 1,067 | ||||||
2,898 | Series 2934, Class EC, PO, 02/15/20 | 2,792 | ||||||
250 | Series 2934, Class EN, PO, 02/15/18 | 238 | ||||||
3,014 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 337 | ||||||
2,044 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 240 | ||||||
757 | Series 2945, Class SA, IF, 11.921%, 03/15/20 | 882 | ||||||
861 | Series 2967, Class JI, IO, 5.000%, 04/15/20 | 101 | ||||||
313 | Series 2967, Class S, HB, IF, 32.685%, 04/15/25 | 480 | ||||||
370 | Series 2971, Class GB, 5.000%, 11/15/16 | 375 | ||||||
685 | Series 2971, Class GC, 5.000%, 07/15/18 | 730 | ||||||
1,250 | Series 2979, Class BC, 5.000%, 04/15/20 | 1,381 | ||||||
403 | Series 2989, Class PO, PO, 06/15/23 | 380 | ||||||
499 | Series 2990, Class LK, VAR, 0.577%, 10/15/34 | 498 | ||||||
502 | Series 2990, Class SL, HB, IF, 23.734%, 06/15/34 | 724 | ||||||
232 | Series 2990, Class WP, IF, 16.493%, 06/15/35 | 265 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,842 | Series 2994, Class FC, VAR, 0.607%, 02/15/33 | 1,836 | ||||||
131 | Series 2996, Class FD, VAR, 0.457%, 06/15/35 | 130 | ||||||
1,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 1,042 | ||||||
35 | Series 3000, Class JF, VAR, 0.607%, 04/15/35 | 35 | ||||||
508 | Series 3022, Class SX, IF, 16.357%, 08/15/25 | 604 | ||||||
2,577 | Series 3035, Class Z, 5.850%, 09/15/35 | 2,897 | ||||||
1,103 | Series 3047, Class OB, 5.500%, 12/15/33 | 1,159 | ||||||
1,605 | Series 3049, Class XF, VAR, 0.557%, 05/15/33 | 1,599 | ||||||
1,344 | Series 3054, Class MI, IO, 5.500%, 05/15/34 | 136 | ||||||
18 | Series 3063, Class ST, SUB, 11/15/35 | 18 | ||||||
2,389 | Series 3068, Class QB, 4.500%, 06/15/20 | 2,536 | ||||||
1,378 | Series 3077, Class TO, PO, 04/15/35 | 1,279 | ||||||
348 | Series 3100, Class MA, VAR, 2.781%, 12/15/35 | 345 | ||||||
4,190 | Series 3101, Class UZ, 6.000%, 01/15/36 | 4,894 | ||||||
884 | Series 3117, Class EO, PO, 02/15/36 | 817 | ||||||
998 | Series 3117, Class OK, PO, 02/15/36 | 892 | ||||||
277 | Series 3122, Class OH, PO, 03/15/36 | 254 | ||||||
86 | Series 3122, Class ZB, 6.000%, 03/15/36 | 91 | ||||||
1,346 | Series 3130, Class KZ, 5.500%, 12/15/34 | 1,520 | ||||||
208 | Series 3134, Class PO, PO, 03/15/36 | 190 | ||||||
4,821 | Series 3137, Class XP, 6.000%, 04/15/36 | 5,418 | ||||||
891 | Series 3138, Class PO, PO, 04/15/36 | 796 | ||||||
1,500 | Series 3143, Class BC, 5.500%, 02/15/36 | 1,665 | ||||||
265 | Series 3149, Class SO, PO, 05/15/36 | 223 | ||||||
2,000 | Series 3151, Class PD, 6.000%, 11/15/34 | 2,178 | ||||||
1,364 | Series 3151, Class PO, PO, 05/15/36 | 1,275 | ||||||
1,161 | Series 3152, Class MO, PO, 03/15/36 | 1,033 | ||||||
1,069 | Series 3153, Class EO, PO, 05/15/36 | 977 | ||||||
6,079 | Series 3155, Class CG, 6.000%, 11/15/24 | 6,341 | ||||||
5,069 | Series 3156, Class AZ, 5.500%, 05/15/36 | 5,702 | ||||||
633 | Series 3162, Class OB, 6.000%, 11/15/30 | 649 | ||||||
8,000 | Series 3166, Class AC, 5.000%, 06/15/21 (m) | 9,288 | ||||||
75 | Series 3170, Class FM, VAR, 0.557%, 09/15/33 | 74 | ||||||
888 | Series 3171, Class MO, PO, 06/15/36 | 807 | ||||||
775 | Series 3174, Class PX, 5.000%, 06/15/17 | 852 | ||||||
1,280 | Series 3179, Class OA, PO, 07/15/36 | 1,140 | ||||||
471 | Series 3184, Class OA, PO, 02/15/33 | 450 | ||||||
1,637 | Series 3194, Class SA, IF, IO, 6.893%, 07/15/36 | 244 | ||||||
1,480 | Series 3195, Class PD, 6.500%, 07/15/36 | 1,669 | ||||||
2,437 | Series 3210, Class PO, PO, 05/15/36 | 2,203 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 147 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 2,264 | ||||||
1,927 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 328 | ||||||
1,343 | Series 3232, Class ST, IF, IO, 6.493%, 10/15/36 | 197 | ||||||
1,589 | Series 3237, Class AO, PO, 11/15/36 | 1,485 | ||||||
1,720 | Series 3253, Class PO, PO, 12/15/21 | 1,682 | ||||||
865 | Series 3260, Class CS, IF, IO, 5.933%, 01/15/37 | 119 | ||||||
1,060 | Series 3262, Class SG, IF, IO, 6.193%, 01/15/37 | 150 | ||||||
1,169 | Series 3274, Class JO, PO, 02/15/37 | 1,040 | ||||||
870 | Series 3274, Class MO, PO, 02/15/37 | 805 | ||||||
516 | Series 3275, Class FL, VAR, 0.647%, 02/15/37 | 513 | ||||||
3,500 | Series 3282, Class YD, 5.500%, 02/15/22 | 3,837 | ||||||
1,137 | Series 3285, Class PC, 5.500%, 09/15/30 | 1,151 | ||||||
344 | Series 3288, Class GS, IF, 3.340%, 03/15/37 | 342 | ||||||
2,531 | Series 3290, Class SB, IF, IO, 6.243%, 03/15/37 | 393 | ||||||
5 | Series 3299, Class QF, VAR, 04/15/37 | 6 | ||||||
725 | Series 3305, Class MB, IF, 2.687%, 07/15/34 | 733 | ||||||
2,500 | Series 3329, Class JD, 6.000%, 06/15/36 | 2,858 | ||||||
2,042 | Series 3334, Class MC, 5.000%, 04/15/33 | 2,089 | ||||||
4,400 | Series 3342, Class VG, 6.000%, 11/15/23 | 4,971 | ||||||
4,106 | Series 3344, Class FT, 0.557%, 07/15/34 | 4,092 | ||||||
463 | Series 3371, Class FA, VAR, 0.807%, 09/15/37 | 465 | ||||||
1,441 | Series 3373, Class TO, PO, 04/15/37 | 1,311 | ||||||
3,673 | Series 3385, Class SN, IF, IO, 5.793%, 11/15/37 | 414 | ||||||
1,979 | Series 3387, Class SA, IF, IO, 6.213%, 11/15/37 | 285 | ||||||
1,670 | Series 3389, Class DQ, 5.750%, 10/15/35 | 1,810 | ||||||
851 | Series 3393, Class JO, PO, 09/15/32 | 721 | ||||||
2,000 | Series 3402, Class NC, 5.000%, 12/15/22 | 2,263 | ||||||
2,380 | Series 3404, Class SC, IF, IO, 5.793%, 01/15/38 | 293 | ||||||
5,628 | Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38 | 26 | ||||||
1,335 | Series 3422, Class LI, IO, 5.000%, 02/15/23 | 140 | ||||||
5,229 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 51 | ||||||
2,555 | Series 3451, Class SA, IF, IO, 5.843%, 05/15/38 | 332 | ||||||
2,176 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,489 | ||||||
2,723 | Series 3481, Class SJ, IF, IO, 5.643%, 08/15/38 | 338 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,710 | Series 3505, Class SA, IF, IO, 5.793%, 01/15/39 | 306 | ||||||
2,104 | Series 3511, Class IO, IO, 5.000%, 12/15/21 | 222 | ||||||
1,379 | Series 3511, Class SA, IF, IO, 5.793%, 02/15/39 | 156 | ||||||
2,912 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 356 | ||||||
5,173 | Series 3531, Class SA, IF, IO, 6.093%, 05/15/39 | 614 | ||||||
2,713 | Series 3537, Class MI, IO, 5.000%, 06/15/38 | 668 | ||||||
356 | Series 3546, Class A, VAR, 5.929%, 02/15/39 | 384 | ||||||
2,349 | Series 3549, Class FA, VAR, 1.407%, 07/15/39 | 2,356 | ||||||
2,515 | Series 3564, Class JA, 4.000%, 01/15/18 | 2,654 | ||||||
3,301 | Series 3572, Class JS, IF, IO, 6.593%, 09/15/39 | 540 | ||||||
1,434 | Series 3604, Class PO, PO, 05/15/36 | 1,309 | ||||||
1,600 | Series 3607, Class AO, PO, 04/15/36 | 1,395 | ||||||
1,600 | Series 3607, Class BO, PO, 04/15/36 | 1,394 | ||||||
1,306 | Series 3607, Class EO, PO, 02/15/33 | 1,230 | ||||||
2,400 | Series 3611, Class PO, PO, 07/15/34 | 2,156 | ||||||
1,806 | Series 3621, Class BO, PO, 01/15/40 | 1,604 | ||||||
2,512 | Series 3623, Class LO, PO, 01/15/40 | 2,213 | ||||||
1,343 | Series 3632, Class BS, IF, 16.809%, 02/15/40 | 1,847 | ||||||
3,923 | Series 3653, Class HJ, 5.000%, 04/15/40 | 4,323 | ||||||
2,785 | Series 3666, Class VA, 5.500%, 12/15/22 | 3,107 | ||||||
7,514 | Series 3680, Class MA, 4.500%, 07/15/39 | 8,210 | ||||||
2,223 | Series 3688, Class CU, VAR, 6.808%, 11/15/21 | 2,554 | ||||||
4,416 | Series 3688, Class GT, VAR, 7.157%, 11/15/46 | 5,114 | ||||||
8,340 | Series 3688, Class NI, IO, 5.000%, 04/15/32 | 1,045 | ||||||
11,233 | Series 3704, Class CT, 7.000%, 12/15/36 | 13,010 | ||||||
7,410 | Series 3704, Class DT, 7.500%, 11/15/36 | 8,685 | ||||||
5,997 | Series 3704, Class ET, 7.500%, 12/15/36 | 7,031 | ||||||
8,523 | Series 3714, Class IP, IO, 5.000%, 08/15/40 | 1,543 | ||||||
6,940 | Series 3739, Class LI, IO, 4.000%, 03/15/34 | 936 | ||||||
4,986 | Series 3740, Class SC, IF, IO, 5.793%, 10/15/40 | 882 | ||||||
2,373 | Series 3747, Class CY, 4.500%, 10/15/40 | 2,492 | ||||||
1,500 | Series 3747, Class PY, 4.000%, 10/15/40 | 1,554 | ||||||
7,511 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 1,322 | ||||||
5,758 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 1,049 | ||||||
1,500 | Series 3770, Class PY, 5.000%, 12/15/40 | 1,697 | ||||||
9,792 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 11,374 | ||||||
2,854 | Series 3895, Class WA, 5.695%, 10/15/38 | 3,204 | ||||||
2,000 | Series R004, Class VG, 6.000%, 08/15/21 | 2,169 |
SEE NOTES TO FINANCIAL STATEMENTS.
148 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,880 | Series R006, Class ZA, 6.000%, 04/15/36 | 7,992 | ||||||
5,887 | Series R007, Class ZA, 6.000%, 05/15/36 | 6,869 | ||||||
547 | Series R012, Class AI, IO, 5.500%, 12/15/20 | 23 | ||||||
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) | |||||
15 | Series 134, Class B, IO, 9.000%, 04/01/22 | 3 | ||||||
2,445 | Series 191, Class IO, IO, 8.000%, 01/01/28 | 567 | ||||||
2,918 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 425 | ||||||
1,627 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 234 | ||||||
3,950 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 571 | ||||||
9,080 | Series 239, Class S30, IF, IO, 7.493%, 08/15/36 | 1,326 | ||||||
1,383 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 131 | ||||||
2,243 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 221 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
453 | Series T-41, Class 3A, VAR, 7.010%, 07/25/32 (m) | 523 | ||||||
1,686 | Series T-42, Class A5, 7.500%, 02/25/42 | 2,035 | ||||||
101 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 116 | ||||||
119 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 141 | ||||||
2,709 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,061 | ||||||
1,334 | Series T-54, Class 3A, 7.000%, 02/25/43 | 1,548 | ||||||
2,499 | Series T-56, Class A5, 5.231%, 05/25/43 | 2,718 | ||||||
249 | Series T-58, Class APO, PO, 09/25/43 | 208 | ||||||
247 | Series T-59, Class 1AP, PO, 10/25/43 | 186 | ||||||
6,827 | Series T-76, Class 2A, VAR, 4.787%, 10/25/37 | 7,032 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
4,000 | Series 2010-M1, Class A2, 4.450%, 09/25/19 | 4,463 | ||||||
1,700 | Series 2011-M1, Class A3, 3.763%, 06/25/21 | 1,797 | ||||||
9,480 | Series 2011-M2, Class A3, 3.764%, 07/25/21 | 9,622 | ||||||
5,000 | Series 2011-M4, Class A2, 3.726%, 06/25/21 | 5,069 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
43 | Series 2001-T10, Class PO, PO, 12/25/41 | 40 | ||||||
1,002 | Series 2001-T12, Class A2, 7.500%, 08/25/41 | 1,097 | ||||||
1,193 | Series 2001-T7, Class A1, 7.500%, 02/25/41 | 1,393 | ||||||
381 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 444 | ||||||
692 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 795 | ||||||
471 | Series 2002-T4, Class A2, 7.000%, 12/25/41 | 541 | ||||||
1,295 | Series 2002-T4, Class A3, 7.500%, 12/25/41 | 1,494 | ||||||
1,064 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,196 | ||||||
830 | Series 2004-T3, Class PT1, VAR, 9.270%, 01/25/44 | 973 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
Federal National Mortgage Association REMICS, | ||||||||
70 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 78 | ||||||
4 | Series 1988-11, Class D, PO, 05/25/18 | 4 | ||||||
388 | Series 1988-21, Class G, 9.500%, 08/25/18 | 453 | ||||||
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 | 5 | ||||||
18 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 20 | ||||||
16 | Series 1989-70, Class G, 8.000%, 10/25/19 | 19 | ||||||
9 | Series 1989-78, Class H, 9.400%, 11/25/19 | 11 | ||||||
6 | Series 1989-89, Class H, 9.000%, 11/25/19 | 7 | ||||||
5 | Series 1990-60, Class K, 5.500%, 06/25/20 | 6 | ||||||
4 | Series 1990-93, Class G, 5.500%, 08/25/20 | 5 | ||||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 4 | |||||
42 | Series 1990-102, Class J, 6.500%, 08/25/20 | 46 | ||||||
5 | Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 | 8 | ||||||
— | (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 6 | |||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
285 | Series 1991-44, Class G, 8.500%, 05/25/21 | 344 | ||||||
— | (h) | Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21 | 2 | |||||
11 | Series 1992-101, Class J, 7.500%, 06/25/22 | 11 | ||||||
259 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 298 | ||||||
288 | Series 1993-25, Class J, 7.500%, 03/25/23 | 332 | ||||||
129 | Series 1993-27, Class S, IF, 9.376%, 02/25/23 | 151 | ||||||
60 | Series 1993-31, Class K, 7.500%, 03/25/23 | 69 | ||||||
543 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 618 | ||||||
29 | Series 1993-62, Class SA, IF, 17.411%, 04/25/23 | 39 | ||||||
28 | Series 1993-97, Class FA, VAR, 1.500%, 05/25/23 | 29 | ||||||
7 | Series 1993-108, Class D, PO, 02/25/23 | 7 | ||||||
69 | Series 1993-162, Class F, VAR, 1.200%, 08/25/23 | 70 | ||||||
11 | Series 1993-165, Class SD, IF, 12.018%, 09/25/23 | 14 | ||||||
46 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 47 | ||||||
106 | Series 1993-179, Class SB, HB, IF, 23.896%, 10/25/23 | 162 | ||||||
105 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 | 117 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 149 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
28 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 | 35 | ||||||
22 | Series 1993-228, Class G, PO, 09/25/23 | 19 | ||||||
17 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 | 17 | ||||||
321 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 344 | ||||||
84 | Series 1993-257, Class C, PO, 06/25/23 | 81 | ||||||
1,446 | Series 1994-26, Class J, PO, 01/25/24 | 1,266 | ||||||
169 | Series 1994-37, Class L, 6.500%, 03/25/24 | 198 | ||||||
42 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 50 | ||||||
353 | Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23 | 67 | ||||||
17 | Series 1996-59, Class J, 6.500%, 08/25/22 | 19 | ||||||
117 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 5 | ||||||
31 | Series 1997-24, Class Z, 8.000%, 04/18/27 | 37 | ||||||
31 | Series 1997-27, Class J, 7.500%, 04/18/27 | 34 | ||||||
561 | Series 1997-46, Class Z, 7.500%, 06/17/27 | 646 | ||||||
28 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 6 | ||||||
1,463 | Series 1998-30, Class ZA, 6.500%, 05/20/28 | 1,692 | ||||||
60 | Series 1998-36, Class J, 6.000%, 07/18/28 | 65 | ||||||
523 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 592 | ||||||
219 | Series 1998-43, Class SA, IF, IO, 17.097%, 04/25/23 | 95 | ||||||
178 | Series 1999-57, Class Z, 7.500%, 12/25/19 | 202 | ||||||
179 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 209 | ||||||
645 | Series 2000-18, Class EC, PO, 10/25/23 | 601 | ||||||
27 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 6 | ||||||
1,318 | Series 2001-4, Class ZA, 6.500%, 03/25/31 | 1,513 | ||||||
75 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 78 | ||||||
153 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 179 | ||||||
275 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 61 | ||||||
277 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 325 | ||||||
916 | Series 2001-38, Class FB, VAR, 0.718%, 08/25/31 | 924 | ||||||
176 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 207 | ||||||
314 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 368 | ||||||
495 | Series 2001-49, Class LZ, 8.500%, 07/25/31 | 596 | ||||||
173 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 187 | ||||||
1,026 | Series 2001-53, Class FX, VAR, 0.568%, 10/25/31 | 1,029 | ||||||
819 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 959 | ||||||
335 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 360 | ||||||
192 | Series 2001-72, Class SX, IF, 16.957%, 12/25/31 | 230 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
175 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 189 | ||||||
201 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 216 | ||||||
106 | Series 2002-1, Class SA, HB, IF, 24.478%, 02/25/32 | 168 | ||||||
168 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 | 261 | ||||||
348 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 369 | ||||||
679 | Series 2002-7, Class FD, VAR, 0.918%, 04/25/29 | 683 | ||||||
139 | Series 2002-9, Class ST, IF, 18.796%, 03/25/17 | 170 | ||||||
1,064 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 1,139 | ||||||
994 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 46 | ||||||
62 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 68 | ||||||
1,271 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 1,325 | ||||||
331 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 356 | ||||||
1,965 | Series 2002-30, Class Z, 6.000%, 05/25/32 | 2,217 | ||||||
121 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 140 | ||||||
2,482 | Series 2002-42, Class C, 6.000%, 07/25/17 | 2,691 | ||||||
4,006 | Series 2002-50, Class ZA, 6.000%, 05/25/31 | 4,538 | ||||||
738 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 809 | ||||||
2,223 | Series 2002-56, Class UC, 5.500%, 09/25/17 (m) | 2,400 | ||||||
955 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 1,033 | ||||||
425 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 458 | ||||||
460 | Series 2002-63, Class LB, 5.500%, 10/25/17 | 497 | ||||||
1,509 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 1,627 | ||||||
381 | Series 2002-77, Class S, IF, 14.083%, 12/25/32 | 458 | ||||||
1,164 | Series 2002-81, Class JO, PO, 04/25/32 | 1,123 | ||||||
18 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 1 | ||||||
823 | Series 2002-95, Class XD, 5.000%, 01/25/18 | 894 | ||||||
610 | Series 2003-7, Class A1, 6.500%, 12/25/42 | 711 | ||||||
2,276 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 416 | ||||||
1,036 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 1,101 | ||||||
514 | Series 2003-23, Class CS, IF, IO, 7.882%, 05/25/31 | 27 | ||||||
2,060 | Series 2003-26, Class XS, IF, IO, 6.832%, 03/25/23 | 284 | ||||||
582 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 594 | ||||||
3,622 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 785 | ||||||
186 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 33 | ||||||
2,408 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 2,733 |
SEE NOTES TO FINANCIAL STATEMENTS.
150 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,435 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 | 715 | ||||||
551 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 33 | ||||||
126 | Series 2003-52, Class SX, HB, IF, 22.295%, 10/25/31 | 189 | ||||||
819 | Series 2003-55, Class CD, 5.000%, 06/25/23 | 877 | ||||||
17 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 17 | ||||||
47 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 47 | ||||||
368 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 375 | ||||||
2,263 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 230 | ||||||
1,902 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 327 | ||||||
193 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 198 | ||||||
433 | Series 2003-73, Class HF, VAR, 0.668%, 01/25/31 | 433 | ||||||
149 | Series 2003-73, Class PB, 4.500%, 08/25/18 | 151 | ||||||
131 | Series 2003-74, Class SH, IF, 9.777%, 08/25/33 | 134 | ||||||
1,413 | Series 2003-76, Class SH, IF, 13.763%, 09/25/31 | 1,645 | ||||||
49 | Series 2003-79, Class NM, 4.000%, 05/25/22 | 50 | ||||||
2,083 | Series 2003-80, Class SY, IF, IO, 7.432%, 06/25/23 | 246 | ||||||
1,036 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,122 | ||||||
2,841 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 3,084 | ||||||
239 | Series 2003-86, Class PX, 4.500%, 02/25/17 | 244 | ||||||
1,318 | Series 2003-86, Class ZA, 5.500%, 09/25/33 | 1,485 | ||||||
1,000 | Series 2003-88, Class TH, 4.500%, 09/25/18 | 1,085 | ||||||
319 | Series 2003-91, Class SD, IF, 12.136%, 09/25/33 | 371 | ||||||
99 | Series 2003-92, Class SH, IF, 9.234%, 09/25/18 | 102 | ||||||
3,860 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 4,595 | ||||||
180 | Series 2003-106, Class PO, PO, 08/25/17 | 170 | ||||||
500 | Series 2003-106, Class US, IF, 8.747%, 11/25/23 | 509 | ||||||
3,985 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 4,283 | ||||||
1,626 | Series 2003-116, Class SB, IF, IO, 7.382%, 11/25/33 | 345 | ||||||
2,070 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 2,182 | ||||||
3,000 | Series 2003-120, Class BL, 3.500%, 12/25/18 | 3,163 | ||||||
777 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 849 | ||||||
357 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 368 | ||||||
492 | Series 2003-130, Class SX, IF, 11.192%, 01/25/34 | 556 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
331 | Series 2003-131, Class SK, IF, 15.763%, 01/25/34 | 415 | ||||||
322 | Series 2003-132, Class OA, PO, 08/25/33 | 295 | ||||||
952 | Series 2003-132, Class PI, IO, 5.500%, 08/25/33 | 122 | ||||||
1,397 | Series 2004-4, Class QI, IF, IO, 6.882%, 06/25/33 | 272 | ||||||
349 | Series 2004-4, Class QM, IF, 13.763%, 06/25/33 | 431 | ||||||
798 | Series 2004-10, Class SC, HB, IF, 27.726%, 02/25/34 | 1,159 | ||||||
580 | Series 2004-14, Class SD, IF, 8.747%, 03/25/34 | 588 | ||||||
887 | Series 2004-17, Class H, 5.500%, 04/25/34 | 981 | ||||||
991 | Series 2004-21, Class CO, PO, 04/25/34 | 863 | ||||||
405 | Series 2004-22, Class A, 4.000%, 04/25/19 | 415 | ||||||
754 | Series 2004-25, Class PB, 5.500%, 05/25/32 | 772 | ||||||
777 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 872 | ||||||
1,008 | Series 2004-25, Class SA, IF, 18.924%, 04/25/34 | 1,390 | ||||||
1,370 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 1,476 | ||||||
3,350 | Series 2004-28, Class PF, VAR, 0.618%, 03/25/34 | 3,346 | ||||||
606 | Series 2004-36, Class PB, 5.500%, 05/25/32 | 622 | ||||||
846 | Series 2004-36, Class SA, IF, 18.924%, 05/25/34 | 1,174 | ||||||
288 | Series 2004-36, Class SN, IF, 13.763%, 07/25/33 | 362 | ||||||
1,341 | Series 2004-46, Class EP, PO, 03/25/34 | 1,216 | ||||||
1,366 | Series 2004-46, Class HS, IF, IO, 5.782%, 05/25/30 | 61 | ||||||
451 | Series 2004-46, Class QB, HB, IF, 23.126%, 05/25/34 | 673 | ||||||
367 | Series 2004-46, Class SK, IF, 15.899%, 05/25/34 | 469 | ||||||
186 | Series 2004-51, Class SY, IF, 13.803%, 07/25/34 | 227 | ||||||
1,413 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,513 | ||||||
806 | Series 2004-59, Class BG, PO, 12/25/32 | 726 | ||||||
222 | Series 2004-61, Class CO, PO, 10/25/31 | 217 | ||||||
269 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 295 | ||||||
82 | Series 2004-92, Class JO, PO, 12/25/34 | 78 | ||||||
2,527 | Series 2005-7, Class LO, PO, 02/25/35 | 2,112 | ||||||
546 | Series 2005-13, Class FL, VAR, 0.618%, 03/25/35 | 543 | ||||||
271 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 281 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 151 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
421 | Series 2005-15, Class MO, PO, 03/25/35 | 358 | ||||||
675 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 689 | ||||||
4,945 | Series 2005-47, Class AK, 5.000%, 06/25/20 | 5,467 | ||||||
382 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 417 | ||||||
2,174 | Series 2005-56, Class S, IF, IO, 6.492%, 07/25/35 | 366 | ||||||
2,224 | Series 2005-57, Class EG, VAR, 0.518%, 03/25/35 | 2,218 | ||||||
387 | Series 2005-58, Class PO, PO, 07/25/35 | 296 | ||||||
522 | Series 2005-66, Class SG, IF, 16.829%, 07/25/35 | 614 | ||||||
3,608 | Series 2005-66, Class SV, IF, IO, 6.532%, 07/25/35 | 676 | ||||||
1,250 | Series 2005-67, Class HG, 5.500%, 01/25/35 | 1,404 | ||||||
1,027 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,132 | ||||||
2,079 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 2,342 | ||||||
268 | Series 2005-70, Class KI, IO, 5.500%, 08/25/35 | 11 | ||||||
462 | Series 2005-73, Class PS, IF, 16.154%, 08/25/35 | 547 | ||||||
1,773 | Series 2005-74, Class SK, IF, 19.529%, 05/25/35 | 2,482 | ||||||
1,707 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,901 | ||||||
2,000 | Series 2005-87, Class NH, 5.000%, 10/25/25 | 2,237 | ||||||
173 | Series 2005-88, Class QO, PO, 11/25/33 | 171 | ||||||
758 | Series 2005-90, Class AO, PO, 10/25/35 | 722 | ||||||
2,069 | Series 2005-90, Class ES, IF, 16.329%, 10/25/35 | 2,450 | ||||||
1,476 | Series 2005-90, Class PO, PO, 09/25/35 | 1,399 | ||||||
1,500 | Series 2005-100, Class BQ, 5.500%, 11/25/25 | 1,693 | ||||||
718 | Series 2005-103, Class SC, IF, 10.868%, 07/25/35 | 799 | ||||||
1,413 | Series 2005-106, Class US, HB, IF, 23.766%, 11/25/35 | 2,128 | ||||||
1,097 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 1,141 | ||||||
2,162 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 2,259 | ||||||
2,739 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 3,064 | ||||||
1,254 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 1,303 | ||||||
2,397 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 2,719 | ||||||
1,059 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,144 | ||||||
2,174 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 2,203 | ||||||
6,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 6,425 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,625 | Series 2005-123, Class FG, VAR, 0.668%, 07/25/34 | 1,614 | ||||||
632 | Series 2006-15, Class OT, PO, 01/25/36 | 598 | ||||||
1,011 | Series 2006-16, Class FC, VAR, 0.518%, 03/25/36 | 1,008 | ||||||
2,028 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 2,299 | ||||||
699 | Series 2006-23, Class KO, PO, 04/25/36 | 658 | ||||||
2,024 | Series 2006-27, Class OH, PO, 04/25/36 | 1,893 | ||||||
1,117 | Series 2006-33, Class ZB, 6.000%, 05/25/36 | 1,233 | ||||||
2,500 | Series 2006-35, Class GD, 6.000%, 12/25/34 | 2,802 | ||||||
2,054 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,307 | ||||||
727 | Series 2006-42, Class CF, VAR, 0.668%, 06/25/36 | 727 | ||||||
3,126 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,320 | ||||||
825 | Series 2006-44, Class FP, VAR, 0.618%, 06/25/36 | 823 | ||||||
1,643 | Series 2006-44, Class GO, PO, 06/25/36 | 1,499 | ||||||
4,958 | Series 2006-44, Class P, PO, 12/25/33 | 4,495 | ||||||
1,712 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 1,924 | ||||||
1,031 | Series 2006-50, Class JO, PO, 06/25/36 | 922 | ||||||
1,734 | Series 2006-50, Class PS, PO, 06/25/36 | 1,561 | ||||||
3,130 | Series 2006-53, Class US, IF, IO, 6.362%, 06/25/36 | 465 | ||||||
1,710 | Series 2006-56, Class FC, VAR, 0.508%, 07/25/36 | 1,705 | ||||||
1,987 | Series 2006-56, Class FT, VAR, 0.968%, 07/25/36 | 1,892 | ||||||
700 | Series 2006-58, Class AP, PO, 07/25/36 | 650 | ||||||
829 | Series 2006-58, Class FL, VAR, 0.678%, 07/25/36 | 830 | ||||||
1,719 | Series 2006-58, Class PO, PO, 07/25/36 | 1,551 | ||||||
139 | Series 2006-59, Class CO, PO, 08/25/35 | 136 | ||||||
2,468 | Series 2006-59, Class QO, PO, 01/25/33 | 2,316 | ||||||
959 | Series 2006-60, Class DO, PO, 04/25/35 | 886 | ||||||
1,398 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 1,660 | ||||||
680 | Series 2006-65, Class QO, PO, 07/25/36 | 620 | ||||||
1,209 | Series 2006-72, Class GO, PO, 08/25/36 | 1,090 | ||||||
744 | Series 2006-72, Class HO, PO, 08/25/26 | 687 | ||||||
1,137 | Series 2006-72, Class TO, PO, 08/25/36 | 1,053 | ||||||
6,848 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 8,028 | ||||||
1,847 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 2,166 | ||||||
1,104 | Series 2006-79, Class DO, PO, 08/25/36 | 1,007 | ||||||
1,053 | Series 2006-86, Class OB, PO, 09/25/36 | 964 | ||||||
989 | Series 2006-90, Class AO, PO, 09/25/36 | 916 | ||||||
6,456 | Series 2006-94, Class GI, IF, IO, 6.432%, 10/25/26 | 988 |
SEE NOTES TO FINANCIAL STATEMENTS.
152 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
270 | Series 2006-94, Class GK, HB, IF, 32.158%, 10/25/26 | 407 | ||||||
1,000 | Series 2006-102, Class MD, 6.000%, 01/25/35 | 1,114 | ||||||
1,186 | Series 2006-110, Class PO, PO, 11/25/36 | 1,088 | ||||||
504 | Series 2006-111, Class EO, PO, 11/25/36 | 452 | ||||||
1,331 | Series 2006-113, Class PO, PO, 07/25/36 | 1,269 | ||||||
1,287 | Series 2006-115, Class OK, PO, 12/25/36 | 1,117 | ||||||
3,050 | Series 2006-117, Class GS, IF, IO, 6.432%, 12/25/36 | 460 | ||||||
724 | Series 2006-118, Class A2, VAR, 0.278%, 12/25/36 | 715 | ||||||
1,107 | Series 2006-119, Class PO, PO, 12/25/36 | 1,007 | ||||||
1,981 | Series 2006-120, Class IO, IO, 6.500%, 12/25/36 | 401 | ||||||
2,264 | Series 2006-120, Class PF, VAR, 0.468%, 12/25/36 | 2,257 | ||||||
1,960 | Series 2006-126, Class AO, PO, 01/25/37 | 1,761 | ||||||
2,509 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 439 | ||||||
290 | Series 2007-1, Class SD, HB, IF, 37.690%, 02/25/37 | 454 | ||||||
1,935 | Series 2007-7, Class SG, IF, IO, 6.282%, 08/25/36 | 276 | ||||||
6,088 | Series 2007-14, Class ES, IF, IO, 6.222%, 03/25/37 | 891 | ||||||
1,233 | Series 2007-14, Class OP, PO, 03/25/37 | 1,123 | ||||||
461 | Series 2007-15, Class NO, PO, 03/25/22 | 432 | ||||||
1,876 | Series 2007-16, Class FC, VAR, 0.968%, 03/25/37 | 1,869 | ||||||
2,841 | Series 2007-16, Class FM, VAR, 0.448%, 03/25/37 | 2,823 | ||||||
3,283 | Series 2007-18, Class BD, 5.750%, 05/25/36 | 3,713 | ||||||
1,686 | Series 2007-18, Class MZ, 6.000%, 03/25/37 | 1,996 | ||||||
1,824 | Series 2007-22, Class SC, IF, IO, 5.862%, 03/25/37 | 257 | ||||||
1,500 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,663 | ||||||
275 | Series 2007-39, Class EF, VAR, 0.468%, 05/25/37 | 274 | ||||||
596 | Series 2007-43, Class FL, VAR, 0.518%, 05/25/37 | 592 | ||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,554 | ||||||
2,151 | Series 2007-54, Class FA, VAR, 0.618%, 06/25/37 | 2,148 | ||||||
4,450 | Series 2007-54, Class WI, IF, IO, 5.882%, 06/25/37 | 639 | ||||||
2,445 | Series 2007-60, Class AX, IF, IO, 6.932%, 07/25/37 | 448 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,500 | Series 2007-61, Class PC, 5.500%, 07/25/34 | 2,725 | ||||||
4,000 | Series 2007-63, Class PC, 5.500%, 07/25/36 | 4,446 | ||||||
1,866 | Series 2007-64, Class FB, VAR, 0.588%, 07/25/37 | 1,864 | ||||||
6,148 | Series 2007-65, Class KI, IF, IO, 6.402%, 07/25/37 | 888 | ||||||
11,917 | Series 2007-72, Class EK, IF, IO, 6.182%, 07/25/37 | 1,736 | ||||||
1,981 | Series 2007-75, Class EO, PO, 01/25/36 | 1,874 | ||||||
2,554 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 2,992 | ||||||
2,513 | Series 2007-77, Class FG, VAR, 0.718%, 03/25/37 | 2,517 | ||||||
1,500 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 1,711 | ||||||
1,907 | Series 2007-79, Class PB, 5.000%, 04/25/29 | 1,935 | ||||||
313 | Series 2007-79, Class SB, HB, IF, 23.216%, 08/25/37 | 440 | ||||||
857 | Series 2007-88, Class VI, IF, IO, 6.322%, 09/25/37 | 143 | ||||||
2,694 | Series 2007-91, Class ES, IF, IO, 6.242%, 10/25/37 | 470 | ||||||
262 | Series 2007-97, Class MS, IF, 14.266%, 12/25/31 | 272 | ||||||
684 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 733 | ||||||
5,153 | Series 2007-100, Class SM, IF, IO, 6.232%, 10/25/37 | 825 | ||||||
5,296 | Series 2007-101, Class A2, VAR, 0.468%, 06/27/36 | 5,283 | ||||||
751 | Series 2007-106, Class A7, VAR, 5.969%, 10/25/37 | 803 | ||||||
7,000 | Series 2007-112, Class GB, 5.500%, 12/25/22 | 8,116 | ||||||
6,441 | Series 2007-112, Class SA, IF, IO, 6.232%, 12/25/37 | 936 | ||||||
8,000 | Series 2007-114, Class A6, VAR, 0.418%, 10/27/37 | 7,950 | ||||||
5,390 | Series 2007-116, Class HI, IO, VAR, 6.413%, 01/25/38 | 399 | ||||||
218 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 36 | ||||||
4,517 | Series 2008-1, Class BI, IF, IO, 5.692%, 02/25/38 | 613 | ||||||
1,541 | Series 2008-10, Class XI, IF, IO, 6.012%, 03/25/38 | 221 | ||||||
1,281 | Series 2008-12, Class IV, IO, 6.500%, 04/25/31 | 123 | ||||||
3,962 | Series 2008-16, Class IS, IF, IO, 5.982%, 03/25/38 | 518 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 153 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,311 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 231 | ||||||
2,982 | Series 2008-20, Class SA, IF, IO, 6.772%, 03/25/38 | 537 | ||||||
2,741 | Series 2008-24, Class PF, VAR, 0.868%, 02/25/38 | 2,756 | ||||||
1,068 | Series 2008-27, Class SN, IF, IO, 6.682%, 04/25/38 | 192 | ||||||
1,676 | Series 2008-32, Class SA, IF, IO, 6.632%, 04/25/38 | 286 | ||||||
9,133 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 23 | ||||||
4,397 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 49 | ||||||
3,562 | Series 2008-36, Class IA, IO, 4.500%, 10/25/22 | 252 | ||||||
457 | Series 2008-44, Class PO, PO, 05/25/38 | 393 | ||||||
3,008 | Series 2008-47, Class SI, IF, IO, 6.282%, 06/25/23 | 364 | ||||||
6,000 | Series 2008-51, Class BC, 4.500%, 06/25/23 | 6,513 | ||||||
1,666 | Series 2008-53, Class CI, IF, IO, 6.982%, 07/25/38 | 271 | ||||||
310 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 16 | ||||||
2,000 | Series 2008-70, Class BY, 4.000%, 08/25/23 | 2,178 | ||||||
2,161 | Series 2008-76, Class GF, VAR, 0.868%, 09/25/23 | 2,179 | ||||||
734 | Series 2008-80, Class GP, 6.250%, 09/25/38 | 828 | ||||||
2,998 | Series 2008-80, Class SA, IF, IO, 5.632%, 09/25/38 | 384 | ||||||
1,329 | Series 2008-81, Class SB, IF, IO, 5.632%, 09/25/38 | 186 | ||||||
2,000 | Series 2008-95, Class BA, 5.000%, 01/25/24 | 2,302 | ||||||
685 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 725 | ||||||
1,396 | Series 2009-6, Class GS, IF, IO, 6.332%, 02/25/39 | 216 | ||||||
3,162 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 348 | ||||||
2,591 | Series 2009-12, Class IO, IO, 4.500%, 03/25/24 | 240 | ||||||
982 | Series 2009-12, Class NI, IO, 5.500%, 08/25/22 | 57 | ||||||
1,761 | Series 2009-14, Class YI, IO, 5.000%, 07/25/22 | 94 | ||||||
4,848 | Series 2009-17, Class QS, IF, IO, 6.432%, 03/25/39 | 701 | ||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 851 | ||||||
994 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,122 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
3,839 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 557 | ||||||
2,621 | Series 2009-62, Class HJ, 6.000%, 05/25/39 | 2,911 | ||||||
554 | Series 2009-63, Class P, 5.000%, 03/25/37 | 597 | ||||||
942 | Series 2009-69, Class PO, PO, 09/25/39 | 854 | ||||||
749 | Series 2009-79, Class UA, 7.000%, 03/25/38 | 860 | ||||||
3,920 | Series 2009-84, Class WS, IF, IO, 5.682%, 10/25/39 | 503 | ||||||
3,856 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 655 | ||||||
3,735 | Series 2009-86, Class OT, PO, 10/25/37 | 3,247 | ||||||
7,579 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 528 | ||||||
2,041 | Series 2009-92, Class AD, 6.000%, 11/25/39 | 2,274 | ||||||
2,302 | Series 2009-99, Class SC, IF, IO, 5.962%, 12/25/39 | 301 | ||||||
1,613 | Series 2009-99, Class WA, VAR, 6.303%, 12/25/39 | 1,857 | ||||||
6,726 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 7,163 | ||||||
4,590 | Series 2009-112, Class ST, IF, IO, 6.032%, 01/25/40 | 530 | ||||||
10,460 | Series 2009-113, Class LB, VAR, 5.831%, 01/25/40 | 11,709 | ||||||
5,480 | Series 2010-1, Class WA, VAR, 6.153%, 02/25/40 (m) | 6,232 | ||||||
4,477 | Series 2010-9, Class MB, 5.000%, 05/25/32 | 4,979 | ||||||
3,209 | Series 2010-16, Class WA, VAR, 6.442%, 03/25/40 | 3,700 | ||||||
6,033 | Series 2010-16, Class WB, VAR, 6.215%, 03/25/40 | 6,886 | ||||||
3,813 | Series 2010-23, Class KS, IF, IO, 6.882%, 02/25/40 | 603 | ||||||
4,811 | Series 2010-35, Class SB, IF, IO, 6.202%, 04/25/40 | 583 | ||||||
1,374 | Series 2010-39, Class OT, PO, 10/25/35 | 1,252 | ||||||
2,640 | Series 2010-40, Class FJ, 0.818%, 04/25/40 | 2,649 | ||||||
2,932 | Series 2010-42, Class S, IF, IO, 6.182%, 05/25/40 | 358 | ||||||
2,000 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,183 | ||||||
2,263 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 2,506 | ||||||
2,646 | Series 2010-49, Class SC, IF, 12.223%, 03/25/40 | 3,082 | ||||||
1,752 | Series 2010-61, Class WA, VAR, 5.950%, 06/25/40 | 1,957 | ||||||
10,786 | Series 2010-64, Class DM, 5.000%, 06/25/40 (m) | 11,674 |
SEE NOTES TO FINANCIAL STATEMENTS.
154 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
7,673 | Series 2010-68, Class SA, IF, IO, 4.782%, 07/25/40 | 1,038 | ||||||
644 | Series 2010-102, Class HZ, 4.000%, 09/25/50 | 639 | ||||||
11,704 | Series 2010-103, Class SB, IF, IO, 5.882%, 11/25/49 | 1,640 | ||||||
13,364 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 14,227 | ||||||
2,000 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 2,230 | ||||||
8,364 | Series 2010-111, Class WA, VAR, 6.031%, 10/25/40 | 9,349 | ||||||
7,580 | Series 2010-125, Class SA, IF, IO, 4.222%, 11/25/40 | 719 | ||||||
2,721 | Series 2010-130, Class CY, 4.500%, 11/25/40 | 2,836 | ||||||
5,657 | Series 2010-133, Class A, 5.500%, 05/25/38 | 6,054 | ||||||
3,841 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 4,124 | ||||||
3,254 | Series 2011-2, Class WA, VAR, 5.728%, 02/25/51 | 3,584 | ||||||
1,949 | Series 2011-18, Class VN, 4.000%, 10/25/25 | 2,097 | ||||||
1,674 | Series 2011-20, Class MW, 5.000%, 03/25/41 | 1,893 | ||||||
11,445 | Series 2011-30, Class LS, IO, VAR, 4.835%, 04/25/41 | 900 | ||||||
2,776 | Series 2011-43, Class WA, VAR, 5.889%, 05/25/51 | 3,008 | ||||||
3,041 | Series 2011-47, Class ZA, 5.500%, 07/25/38 | 3,464 | ||||||
9,228 | Series 2011-58, Class WA, 5.419%, 07/25/51 | 10,208 | ||||||
1,423 | Series 2011-75, Class FA, VAR, 0.768%, 08/25/41 | 1,424 | ||||||
102 | Series G92-7, Class JQ, 8.500%, 01/25/22 | 127 | ||||||
20 | Series G92-12, Class B, 7.700%, 02/25/22 | 23 | ||||||
31 | Series G92-14, Class Z, 7.000%, 02/25/22 | 34 | ||||||
— | (h) | Series G92-15, Class Z, 7.000%, 01/25/22 | — | (h) | ||||
— | (h) | Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22 | 16 | |||||
22 | Series G92-42, Class Z, 7.000%, 07/25/22 | 24 | ||||||
623 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 710 | ||||||
116 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 131 | ||||||
207 | Series G92-61, Class Z, 7.000%, 10/25/22 | 251 | ||||||
21 | Series G92-62, Class B, PO, 10/25/22 | 18 | ||||||
137 | Series G93-1, Class KA, 7.900%, 01/25/23 | 157 | ||||||
92 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 95 | ||||||
735 | Series G94-7, Class PJ, 7.500%, 05/17/24 | 896 | ||||||
125 | Series G97-2, Class ZA, 8.500%, 02/17/27 | 146 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
9 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 2 | ||||||
7 | Series 59, Class 2, IO, 9.500%, 07/01/17 | 1 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
487 | Series 213, Class 2, IO, 8.000%, 03/01/23 | 105 | ||||||
16 | Series 265, Class 2, 9.000%, 03/01/24 | 19 | ||||||
34 | Series 285, Class 1, PO, 02/01/27 | 31 | ||||||
1,070 | Series 293, Class 1, PO, 12/01/24 | 1,009 | ||||||
835 | Series 331, Class 13, IO, 7.000%, 02/01/33 | 219 | ||||||
2,147 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 191 | ||||||
2,133 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 179 | ||||||
1,815 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 189 | ||||||
3,839 | Series 345, Class 24, IO, VAR, 5.000%, 08/01/22 | 352 | ||||||
932 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 114 | ||||||
1,431 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 | 184 | ||||||
2,033 | Series 356, Class 3, IO, 5.000%, 01/01/35 | 286 | ||||||
3,188 | Series 356, Class 39, IO, 5.000%, 01/01/20 | 358 | ||||||
3,081 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 545 | ||||||
585 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 51 | ||||||
1,151 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 199 | ||||||
3,546 | Series 383, Class 32, IO, 6.000%, 01/01/38 | 558 | ||||||
423 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 51 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2,002 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 2,386 | ||||||
382 | Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32 | 419 | ||||||
9,264 | Series 2002-W10, Class IO, IO, VAR, 0.975%, 08/25/42 | 176 | ||||||
590 | Series 2003-W1, Class 1A1, VAR, 6.333%, 12/25/42 | 702 | ||||||
339 | Series 2003-W1, Class 2A, VAR, 7.181%, 12/25/42 | 402 | ||||||
650 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 717 | ||||||
585 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 674 | ||||||
122 | Series 2003-W4, Class 2A, VAR, 6.500%, 10/25/42 | 136 | ||||||
592 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 684 | ||||||
673 | Series 2003-W8, Class 3F1, VAR, 0.618%, 05/25/42 | 668 | ||||||
894 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 1,044 | ||||||
1,378 | Series 2004-W11, Class 1A1, 6.000%, 05/25/44 | 1,546 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 155 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,177 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 1,363 | ||||||
2,299 | Series 2005-W3, Class 2AF, VAR, 0.438%, 03/25/45 | 2,288 | ||||||
974 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,093 | ||||||
4,191 | Series 2005-W4, Class 3A, VAR, 2.908%, 06/25/35 | 4,389 | ||||||
1,284 | Series 2006-W2, Class 1AF1, VAR, 0.438%, 02/25/36 | 1,278 | ||||||
858 | Series 2006-W3, Class 1AF1, VAR, 0.458%, 10/25/46 | 854 | ||||||
1,031 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 1,152 | ||||||
12,811 | Series 2007-W1, Class 1AF1, VAR, 0.478%, 11/25/46 (m) | 12,768 | ||||||
3,571 | Series 2007-W2, Class 1A1, VAR, 0.538%, 03/25/37 | 3,527 | ||||||
2,020 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 2,229 | ||||||
325 | Series 2007-W7, Class 1A4, HB, IF, 37.870%, 07/25/37 | 563 | ||||||
6,914 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 7,757 | ||||||
Government National Mortgage Association, | ||||||||
93 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 108 | ||||||
1,418 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 1,644 | ||||||
204 | Series 1996-16, Class E, 7.500%, 08/16/26 (m) | 234 | ||||||
41 | Series 1997-2, Class E, 7.500%, 02/20/27 | 48 | ||||||
47 | Series 1997-11, Class D, 7.500%, 07/20/27 | 55 | ||||||
83 | Series 1998-26, Class K, 7.500%, 09/17/25 | 97 | ||||||
465 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 520 | ||||||
148 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 173 | ||||||
18 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 19 | ||||||
88 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 102 | ||||||
412 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 482 | ||||||
247 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 280 | ||||||
383 | Series 2000-7, Class ST, HB, IF, 38.559%, 01/16/30 | 776 | ||||||
171 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 200 | ||||||
963 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 1,191 | ||||||
709 | Series 2000-10, Class ZP, 7.500%, 02/16/30 | 786 | ||||||
379 | Series 2000-12, Class ST, HB, IF, 38.559%, 02/16/30 | 769 | ||||||
95 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 102 | ||||||
875 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 1,098 | ||||||
135 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 156 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
52 | Series 2000-36, Class HC, 7.330%, 11/20/30 | 61 | ||||||
29 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 9 | ||||||
149 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 180 | ||||||
1,566 | Series 2001-21, Class PE, 6.500%, 05/16/31 | 1,877 | ||||||
264 | Series 2001-31, Class SJ, HB, IF, 27.254%, 02/20/31 | 466 | ||||||
20 | Series 2001-32, Class WA, IF, 19.592%, 07/20/31 | 29 | ||||||
184 | Series 2001-35, Class SA, IF, IO, 8.042%, 08/16/31 | 51 | ||||||
164 | Series 2001-36, Class S, IF, IO, 7.842%, 08/16/31 | 44 | ||||||
955 | Series 2001-53, Class SR, IF, IO, 7.937%, 10/20/31 | 112 | ||||||
60 | Series 2001-55, Class SF, HB, IF, 25.535%, 11/20/31 | 100 | ||||||
777 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 945 | ||||||
185 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 219 | ||||||
723 | Series 2002-24, Class AG, IF, IO, 7.742%, 04/16/32 | 174 | ||||||
190 | Series 2002-24, Class SB, IF, 11.613%, 04/16/32 | 232 | ||||||
557 | Series 2002-24, Class Z, 8.500%, 04/16/32 | 648 | ||||||
1,440 | Series 2002-31, Class SE, IF, IO, 7.292%, 04/16/30 | 306 | ||||||
59 | Series 2002-33, Class SY, IF, 9.000%, 02/26/23 | 63 | ||||||
476 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 554 | ||||||
133 | Series 2002-41, Class LS, IF, 9.000%, 06/16/32 | 147 | ||||||
283 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 332 | ||||||
348 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 407 | ||||||
47 | Series 2002-51, Class SG, HB, IF, 31.577%, 04/20/31 | 89 | ||||||
185 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 212 | ||||||
249 | Series 2002-69, Class PO, PO, 02/20/32 | 236 | ||||||
112 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 112 | ||||||
413 | Series 2002-70, Class PS, IF, IO, 7.487%, 08/20/32 | 51 | ||||||
653 | Series 2002-92, Class TK, IO, 5.500%, 05/16/31 | 19 | ||||||
260 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 14 | ||||||
272 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 285 | ||||||
486 | Series 2003-8, Class PO, PO, 01/16/32 | 463 | ||||||
1,660 | Series 2003-11, Class SK, IF, IO, 7.492%, 02/16/33 | 382 |
SEE NOTES TO FINANCIAL STATEMENTS.
156 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
4,539 | Series 2003-12, Class VI, IO, 5.500%, 10/17/22 | 724 | ||||||
43 | Series 2003-24, Class PO, PO, 03/16/33 | 35 | ||||||
504 | Series 2003-34, Class TO, PO, 02/16/32 | 482 | ||||||
1,571 | Series 2003-41, Class ID, IO, 5.500%, 05/20/33 | 298 | ||||||
2,231 | Series 2003-46, Class IH, IO, 5.500%, 12/20/32 | 255 | ||||||
1,796 | Series 2003-60, Class ZN, 5.000%, 07/16/33 | 2,090 | ||||||
458 | Series 2003-76, Class LS, IF, IO, 6.987%, 09/20/31 | 33 | ||||||
100 | Series 2003-90, Class PO, PO, 10/20/33 | 84 | ||||||
1,489 | Series 2003-112, Class SA, IF, IO, 6.342%, 12/16/33 | 282 | ||||||
6,000 | Series 2003-112, Class TS, IF, IO, 6.737%, 10/20/32 | 1,032 | ||||||
4,378 | Series 2004-11, Class SW, IF, IO, 5.287%, 02/20/34 | 548 | ||||||
292 | Series 2004-15, Class SA, IF, 19.077%, 12/20/32 | 369 | ||||||
272 | Series 2004-28, Class S, IF, 19.090%, 04/16/34 | 382 | ||||||
700 | Series 2004-34, Class SZ, IF, 7.500%, 02/20/34 | 707 | ||||||
578 | Series 2004-46, Class AO, PO, 06/20/34 | 491 | ||||||
3,570 | Series 2004-59, Class SG, IF, IO, 6.287%, 07/20/34 | 566 | ||||||
825 | Series 2004-68, Class PO, PO, 05/20/31 | 780 | ||||||
191 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 187 | ||||||
279 | Series 2004-73, Class AE, IF, 14.425%, 08/17/34 | 345 | ||||||
4,336 | Series 2004-73, Class JL, IF, IO, 6.342%, 09/16/34 | 796 | ||||||
1,142 | Series 2004-85, Class PO, PO, 01/17/33 | 1,063 | ||||||
2,097 | Series 2004-90, Class SI, IF, IO, 5.887%, 10/20/34 | 301 | ||||||
1,750 | Series 2005-3, Class SB, IF, IO, 5.887%, 01/20/35 | 247 | ||||||
3,524 | Series 2005-17, Class SL, IF, IO, 6.487%, 07/20/34 | 623 | ||||||
700 | Series 2005-26, Class VI, IO, 5.500%, 01/20/35 | 178 | ||||||
281 | Series 2005-35, Class FL, VAR, 0.563%, 03/20/32 | 279 | ||||||
3,287 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 1,164 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
895 | Series 2005-68, Class DP, IF, 15.932%, 06/17/35 | 1,068 | ||||||
4,573 | Series 2005-68, Class KI, IF, IO, 6.087%, 09/20/35 | 777 | ||||||
1,152 | Series 2005-69, Class SY, IF, IO, 6.537%, 11/20/33 | 203 | ||||||
1,384 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 1,624 | ||||||
1,779 | Series 2005-85, Class IO, IO, 5.500%, 01/16/35 | 320 | ||||||
308 | Series 2005-93, Class JO, PO, 03/20/31 | 297 | ||||||
860 | Series 2006-16, Class OP, PO, 03/20/36 | 714 | ||||||
641 | Series 2006-34, Class PO, PO, 07/20/36 | 533 | ||||||
4,552 | Series 2006-38, Class SG, IF, IO, 6.437%, 09/20/33 | 424 | ||||||
2,433 | Series 2006-38, Class SW, IF, IO, 6.287%, 06/20/36 | 315 | ||||||
712 | Series 2006-59, Class SD, IF, IO, 6.487%, 10/20/36 | 111 | ||||||
2,502 | Series 2007-9, Class DI, IF, IO, 6.297%, 03/20/37 | 374 | ||||||
841 | Series 2007-17, Class AF, VAR, 0.408%, 04/16/37 | 836 | ||||||
4,011 | Series 2007-17, Class JI, IF, IO, 6.602%, 04/16/37 | 688 | ||||||
552 | Series 2007-17, Class JO, PO, 04/16/37 | 457 | ||||||
477 | Series 2007-25, Class FN, VAR, 0.508%, 05/16/37 | 474 | ||||||
3,214 | Series 2007-26, Class SC, IF, IO, 5.987%, 05/20/37 | 510 | ||||||
7,802 | Series 2007-26, Class SW, IF, IO, 5.987%, 05/20/37 | 1,232 | ||||||
1,214 | Series 2007-27, Class MI, IO, 5.500%, 09/20/36 | 160 | ||||||
148 | Series 2007-28, Class BO, PO, 05/20/37 | 123 | ||||||
3,390 | Series 2007-31, Class AO, PO, 05/16/37 | 2,732 | ||||||
276 | Series 2007-35, Class TO, PO, 04/20/35 | 265 | ||||||
136 | Series 2007-36, Class HO, PO, 06/16/37 | 114 | ||||||
2,719 | Series 2007-36, Class SE, IF, IO, 6.262%, 06/16/37 | 401 | ||||||
4,353 | Series 2007-36, Class SG, IF, IO, 6.257%, 06/20/37 | 660 | ||||||
2,386 | Series 2007-40, Class SD, IF, IO, 6.537%, 07/20/37 | 363 | ||||||
2,384 | Series 2007-42, Class SB, IF, IO, 6.537%, 07/20/37 | 361 | ||||||
1,015 | Series 2007-45, Class QA, IF, IO, 6.427%, 07/20/37 | 146 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 157 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,303 | Series 2007-50, Class AI, IF, IO, 6.562%, 08/20/37 | 371 | ||||||
462 | Series 2007-53, Class SW, IF, 19.566%, 09/20/37 | 608 | ||||||
2,611 | Series 2007-57, Class PO, PO, 03/20/37 | 2,183 | ||||||
2,275 | Series 2007-57, Class QA, IF, IO, 6.287%, 10/20/37 | 325 | ||||||
2,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 2,130 | ||||||
3,194 | Series 2007-71, Class SB, IF, IO, 6.487%, 07/20/36 | 367 | ||||||
4,567 | Series 2007-74, Class SL, IF, IO, 6.332%, 11/16/37 | 768 | ||||||
2,221 | Series 2007-76, Class SA, IF, IO, 6.317%, 11/20/37 | 305 | ||||||
3,346 | Series 2007-79, Class SY, IF, IO, 6.337%, 12/20/37 | 443 | ||||||
1,144 | Series 2007-81, Class SP, IF, IO, 6.437%, 12/20/37 | 160 | ||||||
898 | Series 2007-82, Class SA, IF, IO, 6.317%, 12/20/37 | 123 | ||||||
1,596 | Series 2008-2, Class MS, IF, IO, 6.952%, 01/16/38 | 220 | ||||||
1,145 | Series 2008-10, Class S, IF, IO, 5.617%, 02/20/38 | 150 | ||||||
4,347 | Series 2008-13, Class PI, IO, 5.500%, 02/16/38 | 730 | ||||||
1,044 | Series 2008-20, Class PO, PO, 09/20/37 | 896 | ||||||
1,041 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 120 | ||||||
2,336 | Series 2008-25, Class SB, IF, IO, 6.687%, 03/20/38 | 363 | ||||||
1,093 | Series 2008-29, Class PO, PO, 02/17/33 | 952 | ||||||
2,565 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 377 | ||||||
1,018 | Series 2008-33, Class XS, IF, IO, 7.492%, 04/16/38 | 170 | ||||||
1,500 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 1,741 | ||||||
2,476 | Series 2008-36, Class SH, IF, IO, 6.087%, 04/20/38 | 347 | ||||||
5,983 | Series 2008-40, Class SA, IF, IO, 6.192%, 05/16/38 | 1,208 | ||||||
2,700 | Series 2008-41, Class SA, IF, IO, 6.127%, 05/20/38 | 389 | ||||||
768 | Series 2008-47, Class V, 5.500%, 05/16/19 | 870 | ||||||
1,578 | Series 2008-55, Class SA, IF, IO, 5.987%, 06/20/38 | 231 | ||||||
1,318 | Series 2008-60, Class PO, PO, 01/20/38 | 1,179 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
6,855 | Series 2008-62, Class SA, IF, IO, 5.937%, 07/20/38 | 871 | ||||||
2,732 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 3,020 | ||||||
3,000 | Series 2008-65, Class ME, 5.750%, 09/20/37 | 3,342 | ||||||
749 | Series 2008-71, Class SC, IF, IO, 5.787%, 08/20/38 | 100 | ||||||
1,903 | Series 2008-93, Class AS, IF, IO, 5.487%, 12/20/38 | 241 | ||||||
5,988 | Series 2008-95, Class DS, IF, IO, 7.087%, 12/20/38 | 1,046 | ||||||
1,579 | Series 2008-96, Class SL, IF, IO, 5.787%, 12/20/38 | 198 | ||||||
2,510 | Series 2009-6, Class SA, IF, IO, 5.892%, 02/16/39 | 314 | ||||||
3,687 | Series 2009-10, Class SA, IF, IO, 5.737%, 02/20/39 | 488 | ||||||
2,942 | Series 2009-10, Class SL, IF, IO, 6.292%, 03/16/34 | 364 | ||||||
5,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 1,809 | ||||||
1,963 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 344 | ||||||
2,124 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 390 | ||||||
2,956 | Series 2009-24, Class DS, IF, IO, 6.087%, 03/20/39 | 370 | ||||||
1,485 | Series 2009-25, Class SE, IF, IO, 7.387%, 09/20/38 | 261 | ||||||
1,180 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 212 | ||||||
2,000 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 372 | ||||||
1,633 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 | 151 | ||||||
5,096 | Series 2009-42, Class SC, IF, IO, 5.867%, 06/20/39 | 665 | ||||||
2,623 | Series 2009-43, Class SA, IF, IO, 5.737%, 06/20/39 | 344 | ||||||
846 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 934 | ||||||
5,696 | Series 2009-64, Class SN, IF, IO, 5.892%, 07/16/39 | 714 | ||||||
1,055 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 178 | ||||||
4,555 | Series 2009-67, Class SA, IF, IO, 5.842%, 08/16/39 | 514 | ||||||
5,742 | Series 2009-72, Class SM, IF, IO, 6.042%, 08/16/39 | 753 | ||||||
906 | Series 2009-79, Class OK, PO, 11/16/37 | 767 |
SEE NOTES TO FINANCIAL STATEMENTS.
158 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
5,306 | Series 2009-83, Class TS, IF, IO, 5.887%, 08/20/39 | 686 | ||||||
10,937 | Series 2009-102, Class SM, IF, IO, 6.192%, 06/16/39 | 1,374 | ||||||
1,603 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 1,922 | ||||||
4,882 | Series 2009-106, Class AS, IF, IO, 6.192%, 11/16/39 | 623 | ||||||
6,219 | Series 2009-106, Class ST, IF, IO, 5.787%, 02/20/38 | 900 | ||||||
2,755 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 3,152 | ||||||
735 | Series 2010-14, Class AO, PO, 12/20/32 | 648 | ||||||
762 | Series 2010-14, Class BO, PO, 11/20/35 | 647 | ||||||
2,500 | Series 2010-14, Class CO, PO, 08/20/35 | 1,789 | ||||||
6,106 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 6,669 | ||||||
4,074 | Series 2010-41, Class WA, VAR, 5.853%, 10/20/33 | 4,572 | ||||||
2,550 | Series 2010-103, Class WA, VAR, 5.767%, 08/20/34 | 2,882 | ||||||
2,560 | Series 2010-129, Class AW, VAR, 6.151%, 04/20/37 | 2,910 | ||||||
3,419 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 4,044 | ||||||
5,351 | Series 2010-157, Class OP, PO, 12/20/40 | 4,216 | ||||||
5,684 | Series 2011-22, Class WA, 5.947%, 02/20/37 | 6,472 | ||||||
8,260 | Series 2011-97, Class WA, VAR, 6.069%, 11/20/38 | 9,365 | ||||||
NCUA Guaranteed Notes, | ||||||||
7,707 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 7,997 | ||||||
3,772 | Series 2010-R3, Class 1A, VAR, 0.761%, 12/08/20 | 3,801 | ||||||
1,359 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 1,400 | ||||||
Vendee Mortgage Trust, | ||||||||
6,088 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 6,899 | ||||||
780 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 917 | ||||||
441 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 518 | ||||||
863 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 1,022 | ||||||
652 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 765 | ||||||
|
| |||||||
1,137,419 | ||||||||
|
| |||||||
Non-Agency CMO — 20.8% |
| |||||||
ABN Amro Mortgage Corp., | ||||||||
74 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 74 | ||||||
12 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 12 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
AH Mortgage Advance Trust, | ||||||||
3,201 | Series SART-2, Class A1, 3.270%, 09/15/43 (e) | 3,201 | ||||||
1,000 | Series SART-2, Class B1, 6.900%, 09/15/43 (e) | 1,000 | ||||||
American General Mortgage Loan Trust, | ||||||||
1,503 | Series 2006-1, Class A5, VAR, 5.736%, 12/25/35 (e) | 1,548 | ||||||
4,000 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 4,016 | ||||||
3,000 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 3,029 | ||||||
5,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 5,377 | ||||||
2,439 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 2,500 | ||||||
1,712 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.100%, 09/25/35 | 665 | ||||||
ASG Resecuritization Trust, | ||||||||
1,329 | Series 2009-1, Class A60, VAR, 5.218%, 06/26/37 (e) | 1,342 | ||||||
1,659 | Series 2009-2, Class A55, VAR, 5.367%, 05/24/36 (e) | 1,643 | ||||||
1,288 | Series 2009-2, Class G60, VAR, 5.345%, 05/24/36 (e) | 1,221 | ||||||
4,183 | Series 2009-3, Class A65, VAR, 5.235%, 03/26/37 (e) | 4,150 | ||||||
4,562 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 4,630 | ||||||
3,232 | Series 2010-1, Class A85, VAR, 0.621%, 02/27/36 (e) | 3,102 | ||||||
8,018 | Series 2010-2, Class A60, VAR, 4.964%, 01/28/37 (e) | 8,079 | ||||||
2,603 | Series 2010-3, Class 2A22, VAR, 0.395%, 10/28/36 (e) | 2,525 | ||||||
657 | Series 2010-4, Class 2A20, VAR, 0.344%, 11/28/36 (e) | 639 | ||||||
1,056 | Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e) | 1,114 | ||||||
2,562 | Series 2011-1, Class 3A50, VAR, 2.555%, 11/28/35 (e) (f) (i) | 2,460 | ||||||
1,851 | Series 2011-2, Class A48S, IF, 23.364%, 02/28/36 (e) | 2,535 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
301 | Series 2003-3, Class APO, PO, 05/25/33 | 191 | ||||||
2,156 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 2,200 | ||||||
842 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 865 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 159 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
803 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 807 | ||||||
408 | Series 2003-11, Class PO, PO, 01/25/34 | 334 | ||||||
1,084 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 1,139 | ||||||
348 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 352 | ||||||
816 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 825 | ||||||
4,168 | Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35 | 709 | ||||||
3,538 | Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36 | 656 | ||||||
Banc of America Funding Corp., | ||||||||
354 | Series 2004-1, Class PO, PO, 03/25/34 | 283 | ||||||
1,632 | Series 2004-3, Class 1A1, 5.500%, 10/25/34 | 1,674 | ||||||
117 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 118 | ||||||
1,382 | Series 2004-C, Class 1A1, VAR, 5.033%, 12/20/34 | 1,313 | ||||||
1,985 | Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35 | 218 | ||||||
408 | Series 2005-4, Class 30PO, PO, 08/25/35 | 331 | ||||||
1,139 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,103 | ||||||
153 | Series 2005-7, Class 30PO, PO, 11/25/35 | 120 | ||||||
786 | Series 2005-8, Class 30PO, PO, 01/25/36 | 629 | ||||||
1,709 | Series 2005-E, Class 4A1, VAR, 2.772%, 03/20/35 | 1,537 | ||||||
3,567 | Series 2010-R11A, Class 1A6, VAR, 5.421%, 08/26/35 (e) | 3,653 | ||||||
760 | Series 2010-R4, Class 5A1, VAR, 0.369%, 07/26/36 (e) | 735 | ||||||
3,043 | Series 2010-R5, Class 5A6, VAR, 0.519%, 05/26/37 (e) | 2,949 | ||||||
205 | Series 2010-R7, Class A1, VAR, 0.399%, 06/25/46 (e) (f) (i) | 202 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
2,000 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 2,052 | ||||||
405 | Series 2003-3, Class 2A1, VAR, 0.768%, 05/25/18 | 385 | ||||||
1,176 | Series 2003-6, Class 2A1, VAR, 0.668%, 08/25/18 | 1,123 | ||||||
894 | Series 2003-8, Class 2A5, 5.000%, 11/25/18 | 931 | ||||||
167 | Series 2003-8, Class APO, PO, 11/25/33 | 139 | ||||||
177 | Series 2003-9, Class 1A2, PO, 12/25/33 | 132 | ||||||
1,586 | Series 2003-A, Class 4A1, VAR, 2.872%, 02/25/33 | 1,526 | ||||||
955 | Series 2003-C, Class 3A1, VAR, 2.872%, 04/25/33 | 917 | ||||||
2,071 | Series 2003-E, Class 2A2, VAR, 2.883%, 06/25/33 | 1,884 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
3,382 | Series 2004-3, Class 15IO, IO, VAR, 0.236%, 04/25/19 | 17 | ||||||
3,000 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 3,069 | ||||||
113 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 114 | ||||||
225 | Series 2004-4, Class APO, PO, 05/25/34 | 190 | ||||||
27,060 | Series 2004-5, Class 15IO, IO, VAR, 0.242%, 06/25/19 | 151 | ||||||
307 | Series 2004-6, Class APO, PO, 07/25/34 | 254 | ||||||
176 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 185 | ||||||
1,511 | Series 2004-C, Class 2A2, VAR, 2.889%, 04/25/34 | 1,372 | ||||||
1,310 | Series 2004-J, Class 3A1, VAR, 5.089%, 11/25/34 | 1,094 | ||||||
BCAP LLC Trust, | ||||||||
1,400 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 1,402 | ||||||
424 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 424 | ||||||
2,092 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 2,126 | ||||||
2,000 | Series 2009-RR14, Class 3A2, VAR, 2.720%, 08/26/35 (e) | 1,860 | ||||||
1,140 | Series 2009-RR14, Class 4A1, VAR, 2.757%, 03/26/36 (e) | 1,136 | ||||||
2,045 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 2,078 | ||||||
951 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 954 | ||||||
933 | Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i) | 932 | ||||||
1,313 | Series 2010-RR4, Class 2A1, VAR, 0.969%, 06/26/37 (e) | 1,221 | ||||||
1,165 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 1,141 | ||||||
3,470 | Series 2010-RR5, Class 2A5, VAR, 5.198%, 04/26/37 (e) | 3,448 | ||||||
1,269 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 1,231 | ||||||
2,456 | Series 2010-RR7, Class 15A1, VAR, 1.019%, 01/26/36 (e) | 2,290 | ||||||
1,905 | Series 2010-RR7, Class 16A1, VAR, 0.952%, 02/26/47 (e) | 1,760 | ||||||
4,377 | Series 2010-RR7, Class 1A5, VAR, 5.011%, 04/26/35 (e) | 4,294 | ||||||
8,365 | Series 2010-RR7, Class 2A1, VAR, 5.127%, 07/26/45 (e) | 7,908 |
SEE NOTES TO FINANCIAL STATEMENTS.
160 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,418 | Series 2010-RR8, Class 3A3, VAR, 5.083%, 05/26/35 (e) | 1,402 | ||||||
1,500 | Series 2010-RR8, Class 3A4, 5.083%, 05/26/35 (e) | 1,353 | ||||||
2,316 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 2,212 | ||||||
3,325 | Series 2011-RR5, Class 14A3, VAR, 2.846%, 07/26/36 (e) (f) (i) | 3,184 | ||||||
3,953 | Series 2011-RR5-I, Class 11A3, VAR, 0.369%, 05/28/36 (e) | 3,676 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
920 | Series 2003-4, Class 3A1, VAR, 5.015%, 07/25/33 | 892 | ||||||
371 | Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33 | 344 | ||||||
912 | Series 2004-1, Class 12A1, VAR, 2.788%, 04/25/34 | 728 | ||||||
1,283 | Series 2004-2, Class 14A, VAR, 5.020%, 05/25/34 | 1,276 | ||||||
2,454 | Series 2005-5, Class A1, VAR, 2.220%, 08/25/35 | 2,278 | ||||||
3,078 | Series 2006-1, Class A1, VAR, 2.520%, 02/25/36 | 2,626 | ||||||
992 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.718%, 03/25/35 | 780 | ||||||
1,531 | Bear Stearns Asset Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.250%, 10/25/33 | 1,542 | ||||||
464 | Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33 | 383 | ||||||
Chase Mortgage Finance Corp., | ||||||||
684 | Series 2003-S10, Class AP, PO, 11/25/18 | 635 | ||||||
432 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 439 | ||||||
342 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 348 | ||||||
677 | Series 2004-S3, Class 2A5, 5.500%, 03/25/34 | 705 | ||||||
749 | Series 2007-A1, Class 2A1, VAR, 2.753%, 02/25/37 | 716 | ||||||
977 | Series 2007-A1, Class 7A1, VAR, 2.758%, 02/25/37 | 916 | ||||||
1,211 | Series 2007-A1, Class 9A1, VAR, 2.790%, 02/25/37 | 1,168 | ||||||
1,862 | Series 2007-A2, Class 2A1, 2.955%, 07/25/37 | 1,756 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
661 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 666 | ||||||
298 | Series 2003-8, Class APO, PO, 08/25/33 | 251 | ||||||
1,154 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,166 | ||||||
1,742 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,818 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,463 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 1,510 | ||||||
274 | Series 2005-6, Class APO, PO, 09/25/35 | 221 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
948 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 962 | ||||||
349 | Series 2003-1, Class PO3, PO, 09/25/33 | 289 | ||||||
53 | Series 2003-1, Class WA2, 6.500%, 06/25/31 | 55 | ||||||
64 | Series 2003-1, Class WPO2, PO, 06/25/31 | 53 | ||||||
118 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 121 | ||||||
573 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 600 | ||||||
94 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 87 | ||||||
85 | Series 2003-UST1, Class PO2, PO, 12/25/18 | 77 | ||||||
50 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 48 | ||||||
777 | Series 2004-UST1, Class A3, VAR, 2.397%, 08/25/34 | 746 | ||||||
844 | Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34 | 842 | ||||||
368 | Series 2005-1, Class 2A1A, VAR, 2.724%, 04/25/35 | 227 | ||||||
1,420 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 1,385 | ||||||
1,070 | Series 2005-5, Class 1A2, VAR, 2.701%, 08/25/35 | 591 | ||||||
3,420 | Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38 (e) | 3,373 | ||||||
2,180 | Series 2009-10, Class 1A1, VAR, 2.589%, 09/25/33 (e) | 2,155 | ||||||
2,220 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 2,305 | ||||||
2,851 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 2,929 | ||||||
1,159 | Series 2010-7, Class 10A1, VAR, 2.729%, 02/25/35 (e) | 1,152 | ||||||
1,404 | Series 2011-3, Class 1A1, VAR, 0.298%, 02/25/47 (e) | 1,373 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
283 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 297 | ||||||
1,016 | Series 2002-11, Class M, 6.500%, 10/25/32 | 977 | ||||||
350 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 329 | ||||||
337 | Series 2003-J1, Class PO, PO, 10/25/33 | 242 | ||||||
1,587 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,511 | ||||||
2,062 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 2,110 | ||||||
180 | Series 2004-J3, Class 4A1, 4.750%, 04/25/19 | 186 | ||||||
417 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 424 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 161 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
2,734 | Series 2005-1CB, Class 1A6, IF, IO, 6.882%, 03/25/35 | 356 | ||||||
8,810 | Series 2005-20CB, Class 3A8, IF, IO, 4.532%, 07/25/35 | 1,013 | ||||||
7,258 | Series 2005-22T1, Class A2, IF, IO, 4.852%, 06/25/35 | 857 | ||||||
275 | Series 2005-26CB, Class A10, IF, 12.654%, 07/25/35 | 280 | ||||||
134 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 130 | ||||||
330 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 293 | ||||||
12,458 | Series 2005-37T1, Class A2, IF, IO, 4.832%, 09/25/35 | 1,679 | ||||||
2,054 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 1,698 | ||||||
13,053 | Series 2005-54CB, Class 1A2, IF, IO, 4.632%, 11/25/35 | 1,876 | ||||||
80 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 75 | ||||||
1,508 | Series 2005-57CB, Class 3A2, IF, IO, 4.882%, 12/25/35 | 218 | ||||||
944 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 740 | ||||||
1,225 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 869 | ||||||
5,117 | Series 2005-J1, Class 1A4, IF, IO, 4.882%, 02/25/35 | 534 | ||||||
30,463 | Series 2006-7CB, Class 1A2, IF, IO, 5.082%, 05/25/36 | 4,422 | ||||||
1,294 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 849 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, | ||||||||
192 | Series 2003-18, Class A12, 5.500%, 07/25/33 | 183 | ||||||
2,981 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 2,930 | ||||||
179 | Series 2003-J10, Class 2A1, 5.000%, 11/25/18 | 183 | ||||||
2,251 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 2,338 | ||||||
272 | Series 2004-3, Class PO, PO, 04/25/34 | 226 | ||||||
798 | Series 2004-28R, Class A1, 5.500%, 08/25/33 | 801 | ||||||
7,971 | Series 2007-4, Class 1A52, IF, IO, 5.182%, 05/25/37 | 990 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
1,361 | Series 2002-36, Class A22, 6.000%, 01/25/33 | 1,400 | ||||||
835 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 802 | ||||||
268 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 270 | ||||||
210 | Series 2003-44, Class A9, PO, 10/25/33 | 189 | ||||||
467 | Series 2003-J7, Class 4A3, IF, 9.491%, 08/25/18 | 464 | ||||||
2,388 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 2,471 | ||||||
262 | Series 2004-7, Class 2A1, VAR, 2.276%, 06/25/34 | 223 | ||||||
1,600 | Series 2004-13, Class 1A4, 5.500%, 08/25/34 | 1,631 | ||||||
389 | Series 2004-HYB1, Class 2A, VAR, 2.855%, 05/20/34 | 319 | ||||||
1,469 | Series 2004-HYB3, Class 2A, VAR, 2.554%, 06/20/34 | 1,124 | ||||||
995 | Series 2004-HYB6, Class A3, VAR, 3.007%, 11/20/34 | 809 | ||||||
517 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 528 | ||||||
1,166 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,082 | ||||||
2,639 | Series 2005-22, Class 2A1, VAR, 3.063%, 11/25/35 | 1,666 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
3,081 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 3,050 | ||||||
929 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 932 | ||||||
1,150 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,047 | ||||||
1,905 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 1,929 | ||||||
1,187 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 1,237 | ||||||
2,982 | Series 2010-11R, Class A1, VAR, 1.221%, 06/28/47 (e) | 2,935 | ||||||
651 | Series 2010-12R, Class 14A1, VAR, 2.749%, 09/26/46 (e) | 651 | ||||||
1,281 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 1,291 | ||||||
967 | Series 2010-15R, Class 7A1, VAR, 5.271%, 10/26/37 (e) | 975 | ||||||
500 | Series 2010-15R, Class 7A2, VAR, 5.271%, 10/26/37 (e) | 454 |
SEE NOTES TO FINANCIAL STATEMENTS.
162 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
2,942 | Series 2011-1R, Class A1, VAR, 1.221%, 02/27/47 (e) | 2,938 | ||||||
1,868 | Series 2011-6R, Class 3A1, VAR, 2.876%, 07/28/36 (e) | 1,737 | ||||||
7,843 | Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e) | 7,838 | ||||||
8,701 | Series 2011-9R, Class A1, VAR, 2.218%, 03/27/46 (e) | 8,702 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
1,306 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,149 | ||||||
1,306 | Series 2003-21, Class 1A4, 5.250%, 09/25/33 | 1,330 | ||||||
3,752 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 3,902 | ||||||
2,005 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 2,075 | ||||||
936 | Series 2003-29, Class 1A1, 6.500%, 12/25/33 | 972 | ||||||
620 | Series 2003-29, Class 5A1, 7.000%, 12/25/33 | 660 | ||||||
1,493 | Series 2003-AR15, Class 3A1, VAR, 2.684%, 06/25/33 | 1,401 | ||||||
1,611 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 1,700 | ||||||
1,298 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 1,325 | ||||||
1,667 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 1,775 | ||||||
1,679 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 1,727 | ||||||
3,198 | Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35 | 423 | ||||||
2,263 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 316 | ||||||
992 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.714%, 02/25/20 | 1,011 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
994 | Series 2009-RS2, Class 4A1, VAR, 0.317%, 04/26/37 (e) | 939 | ||||||
564 | Series 2009-RS3, Class A1, 5.250%, | 559 | ||||||
1,592 | Series 2010-RS2, Class A1, VAR, 1.437%, 06/28/47 (e) | 1,590 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
1,556 | Series 2004-AA4, Class A1, VAR, 2.356%, 10/25/34 | 1,324 | ||||||
456 | Series 2005-AA5, Class 1A2, VAR, 2.375%, 07/25/35 | 87 | ||||||
948 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 655 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
11,960 | Series 2007-FA4, Class 1A2, IF, IO, 5.432%, 08/25/37 | 1,615 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
272 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 280 | ||||||
400 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 403 | ||||||
2,115 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 2,156 | ||||||
658 | Series 2004-AR2, Class 2A1, VAR, 2.761%, 05/25/34 | 591 | ||||||
504 | Series 2004-AR7, Class 2A1, VAR, 2.741%, 02/25/35 (m) | 473 | ||||||
685 | Series 2004-AR7, Class 2A2, VAR, 2.741%, 02/25/35 | 601 | ||||||
1,476 | Series 2005-AR1, Class 2A2, VAR, 2.750%, 04/25/35 | 1,334 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
958 | Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33 | 911 | ||||||
2,652 | Series 2003-AR2, Class 2A4, VAR, 3.217%, 12/19/33 | 2,423 | ||||||
215 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 225 | ||||||
1,478 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 1,524 | ||||||
240 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 246 | ||||||
1,469 | Series 2004-J1, Class A20, 5.500%, 04/25/34 | 1,507 | ||||||
195 | Series 2004-J2, Class A2, VAR, 0.718%, 06/25/34 | 193 | ||||||
3,506 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 3,691 | ||||||
1,406 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 1,440 | ||||||
532 | Series 2005-AR3, Class 3A3, VAR, 3.088%, 06/19/35 | 495 | ||||||
3,424 | Series 2005-AR3, Class 3A4, VAR, 3.088%, 06/19/35 | 2,721 | ||||||
582 | Series 2010-1, Class A, 4.250%, 07/25/40 (e) | 583 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
717 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 717 | ||||||
355 | Series 2004-4, Class 1AF, VAR, 0.618%, 06/25/34 (e) | 288 | ||||||
711 | Series 2005-RP2, Class 1AF, VAR, 0.568%, 03/25/35 (e) | 587 | ||||||
1,612 | Series 2005-RP3, Class 1AF, VAR, 0.568%, 09/25/35 (e) | 1,319 | ||||||
3,850 | Series 2006-RP2, Class 1AS2, IF, IO, 5.365%, 04/25/36 (e) | 549 | ||||||
GSR Mortgage Loan Trust, | ||||||||
568 | Series 2003-13, Class 1A1, VAR, 4.447%, 10/25/33 | 556 | ||||||
210 | Series 2003-6F, Class A2, VAR, 0.618%, 09/25/32 | 201 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 163 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,527 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 1,507 | ||||||
170 | Series 2004-3F, Class 3A8, 13.500%, 02/25/34 | 170 | ||||||
4,466 | Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 4,644 | ||||||
4,022 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 4,250 | ||||||
127 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 129 | ||||||
315 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 307 | ||||||
722 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 723 | ||||||
1,877 | Series 2005-5F, Class 8A3, VAR, 0.718%, 06/25/35 | 1,824 | ||||||
5,156 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 4,984 | ||||||
1,126 | Series 2006-1F, Class 1AP, PO, 02/25/36 | 921 | ||||||
8,175 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 6,592 | ||||||
3,100 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 2,906 | ||||||
622 | Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.738%, 04/25/35 | 374 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
1,513 | Series 2001-8, Class A6, 6.440%, 01/25/32 | 1,518 | ||||||
1,552 | Series 2006-1, Class 2A1, VAR, 0.568%, 05/25/36 | 1,365 | ||||||
3,420 | Series 2006-2, Class 2A1, VAR, 0.568%, 08/25/36 | 2,986 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
10,240 | Series 2005-AR11, Class A7, IO, VAR, 0.213%, 08/25/35 | 51 | ||||||
332 | Series 2006-AR3, Class 2A1A, VAR, 2.757%, 03/25/36 | 171 | ||||||
JP Morgan Mortgage Trust, | ||||||||
766 | Series 2004-A3, Class 4A1, VAR, 2.749%, 07/25/34 | 743 | ||||||
810 | Series 2004-A4, Class 1A1, VAR, 2.759%, 09/25/34 | 784 | ||||||
548 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 565 | ||||||
2,000 | Series 2005-A1, Class 3A4, VAR, 5.016%, 02/25/35 | 1,845 | ||||||
948 | Series 2005-A1, Class 5A1, VAR, 4.477%, 02/25/35 | 936 | ||||||
3,036 | Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34 | 2,871 | ||||||
4,314 | Series 2006-A2, Class 5A3, VAR, 2.903%, 11/25/33 | 4,178 | ||||||
1,030 | Series 2006-A3, Class 6A1, VAR, 2.808%, 08/25/34 | 895 | ||||||
992 | Series 2007-A1, Class 5A2, VAR, 2.907%, 07/25/35 | 896 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,254 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.285%, 08/26/35 (e) | 1,202 | ||||||
54 | Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18 | 52 | ||||||
Lehman Mortgage Trust, | ||||||||
1,264 | Series 2006-2, Class 1A1, VAR, 6.482%, 04/25/36 | 1,206 | ||||||
810 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 624 | ||||||
1,500 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,125 | ||||||
LVII Resecuritization Trust, | ||||||||
2,503 | Series 2009-2, Class A4, VAR, 3.000%, 09/27/37 (e) | 2,448 | ||||||
3,150 | Series 2009-2, Class A5, 3.000%, 09/27/37 (e) | 3,148 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
237 | Series 2004-3, Class 4A2, VAR, 2.286%, 04/25/34 | 207 | ||||||
56 | Series 2004-4, Class 2A1, VAR, 2.117%, 05/25/34 | 33 | ||||||
865 | Series 2004-13, Class 2A1, VAR, 2.770%, 04/21/34 | 812 | ||||||
3,054 | Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34 | 3,006 | ||||||
3,000 | Series 2004-13, Class 3A7, VAR, 2.729%, 11/21/34 | 2,737 | ||||||
317 | Series 2004-15, Class 3A1, VAR, 3.241%, 12/25/34 | 237 | ||||||
MASTR Alternative Loans Trust, | ||||||||
508 | Series 2003-4, Class 2A1, 6.250%, 06/25/33 | 515 | ||||||
512 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 519 | ||||||
1,205 | Series 2003-8, Class 5A1, 5.000%, 11/25/18 | 1,231 | ||||||
266 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 266 | ||||||
186 | Series 2004-1, Class 30PO, PO, 02/25/34 | 118 | ||||||
886 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 898 | ||||||
376 | Series 2004-3, Class 30PO, PO, 04/25/34 | 333 | ||||||
391 | Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34 | 66 | ||||||
438 | Series 2004-5, Class 30PO, PO, 06/25/34 | 269 | ||||||
209 | Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34 | 38 | ||||||
247 | Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34 | 42 | ||||||
2,184 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 2,167 | ||||||
203 | Series 2004-7, Class 30PO, PO, 08/25/34 | 126 | ||||||
821 | Series 2004-7, Class AX1, IO, 5.500%, 08/25/34 | 143 |
SEE NOTES TO FINANCIAL STATEMENTS.
164 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
722 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 734 | ||||||
3,329 | Series 2005-3, Class AX2, IO, 6.000%, 04/25/35 | 517 | ||||||
MASTR Asset Securitization Trust, | ||||||||
649 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 668 | ||||||
231 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 234 | ||||||
1,059 | Series 2003-3, Class 3A18, 5.500%, 04/25/33 | 1,097 | ||||||
201 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 206 | ||||||
218 | Series 2003-4, Class 5A1, 5.500%, 05/25/33 | 231 | ||||||
369 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 386 | ||||||
68 | Series 2003-8, Class 3A2, VAR, 0.618%, 09/25/33 | 68 | ||||||
440 | Series 2003-9, Class 15PO, PO, 10/25/18 | 409 | ||||||
167 | Series 2003-10, Class 15PO, PO, 11/25/18 | 155 | ||||||
108 | Series 2003-11, Class 15PO, PO, 12/25/18 | 100 | ||||||
742 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 756 | ||||||
171 | Series 2004-1, Class 30PO, PO, 02/25/34 | 137 | ||||||
185 | Series 2004-3, Class PO, PO, 03/25/34 | 158 | ||||||
504 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 514 | ||||||
963 | Series 2004-6, Class 2A9, 5.250%, 11/26/16 | 973 | ||||||
283 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 291 | ||||||
316 | Series 2004-8, Class PO, PO, 08/25/19 | 293 | ||||||
133 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 137 | ||||||
1,454 | Series 2004-P7, Class A6, 5.500%, | 1,540 | ||||||
1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 894 | ||||||
3,791 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.568%, 05/25/35 (e) | 3,023 | ||||||
3,164 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 2,152 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
360 | Series 2003-A4, Class 2A, VAR, 2.739%, 07/25/33 | 331 | ||||||
1,267 | Series 2003-A5, Class 2A6, VAR, 2.400%, 08/25/33 | 1,147 | ||||||
1,644 | Series 2004-A4, Class A2, VAR, 2.608%, 08/25/34 | 1,536 | ||||||
248 | Series 2005-A1, Class 3A, VAR, 4.866%, 12/25/34 | 219 | ||||||
Merrill Lynch Trust, | ||||||||
1 | Series 7, Class B, PO, 04/20/18 | 1 | ||||||
53 | Series 47, Class Z, 8.985%, 10/20/20 | 59 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
MLCC Mortgage Investors, Inc., | ||||||||
1,089 | Series 2003-A, Class 2A2, VAR, 1.285%, 03/25/28 | 949 | ||||||
944 | Series 2003-E, Class A1, VAR, 0.838%, 10/25/28 | 824 | ||||||
1,398 | Series 2004-1, Class 2A1, 2.138%, 12/25/34 | 1,315 | ||||||
1,243 | Series 2004-D, Class A2, VAR, 0.825%, 08/25/29 | 1,168 | ||||||
1,116 | Series 2004-E, Class A2A, VAR, 0.810%, 11/25/29 | 1,037 | ||||||
1,940 | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A, VAR, 5.651%, 04/25/34 | 1,962 | ||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,254.000%, 04/20/21 | 10 | |||||
MortgageIT Trust, | ||||||||
801 | Series 2005-1, Class 1A1, VAR, 0.538%, 02/25/35 | 617 | ||||||
310 | Series 2005-5, Class A1, VAR, 0.478%, 12/25/35 | 212 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
280 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 289 | ||||||
70 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 73 | ||||||
45 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 47 | ||||||
71 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 72 | ||||||
781 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 788 | ||||||
Prime Mortgage Trust, | ||||||||
184 | Series 2004-1, Class 2A3, 5.250%, 08/25/34 | 191 | ||||||
1,743 | Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 1,835 | ||||||
851 | Series 2005-4, Class 2PO, PO, 10/25/35 | 676 | ||||||
RBSSP Resecuritization Trust, | ||||||||
1,323 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 1,368 | ||||||
584 | Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) | 613 | ||||||
1,539 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 1,549 | ||||||
1,349 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 1,379 | ||||||
1,329 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 1,365 | ||||||
2,086 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 2,196 | ||||||
2,395 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 2,425 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 165 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,200 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 1,220 | ||||||
3,077 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 3,069 | ||||||
1,966 | Series 2010-9, Class 1A1, VAR, 0.403%, 07/26/37 (e) (f) (i) | 1,700 | ||||||
2,600 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 2,577 | ||||||
Residential Accredit Loans, Inc., | ||||||||
334 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 340 | ||||||
86 | Series 2002-QS16, Class A3, IF, 16.166%, 10/25/17 | 96 | ||||||
1,068 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 1,048 | ||||||
243 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 243 | ||||||
321 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 322 | ||||||
865 | Series 2003-QS12, Class A2A, IF, IO, 7.382%, 06/25/18 | 120 | ||||||
379 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 39 | ||||||
1,239 | Series 2003-QS13, Class A5, VAR, 0.868%, 07/25/33 | 1,076 | ||||||
7,357 | Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33 | 135 | ||||||
976 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 992 | ||||||
986 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,016 | ||||||
951 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 983 | ||||||
278 | Series 2003-QS3, Class A2, IF, 16.020%, 02/25/18 | 321 | ||||||
507 | Series 2003-QS3, Class A8, IF, IO, 7.382%, 02/25/18 | 55 | ||||||
709 | Series 2003-QS9, Class A3, IF, IO, 7.332%, 05/25/18 | 102 | ||||||
1,086 | Series 2004-QA4, Class NB3, VAR, 5.241%, 09/25/34 | 1,008 | ||||||
414 | Series 2004-QA6, Class NB2, VAR, 3.113%, 12/26/34 | 272 | ||||||
798 | Series 2004-QS10, Class A6, 6.000%, 07/25/34 | 829 | ||||||
1,489 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 1,303 | ||||||
429 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 431 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
316 | Series 2005-QA10, Class A31, VAR, 3.771%, 09/25/35 | 196 | ||||||
2,000 | Series 2005-QA6, Class A32, VAR, 5.576%, 05/25/35 | 1,079 | ||||||
668 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 418 | ||||||
Residential Asset Securitization Trust, | ||||||||
110 | Series 2002-A13, Class A4, 5.250%, 12/25/17 | 114 | ||||||
582 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 581 | ||||||
165 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 166 | ||||||
747 | Series 2003-A5, Class A1, 5.500%, 06/25/33 | 763 | ||||||
1,015 | Series 2004-IP2, Class 1A1, VAR, 2.656%, 12/25/34 | 861 | ||||||
3,771 | Series 2005-A16, Class AX, IO, 5.750%, 02/25/36 | 761 | ||||||
7,072 | Series 2005-A2, Class A4, IF, IO, 4.832%, 03/25/35 | 897 | ||||||
1,401 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 880 | ||||||
838 | Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 586 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
1,554 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,583 | ||||||
308 | Series 2003-S14, Class A4, PO, 07/25/18 | 288 | ||||||
884 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 912 | ||||||
837 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 856 | ||||||
1,739 | Series 2003-S4, Class A4, 5.750%, 03/25/33 | 1,836 | ||||||
723 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 598 | ||||||
141 | Series 2004-S6, Class 3A5, 4.500%, 06/25/19 | 141 | ||||||
908 | Series 2005-SA4, Class 1A1, VAR, 3.003%, 09/25/35 | 614 | ||||||
Residential Funding Securities LLC, | ||||||||
48 | Series 2002-RM1, Class API, PO, 12/25/17 | 40 | ||||||
77 | Series 2003-RM2, Class AP-3, PO, 05/25/33 | 63 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
1,534 | Series 2003-HYB1, Class A, VAR, 3.189%, 09/25/33 | 1,431 | ||||||
115 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 91 | ||||||
Sequoia Mortgage Trust, | ||||||||
1,832 | Series 2003-1, Class 1A, VAR, 0.593%, 04/20/33 | 1,624 | ||||||
1,238 | Series 2004-8, Class A1, VAR, 0.563%, 09/20/34 | 1,055 |
SEE NOTES TO FINANCIAL STATEMENTS.
166 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,935 | Series 2004-8, Class A2, VAR, 0.833%, 09/20/34 | 1,636 | ||||||
1,579 | Series 2004-10, Class A1A, VAR, 0.523%, 11/20/34 | 1,376 | ||||||
4,018 | Springleaf Mortgage Loan Trust, Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) | 4,015 | ||||||
6,750 | Station Place Securitization Trust, Series 2010-1, Class A, VAR, 1.213%, 12/20/42 (e) | 6,750 | ||||||
2,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.931%, 06/25/34 | 2,766 | ||||||
1,983 | Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.542%, 10/19/34 | 1,637 | ||||||
Structured Asset Securities Corp., | ||||||||
68 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 50 | ||||||
285 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 291 | ||||||
642 | Series 2003-16, Class A3, VAR, 0.718%, 06/25/33 | 611 | ||||||
53 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 53 | ||||||
711 | Series 2003-32, Class 1A1, VAR, 5.218%, 11/25/33 | 746 | ||||||
402 | Series 2003-31A, Class B1, VAR, 2.567%, 10/25/33 | 153 | ||||||
1,269 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 1,283 | ||||||
636 | Series 2003-33H, Class 1APO, PO, 10/25/33 | 486 | ||||||
1,086 | Series 2003-34A, Class 3A3, VAR, 2.558%, 11/25/33 | 1,009 | ||||||
5,201 | Series 2003-37A, Class 2A, VAR, 5.013%, 12/25/33 | 5,160 | ||||||
1,586 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m) | 1,597 | ||||||
3,252 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 3,168 | ||||||
803 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 790 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
266 | Series 2003-4, Class A1, VAR, 0.538%, 09/25/43 | 239 | ||||||
251 | Series 2004-1, Class II2A, VAR, 1.764%, 03/25/44 | 211 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
2,282 | Series 2011-NL1A, Class A1, 5.926%, 12/26/50 (e) (f) (i) | 2,283 | ||||||
2,200 | Series 2011-NL1A, Class A2, 9.077%, 12/26/50 (e) (f) (i) | 2,200 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
158 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 162 | ||||||
1,578 | Series 2003-AR7, Class A7, VAR, 2.446%, 08/25/33 | 1,488 | ||||||
1,151 | Series 2003-AR8, Class A, VAR, 2.476%, 08/25/33 | 1,085 | ||||||
4,345 | Series 2003-AR9, Class 1A6, VAR, 2.589%, 09/25/33 | 4,111 | ||||||
1,065 | Series 2003-AR9, Class 2A, VAR, 2.608%, 09/25/33 | 1,014 | ||||||
1,834 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 1,893 | ||||||
548 | Series 2003-S10, Class A5, 5.000%, 10/25/18 | 550 | ||||||
83 | Series 2003-S10, Class A6, PO, 10/25/18 | 82 | ||||||
515 | Series 2003-S11, Class 2A5, IF, 16.449%, 11/25/33 | 541 | ||||||
439 | Series 2003-S3, Class 1A4, 5.500%, 06/25/33 | 448 | ||||||
264 | Series 2003-S7, Class A1, 4.500%, 08/25/18 | 271 | ||||||
1,010 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 1,026 | ||||||
997 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,017 | ||||||
4,542 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 4,708 | ||||||
201 | Series 2003-S9, Class P, PO, 10/25/33 | 164 | ||||||
280 | Series 2004-AR3, Class A1, VAR, 2.577%, 06/25/34 | 277 | ||||||
1,901 | Series 2004-AR3, Class A2, VAR, 2.577%, 06/25/34 | 1,874 | ||||||
1,662 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 1,736 | ||||||
457 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 478 | ||||||
769 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 795 | ||||||
941 | Series 2004-S1, Class 1A3, VAR, 0.618%, 03/25/34 | 913 | ||||||
3,572 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 3,570 | ||||||
387 | Series 2006-AR10, Class 2P, VAR, 09/25/36 | 203 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
460 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 403 | ||||||
12,327 | Series 2005-2, Class 1A4, IF, IO, 4.832%, 04/25/35 | 1,491 | ||||||
1,398 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,154 | ||||||
411 | Series 2005-4, Class DP, PO, 06/25/20 | 315 | ||||||
1,644 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,327 | ||||||
15,467 | Series 2005-11, Class A4, IF, IO, 4.732%, 01/25/36 | 1,939 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
1,022 | Series 2004-RA2, Class 2A, 7.000%, 07/25/33 | 1,057 | ||||||
151 | Series 2004-RA4, Class 1P, PO, 04/25/19 | 143 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 167 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,244 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A10, 4.750%, 10/25/18 | 1,280 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
733 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 755 | ||||||
1,533 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 1,532 | ||||||
395 | Series 2003-11, Class 1APO, PO, 10/25/18 | 347 | ||||||
766 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 776 | ||||||
161 | Series 2003-14, Class 1A1, 4.750%, 12/25/18 | 166 | ||||||
1,331 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 1,374 | ||||||
393 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 401 | ||||||
11,080 | Series 2003-16, Class 2AIO, IO, VAR, 0.115%, 12/25/18 | 28 | ||||||
736 | Series 2003-17, Class APO, PO, 01/25/34 | 611 | ||||||
907 | Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33 | 868 | ||||||
249 | Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33 | 243 | ||||||
470 | Series 2004-1, Class A1102/25/34 | 388 | ||||||
391 | Series 2004-2, Class APO, PO, 01/25/19 | 364 | ||||||
319 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 326 | ||||||
1,101 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,137 | ||||||
474 | Series 2004-B, Class A1, VAR, 4.903%, 02/25/34 | 469 | ||||||
1,037 | Series 2004-BB, Class A4, VAR, 2.742%, 01/25/35 | 990 | ||||||
2,163 | Series 2004-EE, Class 2A1, VAR, 2.749%, 12/25/34 | 2,060 | ||||||
270 | Series 2004-EE, Class 2A2, VAR, 2.749%, 12/25/34 | 261 | ||||||
1,153 | Series 2004-EE, Class 3A1, VAR, 2.848%, 12/25/34 | 1,107 | ||||||
1,583 | Series 2004-I, Class 1A1, VAR, 2.832%, 07/25/34 | 1,474 | ||||||
2,309 | Series 2004-P, Class 2A1, VAR, 2.682%, 09/25/34 | 2,147 | ||||||
185 | Series 2004-Q, Class 1A3, VAR, 2.918%, 09/25/34 | 174 | ||||||
3,438 | Series 2004-U, Class A1, VAR, 2.798%, 10/25/34 | 3,236 | ||||||
1,551 | Series 2004-V, Class 1A1, VAR, 2.747%, 10/25/34 | 1,464 | ||||||
834 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 867 | ||||||
482 | Series 2005-9, Class 1APO, PO, 10/25/35 | 379 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,258 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 1,296 | ||||||
126 | Series 2005-15, Class APO, PO, 12/25/20 | 116 | ||||||
697 | Series 2005-AR16, Class 2A1, VAR, 2.759%, 10/25/35 | 634 | ||||||
1,434 | Series 2005-AR8, Class 2A1, VAR, 2.759%, 06/25/35 | 1,329 | ||||||
2,200 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 2,103 | ||||||
1,493 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 1,366 | ||||||
|
| |||||||
571,938 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 1,709,357 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 1.5% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
700 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 747 | ||||||
800 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 771 | ||||||
500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 543 | ||||||
1,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 1,084 | ||||||
2,000 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,161 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
1,000 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 1,076 | ||||||
500 | Series 2006-PW11, Class A4, VAR, 5.620%, 03/11/39 | 549 | ||||||
1,446 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 1,540 | ||||||
4,541 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 4,723 | ||||||
27,685 | GS Mortgage Securities Corp. II, Series 2006-GG8, Class X, IO, VAR, 0.856%, 11/10/39 (e) | 643 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
2,000 | Series 2003-PM1A, Class A4, VAR, 5.326%, 08/12/40 | 2,105 | ||||||
1,200 | Series 2004-CB8, Class A4, 4.404%, 01/12/39 | 1,257 | ||||||
106,077 | Series 2006-CB15, Class X1, IO, VAR, 0.115%, 06/12/43 | 733 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
1,708 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 1,790 | ||||||
66,453 | Series 2006-C1, Class XCL, IO, VAR, 0.169%, 02/15/41 (e) | 686 | ||||||
500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.863%, 05/12/39 | 552 |
SEE NOTES TO FINANCIAL STATEMENTS.
168 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
Morgan Stanley Capital I, | ||||||||
2,500 | Series 2004-HQ4, Class A7, 4.970%, 04/14/40 | 2,653 | ||||||
250 | Series 2007-T27, Class A4, VAR, 5.795%, 06/11/42 | 278 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
1,171 | Series 20, Class A, 3.000%, 07/17/56 (e) | 1,177 | ||||||
4,000 | Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) | 4,120 | ||||||
4,500 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 4,711 | ||||||
4,745 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 4,721 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
1,118 | Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 1,193 | ||||||
143,697 | Series 2006-C24, Class XC, IO, VAR, 0.080%, 03/15/45 (e) | 640 | ||||||
1,250 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 1,227 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $41,077) | 41,680 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 26.5% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
204 | ARM, 2.334%, 03/01/35 | 215 | ||||||
313 | ARM, 2.480%, 12/01/33 | 328 | ||||||
500 | ARM, 2.495%, 05/01/36 | 534 | ||||||
371 | ARM, 2.510%, 04/01/34 | 391 | ||||||
478 | ARM, 2.574%, 12/01/35 | 504 | ||||||
153 | ARM, 2.657%, 07/01/37 | 163 | ||||||
432 | ARM, 2.803%, 03/01/36 | 457 | ||||||
727 | ARM, 3.308%, 03/01/36 | 776 | ||||||
82 | ARM, 3.403%, 01/01/30 | 86 | ||||||
313 | ARM, 3.501%, 09/01/36 | 331 | ||||||
424 | ARM, 3.883%, 11/01/36 | 440 | ||||||
399 | ARM, 4.613%, 08/01/36 | 420 | ||||||
1,050 | ARM, 4.994%, 01/01/35 | 1,127 | ||||||
1,247 | ARM, 5.126%, 03/01/37 | 1,319 | ||||||
377 | ARM, 5.295%, 05/01/38 | 400 | ||||||
456 | ARM, 5.612%, 04/01/38 | 485 | ||||||
253 | ARM, 5.748%, 05/01/37 | 271 | ||||||
646 | ARM, 5.794%, 11/01/36 | 686 | ||||||
1,454 | ARM, 5.823%, 10/01/36 | 1,519 | ||||||
280 | ARM, 5.865%, 02/01/37 | 298 | ||||||
332 | ARM, 5.948%, 10/01/36 | 347 | ||||||
160 | ARM, 6.011%, 02/01/37 | 170 | ||||||
2,163 | ARM, 6.013%, 11/01/36 | 2,334 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
980 | ARM, 6.014%, 06/01/36 | 1,057 | ||||||
229 | ARM, 6.043%, 10/01/36 | 249 | ||||||
281 | ARM, 6.056%, 10/01/37 | 296 | ||||||
463 | ARM, 6.058%, 12/01/36 | 493 | ||||||
427 | ARM, 6.076%, 02/01/37 | 452 | ||||||
500 | ARM, 6.249%, 09/01/37 | 537 | ||||||
300 | ARM, 6.398%, 02/01/37 | 325 | ||||||
698 | ARM, 6.534%, 10/01/36 | 727 | ||||||
817 | ARM, 6.666%, 11/01/36 | 884 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
264 | 3.500%, 05/01/19 | 278 | ||||||
5,652 | 4.000%, 06/01/13 - 06/01/19 (m) | 5,986 | ||||||
2,359 | 4.500%, 07/01/14 - 10/01/18 | 2,462 | ||||||
393 | 5.000%, 12/01/18 | 425 | ||||||
17,487 | 5.500%, 06/01/17 - 01/01/24 | 19,054 | ||||||
3,856 | 6.000%, 06/01/17 - 03/01/22 | 4,184 | ||||||
881 | 6.500%, 01/01/13 - 03/01/22 | 959 | ||||||
412 | 7.000%, 01/01/17 - 07/01/17 | 445 | ||||||
4 | 7.500%, 10/01/14 - 12/01/15 | 4 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
5,136 | 5.500%, 04/01/27 - 03/01/28 | 5,613 | ||||||
1,141 | 6.000%, 01/01/14 - 02/01/24 | 1,264 | ||||||
2,141 | 6.500%, 05/01/22 - 01/01/28 | 2,400 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
2,122 | 4.000%, 10/01/33 | 2,220 | ||||||
9,915 | 4.500%, 05/01/41 | 10,483 | ||||||
13,157 | 5.000%, 05/01/36 - 08/01/40 | 14,188 | ||||||
4,829 | 5.500%, 10/01/33 - 07/01/35 | 5,308 | ||||||
1,128 | 6.000%, 11/01/28 - 12/01/33 | 1,261 | ||||||
8,115 | 6.500%, 05/01/24 - 03/01/38 (m) | 9,249 | ||||||
1,595 | 7.000%, 07/01/29 - 10/01/36 | 1,841 | ||||||
289 | 7.500%, 09/01/38 | 335 | ||||||
49 | 8.500%, 08/01/30 | 59 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
1,771 | 7.500%, 01/01/32 - 12/01/36 | 2,071 | ||||||
1,197 | 10.000%, 10/01/30 | 1,438 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
6,206 | 5.500%, 02/01/18 - 11/01/35 | 6,626 | ||||||
8,282 | 6.500%, 11/01/36 - 10/17/38 | 9,285 | ||||||
614 | 7.000%, 12/01/14 - 08/01/47 | 686 | ||||||
116 | 10.500%, 07/20/21 | 133 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 169 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
10 | 7.500%, 03/01/17 - 05/01/17 | 12 | ||||||
9 | 8.750%, 06/01/17 | 9 | ||||||
5 | 10.500%, 05/01/19 | 5 | ||||||
10 | 12.000%, 08/01/15 - 07/01/19 | 11 | ||||||
Federal National Mortgage Association, | ||||||||
754 | ARM, 1.583%, 08/01/34 | 769 | ||||||
325 | ARM, 1.787%, 01/01/33 | 333 | ||||||
333 | ARM, 1.921%, 02/01/35 | 349 | ||||||
620 | ARM, 1.965%, 02/01/35 | 649 | ||||||
21 | ARM, 1.970%, 03/01/19 | 21 | ||||||
3,831 | ARM, 1.981%, 01/01/35 (m) | 4,023 | ||||||
1,205 | ARM, 2.113%, 05/01/35 | 1,260 | ||||||
264 | ARM, 2.221%, 04/01/34 | 274 | ||||||
385 | ARM, 2.251%, 01/01/36 | 399 | ||||||
251 | ARM, 2.318%, 04/01/34 | 264 | ||||||
363 | ARM, 2.333%, 06/01/35 | 381 | ||||||
458 | ARM, 2.334%, 06/01/34 | 480 | ||||||
885 | ARM, 2.377%, 07/01/33 | 932 | ||||||
408 | ARM, 2.379%, 08/01/34 | 431 | ||||||
154 | ARM, 2.402%, 11/01/33 | 159 | ||||||
419 | ARM, 2.419%, 10/01/34 | 435 | ||||||
601 | ARM, 2.427%, 10/01/34 | 633 | ||||||
291 | ARM, 2.432%, 09/01/35 | 307 | ||||||
327 | ARM, 2.434%, 01/01/34 - 05/01/35 | 344 | ||||||
647 | ARM, 2.452%, 11/01/33 | 679 | ||||||
487 | ARM, 2.460%, 05/01/34 | 512 | ||||||
204 | ARM, 2.470%, 05/01/35 | 216 | ||||||
1,253 | ARM, 2.491%, 04/01/35 | 1,320 | ||||||
433 | ARM, 2.499%, 08/01/36 | 452 | ||||||
537 | ARM, 2.500%, 08/01/34 | 565 | ||||||
432 | ARM, 2.520%, 07/01/36 | 454 | ||||||
384 | ARM, 2.526%, 09/01/34 | 406 | ||||||
390 | ARM, 2.552%, 10/01/34 | 411 | ||||||
913 | ARM, 2.569%, 06/01/36 | 967 | ||||||
540 | ARM, 2.589%, 10/01/34 | 570 | ||||||
488 | ARM, 2.592%, 02/01/34 | 514 | ||||||
429 | ARM, 2.721%, 09/01/33 | 454 | ||||||
845 | ARM, 2.827%, 04/01/35 | 889 | ||||||
7,398 | ARM, 2.959%, 03/01/36 | 7,786 | ||||||
744 | ARM, 3.110%, 10/01/34 | 784 | ||||||
32 | ARM, 3.190%, 09/01/27 | 33 | ||||||
595 | ARM, 3.719%, 11/01/37 | 619 | ||||||
116 | ARM, 3.934%, 03/01/29 | 120 | ||||||
762 | ARM, 4.939%, 07/01/33 | 822 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,221 | ARM, 5.091%, 07/01/37 | 1,298 | ||||||
652 | ARM, 5.116%, 09/01/36 | 684 | ||||||
418 | ARM, 5.228%, 01/01/38 | 448 | ||||||
349 | ARM, 5.486%, 10/01/36 | 372 | ||||||
233 | ARM, 5.516%, 07/01/37 | 248 | ||||||
246 | ARM, 5.528%, 12/01/36 | 260 | ||||||
4,269 | ARM, 5.629%, 01/01/23 | 4,640 | ||||||
447 | ARM, 5.632%, 10/01/36 | 478 | ||||||
1,078 | ARM, 5.666%, 12/01/37 | 1,152 | ||||||
652 | ARM, 5.767%, 12/01/36 | 693 | ||||||
395 | ARM, 5.874%, 11/01/36 | 418 | ||||||
2,485 | ARM, 6.070%, 11/01/18 | 2,717 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
1,280 | 3.500%, 08/01/18 | 1,369 | ||||||
10,098 | 4.000%, 07/01/18 - 12/01/18 (m) | 10,759 | ||||||
4,970 | 4.500%, 07/01/18 - 09/01/20 | 5,362 | ||||||
4,343 | 5.000%, 12/01/16 - 08/01/24 | 4,702 | ||||||
8,661 | 5.500%, 11/01/18 - 11/01/23 | 9,425 | ||||||
14,969 | 6.000%, 06/01/16 - 07/01/24 | 16,282 | ||||||
2,912 | 6.500%, 09/01/13 - 02/01/24 | 3,198 | ||||||
1,640 | 7.000%, 12/01/16 - 08/01/21 | 1,801 | ||||||
91 | 7.500%, 03/01/17 - 10/01/17 | 100 | ||||||
80 | 8.000%, 11/01/12 - 01/01/16 | 84 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
8,690 | 3.500%, 12/01/30 | 8,954 | ||||||
3,284 | 5.000%, 10/01/25 | 3,581 | ||||||
1,544 | 5.500%, 02/01/23 - 08/01/23 | 1,706 | ||||||
11,177 | 6.000%, 04/01/24 - 09/01/29 | 12,395 | ||||||
2,929 | 6.500%, 06/01/16 - 12/01/27 | 3,274 | ||||||
75 | 7.500%, 09/01/21 | 87 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
86 | 6.000%, 09/01/33 | 96 | ||||||
883 | 6.500%, 02/01/29 - 03/01/29 | 1,018 | ||||||
266 | 7.000%, 10/01/28 - 02/01/33 | 309 | ||||||
83 | 8.000%, 06/01/28 | 96 | ||||||
22 | 8.500%, 03/01/30 - 06/01/30 | 25 | ||||||
366 | 9.000%, 05/01/18 - 06/01/31 | 425 | ||||||
16 | 10.000%, 07/01/19 | 16 | ||||||
15 | 10.500%, 11/01/18 | 16 | ||||||
31 | 11.000%, 04/01/19 | 36 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
4,551 | 4.000%, 08/01/33 - 04/01/34 | 4,766 |
SEE NOTES TO FINANCIAL STATEMENTS.
170 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
2,466 | 4.130%, 07/01/20 | 2,659 | ||||||
3,138 | 4.500%, 05/01/29 - 09/01/34 | 3,342 | ||||||
15,127 | 5.000%, 05/01/33 - 08/01/40 | 16,361 | ||||||
18,550 | 5.500%, 11/01/32 - 10/01/39 | 20,449 | ||||||
8,202 | 6.000%, 12/01/28 - 09/01/36 | 9,165 | ||||||
33 | 6.250%, 07/01/23 | 36 | ||||||
22,220 | 6.500%, 11/01/29 - 10/01/38 | 25,106 | ||||||
9,722 | 7.000%, 04/01/17 - 01/01/39 | 11,215 | ||||||
5,957 | 7.500%, 08/01/36 - 04/01/39 | 7,000 | ||||||
1,166 | 8.000%, 03/01/27 - 10/01/36 | 1,364 | ||||||
136 | 8.500%, 12/01/27 - 02/01/30 | 160 | ||||||
1 | 9.000%, 04/01/26 | 1 | ||||||
15 | 9.500%, 07/01/28 | 18 | ||||||
10 | 10.000%, 02/01/24 | 11 | ||||||
13 | 12.500%, 01/01/16 | 13 | ||||||
Federal National Mortgage Association, Other, | ||||||||
1,478 | 2.573%, 10/01/17 | 1,498 | ||||||
3,000 | 2.779%, 10/01/17 | 3,069 | ||||||
2,469 | 2.970%, 11/01/18 | 2,526 | ||||||
7,000 | 3.063%, 09/01/17 | 7,254 | ||||||
2,000 | 3.290%, 10/01/20 | 2,044 | ||||||
2,650 | 3.337%, 11/01/20 | 2,696 | ||||||
2,000 | 3.379%, 11/01/20 | 2,035 | ||||||
3,000 | 3.389%, 10/01/20 | 3,069 | ||||||
4,100 | 3.461%, 11/01/20 | 4,203 | ||||||
3,692 | 3.472%, 10/01/20 | 3,791 | ||||||
3,600 | 3.482%, 11/01/20 | 3,697 | ||||||
2,830 | 3.492%, 01/01/18 | 2,976 | ||||||
2,080 | 3.500%, 11/01/40 | 2,097 | ||||||
2,000 | 3.503%, 08/01/17 | 2,109 | ||||||
5,933 | 3.544%, 09/01/20 - 10/01/20 | 6,118 | ||||||
2,500 | 3.596%, 12/01/20 | 2,582 | ||||||
2,967 | 3.600%, 09/01/20 | 3,093 | ||||||
6,902 | 3.621%, 09/01/20 | 7,157 | ||||||
5,000 | 3.638%, 12/01/20 | 5,144 | ||||||
7,563 | 3.658%, 01/01/18 - 10/01/20 | 7,959 | ||||||
792 | 3.709%, 12/01/20 | 824 | ||||||
14,991 | 3.730%, 06/01/18 | 16,157 | ||||||
13,618 | 3.740%, 09/01/20 | 14,221 | ||||||
1,500 | 3.751%, 01/01/18 | 1,596 | ||||||
3,000 | 3.802%, 09/01/20 | 3,145 | ||||||
6,551 | 3.864%, 07/01/20 - 08/01/20 | 6,899 | ||||||
3,000 | 3.895%, 01/01/21 | 3,155 | ||||||
2,600 | 3.926%, 08/01/20 | 2,731 | ||||||
1,600 | 3.930%, 07/01/20 | 1,705 | ||||||
2,480 | 3.937%, 01/01/19 | 2,648 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
3,000 | 3.960%, 08/01/20 | 3,201 | ||||||
2,000 | 3.980%, 11/01/16 | 2,132 | ||||||
2,497 | 3.988%, 07/01/21 | 2,632 | ||||||
3,000 | 3.999%, 01/01/21 | 3,176 | ||||||
1,101 | 4.000%, 11/01/33 | 1,121 | ||||||
2,000 | 4.061%, 01/01/21 | 2,125 | ||||||
20,175 | 4.081%, 07/01/20 - 07/01/21 | 21,424 | ||||||
2,498 | 4.102%, 06/01/21 | 2,651 | ||||||
2,397 | 4.123%, 07/01/21 | 2,550 | ||||||
4,727 | 4.150%, 08/01/21 | 5,069 | ||||||
8,000 | 4.195%, 07/01/21 | 8,546 | ||||||
8,000 | 4.201%, 07/01/20 | 8,575 | ||||||
1,971 | 4.257%, 04/01/20 | 2,125 | ||||||
4,000 | 4.290%, 06/01/20 | 4,356 | ||||||
2,387 | 4.298%, 03/01/21 | 2,571 | ||||||
4,000 | 4.350%, 04/01/20 | 4,374 | ||||||
4,500 | 4.381%, 06/01/21 | 4,862 | ||||||
2,000 | 4.391%, 04/01/21 | 2,153 | ||||||
24,476 | 4.424%, 01/01/20 | 26,677 | ||||||
4,953 | 4.443%, 08/01/20 - 04/01/21 | 5,367 | ||||||
7,983 | 4.453%, 06/01/21 | 8,666 | ||||||
1,500 | 4.474%, 02/01/21 | 1,633 | ||||||
9,000 | 4.484%, 06/01/21 | 9,732 | ||||||
2,083 | 4.495%, 02/01/21 | 2,270 | ||||||
317 | 4.500%, 08/01/33 | 335 | ||||||
3,943 | 4.514%, 04/01/20 | 4,322 | ||||||
4,930 | 4.515%, 02/01/20 | 5,406 | ||||||
1,600 | 4.526%, 04/01/21 | 1,745 | ||||||
4,511 | 4.540%, 01/01/20 | 4,986 | ||||||
13,086 | 4.546%, 02/01/20 | 14,343 | ||||||
5,991 | 4.629%, 02/01/21 - 06/01/21 | 6,550 | ||||||
4,934 | 4.681%, 12/01/19 | 5,459 | ||||||
1,500 | 4.701%, 04/01/21 | 1,653 | ||||||
4,973 | 4.794%, 01/01/21 | 5,510 | ||||||
982 | 5.000%, 04/01/22 - 01/01/36 | 1,040 | ||||||
4,291 | 5.135%, 02/01/31 | 4,719 | ||||||
5,362 | 5.500%, 03/01/17 - 04/01/38 | 5,792 | ||||||
5,374 | 6.000%, 02/01/36 - 11/01/39 | 5,886 | ||||||
800 | 6.500%, 10/01/35 - 06/01/36 | 893 | ||||||
2,396 | 7.000%, 12/01/36 - 10/01/46 | 2,735 | ||||||
31 | 10.195%, 06/15/21 | 35 | ||||||
4 | 10.250%, 07/15/13 | 4 | ||||||
7 | 11.000%, 08/20/20 | 8 | ||||||
137 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 04/20/17 | 150 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 171 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
550 | 3.500%, 09/20/33 | 567 | ||||||
12,000 | 6.000%, 08/20/39 | 13,504 | ||||||
4,500 | 6.500%, 10/20/33 - 01/20/39 | 5,122 | ||||||
25 | 7.500%, 02/20/28 - 09/20/28 | 30 | ||||||
39 | 8.000%, 06/20/26 - 11/20/28 | 47 | ||||||
23 | 8.500%, 03/20/25 - 05/20/25 | 27 | ||||||
1,376 | Government National Mortgage Association II, Other, 6.500%, 09/20/34 | 1,559 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
329 | 6.000%, 06/15/18 | 360 | ||||||
78 | 7.000%, 09/15/14 - 10/15/16 | 83 | ||||||
60 | 7.500%, 11/15/17 | 66 | ||||||
191 | 8.000%, 01/15/16 | 205 | ||||||
Government National Mortgage Association, 20 Year, Single Family, | ||||||||
596 | 6.500%, 08/15/22 - 11/15/23 | 687 | ||||||
59 | 7.000%, 08/15/23 | 68 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
123 | 6.375%, 08/15/26 | 141 | ||||||
4,384 | 6.500%, 10/15/27 - 04/15/33 | 5,034 | ||||||
3,290 | 7.000%, 09/15/31 - 03/15/37 | 3,856 | ||||||
116 | 7.500%, 11/15/22 - 01/15/33 | 137 | ||||||
15 | 8.000%, 09/15/22 - 04/15/28 | 17 | ||||||
14 | 9.000%, 02/15/30 - 01/15/31 | 15 | ||||||
1,127 | 9.500%, 10/15/24 | 1,347 | ||||||
11 | 11.000%, 01/15/21 | 12 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 728,762 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 0.3% |
| ||||||
1,000 | Federal Home Loan Mortgage Corp., 5.500%, 08/23/17 | 1,221 | ||||||
Federal National Mortgage Association, | ||||||||
3,000 | 07/05/14 | 2,927 | ||||||
3,000 | Zero Coupon, 06/01/17 | 2,711 | ||||||
2,000 | 5.375%, 06/12/17 | 2,419 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 9,278 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 2.0% |
| ||||||
U.S. Treasury Bonds, | ||||||||
7,100 | 7.500%, 11/15/16 (m) | 9,451 | ||||||
343 | 8.125%, 08/15/19 | 508 | ||||||
350 | 8.500%, 02/15/20 | 534 | ||||||
6,032 | 8.875%, 08/15/17 | 8,705 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Treasury Notes, | ||||||||
3,500 | 3.125%, 10/31/16 | 3,873 | ||||||
4,905 | 3.125%, 04/30/17 | 5,432 | ||||||
1,737 | 3.125%, 05/15/19 | 1,919 | ||||||
7,000 | 3.250%, 12/31/16 | 7,789 | ||||||
2,000 | 3.250%, 03/31/17 | 2,229 | ||||||
2,725 | 4.750%, 08/15/17 | 3,277 | ||||||
U.S. Treasury STRIPS, | ||||||||
3,000 | 02/15/15 | 2,943 | ||||||
129 | 02/15/16 | 124 | ||||||
486 | 02/15/17 | 455 | ||||||
700 | 05/15/19 | 607 | ||||||
6,339 | 05/15/20 | 5,238 | ||||||
500 | 08/15/20 | 408 | ||||||
150 | 02/15/25 | 99 | ||||||
200 | 08/15/28 | 111 | ||||||
500 | 02/15/29 | 272 | ||||||
650 | 11/15/30 | 326 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 54,300 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 6.0% |
| ||||||
Investment Company — 6.0% | ||||||||
164,273 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 164,273 | ||||||
|
| |||||||
Total Investments — 100.7% | 2,768,928 | |||||||
Liabilities in Excess of | (18,561 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,750,367 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
172 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 8.3% |
| ||||||
5,536 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.398%, 04/25/36 | 4,534 | ||||||
5,014 | AH Mortgage Advance Trust, Series SART-1, Class A1, 2.630%, 05/10/42 (e) | 5,021 | ||||||
Ally Auto Receivables Trust, | ||||||||
4,180 | Series 2009-A, Class A3, 2.330%, | 4,213 | ||||||
6,612 | Series 2009-B, Class A3, 1.980%, | 6,661 | ||||||
4,847 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 4,874 | ||||||
2,000 | Series 2010-1, Class A4, 2.300%, 12/15/14 | 2,061 | ||||||
11,850 | Series 2010-1, Class C, 3.610%, | 12,375 | ||||||
2,000 | Series 2010-2, Class A3, 1.380%, 07/15/14 | 2,010 | ||||||
6,076 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 6,118 | ||||||
8,860 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 9,024 | ||||||
5,000 | Series 2010-5, Class A4, 1.750%, 03/15/16 | 5,117 | ||||||
8,800 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 8,898 | ||||||
2,350 | Series 2011-3, Class A3, 0.970%, 08/17/15 | 2,361 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
6,349 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 6,408 | ||||||
5,113 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 5,127 | ||||||
6,600 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 6,627 | ||||||
1,605 | Series 2010-A, Class A2, 1.460%, 11/06/13 | 1,607 | ||||||
5,565 | Series 2010-A, Class A3, 3.510%, 07/06/17 | 5,792 | ||||||
2,755 | Series 2010-B, Class A2, 1.180%, 02/06/14 | 2,759 | ||||||
2,000 | Series 2010-B, Class A3, 2.490%, 11/06/17 | 2,057 | ||||||
1,343 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 1,343 | ||||||
8,245 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 8,294 | ||||||
3,599 | Series 2011-3, Class A3, 1.170%, 01/08/16 | 3,608 | ||||||
101 | Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.343%, 08/25/32 | 65 | ||||||
12,081 | Arch Bay Asset-Backed Securities, Series 2010-1, Class A, VAR, 5.000%, 01/25/48 (e) | 12,021 | ||||||
Bank of America Auto Trust, | ||||||||
52 | Series 2008-1A, Class A3A, 4.970%, 09/20/12 (e) | 52 | ||||||
3,519 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 3,537 | ||||||
24,552 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 25,176 | ||||||
9,684 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 9,731 | ||||||
21,649 | Series 2009-2A, Class A4, 3.030%, 10/15/16 (e) | 22,207 | ||||||
5,168 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 5,192 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
4,154 | Series 2009-3A, Class A4, 2.670%, | 4,273 | ||||||
5,317 | Series 2010-1A, Class A3, 1.390%, | 5,339 | ||||||
4,120 | Series 2010-1A, Class A4, 2.180%, | 4,225 | ||||||
4,400 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 4,421 | ||||||
5,100 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 5,222 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
814 | Series 2003-SD2, Class 2A, VAR, 3.069%, 06/25/43 | 731 | ||||||
914 | Series 2006-SD1, Class A, VAR, 0.588%, 04/25/36 | 651 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
727 | Series 2007-2, Class A4A, 5.390%, 02/18/14 | 731 | ||||||
11,053 | Series 2008-1, Class A4A, 4.460%, 07/15/14 | 11,216 | ||||||
CarMax Auto Owner Trust, | ||||||||
986 | Series 2008-1, Class A4A, 4.790%, 02/15/13 | 998 | ||||||
5,722 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 5,768 | ||||||
3,926 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 3,944 | ||||||
6,895 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 7,095 | ||||||
13,250 | Series 2010-2, Class A3, 1.410%, 02/16/15 | 13,356 | ||||||
27,000 | Series 2010-3, Class A4, 1.410%, 02/16/16 | 27,328 | ||||||
3,200 | Series 2011-1, Class A3, 1.290%, 09/15/15 | 3,235 | ||||||
8,900 | Series 2011-1, Class A4, 2.160%, 09/15/16 | 9,193 | ||||||
4,703 | Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 4,329 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
18,776 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 18,968 | ||||||
5,632 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 5,645 | ||||||
5,450 | Series 2010-A, Class B, 1.650%, 11/08/13 | 5,473 | ||||||
2,500 | Citibank Credit Card Issuance Trust, Series 2008-A5, Class A5, 4.850%, 04/22/15 | 2,674 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
674 | Series 2009-1, Class A2, 1.830%, | 674 | ||||||
23,650 | Series 2009-1, Class A3, 2.590%, | 23,886 | ||||||
16,130 | Series 2009-1, Class A4, 3.150%, | 16,514 | ||||||
CNH Equipment Trust, | ||||||||
28 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 28 | ||||||
1,691 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 1,694 | ||||||
7,778 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 7,808 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 173 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,581 | Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.818%, 10/25/34 | 885 | ||||||
1,644 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.528%, 11/25/35 | 1,518 | ||||||
109 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 102 | ||||||
Daimler Chrysler Auto Trust, | ||||||||
953 | Series 2007-A, Class A4, 5.280%, 03/08/13 | 964 | ||||||
4,699 | Series 2008-A, Class A4, 4.480%, 08/08/14 | 4,742 | ||||||
1,255 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 1,367 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
137 | Series 2007-A, Class A4A, 5.470%, 06/15/12 | 137 | ||||||
774 | Series 2007-B, Class A4A, 5.240%, 07/15/12 | 777 | ||||||
23,230 | Series 2009-A, Class A4, 6.070%, 05/15/14 | 24,379 | ||||||
5,156 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 5,197 | ||||||
6,600 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 6,911 | ||||||
2,651 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 2,672 | ||||||
5,612 | Series 2009-E, Class A3, 1.510%, 01/15/14 | 5,639 | ||||||
790 | Series 2010-B, Class A3, 0.980%, 10/15/14 | 793 | ||||||
5,250 | Series 2010-B, Class A4, 1.580%, 09/15/15 | 5,351 | ||||||
5,394 | Series 2011-B, Class A3, 0.840%, 06/15/15 | 5,415 | ||||||
6,900 | Series 2011-B, Class A4, 1.350%, 12/15/16 | 6,991 | ||||||
GE Capital Credit Card Master Note Trust, | ||||||||
12,420 | Series 2009-3, Class A, 2.540%, 09/15/14 | 12,406 | ||||||
7,670 | Series 2009-4, Class A, 3.800%, 11/15/17 | 8,326 | ||||||
110 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.298%, 03/25/36 | 53 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
635 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 639 | ||||||
6,094 | Series 2007-2, Class A4, 5.120%, 08/15/13 | 6,175 | ||||||
681 | Series 2007-3, Class A4, 5.520%, 11/15/13 | 693 | ||||||
1,512 | Series 2009-1, Class A3, 3.190%, 11/15/13 | 1,521 | ||||||
7,640 | Series 2009-1, Class A4, 4.550%, 01/15/17 | 7,849 | ||||||
4,165 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 4,180 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
2,217 | Series 2008-1, Class A4, 4.880%, 09/18/14 | 2,221 | ||||||
1,497 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 1,505 | ||||||
1,340 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 1,349 | ||||||
1,430 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 1,469 | ||||||
5,016 | Series 2010-1, Class A3, 1.250%, 10/21/13 | 5,034 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
HSBC Home Equity Loan Trust, | ||||||||
10,023 | Series 2005-2, Class A1, VAR, 0.483%, 01/20/35 | 8,846 | ||||||
11,740 | Series 2005-2, Class M1, VAR, 0.673%, 01/20/35 | 10,324 | ||||||
5,447 | Series 2005-2, Class M2, VAR, 0.703%, 01/20/35 | 4,768 | ||||||
7,861 | Series 2006-1, Class A1, VAR, 0.373%, 01/20/36 | 7,349 | ||||||
8,337 | Series 2006-2, Class A1, VAR, 0.363%, 03/20/36 | 7,807 | ||||||
14,917 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 15,221 | ||||||
9,725 | Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36 | 9,702 | ||||||
9,147 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 9,198 | ||||||
6,023 | Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36 | 6,081 | ||||||
8,370 | Series 2007-3, Class APT, VAR, 1.413%, 11/20/36 | 7,466 | ||||||
9,994 | Huntington Auto Trust, Series 2009-1A, Class A3, 3.940%, 06/17/13 (e) | 10,055 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
863 | Series 2008-A, Class A3, 4.930%, 12/17/12 | 869 | ||||||
4,931 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 4,963 | ||||||
725 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 731 | ||||||
4,300 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,321 | ||||||
34,640 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 35,233 | ||||||
2,395 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 2,415 | ||||||
5,185 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 5,319 | ||||||
1,522 | Series 2011-B, Class A3, 1.040%, 09/15/15 | 1,533 | ||||||
1,422 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 1,436 | ||||||
John Deere Owner Trust, | ||||||||
460 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 462 | ||||||
2,281 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 2,289 | ||||||
466 | Mastr Asset-Backed Securities Trust, Series 2005-HE2, Class A3, VAR, 0.488%, 10/25/35 | 463 | ||||||
5,550 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 5,695 | ||||||
7,500 | Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 | 7,547 | ||||||
1,242 | Mid-State Trust, Series 6, Class A1, 7.340%, 07/01/35 | 1,277 | ||||||
11,749 | MMCA Automobile Trust, Series 2009-A, Class A3, 3.930%, 03/15/13 (e) | 11,835 |
SEE NOTES TO FINANCIAL STATEMENTS.
174 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,015 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.468%, 03/25/33 | 594 | ||||||
1,092 | MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.318%, 12/25/31 | 832 | ||||||
14,546 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.556%, 12/07/20 | 14,558 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1,063 | Series 2007-B, Class A4, 5.160%, 03/17/14 | 1,074 | ||||||
1,174 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 1,194 | ||||||
2,175 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 2,190 | ||||||
5,670 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 5,674 | ||||||
1,500 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 1,516 | ||||||
2,365 | Novastar Home Equity Loan, Series 2005-1, Class M1, VAR, 0.668%, 06/25/35 | 2,343 | ||||||
45 | Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32 | 41 | ||||||
19 | Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25 | 18 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
689 | Series 2010-2, Class A2, 0.950%, 08/15/13 | 689 | ||||||
14,170 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 14,183 | ||||||
2,440 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 2,464 | ||||||
�� | 2,803 | Series 2010-A, Class A4, 2.390%, 06/15/17 (e) | 2,872 | |||||
3,596 | Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 3,592 | ||||||
8,183 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.488%, 06/25/35 | 7,486 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
7,710 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 7,718 | ||||||
8,300 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 8,457 | ||||||
USAA Auto Owner Trust, | ||||||||
4,917 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 4,941 | ||||||
1,570 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 1,613 | ||||||
World Omni Auto Receivables Trust, | ||||||||
1,978 | Series 2007-B, Class A4, 5.390%, 05/15/13 | 2,000 | ||||||
2,292 | Series 2008-A, Class A4, 4.740%, 10/15/13 | 2,339 | ||||||
68 | Series 2008-B, Class A3A, 5.130%, 04/15/13 | 68 | ||||||
2,000 | Series 2008-B, Class A4, 5.580%, 04/15/14 | 2,059 | ||||||
1,635 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 1,645 | ||||||
3,474 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 3,484 | ||||||
11,865 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 12,112 | ||||||
|
| |||||||
Total Asset-Backed Securities | 808,510 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 10.5% |
| ||||||
Agency CMO — 6.8% |
| |||||||
Federal Home Loan Mortgage Corp. — Government National Mortgage Association, | ||||||||
1,359 | Series 31, Class Z, 8.000%, 04/25/24 | 1,560 | ||||||
190 | Series 56, Class Z, 7.500%, 09/20/26 | 219 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
15 | Series 2, Class Z, 9.300%, 03/15/19 | 17 | ||||||
8 | Series 12, Class A, 9.250%, 11/15/19 | 9 | ||||||
20 | Series 16, Class D, 10.000%, 10/15/19 | 23 | ||||||
31 | Series 17, Class I, 9.900%, 10/15/19 | 35 | ||||||
52 | Series 23, Class F, 9.600%, 04/15/20 | 58 | ||||||
20 | Series 26, Class F, 9.500%, 02/15/20 | 23 | ||||||
4 | Series 81, Class A, 8.125%, 11/15/20 | 5 | ||||||
23 | Series 85, Class C, 8.600%, 01/15/21 | 25 | ||||||
19 | Series 99, Class Z, 9.500%, 01/15/21 | 22 | ||||||
3 | Series 159, Class H, 4.500%, 09/15/21 | 3 | ||||||
5 | Series 189, Class D, 6.500%, 10/15/21 | 6 | ||||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
5 | Series 1053, Class G, 7.000%, 03/15/21 | 6 | ||||||
12 | Series 1056, Class KZ, 6.500%, 03/15/21 | 13 | ||||||
6 | Series 1074, Class H, 8.500%, 05/15/21 | 8 | ||||||
21 | Series 1082, Class C, 9.000%, 05/15/21 | 23 | ||||||
7 | Series 1087, Class I, 8.500%, 06/15/21 | 9 | ||||||
26 | Series 1125, Class Z, 8.250%, 08/15/21 | 30 | ||||||
24 | Series 1142, Class IA, 7.000%, 10/15/21 | 27 | ||||||
3 | Series 1169, Class G, 7.000%, 11/15/21 | 4 | ||||||
49 | Series 1343, Class LA, 8.000%, 08/15/22 | 59 | ||||||
11 | Series 1424, Class F, VAR, 1.888%, 11/15/22 | 11 | ||||||
241 | Series 1480, Class LZ, 7.500%, 03/15/23 | 278 | ||||||
614 | Series 1560, Class Z, 7.000%, 08/15/23 | 704 | ||||||
35 | Series 1641, Class FA, VAR, 1.200%, 12/15/13 | 35 | ||||||
161 | Series 1754, Class Z, 8.500%, 09/15/24 | 181 | ||||||
370 | Series 1779, Class Z, 8.500%, 04/15/25 | 434 | ||||||
7 | Series 1807, Class G, 9.000%, 10/15/20 | 8 | ||||||
981 | Series 1888, Class Z, 7.000%, 08/15/26 | 1,134 | ||||||
1,275 | Series 2358, Class PD, 6.000%, 09/15/16 | 1,372 | ||||||
1,692 | Series 2363, Class PF, 6.000%, 09/15/16 | 1,818 | ||||||
824 | Series 2390, Class CH, 5.500%, 12/15/16 | 885 | ||||||
1,721 | Series 2418, Class MF, 6.000%, 02/15/22 | 1,888 | ||||||
363 | Series 2425, Class JH, 6.000%, 03/15/17 | 398 | ||||||
1,360 | Series 2453, Class BD, 6.000%, 05/15/17 | 1,463 | ||||||
893 | Series 2458, Class OE, 6.000%, 06/15/17 | 966 | ||||||
652 | Series 2496, Class BK, 5.500%, 09/15/17 | 705 | ||||||
473 | Series 2503, Class TG, 5.500%, 09/15/17 | 513 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 175 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
517 | Series 2508, Class AQ, 5.500%, 10/15/17 | 561 | ||||||
2,241 | Series 2513, Class DB, 5.000%, 10/15/17 | 2,417 | ||||||
1,185 | Series 2533, Class PE, 5.500%, 12/15/21 | 1,200 | ||||||
9 | Series 2534, Class HM, 4.500%, 10/15/16 | 9 | ||||||
3,388 | Series 2561, Class UE, 5.500%, 06/15/22 | 3,547 | ||||||
264 | Series 2575, Class KA, 5.000%, 11/15/17 | 276 | ||||||
211 | Series 2583, Class TD, 4.500%, 12/15/13 | 212 | ||||||
147 | Series 2587, Class WB, 5.000%, 11/15/16 | 148 | ||||||
13,577 | Series 2600, Class MD, 5.500%, 06/15/32 | 14,418 | ||||||
1,105 | Series 2617, Class VN, 5.500%, 04/15/14 | 1,151 | ||||||
3,896 | Series 2635, Class MS, IF, IO, 7.543%, 02/15/18 | 405 | ||||||
6,900 | Series 2638, Class JG, 5.000%, 02/15/33 | 7,501 | ||||||
76 | Series 2640, Class VM, 4.500%, 12/15/21 | 77 | ||||||
2,269 | Series 2641, Class KJ, 4.000%, 01/15/18 | 2,353 | ||||||
542 | Series 2643, Class ME, 3.500%, 03/15/18 | 563 | ||||||
708 | Series 2666, Class OC, 5.500%, 01/15/22 | 737 | ||||||
90 | Series 2685, Class MX, 4.000%, 07/15/16 | 90 | ||||||
289 | Series 2755, Class PA, PO, 02/15/29 | 279 | ||||||
3,860 | Series 2761, Class CB, 4.000%, 03/15/19 | 4,145 | ||||||
3,242 | Series 2763, Class PD, 4.500%, 12/15/17 | 3,336 | ||||||
1,547 | Series 2765, Class CA, 4.000%, 07/15/17 | 1,578 | ||||||
3,500 | Series 2773, Class OB, 5.000%, 02/15/19 | 3,829 | ||||||
229 | Series 2780, Class YP, 7.500%, 08/15/18 | 239 | ||||||
209 | Series 2782, Class HE, 4.000%, 09/15/17 | 214 | ||||||
1,260 | Series 2812, Class AB, 4.500%, 10/15/18 | 1,303 | ||||||
512 | Series 2825, Class VP, 5.500%, 06/15/15 | 551 | ||||||
3,280 | Series 2836, Class PX, 4.000%, 05/15/18 | 3,407 | ||||||
4,343 | Series 2859, Class SA, IF, IO, 7.043%, 11/15/18 | 285 | ||||||
4,573 | Series 2864, Class NB, 5.500%, 07/15/33 | 5,146 | ||||||
2,336 | Series 2875, Class HA, 4.000%, 11/15/18 | 2,426 | ||||||
1,411 | Series 2924, Class DA, 4.500%, 02/15/19 | 1,463 | ||||||
494 | Series 2927, Class YN, 4.500%, 10/15/32 | 524 | ||||||
35,000 | Series 2928, Class ND, 5.000%, 10/15/30 | 36,006 | ||||||
525 | Series 2956, Class LD, 5.000%, 05/15/18 | 529 | ||||||
704 | Series 2962, Class WJ, 5.500%, 06/15/24 | 732 | ||||||
14,420 | Series 2989, Class MU, IF, IO, 6.793%, 07/15/34 | 2,374 | ||||||
20,000 | Series 2989, Class TG, 5.000%, 06/15/25 | 22,181 | ||||||
1,034 | Series 2993, Class MN, 5.000%, 06/15/23 | 1,055 | ||||||
1,398 | Series 2995, Class FT, VAR, 0.457%, 05/15/29 | 1,393 | ||||||
584 | Series 3001, Class YN, 4.500%, 06/15/33 | 612 | ||||||
3,168 | Series 3002, Class BN, 5.000%, 07/15/35 | 3,500 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
702 | Series 3005, Class PV, IF, 12.403%, 10/15/33 | 810 | ||||||
2,528 | Series 3036, Class NB, 5.000%, 01/15/29 | 2,584 | ||||||
403 | Series 3047, Class OB, 5.500%, 12/15/33 | 423 | ||||||
13,647 | Series 3080, Class TZ, 5.500%, 02/15/33 | 14,180 | ||||||
1,839 | Series 3197, Class AB, 5.500%, 08/15/13 | 1,859 | ||||||
624 | Series 3242, Class NC, 5.750%, 12/15/28 | 628 | ||||||
1,226 | Series 3242, Class PA, 5.750%, 11/15/29 | 1,245 | ||||||
39 | Series 3280, Class MA, 5.500%, 05/15/26 | 39 | ||||||
7,925 | Series 3305, Class IW, IF, IO, 6.243%, 04/15/37 | 1,142 | ||||||
1,617 | Series 3320, Class TB, 5.500%, 06/15/30 | 1,628 | ||||||
370 | Series 3329, Class JA, 6.000%, 08/15/28 | 376 | ||||||
543 | Series 3363, Class A, 5.000%, 07/15/16 | 559 | ||||||
49,385 | Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37 | 1,399 | ||||||
12,185 | Series 3429, Class S, IF, IO, 6.613%, 03/15/38 | 1,898 | ||||||
28,868 | Series 3437, Class DI, IO, 1.559%, 02/15/12 | 131 | ||||||
20,655 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 151 | ||||||
5,082 | Series 3546, Class A, VAR, 5.929%, 02/15/39 | 5,489 | ||||||
3,736 | Series 3564, Class JA, 4.000%, 01/15/18 | 3,944 | ||||||
7,591 | Series 3572, Class JS, IF, IO, 6.593%, 09/15/39 | 1,242 | ||||||
16,965 | Series 3609, Class SA, IF, IO, 6.133%, 12/15/39 | 4,002 | ||||||
53,846 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 7,925 | ||||||
19,568 | Series 3784, Class S, IF, IO, 6.393%, 07/15/23 | 2,269 | ||||||
925 | Series R008, Class FK, VAR, 0.607%, 07/15/23 | 924 | ||||||
43 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.091%, 09/25/29 | 46 | ||||||
10,971 | Federal National Mortgage Association, Series 2011-M2, Class A1, 2.019%, 07/25/21 | 11,133 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
16 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 18 | ||||||
19 | Series 1988-13, Class C, 9.300%, 05/25/18 | 22 | ||||||
14 | Series 1988-15, Class A, 9.000%, 06/25/18 | 16 | ||||||
16 | Series 1988-16, Class B, 9.500%, 06/25/18 | 18 | ||||||
13 | Series 1989-2, Class D, 8.800%, 01/25/19 | 15 | ||||||
38 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 41 | ||||||
9 | Series 1989-54, Class E, 8.400%, 08/25/19 | 11 |
SEE NOTES TO FINANCIAL STATEMENTS.
176 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
9 | Series 1989-66, Class J, 7.000%, 09/25/19 | 11 | ||||||
6 | Series 1989-70, Class G, 8.000%, 10/25/19 | 8 | ||||||
130 | Series 1989-72, Class E, 9.350%, 10/25/19 | 151 | ||||||
15 | Series 1989-89, Class H, 9.000%, 11/25/19 | 18 | ||||||
6 | Series 1989-96, Class H, 9.000%, 12/25/19 | 7 | ||||||
11 | Series 1990-7, Class B, 8.500%, 01/25/20 | 13 | ||||||
8 | Series 1990-12, Class G, 4.500%, 02/25/20 | 9 | ||||||
169 | Series 1990-19, Class G, 9.750%, 02/25/20 | 193 | ||||||
38 | Series 1990-58, Class J, 7.000%, 05/25/20 | 43 | ||||||
36 | Series 1990-61, Class H, 7.000%, 06/25/20 | 41 | ||||||
17 | Series 1990-106, Class J, 8.500%, 09/25/20 | 20 | ||||||
8 | Series 1990-109, Class J, 7.000%, 09/25/20 | 8 | ||||||
21 | Series 1990-111, Class Z, 8.750%, 09/25/20 | 23 | ||||||
9 | Series 1990-117, Class E, 8.950%, 10/25/20 | 11 | ||||||
11 | Series 1990-123, Class G, 7.000%, 10/25/20 | 13 | ||||||
11 | Series 1990-132, Class Z, 7.000%, 11/25/20 | 13 | ||||||
392 | Series 1990-137, Class X, 9.000%, 12/25/20 | 457 | ||||||
4 | Series 1991-53, Class J, 7.000%, 05/25/21 | 4 | ||||||
21 | Series 1991-130, Class C, 9.000%, 09/25/21 | 24 | ||||||
2 | Series 1992-96, Class B, PO, 05/25/22 | 2 | ||||||
2,187 | Series 1992-131, Class KB, 8.000%, 08/25/22 | 2,543 | ||||||
2,094 | Series 1992-185, Class L, 8.000%, 10/25/22 | 2,425 | ||||||
7 | Series 1993-165, Class SN, IF, 11.471%, 09/25/23 | 8 | ||||||
— | (h) | Series 1993-225, Class MC, PO, 11/25/23 | — | (h) | ||||
57 | Series 1993-235, Class G, PO, 09/25/23 | 53 | ||||||
3,838 | Series 1994-15, Class ZK, 5.500%, 02/25/24 | 4,262 | ||||||
6,376 | Series 1994-43, Class PK, 6.350%, 02/25/24 | 7,195 | ||||||
— | (h) | Series 1997-46, Class PN, 6.500%, 07/18/12 | — | (h) | ||||
2 | Series 1997-55, Class B, 7.000%, 02/18/27 | 2 | ||||||
6,674 | Series 1999-6, Class PB, 6.000%, 03/25/19 | 7,328 | ||||||
603 | Series 1999-42, Class SA, IF, IO, 7.982%, 10/25/28 | 9 | ||||||
1,520 | Series 2002-2, Class MG, 6.000%, 02/25/17 | 1,640 | ||||||
807 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 868 | ||||||
1,451 | Series 2002-28, Class LD, 6.000%, 05/25/17 | 1,562 | ||||||
837 | Series 2002-58, Class HC, 5.500%, 09/25/17 | 895 | ||||||
1,677 | Series 2002-59, Class UC, 5.500%, 09/25/17 | 1,813 | ||||||
531 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 572 | ||||||
356 | Series 2003-3, Class PD, 5.000%, 08/25/16 | 356 | ||||||
5,108 | Series 2003-5, Class SE, IF, IO, 7.432%, 08/25/22 | 372 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,436 | Series 2003-16, Class LJ, 5.000%, 03/25/18 | 2,631 | ||||||
61 | Series 2003-21, Class M, 5.000%, 02/25/17 | 61 | ||||||
16,640 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 17,248 | ||||||
1,968 | Series 2003-25, Class CS, IF, IO, 7.432%, 03/25/17 | 16 | ||||||
2,124 | Series 2003-42, Class CI, IO, 6.500%, 05/25/33 | 446 | ||||||
3,017 | Series 2003-49, Class IO, IO, 6.500%, 06/25/33 | 634 | ||||||
5,327 | Series 2003-57, Class IB, IO, 5.000%, 06/25/18 | 510 | ||||||
5,626 | Series 2003-69, Class GI, IO, 5.000%, 12/25/31 | 353 | ||||||
5,720 | Series 2003-89, Class DC, 5.000%, 12/25/32 | 6,185 | ||||||
2,947 | Series 2003-92, Class HP, 4.500%, 09/25/18 | 3,174 | ||||||
249 | Series 2003-120, Class BQ, 4.000%, 09/25/16 | 250 | ||||||
3,221 | Series 2003-129, Class ME, 5.000%, 08/25/23 | 3,530 | ||||||
6,642 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 7,252 | ||||||
4,808 | Series 2004-65, Class EJ, 5.000%, 05/25/23 | 4,970 | ||||||
1,216 | Series 2004-72, Class F, VAR, 0.718%, 09/25/34 | 1,220 | ||||||
320 | Series 2004-101, Class AR, 5.500%, 01/25/35 | 356 | ||||||
401 | Series 2005-1, Class HC, 5.000%, 09/25/28 | 405 | ||||||
14,089 | Series 2005-19, Class PA, 5.500%, 07/25/34 | 15,650 | ||||||
2,432 | Series 2005-19, Class SK, IF, IO, 6.532%, 11/25/22 | 82 | ||||||
519 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 534 | ||||||
1,188 | Series 2005-30, Class TA, 5.000%, 04/25/22 | 1,197 | ||||||
4,303 | Series 2005-38, Class FK, VAR, 0.518%, 05/25/35 | 4,292 | ||||||
484 | Series 2005-40, Class YA, 5.000%, 09/25/20 | 497 | ||||||
259 | Series 2005-48, Class OM, 5.000%, 03/25/30 | 263 | ||||||
442 | Series 2005-84, Class MB, 5.750%, 10/25/35 | 493 | ||||||
34 | Series 2005-104, Class YA, 5.500%, 10/25/19 | 34 | ||||||
5,844 | Series 2006-22, Class DV, 5.500%, 03/25/17 | 6,114 | ||||||
2,688 | Series 2006-39, Class WB, 5.500%, 10/25/30 | 2,771 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 177 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
7,534 | Series 2006-58, Class ST, IF, IO, 6.932%, 07/25/36 | 1,464 | ||||||
22,896 | Series 2006-122, Class A, 6.000%, 05/25/25 | 23,751 | ||||||
1,154 | Series 2007-16, Class FC, VAR, 0.968%, 03/25/37 | 1,150 | ||||||
2,371 | Series 2007-22, Class SC, IF, IO, 5.862%, 03/25/37 | 334 | ||||||
4,396 | Series 2007-26, Class BA, 5.500%, 05/25/29 | 4,454 | ||||||
15,791 | Series 2007-33, Class MS, IF, IO, 6.372%, 04/25/37 | 2,546 | ||||||
148 | Series 2007-47, Class PB, 5.000%, 09/25/29 | 148 | ||||||
3,585 | Series 2007-54, Class FA, VAR, 0.618%, 06/25/37 | 3,579 | ||||||
4,826 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 5,151 | ||||||
976 | Series 2007-79, Class MA, 5.500%, 12/25/28 | 983 | ||||||
17,669 | Series 2007-85, Class SH, IF, IO, 6.282%, 09/25/37 | 2,897 | ||||||
14,036 | Series 2007-95, Class A1, VAR, 0.468%, 08/27/36 | 14,028 | ||||||
3,148 | Series 2007-106, Class A7, VAR, 5.969%, 10/25/37 | 3,363 | ||||||
5,302 | Series 2008-18, Class SE, IF, IO, 6.052%, 03/25/38 | 673 | ||||||
56,404 | Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12 | 375 | ||||||
1,415 | Series 2008-72, Class IO, IO, 5.000%, 08/25/28 | 174 | ||||||
2,192 | Series 2008-77, Class VA, 6.000%, 07/25/19 | 2,463 | ||||||
12,988 | Series 2008-81, Class KA, 5.000%, 10/25/22 | 13,720 | ||||||
24,666 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 2,368 | ||||||
6,737 | Series 2009-29, Class LA, VAR, 4.453%, 05/25/39 | 6,802 | ||||||
9,356 | Series 2009-62, Class HJ, VAR, 6.000%, 05/25/39 | 10,392 | ||||||
50,207 | Series 2009-70, Class IN, IO, 4.500%, 08/25/19 | 4,207 | ||||||
8,982 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 9,901 | ||||||
70,110 | Series 2009-112, Class SW, IF, IO, 6.032%, 01/25/40 | 8,090 | ||||||
7,440 | Series 2010-9, Class PA, 4.500%, 10/25/39 | 7,615 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
8,691 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 9,562 | ||||||
15,789 | Series 2010-60, Class IO, IO, 4.000%, 06/25/20 | 1,551 | ||||||
16,593 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 17,960 | ||||||
13,091 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 14,014 | ||||||
22,113 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 23,541 | ||||||
16 | Series G-11, Class Z, 8.500%, 05/25/21 | 18 | ||||||
6 | Series G-22, Class ZT, 8.000%, 12/25/16 | 7 | ||||||
4 | Series G-41, Class PT, 7.500%, 10/25/21 | 4 | ||||||
1,048 | Series G92-19, Class M, 8.500%, 04/25/22 | 1,250 | ||||||
30 | Series G92-35, Class E, 7.500%, 07/25/22 | 33 | ||||||
940 | Series G92-35, Class EA, 8.000%, 07/25/22 | 1,159 | ||||||
15 | Series G92-40, Class ZC, 7.000%, 07/25/22 | 16 | ||||||
120 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 137 | ||||||
34 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 38 | ||||||
4,946 | Series G92-64, Class J, 8.000%, 11/25/22 | 6,098 | ||||||
2,025 | Series G92-66, Class K, 8.000%, 12/25/22 | 2,498 | ||||||
1,910 | Series G94-6, Class PJ, 8.000%, 05/17/24 | 2,190 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
— | (h) | Series 25, Class 1, 6.000%, 02/01/13 | — | (h) | ||||
92 | Series 108, Class 1, PO, 03/01/20 | 85 | ||||||
2 | Series 268, Class 2, IO, 9.000%, 02/01/23 | 1 | ||||||
1,730 | Series 334, Class 13, IO, VAR, 6.000%, 03/01/33 | 286 | ||||||
1,572 | Series 334, Class 17, IO, VAR, 6.500%, 02/01/33 | 278 | ||||||
1,918 | Series 334, Class 24, IO, VAR, 5.000%, 02/01/18 | 176 | ||||||
3,466 | Series 334, Class 9, IO, 6.000%, 03/01/33 | 797 | ||||||
11,708 | Series 343, Class 21, IO, 4.000%, 09/01/18 | 1,020 | ||||||
4,561 | Series 345, Class 22, IO, VAR, 4.500%, 05/01/20 | 391 | ||||||
2,099 | Series 351, Class 28, IO, VAR, 5.000%, 04/01/19 | 221 | ||||||
1,460 | Series 356, Class 16, IO, VAR, 5.500%, 06/01/35 | 208 | ||||||
1,490 | Series 359, Class 16, IO, VAR, 5.500%, 10/01/35 | 215 | ||||||
1,858 | Series 369, Class 19, IO, VAR, 6.000%, 10/01/36 | 280 | ||||||
1,069 | Series 369, Class 26, IO, VAR, 6.500%, 10/01/36 | 227 |
SEE NOTES TO FINANCIAL STATEMENTS.
178 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
5,568 | Series 386, Class 20, IO, VAR, 6.500%, 08/25/38 | 903 | ||||||
8,089 | Series 394, Class C3, IO, 6.500%, 09/25/38 | 1,523 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2 | Series 1995-W3, Class A, 9.000%, 04/25/25 | 3 | ||||||
14,537 | Series 2007-W1, Class 1AF1, VAR, 0.478%, 11/25/46 | 14,489 | ||||||
Government National Mortgage Association, | ||||||||
105 | Series 1997-12, Class D, 7.500%, 09/20/27 | 122 | ||||||
1,953 | Series 2004-39, Class IN, IO, 5.500%, 06/20/33 | 346 | ||||||
35,474 | Series 2006-23, Class S, IF, IO, 6.287%, 01/20/36 | 4,825 | ||||||
60,327 | Series 2006-26, Class S, IF, IO, 6.287%, 06/20/36 | 10,209 | ||||||
34,574 | Series 2007-16, Class KU, IF, IO, 6.437%, 04/20/37 | 5,057 | ||||||
10,265 | Series 2008-75, Class SP, IF, IO, 7.257%, 08/20/38 | 1,877 | ||||||
14,705 | Series 2009-14, Class KS, IF, IO, 6.087%, 03/20/39 | 1,995 | ||||||
4,035 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 741 | ||||||
35,468 | Series 2009-14, Class SA, IF, IO, 5.867%, 03/20/39 | 4,553 | ||||||
5,000 | Series 2009-45, Class PB, 4.500%, 07/16/33 | 5,491 | ||||||
41,181 | Series 2009-106, Class XL, IF, IO, 6.537%, 06/20/37 | 6,268 | ||||||
4,488 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 4,902 | ||||||
NCUA Guaranteed Notes, | ||||||||
28,908 | Series 2010-C1, Class A1, 1.600%, 10/29/20 | 29,268 | ||||||
18,830 | Series 2010-R3, Class 1A, VAR, 0.761%, 12/08/20 | 18,977 | ||||||
11,002 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 11,332 | ||||||
20 | Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21 | 24 | ||||||
|
| |||||||
665,851 | ||||||||
|
| |||||||
Non-Agency CMO — 3.7% | ||||||||
ABN Amro Mortgage Corp., | ||||||||
4,632 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 4,642 | ||||||
2,073 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 2,102 | ||||||
115 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 115 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
20,000 | American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, | 20,081 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
747 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 749 | ||||||
5,731 | Series 2004-4, Class 4A1, 4.750%, 05/25/19 | 5,916 | ||||||
119 | Series 2004-5, Class 3A5, 4.750%, 06/25/19 | 119 | ||||||
9,349 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 9,619 | ||||||
661 | Series 2004-6, Class 1A8, 5.500%, 07/25/34 | 664 | ||||||
11,723 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 11,725 | ||||||
1,031 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 1,022 | ||||||
BCAP LLC Trust, | ||||||||
6,041 | Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e) | 6,185 | ||||||
4,301 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 4,312 | ||||||
4,104 | Series 2010-RR10, Class 4A5, VAR, 4.000%, 09/26/37 (e) | 4,114 | ||||||
565 | Series 2010-RR4, Class 4A1, VAR, 0.359%, 01/26/37 (e) | 551 | ||||||
7,746 | Series 2010-RR4, Class 5A7, VAR, 0.539%, 05/26/37 (e) | 7,381 | ||||||
4,882 | Series 2010-RR6, Class 23A7, VAR, 0.428%, 06/26/37 (e) | 4,736 | ||||||
21,019 | Series 2010-RR9, Class 1A3, VAR, 4.632%, 08/28/37 (e) | 21,177 | ||||||
10,767 | Series 2011-RR2, Class 3A3, VAR, 2.931%, 11/21/35 (e) | 10,767 | ||||||
325 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.654%, 10/25/33 | 302 | ||||||
Chase Mortgage Finance Corp., | ||||||||
4,798 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 4,943 | ||||||
1,679 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 1,745 | ||||||
2,800 | Citicorp Mortgage Securities, Inc., Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 2,773 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
1,850 | Series 2003-UP3, Class A1, 7.000%, 09/25/33 | 1,928 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 179 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
5,819 | Series 2004-UST1, Class A6, VAR, 5.093%, 08/25/34 | 5,806 | ||||||
9,119 | Series 2008-AR4, Class 1A1A, VAR, 5.240%, 11/25/38 (e) | 8,996 | ||||||
167 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 | 168 | ||||||
227 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 238 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4,884 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 4,923 | ||||||
1,673 | Series 2003-J13, Class 1A5, 5.250%, 11/25/14 | 1,671 | ||||||
5,039 | Series 2003-J15, Class 3A1, 5.000%, 01/25/19 | 5,206 | ||||||
1,220 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 1,242 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
9,273 | Series 2010-1R, Class 9A1, VAR, 5.000%, 06/27/37 (e) | 9,050 | ||||||
9,282 | Series 2011-7R, Class A1, VAR, 1.471%, 08/28/47 (e) | 9,276 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
1,308 | Series 2003-17, Class 2A6, 3.500%, 07/25/18 | 1,338 | ||||||
3,855 | Series 2003-23, Class 8A1, 5.000%, 09/25/18 | 3,933 | ||||||
5,369 | Series 2004-8, Class 6A1, 4.500%, 12/25/19 | 5,530 | ||||||
985 | Series 2007-5, Class 5A5, VAR, 5.380%, 12/25/14 | 980 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
6,804 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 6,857 | ||||||
3,719 | Series 2004-7, Class 2A1, 4.750%, 12/25/19 | 3,728 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
6,709 | Series 2003-AR1, Class A4, VAR, 3.303%, 10/19/33 | 6,378 | ||||||
317 | Series 2003-J4, Class 2A1, 4.750%, 09/25/18 | 326 | ||||||
2,753 | GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19 | 2,763 | ||||||
2,832 | Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.578%, 02/25/35 | 2,289 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
JP Morgan Mortgage Trust, | ||||||||
7,711 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 7,788 | ||||||
9,224 | Series 2006-A2, Class 4A1, VAR, 2.749%, 08/25/34 | 8,724 | ||||||
11 | Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17 | 13 | ||||||
3,027 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.729%, 11/21/34 | 2,979 | ||||||
MASTR Alternative Loans Trust, | ||||||||
304 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 309 | ||||||
5,018 | Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 5,258 | ||||||
MASTR Asset Securitization Trust, | ||||||||
1,432 | Series 2002-7, Class 1A1, 5.500%, 11/25/17 | 1,482 | ||||||
3,896 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 4,011 | ||||||
2,109 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 2,153 | ||||||
5,511 | Series 2004-6, Class 6A1, 4.500%, 07/25/19 | 5,561 | ||||||
— | (h) | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.498%, 08/25/35 | — | (h) | ||||
6 | Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20 | 7 | ||||||
488 | Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18 | 502 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
1,623 | Series 2005-AR1, Class 1A1, VAR, 2.662%, 02/25/35 | 1,245 | ||||||
845 | Series 2005-AR2, Class 3A1, VAR, 0.468%, 05/25/35 | 696 | ||||||
2,518 | Series 2005-AR6, Class 4A1, VAR, 0.478%, 12/25/35 | 1,285 | ||||||
7 | Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18 | 8 | ||||||
7,383 | Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20 | 7,620 | ||||||
Residential Accredit Loans, Inc., | ||||||||
397 | Series 2003-QR24, Class A7, 4.000%, 07/25/33 | 386 | ||||||
2,849 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 2,856 |
SEE NOTES TO FINANCIAL STATEMENTS.
180 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
492 | Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31 | 489 | ||||||
4,120 | Structured Asset Securities Corp., Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 4,216 | ||||||
4,800 | WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18 | 5,021 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
6,482 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 6,659 | ||||||
5,116 | Series 2003-11, Class 2A1, 4.750%, 10/25/18 | 5,264 | ||||||
5,276 | Series 2003-12, Class A1, 4.750%, 11/25/18 | 5,435 | ||||||
6,077 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 6,235 | ||||||
552 | Series 2003-12, Class A3, 5.000%, 11/25/18 | 572 | ||||||
4,812 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 4,967 | ||||||
6,884 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 7,023 | ||||||
4,283 | Series 2003-K, Class 1A1, VAR, 4.443%, 11/25/33 | 4,098 | ||||||
68 | Series 2003-K, Class 1A2, VAR, 4.443%, 11/25/33 | 66 | ||||||
10,124 | Series 2003-M, Class A1, VAR, 4.691%, 12/25/33 | 10,147 | ||||||
5,313 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 5,429 | ||||||
2,637 | Series 2004-EE, Class 2A2, VAR, 2.749%, 12/25/34 | 2,541 | ||||||
3,519 | Series 2004-EE, Class 3A2, VAR, 2.848%, 12/25/34 | 3,421 | ||||||
6,627 | Series 2004-O, Class A1, VAR, 4.867%, 08/25/34 | 6,733 | ||||||
9,525 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 9,793 | ||||||
9,464 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 9,749 | ||||||
|
| |||||||
359,107 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 1,024,958 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 3.6% |
| ||||||
Banc of America Commercial Mortgage, Inc., | ||||||||
2,622 | Series 2004-2, Class A3, 4.050%, 11/10/38 | 2,646 | ||||||
2,609 | Series 2004-5, Class A3, 4.561%, 11/10/41 | 2,610 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
17,431 | BCRR Trust, Series 2010-LEAF, Class 36A, 4.230%, 03/22/31 (e) | 17,567 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
4,268 | Series 2002-TOP6, Class A2, 6.460%, 10/15/36 | 4,314 | ||||||
32,335 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 34,799 | ||||||
2,825 | Series 2005-PWR8, Class A4, 4.674%, 06/11/41 | 3,012 | ||||||
71 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.922%, 03/15/49 | 71 | ||||||
1,542 | Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, VAR, 5.440%, 09/15/30 (e) | 1,572 | ||||||
1,330 | Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32 | 1,381 | ||||||
3,076 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43 | 3,087 | ||||||
15,315 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.850%, 03/15/39 | 16,235 | ||||||
15,942 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 16,592 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
673 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 677 | ||||||
102 | Series 2003-C3, Class A3, 4.646%, 04/10/40 | 103 | ||||||
27,750 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 29,577 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
17,900 | Series 2004-C2, Class A3, VAR, 5.388%, 05/15/41 | 19,128 | ||||||
2,457 | Series 2004-LN2, Class A1, 4.475%, 07/15/41 | 2,474 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
15,000 | Series 2002-C2, Class A4, 5.594%, 06/15/31 | 15,262 | ||||||
15,372 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 16,107 | ||||||
222 | Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A2, 4.071%, 10/12/41 | 222 | ||||||
12,107 | Morgan Stanley, Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) | 12,167 | ||||||
Morgan Stanley Capital I, | ||||||||
4,622 | Series 1998-CF1, Class E, VAR, 7.350%, 07/15/32 | 4,713 | ||||||
2,348 | Series 2003-T11, Class A3, 4.850%, 06/13/41 | 2,354 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 181 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
26,500 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 26,512 | ||||||
9,955 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 10,421 | ||||||
19,982 | Series 2011-IO, Class A, 2.500%, | 19,882 | ||||||
1,618 | Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30 | 1,673 | ||||||
15,554 | Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36 | 15,643 | ||||||
TIAA Retail Commercial Trust, | ||||||||
8,964 | Series 2001-C1A, Class H, 5.770%, 06/19/33 (e) | 9,253 | ||||||
14,650 | Series 2001-C1A, Class J, 5.770%, | 15,217 | ||||||
18,325 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.969%, 08/15/39 | 19,885 | ||||||
8,388 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 8,952 | ||||||
14,655 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e) | 14,864 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 348,972 | |||||||
|
| |||||||
| Corporate Bonds — 16.1% |
| ||||||
Consumer Discretionary — 0.6% | ||||||||
Auto Components — 0.1% | ||||||||
Johnson Controls, Inc., | ||||||||
990 | 1.750%, 03/01/14 | 1,007 | ||||||
4,435 | 4.875%, 09/15/13 | 4,767 | ||||||
|
| |||||||
5,774 | ||||||||
|
| |||||||
Automobiles — 0.0% (g) |
| |||||||
Daimler Finance North America LLC, | ||||||||
1,000 | 5.750%, 09/08/11 | 1,001 | ||||||
3,905 | 6.500%, 11/15/13 | 4,325 | ||||||
|
| |||||||
5,326 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 0.1% |
| |||||||
5,865 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.500%, 03/01/16 | 6,137 | ||||||
|
| |||||||
Household Durables — 0.0% (g) |
| |||||||
1,700 | Emerson Electric Co., 5.000%, 12/15/14 | 1,910 | ||||||
|
| |||||||
Media — 0.3% |
| |||||||
1,363 | CBS Corp., 8.200%, 05/15/14 | 1,587 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
310 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 | 344 | ||||||
1,463 | Comcast Cable Communications LLC, 7.125%, 06/15/13 | 1,620 | ||||||
3,720 | Cox Communications, Inc., 5.450%, 12/15/14 | 4,148 | ||||||
4,950 | NBCUniversal Media LLC, 2.875%, 04/01/16 | 5,072 | ||||||
News America Holdings, Inc., | ||||||||
1,495 | 7.600%, 10/11/15 | 1,727 | ||||||
300 | 9.250%, 02/01/13 | 330 | ||||||
4,275 | TCI Communications, Inc., 8.750%, 08/01/15 | 5,219 | ||||||
Time Warner Cable, Inc., | ||||||||
3,990 | 3.500%, 02/01/15 | 4,192 | ||||||
1,400 | 6.200%, 07/01/13 | 1,523 | ||||||
875 | 7.500%, 04/01/14 | 1,000 | ||||||
1,601 | 8.250%, 02/14/14 | 1,846 | ||||||
2,000 | Viacom, Inc., 4.375%, 09/15/14 | 2,156 | ||||||
585 | Walt Disney Co. (The), 4.700%, 12/01/12 | 615 | ||||||
|
| |||||||
31,379 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (g) |
| |||||||
1,190 | Target Corp., 5.125%, 01/15/13 | 1,261 | ||||||
|
| |||||||
Specialty Retail — 0.1% |
| |||||||
2,555 | Home Depot, Inc., 5.250%, 12/16/13 | 2,782 | ||||||
2,675 | Staples, Inc., 9.750%, 01/15/14 | 3,136 | ||||||
|
| |||||||
5,918 | ||||||||
|
| |||||||
Total Consumer Discretionary | 57,705 | |||||||
|
| |||||||
Consumer Staples — 0.7% |
| |||||||
Beverages — 0.3% |
| |||||||
1,420 | Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14 | 1,439 | ||||||
480 | Bottling Group LLC, 6.950%, 03/15/14 | 553 | ||||||
Coca-Cola Co. (The), | ||||||||
1,385 | 1.500%, 11/15/15 | 1,409 | ||||||
1,773 | 1.800%, 09/01/16 (e) | 1,790 | ||||||
5,050 | 3.625%, 03/15/14 | 5,427 | ||||||
475 | Diageo Capital plc, (United Kingdom), 5.200%, 01/30/13 | 504 | ||||||
5,035 | Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13 | 5,409 | ||||||
PepsiCo, Inc., | ||||||||
2,975 | 3.750%, 03/01/14 | 3,191 | ||||||
980 | 4.650%, 02/15/13 | 1,037 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
5,325 | 5.500%, 08/15/13 (e) | 5,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
182 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Beverages — Continued |
| |||||||
1,000 | 5.700%, 01/15/14 (e) | 1,094 | ||||||
|
| |||||||
27,603 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% |
| |||||||
1,250 | CVS Caremark Corp., 3.250%, 05/18/15 | 1,319 | ||||||
4,975 | Kroger Co. (The), 7.500%, 01/15/14 | 5,687 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,900 | 2.250%, 07/08/15 | 1,982 | ||||||
695 | 4.550%, 05/01/13 | 741 | ||||||
2,780 | 7.250%, 06/01/13 | 3,097 | ||||||
|
| |||||||
12,826 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
4,570 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 4,816 | ||||||
1,835 | Cadbury Schweppes US Finance LLC, 5.125%, 10/01/13 (e) | 1,978 | ||||||
Cargill, Inc., | ||||||||
1,215 | 4.375%, 06/01/13 (e) | 1,282 | ||||||
1,385 | 5.000%, 11/15/13 (e) | 1,503 | ||||||
1,450 | 5.200%, 01/22/13 (e) | 1,535 | ||||||
General Mills, Inc., | ||||||||
3,105 | 5.250%, 08/15/13 | 3,362 | ||||||
1,770 | 5.650%, 09/10/12 | 1,854 | ||||||
710 | Kellogg Co., 4.250%, 03/06/13 | 746 | ||||||
Kraft Foods, Inc., | ||||||||
1,210 | 4.125%, 02/09/16 | 1,306 | ||||||
1,500 | 5.250%, 10/01/13 | 1,622 | ||||||
150 | 6.000%, 02/11/13 | 160 | ||||||
1,081 | 6.250%, 06/01/12 | 1,126 | ||||||
2,780 | 6.750%, 02/19/14 | 3,143 | ||||||
|
| |||||||
24,433 | ||||||||
|
| |||||||
Household Products — 0.0% (g) |
| |||||||
425 | Clorox Co., 5.000%, 01/15/15 | 449 | ||||||
|
| |||||||
Total Consumer Staples | 65,311 | |||||||
|
| |||||||
Energy — 0.4% |
| |||||||
Oil, Gas & Consumable Fuels — 0.4% |
| |||||||
Anadarko Petroleum Corp., | ||||||||
435 | 5.750%, 06/15/14 | 481 | ||||||
2,000 | 7.625%, 03/15/14 | 2,288 | ||||||
3,660 | Canadian Natural Resources Ltd., (Canada), 4.900%, 12/01/14 | 4,028 | ||||||
1,390 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 1,510 | ||||||
800 | Chevron Corp., 3.950%, 03/03/14 | 864 | ||||||
1,145 | ConocoPhillips, 4.750%, 02/01/14 | 1,252 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
3,158 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 3,400 | ||||||
3,721 | PC Financial Partnership, 5.000%, 11/15/14 | 4,083 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
2,615 | 1.875%, 03/25/13 | 2,668 | ||||||
2,452 | 3.100%, 06/28/15 | 2,606 | ||||||
5,225 | 4.000%, 03/21/14 | 5,636 | ||||||
2,400 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 2,664 | ||||||
3,237 | Total Capital S.A., (France), 3.000%, 06/24/15 | 3,413 | ||||||
|
| |||||||
Total Energy | 34,893 | |||||||
|
| |||||||
Financials — 10.2% |
| |||||||
Capital Markets — 2.3% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
2,240 | 2.950%, 06/18/15 | 2,328 | ||||||
1,870 | 3.100%, 01/15/15 | 1,973 | ||||||
6,277 | 4.300%, 05/15/14 | 6,790 | ||||||
3,300 | 4.500%, 04/01/13 | 3,489 | ||||||
6,690 | BlackRock, Inc., 3.500%, 12/10/14 | 7,153 | ||||||
5,380 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 5,904 | ||||||
Credit Suisse USA, Inc., | ||||||||
765 | 4.875%, 01/15/15 | 818 | ||||||
8,587 | 5.125%, 01/15/14 | 9,162 | ||||||
5,225 | 5.500%, 08/15/13 | 5,545 | ||||||
580 | FMR LLC, 4.750%, 03/01/13 (e) | 605 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
10,415 | 3.625%, 02/07/16 | 10,424 | ||||||
6,895 | 3.700%, 08/01/15 | 6,969 | ||||||
2,000 | 4.750%, 07/15/13 | 2,081 | ||||||
4,175 | 5.000%, 10/01/14 | 4,366 | ||||||
2,575 | 5.125%, 01/15/15 | 2,706 | ||||||
1,860 | 5.150%, 01/15/14 | 1,952 | ||||||
950 | 5.250%, 04/01/13 | 987 | ||||||
8,955 | 5.250%, 10/15/13 | 9,336 | ||||||
3,000 | 5.500%, 11/15/14 | 3,197 | ||||||
18,840 | 6.000%, 05/01/14 | 20,262 | ||||||
Jefferies Group, Inc., | ||||||||
9,275 | 3.875%, 11/09/15 | 9,426 | ||||||
2,050 | 5.875%, 06/08/14 | 2,226 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
2,225 | 3.950%, 11/10/09 (d) | 554 | ||||||
500 | 5.750%, 07/18/11 (d) | 124 | ||||||
1,062 | 6.625%, 01/18/12 (d) | 264 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 183 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued |
| |||||||
1,705 | Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e) | 1,889 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
968 | 5.000%, 01/15/15 | 972 | ||||||
3,275 | 5.300%, 09/30/15 | 3,304 | ||||||
4,376 | 5.450%, 02/05/13 | 4,490 | ||||||
4,591 | 5.450%, 07/15/14 | 4,729 | ||||||
13,651 | 6.150%, 04/25/13 | 14,200 | ||||||
Morgan Stanley, | ||||||||
1,936 | 2.875%, 07/28/14 | 1,912 | ||||||
1,600 | 4.100%, 01/26/15 | 1,592 | ||||||
11,342 | 4.200%, 11/20/14 | 11,370 | ||||||
915 | 4.750%, 04/01/14 | 928 | ||||||
8,805 | 5.300%, 03/01/13 | 9,111 | ||||||
285 | 5.625%, 01/09/12 | 289 | ||||||
13,150 | 6.000%, 05/13/14 | 13,807 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
2,345 | 4.125%, 01/19/16 | 2,404 | ||||||
8,505 | 5.000%, 03/04/15 | 8,963 | ||||||
Northern Trust Corp., | ||||||||
1,860 | 4.625%, 05/01/14 | 2,025 | ||||||
3,220 | 5.500%, 08/15/13 | 3,493 | ||||||
State Street Corp., | ||||||||
5,370 | 2.875%, 03/07/16 | 5,548 | ||||||
6,213 | 4.300%, 05/30/14 | 6,717 | ||||||
UBS AG, (Switzerland), | ||||||||
488 | 2.250%, 08/12/13 | 493 | ||||||
6,670 | 3.875%, 01/15/15 | 6,919 | ||||||
|
| |||||||
223,796 | ||||||||
|
| |||||||
Commercial Banks — 3.3% | ||||||||
500 | Abbey National Treasury Services plc, (United Kingdom), 4.000%, 04/27/16 | 478 | ||||||
1,000 | American Express Bank FSB, 5.500%, 04/16/13 | 1,061 | ||||||
1,190 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 1,203 | ||||||
1,700 | Australia & New Zealand Banking Group Ltd., (Australia), 2.125%, 01/10/14 (e) | 1,720 | ||||||
1,858 | Bank of New York Mellon Corp. (The), 2.300%, 07/28/16 | 1,890 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
5,236 | 1.650%, 10/29/15 (e) | 5,302 | ||||||
5,300 | 2.375%, 12/17/13 | 5,456 | ||||||
2,782 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e) | 2,833 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
Barclays Bank plc, (United Kingdom), | ||||||||
9,495 | 2.500%, 01/23/13 | 9,508 | ||||||
10,925 | 2.500%, 09/21/15 (e) | 11,071 | ||||||
4,450 | 3.900%, 04/07/15 | 4,457 | ||||||
2,980 | 5.200%, 07/10/14 | 3,135 | ||||||
BB&T Corp., | ||||||||
6,970 | 3.200%, 03/15/16 | 7,114 | ||||||
3,410 | 3.850%, 07/27/12 | 3,502 | ||||||
4,555 | 4.750%, 10/01/12 | 4,717 | ||||||
1,232 | 5.200%, 12/23/15 | 1,345 | ||||||
6,154 | 5.700%, 04/30/14 | 6,780 | ||||||
5,000 | BNY Mellon N.A., 4.750%, 12/15/14 | 5,428 | ||||||
3,385 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 3,484 | ||||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
2,330 | 2.350%, 12/11/15 | 2,377 | ||||||
3,000 | 2.600%, 07/02/15 (e) | 3,145 | ||||||
1,290 | Comerica, Inc., 3.000%, 09/16/15 | 1,319 | ||||||
Credit Suisse, (Switzerland), | ||||||||
9,420 | 3.500%, 03/23/15 | 9,599 | ||||||
10,114 | 5.500%, 05/01/14 | 10,905 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
8,290 | 2.375%, 01/11/13 | 8,293 | ||||||
5,500 | 3.250%, 01/11/16 | 5,521 | ||||||
3,890 | 3.875%, 08/18/14 | 4,043 | ||||||
1,445 | 4.875%, 05/20/13 | 1,504 | ||||||
600 | 5.375%, 10/12/12 | 627 | ||||||
6,640 | Deutsche Bank Financial LLC, 5.375%, 03/02/15 | 6,847 | ||||||
12,209 | DnB NOR Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 12,487 | ||||||
505 | Fifth Third Bancorp, 3.625%, 01/25/16 | 512 | ||||||
2,836 | HSBC Bank plc, (United Kingdom), 1.625%, 07/07/14 (e) | 2,870 | ||||||
4,700 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 4,857 | ||||||
1,650 | HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12 | 1,695 | ||||||
KeyBank N.A., | ||||||||
1,778 | 5.500%, 09/17/12 | 1,844 | ||||||
750 | 5.700%, 08/15/12 | 779 | ||||||
1,290 | 5.800%, 07/01/14 | 1,409 | ||||||
5,720 | KeyCorp, 6.500%, 05/14/13 | 6,149 | ||||||
1,525 | M&I Marshall & Ilsley Bank, 5.150%, 02/22/12 | 1,518 | ||||||
805 | M&T Bank Corp., 5.375%, 05/24/12 | 829 |
SEE NOTES TO FINANCIAL STATEMENTS.
184 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
500 | Manufacturers & Traders Trust Co., VAR, 1.746%, 04/01/13 | 499 | ||||||
2,128 | Mellon Funding Corp., 5.000%, 12/01/14 | 2,318 | ||||||
5,070 | National Australia Bank Ltd., (Australia), 2.500%, 01/08/13 (e) | 5,141 | ||||||
7,480 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 7,633 | ||||||
8,105 | National City Corp., 4.900%, 01/15/15 | 8,842 | ||||||
2,500 | Nordea Bank AB, (Sweden), 1.750%, 10/04/13 (e) | 2,477 | ||||||
905 | PNC Funding Corp., 3.625%, 02/08/15 | 952 | ||||||
10,000 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 10,511 | ||||||
4,130 | Royal Bank of Canada, (Canada), 2.300%, 07/20/16 | 4,189 | ||||||
5,788 | SouthTrust Corp., 5.800%, 06/15/14 | 6,259 | ||||||
3,272 | SunTrust Banks, Inc., 5.250%, 11/05/12 | 3,415 | ||||||
6,100 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 6,307 | ||||||
U.S. Bancorp, | ||||||||
1,075 | 2.450%, 07/27/15 | 1,104 | ||||||
5,938 | 2.875%, 11/20/14 | 6,180 | ||||||
1,595 | 4.200%, 05/15/14 | 1,714 | ||||||
U.S. Bank N.A., | ||||||||
5,020 | 4.950%, 10/30/14 | 5,532 | ||||||
6,202 | 6.300%, 02/04/14 | 6,924 | ||||||
Wachovia Bank N.A., | ||||||||
18,328 | 4.800%, 11/01/14 | 19,692 | ||||||
1,500 | 5.000%, 08/15/15 | 1,618 | ||||||
1,440 | 5.600%, 03/15/16 | 1,583 | ||||||
Wachovia Corp., | ||||||||
1,155 | 4.875%, 02/15/14 | 1,219 | ||||||
3,000 | 5.250%, 08/01/14 | 3,209 | ||||||
3,130 | 5.500%, 05/01/13 | 3,346 | ||||||
Wells Fargo & Co., | ||||||||
5,185 | 3.750%, 10/01/14 | 5,515 | ||||||
6,780 | 4.375%, 01/31/13 | 7,087 | ||||||
5,770 | 4.625%, 04/15/14 | 6,103 | ||||||
2,500 | 4.950%, 10/16/13 | 2,672 | ||||||
4,310 | Wells Fargo Bank N.A., 4.750%, 02/09/15 | 4,572 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
6,973 | 2.100%, 08/02/13 | 7,091 | ||||||
3,560 | 4.200%, 02/27/15 | 3,781 | ||||||
|
| |||||||
317,098 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — 1.0% |
| |||||||
6,262 | American Express Co., 7.250%, 05/20/14 | 7,149 | ||||||
American Express Credit Corp., | ||||||||
2,150 | 5.300%, 12/02/15 | 2,413 | ||||||
4,964 | 5.875%, 05/02/13 | 5,303 | ||||||
10,305 | 7.300%, 08/20/13 | 11,382 | ||||||
American Honda Finance Corp., | ||||||||
5,730 | 2.375%, 03/18/13 (e) | 5,841 | ||||||
5,940 | 4.625%, 04/02/13 (e) | 6,257 | ||||||
1,192 | Boeing Capital Corp., 5.800%, 01/15/13 | 1,276 | ||||||
2,000 | Capital One Bank USA N.A., 5.125%, 02/15/14 | 2,162 | ||||||
Capital One Financial Corp., | ||||||||
2,997 | 2.125%, 07/15/14 | 2,987 | ||||||
500 | 5.500%, 06/01/15 | 554 | ||||||
2,755 | 7.375%, 05/23/14 | 3,100 | ||||||
1,490 | FIA Card Services N.A., 7.125%, 11/15/12 | 1,535 | ||||||
HSBC Finance Corp., | ||||||||
10,100 | 4.750%, 07/15/13 | 10,511 | ||||||
15,901 | 5.000%, 06/30/15 | 16,809 | ||||||
1,625 | 5.250%, 04/15/15 | 1,726 | ||||||
3,500 | 5.900%, 06/19/12 | 3,624 | ||||||
John Deere Capital Corp., | ||||||||
995 | 1.600%, 03/03/14 | 1,011 | ||||||
1,335 | 2.950%, 03/09/15 | 1,414 | ||||||
2,450 | 4.500%, 04/03/13 | 2,596 | ||||||
325 | 4.950%, 12/17/12 | 342 | ||||||
MBNA Corp., | ||||||||
1,860 | 6.125%, 03/01/13 | 1,911 | ||||||
500 | 7.500%, 03/15/12 | 511 | ||||||
2,737 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 2,891 | ||||||
993 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 1,003 | ||||||
|
| |||||||
94,308 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% | ||||||||
3,000 | BA Covered Bond Issuer, 5.500%, | 3,092 | ||||||
Bank of America Corp., | ||||||||
715 | 3.625%, 03/17/16 | 698 | ||||||
6,005 | 4.900%, 05/01/13 | 6,150 | ||||||
975 | 5.125%, 11/15/14 | 1,017 | ||||||
2,345 | 5.375%, 09/11/12 | 2,406 | ||||||
388 | 7.125%, 10/15/11 | 390 | ||||||
15,480 | 7.375%, 05/15/14 | 16,942 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 185 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
1,190 | 3.125%, 03/10/12 | 1,206 | ||||||
3,000 | 3.200%, 03/11/16 | 3,156 | ||||||
1,870 | 3.625%, 05/08/14 | 1,972 | ||||||
4,000 | 3.875%, 03/10/15 | 4,264 | ||||||
3,015 | 5.250%, 11/07/13 | 3,262 | ||||||
4,838 | Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e) | 5,064 | ||||||
Caterpillar Financial Services Corp., | ||||||||
6,700 | 1.550%, 12/20/13 | 6,795 | ||||||
2,265 | 4.900%, 08/15/13 | 2,437 | ||||||
3,080 | 6.125%, 02/17/14 | 3,455 | ||||||
1,880 | 6.200%, 09/30/13 | 2,069 | ||||||
Citigroup, Inc., | ||||||||
14,270 | 5.500%, 04/11/13 | 14,868 | ||||||
6,000 | 5.850%, 07/02/13 | 6,274 | ||||||
21,650 | 6.000%, 12/13/13 | 22,953 | ||||||
10,065 | 6.010%, 01/15/15 | 10,808 | ||||||
6,445 | 6.375%, 08/12/14 | 7,029 | ||||||
4,428 | 6.500%, 08/19/13 | 4,711 | ||||||
1,070 | CME Group, Inc., 5.750%, 02/15/14 | 1,184 | ||||||
3,710 | ERAC USA Finance LLC, 2.750%, | 3,786 | ||||||
FUEL Trust, | ||||||||
10,086 | 3.984%, 06/15/16 (e) | 10,057 | ||||||
6,080 | 4.207%, 04/15/16 (e) | 6,113 | ||||||
General Electric Capital Corp., | ||||||||
2,335 | 2.100%, 01/07/14 | 2,367 | ||||||
12,870 | 3.500%, 06/29/15 | 13,463 | ||||||
5,000 | 3.750%, 11/14/14 | 5,268 | ||||||
2,170 | 4.375%, 09/21/15 | 2,321 | ||||||
5,000 | 4.750%, 09/15/14 | 5,421 | ||||||
5,541 | 4.875%, 03/04/15 | 6,026 | ||||||
13,757 | 5.450%, 01/15/13 | 14,532 | ||||||
11,926 | 5.500%, 06/04/14 | 13,112 | ||||||
3,225 | 5.650%, 06/09/14 | 3,505 | ||||||
14,402 | 5.900%, 05/13/14 | 15,977 | ||||||
4,365 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 4,447 | ||||||
885 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 904 | ||||||
|
| |||||||
239,501 | ||||||||
|
| |||||||
FDIC Guaranteed Securities (~) — 0.0% (g) | ||||||||
2,500 | General Electric Capital Corp., 2.625%, 12/28/12 | 2,577 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
FDIC Guaranteed Securities — Continued |
| |||||||
2,220 | Wells Fargo & Co., 3.000%, 12/09/11 | 2,236 | ||||||
|
| |||||||
4,813 | ||||||||
|
| |||||||
Insurance — 0.8% | ||||||||
5,000 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 5,513 | ||||||
1,420 | Allstate Corp. (The), 5.000%, 08/15/14 | 1,553 | ||||||
2,343 | AON Corp., 3.500%, 09/30/15 | 2,432 | ||||||
1,454 | ASIF Global Financing XIX, 4.900%, | 1,498 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
2,495 | 5.000%, 08/15/13 | 2,677 | ||||||
6,615 | 5.100%, 07/15/14 | 7,352 | ||||||
4,840 | CNA Financial Corp., 5.850%, 12/15/14 | 5,185 | ||||||
5,938 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 6,314 | ||||||
MassMutual Global Funding II, | ||||||||
1,084 | 2.300%, 09/28/15 (e) | 1,097 | ||||||
105 | 3.625%, 07/16/12 (e) | 107 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3,463 | 2.500%, 01/11/13 (e) | 3,514 | ||||||
2,701 | 2.500%, 09/29/15 (e) | 2,743 | ||||||
14,495 | 5.125%, 04/10/13 (e) | 15,312 | ||||||
1,200 | 5.200%, 09/18/13 (e) | 1,294 | ||||||
2,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 2,123 | ||||||
New York Life Global Funding, | ||||||||
2,730 | 3.000%, 05/04/15 (e) | 2,867 | ||||||
3,350 | 4.650%, 05/09/13 (e) | 3,560 | ||||||
285 | 5.250%, 10/16/12 (e) | 299 | ||||||
1,400 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) | 1,476 | ||||||
Pricoa Global Funding I, | ||||||||
500 | 4.625%, 06/25/12 (e) | 515 | ||||||
1,975 | 5.400%, 10/18/12 (e) | 2,069 | ||||||
4,220 | 5.450%, 06/11/14 (e) | 4,643 | ||||||
609 | Principal Life Global Funding I, 6.250%, 02/15/12 (e) | 624 | ||||||
Principal Life Income Funding Trusts, | ||||||||
1,110 | 5.300%, 12/14/12 | 1,169 | ||||||
4,933 | 5.300%, 04/24/13 | 5,266 | ||||||
1,380 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 1,459 | ||||||
|
| |||||||
82,661 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
2,000 | ERP Operating LP, 5.200%, 04/01/13 | 2,103 |
SEE NOTES TO FINANCIAL STATEMENTS.
186 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
5,252 | HCP, Inc., 2.700%, 02/01/14 | 5,229 | ||||||
Simon Property Group LP, | ||||||||
673 | 4.200%, 02/01/15 | 718 | ||||||
1,125 | 6.750%, 05/15/14 | 1,277 | ||||||
|
| |||||||
9,327 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||
2,150 | Countrywide Financial Corp., 5.800%, 06/07/12 | 2,190 | ||||||
1,100 | Golden West Financial Corp., 4.750%, 10/01/12 | 1,142 | ||||||
15,324 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 15,492 | ||||||
|
| |||||||
18,824 | ||||||||
|
| |||||||
Total Financials | 990,328 | |||||||
|
| |||||||
Health Care — 0.2% | ||||||||
Biotechnology — 0.0% (g) | ||||||||
2,200 | Amgen, Inc., 2.300%, 06/15/16 | 2,250 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.1% | ||||||||
Baxter International, Inc., | ||||||||
1,650 | 1.800%, 03/15/13 | 1,676 | ||||||
255 | 4.000%, 03/01/14 | 274 | ||||||
1,925 | Medtronic, Inc., 3.000%, 03/15/15 | 2,040 | ||||||
|
| |||||||
3,990 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.0% (g) | ||||||||
820 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 839 | ||||||
2,095 | UnitedHealth Group, Inc., 5.000%, 08/15/14 | 2,310 | ||||||
550 | WellPoint Health Networks, Inc., 6.375%, 01/15/12 | 561 | ||||||
215 | WellPoint, Inc., 6.000%, 02/15/14 | 240 | ||||||
|
| |||||||
3,950 | ||||||||
|
| |||||||
Pharmaceuticals — 0.1% | ||||||||
2,635 | Abbott Laboratories, 2.700%, 05/27/15 | 2,794 | ||||||
850 | Eli Lilly & Co., 3.550%, 03/06/12 | 863 | ||||||
2,000 | GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 | 2,142 | ||||||
2,525 | Merck & Co., Inc., 4.750%, 03/01/15 | 2,855 | ||||||
2,793 | Wyeth, 5.500%, 02/01/14 | 3,093 | ||||||
|
| |||||||
11,747 | ||||||||
|
| |||||||
Total Health Care | 21,937 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 0.6% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
BAE Systems Holdings, Inc., | ||||||||
1,817 | 4.950%, 06/01/14 (e) | 1,964 | ||||||
2,335 | 5.200%, 08/15/15 (e) | 2,570 | ||||||
Boeing Co. (The), | ||||||||
1,000 | 3.500%, 02/15/15 | 1,076 | ||||||
3,085 | 5.000%, 03/15/14 | 3,407 | ||||||
2,190 | 5.125%, 02/15/13 | 2,329 | ||||||
2,460 | General Dynamics Corp., 5.250%, 02/01/14 | 2,723 | ||||||
1,115 | Honeywell International, Inc., 3.875%, 02/15/14 | 1,202 | ||||||
1,000 | Northrop Grumman Corp., 3.700%, 08/01/14 | 1,069 | ||||||
|
| |||||||
16,340 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) | ||||||||
Pitney Bowes, Inc., | ||||||||
685 | 3.875%, 06/15/13 | 707 | ||||||
2,375 | 4.875%, 08/15/14 | 2,578 | ||||||
1,100 | Waste Management, Inc., 6.375%, 11/15/12 | 1,171 | ||||||
|
| |||||||
4,456 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.0% (g) | ||||||||
3,767 | General Electric Co., 5.000%, 02/01/13 | 3,970 | ||||||
1,285 | Honeywell International, Inc., 4.250%, 03/01/13 | 1,355 | ||||||
|
| |||||||
5,325 | ||||||||
|
| |||||||
Machinery — 0.1% | ||||||||
745 | Caterpillar, Inc., 7.000%, 12/15/13 | 845 | ||||||
4,323 | Danaher Corp., 1.300%, 06/23/14 | 4,387 | ||||||
1,475 | Deere & Co., 6.950%, 04/25/14 | 1,706 | ||||||
PACCAR, Inc., | ||||||||
100 | 6.375%, 02/15/12 | 103 | ||||||
1,150 | 6.875%, 02/15/14 | 1,313 | ||||||
|
| |||||||
8,354 | ||||||||
|
| |||||||
Road & Rail — 0.3% | ||||||||
Burlington Northern Santa Fe LLC, | ||||||||
5,596 | 5.900%, 07/01/12 | 5,819 | ||||||
2,000 | 7.000%, 02/01/14 | 2,282 | ||||||
Canadian National Railway Co., (Canada), | ||||||||
4,485 | 4.400%, 03/15/13 | 4,737 | ||||||
605 | 4.950%, 01/15/14 | 664 | ||||||
539 | 6.375%, 10/15/11 | 543 | ||||||
3,330 | CSX Corp., 6.300%, 03/15/12 | 3,426 | ||||||
Ryder System, Inc., | ||||||||
1,000 | 3.600%, 03/01/16 | 1,038 | ||||||
2,145 | 6.000%, 03/01/13 | 2,287 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 187 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
Union Pacific Corp., | ||||||||
1,433 | 5.125%, 02/15/14 | 1,570 | ||||||
4,235 | 5.450%, 01/31/13 | 4,508 | ||||||
|
| |||||||
26,874 | ||||||||
|
| |||||||
Total Industrials | 61,349 | |||||||
|
| |||||||
Information Technology — 0.7% | ||||||||
Communications Equipment — 0.0% (g) | ||||||||
1,230 | Cisco Systems, Inc., 5.500%, 02/22/16 | 1,424 | ||||||
|
| |||||||
Computers & Peripherals — 0.3% | ||||||||
Dell, Inc., | ||||||||
5,353 | 3.100%, 04/01/16 | 5,596 | ||||||
2,310 | 4.700%, 04/15/13 | 2,438 | ||||||
Hewlett-Packard Co., | ||||||||
770 | 2.125%, 09/13/15 | 774 | ||||||
350 | 4.500%, 03/01/13 | 367 | ||||||
2,500 | 4.750%, 06/02/14 | 2,722 | ||||||
6,905 | 6.125%, 03/01/14 | 7,616 | ||||||
International Business Machines Corp., | ||||||||
5,485 | 1.950%, 07/22/16 | 5,566 | ||||||
3,025 | 2.100%, 05/06/13 | 3,096 | ||||||
1,250 | 6.500%, 10/15/13 | 1,402 | ||||||
650 | 7.500%, 06/15/13 | 725 | ||||||
|
| |||||||
30,302 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
805 | 3.375%, 11/01/15 | 832 | ||||||
7,521 | 6.875%, 07/01/13 | 8,103 | ||||||
|
| |||||||
8,935 | ||||||||
|
| |||||||
Office Electronics — 0.1% | ||||||||
Xerox Corp., | ||||||||
3,421 | 5.650%, 05/15/13 | 3,660 | ||||||
2,505 | 8.250%, 05/15/14 | 2,898 | ||||||
|
| |||||||
6,558 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
6,197 | National Semiconductor Corp., 3.950%, 04/15/15 | 6,721 | ||||||
4,610 | Texas Instruments, Inc., 2.375%, 05/16/16 | 4,760 | ||||||
|
| |||||||
11,481 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
3,155 | Microsoft Corp., 2.950%, 06/01/14 | 3,363 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
4,025 | Oracle Corp., 3.750%, 07/08/14 | 4,362 | ||||||
|
| |||||||
7,725 | ||||||||
|
| |||||||
Total Information Technology | 66,425 | |||||||
|
| |||||||
Materials — 0.5% | ||||||||
Chemicals — 0.3% | ||||||||
845 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 885 | ||||||
Dow Chemical Co. (The), | ||||||||
4,314 | 5.900%, 02/15/15 | 4,835 | ||||||
2,469 | 7.600%, 05/15/14 | 2,846 | ||||||
EI du Pont de Nemours & Co., | ||||||||
2,856 | 1.950%, 01/15/16 | 2,910 | ||||||
3,225 | 3.250%, 01/15/15 | 3,441 | ||||||
1,708 | 5.000%, 01/15/13 | 1,804 | ||||||
3,153 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15 | 3,418 | ||||||
5,994 | PPG Industries, Inc., 5.750%, 03/15/13 | 6,410 | ||||||
Praxair, Inc., | ||||||||
2,240 | 2.125%, 06/14/13 | 2,297 | ||||||
1,920 | 3.950%, 06/01/13 | 2,032 | ||||||
830 | 4.625%, 03/30/15 | 922 | ||||||
|
| |||||||
31,800 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
695 | 4.800%, 04/15/13 | 740 | ||||||
2,443 | 5.125%, 03/29/12 | 2,507 | ||||||
950 | 6.750%, 11/01/13 | 1,064 | ||||||
4,120 | 8.500%, 12/01/12 | 4,507 | ||||||
650 | Nucor Corp., 5.000%, 06/01/13 | 696 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
1,160 | 1.875%, 11/02/15 | 1,173 | ||||||
5,325 | 8.950%, 05/01/14 | 6,387 | ||||||
|
| |||||||
17,074 | ||||||||
|
| |||||||
Total Materials | 48,874 | |||||||
|
| |||||||
Telecommunication Services — 1.1% |
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
AT&T, Inc., | ||||||||
1,875 | 4.850%, 02/15/14 | 2,029 | ||||||
11,875 | 4.950%, 01/15/13 | 12,474 | ||||||
16,135 | 6.700%, 11/15/13 | 17,957 | ||||||
7,126 | BellSouth Corp., 5.200%, 09/15/14 | 7,888 | ||||||
4,050 | British Telecommunications plc, (United Kingdom), 5.150%, 01/15/13 | 4,270 |
SEE NOTES TO FINANCIAL STATEMENTS.
188 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
3,380 | 4.875%, 07/08/14 | 3,675 | ||||||
1,000 | 5.750%, 03/23/16 | 1,136 | ||||||
550 | 5.875%, 08/20/13 | 596 | ||||||
6,510 | France Telecom S.A., (France), 4.375%, 07/08/14 | 6,963 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
1,700 | 4.950%, 09/30/14 | 1,675 | ||||||
1,450 | 6.175%, 06/18/14 | 1,463 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
500 | 3.729%, 04/27/15 | 492 | ||||||
1,121 | 3.992%, 02/16/16 | 1,098 | ||||||
1,280 | 4.949%, 01/15/15 | 1,310 | ||||||
2,110 | 5.855%, 02/04/13 | 2,179 | ||||||
Verizon Communications, Inc., | ||||||||
1,320 | 5.250%, 04/15/13 | 1,410 | ||||||
14,065 | 5.550%, 02/15/16 | 15,983 | ||||||
2,335 | Verizon Florida LLC, 6.125%, 01/15/13 | 2,488 | ||||||
3,482 | Verizon Global Funding Corp., 4.375%, 06/01/13 | 3,682 | ||||||
735 | Verizon Maryland, Inc., 6.125%, 03/01/12 | 754 | ||||||
|
| |||||||
89,522 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
15,094 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 16,600 | ||||||
4,075 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 4,399 | ||||||
|
| |||||||
20,999 | ||||||||
|
| |||||||
Total Telecommunication Services | 110,521 | |||||||
|
| |||||||
Utilities — 1.1% | ||||||||
Electric Utilities — 0.7% | ||||||||
555 | AEP Texas North Co., 5.500%, 03/01/13 | 588 | ||||||
490 | Alabama Power Co., 4.850%, 12/15/12 | 516 | ||||||
CenterPoint Energy Houston Electric LLC, | ||||||||
700 | 5.700%, 03/15/13 | 749 | ||||||
610 | 5.750%, 01/15/14 | 675 | ||||||
3,160 | 7.000%, 03/01/14 | 3,608 | ||||||
415 | Commonwealth Edison Co., 2.150%, 09/01/16 (d) | 415 | ||||||
1,645 | Duke Energy Carolinas LLC, 5.750%, 11/15/13 | 1,808 | ||||||
Duke Energy Corp., | ||||||||
1,565 | 3.350%, 04/01/15 | 1,654 | ||||||
1,095 | 3.950%, 09/15/14 | 1,175 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
5,085 | 5.650%, 06/15/13 | 5,496 | ||||||
2,133 | 6.300%, 02/01/14 | 2,376 | ||||||
537 | Duke Energy Ohio, Inc., 2.100%, 06/15/13 | 548 | ||||||
1,000 | Exelon Corp., 4.900%, 06/15/15 | 1,097 | ||||||
1,539 | Exelon Generation Co. LLC, 5.350%, 01/15/14 | 1,660 | ||||||
2,500 | FirstEnergy Corp., 6.450%, 11/15/11 | 2,525 | ||||||
2,000 | FPL Group Capital, Inc., 5.625%, 09/01/11 | 2,000 | ||||||
4,803 | Georgia Power Co., 6.000%, 11/01/13 | 5,303 | ||||||
225 | MidAmerican Energy Co., 5.125%, 01/15/13 | 238 | ||||||
Midamerican Energy Holdings Co., | ||||||||
1,025 | 3.150%, 07/15/12 | 1,047 | ||||||
1,567 | 5.875%, 10/01/12 | 1,651 | ||||||
1,239 | NextEra Energy Capital Holdings, Inc., 5.350%, 06/15/13 | 1,322 | ||||||
5,935 | Nisource Finance Corp., 6.150%, 03/01/13 | 6,321 | ||||||
1,060 | Northern States Power Co., 8.000%, 08/28/12 | 1,135 | ||||||
2,210 | Ohio Power Co., 5.750%, 09/01/13 | 2,402 | ||||||
1,650 | Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15 | 1,901 | ||||||
750 | PacifiCorp, 4.950%, 08/15/14 | 826 | ||||||
716 | Peco Energy Co., 5.000%, 10/01/14 | 796 | ||||||
295 | Progress Energy, Inc., 6.050%, 03/15/14 | 329 | ||||||
1,683 | PSEG Power LLC, 2.500%, 04/15/13 | 1,708 | ||||||
Public Service Electric & Gas Co., | ||||||||
400 | 2.700%, 05/01/15 | 424 | ||||||
1,200 | 5.000%, 08/15/14 | 1,327 | ||||||
745 | Southern California Edison Co., 4.150%, 09/15/14 | 811 | ||||||
Southern Co., | ||||||||
560 | 1.950%, 09/01/16 | 560 | ||||||
2,952 | 4.150%, 05/15/14 | 3,160 | ||||||
Spectra Energy Capital LLC, | ||||||||
4,155 | 5.668%, 08/15/14 | 4,618 | ||||||
669 | 6.250%, 02/15/13 | 712 | ||||||
Virginia Electric and Power Co., | ||||||||
1,000 | 4.750%, 03/01/13 | 1,057 | ||||||
4,460 | 5.100%, 11/30/12 | 4,695 | ||||||
|
| |||||||
69,233 | ||||||||
|
| |||||||
Gas Utilities — 0.3% | ||||||||
810 | AGL Capital Corp., 4.450%, 04/15/13 | 844 | ||||||
6,038 | Atmos Energy Corp., 4.950%, 10/15/14 | 6,656 | ||||||
CenterPoint Energy Resources Corp., | ||||||||
1,000 | 5.950%, 01/15/14 | 1,101 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 189 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Gas Utilities — Continued |
| |||||||
2,270 | 7.875%, 04/01/13 | 2,501 | ||||||
2,000 | Consolidated Natural Gas Co., 5.000%, 03/01/14 | 2,185 | ||||||
668 | Southern California Gas Co., 5.500%, 03/15/14 | 743 | ||||||
10,025 | TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13 | 10,584 | ||||||
|
| |||||||
24,614 | ||||||||
|
| |||||||
Multi-Utilities — 0.1% | ||||||||
1,515 | PG&E Corp., 5.750%, 04/01/14 | 1,672 | ||||||
Sempra Energy, | ||||||||
1,210 | 6.000%, 02/01/13 | 1,289 | ||||||
6,010 | 8.900%, 11/15/13 | 6,909 | ||||||
1,815 | Wisconsin Electric Power Co., 6.000%, 04/01/14 | 2,054 | ||||||
|
| |||||||
11,924 | ||||||||
|
| |||||||
Total Utilities | 105,771 | |||||||
|
| |||||||
Total Corporate Bonds | 1,563,114 | |||||||
|
| |||||||
| Foreign Government Securities — 0.2% |
| ||||||
247 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 254 | ||||||
Province of Ontario, (Canada), | ||||||||
8,655 | 2.700%, 06/16/15 | 9,161 | ||||||
6,530 | 2.950%, 02/05/15 | 6,954 | ||||||
1,250 | 4.100%, 06/16/14 | 1,362 | ||||||
3,420 | United Mexican States, (Mexico), 6.375%, 01/16/13 | 3,651 | ||||||
|
| |||||||
Total Foreign Government Securities | 21,382 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 8.3% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
672 | ARM, 2.281%, 06/01/36 | 708 | ||||||
103 | ARM, 2.308%, 01/01/27 | 109 | ||||||
345 | ARM, 2.334%, 03/01/35 | 363 | ||||||
139 | ARM, 2.443%, 12/01/27 | 146 | ||||||
582 | ARM, 2.582%, 07/01/36 | 616 | ||||||
7 | ARM, 2.643%, 12/01/17 | 7 | ||||||
2,262 | ARM, 2.658%, 08/01/36 | 2,373 | ||||||
1,854 | ARM, 2.761%, 08/01/36 | 1,975 | ||||||
4,469 | ARM, 2.790%, 03/01/36 | 4,751 | ||||||
8,472 | ARM, 3.308%, 03/01/36 | 9,043 | ||||||
4,909 | ARM, 3.556%, 10/01/35 | 5,174 | ||||||
6,422 | ARM, 4.183%, 03/01/35 | 6,781 | ||||||
4,872 | ARM, 4.979%, 10/01/36 | 5,172 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,247 | ARM, 5.550%, 10/01/37 | 1,336 | ||||||
315 | ARM, 5.578%, 04/01/37 | 335 | ||||||
3,870 | ARM, 5.612%, 04/01/38 | 4,117 | ||||||
3,432 | ARM, 5.644%, 01/01/38 | 3,652 | ||||||
584 | ARM, 5.698%, 08/01/37 | 621 | ||||||
1,727 | ARM, 5.712%, 03/01/37 | 1,837 | ||||||
6,428 | ARM, 5.718%, 06/01/37 | 6,848 | ||||||
3,163 | ARM, 5.748%, 05/01/37 | 3,383 | ||||||
13,334 | ARM, 5.765%, 06/01/37 | 14,201 | ||||||
1,968 | ARM, 5.794%, 11/01/36 | 2,092 | ||||||
2,651 | ARM, 5.826%, 08/01/37 | 2,832 | ||||||
3,139 | ARM, 5.892%, 12/01/36 | 3,354 | ||||||
649 | ARM, 5.989%, 08/01/36 | 706 | ||||||
1,415 | ARM, 6.011%, 02/01/37 | 1,505 | ||||||
1,683 | ARM, 6.040%, 03/01/37 | 1,793 | ||||||
5 | ARM, 6.069%, 01/01/27 | 5 | ||||||
2,555 | ARM, 6.094%, 03/01/37 | 2,710 | ||||||
2,414 | ARM, 6.163%, 04/01/37 | 2,552 | ||||||
3,787 | ARM, 6.230%, 01/01/37 | 3,998 | ||||||
1,422 | ARM, 6.233%, 12/01/36 | 1,487 | ||||||
1,051 | ARM, 6.398%, 02/01/37 | 1,136 | ||||||
1,986 | ARM, 6.454%, 12/01/36 | 2,147 | ||||||
1,306 | ARM, 6.463%, 11/01/37 | 1,405 | ||||||
1,049 | ARM, 6.649%, 08/01/37 | 1,115 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
5,526 | 4.000%, 07/01/18 - 07/01/19 | 5,884 | ||||||
2,403 | 4.500%, 04/01/16 - 10/01/18 | 2,575 | ||||||
14,964 | 5.000%, 03/01/18 - 04/01/19 | 16,174 | ||||||
23,866 | 5.500%, 11/01/12 - 10/01/23 | 26,007 | ||||||
26,046 | 6.000%, 08/01/16 - 12/01/23 | 28,295 | ||||||
5,092 | 6.500%, 07/01/14 - 04/01/17 | 5,482 | ||||||
13,594 | 7.000%, 01/01/12 - 03/01/17 | 14,667 | ||||||
— | (h) | 7.500%, 11/01/11 | — | (h) | ||||
— | (h) | 8.000%, 01/01/12 | — | (h) | ||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
3,089 | 6.000%, 01/01/19 - 10/01/24 | 3,396 | ||||||
9,659 | 6.500%, 08/01/18 - 03/01/26 | 10,829 | ||||||
33 | 7.000%, 03/01/14 | 36 | ||||||
224 | 7.500%, 10/01/16 - 07/01/18 | 254 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
1,137 | 6.000%, 09/01/17 - 07/01/32 | 1,261 | ||||||
2,176 | 7.000%, 08/01/38 | 2,501 |
SEE NOTES TO FINANCIAL STATEMENTS.
190 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
19,355 | 7.500%, 12/01/36 | 22,613 | ||||||
7,095 | 10.000%, 10/01/30 | 8,526 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
58 | 8.000%, 04/01/17 - 05/01/19 | 64 | ||||||
10 | 8.250%, 08/01/17 | 11 | ||||||
Federal National Mortgage Association, | ||||||||
54 | ARM, 1.970%, 03/01/19 | 55 | ||||||
324 | ARM, 1.981%, 01/01/35 | 340 | ||||||
653 | ARM, 2.204%, 05/01/36 | 686 | ||||||
2,148 | ARM, 2.273%, 08/01/36 | 2,256 | ||||||
169 | ARM, 2.314%, 04/01/36 | 178 | ||||||
23 | ARM, 2.365%, 06/01/27 | 25 | ||||||
21 | ARM, 2.431%, 05/01/25 | 22 | ||||||
1 | ARM, 2.470%, 10/01/27 | 1 | ||||||
528 | ARM, 2.489%, 08/01/36 | 558 | ||||||
1,967 | ARM, 2.499%, 08/01/36 | 2,053 | ||||||
1,796 | ARM, 2.623%, 09/01/34 | 1,895 | ||||||
1,976 | ARM, 2.647%, 08/01/36 | 2,082 | ||||||
1,103 | ARM,2.687%, 07/01/27 - 12/01/35 | 1,168 | ||||||
28 | ARM, 2.755%, 01/01/19 | 29 | ||||||
10 | ARM, 2.797%, 08/01/19 | 10 | ||||||
11 | ARM, 2.848%, 10/01/25 | 12 | ||||||
4,462 | ARM, 2.948%, 03/01/36 | 4,728 | ||||||
8,484 | ARM, 3.154%, 03/01/36 | 8,961 | ||||||
7,129 | ARM, 3.159%, 03/01/36 | 7,529 | ||||||
5,390 | ARM, 3.210%, 10/01/35 | 5,689 | ||||||
980 | ARM, 3.480%, 07/01/36 | 1,033 | ||||||
28 | ARM, 3.750%, 11/01/16 | 27 | ||||||
12 | ARM, 3.765%, 08/01/17 | 13 | ||||||
1,166 | ARM, 4.478%, 04/01/37 | 1,228 | ||||||
687 | ARM, 4.831%, 10/01/36 | 729 | ||||||
877 | ARM, 5.050%, 10/01/36 | 928 | ||||||
590 | ARM, 5.204%, 01/01/37 | 626 | ||||||
5,112 | ARM, 5.210%, 12/01/36 | 5,458 | ||||||
4,099 | ARM, 5.376%, 11/01/37 | 4,357 | ||||||
289 | ARM, 5.430%, 12/01/36 | 307 | ||||||
164 | ARM, 5.575%, 06/01/36 | 175 | ||||||
7,417 | ARM, 5.629%, 01/01/23 | 8,062 | ||||||
2,414 | ARM, 5.637%, 11/01/37 | 2,577 | ||||||
615 | ARM, 5.657%, 07/01/37 | 658 | ||||||
994 | ARM, 5.702%, 03/01/47 | 1,074 | ||||||
2,620 | ARM, 5.708%, 12/01/37 | 2,806 | ||||||
117 | ARM, 5.755%, 07/01/37 | 124 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
3,257 | ARM, 5.773%, 11/01/37 | 3,494 | ||||||
84 | ARM, 5.776%, 08/01/37 | 89 | ||||||
1,657 | ARM, 5.779%, 04/01/37 | 1,770 | ||||||
594 | ARM, 5.856%, 12/01/36 | 631 | ||||||
726 | ARM, 5.929%, 12/01/36 | 773 | ||||||
84 | ARM, 5.933%, 08/01/36 | 91 | ||||||
2,250 | ARM, 5.949%, 04/01/38 | 2,410 | ||||||
3,807 | ARM, 6.034%, 03/01/37 | 4,043 | ||||||
3,265 | ARM, 6.071%, 07/01/37 | 3,483 | ||||||
3,898 | ARM, 6.167%, 08/01/37 | 4,176 | ||||||
2,694 | ARM, 6.314%, 02/01/37 | 2,834 | ||||||
4,134 | ARM, 6.520%, 01/01/37 | 4,419 | ||||||
31,530 | 5.500%, 01/01/25 | 34,239 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
6,517 | 4.000%, 07/01/18 - 01/01/19 | 6,941 | ||||||
10,371 | 4.500%, 05/01/18 - 05/01/19 | 11,133 | ||||||
16,362 | 5.000%, 12/01/13 - 07/01/20 | 17,732 | ||||||
62,674 | 5.500%, 01/01/18 - 09/01/24 | 68,240 | ||||||
71,368 | 6.000%, 06/01/13 - 07/01/24 | 77,579 | ||||||
23,382 | 6.500%, 02/01/12 - 01/01/23 | 25,684 | ||||||
9,541 | 7.000%, 03/01/12 - 01/01/18 | 10,300 | ||||||
48 | 7.500%, 02/01/12 - 05/01/15 | 53 | ||||||
623 | 8.000%, 11/01/15 - 10/01/16 | 671 | ||||||
— | (h) | 8.500%, 11/01/11 | — | (h) | ||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
4,148 | 5.500%, 05/01/27 | 4,550 | ||||||
4,512 | 6.000%, 03/01/18 - 04/01/24 | 5,016 | ||||||
6,769 | 6.500%, 01/01/14 - 03/01/25 | 7,564 | ||||||
2,168 | 7.000%, 12/01/13 - 08/01/21 | 2,476 | ||||||
23 | 7.500%, 11/01/13 - 06/01/16 | 24 | ||||||
51 | 8.000%, 07/01/14 - 11/01/15 | 56 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
311 | 5.500%, 08/01/34 | 342 | ||||||
56 | 6.000%, 07/01/17 | 61 | ||||||
17 | 8.500%, 03/01/27 | 20 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
33,439 | 6.000%, 04/01/35 - 01/01/38 | 37,276 | ||||||
62,570 | 6.500%, 03/01/26 - 10/01/38 | 70,543 | ||||||
20,900 | 7.000%, 04/01/37 - 08/01/37 | 24,034 | ||||||
177 | 8.000%, 12/01/30 | 204 | ||||||
13 | 8.500%, 09/01/21 | 14 | ||||||
152 | 9.000%, 02/01/31 | 180 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 191 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
52 | 9.500%, 07/01/28 | 62 | ||||||
13 | 10.000%, 02/01/24 | 15 | ||||||
Federal National Mortgage Association, Other, | ||||||||
1,269 | 4.000%, 07/01/13 - 07/01/17 | 1,314 | ||||||
1,767 | 4.500%, 11/01/13 - 12/01/19 | 1,863 | ||||||
2,084 | 5.000%, 01/01/14 - 05/01/14 | 2,148 | ||||||
2,926 | 5.500%, 06/01/16 - 09/01/17 | 3,127 | ||||||
2,128 | 6.000%, 09/01/17 | 2,298 | ||||||
Government National Mortgage Association II, | ||||||||
117 | ARM, 2.125%, 11/20/25 | 121 | ||||||
90 | ARM, 2.375%, 05/20/17 - 01/20/28 | 93 | ||||||
19 | ARM, 2.500%, 12/20/17 - 05/20/21 | 20 | ||||||
138 | ARM, 2.625%, 08/20/16 - 09/20/22 | 144 | ||||||
59 | ARM, 3.000%, 01/20/16 - 05/20/20 | 61 | ||||||
10 | ARM, 3.500%, 10/20/17 - 12/20/17 | 11 | ||||||
24 | ARM, 4.000%, 11/20/15 - 08/20/18 | 25 | ||||||
7 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 11/20/14 | 8 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
29,896 | 7.000%, 08/20/38 - 09/20/38 | 34,820 | ||||||
22 | 7.500%, 09/20/28 | 26 | ||||||
49 | 8.000%, 09/20/26 - 12/20/27 | 58 | ||||||
65 | 8.500%, 03/20/25 - 04/20/25 | 78 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
9 | 6.000%, 04/15/14 | 10 | ||||||
6,200 | 6.500%, 10/15/23 | 6,880 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
18 | 8.500%, 04/15/25 | 22 | ||||||
11 | 9.000%, 09/15/24 - 10/15/26 | 13 | ||||||
448 | 9.500%, 07/15/20 - 12/15/25 | 532 | ||||||
26 | 12.000%, 11/15/19 | 29 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 806,342 | |||||||
|
| |||||||
| Supranational — 0.0% (g) |
| ||||||
881 | Corp. Andina de Fomento, 3.750%, 01/15/16 (Cost $888) | 899 | ||||||
|
| |||||||
| U.S. Government Agency Securities — 23.1% |
| ||||||
Federal Farm Credit Bank, | ||||||||
26,150 | 1.875%, 12/07/12 | 26,673 | ||||||
4,000 | 2.200%, 04/08/13 | 4,119 | ||||||
12,400 | 2.250%, 02/17/12 | 12,514 | ||||||
8,120 | 2.250%, 04/24/12 | 8,223 | ||||||
38,025 | 2.350%, 09/23/13 (c) (m) | 39,517 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
25,000 | 2.500%, 03/26/13 | 25,847 | ||||||
10,000 | 2.600%, 03/04/13 | 10,342 | ||||||
8,000 | 2.625%, 04/17/14 | 8,430 | ||||||
2,769 | 2.700%, 08/19/13 | 2,888 | ||||||
1,580 | 3.000%, 02/12/14 | 1,677 | ||||||
5,000 | 3.000%, 09/22/14 | 5,354 | ||||||
16,493 | 3.875%, 01/10/13 | 17,279 | ||||||
2,000 | 5.100%, 09/18/12 | 2,101 | ||||||
1,400 | 5.250%, 08/21/13 | 1,533 | ||||||
5,000 | 5.450%, 12/11/13 | 5,561 | ||||||
Federal Home Loan Bank, | ||||||||
40,515 | 1.125%, 03/09/12 | 40,713 | ||||||
42,000 | 1.125%, 05/18/12 | 42,263 | ||||||
4,800 | 1.375%, 06/08/12 | 4,841 | ||||||
34,125 | 1.625%, 06/14/13 | 34,905 | ||||||
30,785 | 1.750%, 12/14/12 | 31,344 | ||||||
85,000 | 1.875%, 06/21/13 | 87,357 | ||||||
10,000 | 2.000%, 09/14/12 | 10,180 | ||||||
2,000 | 2.250%, 03/05/12 | 2,021 | ||||||
25,865 | 2.375%, 03/14/14 | 27,110 | ||||||
15,085 | 2.500%, 06/13/14 | 15,920 | ||||||
74,350 | 2.625%, 09/13/13 | 77,733 | ||||||
18,800 | 3.000%, 06/24/13 | 19,702 | ||||||
10,000 | 3.050%, 06/28/13 | 10,463 | ||||||
2,980 | 3.125%, 03/08/13 | 3,107 | ||||||
153,715 | 3.125%, 12/13/13 | 163,148 | ||||||
21,685 | 3.125%, 03/11/16 | 23,594 | ||||||
16,230 | 3.500%, 03/08/13 | 17,016 | ||||||
18,825 | 3.875%, 03/08/13 | 19,844 | ||||||
15,895 | 4.250%, 06/14/13 | 17,001 | ||||||
10,000 | 4.500%, 09/14/12 | 10,431 | ||||||
5,000 | 4.875%, 12/14/12 | 5,290 | ||||||
10,000 | 4.875%, 11/27/13 | 10,996 | ||||||
44,470 | 4.875%, 12/13/13 | 48,933 | ||||||
2,125 | 5.000%, 03/09/12 | 2,178 | ||||||
24,980 | 5.000%, 03/14/14 | 27,766 | ||||||
20,025 | 5.250%, 09/13/13 | 21,987 | ||||||
17,575 | 5.375%, 06/14/13 | 19,149 | ||||||
29,755 | 5.375%, 06/13/14 | 33,747 | ||||||
6,670 | 7.000%, 08/15/14 | 7,924 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
30,000 | 0.750%, 12/28/12 | 30,184 | ||||||
25,000 | 1.000%, 08/28/12 | 25,183 | ||||||
20,100 | 1.000%, 07/30/14 | 20,380 | ||||||
30,000 | 1.000%, 08/27/14 | 30,410 | ||||||
20,000 | 1.750%, 06/15/12 | 20,238 |
SEE NOTES TO FINANCIAL STATEMENTS.
192 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
58,000 | 2.125%, 03/23/12 | 58,612 | ||||||
10,000 | 2.125%, 09/21/12 | 10,196 | ||||||
25,100 | 2.500%, 04/23/14 | 26,431 | ||||||
20,000 | 2.500%, 05/27/16 | 21,284 | ||||||
36,830 | 2.875%, 02/09/15 | 39,541 | ||||||
11,038 | 4.000%, 06/12/13 | 11,713 | ||||||
25,000 | 4.125%, 12/21/12 | 26,240 | ||||||
35,000 | 4.125%, 09/27/13 | 37,705 | ||||||
15,000 | 4.500%, 01/15/13 | 15,864 | ||||||
25,000 | 4.500%, 01/15/14 | 27,385 | ||||||
15,960 | 4.500%, 04/02/14 | 17,562 | ||||||
75,196 | 5.000%, 01/30/14 | 83,359 | ||||||
40,505 | 5.000%, 07/15/14 | 45,644 | ||||||
25,000 | 5.125%, 07/15/12 | 26,084 | ||||||
10,000 | 5.250%, 04/18/16 | 11,879 | ||||||
Federal National Mortgage Association, | ||||||||
5,700 | Zero Coupon, 07/05/14 | 5,562 | ||||||
40,000 | 1.000%, 04/04/12 | 40,180 | ||||||
30,000 | 1.000%, 09/23/13 | 30,361 | ||||||
18,035 | 1.550%, 10/27/15 | 18,074 | ||||||
35,000 | 1.750%, 02/22/13 | 35,726 | ||||||
10,800 | 1.875%, 04/20/12 | 10,912 | ||||||
15,000 | 2.250%, 03/15/16 | 15,780 | ||||||
5,000 | 2.500%, 05/15/14 | 5,264 | ||||||
25,000 | 3.625%, 02/12/13 | 26,175 | ||||||
3,245 | 4.000%, 03/27/13 | 3,432 | ||||||
11,310 | 4.000%, 04/15/13 | 11,983 | ||||||
6,135 | 4.050%, 04/18/13 | 6,507 | ||||||
5,000 | 4.125%, 04/29/13 | 5,314 | ||||||
7,892 | 4.125%, 07/11/13 | 8,440 | ||||||
25,000 | 4.375%, 09/15/12 | 26,066 | ||||||
17,000 | 4.375%, 03/15/13 | 18,058 | ||||||
107,600 | 4.375%, 07/17/13 | 115,592 | ||||||
40,000 | 4.625%, 10/15/13 | 43,572 | ||||||
75,750 | 4.750%, 11/19/12 | 79,862 | ||||||
87,497 | 4.750%, 02/21/13 | 93,161 | ||||||
35,750 | 4.875%, 05/18/12 | 36,851 | ||||||
10,000 | 5.000%, 04/15/15 | 11,548 | ||||||
3,315 | 5.000%, 03/15/16 | 3,892 | ||||||
6,000 | 6.260%, 11/26/12 | 6,436 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 2,253,363 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 28.5% |
| ||||||
U.S. Treasury Notes, | ||||||||
40,000 | 0.375%, 10/31/12 | 40,102 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
30,000 | 0.375%, 06/30/13 | 30,103 | ||||||
65,000 | 0.375%, 07/31/13 | 65,226 | ||||||
10,000 | 0.500%, 11/30/12 | 10,044 | ||||||
10,000 | 0.500%, 05/31/13 | 10,054 | ||||||
35,000 | 0.500%, 11/15/13 | 35,219 | ||||||
70,000 | 0.500%, 08/15/14 | 70,377 | ||||||
30,000 | 0.625%, 06/30/12 | 30,127 | ||||||
163,000 | 0.625%, 07/31/12 (m) | 163,751 | ||||||
35,000 | 0.625%, 12/31/12 | 35,215 | ||||||
30,000 | 0.625%, 01/31/13 | 30,193 | ||||||
5,000 | 0.625%, 02/28/13 | 5,033 | ||||||
15,000 | 0.625%, 04/30/13 | 15,111 | ||||||
40,000 | 0.625%, 07/15/14 | 40,366 | ||||||
73,000 | 0.750%, 05/31/12 | 73,353 | ||||||
25,000 | 0.750%, 03/31/13 | 25,224 | ||||||
20,000 | 0.750%, 08/15/13 | 20,217 | ||||||
76,000 | 0.750%, 09/15/13 | 76,831 | ||||||
152,000 | 0.875%, 02/29/12 | 152,611 | ||||||
80,000 | 1.000%, 03/31/12 | 80,428 | ||||||
40,000 | 1.000%, 04/30/12 | 40,242 | ||||||
35,000 | 1.000%, 07/15/13 | 35,527 | ||||||
40,000 | 1.000%, 05/15/14 | 40,791 | ||||||
46,000 | 1.125%, 12/15/12 | 46,568 | ||||||
170,600 | 1.125%, 06/15/13 (m) | 173,425 | ||||||
90,000 | 1.250%, 02/15/14 (m) | 92,215 | ||||||
15,000 | 1.250%, 04/15/14 | 15,389 | ||||||
20,000 | 1.250%, 08/31/15 | 20,508 | ||||||
20,000 | 1.250%, 09/30/15 | 20,486 | ||||||
122,580 | 1.375%, 02/15/12 (m) | 123,313 | ||||||
68,300 | 1.375%, 05/15/12 | 68,914 | ||||||
136,565 | 1.375%, 09/15/12 | 138,299 | ||||||
85,000 | 1.375%, 10/15/12 (m) | 86,169 | ||||||
104,680 | 1.375%, 11/15/12 | 106,213 | ||||||
15,000 | 1.375%, 01/15/13 | 15,247 | ||||||
30,000 | 1.375%, 02/15/13 | 30,521 | ||||||
72,000 | 1.375%, 03/15/13 | 73,316 | ||||||
30,000 | 1.375%, 05/15/13 | 30,606 | ||||||
30,000 | 1.500%, 06/30/16 | 30,853 | ||||||
81,620 | 1.500%, 07/31/16 | 83,890 | ||||||
78,210 | 1.750%, 08/15/12 | 79,414 | ||||||
35,000 | 1.750%, 07/31/15 | 36,572 | ||||||
75,000 | 1.750%, 05/31/16 | 78,082 | ||||||
10,000 | 1.875%, 06/15/12 | 10,139 | ||||||
5,750 | 1.875%, 04/30/14 | 5,994 | ||||||
20,000 | 1.875%, 06/30/15 | 20,989 | ||||||
40,000 | 2.000%, 04/30/16 | 42,141 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 193 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
25,000 | 2.125%, 12/31/15 | 26,498 | ||||||
75,000 | 2.125%, 02/29/16 | 79,482 | ||||||
30,250 | 2.250%, 01/31/15 | 32,093 | ||||||
20,230 | 2.250%, 03/31/16 | 21,555 | ||||||
10,000 | 2.375%, 10/31/14 | 10,627 | ||||||
29,770 | 2.375%, 03/31/16 | 31,870 | ||||||
15,000 | 2.500%, 04/30/15 | 16,078 | ||||||
4,300 | 3.125%, 09/30/13 | 4,561 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,778,172 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 0.9% |
| ||||||
Investment Company — 0.9% | ||||||||
84,065 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.010% (b) (l) | 84,065 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% (g) |
| ||||||
Investment Company — 0.0% (g) | ||||||||
2,141 | JPMorgan Prime Money Market Fund, Capital Shares, 0.100% (b) (l) | 2,141 | ||||||
|
| |||||||
Total Investments — 99.5% | 9,691,918 | |||||||
Other Assets in Excess of | 46,006 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 9,737,924 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
194 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 7.3% |
| ||||||
Ally Auto Receivables Trust, | ||||||||
275 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 276 | ||||||
89 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 91 | ||||||
137 | Series 2011-3, Class A3, 0.970%, 08/17/15 | 138 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
82 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 83 | ||||||
185 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 186 | ||||||
90 | Series 2011-3, Class A3, 1.170%, 01/08/16 | 90 | ||||||
Bank of America Auto Trust, | ||||||||
77 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 78 | ||||||
100 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 102 | ||||||
99 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 100 | ||||||
CarMax Auto Owner Trust, | ||||||||
132 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 133 | ||||||
60 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 60 | ||||||
202 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 208 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
97 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 98 | ||||||
196 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 197 | ||||||
13 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 13 | ||||||
CNH Equipment Trust, | ||||||||
1 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 1 | ||||||
32 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 32 | ||||||
72 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 72 | ||||||
155 | Series 2011-A, Class A3, 1.200%, 05/16/16 | 156 | ||||||
167 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 | 162 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
86 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 86 | ||||||
100 | Series 2010-B, Class A4, 1.580%, 09/15/15 | 102 | ||||||
318 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.398%, 02/25/36 | 252 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
60 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 61 | ||||||
72 | Series 2009-4, Class A3, 1.870%, 02/15/14 | 72 | ||||||
304 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.398%, 07/25/36 | 289 | ||||||
44 | Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 05/15/13 | 45 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
200 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 202 | ||||||
260 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 264 | ||||||
35 | John Deere Owner Trust, Series 2011-A, Class A3, 1.290%, 01/15/16 | 35 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
217 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 | 218 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
141 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 143 | ||||||
151 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 152 | ||||||
233 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.418%, 02/25/36 | 210 | ||||||
249 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.408%, 03/25/36 | 233 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
150 | Series 2010-1, Class A3, 1.840%, 11/17/14 | 151 | ||||||
35 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 35 | ||||||
300 | Series 2010-B, Class A3, 1.310%, 02/17/14 (e) | 301 | ||||||
200 | Volkswagen Auto Loan Enhanced Trust, Series 2011-1, Class A4, 1.980%, 09/20/17 | 206 | ||||||
World Omni Auto Receivables Trust, | ||||||||
35 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 35 | ||||||
45 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 46 | ||||||
|
| |||||||
Total Asset-Backed Securities | 5,414 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 4.8% |
| ||||||
Agency CMO — 4.7% |
| |||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
280 | Series 2594, Class QP, 4.000%, 03/15/33 | 294 | ||||||
160 | Series 2686, Class VP, 5.000%, 09/15/17 | 169 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
111 | Series 2003-42, Class EP, 4.000%, 11/25/22 | 115 | ||||||
350 | Series 2003-92, Class PE, 4.500%, 09/25/18 | 382 | ||||||
185 | Series 2005-31, Class PA, 5.500%, 10/25/34 | 204 | ||||||
200 | Series 2005-48, Class MD, 5.000%, 04/25/34 | 220 | ||||||
46 | Series 2006-43, Class G, 6.500%, 09/25/33 | 46 | ||||||
120 | Series 2006-63, Class AB, 6.500%, 10/25/33 | 121 | ||||||
78 | Series 2006-63, Class AE, 6.500%, 10/25/33 | 78 | ||||||
126 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 134 | ||||||
200 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 221 | ||||||
249 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 269 | ||||||
342 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 367 | ||||||
200 | Series 3209, Class EG, 4.500%, 08/15/20 | 221 | ||||||
Government National Mortgage Association, | ||||||||
5 | Series 2002-24, Class FA, VAR, 0.708%, 04/16/32 (m) | 5 | ||||||
50 | Series 2003-86, Class PE, 5.000%, 09/20/32 | 54 | ||||||
305 | Series 2003-105, Class VH, 4.500%, 01/16/28 | 322 | ||||||
175 | Series 2009-67, Class GK, 4.500%, 01/16/37 | 185 | ||||||
88 | NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 91 | ||||||
|
| |||||||
3,498 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 195 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — 0.1% |
| |||||||
49 | MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 51 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 3,549 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Security — 0.1% |
| ||||||
56 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 60 | ||||||
|
| |||||||
| Corporate Bonds — 28.3% |
| ||||||
Consumer Discretionary — 0.6% |
| |||||||
Auto Components — 0.1% |
| |||||||
65 | Johnson Controls, Inc., 4.875%, 09/15/13 | 70 | ||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
70 | Daimler Finance North America LLC, 6.500%, 11/15/13 | 78 | ||||||
|
| |||||||
Broadcasting & Cable TV — 0.1% | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
24 | 3.125%, 02/15/16 | 25 | ||||||
45 | 3.500%, 03/01/16 | 47 | ||||||
|
| |||||||
72 | ||||||||
|
| |||||||
Media — 0.2% |
| |||||||
40 | Comcast Corp., 6.500%, 01/15/15 | 46 | ||||||
40 | Discovery Communications LLC, 3.700%, 06/01/15 | 43 | ||||||
50 | NBCUniversal Media LLC, 2.875%, 04/01/16 | 51 | ||||||
30 | Viacom, Inc., 6.250%, 04/30/16 | 35 | ||||||
|
| |||||||
175 | ||||||||
|
| |||||||
Multiline Retail — 0.1% |
| |||||||
50 | Kohl’s Corp., 7.375%, 10/15/11 | 50 | ||||||
|
| |||||||
Total Consumer Discretionary | 445 | |||||||
|
| |||||||
Consumer Staples — 1.9% |
| |||||||
Beverages — 0.6% |
| |||||||
16 | Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14 | 16 | ||||||
Bottling Group LLC, | ||||||||
45 | 5.000%, 11/15/13 | 49 | ||||||
65 | 6.950%, 03/15/14 | 75 | ||||||
160 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 172 | ||||||
85 | PepsiCo, Inc., 3.750%, 03/01/14 | 91 | ||||||
50 | SABMiller plc, (United Kingdom), 5.700%, 01/15/14 (e) | 55 | ||||||
|
| |||||||
458 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 0.1% |
| |||||||
20 | Kroger Co. (The), 7.500%, 01/15/14 | 23 | ||||||
45 | Wal-Mart Stores, Inc., 7.250%, 06/01/13 | 50 | ||||||
|
| |||||||
73 | ||||||||
|
| |||||||
Food Products — 1.2% |
| |||||||
120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 126 | ||||||
50 | Cargill, Inc., 4.375%, 06/01/13 (e) | 53 | ||||||
35 | General Mills, Inc., 5.250%, 08/15/13 | 38 | ||||||
Kraft Foods, Inc., | ||||||||
600 | 4.125%, 02/09/16 | 648 | ||||||
37 | 6.250%, 06/01/12 | 38 | ||||||
|
| |||||||
903 | ||||||||
|
| |||||||
Total Consumer Staples | 1,434 | |||||||
|
| |||||||
Energy — 0.5% |
| |||||||
Oil, Gas & Consumable Fuels — 0.5% |
| |||||||
15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 | 17 | ||||||
35 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 38 | ||||||
40 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 43 | ||||||
30 | PC Financial Partnership, 5.000%, 11/15/14 | 33 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
30 | 1.875%, 03/25/13 | 30 | ||||||
15 | 3.100%, 06/28/15 | 16 | ||||||
35 | 4.000%, 03/21/14 | 38 | ||||||
100 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 111 | ||||||
29 | Total Capital S.A., (France), 3.000%, 06/24/15 | 31 | ||||||
|
| |||||||
Total Energy | 357 | |||||||
|
| |||||||
Financials — 18.2% |
| |||||||
Capital Markets — 2.6% |
| |||||||
200 | Bank of New York Mellon Corp. (The), 4.500%, 04/01/13 | 212 | ||||||
100 | BlackRock, Inc., 3.500%, 12/10/14 | 107 | ||||||
45 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 49 | ||||||
Credit Suisse USA, Inc., | ||||||||
200 | 4.875%, 01/15/15 | 214 | ||||||
50 | 5.125%, 01/15/14 | 53 | ||||||
600 | Goldman Sachs Group, Inc. (The), 4.750%, 07/15/13 | 625 | ||||||
85 | Jefferies Group, Inc., 3.875%, 11/09/15 | 86 | ||||||
Morgan Stanley, | ||||||||
100 | 5.375%, 10/15/15 | 104 | ||||||
280 | 6.750%, 10/15/13 | 298 | ||||||
15 | Nomura Holdings, Inc., (Japan), 4.125%, 01/19/16 | 15 |
SEE NOTES TO FINANCIAL STATEMENTS.
196 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued |
| |||||||
60 | Northern Trust Corp., 5.500%, 08/15/13 | 65 | ||||||
135 | State Street Corp., 4.300%, 05/30/14 | 146 | ||||||
|
| |||||||
1,974 | ||||||||
|
| |||||||
Commercial Banks — 3.0% |
| |||||||
45 | Bank of Nova Scotia, (Canada), 2.375%, 12/17/13 | 46 | ||||||
110 | Barclays Bank plc, (United Kingdom), 5.200%, 07/10/14 | 116 | ||||||
240 | BB&T Corp., 5.200%, 12/23/15 | 262 | ||||||
20 | Canadian Imperial Bank of Commerce, (Canada), 2.350%, 12/11/15 | 21 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
175 | 3.875%, 08/18/14 | 182 | ||||||
100 | 5.375%, 10/12/12 | 104 | ||||||
30 | Fifth Third Bancorp, 3.625%, 01/25/16 | 31 | ||||||
20 | M&T Bank Corp., 5.375%, 05/24/12 | 21 | ||||||
100 | National City Corp., 4.900%, 01/15/15 | 109 | ||||||
50 | SunTrust Banks, Inc., 3.600%, 04/15/16 | 50 | ||||||
250 | U.S. Bank N.A., 6.300%, 02/04/14 | 279 | ||||||
800 | Wachovia Corp., 5.500%, 05/01/13 | 855 | ||||||
128 | Westpac Banking Corp., (Australia), 2.100%, 08/02/13 | 130 | ||||||
|
| |||||||
2,206 | ||||||||
|
| |||||||
Consumer Finance — 1.7% |
| |||||||
American Express Credit Corp., | ||||||||
130 | 5.875%, 05/02/13 | 139 | ||||||
80 | 7.300%, 08/20/13 | 88 | ||||||
20 | Capital One Financial Corp., 7.375%, 05/23/14 | 23 | ||||||
720 | HSBC Finance Corp., 5.000%, 06/30/15 | 761 | ||||||
200 | John Deere Capital Corp., 5.250%, 10/01/12 | 210 | ||||||
55 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 58 | ||||||
|
| |||||||
1,279 | ||||||||
|
| |||||||
Diversified Financial Services — 3.5% |
| |||||||
Bank of America Corp., | ||||||||
50 | 4.900%, 05/01/13 | 51 | ||||||
100 | 7.375%, 05/15/14 | 110 | ||||||
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 | 162 | ||||||
50 | 6.125%, 02/17/14 | 56 | ||||||
Citigroup, Inc., | ||||||||
520 | 5.500%, 04/11/13 | 542 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — Continued |
| |||||||
45 | 6.375%, 08/12/14 | 49 | ||||||
200 | CME Group, Inc., 5.400%, 08/01/13 | 215 | ||||||
20 | ERAC USA Finance LLC, 2.750%, 07/01/13 (e) | 20 | ||||||
General Electric Capital Corp., | ||||||||
1,000 | 4.750%, 09/15/14 | 1,084 | ||||||
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 | 20 | ||||||
|
| |||||||
2,644 | ||||||||
|
| |||||||
FDIC Guaranteed Securities (~) — 6.0% |
| |||||||
600 | Bank of America Corp., 3.125%, 06/15/12 | 613 | ||||||
600 | Citigroup, Inc., 2.875%, 12/09/11 | 604 | ||||||
General Electric Capital Corp., | ||||||||
700 | 2.125%, 12/21/12 | 717 | ||||||
800 | 3.000%, 12/09/11 | 806 | ||||||
300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 307 | ||||||
600 | HSBC USA, Inc., 3.125%, 12/16/11 | 604 | ||||||
400 | John Deere Capital Corp., 2.875%, 06/19/12 | 408 | ||||||
400 | SunTrust Bank, 3.000%, 11/16/11 | 402 | ||||||
|
| |||||||
4,461 | ||||||||
|
| |||||||
Insurance — 0.3% |
| |||||||
50 | Allstate Corp. (The), 6.200%, 05/16/14 | 56 | ||||||
40 | CNA Financial Corp., 5.850%, 12/15/14 | 43 | ||||||
100 | Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e) | 106 | ||||||
|
| |||||||
205 | ||||||||
|
| |||||||
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 — 1.0% |
| |||||||
700 | Countrywide Financial Corp., 5.800%, 06/07/12 | 713 | ||||||
|
| |||||||
Total Financials | 13,538 | |||||||
|
| |||||||
Health Care — 0.1% |
| |||||||
Biotechnology — 0.0% (g) |
| |||||||
19 | Amgen, Inc., 2.300%, 06/15/16 | 19 | ||||||
|
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
50 | Eli Lilly & Co., 3.550%, 03/06/12 | 51 | ||||||
|
| |||||||
Total Health Care | 70 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 197 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Industrials — 0.9% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
150 | Boeing Co. (The), 5.125%, 02/15/13 | 159 | ||||||
100 | Honeywell International, Inc., 3.875%, 02/15/14 | 108 | ||||||
|
| |||||||
267 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) | ||||||||
10 | Pitney Bowes, Inc., 4.875%, 08/15/14 | 11 | ||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
34 | Danaher Corp., 1.300%, 06/23/14 | 34 | ||||||
40 | PACCAR, Inc., 6.875%, 02/15/14 | 46 | ||||||
|
| |||||||
80 | ||||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
100 | Burlington Northern Santa Fe LLC, 5.900%, 07/01/12 | 104 | ||||||
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 | 82 | ||||||
70 | Union Pacific Corp., 5.450%, 01/31/13 | 75 | ||||||
|
| |||||||
315 | ||||||||
|
| |||||||
Total Industrials | 673 | |||||||
|
| |||||||
Information Technology — 1.3% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
50 | Cisco Systems, Inc., 5.500%, 02/22/16 | 58 | ||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
59 | Dell, Inc., 3.100%, 04/01/16 | 62 | ||||||
Hewlett-Packard Co., | ||||||||
20 | 2.950%, 08/15/12 | 20 | ||||||
120 | 6.125%, 03/01/14 | 133 | ||||||
60 | International Business Machines Corp., 4.750%, 11/29/12 | 63 | ||||||
|
| |||||||
278 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
15 | 3.375%, 11/01/15 | 16 | ||||||
40 | 6.875%, 07/01/13 | 43 | ||||||
|
| |||||||
59 | ||||||||
|
| |||||||
Internet & Software Services — 0.0% (g) |
| |||||||
30 | eBay, Inc., 1.625%, 10/15/15 | 30 | ||||||
|
| |||||||
IT Services — 0.1% |
| |||||||
50 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 54 | ||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Office Electronics — 0.1% |
| |||||||
110 | Xerox Corp., 8.250%, 05/15/14 | 127 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
40 | National Semiconductor Corp., 3.950%, 04/15/15 | 43 | ||||||
34 | Texas Instruments, Inc., 2.375%, 05/16/16 | 35 | ||||||
|
| |||||||
78 | ||||||||
|
| |||||||
Software — 0.4% |
| |||||||
140 | Microsoft Corp., 2.950%, 06/01/14 | 149 | ||||||
140 | Oracle Corp., 4.950%, 04/15/13 | 150 | ||||||
|
| |||||||
299 | ||||||||
|
| |||||||
Total Information Technology | 983 | |||||||
|
| |||||||
Materials — 0.4% |
| |||||||
Chemicals — 0.3% |
| |||||||
40 | Dow Chemical Co. (The), 7.600%, 05/15/14 | 46 | ||||||
EI du Pont de Nemours & Co., | ||||||||
29 | 1.950%, 01/15/16 | 30 | ||||||
45 | 3.250%, 01/15/15 | 48 | ||||||
33 | 5.000%, 01/15/13 | 35 | ||||||
50 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15 | 54 | ||||||
|
| |||||||
213 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
70 | Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14 | 84 | ||||||
|
| |||||||
Total Materials | 297 | |||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
450 | AT&T, Inc., 6.700%, 11/15/13 | 501 | ||||||
130 | France Telecom S.A., (France), 4.375%, 07/08/14 | 139 | ||||||
50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 51 | ||||||
250 | Verizon Florida LLC, 6.125%, 01/15/13 | 266 | ||||||
|
| |||||||
957 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
120 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 132 | ||||||
70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 75 | ||||||
|
| |||||||
207 | ||||||||
|
| |||||||
Total Telecommunication Services | 1,164 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
198 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Utilities — 2.8% |
| |||||||
Electric Utilities — 2.3% |
| |||||||
200 | Appalachian Power Co., 5.650%, 08/15/12 | 209 | ||||||
50 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 55 | ||||||
17 | Commonwealth Edison Co., 2.150%, 09/01/16 (d) | 17 | ||||||
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 | 1,197 | ||||||
50 | Nisource Finance Corp., 6.150%, 03/01/13 | 53 | ||||||
15 | Progress Energy, Inc., 6.050%, 03/15/14 | 17 | ||||||
20 | Southern California Edison Co., 4.150%, 09/15/14 | 22 | ||||||
Southern Co., | ||||||||
12 | 1.950%, 09/01/16 | 12 | ||||||
10 | 4.150%, 05/15/14 | 11 | ||||||
50 | Spectra Energy Capital LLC, 5.668%, 08/15/14 | 56 | ||||||
|
| |||||||
1,723 | ||||||||
|
| |||||||
Gas Utilities — 0.3% |
| |||||||
85 | Atmos Energy Corp., 4.950%, 10/15/14 | 93 | ||||||
80 | Southern California Gas Co., 5.500%, 03/15/14 | 89 | ||||||
35 | TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13 | 37 | ||||||
|
| |||||||
219 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
130 | Dominion Resources, Inc., 5.700%, 09/17/12 | 137 | ||||||
20 | PG&E Corp., 5.750%, 04/01/14 | 22 | ||||||
|
| |||||||
159 | ||||||||
|
| |||||||
Total Utilities | 2,101 | |||||||
|
| |||||||
Total Corporate Bonds | 21,062 | |||||||
|
| |||||||
| Foreign Government Securities — 0.2% |
| ||||||
Province of Ontario, (Canada), | ||||||||
100 | 2.950%, 02/05/15 | 106 | ||||||
45 | 4.100%, 06/16/14 | 49 | ||||||
|
| |||||||
Total Foreign Government Securities | 155 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 1.1% |
| ||||||
231 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 6.000%, 10/01/24 | 254 | ||||||
177 | Federal Home Loan Mortgage Corp., Gold Pool, 30 Year, Single Family, 6.000%, 06/01/34 | 198 | ||||||
163 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 | 177 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
179 | Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23 | 198 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 827 | |||||||
|
| |||||||
| Supranational — 0.0% (g) |
| ||||||
38 | Corp. Andina de Fomento, (Supranational), 3.750%, 01/15/16 | 39 | ||||||
|
| |||||||
| U.S. Government Agency Securities — 29.0% |
| ||||||
Federal Farm Credit Bank, | ||||||||
400 | 2.625%, 04/17/14 | 422 | ||||||
685 | 4.900%, 03/06/13 | 732 | ||||||
Federal Home Loan Bank, | ||||||||
700 | 1.125%, 05/18/12 | 704 | ||||||
2,500 | 1.875%, 06/21/13 | 2,569 | ||||||
4,000 | 3.125%, 12/13/13 | 4,246 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
900 | 0.750%, 12/28/12 | 905 | ||||||
150 | 2.500%, 05/27/16 | 160 | ||||||
1,350 | 3.000%, 07/28/14 | 1,445 | ||||||
Federal National Mortgage Association, | ||||||||
600 | 1.000%, 04/04/12 | 603 | ||||||
500 | 2.375%, 07/28/15 | 530 | ||||||
200 | 2.500%, 05/15/14 | 211 | ||||||
2,703 | 4.000%, 03/27/13 | 2,859 | ||||||
4,000 | 4.375%, 03/15/13 | 4,249 | ||||||
1,400 | 4.625%, 10/15/13 | 1,525 | ||||||
400 | 4.750%, 02/21/13 | 426 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 21,586 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 30.0% |
| ||||||
U.S. Treasury Notes, | ||||||||
2,500 | 0.500%, 11/15/13 | 2,516 | ||||||
200 | 0.625%, 07/31/12 | 201 | ||||||
500 | 0.625%, 02/28/13 | 503 | ||||||
300 | 0.750%, 08/15/13 | 303 | ||||||
4,350 | 0.875%, 02/29/12 (m) | 4,368 | ||||||
500 | 1.000%, 04/30/12 | 503 | ||||||
350 | 1.000%, 05/15/14 | 357 | ||||||
310 | 1.250%, 04/15/14 | 318 | ||||||
2,550 | 1.375%, 09/15/12 | 2,582 | ||||||
1,420 | 1.375%, 02/15/13 | 1,445 | ||||||
400 | 1.375%, 11/30/15 | 411 | ||||||
290 | 1.500%, 06/30/16 | 298 | ||||||
200 | 1.500%, 07/31/16 | 206 | ||||||
3,175 | 1.750%, 08/15/12 | 3,224 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 199 |
Table of Contents
JPMorgan Short Term Bond Fund II
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — continued |
| ||||||
100 | 1.750%, 07/31/15 | 104 | ||||||
260 | 1.750%, 05/31/16 | 271 | ||||||
2,500 | 2.000%, 11/30/13 | 2,599 | ||||||
800 | 2.000%, 04/30/16 | 843 | ||||||
415 | 2.125%, 02/29/16 | 440 | ||||||
120 | 2.250%, 03/31/16 | 128 | ||||||
180 | 2.375%, 03/31/16 | 193 | ||||||
215 | 2.500%, 04/30/15 | 230 | ||||||
250 | 2.625%, 04/30/16 | 270 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 22,313 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 0.6% |
| ||||||
Investment Company — 0.6% |
| |||||||
426 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.070% (b) (l) | 426 | ||||||
|
| |||||||
Total Investments — 101.4% | 75,431 | |||||||
Liabilities in Excess of | (1,035 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 74,396 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
200 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
JPMorgan Treasury & Agency Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 21.4% |
| ||||||
Federal Farm Credit Bank, | ||||||||
24,000 | 3.875%, 06/04/12 (m) | 24,659 | ||||||
9,745 | 4.000%, 05/21/13 | 10,353 | ||||||
25,000 | 4.350%, 09/02/14 (m) | 27,760 | ||||||
500 | 6.270%, 01/26/16 | 607 | ||||||
Federal Home Loan Bank, | ||||||||
5,000 | 1.125%, 05/18/12 | 5,031 | ||||||
9,400 | 5.310%, 12/28/12 | 10,024 | ||||||
1,772 | New Valley Generation I, 7.299%, 03/15/19 | 2,192 | ||||||
4,498 | New Valley Generation II, 5.572%, 05/01/20 | 5,324 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 85,950 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 76.9% |
| ||||||
U.S. Treasury Notes, | ||||||||
24,800 | 0.625%, 06/30/12 | 24,905 | ||||||
28,000 | 1.250%, 08/31/15 | 28,711 | ||||||
45,000 | 1.375%, 05/15/12 | 45,404 | ||||||
21,040 | 1.375%, 02/15/13 | 21,406 | ||||||
7,000 | 1.750%, 04/15/13 | 7,178 | ||||||
20,000 | 1.750%, 07/31/15 | 20,898 | ||||||
40,000 | 1.875%, 06/15/12 | 40,555 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
12,000 | 1.875%, 04/30/14 | 12,509 | ||||||
70,000 | 2.000%, 11/30/13 | 72,784 | ||||||
15,000 | 2.000%, 01/31/16 | 15,808 | ||||||
10,000 | 2.000%, 04/30/16 | 10,535 | ||||||
8,000 | 2.375%, 10/31/14 | 8,502 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 309,195 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 0.9% |
| ||||||
Investment Company — 0.9% | ||||||||
3,502 | JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.000% (b) (l) | 3,502 | ||||||
|
| |||||||
Total Investments — 99.2% | 398,647 | |||||||
Other Assets in Excess of | 3,059 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 401,706 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 201 |
Table of Contents
J.P. Morgan Income Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2011 (Unaudited)
ADR | — American Depositary Receipt | |
ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 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 August 31, 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 | |
DOP | — Dominican Peso | |
ESOP | — Employee Stock Ownership Program | |
EUR | — Euro | |
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 August 31, 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 |
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 August 31, 2011. |
| ||||||||
UYU | — Uruguayan Peso |
| ||||||||
VA | — Veterans Administration |
| ||||||||
VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 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 | $ | 177,837 | 0.82 | % | ||||||
Core Plus Bond Fund | 11,028 | 0.53 | ||||||||
High Yield Fund | 50,260 | 0.52 | ||||||||
Mortgage-Backed Securities Fund | 22,838 | 0.82 | ||||||||
(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 August 31, 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, unfunded commitments 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 August 31, 2011. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
202 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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. | |
^ | — All or a portion of the security is unsettled as of August 31, 2011. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 203 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2011 (Unaudited)
(Amounts in thousands, except per share amounts)
Core Bond Fund | Core Plus Bond Fund | Government | High Yield Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 21,125,316 | $ | 2,022,896 | $ | 1,276,962 | $ | 9,252,748 | ||||||||
Investments in affiliates, at value | 483,599 | 36,667 | 104,030 | 359,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 21,608,915 | 2,059,563 | 1,380,992 | 9,611,843 | ||||||||||||
Cash | 1,709 | 41 | — | 1,408 | ||||||||||||
Foreign currency, at value | — | 112 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 5,081 | 5,568 | — | 25,137 | ||||||||||||
Fund shares sold | 53,800 | 2,863 | 11,867 | 38,450 | ||||||||||||
Interest and dividends from non-affiliates | 110,976 | 20,230 | 4,631 | 177,419 | ||||||||||||
Dividends from affiliates | 34 | 4 | — | (a) | 21 | |||||||||||
Variation margin on futures contracts | — | 1 | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 30 | — | — | ||||||||||||
Outstanding swap contracts, at value | — | 686 | — | — | ||||||||||||
Securities lending income | — | — | — | — | (a) | |||||||||||
Other assets | — | 208 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 21,780,515 | 2,089,306 | 1,397,490 | 9,854,278 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 6,788 | 4,553 | 2,097 | 31,133 | ||||||||||||
Investment securities purchased | 101,724 | 8,785 | 6,205 | 145,659 | ||||||||||||
Fund shares redeemed | 188,082 | 2,063 | 2,181 | 14,801 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 23 | — | — | ||||||||||||
Unrealized depreciation on unfunded commitments | — | — | — | 430 | ||||||||||||
Outstanding swap contracts, at value | — | 205 | — | 138 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 4,076 | 472 | 339 | 5,273 | ||||||||||||
Administration fees | 1,639 | 95 | 17 | 549 | ||||||||||||
Shareholder servicing fees | 2,700 | 369 | 45 | 690 | ||||||||||||
Distribution fees | 2,340 | 266 | 222 | 359 | ||||||||||||
Custodian and accounting fees | 434 | 96 | 47 | 124 | ||||||||||||
Collateral management fees | — | 1 | — | — | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 4 | 3 | 31 | ||||||||||||
Other | 1,062 | 241 | 281 | 278 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 308,860 | 17,173 | 11,437 | 199,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 21,471,655 | $ | 2,072,133 | $ | 1,386,053 | $ | 9,654,813 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
204 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Core Bond Fund | Core Plus Bond Fund | Government | High Yield Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 20,202,024 | $ | 2,259,128 | $ | 1,218,729 | $ | 9,542,994 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 513 | (192 | ) | (33 | ) | (181 | ) | |||||||||
Accumulated net realized gains (losses) | 22,642 | (265,099 | ) | 2,301 | 230,784 | |||||||||||
Net unrealized appreciation (depreciation) | 1,246,476 | 78,296 | 165,056 | (118,784 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 21,471,655 | $ | 2,072,133 | $ | 1,386,053 | $ | 9,654,813 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 4,726,773 | $ | 348,630 | $ | 518,320 | $ | 917,921 | ||||||||
Class B | 58,037 | 5,234 | 13,342 | 12,148 | ||||||||||||
Class C | 2,024,570 | 298,400 | 158,391 | 236,350 | ||||||||||||
Class R2 | 47,992 | 583 | 17,530 | 4,949 | ||||||||||||
Class R5 | 166,248 | — | — | 39,422 | ||||||||||||
Class R6 | 2,655,661 | 101,513 | — | 1,085,918 | ||||||||||||
Institutional Class | — | 42,819 | — | — | ||||||||||||
Select Class | 11,792,374 | 1,274,954 | 678,470 | 7,358,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 21,471,655 | $ | 2,072,133 | $ | 1,386,053 | $ | 9,654,813 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 399,946 | 42,363 | 45,170 | 118,504 | ||||||||||||
Class B | 4,913 | 633 | 1,164 | 1,565 | ||||||||||||
Class C | 170,481 | 36,112 | 13,846 | 30,480 | ||||||||||||
Class R2 | 4,065 | 71 | 1,529 | 640 | ||||||||||||
Class R5 | 14,087 | — | — | 5,067 | ||||||||||||
Class R6 | 224,768 | 12,337 | — | 139,809 | ||||||||||||
Institutional Class | — | 5,200 | — | — | ||||||||||||
Select Class | 998,612 | 154,994 | 59,161 | 946,469 | ||||||||||||
Net Asset Value: | ||||||||||||||||
Class A — Redemption price per share | $ | 11.82 | $ | 8.23 | $ | 11.47 | $ | 7.75 | ||||||||
Class B — Offering price per share (b) | 11.81 | 8.27 | 11.47 | 7.76 | ||||||||||||
Class C — Offering price per share (b) | 11.88 | 8.26 | 11.44 | 7.75 | ||||||||||||
Class R2 — Offering and redemption price per share | 11.81 | 8.23 | 11.47 | 7.74 | ||||||||||||
Class R5 — Offering and redemption price per share | 11.80 | — | — | 7.78 | ||||||||||||
Class R6 — Offering and redemption price per share | 11.82 | 8.23 | — | 7.77 | ||||||||||||
Institutional Class — Offering and redemption price per share | — | 8.23 | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 11.81 | 8.23 | 11.47 | 7.77 | ||||||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 3.75 | % | 3.75 | % | ||||||||
Class A maximum public offering price per share | $ | 12.28 | $ | 8.55 | $ | 11.92 | $ | 8.05 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 19,878,840 | $ | 1,946,417 | $ | 1,111,906 | $ | 9,371,279 | ||||||||
Cost of investments in affiliates | 483,599 | 36,667 | 104,030 | 359,095 | ||||||||||||
Cost of foreign currency | — | 112 | — | — | ||||||||||||
Premiums received on swaps | — | 1,329 | — | 315 |
(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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 205 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
Mortgage-Backed Securities Fund | Short | Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 2,604,655 | $ | 9,605,712 | $ | 75,005 | $ | 395,145 | ||||||||
Investments in affiliates, at value | 164,273 | 86,206 | 426 | 3,502 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 2,768,928 | 9,691,918 | 75,431 | 398,647 | ||||||||||||
Cash | 206 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 57 | 11,811 | — | — | ||||||||||||
Fund shares sold | 5,057 | 17,713 | 1 | 1,974 | ||||||||||||
Interest from non-affiliates | 10,596 | 54,017 | 529 | 2,178 | ||||||||||||
Dividends from affiliates | 12 | 1 | — | (a) | — | (a) | ||||||||||
Securities lending income | — | 1 | — | — | ||||||||||||
Other assets | — | — | 8 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 2,784,856 | 9,775,461 | 75,969 | 402,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 1,454 | 10,424 | 56 | 265 | ||||||||||||
Investment securities purchased | 27,796 | 8,406 | 61 | — | ||||||||||||
Collateral for securities lending program | — | 2,141 | — | — | ||||||||||||
Fund shares redeemed | 4,369 | 12,033 | 1,316 | 572 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 316 | 1,695 | 11 | 104 | ||||||||||||
Administration fees | 152 | 633 | 7 | 29 | ||||||||||||
Shareholder servicing fees | 147 | 1,454 | 9 | 2 | ||||||||||||
Distribution fees | 42 | 233 | 22 | 21 | ||||||||||||
Custodian and accounting fees | 99 | 168 | 10 | 11 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | 13 | 4 | — | ||||||||||||
Other | 111 | 337 | 77 | 89 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 34,489 | 37,537 | 1,573 | 1,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 2,750,367 | $ | 9,737,924 | $ | 74,396 | $ | 401,706 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
206 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Mortgage-Backed Securities Fund | Short | Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 2,631,254 | $ | 9,555,405 | $ | 133,357 | $ | 385,555 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 74 | 96 | (17 | ) | (1 | ) | ||||||||||
Accumulated net realized gains (losses) | (10,507 | ) | 14,500 | (60,250 | ) | 4,058 | ||||||||||
Net unrealized appreciation (depreciation) | 129,546 | 167,923 | 1,306 | 12,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 2,750,367 | $ | 9,737,924 | $ | 74,396 | $ | 401,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 206,847 | $ | 248,189 | $ | 4,061 | $ | 91,771 | ||||||||
Class B | — | 1,870 | — | 586 | ||||||||||||
Class C | — | 280,597 | — | — | ||||||||||||
Class M | — | — | 68,850 | — | ||||||||||||
Class R6 | 1,540,309 | 3,020,259 | — | — | ||||||||||||
Select Class | 1,003,211 | 6,187,009 | 1,485 | 309,349 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,750,367 | $ | 9,737,924 | $ | 74,396 | $ | 401,706 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 17,725 | 22,541 | 458 | 9,261 | ||||||||||||
Class B | — | 168 | — | 59 | ||||||||||||
Class C | — | 25,322 | — | — | ||||||||||||
Class M | — | — | 7,766 | — | ||||||||||||
Class R6 | 134,697 | 273,978 | — | — | ||||||||||||
Select Class | 87,739 | 561,313 | 167 | 31,255 | ||||||||||||
Net Asset Value: | ||||||||||||||||
Class A — Redemption price per share | $ | 11.67 | $ | 11.01 | $ | 8.86 | $ | 9.91 | ||||||||
Class B — Offering price per share (b) | — | 11.12 | — | 9.89 | ||||||||||||
Class C — Offering price per share (b) | — | 11.08 | — | — | ||||||||||||
Class M — Offering and redemption price per share | — | — | 8.87 | — | ||||||||||||
Class R6 — Offering and redemption price per share | 11.44 | 11.02 | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 11.43 | 11.02 | 8.88 | 9.90 | ||||||||||||
Class A maximum sales charge | 3.75 | % | 2.25 | % | 2.25 | % | 2.25 | % | ||||||||
Class A maximum public offering price per share | $ | 12.12 | $ | 11.26 | $ | 9.06 | $ | 10.14 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class M maximum sales charge | — | — | 1.50 | % | — | |||||||||||
Class M maximum public offering price per share | $ | — | $ | — | $ | 9.01 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 2,475,109 | $ | 9,437,789 | $ | 73,699 | $ | 383,051 | ||||||||
Cost of investments in affiliates | 164,273 | 86,206 | 426 | 3,502 | ||||||||||||
Value of securities on loan | — | 2,099 | — | — |
(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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 207 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 2011 (Unaudited)
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | High Yield Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 442,385 | $ | 57,108 | $ | 30,251 | $ | 401,805 | ||||||||
Dividend income from non-affiliates | — | 325 | — | 2,445 | ||||||||||||
Dividend income from affiliates | 274 | 46 | 4 | 153 | ||||||||||||
Income from securities lending (net) | — | — | — | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 442,659 | 57,479 | 30,255 | 404,404 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 31,249 | 3,164 | 2,045 | 32,232 | ||||||||||||
Administration fees | 9,181 | 929 | 601 | 4,371 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 5,530 | 425 | 605 | 1,137 | ||||||||||||
Class B | 244 | 21 | 58 | 56 | ||||||||||||
Class C | 7,707 | 1,095 | 597 | 972 | ||||||||||||
Class R2 | 106 | 1 | 41 | 11 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 5,530 | 425 | 605 | 1,137 | ||||||||||||
Class B | 81 | 7 | 19 | 19 | ||||||||||||
Class C | 2,569 | 365 | 199 | 324 | ||||||||||||
Class R2 | 53 | 1 | 20 | 6 | ||||||||||||
Class R5 | 37 | — | — | 8 | ||||||||||||
Institutional Class | — | 17 | — | — | ||||||||||||
Select Class | 14,398 | 1,610 | 860 | 9,627 | ||||||||||||
Custodian and accounting fees | 553 | 128 | 54 | 192 | ||||||||||||
Collateral management fees | — | 2 | — | — | ||||||||||||
Interest expense to affiliates | — | — | (a) | — | — | |||||||||||
Professional fees | 138 | 41 | 27 | 87 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 112 | 12 | 11 | 53 | ||||||||||||
Printing and mailing costs | 1,042 | 73 | 44 | 417 | ||||||||||||
Registration and filing fees | 260 | 68 | 31 | 62 | ||||||||||||
Transfer agent fees | 6,331 | 418 | 746 | 3,106 | ||||||||||||
Other | 113 | 10 | 13 | 70 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 85,234 | 8,812 | 6,576 | 53,887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (15,285 | ) | (987 | ) | (1,772 | ) | (7,666 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | (2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 69,949 | 7,825 | 4,804 | 46,219 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 372,710 | 49,654 | 25,451 | 358,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 47,663 | 7,458 | 2,828 | 114,297 | ||||||||||||
Futures | — | 138 | — | — | ||||||||||||
Foreign currency transactions | — | 84 | — | — | ||||||||||||
Swaps | — | (338 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 47,663 | 7,342 | 2,828 | 114,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments in non-affiliates | 597,507 | (39 | ) | 76,542 | (819,109 | ) | ||||||||||
Futures | — | (1 | ) | — | — | |||||||||||
Foreign currency translations | — | (12 | ) | — | — | |||||||||||
Swaps | — | 1,861 | — | 177 | ||||||||||||
Unfunded commitments | — | — | (a) | — | (433 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | 597,507 | 1,809 | 76,542 | (819,365 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 645,170 | 9,151 | 79,370 | (705,068 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 1,017,880 | $ | 58,805 | $ | 104,821 | $ | (346,883 | ) | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
208 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Mortgage-Backed Securities Fund | Short | Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 62,624 | $ | 114,581 | $ | 824 | $ | 4,196 | ||||||||
Dividend income from affiliates | 40 | 7 | — | (a) | — | (a) | ||||||||||
Income from securities lending (net) | — | 2 | — | — | ||||||||||||
Other income | — | — | 18 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 62,664 | 114,590 | 842 | 4,196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 4,272 | 13,106 | 101 | 662 | ||||||||||||
Administration fees | 1,076 | 4,620 | 36 | 194 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 236 | 312 | 9 | 123 | ||||||||||||
Class B | — | 7 | — | 3 | ||||||||||||
Class C | — | 1,140 | — | — | ||||||||||||
Class M | — | — | 127 | — | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 236 | 312 | 9 | 123 | ||||||||||||
Class B | — | 2 | — | 1 | ||||||||||||
Class C | — | 380 | — | — | ||||||||||||
Class M | — | — | 91 | — | ||||||||||||
Select Class | 904 | 8,261 | 2 | 427 | ||||||||||||
Custodian and accounting fees | 171 | 247 | 22 | 14 | ||||||||||||
Professional fees | 45 | 94 | 38 | 25 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 13 | 56 | 1 | 2 | ||||||||||||
Printing and mailing costs | 68 | 236 | 18 | 5 | ||||||||||||
Registration and filing fees | 29 | 18 | 20 | 22 | ||||||||||||
Transfer agent fees | 127 | 384 | 5 | 54 | ||||||||||||
Other | 11 | 57 | 21 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 7,188 | 29,232 | 500 | 1,658 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (3,290 | ) | (3,300 | ) | (107 | ) | (545 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,898 | 25,932 | 393 | 1,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 58,766 | 88,658 | 449 | 3,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | (641 | ) | 14,411 | 216 | 3,252 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of investments in non-affiliates | 34,628 | 42,272 | 143 | 2,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 33,987 | 56,683 | 359 | 5,316 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 92,753 | $ | 145,341 | $ | 808 | $ | 8,399 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 209 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 372,710 | $ | 638,350 | $ | 49,654 | $ | 82,299 | ||||||||
Net realized gain (loss) | 47,663 | 59,497 | 7,342 | 15,238 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 597,507 | 228,514 | 1,809 | 53,441 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,017,880 | 926,361 | 58,805 | 150,978 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (77,763 | ) | (134,985 | ) | (8,102 | ) | (12,510 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (911 | ) | (2,838 | ) | (114 | ) | (287 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (28,793 | ) | (74,656 | ) | (5,926 | ) | (10,137 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | (699 | ) | (945 | ) | (10 | ) | (13 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (2,855 | ) | (18,323 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (49,843 | ) | (62,965 | ) | (3,660 | ) | (4,752 | ) | ||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (834 | ) | (2,250 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (212,349 | ) | (344,559 | ) | (31,020 | ) | (52,405 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (373,213 | ) | (639,271 | ) | (49,666 | ) | (82,354 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 1,568,511 | 4,713,330 | (4,220 | ) | 666,336 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 2,213,178 | 5,000,420 | 4,919 | 734,960 | ||||||||||||
Beginning of period | 19,258,477 | 14,258,057 | 2,067,214 | 1,332,254 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 21,471,655 | $ | 19,258,477 | $ | 2,072,133 | $ | 2,067,214 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 513 | $ | 1,016 | $ | (192 | ) | $ | (180 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
210 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Government Bond Fund | High Yield Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 25,451 | $ | 53,969 | $ | 358,185 | $ | 603,943 | ||||||||
Net realized gain (loss) | 2,828 | 2,101 | 114,297 | 178,644 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 76,542 | 8,867 | (819,365 | ) | 438,198 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 104,821 | 64,937 | (346,883 | ) | 1,220,785 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (9,021 | ) | (17,400 | ) | (32,470 | ) | (51,366 | ) | ||||||||
From net realized gains | — | — | — | (2,548 | ) | |||||||||||
Class B | ||||||||||||||||
From net investment income | (229 | ) | (782 | ) | (475 | ) | (1,431 | ) | ||||||||
From net realized gains | — | — | — | (65 | ) | |||||||||||
Class C | ||||||||||||||||
From net investment income | (2,345 | ) | (5,593 | ) | (8,313 | ) | (14,363 | ) | ||||||||
From net realized gains | — | — | — | (767 | ) | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | (280 | ) | (322 | ) | (159 | ) | (162 | ) | ||||||||
From net realized gains | — | — | — | (9 | ) | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (1,232 | ) | (13,053 | ) | ||||||||||
From net realized gains | — | — | — | (918 | ) | |||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | — | — | (36,955 | ) | (46,034 | ) | ||||||||||
From net realized gains | — | — | — | (2,110 | ) | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (13,573 | ) | (29,919 | ) | (281,671 | ) | (480,731 | ) | ||||||||
From net realized gains | — | — | — | (23,094 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (25,448 | ) | (54,016 | ) | (361,275 | ) | (636,651 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (183,575 | ) | 88,010 | 800,249 | 3,140,534 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (104,202 | ) | 98,931 | 92,091 | 3,724,668 | |||||||||||
Beginning of period | 1,490,255 | 1,391,324 | 9,562,722 | 5,838,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,386,053 | $ | 1,490,255 | $ | 9,654,813 | $ | 9,562,722 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (33 | ) | $ | (36 | ) | $ | (181 | ) | $ | 2,909 | |||||
|
|
|
|
|
|
|
|
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 211 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Mortgage-Backed Securities Fund | Short Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 58,766 | $ | 108,897 | $ | 88,658 | $ | 162,775 | ||||||||
Net realized gain (loss) | (641 | ) | 6,272 | 14,411 | 14,779 | |||||||||||
Change in net unrealized appreciation (depreciation) | 34,628 | 40,214 | 42,272 | 31,764 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 92,753 | 155,383 | 145,341 | 209,318 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (4,188 | ) | (7,630 | ) | (1,785 | ) | (3,963 | ) | ||||||||
From net realized gains | — | — | — | (385 | ) | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (8 | ) | (26 | ) | ||||||||||
From net realized gains | — | — | — | (3 | ) | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (1,323 | ) | (3,309 | ) | ||||||||||
From net realized gains | — | — | — | (459 | ) | |||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (37,355 | ) | (73,620 | ) | (31,666 | ) | (48,325 | ) | ||||||||
From net realized gains | — | — | — | (3,598 | ) | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (17,597 | ) | (27,805 | ) | (54,215 | ) | (107,143 | ) | ||||||||
From net realized gains | — | — | — | (8,462 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (59,140 | ) | (109,055 | ) | (88,997 | ) | (175,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 493,726 | 377,268 | (629,091 | ) | 2,465,685 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 527,339 | 423,596 | (572,747 | ) | 2,499,330 | |||||||||||
Beginning of period | 2,223,028 | 1,799,432 | 10,310,671 | 7,811,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,750,367 | $ | 2,223,028 | $ | 9,737,924 | $ | 10,310,671 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 74 | $ | 448 | $ | 96 | $ | 435 | ||||||||
|
|
|
|
|
|
|
|
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
212 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 449 | $ | 1,397 | $ | 3,083 | $ | 7,662 | ||||||||
Net realized gain (loss) | 216 | 843 | 3,252 | 1,956 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 143 | (1,062 | ) | 2,064 | (2,734 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 808 | 1,178 | 8,399 | 6,884 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net equalization credits (debits) | (4 | ) | (14 | ) | — | — | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (45 | ) | (128 | ) | (518 | ) | (1,322 | ) | ||||||||
From net realized gains | — | — | — | (1,585 | ) | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (2 | ) | (9 | ) | ||||||||||
From net realized gains | — | — | — | (14 | ) | |||||||||||
Class M | ||||||||||||||||
From net investment income | (389 | ) | (1,277 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (12 | ) | (41 | ) | (2,195 | ) | (6,315 | ) | ||||||||
From net realized gains | — | — | — | (6,363 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (446 | ) | (1,446 | ) | (2,715 | ) | (15,608 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (10,565 | ) | (18,560 | ) | (75,847 | ) | (48,468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (10,207 | ) | (18,842 | ) | (70,163 | ) | (57,192 | ) | ||||||||
Beginning of period | 84,603 | 103,445 | 471,869 | 529,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 74,396 | $ | 84,603 | $ | 401,706 | $ | 471,869 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (17 | ) | $ | (20 | ) | $ | (1 | ) | $ | (369 | ) | ||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 213 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,356,310 | $ | 2,139,903 | $ | 88,534 | $ | 277,715 | ||||||||
Dividends and distributions reinvested | 71,454 | 118,480 | 6,583 | 9,618 | ||||||||||||
Cost of shares redeemed | (819,451 | ) | (1,490,961 | ) | (74,919 | ) | (138,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 608,313 | $ | 767,422 | $ | 20,198 | $ | 148,935 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 1,241 | $ | 3,711 | $ | 561 | $ | 1,742 | ||||||||
Dividends and distributions reinvested | 784 | 2,348 | 93 | 224 | ||||||||||||
Cost of shares redeemed | (21,937 | ) | (51,098 | ) | (1,716 | ) | (3,695 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (19,912 | ) | $ | (45,039 | ) | $ | (1,062 | ) | $ | (1,729 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 213,692 | $ | 954,029 | $ | 67,747 | $ | 236,555 | ||||||||
Dividends and distributions reinvested | 23,658 | 59,474 | 4,686 | 7,516 | ||||||||||||
Cost of shares redeemed | (456,722 | ) | (1,208,984 | ) | (62,315 | ) | (118,713 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (219,372 | ) | $ | (195,481 | ) | $ | 10,118 | $ | 125,358 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 14,099 | $ | 30,218 | $ | 258 | $ | 246 | ||||||||
Dividends and distributions reinvested | 557 | 672 | 8 | 9 | ||||||||||||
Cost of shares redeemed | (5,073 | ) | (8,714 | ) | (41 | ) | (119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 9,583 | $ | 22,176 | $ | 225 | $ | 136 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 54,446 | $ | 362,412 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 1,904 | 16,135 | — | — | ||||||||||||
Cost of shares redeemed | (18,023 | ) | (735,436 | )(a) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 38,327 | $ | (356,889 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 529,107 | $ | 1,558,178 | (a) | $ | 7,372 | $ | 144,324 | |||||||
Dividends and distributions reinvested | 47,010 | 52,872 | 1,215 | 1,610 | ||||||||||||
Cost of shares redeemed | (336,670 | ) | (444,955 | ) | (66,189 | ) | (8,529 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 239,447 | $ | 1,166,095 | $ | (57,602 | ) | $ | 137,405 | |||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 26,975 | $ | 14,917 | ||||||||
Dividends and distributions reinvested | — | — | 578 | 1,229 | ||||||||||||
Cost of shares redeemed | — | — | (12,125 | ) | (37,401 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 15,428 | $ | (21,255 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 2,586,976 | $ | 5,174,077 | $ | 82,758 | $ | 416,851 | ||||||||
Dividends and distributions reinvested | 148,865 | 236,091 | 5,897 | 8,172 | ||||||||||||
Cost of shares redeemed | (1,823,716 | ) | (2,055,122 | ) | (80,180 | ) | (147,537 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 912,125 | $ | 3,355,046 | $ | 8,475 | $ | 277,486 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 1,568,511 | $ | 4,713,330 | $ | (4,220 | ) | $ | 666,336 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
214 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 116,702 | 186,141 | 10,735 | 34,292 | ||||||||||||
Reinvested | 6,154 | 10,303 | 800 | 1,185 | ||||||||||||
Redeemed | (70,408 | ) | (129,866 | ) | (9,091 | ) | (17,059 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 52,448 | 66,578 | 2,444 | 18,418 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 106 | 324 | 68 | 215 | ||||||||||||
Reinvested | 68 | 204 | 11 | 28 | ||||||||||||
Redeemed | (1,899 | ) | (4,459 | ) | (207 | ) | (455 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (1,725 | ) | (3,931 | ) | (128 | ) | (212 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 18,221 | 82,813 | 8,184 | 29,147 | ||||||||||||
Reinvested | 2,028 | 5,149 | 567 | 923 | ||||||||||||
Redeemed | (39,251 | ) | (104,770 | ) | (7,533 | ) | (14,555 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (19,002 | ) | (16,808 | ) | 1,218 | 15,515 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 1,213 | 2,638 | 31 | 30 | ||||||||||||
Reinvested | 48 | 59 | 1 | 1 | ||||||||||||
Redeemed | (437 | ) | (758 | ) | (5 | ) | (14 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 824 | 1,939 | 27 | 17 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 4,702 | 31,579 | — | — | ||||||||||||
Reinvested | 164 | 1,403 | — | — | ||||||||||||
Redeemed | (1,556 | ) | (64,141 | )(a) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 3,310 | (31,159 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | 45,657 | 135,996 | (a) | 893 | 17,806 | |||||||||||
Reinvested | 4,050 | 4,596 | 148 | 198 | ||||||||||||
Redeemed | (28,712 | ) | (38,775 | ) | (8,016 | ) | (1,046 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 20,995 | 101,817 | (6,975 | ) | 16,958 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 3,255 | 1,867 | ||||||||||||
Reinvested | — | — | 70 | 152 | ||||||||||||
Redeemed | — | — | (1,463 | ) | (4,609 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 1,862 | (2,590 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 223,028 | 451,100 | 10,041 | 51,622 | ||||||||||||
Reinvested | 12,822 | 20,540 | 716 | 1,009 | ||||||||||||
Redeemed | (156,220 | ) | (179,057 | ) | (9,723 | ) | (18,203 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 79,630 | 292,583 | 1,034 | 34,428 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | 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. |
(b) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 215 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Government Bond Fund | High Yield Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 109,948 | $ | 234,332 | $ | 327,838 | $ | 556,378 | ||||||||
Dividends and distributions reinvested | 5,715 | 10,735 | 26,686 | 44,269 | ||||||||||||
Cost of shares redeemed | (100,463 | ) | (227,639 | ) | (226,874 | ) | (373,147 | ) | ||||||||
Redemption fees | — | — | 9 | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 15,200 | $ | 17,428 | $ | 127,659 | $ | 227,540 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 239 | $ | 581 | $ | 427 | $ | 1,261 | ||||||||
Dividends and distributions reinvested | 168 | 588 | 323 | 908 | ||||||||||||
Cost of shares redeemed | (7,454 | ) | (17,120 | ) | (5,647 | ) | (8,159 | ) | ||||||||
Redemption fees | — | — | — | (a) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (7,047 | ) | $ | (15,951 | ) | $ | (4,897 | ) | $ | (5,989 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 21,785 | $ | 103,239 | $ | 49,796 | $ | 118,174 | ||||||||
Dividends and distributions reinvested | 1,949 | 4,594 | 6,080 | 10,595 | ||||||||||||
Cost of shares redeemed | (45,725 | ) | (122,817 | ) | (49,311 | ) | (54,088 | ) | ||||||||
Redemption fees | — | — | 2 | 13 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (21,991 | ) | $ | (14,984 | ) | $ | 6,567 | $ | 74,694 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 5,798 | $ | 16,555 | $ | 2,425 | $ | 3,549 | ||||||||
Dividends and distributions reinvested | 104 | 123 | 105 | 107 | ||||||||||||
Cost of shares redeemed | (5,137 | ) | (4,002 | ) | (827 | ) | (1,234 | ) | ||||||||
Redemption fees | — | — | — | (a) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 transactions | $ | 765 | $ | 12,676 | $ | 1,703 | $ | 2,422 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 29,455 | $ | 117,517 | ||||||||
Dividends and distributions reinvested | — | — | 1,145 | 13,762 | ||||||||||||
Cost of shares redeemed | — | — | (16,065 | ) | (262,979 | )(b) | ||||||||||
Redemption fees | — | — | — | (a) | 12 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | 14,535 | $ | (131,688 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 418,651 | $ | 645,616 | (b) | |||||||
Dividends and distributions reinvested | — | — | 23,844 | 18,515 | ||||||||||||
Cost of shares redeemed | — | — | (217,545 | ) | (141,844 | ) | ||||||||||
Redemption fees | — | — | 9 | 33 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 224,959 | $ | 522,320 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 77,110 | $ | 251,390 | $ | 1,582,573 | $ | 3,512,844 | ||||||||
Dividends and distributions reinvested | 2,038 | 8,855 | 85,363 | 139,863 | ||||||||||||
Cost of shares redeemed | (249,650 | ) | (171,404 | ) | (1,238,287 | ) | (1,201,843 | ) | ||||||||
Redemption fees | — | — | 74 | 371 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (170,502 | ) | $ | 88,841 | $ | 429,723 | $ | 2,451,235 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (183,575 | ) | $ | 88,010 | $ | 800,249 | $ | 3,140,534 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
216 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Government Bond Fund | High Yield Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 9,877 | 21,332 | 40,230 | 69,145 | ||||||||||||
Reinvested | 516 | 978 | 3,272 | 5,525 | ||||||||||||
Redeemed | (9,105 | ) | (20,838 | ) | (27,867 | ) | (47,068 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,288 | 1,472 | 15,635 | 27,602 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 22 | 53 | 52 | 157 | ||||||||||||
Reinvested | 15 | 54 | 40 | 113 | ||||||||||||
Redeemed | (680 | ) | (1,571 | ) | (682 | ) | (1,016 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (643 | ) | (1,464 | ) | (590 | ) | (746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,954 | 9,380 | 6,044 | 14,691 | ||||||||||||
Reinvested | 177 | 420 | 744 | 1,322 | ||||||||||||
Redeemed | (4,163 | ) | (11,320 | ) | (6,114 | ) | (6,732 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (2,032 | ) | (1,520 | ) | 674 | 9,281 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 524 | 1,522 | 294 | 443 | ||||||||||||
Reinvested | 10 | 11 | 13 | 14 | ||||||||||||
Redeemed | (466 | ) | (367 | ) | (101 | ) | (153 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 68 | 1,166 | 206 | 304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 3,579 | 14,667 | ||||||||||||
Reinvested | — | — | 140 | 1,725 | ||||||||||||
Redeemed | — | — | (1,954 | ) | (32,225 | )(b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 1,765 | (15,833 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Issued | — | — | 51,958 | 80,090 | (b) | |||||||||||
Reinvested | — | — | 2,920 | 2,285 | ||||||||||||
Redeemed | — | — | (26,413 | ) | (17,524 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 28,465 | 64,851 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 6,995 | 22,987 | 192,244 | 436,489 | ||||||||||||
Reinvested | 185 | 807 | 10,453 | 17,411 | ||||||||||||
Redeemed | (22,936 | ) | (15,684 | ) | (151,104 | ) | (149,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (15,756 | ) | 8,110 | 51,593 | 304,632 | |||||||||||
|
|
|
|
|
|
|
|
(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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 217 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Mortgage-Backed Securities Fund | Short Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 70,281 | $ | 165,286 | $ | 80,824 | $ | 207,816 | ||||||||
Dividends and distributions reinvested | 3,704 | 6,761 | 1,548 | 3,609 | ||||||||||||
Cost of shares redeemed | (46,133 | ) | (101,004 | ) | (86,165 | ) | (217,210 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 27,852 | $ | 71,043 | $ | (3,793 | ) | $ | (5,785 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 327 | $ | 825 | ||||||||
Dividends and distributions reinvested | — | — | 7 | 23 | ||||||||||||
Cost of shares redeemed | — | — | (608 | ) | (2,190 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (274 | ) | $ | (1,342 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 52,054 | $ | 235,112 | ||||||||
Dividends and distributions reinvested | — | — | 1,220 | 3,348 | ||||||||||||
Cost of shares redeemed | — | — | (96,001 | ) | (263,450 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | (42,727 | ) | $ | (24,990 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 52,945 | $ | 222,666 | $ | 1,337,248 | $ | 1,993,867 | ||||||||
Subscriptions in-kind (See Note 9) | — | — | — | 11,698 | ||||||||||||
Dividends and distributions reinvested | 35,430 | 66,963 | 16,721 | 24,050 | ||||||||||||
Cost of shares redeemed | (36,029 | ) | (126,219 | ) | (1,258,125 | ) | (1,173,029 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 52,346 | $ | 163,410 | $ | 95,844 | $ | 856,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 478,358 | $ | 362,624 | $ | 1,530,097 | $ | 4,834,205 | ||||||||
Dividends and distributions reinvested | 11,989 | 19,795 | 4,582 | 8,205 | ||||||||||||
Cost of shares redeemed | (76,819 | ) | (239,604 | ) | (2,212,820 | ) | (3,201,194 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 413,528 | $ | 142,815 | $ | (678,141 | ) | $ | 1,641,216 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 493,726 | $ | 377,268 | $ | (629,091 | ) | $ | 2,465,685 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
218 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Mortgage-Backed Securities Fund | Short Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 6,053 | 14,441 | 7,353 | 18,959 | ||||||||||||
Reinvested | 320 | 590 | 141 | 329 | ||||||||||||
Redeemed | (3,978 | ) | (8,784 | ) | (7,841 | ) | (19,817 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,395 | 6,247 | (347 | ) | (529 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 29 | 75 | ||||||||||||
Reinvested | — | — | 1 | 2 | ||||||||||||
Redeemed | — | — | (55 | ) | (198 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (25 | ) | (121 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | — | — | 4,708 | 21,331 | ||||||||||||
Reinvested | — | — | 110 | 304 | ||||||||||||
Redeemed | — | — | (8,682 | ) | (23,892 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | — | — | (3,864 | ) | (2,257 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | 4,674 | 19,857 | 121,638 | 181,535 | ||||||||||||
Subscriptions in-kind (See Note 9) | — | — | — | 1,064 | ||||||||||||
Reinvested | 3,124 | 5,958 | 1,520 | 2,189 | ||||||||||||
Redeemed | (3,163 | ) | (11,228 | ) | (114,192 | ) | (106,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 4,635 | 14,587 | 8,966 | 77,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 41,972 | 32,322 | 139,062 | 440,703 | ||||||||||||
Reinvested | 1,056 | 1,763 | 416 | 747 | ||||||||||||
Redeemed | (6,755 | ) | (21,276 | ) | (201,054 | ) | (291,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 36,273 | 12,809 | (61,576 | ) | 149,833 | |||||||||||
|
|
|
|
|
|
|
|
(a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 219 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 503 | $ | 925 | $ | 14,996 | $ | 41,401 | ||||||||
Dividends and distributions reinvested | 42 | 119 | 366 | 2,258 | ||||||||||||
Cost of shares redeemed | (3,735 | ) | (1,060 | ) | (24,591 | ) | (41,712 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (3,190 | ) | $ | (16 | ) | $ | (9,229 | ) | $ | 1,947 | |||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 49 | $ | 98 | ||||||||
Dividends and distributions reinvested | — | — | 1 | 20 | ||||||||||||
Cost of shares redeemed | — | — | (244 | ) | (922 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (194 | ) | $ | (804 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class M | ||||||||||||||||
Cost of shares redeemed | $ | (7,185 | ) | $ | (17,852 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class M capital transactions | $ | (7,185 | ) | $ | (17,852 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 143 | $ | 691 | $ | 38,272 | $ | 173,426 | ||||||||
Dividends and distributions reinvested | 6 | 20 | 681 | 3,163 | ||||||||||||
Cost of shares redeemed | (339 | ) | (1,403 | ) | (105,377 | ) | (226,200 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (190 | ) | $ | (692 | ) | $ | (66,424 | ) | $ | (49,611 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (10,565 | ) | $ | (18,560 | ) | $ | (75,847 | ) | $ | (48,468 | ) | ||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
220 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||||
Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | Six Months Ended 8/31/2011 (Unaudited) | Year Ended 2/28/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 57 | 105 | 1,524 | 4,167 | ||||||||||||
Reinvested | 5 | 13 | 37 | 229 | ||||||||||||
Redeemed | (422 | ) | (120 | ) | (2,495 | ) | (4,200 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (360 | ) | (2 | ) | (934 | ) | 196 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 5 | 10 | ||||||||||||
Reinvested | — | — | — | (a) | 2 | |||||||||||
Redeemed | — | — | (25 | ) | (93 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (20 | ) | (81 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class M | ||||||||||||||||
Redeemed | (812 | ) | (2,018 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class M Shares | (812 | ) | (2,018 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 16 | 78 | 3,896 | 17,423 | ||||||||||||
Reinvested | 1 | 2 | 70 | 321 | ||||||||||||
Redeemed | (39 | ) | (158 | ) | (10,729 | ) | (22,735 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (22 | ) | (78 | ) | (6,763 | ) | (4,991 | ) | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 1,000 (shares or dollars) |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 221 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Core Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 11.46 | $ | 0.21 | (e) | $ | 0.36 | $ | 0.57 | $ | (0.21 | ) | ||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.45 | 0.17 | (e) | 0.36 | 0.53 | (0.17 | ) | |||||||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.51 | 0.17 | (e) | 0.37 | 0.54 | (0.17 | ) | |||||||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.45 | 0.19 | (e) | 0.36 | 0.55 | (0.19 | ) | |||||||||||||
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 | 1.16 | (0.53 | ) | |||||||||||||
November 3, 2008 (f) through February 28, 2009 | 10.26 | 0.17 | (e) | 0.34 | 0.51 | (0.18 | ) | |||||||||||||
Class R5 (g) | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.44 | 0.22 | (e) | 0.36 | 0.58 | (0.22 | ) | |||||||||||||
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 | 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 (h) | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.46 | 0.23 | (e) | 0.36 | 0.59 | (0.23 | ) | |||||||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.45 | 0.22 | (e) | 0.36 | 0.58 | (0.22 | ) | |||||||||||||
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 | 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) | Commencement of offering of class of shares. |
(g) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(h) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
222 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 11.82 | 4.98 | % | $ | 4,726,773 | 0.75 | % | 3.51 | % | 0.97 | % | 10 | % | |||||||||||||
11.46 | 5.75 | 3,982,404 | 0.74 | 3.62 | 0.97 | 24 | ||||||||||||||||||||
11.23 | 11.45 | 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 | 780,006 | 0.75 | 4.51 | 0.99 | 14 | ||||||||||||||||||||
10.67 | 5.42 | 560,556 | 0.75 | 4.36 | 0.94 | 8 | ||||||||||||||||||||
11.81 | 4.63 | 58,037 | 1.40 | 2.88 | 1.47 | 10 | ||||||||||||||||||||
11.45 | 5.06 | 76,034 | 1.39 | 2.98 | 1.46 | 24 | ||||||||||||||||||||
11.22 | 10.71 | 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 | 78,048 | 1.40 | 3.86 | 1.49 | 14 | ||||||||||||||||||||
10.66 | 4.75 | 74,963 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||
11.88 | 4.69 | 2,024,570 | 1.40 | 2.87 | 1.47 | 10 | ||||||||||||||||||||
11.51 | 5.04 | 2,181,719 | 1.39 | 2.97 | 1.47 | 24 | ||||||||||||||||||||
11.28 | 10.65 | 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 | 133,975 | 1.40 | 3.86 | 1.49 | 14 | ||||||||||||||||||||
10.73 | 4.83 | 65,579 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||
11.81 | 4.85 | 47,992 | 1.00 | 3.26 | 1.22 | 10 | ||||||||||||||||||||
11.45 | 5.51 | 37,096 | 0.99 | 3.36 | 1.22 | 24 | ||||||||||||||||||||
11.22 | 11.16 | 14,608 | 0.98 | 4.41 | 1.22 | 18 | ||||||||||||||||||||
10.59 | 5.00 | 63 | 1.00 | 4.96 | 1.25 | 18 | ||||||||||||||||||||
11.80 | 5.14 | 166,248 | 0.45 | 3.81 | 0.52 | 10 | ||||||||||||||||||||
11.44 | 6.06 | 123,327 | 0.44 | 3.91 | 0.51 | 24 | ||||||||||||||||||||
11.21 | 11.69 | 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 | 177,019 | 0.45 | 4.82 | 0.54 | 14 | ||||||||||||||||||||
10.66 | 7.03 | 55,785 | 0.45 | 4.64 | 0.50 | 8 | ||||||||||||||||||||
11.82 | 5.16 | 2,655,661 | 0.40 | 3.86 | 0.47 | 10 | ||||||||||||||||||||
11.46 | 6.22 | 2,334,504 | 0.39 | 3.98 | 0.47 | 24 | ||||||||||||||||||||
11.22 | 11.72 | 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 | 782,067 | 0.40 | 4.86 | 0.48 | 14 | ||||||||||||||||||||
10.67 | 5.88 | 711,527 | 0.40 | 4.72 | 0.44 | 8 | ||||||||||||||||||||
11.81 | 5.07 | 11,792,374 | 0.58 | 3.68 | 0.72 | 10 | ||||||||||||||||||||
11.45 | 5.96 | 10,523,393 | 0.57 | 3.79 | 0.72 | 24 | ||||||||||||||||||||
11.22 | 11.61 | 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 | 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 223 |
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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 8.19 | $ | 0.20 | (e) | $ | 0.04 | $ | 0.24 | $ | (0.20 | ) | ||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.24 | 0.17 | (e) | 0.03 | 0.20 | (0.17 | ) | |||||||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.23 | 0.17 | (e) | 0.03 | 0.20 | (0.17 | ) | |||||||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.20 | 0.18 | (e) | 0.03 | 0.21 | (0.18 | ) | |||||||||||||
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 | 1.22 | (0.40 | ) | |||||||||||||
November 3, 2008 (f) through February 28, 2009 | 6.90 | 0.13 | (e) | 0.12 | 0.25 | (0.12 | ) | |||||||||||||
Class R6 (g) | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.19 | 0.21 | (e) | 0.04 | 0.25 | (0.21 | ) | |||||||||||||
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 | 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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.20 | 0.21 | (e) | 0.03 | 0.24 | (0.21 | ) | |||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.39 | ) | |||||||||||||
June 19, 2009 (f) through February 28, 2010 | 7.38 | 0.31 | (e) | 0.48 | 0.79 | (0.32 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.19 | 0.20 | (e) | 0.04 | 0.24 | (0.20 | ) | |||||||||||||
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 | 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) | Commencement of offering of class of shares. |
(g) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
224 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | ||||||||||||||||||||
$ | 8.23 | 2.92 | % | $ | 348,630 | 0.74 | % | 4.72 | % | 0.96 | % | 13 | % | |||||||||||||
8.19 | 9.23 | 327,106 | 0.73 | 4.62 | 0.97 | 22 | ||||||||||||||||||||
7.85 | 18.14 | 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 | 52,808 | 0.92 | 4.81 | 0.97 | 31 | ||||||||||||||||||||
7.78 | 5.49 | 45,383 | 0.91 | 4.64 | 0.96 | 26 | ||||||||||||||||||||
8.27 | 2.43 | 5,234 | 1.39 | 4.07 | 1.46 | 13 | ||||||||||||||||||||
8.24 | 8.60 | 6,270 | 1.38 | 4.03 | 1.47 | 22 | ||||||||||||||||||||
7.89 | 17.49 | 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 | 6,665 | 1.45 | 4.28 | 1.47 | 31 | ||||||||||||||||||||
7.82 | 4.91 | 5,464 | 1.45 | 4.09 | 1.46 | 26 | ||||||||||||||||||||
8.26 | 2.44 | 298,400 | 1.39 | 4.07 | 1.46 | 13 | ||||||||||||||||||||
8.23 | 8.63 | 287,042 | 1.38 | 3.97 | 1.47 | 22 | ||||||||||||||||||||
7.88 | 17.58 | 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 | 5,737 | 1.45 | 4.27 | 1.47 | 31 | ||||||||||||||||||||
7.82 | 4.90 | 3,512 | 1.45 | 4.11 | 1.46 | 26 | ||||||||||||||||||||
8.23 | 2.61 | 583 | 1.14 | 4.32 | 1.21 | 13 | ||||||||||||||||||||
8.20 | 8.93 | 357 | 1.13 | 4.22 | 1.22 | 22 | ||||||||||||||||||||
7.85 | 17.71 | 210 | 1.14 | 5.21 | 1.22 | 26 | ||||||||||||||||||||
7.03 | 3.68 | 52 | 1.17 | 5.83 | 1.29 | 17 | ||||||||||||||||||||
8.23 | 3.09 | 101,513 | 0.39 | 5.07 | 0.46 | 13 | ||||||||||||||||||||
8.19 | 9.60 | 158,216 | 0.38 | 4.92 | 0.47 | 22 | ||||||||||||||||||||
7.85 | 18.76 | 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 | 17,985 | 0.45 | 5.26 | 0.47 | 31 | ||||||||||||||||||||
7.78 | 5.97 | 12,094 | 0.45 | 5.10 | 0.46 | 26 | ||||||||||||||||||||
8.23 | 2.93 | 42,819 | 0.48 | 4.99 | 0.56 | 13 | ||||||||||||||||||||
8.20 | 9.63 | 27,374 | 0.47 | 4.93 | 0.57 | 22 | ||||||||||||||||||||
7.85 | 10.89 | 46,561 | 0.48 | 5.73 | 0.56 | 26 | ||||||||||||||||||||
8.23 | 2.96 | 1,274,954 | 0.64 | 4.82 | 0.71 | 13 | ||||||||||||||||||||
8.19 | 9.35 | 1,260,849 | 0.63 | 4.75 | 0.72 | 22 | ||||||||||||||||||||
7.85 | 18.46 | 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 | 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 225 |
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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 10.81 | $ | 0.21 | $ | 0.66 | $ | 0.87 | $ | (0.21 | ) | |||||||||
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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 10.80 | 0.17 | 0.67 | 0.84 | (0.17 | ) | ||||||||||||||
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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 10.78 | 0.16 | 0.67 | 0.83 | (0.17 | ) | ||||||||||||||
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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 10.80 | 0.19 | 0.67 | 0.86 | (0.19 | ) | ||||||||||||||
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 (e) through February 28, 2009 | 10.07 | 0.09 | 0.51 | 0.60 | (0.11 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 10.80 | 0.22 | 0.67 | 0.89 | (0.22 | ) | ||||||||||||||
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 | — | (f) | 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) | Commencement of offering of class of shares. |
(f) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
226 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | ||||||||||||||||||||
$ | 11.47 | 8.11 | % | $ | 518,320 | 0.75 | % | 3.70 | % | 1.03 | % | 1 | % | |||||||||||||
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 | 220,780 | 0.75 | 4.70 | 0.98 | 2 | ||||||||||||||||||||
10.15 | 4.65 | 157,598 | 0.75 | 4.51 | 0.98 | 24 | ||||||||||||||||||||
11.47 | 7.81 | 13,342 | 1.48 | 2.99 | 1.53 | 1 | ||||||||||||||||||||
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 | 43,513 | 1.46 | 4.02 | 1.48 | 2 | ||||||||||||||||||||
10.14 | 3.93 | 52,182 | 1.46 | 3.82 | 1.48 | 24 | ||||||||||||||||||||
11.44 | 7.72 | 158,391 | 1.48 | 2.97 | 1.53 | 1 | ||||||||||||||||||||
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 | 46,407 | 1.46 | 3.99 | 1.48 | 2 | ||||||||||||||||||||
10.13 | 3.94 | 22,250 | 1.46 | 3.81 | 1.48 | 24 | ||||||||||||||||||||
11.47 | 8.07 | 17,530 | 1.00 | 3.45 | 1.28 | 1 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.47 | 8.35 | 678,470 | 0.48 | 3.98 | 0.78 | 1 | ||||||||||||||||||||
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 | 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.
AUGUST 31, 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 | Net realized gain | Total distributions | ||||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 8.33 | $ | 0.29 | (e) | $ | (0.58 | ) | $ | (0.29 | ) | $ | (0.29 | ) | $ | — | $ | (0.29 | ) | |||||||||
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 | 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 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.35 | 0.26 | (e) | (0.58 | ) | (0.32 | ) | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||
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 | 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 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.34 | 0.26 | (e) | (0.58 | ) | (0.32 | ) | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||
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 | 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 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.32 | 0.28 | (e) | (0.58 | ) | (0.30 | ) | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||
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 | 2.49 | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||||
November 3, 2008 (g) through February 28, 2009 | 5.96 | 0.16 | (0.17 | ) | (0.01 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Class R5 (h) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.36 | 0.30 | (e) | (0.57 | ) | (0.27 | ) | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||
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 | 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 (g) through February 28, 2007 | 8.31 | 0.52 | 0.35 | 0.87 | (0.53 | ) | (0.02 | ) | (0.55 | ) | ||||||||||||||||||
Class R6 (i) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.35 | 0.30 | (e) | (0.57 | ) | (0.27 | ) | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||
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 | 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 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.36 | 0.30 | (e) | (0.59 | ) | (0.29 | ) | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||
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 | 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) | Commencement of offering of class of shares. |
(h) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(i) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
228 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | $ | 7.75 | (3.58 | )% | $ | 917,921 | 1.15 | % | 7.04 | % | 1.32 | % | 23 | % | ||||||||||||||
— | (f) | 8.33 | 17.07 | 856,717 | 1.14 | 7.81 | 1.32 | 45 | ||||||||||||||||||||||
— | (f) | 7.72 | 44.71 | 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 | ) | 79,217 | 1.12 | 7.54 | 1.32 | 48 | |||||||||||||||||||||
— | (f) | 8.60 | 12.82 | 83,790 | 1.12 | 7.42 | 1.31 | 69 | ||||||||||||||||||||||
— | (f) | 7.76 | (3.99 | ) | 12,148 | 1.80 | 6.37 | 1.82 | 23 | |||||||||||||||||||||
— | (f) | 8.35 | 16.40 | 17,991 | 1.79 | 7.24 | 1.82 | 45 | ||||||||||||||||||||||
— | (f) | 7.73 | 43.46 | 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 | ) | 26,052 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||||
— | (f) | 8.61 | 12.19 | 35,667 | 1.77 | 6.78 | 1.81 | 69 | ||||||||||||||||||||||
— | (f) | 7.75 | (4.01 | ) | 236,350 | 1.80 | 6.38 | 1.82 | 23 | |||||||||||||||||||||
— | (f) | 8.34 | 16.45 | 248,488 | 1.79 | 7.17 | 1.82 | 45 | ||||||||||||||||||||||
— | (f) | 7.72 | 43.58 | 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 | ) | 29,517 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||||
— | (f) | 8.61 | 12.05 | 29,953 | 1.77 | 6.77 | 1.81 | 69 | ||||||||||||||||||||||
— | (f) | 7.74 | (3.69 | ) | 4,949 | 1.40 | 6.80 | 1.57 | 23 | |||||||||||||||||||||
— | (f) | 8.32 | 16.82 | 3,609 | 1.39 | 7.49 | 1.58 | 45 | ||||||||||||||||||||||
— | (f) | 7.71 | 44.25 | 1,004 | 1.39 | 8.10 | 1.60 | 45 | ||||||||||||||||||||||
— | (f) | 5.79 | (0.05 | ) | 50 | 1.40 | 8.84 | 1.59 | 18 | |||||||||||||||||||||
— | (f) | 7.78 | (3.43 | ) | 39,422 | 0.86 | 7.34 | 0.87 | 23 | |||||||||||||||||||||
— | (f) | 8.36 | 17.45 | 27,619 | 0.85 | 8.54 | 0.87 | 45 | ||||||||||||||||||||||
— | (f) | 7.74 | 44.95 | 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 | ) | 18,807 | 0.86 | 7.83 | 0.86 | 48 | |||||||||||||||||||||
— | (f) | 8.63 | 10.90 | 8,732 | 0.86 | 7.57 | 0.86 | 69 | ||||||||||||||||||||||
— | (f) | 7.77 | (3.40 | ) | 1,085,918 | 0.81 | 7.38 | 0.82 | 23 | |||||||||||||||||||||
— | (f) | 8.35 | 17.59 | 929,762 | 0.80 | 7.99 | 0.83 | 45 | ||||||||||||||||||||||
— | (f) | 7.73 | 44.84 | 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 | ) | 77,356 | 0.81 | 7.87 | 0.81 | 48 | |||||||||||||||||||||
— | (f) | 8.61 | 13.12 | 64,497 | 0.81 | 7.74 | 0.81 | 69 | ||||||||||||||||||||||
— | (f) | 7.77 | (3.57 | ) | 7,358,105 | 0.90 | 7.28 | 1.07 | 23 | |||||||||||||||||||||
— | (f) | 8.36 | 17.44 | 7,478,536 | 0.89 | 8.06 | 1.07 | 45 | ||||||||||||||||||||||
— | (f) | 7.74 | 44.86 | 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 | ) | 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.
AUGUST 31, 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 (losses) on | Total from investment operations | Net investment income | ||||||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 11.50 | $ | 0.26 | $ | 0.17 | $ | 0.43 | $ | (0.26 | ) | |||||||||
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 (e) | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.28 | 0.28 | 0.16 | 0.44 | (0.28 | ) | ||||||||||||||
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 | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.27 | 0.27 | 0.16 | 0.43 | (0.27 | ) | ||||||||||||||
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) | 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) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
230 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | ||||||||||||||||||||
$ | 11.67 | 3.76 | % | $ | 206,847 | 0.65 | % | 4.50 | % | 0.98 | % | 10 | % | |||||||||||||
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 | 18,011 | 0.65 | 4.70 | 0.98 | 16 | ||||||||||||||||||||
10.65 | 5.60 | 14,063 | 0.65 | 4.46 | 0.98 | 18 | ||||||||||||||||||||
11.44 | 3.95 | 1,540,309 | 0.24 | 4.92 | 0.48 | 10 | ||||||||||||||||||||
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 | 882,626 | 0.25 | 5.09 | 0.48 | 16 | ||||||||||||||||||||
10.48 | 5.97 | 829,330 | 0.25 | 4.83 | 0.48 | 18 | ||||||||||||||||||||
11.43 | 3.88 | 1,003,211 | 0.39 | 4.73 | 0.73 | 10 | ||||||||||||||||||||
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 | 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.
AUGUST 31, 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 (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Short Duration Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 10.95 | $ | 0.08 | (e) | $ | 0.06 | $ | 0.14 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | |||||||||||
Year Ended February 28, 2011 | 10.90 | 0.16 | (e) | 0.06 | 0.22 | (0.16 | ) | (0.01 | ) | (0.17 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.61 | 0.26 | (e) | 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 | (e) | 0.26 | 0.70 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.43 | 0.39 | (e) | 0.10 | 0.49 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.06 | 0.05 | (e) | 0.06 | 0.11 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 11.00 | 0.11 | (e) | 0.06 | 0.17 | (0.10 | ) | (0.01 | ) | (0.11 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.70 | 0.22 | (e) | 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 | (e) | 0.26 | 0.65 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.50 | 0.33 | (e) | 0.11 | 0.44 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 11.02 | 0.05 | (e) | 0.06 | 0.11 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.97 | 0.10 | (e) | 0.06 | 0.16 | (0.10 | ) | (0.01 | ) | (0.11 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.68 | 0.20 | (e) | 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 | (e) | 0.26 | 0.65 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.49 | 0.33 | (e) | 0.11 | 0.44 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Class R6 (f) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 10.97 | 0.10 | (e) | 0.06 | 0.16 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.92 | 0.21 | (e) | 0.06 | 0.27 | (0.21 | ) | (0.01 | ) | (0.22 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.31 | (e) | 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 | (e) | 0.27 | 0.76 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.44 | (e) | 0.10 | 0.54 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 10.96 | 0.09 | (e) | 0.06 | 0.15 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.92 | 0.19 | (e) | 0.05 | 0.24 | (0.19 | ) | (0.01 | ) | (0.20 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.29 | (e) | 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 | (e) | 0.26 | 0.72 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.41 | (e) | 0.10 | 0.51 | (0.42 | ) | — | (0.42 | ) |
(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) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
232 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | ||||||||||||||||||||
$ | 11.01 | 1.27 | % | $ | 248,189 | 0.80 | % | 1.39 | % | 0.86 | % | 20 | % | |||||||||||||
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 | 56,496 | 0.80 | 4.14 | 0.91 | 40 | ||||||||||||||||||||
10.52 | 4.75 | 94,199 | 0.80 | 3.69 | 0.91 | 44 | ||||||||||||||||||||
11.12 | 1.00 | 1,870 | 1.30 | 0.89 | 1.36 | 20 | ||||||||||||||||||||
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 | 11,328 | 1.30 | 3.65 | 1.41 | 40 | ||||||||||||||||||||
10.60 | 4.27 | 17,787 | 1.30 | 3.17 | 1.41 | 44 | ||||||||||||||||||||
11.08 | 0.99 | 280,597 | 1.30 | 0.89 | 1.36 | 20 | ||||||||||||||||||||
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 | 19,135 | 1.30 | 3.64 | 1.41 | 40 | ||||||||||||||||||||
10.59 | 4.26 | 20,777 | 1.30 | 3.15 | 1.41 | 44 | ||||||||||||||||||||
11.02 | 1.44 | 3,020,259 | 0.30 | 1.89 | 0.36 | 20 | ||||||||||||||||||||
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 | 321,055 | 0.30 | 4.64 | 0.41 | 40 | ||||||||||||||||||||
10.53 | 5.24 | 299,838 | 0.30 | 4.18 | 0.41 | 44 | ||||||||||||||||||||
11.02 | 1.39 | 6,187,009 | 0.55 | 1.64 | 0.61 | 20 | ||||||||||||||||||||
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 | 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 233 |
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | ||||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 8.83 | $ | 0.06 | (e) | $ | 0.03 | $ | 0.09 | $ | (0.06 | ) | ||||||||
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 | 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 (f) | 9.84 | 0.22 | (e) | 0.02 | 0.24 | (0.24 | ) | |||||||||||||
Class M | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.83 | 0.05 | (e) | 0.04 | 0.09 | (0.05 | ) | |||||||||||||
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 | 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 (f) | 9.84 | 0.21 | (e) | 0.02 | 0.23 | (0.22 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 8.84 | 0.07 | (e) | 0.04 | 0.11 | (0.07 | ) | |||||||||||||
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 | 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 (f) | 9.86 | 0.23 | (e) | 0.02 | 0.25 | (0.25 | ) |
(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 Fund changed its fiscal year end from August 31 to the last day of February. |
SEE NOTES TO FINANCIAL STATEMENTS.
234 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | ||||||||||||||||||||
$ | 8.86 | 1.01 | % | $ | 4,061 | 0.75 | % | 1.34 | % | 1.15 | % | 15 | % | |||||||||||||
8.83 | 1.54 | 7,222 | 0.75 | 1.67 | 1.12 | 49 | ||||||||||||||||||||
8.85 | 3.61 | 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 | ||||||||||||||||||||
8.87 | 1.00 | 68,850 | 1.00 | 1.08 | 1.25 | 15 | ||||||||||||||||||||
8.83 | 1.26 | 75,712 | 1.00 | 1.43 | 1.22 | 49 | ||||||||||||||||||||
8.85 | 3.36 | 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 | ||||||||||||||||||||
8.88 | 1.26 | 1,485 | 0.50 | 1.58 | 0.90 | 15 | ||||||||||||||||||||
8.84 | 1.68 | 1,669 | 0.50 | 1.95 | 0.87 | 49 | ||||||||||||||||||||
8.87 | 3.98 | 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 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 235 |
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Treasury & Agency Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | $ | 9.78 | $ | 0.06 | (e) | $ | 0.12 | $ | 0.18 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | |||||||||||
Year Ended February 28, 2011 | 9.96 | 0.13 | (e) | (0.02 | ) | 0.11 | (0.13 | ) | (0.16 | ) | (0.29 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.17 | 0.22 | (e) | 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 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 9.76 | 0.03 | (e) | 0.13 | 0.16 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 9.94 | 0.08 | (e) | (0.02 | ) | 0.06 | (0.08 | ) | (0.16 | ) | (0.24 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.15 | 0.18 | (e) | 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 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2011 (Unaudited) | 9.77 | 0.07 | (e) | 0.13 | 0.20 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 9.95 | 0.16 | (e) | (0.02 | ) | 0.14 | (0.16 | ) | (0.16 | ) | (0.32 | ) | ||||||||||||||||
Year Ended February 28, 2010 | 10.16 | 0.24 | (e) | 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) | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
236 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 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) | ||||||||||||||||||||
$ | 9.91 | 1.88 | % | $ | 91,771 | 0.70 | % | 1.21 | % | 0.95 | % | 21 | % | |||||||||||||
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 | 77,234 | 0.69 | 4.33 | 1.01 | 83 | ||||||||||||||||||||
9.72 | 4.48 | 69,390 | 0.70 | 4.70 | 1.03 | 10 | ||||||||||||||||||||
9.89 | 1.64 | 586 | 1.20 | 0.71 | 1.45 | 21 | ||||||||||||||||||||
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 | 6,691 | 1.20 | 3.96 | 1.52 | 83 | ||||||||||||||||||||
9.71 | 3.97 | 10,948 | 1.20 | 4.19 | 1.53 | 10 | ||||||||||||||||||||
9.90 | 2.00 | 309,349 | 0.45 | 1.46 | 0.70 | 21 | ||||||||||||||||||||
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 | 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 237 |
Table of Contents
AS OF AUGUST 31, 2011 (Unaudited)
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. Each of JPM II and MFG (the “Trusts”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 8 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 and 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 | |||
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, 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, 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 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 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, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts 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 independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. 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
238 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
responsibility of the Board of Trustees. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
Ÿ | Level 1 — quoted prices in active markets for identical securities |
Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
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 | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 785,339 | $ | 69,278 | $ | 854,617 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 5,041,243 | — | 5,041,243 | ||||||||||||
Non-Agency CMO | — | 2,479,366 | 106,974 | 2,586,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 7,520,609 | 106,974 | 7,627,583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 542,116 | — | 542,116 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 225,099 | — | 225,099 | ||||||||||||
Consumer Staples | — | 130,694 | — | 130,694 | ||||||||||||
Energy | — | 175,132 | — | 175,132 | ||||||||||||
Financials | — | 1,801,197 | 1,585 | 1,802,782 | ||||||||||||
Health Care | — | 35,259 | — | 35,259 | ||||||||||||
Industrials | — | 138,391 | — | 138,391 | ||||||||||||
Information Technology | — | 134,879 | — | 134,879 | ||||||||||||
Materials | — | 70,973 | — | 70,973 | ||||||||||||
Telecommunication Services | — | 216,516 | — | 216,516 | ||||||||||||
Utilities | — | 263,045 | — | 263,045 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 3,191,185 | 1,585 | 3,192,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 70,429 | — | 70,429 | ||||||||||||
Mortgage Pass-Through Securities | — | 2,830,536 | — | 2,830,536 | ||||||||||||
Municipal Bonds | — | 36,880 | — | 36,880 | ||||||||||||
Supranational | — | 10,048 | — | 10,048 | ||||||||||||
U.S. Government Agency Securities | — | 331,939 | — | 331,939 | ||||||||||||
U.S. Treasury Obligations | — | 5,628,398 | — | 5,628,398 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 483,599 | — | — | 483,599 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 483,599 | $ | 20,947,479 | $ | 177,837 | $ | 21,608,915 | ||||||||
|
|
|
|
|
|
|
|
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 239 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (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 | $ | 4,501 | $ | — | $ | 232 | $ | 4,733 | ||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | 6 | — | — | 6 | ||||||||||||
Industrials | 73 | — | — | 73 | ||||||||||||
Information Technology | — | — | 580 | 580 | ||||||||||||
Materials | 6,673 | — | 211 | 6,884 | ||||||||||||
Telecommunication Services | 274 | — | — | (a) | 274 | |||||||||||
Utilities | 23 | — | — | 23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 11,550 | — | 1,023 | 12,573 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 4,874 | — | 4,874 | ||||||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | — | 4,525 | — | 4,525 | ||||||||||||
Materials | — | — | 191 | 191 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | — | 9,399 | 191 | 9,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 48,617 | 3,671 | 52,288 | ||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 287,537 | — | 287,537 | ||||||||||||
Non-Agency CMO | — | 168,324 | 3,175 | 171,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 455,861 | 3,175 | 459,036 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 85,539 | — | 85,539 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Materials | — | 638 | — | 638 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 103,263 | — | 103,263 | ||||||||||||
Consumer Staples | — | 36,551 | 145 | 36,696 | ||||||||||||
Energy | — | 72,779 | — | 72,779 | ||||||||||||
Financials | — | 257,191 | — | 257,191 | ||||||||||||
Health Care | — | 41,762 | — | 41,762 | ||||||||||||
Industrials | — | 77,060 | 152 | 77,212 | ||||||||||||
Information Technology | — | 31,340 | — | 31,340 | ||||||||||||
Materials | — | 62,423 | 962 | 63,385 | ||||||||||||
Telecommunication Services | — | 39,183 | — | 39,183 | ||||||||||||
Utilities | — | 60,102 | — | 60,102 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 781,654 | 1,259 | 782,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 38,077 | 1,330 | 39,407 | ||||||||||||
Mortgage Pass-Through Securities | — | 106,896 | — | 106,896 | ||||||||||||
Municipal Bonds | — | 11,307 | — | 11,307 | ||||||||||||
Supranational | — | 1,637 | — | 1,637 | ||||||||||||
U.S. Government Agency Securities | — | 22,742 | — | 22,742 | ||||||||||||
U.S. Treasury Obligations | — | 383,014 | — | 383,014 | ||||||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 26,582 | — | 26,582 | ||||||||||||
Consumer Staples | — | 134 | — | 134 | ||||||||||||
Energy | — | 994 | — | 994 | ||||||||||||
Financials | — | 9,977 | — | 9,977 | ||||||||||||
Health Care | — | 501 | — | 501 | ||||||||||||
Industrials | — | 6,838 | 379 | 7,217 |
240 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Core Plus Bond Fund (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Information Technology | $ | — | $ | 2,671 | $ | — | $ | 2,671 | ||||||||
Materials | — | 2,385 | — | 2,385 | ||||||||||||
Utilities | — | 3,164 | — | 3,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Participations & Assignments | — | 53,246 | 379 | 53,625 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Consumer Discretionary | — | 1,691 | — | 1,691 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 36,667 | — | — | 36,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 48,217 | $ | 2,000,318 | $ | 11,028 | $ | 2,059,563 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 30 | $ | — | $ | 30 | ||||||||
Futures Contracts | 5 | — | — | 5 | ||||||||||||
Swaps | — | 1,874 | — | 1,874 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 5 | $ | 1,904 | $ | — | $ | 1,909 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (23 | ) | $ | — | $ | (23 | ) | ||||||
Futures Contracts | (5 | ) | — | — | (5 | ) | ||||||||||
Swaps | — | (64 | ) | — | (64 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (5 | ) | $ | (87 | ) | $ | — | $ | (92 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Government Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (b) | $ | 104,030 | $ | 1,276,962 | $ | — | $ | 1,380,992 | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 31,301 | $ | — | $ | 5,836 | $ | 37,137 | ||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | 23 | — | — | 23 | ||||||||||||
Industrials | 466 | — | — | 466 | ||||||||||||
Information Technology | 1,617 | — | 3,743 | 5,360 | ||||||||||||
Materials | 32,336 | — | 1,177 | 33,513 | ||||||||||||
Telecommunication Services | 108 | — | — | (a) | 108 | |||||||||||
Utilities | 59 | — | — | 59 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 65,910 | — | 10,756 | 76,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 2,512 | 553 | 3,065 | ||||||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | — | 47,564 | — | 47,564 | ||||||||||||
Information Technology | — | — | — | (a) | — | (a) | ||||||||||
Materials | — | — | 1,228 | 1,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | — | 50,076 | 1,781 | 51,857 | ||||||||||||
|
|
|
|
|
|
|
|
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 241 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
High Yield Fund (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 105 | $ | 6,974 | $ | 7,079 | ||||||||
Convertible Bonds | ||||||||||||||||
Materials | — | 1,766 | — | 1,766 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 1,998,063 | — | 1,998,063 | ||||||||||||
Consumer Staples | — | 325,746 | 2,128 | 327,874 | ||||||||||||
Energy | — | 1,050,522 | — | 1,050,522 | ||||||||||||
Financials | — | 952,303 | 10,062 | 962,365 | ||||||||||||
Health Care | — | 484,591 | 3,960 | 488,551 | ||||||||||||
Industrials | — | 792,778 | — | 792,778 | ||||||||||||
Information Technology | — | 392,820 | 2,219 | 395,039 | ||||||||||||
Materials | — | 785,795 | 8,024 | 793,819 | ||||||||||||
Telecommunication Services | — | 498,347 | — | 498,347 | ||||||||||||
Utilities | — | 401,506 | — | 401,506 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 7,682,471 | 26,393 | 7,708,864 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 554,111 | — | 554,111 | ||||||||||||
Consumer Staples | — | 103,673 | — | 103,673 | ||||||||||||
Energy | — | 25,901 | — | 25,901 | ||||||||||||
Financials | — | 184,305 | — | 184,305 | ||||||||||||
Health Care | — | 27,206 | — | 27,206 | ||||||||||||
Industrials | — | 132,363 | 3,317 | 135,680 | ||||||||||||
Information Technology | — | 113,118 | 1,039 | 114,157 | ||||||||||||
Materials | — | 102,491 | — | 102,491 | ||||||||||||
Telecommunication Services | — | 40,698 | — | 40,698 | ||||||||||||
Utilities | — | 98,964 | — | 98,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Participations & Assignments | — | 1,382,830 | 4,356 | 1,387,186 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Consumer Discretionary | — | — | — | (a) | — | (a) | ||||||||||
Warrants | ||||||||||||||||
Consumer Discretionary | — | 19,330 | — | 19,330 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 359,095 | — | — | 359,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 425,005 | $ | 9,136,578 | $ | 50,260 | $ | 9,611,843 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Swaps | — | 177 | — | 177 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Unfunded Commitments | — | (430 | ) | — | (430 | ) | ||||||||||
|
|
|
|
|
|
|
|
242 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
Mortgage-Backed Securities Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 53,613 | $ | 7,665 | $ | 61,278 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 1,137,419 | — | 1,137,419 | ||||||||||||
Non-Agency CMO | — | 556,765 | 15,173 | 571,938 | ||||||||||||
|
|
|
|
|
|
| �� | |||||||||
Total Collateralized Mortgage Obligations | — | 1,694,184 | 15,173 | 1,709,357 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 41,680 | — | 41,680 | ||||||||||||
Mortgage Pass-Through Securities | — | 728,762 | — | 728,762 | ||||||||||||
U.S. Government Agency Securities | — | 9,278 | — | 9,278 | ||||||||||||
U.S. Treasury Obligations | — | 54,300 | — | 54,300 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 164,273 | — | — | 164,273 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 164,273 | $ | 2,581,817 | $ | 22,838 | $ | 2,768,928 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short Duration Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (c) | $ | 86,206 | $ | 9,605,712 | $ | — | $ | 9,691,918 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short Term Bond Fund II | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (b) | $ | 426 | $ | 75,005 | $ | — | $ | 75,431 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Treasury & Agency Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (b) | $ | 3,502 | $ | 395,145 | $ | — | $ | 398,647 | ||||||||
|
|
|
|
|
|
|
|
(a) | Security has zero value. |
(b) | 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. |
(c) | 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. |
There were no transfers between Levels 1 and 2 during the six months ended August 31, 2011.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 243 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
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 2/28/11 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 20,798 | $ | — | $ | (72 | ) | $ | 17 | $ | 63,880 | $ | (30,450 | ) | $ | 15,105 | $ | — | $ | 69,278 | ||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | 13,778 | — | — | — | — | — | — | (13,778 | ) | — | ||||||||||||||||||||||||||
Non-Agency CMO | 28,884 | (4,716 | ) | 3,170 | 43 | 90,303 | (10,710 | ) | — | — | 106,974 | |||||||||||||||||||||||||
Corporate Bonds — Financials | 1,572 | — | 13 | — | (a) | — | — | — | — | 1,585 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 65,032 | $ | (4,716 | ) | $ | 3,111 | $ | 60 | $ | 154,183 | $ | (41,160 | ) | $ | 15,105 | $ | (13,778 | ) | $ | 177,837 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Core Plus Bond Fund | Balance as of 2/28/11 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 4,502 | $ | — | $ | 244 | $ | 5 | $ | — | $ | (1,080 | ) | $ | — | $ | — | $ | 3,671 | |||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Non-Agency CMO | — | — | (9 | ) | — | (a) | 3,286 | (102 | ) | — | — | 3,175 | ||||||||||||||||||||||||
Common Stocks — Consumer Discretionary | 248 | — | (16 | ) | — | — | �� | — | — | — | 232 | |||||||||||||||||||||||||
Common Stocks — Consumer Staples | 30 | — | (30 | ) | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks — Information Technology | 1,688 | — | (1,108 | ) | — | — | — | — | — | 580 | ||||||||||||||||||||||||||
Common Stocks — Materials | — | — | (38 | ) | — | 249 | — | — | — | 211 | ||||||||||||||||||||||||||
Common Stocks — Telecommunication Services | — | — | — | — | — | (b) | — | — | — | — | (b) | |||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 153 | — | (20 | ) | — | 12 | — | — | — | 145 | ||||||||||||||||||||||||||
Corporate Bonds — Industrials | 311 | — | (44 | ) | — | — | — | — | (115 | ) | 152 | |||||||||||||||||||||||||
Corporate Bonds — Materials | 368 | — | (273 | ) | — | 867 | — | — | — | 962 | ||||||||||||||||||||||||||
Foreign Government Securities | 503 | — | 20 | (3 | ) | 962 | (152 | ) | — | — | 1,330 | |||||||||||||||||||||||||
Loan Participations & Assignment — Industrials | — | — | (15 | ) | — | (a) | — | (2 | ) | 396 | — | 379 | ||||||||||||||||||||||||
Loan Participations & Assignment — Information Technology | 867 | — | — | — | — | — | — | (867 | ) | — | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 56 | — | (62 | ) | — | 6 | — | — | — | — | (b) | |||||||||||||||||||||||||
Preferred Stocks — Financials | 1,784 | — | — | — | — | — | — | (1,784 | ) | — | ||||||||||||||||||||||||||
Preferred Stocks — Materials | — | — | — | — | 191 | — | — | — | 191 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 10,510 | $ | — | $ | (1,351 | ) | $ | 2 | $ | 5,573 | $ | (1,336 | ) | $ | 396 | $ | (2,766 | ) | $ | 11,028 | |||||||||||||||
|
|
|
|
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Government Bond Fund | Balance as of 2/28/11 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | $ | 864 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (864 | ) | $ | — | |||||||||||||||||
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Total | $ | 864 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (864 | ) | $ | — | |||||||||||||||||
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244 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
High Yield Fund | Balance as of 2/28/11 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 6,960 | $ | — | $ | 115 | $ | 23 | $ | — | $ | (124 | ) | $ | — | $ | — | $ | 6,974 | |||||||||||||||||
Common Stocks — Consumer Discretionary | 3,666 | — | 2,170 | — | — | — | — | — | 5,836 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 439 | — | (439 | ) | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks — Information Technology | 10,896 | — | (7,153 | ) | — | — | — | — | — | 3,743 | ||||||||||||||||||||||||||
Common Stocks — Materials | — | — | (212 | ) | — | 1,389 | — | — | — | 1,177 | ||||||||||||||||||||||||||
Common Stocks — Telecommunication Services | — | — | — | — | — | (b) | — | — | — | — | (b) | |||||||||||||||||||||||||
Corporate Bonds — Consumer Discretionary | 2,735 | — | — | — | — | — | — | (2,735 | ) | — | ||||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 2,246 | — | (290 | ) | — | 172 | — | — | — | 2,128 | ||||||||||||||||||||||||||
Corporate Bonds — Financials | 17,696 | — | (602 | ) | 4 | 10,660 | — | — | (17,696 | ) | 10,062 | |||||||||||||||||||||||||
Corporate Bonds — Health Care | 4,662 | — | (1,497 | ) | (1 | ) | 796 | — | — | — | 3,960 | |||||||||||||||||||||||||
Corporate Bonds — Industrials | 1,650 | — | (191 | ) | — | — | — | — | (1,459 | ) | — | |||||||||||||||||||||||||
Corporate Bonds — Information Technology | 2,194 | — | 25 | — | — | — | — | — | 2,219 | |||||||||||||||||||||||||||
Corporate Bonds — Materials | 3,054 | — | (2,262 | ) | — | 7,232 | — | — | — | 8,024 | ||||||||||||||||||||||||||
Loan Participations & Assignment — Financials | 3,773 | 91 | 436 | (4 | ) | 910 | (5,206 | ) | — | — | — | |||||||||||||||||||||||||
Loan Participations & Assignment — Industrials | — | — | (129 | ) | 5 | — | (17 | ) | 3,458 | — | 3,317 | |||||||||||||||||||||||||
Loan Participations & Assignment — Information Technology | 3,490 | — | (86 | ) | 3 | — | (178 | ) | — | (2,190 | ) | 1,039 | ||||||||||||||||||||||||
Loan Participations & Assignment — Materials | 13,717 | — | — | — | 618 | (6,425 | ) | — | (7,910 | ) | — | |||||||||||||||||||||||||
Preferred Stocks — Consumer Discretionary | 618 | — | (65 | ) | — | — | — | — | — | 553 | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 817 | — | (898 | ) | — | 81 | — | — | — | — | (b) | |||||||||||||||||||||||||
Preferred Stocks — Financials | 14,335 | — | — | — | — | — | — | (14,335 | ) | — | ||||||||||||||||||||||||||
Preferred Stocks — Information Technology | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Preferred Stocks — Materials | — | — | — | — | 1,228 | — | — | — | 1,228 | |||||||||||||||||||||||||||
Rights — Consumer Discretionary | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
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Total | $ | 92,948 | $ | 91 | $ | (11,078 | ) | $ | 30 | $ | 23,086 | $ | (11,950 | ) | $ | 3,458 | $ | (46,325 | ) | $ | 50,260 | |||||||||||||||
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Unfunded Commitments | ||||||||||||||||||||||||||||||||||||
Loan Participations & Assignment — Materials | $ | — | (b) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | ||||||||||||||||
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Total | $ | — | (b) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | (b) | $ | — | ||||||||||||||||
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Mortgage-Backed Securites Fund | Balance as of 2/28/11 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 3,327 | $ | — | $ | (14 | ) | $ | 3 | $ | 8,381 | $ | (4,032 | ) | $ | — | $ | — | $ | 7,665 | ||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Non-Agency CMO | 6,113 | (1,474 | ) | 1,050 | 7 | 13,796 | (1,563 | ) | — | (2,756 | ) | 15,173 | ||||||||||||||||||||||||
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Total | $ | 9,440 | $ | (1,474 | ) | $ | 1,036 | $ | 10 | $ | 22,177 | $ | (5,595 | ) | $ | — | $ | (2,756 | ) | $ | 22,838 | |||||||||||||||
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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. |
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 245 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
Transfers into, or 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 August 31, 2011, which were valued using significant unobservable inputs (Level 3) was as follows (amounts in thousands):
Core Bond Fund | $ | (516 | ) | |
Core Plus Bond Fund | (1,262 | ) | ||
High Yield Fund | (9,985 | ) | ||
Mortgage-Backed Securities Fund | (105 | ) |
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.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration under the Securities Act of 1933. 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 August 31, 2011 (amounts in thousands):
Value | Percentage | |||||||
Core Bond Fund | $ | 177,837 | 0.8 | % | ||||
Core Plus Bond Fund | 11,028 | 0.5 | ||||||
High Yield Fund | 50,260 | 0.5 | ||||||
Mortgage-Backed Securities Fund | 22,838 | 0.8 |
C. Derivatives — Core Plus Bond Fund and High Yield Fund use instruments including futures, foreign currency contracts, options, swaps and other derivatives, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Core Plus Bond Fund and High Yield Fund also use derivatives to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds 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 Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities.
Notes C.(1). — C.(3). below describe the various derivatives used by the Funds.
(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.
The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
246 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
(2). Swaps — Core Plus Bond Fund and High Yield Fund engage in various swap transactions, including credit default swaps, to manage credit risks within their respective portfolios. The Funds also use 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 Funds are 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.
Core Plus Bond Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding swap contracts with the counterparty in the form of cash or securities. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. Cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.G.) and is reported on the Statements of Assets and Liabilities as Investments in affiliates — restricted. Collateral received by the Fund is held in escrow in segregated accounts maintained by JPMCB, which provides collateral management services to the Funds (See Note 3.F.). These amounts are not reflected on the Fund’s Statements of Assets and Liabilities and are disclosed in the table below.
The Core Plus Bond Fund’s swap contracts and collateral posted or received by counterparty as of August 31, 2011 is as follows (amounts in thousands):
Fund | Counterparty | Value of swap contracts | Collateral amount | |||||||||
Core Plus Bond Fund | Collateral Received | |||||||||||
Credit Suisse International | $ | 343 | $ | (541 | ) | |||||||
Morgan Stanley Capital Services | 343 | (540 | ) |
Credit Default Swaps
Core Plus Bond Fund and High Yield Fund enter 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 Funds, as protection sellers, 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 uses 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 records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 247 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
(4). Summary of Derivatives Information
The following tables present the value of derivatives held as of August 31, 2011, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
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 | $ | 5 | $ | — | $ | — | |||||||
Foreign exchange contracts | Receivables | — | 30 | — | ||||||||||
Credit contracts | Receivables | — | — | 686 | ||||||||||
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Total | $ | 5 | $ | 30 | $ | 686 | ||||||||
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Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (5 | ) | $ | — | $ | — | ||||||
Foreign Exchange contracts | Payables | — | (23 | ) | — | |||||||||
Credit contracts | Payables | — | — | (205 | ) | |||||||||
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Total | $ | (5 | ) | $ | (23 | ) | $ | (205 | ) | |||||
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High Yield Fund
Derivative Contract | Statement of Assets and Liabilities Location | |||||
Liabilities: | Swaps | |||||
Credit contracts | Payables | $ | (138 | ) | ||
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Total | $ | (138 | ) | |||
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(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the SOIs. The Statements of Assets and Liabilities only reflects the current day variation margin receivable/payable to brokers. |
The following tables present the effect of derivatives on the Statements of Operations for the six months ended August 31, 2011, by primary underlying risk exposure (amounts in thousands):
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 | $ | 138 | $ | — | $ | — | $ | 138 | ||||||||
Foreign exchange contracts | — | 23 | — | 23 | ||||||||||||
Credit contracts | — | — | (338 | ) | (338 | ) | ||||||||||
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Total | $ | 138 | $ | 23 | $ | (338 | ) | $ | (177 | ) | ||||||
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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 | $ | (1 | ) | $ | — | $ | — | $ | (1 | ) | ||||||
Foreign exchange contracts | — | (13 | ) | — | (13 | ) | ||||||||||
Credit contracts | — | — | 1,861 | 1,861 | ||||||||||||
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Total | $ | (1 | ) | $ | (13 | ) | $ | 1,861 | $ | 1,847 | ||||||
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248 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
Table of Contents
High Yield Fund
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Derivative Contract | Swaps | Total | ||||||
Credit contracts | $ | 177 | $ | 177 | ||||
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Total | $ | 177 | $ | 177 | ||||
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The Funds’ derivatives contracts held at August 31, 2011 are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.
Derivatives Volume
The table below discloses the volume of the Funds’ futures, foreign currency contract and swap activities during the six months ended August 31, 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 | High Yield Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 2,677 | $ | — | ||||
Average Notional Balance Short | 474 | — | ||||||
Ending Notional Balance Long | 4,511 | — | ||||||
Ending Notional Balance Short | 1,197 | — | ||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Average Settlement Value Purchased | 1,219 | — | ||||||
Average Settlement Value Sold | 1,546 | — | ||||||
Ending Settlement Value Purchased | 1,087 | — | ||||||
Ending Settlement Value Sold | 1,535 | — | ||||||
Credit Default Swaps: | ||||||||
Average Notional Balance — Buy Protection | 31,750 | * | — | |||||
Average Notional Balance — Sell Protection | 1,000 | 5,000 | ** | |||||
Ending Notional Balance — Buy Protection | 28,000 | — | ||||||
Ending Notional Balance — Sell Protection | 1,000 | 5,000 |
* | Average for the period May 1, 2011 through August 31, 2011 |
** | Average for the period August 1, 2011 through August 31, 2011 |
D. 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.
E. Unfunded Commitments — Core Plus Bond Fund and High Yield Fund may enter 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.D.). 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.
AUGUST 31, 2011 | J.P. MORGAN INCOME FUNDS | 249 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
At August 31, 2011, the High Yield Fund had the following unfunded loan commitments which could be extended at the option of the borrower (amounts in thousands):
High Yield Fund
Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Commitment | ||||||||||||||||||
Security Description | Amount | Value | ||||||||||||||||||||
Reynolds Group Holdings, Inc. | Term Loan C | 8/9/18 | 5.250 | % | 5.250 | % | $ | 13,340 | $ | 12,910 |
F. 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.
G. Securities Lending — Each Fund (except Short Term Bond Fund II) 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 (“JPMCB 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 six months ended August 31, 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):
High Yield Fund | $ | 1 | ||
Short Duration Bond Fund | 1 |
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 JPMCB 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 August 31, 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 | ||||||||||
Short Duration Bond Fund | $ | 2,099 | $ | 2,141 | $ | 2,141 |
High Yield Fund did not have any securities out on loan at August 31, 2011.
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 declines 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.
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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.
The Advisor waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
High Yield Fund | $ | 1 | ||
Short Duration Bond Fund | 1 |
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 JPMCB 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 six months ended August 31, 2011 (amounts in thousands):
Lending Agent Fee Incurred | ||||
High Yield Fund | $ | — | (a) | |
Short Duration Bond Fund | — | (a) |
(a) | Amount rounds to less than $1,000. |
H. 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.
I. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
J. 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.
K. 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.
L. 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.
M. 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
N. Redemption Fees — Prior to May 2, 2011, shares of the High Yield Fund held for less than 60 days were generally subject to a redemption fee of 2.00%, based on the redeemed share’s market value. Redemption fees were paid directly to the High Yield Fund and were credited to paid in capital. Effective May 2, 2011, shares of the High Yield Fund were no longer subject to a redemption fee regardless of how long such shares have been 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 | |||
Mortgage-Backed Securities Fund | 0.35 | |||
Short Duration Bond Fund | 0.25 | |||
Short Term Bond Fund II | 0.25 | |||
Treasury & Agency Fund | 0.30 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.G.
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 six months ended August 31, 2011, the annualized effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.G.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class 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 Short Duration Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the six months ended August 31, 2011, the Distributor retained the following (amounts in thousands):
Front-end Sales Charge | ||||
Core Bond Fund | $ | 472 | ||
Core Plus Bond Fund | 153 | |||
Government Bond Fund | 32 | |||
High Yield Fund | 116 | |||
Mortgage-Backed Securities Fund | 25 | |||
Short Duration Bond Fund | 7 | |||
Short Term Bond Fund II | — | (a) | ||
Treasury & Agency Fund | 2 |
(a) | Amount rounds to less than $1,000. |
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D. Shareholder Servicing Fees — The Trusts, 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 | ||||||||||||||||||||||||
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 Fund II | 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.G.
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. Collateral Management Fees — JPMCB provides derivatives collateral management services for the Core Plus Bond Fund. The amounts paid directly to JPMCB by the Fund for these services are included in Collateral Management fees on the Statement of Operations.
G. 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 | 1.15 | 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 | 0.48 | |||||||||||||||||||||||||||
High Yield Fund | 1.15 | 1.80 | 1.80 | n/a | 1.40 | 0.86 | 0.81 | n/a | 0.90 | |||||||||||||||||||||||||||
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 Fund II | 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 July 1, 2011 the contractual expense limitation for Core Plus Bond Fund was 1.17% for Class R2 Shares.
Prior to July 1, 2011 the contractual expense limitation for Government Bond Fund was 0.55% for Select Class Shares.
Except as noted above, the contractual expense limitation agreements were in effect for the six months ended August 31, 2011. The contractual expense limitation percentages in the table above are in place until at least June 30, 2012. In addition, the Government Bond Fund’s service providers have voluntarily waived fees during the six months ended August 31, 2011. However, the Government Bond Fund’s service providers are under no obligation to do so and may discontinue such waivers at any time.
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
For the six months ended August 31, 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 | $ | 7,312 | $ | — | $ | 7,382 | $ | 14,694 | ||||||||
Core Plus Bond Fund | 224 | 403 | 257 | 884 | ||||||||||||
Government Bond Fund | — | 216 | 1,357 | 1,573 | ||||||||||||
High Yield Fund | — | 423 | 6,906 | 7,329 | ||||||||||||
Mortgage-Backed Securities Fund | 2,479 | 283 | 456 | 3,218 | ||||||||||||
Short Duration Bond Fund | 2,430 | 662 | — | 3,092 | ||||||||||||
Short Term Bond Fund II | 59 | — | 47 | 106 | ||||||||||||
Treasury & Agency Fund | — | 3 | 537 | 540 |
Voluntary Waivers | ||||||||||||
Administration | Shareholder Servicing | Total | ||||||||||
Government Bond Fund | $ | 83 | $ | 78 | $ | 161 |
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 six months ended August 31, 2011 were as follows (excluding the reimbursement disclosed in Note 2.G. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Core Bond Fund | $ | 591 | ||
Core Plus Bond Fund | 103 | |||
Government Bond Fund | 38 | |||
High Yield Fund | 337 | |||
Mortgage-Backed Securities Fund | 72 | |||
Short Duration Bond Fund | 208 | |||
Short Term Bond Fund II | 1 | |||
Treasury & Agency Fund | 5 |
H. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officers’ fees in the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended August 31, 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 six months ended August 31, 2011, the Core Plus Bond Fund incurred $300 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.
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4. Investment Transactions
During the six months ended August 31, 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 | $ | 3,023,295 | $ | 1,322,383 | $ | 622,430 | $ | 696,877 | ||||||||
Core Plus Bond Fund | 323,486 | 231,280 | 24,073 | 30,320 | ||||||||||||
Government Bond Fund | 6,442 | 65,167 | — | 70,016 | ||||||||||||
High Yield Fund | 2,853,685 | 2,174,690 | — | — | ||||||||||||
Mortgage-Backed Securities Fund | 618,780 | 222,704 | 6,049 | 11,930 | ||||||||||||
Short Duration Bond Fund | 1,224,812 | 1,250,494 | 834,715 | 1,187,164 | ||||||||||||
Short Term Bond Fund II | 4,914 | 7,330 | 6,692 | 12,640 | ||||||||||||
Treasury & Agency Fund | — | 20,546 | 92,216 | 145,655 |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at August 31, 2011, were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Core Bond Fund | $ | 20,362,439 | $ | 1,353,801 | $ | 107,325 | $ | 1,246,476 | ||||||||
Core Plus Bond Fund | 1,983,084 | 127,611 | 51,132 | 76,479 | ||||||||||||
Government Bond Fund | 1,215,936 | 167,828 | 2,772 | 165,056 | ||||||||||||
High Yield Fund | 9,730,374 | 353,588 | 472,119 | (118,531 | ) | |||||||||||
Mortgage-Backed Securities Fund | 2,639,382 | 156,290 | 26,744 | 129,546 | ||||||||||||
Short Duration Bond Fund | 9,523,995 | 192,886 | 24,963 | 167,923 | ||||||||||||
Short Term Bond Fund II | 74,125 | 1,477 | 171 | 1,306 | ||||||||||||
Treasury & Agency Fund | 386,553 | 12,094 | — | 12,094 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
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 Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at August 31, 2011, or at any time during the six months 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2011 (Unaudited) (continued)
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 | 44.95 | % | ||
Government Bond Fund | 21.82 |
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.
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 plus the amount of borrowings for investment purposes 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 deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.
The Core Plus Bond Fund and High Yield Fund are party to various derivative contracts governed by International Swaps and Derivatives Association Master Agreements (ISDA agreements). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ 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 Funds to exercise rights, to the extent not otherwise waived, against the counterparties (e.g. 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 effect on the Funds.
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 settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. 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.
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As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
9. 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 |
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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, March 1, 2011, and continued to hold your shares at the end of the reporting period, August 31, 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, March 1, 2011 | Ending Account Value, August 31, 2011 | Expenses Paid During, March 1, 2011 | Annualized Expense Ratio | |||||||||||||
Core Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,049.80 | $ | 3.86 | 0.75 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.81 | 0.75 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,046.30 | 7.20 | 1.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 7.10 | 1.40 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,046.90 | 7.20 | 1.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 7.10 | 1.40 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,048.50 | 5.15 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.11 | 5.08 | 1.00 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,051.40 | 2.32 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.29 | 0.45 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,051.60 | 2.06 | 0.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.13 | 2.03 | 0.40 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,050.70 | 2.99 | 0.58 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.22 | 2.95 | 0.58 | ||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,029.20 | 3.77 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.76 | 0.74 |
258 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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Beginning Account Value, March 1, 2011 | Ending Account Value, August 31, 2011 | Expenses March 1, 2011 | Annualized Expense Ratio | |||||||||||||
Core Plus Bond Fund (continued) | ||||||||||||||||
Class B | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.30 | $ | 7.07 | 1.39 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.05 | 1.39 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,024.40 | 7.07 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.05 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,026.10 | 5.81 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.41 | 5.79 | 1.14 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,030.90 | 1.99 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.18 | 1.98 | 0.39 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,029.30 | 2.45 | 0.48 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.72 | 2.44 | 0.48 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,029.60 | 3.27 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.92 | 3.25 | 0.64 | ||||||||||||
Government Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,081.10 | 3.92 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.81 | 0.75 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,078.10 | 7.73 | 1.48 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.70 | 7.51 | 1.48 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,077.20 | 7.73 | 1.48 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.70 | 7.51 | 1.48 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,080.70 | 5.23 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.11 | 5.08 | 1.00 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,083.50 | 2.51 | 0.48 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.72 | 2.44 | 0.48 | ||||||||||||
High Yield Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 964.20 | 5.68 | 1.15 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.36 | 5.84 | 1.15 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 960.10 | 8.87 | 1.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.09 | 9.12 | 1.80 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 959.90 | 8.87 | 1.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.09 | 9.12 | 1.80 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 963.10 | 6.91 | 1.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 7.10 | 1.40 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 965.70 | 4.25 | 0.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.81 | 4.37 | 0.86 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 966.00 | 4.00 | 0.81 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.06 | 4.12 | 0.81 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, March 1, 2011 | Ending Account Value, August 31, 2011 | Expenses March 1, 2011 | Annualized Expense Ratio | |||||||||||||
High Yield Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 964.30 | $ | 4.44 | 0.90 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.61 | 4.57 | 0.90 | ||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,037.60 | 3.33 | 0.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 3.30 | 0.65 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,039.50 | 1.23 | 0.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.93 | 1.22 | 0.24 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,038.80 | 2.00 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.18 | 1.98 | 0.39 | ||||||||||||
Short Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,012.70 | 4.05 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.11 | 4.06 | 0.80 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,010.00 | 6.57 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.60 | 1.30 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,009.90 | 6.57 | 1.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.60 | 1.30 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,014.40 | 1.52 | 0.30 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.63 | 1.53 | 0.30 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,013.90 | 2.78 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.37 | 2.80 | 0.55 | ||||||||||||
Short Term Bond Fund II | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,010.10 | 3.79 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.81 | 0.75 | ||||||||||||
Class M | ||||||||||||||||
Actual | 1,000.00 | 1,010.00 | 5.05 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.11 | 5.08 | 1.00 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,012.60 | 2.53 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.62 | 2.54 | 0.50 | ||||||||||||
Treasury & Agency Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,018.80 | 3.55 | 0.70 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.56 | 0.70 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,016.40 | 6.08 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.10 | 6.09 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,020.00 | 2.28 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.29 | 0.45 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees meets regularly throughout the year and considers factors that are relevant to its annual consideration of investment advisory agreements at each meeting. The Board of Trustees has established various standing committees, composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment subcommittees (money market and alternative products, equity, and fixed income) also meet for the specific purpose of considering advisory contract annual renewals. The Board of Trustees held meetings in person in June and August 2011, at which the Trustees considered the continuation of each of the investment advisory agreements for the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment subcommittees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment subcommittee reported to the full Board, which then considered the investment subcommittee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 25, 2011.
The Trustees, as part of their review of the investment advisory arrangements for the Funds, considered and reviewed performance and other information received from the Advisor on a regular basis over the course of the year, as well as information specifically prepared for their annual review. This information includes the Funds’ performance compared to the performance of the Funds’ peers and benchmarks and analyses by the Advisor of the Funds’ performance. In addition, the Trustees have engaged an independent consultant to report on the performance of each of the Funds at each of the Trustees’ regular meetings. The Advisor also periodically provides comparative information regarding the Funds’ expense ratios and those of the peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Advisor, including, with respect to certain Funds, performance and expense information compiled by Lipper Inc. (“Lipper”), an independent provider of investment company data. The independent consultant also provided additional analyses of the performance of the Funds in connection with the Board’s review of the investment advisory arrangements. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Agreement with representatives of the Advisor and with counsels to the Trust and independent Trustees and received a memorandum from independent counsel to the Trustees discussing the legal standards for their consideration of the proposed approval. The Trustees also
discussed the proposed approvals in executive sessions with counsels to the Trust and independent Trustees at which no representatives of the Advisor were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
In their deliberations, there was a comprehensive consideration of the information received by the Trustees. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Advisor from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the investment advisory contract was in the best interests of each Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Advisor
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Advisor’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Advisor. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Advisor and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees also reviewed information relating to the Advisor’s risk governance model and reports showing the Advisor’s ongoing compliance processes and structures. The quality of the administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”), an affiliate of the Advisor, was also considered.
The Board of Trustees also considered its knowledge of the nature and quality of the services provided by the Advisor to the Funds gained from their experience as Trustees of the Funds. In addition, they considered the overall reputation and capabilities of the Advisor and its affiliates, the commitment of the Advisor to provide high quality service to the Funds, their overall confidence in the Advisor’s integrity and the Advisor’s responsiveness to concerns raised by them, including the Advisor’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
Based on these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Advisor.
Costs of Services Provided and Profitability to the Advisor and its Affiliates
The Trustees received and considered information regarding the profitability to the Advisor and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Advisor’s determination of its and its affiliates revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Advisor. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Advisor and its affiliates as a result of their relationship with the Funds. The Board considered that the Advisor does not currently use third-party soft dollar arrangements with respect to securities transactions it executes for these Funds.
The Trustees also considered that JPMFM and JPMDS, affiliates of the Advisor, earn fees from the Funds for providing administrative and shareholder services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Advisor. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, securities lending, and other related services. The Trustees also considered that the Funds are not currently engaged in securities lending.
Economies of Scale
The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints. The
Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the fee waivers and expense limitations that the Advisor has in place that serve to limit the overall net expense ratio at competitive levels. The Trustees also recognized that the fee schedule for the administrative services provided by JPMFM does include a fee breakpoint, which is tied to the overall level of money market assets or non-money market fund assets excluding funds-of-funds, as applicable, advised by the Advisor, and that the Funds would benefit from that breakpoint. The Trustees concluded that shareholders benefited from the lower expense ratios which resulted from these factors.
Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer
The Trustees noted that, upon their direction, the Senior Officer for the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Mortgage-Backed Securities Fund, Short Duration Bond Fund, and Treasury & Agency Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Short Term Bond Fund II had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.
Fees Relative to Advisor’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Advisor for investment management styles substantially similar to that of each Fund. The Trustees also considered the complexity of investment management for the Funds relative to the Advisor’s other clients and the differences in the nature and extent of the services provided to the different clients. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Advisor’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) by total return for applicable one-, three- and five-year periods. The
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Trustees reviewed a description of Lipper’s methodology for selecting mutual funds in each Fund’s Universe Group. The Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Advisor and the independent consultant and also considered the special analysis that was done by the independent consultant. The Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Core Bond Fund’s performance was in the first quintile for both Class A and Select Class shares for each of the one-, three-, and five-year periods ended December 31, 2010, respectively. The Trustees also noted that the independent consultant indicated that the Fund’s overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.
The Trustees noted that the Core Plus Bond Fund’s performance was in the first, second and second quintiles for Class A and in the first, first and second quintiles for Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.
The Trustees noted that the Government Bond Fund’s performance was in the second, second and first quintiles for Class A and in the second, first and first quintiles for Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.
The Trustees noted that the High Yield Fund’s performance was in the second, first and first quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that the overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.
The Trustees noted that the Mortgage-Backed Securities Fund’s performance was in the second, first and first quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that overall performance was attractive. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.
The Trustees noted that the Short Duration Bond Fund’s performance was in the second quintile for each period for Class A shares and in the second, second and first quintiles for the Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively. The Trustees also noted that the independent consultant indicated that the Fund’s overall performance was satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and other factors, concluded that the performance was reasonable.
The Trustees noted that the Short Term Bond Fund II’s performance was in the third, fifth and fifth quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that the overall performance needed enhancement. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and concluded that they were satisfied with the Advisor’s analysis of the Fund’s performance. However, they requested the Fund’s Advisor provide additional Fund performance information to be reviewed with members of the fixed income subcommittee at each of their regular meetings over the course of the next year.
The Trustees noted that the Treasury & Agency Fund’s performance was in the third quintile for Class A shares and in the second quintile for the Select Class shares for the one-, three-, and five-year periods ended December 31, 2010, respectively, and that the independent consultant indicated that the overall performance was satisfactory. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and based upon this discussion and other factors, concluded that the performance was reasonable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Advisor and compared that rate to the information prepared by Lipper concerning management fee rates paid by other funds in the same Lipper category as each Fund. The Trustees recognized that Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determination as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Core Bond Fund’s net advisory fee for Class A and Select Class shares was in the first and second quintiles, respectively, and that the actual total expenses for Class A and Select shares were in the first and second quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the Core Plus Bond Fund’s net advisory fee for both Class A and Select Class shares was in the second quintile, and that the actual total expenses for Class A and Select Class shares were in the first and third quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the Government Bond Fund’s net advisory fee for Class A and Select Class shares was in the first and second quintiles, respectively, and that the actual total expenses for both Class A and Select Class shares were in the first quintile of their respective Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the High Yield Fund’s net advisory fee for both Class A and Select Class shares was in the fifth quintile
and that the actual total expenses for Class A and Select shares were in the fourth quintile, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the Mortgage-Backed Securities Fund’s net advisory fee and actual total expenses for Class A and Select Class shares were in the first quintile of their respective Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the Short Duration Bond Fund’s net advisory fee for Class A and Select Class shares was in the second quintile and that the actual total expenses for both Class A and Select Class shares were in the second and third quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the Short Term Bond Fund II’s net advisory fee for Class A and Select Class shares was in the first quintile and that the actual total expenses for Class A and Select Class shares were in the first and second quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.
The Trustees noted that the Treasury & Agency Fund’s net advisory fee and the actual total expenses for both Class A and Select Class shares were in the third and first quintiles, respectively, of their Universe Group. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
264 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2011 |
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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. August 2011. | SAN-INC2-811 |
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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.
Not applicable to a semiannual 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.
(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)).
(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 to a semiannual report.
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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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
Not applicable to a semiannual report.
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 to a semiannual report.
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.
Not applicable.
(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 | |
Patricia A. Maleski | ||
President and Principal Executive Officer | ||
November 7, 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 | |
Patricia A. Maleski | ||
President and Principal Executive Officer | ||
November 7, 2011 |
By: | /S/ JOY C. DOWD | |
Joy C. Dowd | ||
Treasurer and Principal Financial Officer | ||
November 7, 2011 |