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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, 2012 through August 31, 2012
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, 2012 (Unaudited)
JPMorgan Core Bond Fund
JPMorgan Core Plus Bond Fund
JPMorgan Government Bond Fund
JPMorgan High Yield Fund
JPMorgan Inflation Managed Bond Fund
JPMorgan Limited Duration Bond Fund
JPMorgan Mortgage-Backed Securities Fund
JPMorgan Short Duration Bond Fund
JPMorgan Short Term Bond Fund II
JPMorgan Treasury & Agency Fund
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CEO’s Letter | 1 | |||
Market Overview | 2 | |||
Fund Commentaries: | ||||
3 | ||||
5 | ||||
7 | ||||
9 | ||||
11 | ||||
14 | ||||
16 | ||||
18 | ||||
20 | ||||
22 | ||||
Schedules of Portfolio Investments | 24 | |||
Financial Statements | 252 | |||
Financial Highlights | 276 | |||
Notes to Financial Statements | 296 | |||
Schedule of Shareholder Expenses | 321 | |||
325 | ||||
330 |
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 market and other conditions through the end of the reporting period 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 19, 2012 (Unaudited)
Dear Shareholder:
Sources of uncertainty are prevalent in the market: social and political unrest in the Middle East, Europe’s ongoing debt crisis, upcoming elections in the United States and the potential for an economic “hard landing” in China. Equities have seesawed against this backdrop and many investors seem content to forego the market fluctuations — overall industry net flows for equity mutual funds are negative for 2012. Despite these sharp swings in market momentum, U.S. stocks have soared year to date. The S&P 500 Index recently reached levels not seen since 2008 and has returned more than 100% since bottoming in March 2009.
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“As the low interest rate environment persists, an increasing amount of fixed income investors are turning to asset classes like high yield bonds and emerging markets debt in search of higher yielding securities.” |
Accommodative monetary policy has been a significant catalyst for the recent rally in stocks. Central banks continue to take unprecedented actions in an effort to stoke economic growth. In September, the European Central Bank announced its plans to implement Outright Monetary Transactions (OMTs), planning to purchase 1-3 year bonds issued by the governments of troubled European countries. The U.S. Federal Reserve also recently announced another asset purchase plan, indicating that it would buy $40 billion of agency mortgage-backed securities per month on an open-ended basis.
U.S. Treasury yields remain at historically low levels
Accommodative monetary policy from the Fed continues to keep yields at historically low levels. Real yields are negative on many parts of the yield curve, meaning that the payment that investors will receive from these bonds is less than the expected rate of inflation. Holders of these securities are willing to see the purchasing power of their money decline in order to access the perceived safety of U.S. Treasury securities, likely a reflection of the elevated level of uncertainty among investors.
The yield for 10-year U.S. Treasury securities ended August 2012 at 1.6%, while the yields for 2- and 30-year U.S. Treasury securities finished the reporting period at 0.2% and 2.7%, respectively. As the low interest rate environment persists, an increasing amount of fixed income investors are turning to asset classes like high yield bonds and emerging markets debt in search of higher yielding securities.
Some positive signs for the U.S. economy
While the Federal Reserve can set short-term rates, it does not have complete control of long-term rates, and stronger economic growth could push rates higher. U.S. GDP growth has, until this point in the recovery, been muted. However, existing home sales spiked in August, while sentiment among homebuilders increased. Housing, a long-time drag on economic growth, may make a significant contribution to GDP in 2012. Meanwhile, second-quarter earnings for the S&P 500 companies were the highest on record, while inflation remains very much under control.
As always, we encourage investors to position their portfolios to withstand and benefit from a variety of future outcomes. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.
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, Global Funds Management
J.P. Morgan Asset Management
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 1 |
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J.P. Morgan Income Funds
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
In most parts of the world, central banks continued their efforts to stimulate economic growth with accommodative policies. The U.S. Federal Open Market Committee extended its $400 billion “Operation Twist” program through the end of 2012, while many investors anticipated the additional round of quantitative easing that was announced shortly after the end of the reporting period. Meanwhile, in June, European leaders agreed to ease repayment rules for emergency loans to Spanish banks and relax conditions on potential help for Italy, increasing optimism that Europe’s debt crisis may be contained.
The U.S. Home Affordable Refinance Program (HARP) — a federal mandate designed for struggling borrowers to refinance their mortgages at lower rates — contributed to higher prepayments on loans packaged into mortgage-backed securities. Meanwhile, the housing market showed signs of improvement, as sentiment among homebuilders and sales of existing homes both increased during the reporting period.
Interest rates for U.S. Treasury securities declined on most parts of the yield curve and remained near historically low levels (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds). High-yield securities (also known as “junk bonds”) benefited from tightening credit spreads (generally bond prices increase when credit spreads tighten). Emerging markets debt securities were supported by a beneficial technical environment, as the asset class experienced strong inflows due in part to investors’ search for yield in a low interest rate environment.
2 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 3.09% | |||
Barclays U.S. Aggregate Index | 2.97% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 27,905,019 | ||
Duration as of 8/31/2012 | 4.5 years |
INVESTMENT OBJECTIVE**
The JPMorgan Core Bond Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the six months ended August 31, 2012, the Fund’s relative outperformance versus the Barclays U.S. Aggregate Index (the “Benchmark”) was driven by 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 at a given point in time). 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 non-agency and agency mortgage-backed securities also contributed to relative performance.
The Fund’s duration was slightly shorter than the duration of the Benchmark, which detracted from its 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 in price as interest rates go down or up, respectively, versus bonds with shorter duration. The Fund’s underweight in the credit sector also detracted from 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 | 30.0 | % | ||
U.S. Treasury Obligations | 24.6 | |||
Corporate Bonds | 17.0 | |||
Mortgage Pass-Through Securities | 13.9 | |||
Asset-Backed Securities | 5.6 | |||
Commercial Mortgage-Backed Securities | 3.0 | |||
U.S. Government Agency Securities | 2.0 | |||
Others (each less than 1.0%) | 1.0 | |||
Short-Term Investment | 2.9 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 3 |
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JPMorgan Core Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 5/1/92 | |||||||||||||||||||
Without Sales Charge | 3.01 | % | 5.87 | % | 7.05 | % | 5.52 | % | ||||||||||||
With Sales Charge** | (0.81 | ) | 1.91 | 6.24 | 5.12 | |||||||||||||||
CLASS B SHARES | 8/26/96 | |||||||||||||||||||
Without CDSC | 2.77 | 5.27 | 6.36 | 4.98 | ||||||||||||||||
With CDSC*** | (2.23 | ) | 0.27 | 6.05 | 4.98 | |||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||
Without CDSC | 2.77 | 5.19 | 6.36 | 4.84 | ||||||||||||||||
With CDSC**** | 1.77 | 4.19 | 6.36 | 4.84 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 2.98 | 5.62 | 6.79 | 5.26 | |||||||||||||||
CLASS R5 SHARES | 5/15/06 | 3.16 | 6.18 | 7.35 | 5.78 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 3.27 | 6.31 | 7.41 | 5.86 | |||||||||||||||
SELECT CLASS SHARES | 6/1/91 | 3.09 | 6.06 | 7.23 | 5.70 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 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 (8/31/02 TO 8/31/12)
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. With respect to Class R2 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes. Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Bond Fund, the Barclays U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. 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.
Fund 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 annual 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, 2012 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 3.35% | |||
Barclays U.S. Aggregate Index | 2.97% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 2,785,761 | ||
Duration as of 8/31/2012 | 4.7 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, 2012, the Fund had allocations to high yield bonds including distressed debt securities (also known as “junk bonds”) and emerging markets debt securities. These asset classes outperformed other areas of the fixed income market and contributed to the Fund’s relative performance versus the Barclays U.S. Aggregate Index (the “Benchmark”).
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 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.
As interest rates declined during the reporting period, the Fund’s slightly shorter duration than that of the Benchmark detracted from its relative performance. 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 in price as interest rates go down or up, respectively, versus bonds with shorter duration.
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.
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 33.8 | % | ||
Collateralized Mortgage Obligations | 18.7 | |||
U.S. Treasury Obligations | 17.3 | |||
Mortgage Pass-Through Securities | 8.0 | |||
Asset-Backed Securities | 5.7 | |||
Commercial Mortgage-Backed Securities | 4.7 | |||
Loan Participations & Assignments | 1.7 | |||
Foreign Government Securities | 1.7 | |||
U.S. Government Agency Securities | 1.3 | |||
Others (each less than 1.0%) | 1.5 | |||
Short-Term Investment | 5.6 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 5 |
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JPMorgan Core Plus Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||||||
Without Sales Charge | 3.30 | % | 7.59 | % | 7.18 | % | 5.75 | % | ||||||||||||
With Sales Charge** | (0.61 | ) | 3.57 | 6.37 | 5.34 | |||||||||||||||
CLASS B SHARES | 5/31/95 | |||||||||||||||||||
Without CDSC | 2.93 | 6.96 | 6.52 | 5.26 | ||||||||||||||||
With CDSC*** | (2.07 | ) | 1.96 | 6.21 | 5.26 | |||||||||||||||
CLASS C SHARES | 5/30/00 | |||||||||||||||||||
Without CDSC | 2.97 | 7.04 | 6.55 | 5.15 | ||||||||||||||||
With CDSC**** | 1.97 | 6.04 | 6.55 | 5.15 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 3.12 | 7.20 | 6.81 | 5.42 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 3.47 | 7.97 | 7.61 | 6.16 | |||||||||||||||
INSTITUTIONAL CLASS SHARES | 6/19/09 | 3.42 | 7.99 | 7.47 | 6.03 | |||||||||||||||
SELECT CLASS SHARES | 3/5/93 | 3.35 | 7.70 | 7.35 | 5.98 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 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 (8/31/02 TO 8/31/12)
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. With respect to Class R2 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes. Class R6, Institutional Class, and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Core Plus Bond Fund, the Barclays U.S. Aggregate Index and the Lipper Intermediate Investment Grade Debt Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. 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.
Fund 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 annual 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.
6 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 3.10% | |||
Barclays U.S. Government Bond Index | 2.57% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 1,884,083 | ||
Duration as of 8/31/2012 | 5.4 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?
During the reporting period, 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 interest rates declined (generally, bond prices increase when interest rates decline). While the Fund was underweight U.S. Treasuries relative to the Barclays U.S. Government Bond Index (the “Benchmark”), the longer duration of its zero coupon agency and U.S. Treasury securities caused it to outperform the Benchmark during the six months ended August 31, 2012. 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 in price as interest rates go down or up, respectively, versus bonds with shorter duration. Meanwhile, the Fund’s small allocation to Treasury Inflation Protected Securities underperformed and detracted from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, 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 | 40.2 | % | ||
U.S. Treasury Obligations | 29.3 | |||
U.S. Government Agency Securities | 17.6 | |||
Mortgage Pass-Through Securities | 7.0 | |||
Foreign Government Security | 0.4 | |||
Short-Term Investment | 5.5 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 7 |
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FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 3/5/93 | |||||||||||||||||||
Without Sales Charge | 2.96 | % | 5.40 | % | 7.06 | % | 5.38 | % | ||||||||||||
With Sales Charge** | (0.90 | ) | 1.42 | 6.25 | 4.98 | |||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||
Without CDSC | 2.60 | 4.56 | 6.28 | 4.79 | ||||||||||||||||
With CDSC*** | (2.40 | ) | (0.44 | ) | 5.97 | 4.79 | ||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||
Without CDSC | 2.61 | 4.60 | 6.28 | 4.64 | ||||||||||||||||
With CDSC**** | 1.61 | 3.60 | 6.28 | 4.64 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 2.84 | 5.06 | 6.77 | 5.13 | |||||||||||||||
SELECT CLASS SHARES | 2/8/93 | 3.10 | 5.59 | 7.32 | 5.64 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 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 (8/31/02 TO 8/31/12)
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 its inception are based on the performance of Select Class Shares, the original class offered. With respect to Class R2 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Government Bond Fund, the Barclays U.S. Government Bond Index and the Lipper General U.S. Government Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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.
Fund 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 annual 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.
8 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 4.59% | |||
Barclays U.S. Corporate High Yield — 2% Issuer Capped Index | 4.80% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 12,002,181 | ||
Duration as of 8/31/2012 | 4.6 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 which are rated below investment grade or unrated. Capital appreciation is a secondary objective.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
Demand for high yield fixed income securities (also known as “junk bonds”) was supported by investors’ search for yield during the reporting period, which created a positive technical environment for the asset class. Meanwhile, accommodative policies from central banks bolstered investors’ appetite for risk, while corporate earnings and balance sheets remained strong. These factors provided additional support for high yield bonds.
The Fund (Select Class Shares) underperformed the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”) for the six months ended August 31, 2012. The Fund’s underperformance was driven, in part, by its positions in leveraged loans, which are not held in the Benchmark and underperformed during the reporting period. The Fund’s security selection in the consumer cyclical, technology, and utilities sectors was negative. On asset allocation, an underweight position in the utilities sector detracted from relative performance. This was partially offset by positive security selection in the capital goods, communication, energy, and finance sectors.
HOW WAS THE FUND POSITIONED?
As of the end of the reporting period the Fund was underweight versus the Benchmark in the Ba and Caa and lower rated sectors, and overweight versus the Benchmark in the B, Baa and Not Rated sectors.
The Fund allocated a percentage of its assets to leveraged loans during the reporting period. The Fund’s portfolio managers believed that leveraged loans represented attractive investment opportunities based on the following factors: their spread over LIBOR remains attractive, they tend to have better covenants than high yield bonds, they are senior in the capital structure and are secured by tangible assets, and their coupons tend to adjust upward in the event of rising interest rates (although they may not adjust at the same rate or as much as general interest rates).
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 79.1 | % | ||
Loan Participations & Assignments | 12.5 | |||
Others (each less than 1.0%) | 2.8 | |||
Short-Term Investments | 5.6 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 9 |
Table of Contents
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 11/13/98 | |||||||||||||||||||
Without Sales Charge | 4.49 | % | 12.50 | % | 8.17 | % | 9.66 | % | ||||||||||||
With Sales Charge** | 0.54 | 8.31 | 7.34 | 9.23 | ||||||||||||||||
CLASS B SHARES | 11/13/98 | |||||||||||||||||||
Without CDSC | 4.13 | 11.74 | 7.47 | 9.08 | ||||||||||||||||
With CDSC *** | (0.87 | ) | 6.74 | 7.16 | 9.08 | |||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||
Without CDSC | 4.14 | 11.77 | 7.46 | 8.94 | ||||||||||||||||
With CDSC**** | 3.14 | 10.77 | 7.46 | 8.94 | ||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 4.37 | 12.12 | 7.87 | 9.36 | |||||||||||||||
CLASS R5 SHARES | 5/15/06 | 4.62 | 12.78 | 8.47 | 9.98 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 4.76 | 12.81 | 8.53 | 10.01 | |||||||||||||||
SELECT CLASS SHARES | 11/13/98 | 4.59 | 12.74 | 8.43 | 9.94 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 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 (8/31/02 TO 8/31/12)
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. With respect to Class R2 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes. Class R5, Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan High Yield Fund, the Barclays U.S. Corporate High Yield — 2% Issuer Capped Index and the Lipper High Current Yield Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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.
Fund 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 annual 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.
10 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 1.60% | |||
Barclays 1-10 Year U.S. TIPS Index | 2.17% | |||
Barclays U.S. Intermediate Aggregate Index | 2.25% | |||
Inflation Managed Bond Composite Benchmark1 | 1.15% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 1,376,373 | ||
Duration as of 8/31/2012 | 2.4 years |
INVESTMENT OBJECTIVE**
The JPMorgan Inflation Managed Bond Fund (the “Fund”) seeks to maximize inflation protected total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund used zero-coupon inflation-linked swaps in combination with fixed income securities to create a synthetic portfolio of inflation protected securities. The Fund was designed to protect the total return generated by its core fixed income holdings from inflation risk.
The duration of the Fund’s core fixed income holdings was shorter than the duration of the Barclays 1-10 Year U.S. TIPS Index 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 in price as interest rates go down or up, respectively, versus bonds with shorter duration.
The Fund outperformed its composite benchmark during the six months ended August 31, 2012. The Fund’s relative performance versus the composite benchmark benefited as its investments in agency securities, investment grade corporate debt securities and mortgage-backed securities performed strongly during the reporting period.
Meanwhile, a sharp decline in the price of crude oil and disappointing economic data caused investors to lower their expectations for future inflation. Breakeven rates (the difference in yield between Treasury Inflation Protected Securities and U.S. Treasury securities of the same maturity), declined across the yield curve (the yield curve shows the relationship between yields and maturity dates at a given point in time) and the Fund’s use of zero-coupon inflation-linked swaps detracted from its absolute return during the reporting period. However, the Fund’s zero-coupon inflation-linked swaps contributed to
relative performance versus the composite benchmark largely as a result of the Fund’s overall duration underweight as well as the Fund’s positioning on the breakeven curve.
HOW WAS THE FUND POSITIONED?
Among the Fund’s fixed income holdings, the Fund’s portfolio managers 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.
The Fund’s portfolio managers aim to protect the portfolio from inflation risk across maturities. Therefore, the curve positioning of the underlying core bonds is used as the general basis for the Fund’s inflation swap positioning. The Fund’s portfolio managers believe that matching the duration of the inflation protection to the duration of the underlying bonds is the most effective and efficient way to protect the portfolio from both actual realized inflation as well as the loss of value that results from an increase in inflation expectations. However, the inflation protection is actively managed, and the Fund’s portfolio managers may elect to deviate from the curve positioning of the underlying bonds as a result of opportunities that result from macroeconomic, technical or other factors. Over the reporting period, the portfolio managers elected to increase inflation protection on the short end of the curve above the weighting of the underlying cash bonds as a result of their belief that shorter-term inflation risk was attractively valued. Similarly, the Fund’s portfolio managers elected to reduce the Fund’s inflation protection in the 5-year part of the curve as a result of this sector’s relatively strong performance.
1 | The Fund’s composite benchmark is calculated by adding the performance return of the Barclays Intermediate Government/Credit Index and 80% of the Barclays Inflation Swap 5 Year Zero Coupon Index. |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 11 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 31.8 | % | ||
Corporate Bonds | 21.3 | |||
U.S. Government Agency Securities | 20.7 | |||
U.S. Treasury Obligations | 14.0 | |||
Mortgage Pass-Through Securities | 5.1 | |||
Asset-Backed Securities | 2.6 | |||
Commercial Mortgage-Backed Securities | 1.9 | |||
Others (each less than 1.0%) | 0.2 | |||
Short-Term Investment | 2.4 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
12 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 3/31/10 | |||||||||||||||
Without Sales Charge | 1.55 | % | 4.60 | % | 5.62 | % | ||||||||||
With Sales Charge** | (2.27 | ) | 0.70 | 3.96 | ||||||||||||
CLASS C SHARES | 3/31/10 | |||||||||||||||
Without CDSC | 1.24 | 3.94 | 4.93 | |||||||||||||
With CDSC*** | 0.24 | 2.94 | 4.93 | |||||||||||||
CLASS R2 SHARES | 3/31/10 | 1.50 | 4.33 | 5.35 | ||||||||||||
CLASS R5 SHARES | 3/31/10 | 1.71 | 4.75 | 5.85 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 1.66 | 4.75 | 5.82 | ||||||||||||
SELECT CLASS SHARES | 3/31/10 | 1.60 | 4.73 | 5.73 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (3/31/2010 TO 8/31/12)
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 Fund commenced operations on March 31, 2010.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Inflation Managed Bond Fund, the Barclays 1–10 Year U.S. TIPS Index, the Barclays U.S. Intermediate Aggregate Index, the Inflation Managed Bond Composite Benchmark and the Lipper Treasury Inflation-Protected Securities Funds Index from March 31, 2010 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 1–10 Year U.S. TIPS Index and the Barclays U.S. Intermediate 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 gain distributions of securities included in the benchmarks. The performance of the Lipper Treasury Inflation-
Protected Securities Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Barclays 1–10 Year U.S. TIPS Index represents the performance of intermediate (1–10 year) U.S. Treasury Inflation Protection Securities. The Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. government, mortgage, corporate and asset-backed securities with maturities of one to 10 years. The Inflation Managed Bond Composite Benchmark is calculated by adding the performance return of the Barclays Intermediate Government/Credit Index and 80% of the Barclays Capital Inflation Swap 5 Year Zero Coupon Index. The Lipper Treasury Inflation-Protected Securities 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.
Fund 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, 2012 | J.P. MORGAN INCOME FUNDS | 13 |
Table of Contents
JPMorgan Limited Duration Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 3.12% | |||
Barclays 1–3 Year U.S. Government/Credit Bond Index | 0.66% | |||
Net Assets as of 8/31/2012 (In Thousands) | $388,215 | |||
Duration as of 8/31/2012 | 1.9 years |
INVESTMENT OBJECTIVE**
The JPMorgan Limited Duration Bond Fund (the “Fund”) seeks a high level of current income consistent with low volatility of principal.1
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the six months ended August 31, 2012, the Fund’s outperformance of the Barclays 1–3 Year U.S. Government/Credit Bond Index was driven primarily by its investments in spread sectors (non-U.S. Treasuries). During the reporting period, the U.S. Federal Open Market Committee extended its $400 billion “Operation Twist” program through the end of 2012, while many investors anticipated the additional round of quantitative easing that was announced shortly after the end of the reporting period. Meanwhile, in June, European leaders agreed to ease repayment rules for emergency loans to Spanish banks and relax conditions on potential help for Italy, increasing optimism that Europe’s debt crisis may be contained. These actions helped generate a rally in spread sectors. The Fund’s asset-backed securities, non-agency mortgage-backed securities and commercial mortgage-backed securities performed particularly well.
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 continued to invest its assets in mortgage- and asset-backed securities, which the Fund’s portfolio managers
believed offered attractive investment opportunities with relatively higher yield. During the reporting period, the Fund’s portfolio managers used a money market fund to maintain a high degree of liquidity for the Fund.
1 | Effective May 2, 2012, following approval from the Fund’s Board of Trustees, shareholders approved the change to the Fund’s investment objective. The current investment objective is stated above. Prior to May 2, 2012, the Fund’s investment objective was to seek a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities. |
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 58.4 | % | ||
Mortgage Pass-Through Securities | 14.0 | |||
Asset-Backed Securities | 13.5 | |||
Commercial Mortgage-Backed Securities | 3.1 | |||
Corporate Bond | 0.4 | |||
Short-Term Investment | 10.6 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
14 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 3/10/93 | |||||||||||||||||||
Without Sales Charge | 3.10 | % | 4.51 | % | 3.19 | % | 2.90 | % | ||||||||||||
With Sales Charge** | 0.76 | 2.12 | 2.72 | 2.67 | ||||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||
Without CDSC | 2.75 | 3.92 | 2.66 | 2.59 | ||||||||||||||||
With CDSC*** | (0.25 | ) | 0.92 | 2.66 | 2.59 | |||||||||||||||
CLASS C SHARES | 11/1/01 | 2.76 | 3.94 | 2.68 | 2.38 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 3.32 | 4.97 | 3.68 | 3.32 | |||||||||||||||
SELECT CLASS SHARES | 2/2/93 | 3.12 | 4.69 | 3.44 | 3.15 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes a 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (8/31/02 TO 8/31/12)
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 its 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 Limited Duration Bond Fund, the Barclays 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short-Intermediate Investment Grade Debt Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 1–3 Year U.S. Government/Credit Bond Index does not reflect the deduction of expenses or sales charges associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Short-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 incurred by the Fund. The Barclays 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-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. The Fund’s Lipper Index changed to Lipper Short-Intermediate Investment Grade Debt Funds Index because Lipper recategorized the Fund. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment.
Fund 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 annual 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, 2012 | J.P. MORGAN INCOME FUNDS | 15 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 2.74% | |||
Barclays U.S. MBS Index | 2.08% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 4,120,789 | ||
Duration as of 8/31/2012 | 3.0 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 U.S. MBS Index (the “Benchmark”) consisted almost entirely of agency securities (“index passthroughs”). Non-agency CMOs outperformed index passthroughs and contributed to relative performance. In general the Fund’s security selection among agency mortgage-backed securities was positive. However, some of the Fund’s agency mortgage-backed securities that originated in 2006 and 2007 detracted from 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.
PORTFOLIO COMPOSITION*** | ||||
Collateralized Mortgage Obligations | 49.6 | % | ||
Mortgage Pass-Through Securities | 31.5 | |||
U.S. Treasury Obligations | 3.6 | |||
Asset-Backed Securities | 2.9 | |||
Commercial Mortgage-Backed Securities | 2.2 | |||
U.S. Government Agency Securities | 0.3 | |||
Short-Term Investment | 9.9 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
16 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 8/18/00 | |||||||||||||||||||
Without Sales Charge | 2.63 | % | 5.41 | % | 7.62 | % | 5.72 | % | ||||||||||||
With Sales Charge** | (1.24 | ) | 1.49 | 6.80 | 5.31 | |||||||||||||||
CLASS C SHARES | 7/2/12 | |||||||||||||||||||
Without CDSC | 2.35 | 4.93 | 7.09 | 5.15 | ||||||||||||||||
With CDSC*** | 1.35 | 3.93 | 7.09 | 5.15 | ||||||||||||||||
CLASS R6 SHARES | 2/22/05 | 2.80 | 5.86 | 8.05 | 6.07 | |||||||||||||||
SELECT CLASS SHARES | 8/18/00 | 2.74 | 5.73 | 7.89 | 5.96 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (8/31/02 TO 8/31/12)
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. With respect to Class C Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes. Class R6 and Select Class Shares would have substantially similar performance because the shares are invested in the same portfolio of securities, and the performance would differ only to the extent that the classes have different expenses.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mortgage-Backed Securities Fund, the Barclays U.S. MBS Index and the Lipper U.S. Mortgage Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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.
Fund 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, 2012 | J.P. MORGAN INCOME FUNDS | 17 |
Table of Contents
JPMorgan Short Duration Bond Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 0.92% | |||
Barclays 1–3 Year U.S. Government/Credit Bond Index | 0.66% | |||
Net Assets as of 8/31/2012 (In Thousands) | $ | 11,916,226 | ||
Duration as of 8/31/2012 | 1.8 years |
INVESTMENT OBJECTIVE**
The JPMorgan Short Duration Bond Fund (the “Fund”) seeks current income consistent with preservation of capital through investment in high- and medium-grade fixed income securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the six months ended August 31, 2012, the Fund’s outperformance versus the Barclays 1–3 Year U.S. Government/Credit Bond Index (the “Benchmark”) was driven by its overweight to spread sectors (non-U.S. Treasury securities). In addition, the Fund invested in mortgage-backed securities (“MBS”), asset-backed securities (“ABS”) and commercial-mortgage-backed securities (“CMBS”) as a higher quality/ higher yielding alternative to those portions of the credit sector that the Fund’s portfolio managers believed were not attractive. This positioning contributed to the Fund’s 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 was positioned with an underweight to U.S. Treasuries and an overweight to spread sectors. The Fund was overweight in 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, which did not perform as
well (the yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time). The Fund was overweight in MBS, ABS and CMBS, all of which are not in the Benchmark, and was underweight the credit sector. The Fund’s total position in ABS, CMBS, non-agency MBS and credit securities resulted in an overweight relative to the credit portion of the Benchmark.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 32.0 | % | ||
U.S. Government Agency Securities | 19.4 | |||
Corporate Bonds | 18.0 | |||
Collateralized Mortgage Obligations | 9.5 | |||
Asset-Backed Securities | 7.8 | |||
Mortgage Pass-Through Securities | 7.4 | |||
Commercial Mortgage-Backed Securities | 4.0 | |||
Others (each less than 1.0%) | 0.5 | |||
Short-Term Investment | 1.4 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
18 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||||||
Without Sales Charge | 0.80 | % | 1.29 | % | 3.22 | % | 2.99 | % | ||||||||||||
With Sales Charge** | (1.44 | ) | (0.96 | ) | 2.76 | 2.75 | ||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||
Without CDSC | 0.54 | 0.75 | 2.70 | 2.68 | ||||||||||||||||
With CDSC*** | (2.46 | ) | (2.25 | ) | 2.70 | 2.68 | ||||||||||||||
CLASS C SHARES | 11/1/01 | 0.55 | 0.79 | 2.70 | 2.47 | |||||||||||||||
CLASS R6 SHARES | 2/22/05 | 1.04 | 1.88 | 3.74 | 3.45 | |||||||||||||||
SELECT CLASS SHARES | 9/4/90 | 0.92 | 1.62 | 3.49 | 3.25 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes a 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (8/31/02 TO 8/31/12)
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 its 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 Short Duration Bond Fund, the Barclays 1–3 Year U.S. Government/Credit Bond Index and the Lipper Short U.S. Government Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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.
Fund 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 annual 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, 2012 | J.P. MORGAN INCOME FUNDS | 19 |
Table of Contents
JPMorgan Short Term Bond Fund II
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 0.63% | |||
Barclays 1–3 Year U.S. Government Bond Index | 0.40% | |||
Net Assets as of 8/31/2012 (In Thousands) | $60,359 | |||
Duration as of 8/31/2012 | 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?
During the six months ended August 31, 2012, the Fund’s outperformance versus the Barclays 1–3 Year U.S. Government Bond Index (the “Benchmark”) was driven by its overweight to spread sectors (non-U.S. Treasury securities).
The Fund’s investments in spread sectors and security selection were the main contributors to relative performance. The Fund’s mortgage-backed securities (“MBS”), asset-backed securities (“ABS”), and exposure to the credit sector all produced strong performance relative to the Benchmark — these sectors are not included in the Benchmark. 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 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, which did not perform as well.
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 was positioned with an underweight to U.S. Treasuries and an overweight to spread sectors.
INFORMATION ABOUT YOUR FUND
At their meeting on August 23, 2012, the Board of Trustees of the Fund approved the liquidation of the Fund, which will occur on or about November 29, 2012.
PORTFOLIO COMPOSITION*** | ||||
U.S. Government Agency Securities | 33.7 | % | ||
U.S. Treasury Obligations | 32.0 | |||
Corporate Bonds | 19.8 | |||
Asset-Backed Securities | 6.0 | |||
Collateralized Mortgage Obligations | 5.0 | |||
Mortgage Pass-Through Securities | 1.7 | |||
Others (each less than 1.0%) | 0.7 | |||
Short-Term Investment | 1.1 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return 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. |
** | 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, 2012. The Fund’s portfolio composition is subject to change. |
20 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 5/6/96 | |||||||||||||||||||
Without Sales Charge | 0.51 | % | 1.01 | % | 0.43 | % | 1.35 | % | ||||||||||||
With Sales Charge** | (1.74 | ) | (1.22 | ) | (0.02 | ) | 1.12 | |||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||||
Without Sales Charge | 0.38 | 0.65 | 0.18 | 1.10 | ||||||||||||||||
With Sales Charge*** | (1.09 | ) | (0.92 | ) | (0.12 | ) | 0.94 | |||||||||||||
SELECT CLASS SHARES | 11/30/90 | 0.63 | 1.26 | 0.69 | 1.61 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Sales Charge for Class M Shares is 1.50%. |
TEN YEAR PERFORMANCE (8/31/02 TO 8/31/12)
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 Short Term Bond Fund II, the Barclays 1–3 Year U.S. Government Bond Index and the Lipper Short U.S. Government Funds Index from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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.
Fund 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, 2012 | J.P. MORGAN INCOME FUNDS | 21 |
Table of Contents
JPMorgan Treasury & Agency Fund
FUND COMMENTARY
SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 0.47% | |||
Barclays 1–5 Year U.S. Treasury Index | 0.83% | |||
Net Assets as of 8/31/2012 (In Thousands) | $333,629 | |||
Duration as of 8/31/2012 | 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?
During the six months ended August 31, 2012, the Fund’s underperformance versus the Barclays 1-5 Year U.S. Treasury Index (the “Benchmark”) was driven by the Fund’s shorter duration, 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.
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. In addition to investments in U.S. Treasury securities, the Fund invested in U.S. agency securities, which are not represented in the Benchmark.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 75.2 | % | ||
U.S. Government Agency Securities | 18.6 | |||
Short-Term Investment | 6.2 |
* | The return shown is based on the net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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, 2012. The Fund’s portfolio composition is subject to change. |
22 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2012 | ||||||||||||||||||||
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
CLASS A SHARES | 1/20/97 | |||||||||||||||||||
Without Sales Charge | 0.45 | % | 0.30 | % | 2.95 | % | 2.92 | % | ||||||||||||
With Sales Charge** | (1.77 | ) | (1.98 | ) | 2.49 | 2.69 | ||||||||||||||
CLASS B SHARES | 1/20/97 | |||||||||||||||||||
Without CDSC | 0.11 | (0.19 | ) | 2.43 | 2.60 | |||||||||||||||
With CDSC*** | (2.89 | ) | (3.19 | ) | 2.43 | 2.60 | ||||||||||||||
SELECT CLASS SHARES | 1/20/97 | 0.47 | 0.44 | 3.20 | 3.17 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes a 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (8/31/02 TO 8/31/12)
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 1–5 Year U.S. Treasury Index, the Barclays 1–3 Year U.S. Treasury Index and the Lipper Short U.S. Treasury Funds Average from August 31, 2002 to August 31, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays 1–5 Year U.S. Treasury Index and the Barclays 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 gain distributions 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 incurred by the Fund. The Barclays 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 1–3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury issued securities with maturities of one to three years. The Lipper Short U.S. Treasury Funds Average is an average based on the total returns of all 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 $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 6 years, the 10 Year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 23 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 5.5% |
| ||||||
20,345 | Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.036%, 12/27/22 (e) | 20,345 | ||||||
AH Mortgage Advance Trust, (Cayman Islands), | ||||||||
16,088 | Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 16,128 | ||||||
49,850 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 49,975 | ||||||
23,366 | Series SART-2, Class A1, 3.270%, 09/15/43 (e) | 23,632 | ||||||
7,000 | Series SART-2, Class B1, 6.900%, 09/15/43 (e) | 7,011 | ||||||
16,471 | Series SART-3, Class 1A1, 2.980%, 03/13/43 (e) | 16,585 | ||||||
32,446 | Series SART-3, Class 1A2, 3.720%, 03/13/44 (e) | 32,770 | ||||||
Ally Auto Receivables Trust, | ||||||||
1,229 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 1,232 | ||||||
7,740 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 7,764 | ||||||
5,804 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 5,884 | ||||||
3,761 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 3,771 | ||||||
3,819 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 3,841 | ||||||
9,057 | Series 2012-1, Class A3, 0.930%, 02/16/16 | 9,132 | ||||||
2,222 | Series 2012-1, Class A4, 1.210%, 07/15/16 | 2,262 | ||||||
12,813 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 12,885 | ||||||
20,000 | Series 2012-3, Class A2, 0.700%, 01/15/15 | 20,038 | ||||||
9,709 | Series 2012-3, Class A3, 0.850%, 08/15/16 | 9,771 | ||||||
20,742 | Series 2012-4, Class A2, 0.480%, 05/15/15 | 20,764 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
2,271 | Series 2012-1, Class A1, 1.960%, 01/15/14 (e) | 2,271 | ||||||
7,680 | Series 2012-1, Class A2, 3.040%, 10/15/15 (e) | 7,690 | ||||||
23,658 | Series 2012-2, Class A, 1.890%, 07/15/16 (e) | 23,723 | ||||||
2,164 | Series 2012-2, Class B, 2.750%, 02/15/18 (e) | 2,171 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1,156 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 1,167 | ||||||
6,525 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 6,541 | ||||||
1,180 | Series 2010-4, Class A2, 0.960%, 05/08/14 | 1,180 | ||||||
3,375 | Series 2010-4, Class A3, 1.270%, 04/08/15 | 3,381 | ||||||
1,066 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 1,066 | ||||||
3,400 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 3,418 | ||||||
6,535 | Series 2011-3, Class A2, 0.840%, 11/10/14 | 6,542 | ||||||
2,173 | Series 2011-4, Class A2, 0.920%, 03/09/15 | 2,177 | ||||||
11,311 | Series 2011-4, Class A3, 1.170%, 05/09/16 | 11,385 | ||||||
12,349 | Series 2011-5, Class A3, 1.550%, 07/08/16 | 12,548 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
9,395 | Series 2012-1, Class A2, 0.910%, 10/08/15 | 9,420 | ||||||
2,353 | Series 2012-1, Class A3, 1.230%, 09/08/16 | 2,380 | ||||||
4,959 | Series 2012-2, Class A2, 0.760%, 10/08/15 | 4,968 | ||||||
2,533 | Series 2012-2, Class A3, 1.050%, 10/11/16 | 2,555 | ||||||
7,500 | Series 2012-3, Class A2, 0.710%, 12/08/15 | 7,516 | ||||||
3,857 | Series 2012-3, Class A3, 0.960%, 01/09/17 | 3,887 | ||||||
330 | Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 330 | ||||||
11,473 | Asset-Backed Funding Certificates, Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35 | 11,631 | ||||||
Bank of America Auto Trust, | ||||||||
1,420 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 1,431 | ||||||
363 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 363 | ||||||
4,255 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,295 | ||||||
1,373 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 1,376 | ||||||
7,795 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 7,902 | ||||||
7,661 | Series 2012-1, Class A3, 0.780%, 06/15/16 | 7,698 | ||||||
1,277 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.605%, 04/25/36 | 1,082 | ||||||
7,779 | BMW Vehicle Lease Trust, Series 2012-1, Class A3, 0.750%, 02/20/15 | 7,810 | ||||||
7,600 | Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) | 7,773 | ||||||
CarMax Auto Owner Trust, | ||||||||
1,267 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 1,270 | ||||||
10,671 | Series 2011-1, Class A3, 1.290%, 09/15/15 | 10,734 | ||||||
11,120 | Series 2011-1, Class A4, 2.160%, 09/15/16 | 11,455 | ||||||
10,801 | Series 2011-3, Class A3, 1.070%, 06/15/16 | 10,887 | ||||||
3,060 | CarNow Auto Receivables Trust, | 3,061 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
3,262 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 3,437 | ||||||
4,250 | Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34 | 3,867 | ||||||
10,767 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 10,110 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
80 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 80 | ||||||
5,279 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 5,281 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
5,400 | Series 2010-A, Class B, 1.650%, 11/08/13 | 5,412 | ||||||
950 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,305 | ||||||
585 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 585 | ||||||
2,334 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.848%, 08/25/33 | 2,287 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
1,410 | Series 2003-HE3, Class A, VAR, 0.615%, 12/25/33 | 1,283 | ||||||
13,218 | Series 2011-5, Class 1A1, VAR, 0.425%, 02/25/46 (e) (f) (i) | 12,174 | ||||||
CNH Equipment Trust, | ||||||||
80 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 80 | ||||||
9,280 | Series 2010-C, Class A3, 1.170%, 05/15/15 | 9,313 | ||||||
5,740 | Series 2011-A, Class A3, 1.200%, 05/16/16 | 5,773 | ||||||
4,801 | Series 2011-A, Class A4, 2.040%, 10/17/16 | 4,946 | ||||||
10,872 | Series 2012-A, Class A2, 0.650%, 07/15/15 | 10,887 | ||||||
8,277 | Series 2012-A, Class A3, 0.940%, 05/15/17 | 8,344 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
816 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 | 641 | ||||||
11 | Series 2004-1, Class 3A, VAR, 0.795%, 04/25/34 | 9 | ||||||
1,290 | Series 2004-1, Class M1, VAR, 0.986%, 03/25/34 | 1,127 | ||||||
610 | Series 2004-1, Class M2, VAR, 1.060%, 03/25/34 | 548 | ||||||
1,065 | Series 2004-6, Class M1, VAR, 0.835%, 10/25/34 | 821 | ||||||
CPS Auto Trust, | ||||||||
3,399 | Series 2011-B, Class A, 3.680%, 09/17/18 (e) | 3,485 | ||||||
11,687 | Series 2011-C, Class A, 4.210%, 03/15/19 (e) | 12,246 | ||||||
6,910 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 6,926 | ||||||
26,936 | Series 2012-B, Class A, 2.520%, 09/16/19 (e) | 27,024 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
9,207 | Series 2011-1, Class A, 2.610%, 03/15/19 (e) | 9,342 | ||||||
4,711 | Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 4,739 | ||||||
407 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.546%, 11/25/35 | 382 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
914 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.350%, 01/25/36 | 476 | ||||||
Discover Card Master Trust, | ||||||||
2,400 | Series 2008-A4, Class A4, 5.650%, 12/15/15 | 2,499 | ||||||
5,078 | Series 2012-A1, Class A1, 0.810%, 08/15/17 | 5,119 | ||||||
9,885 | DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 (e) | 9,888 | ||||||
901 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.335%, 12/25/36 | 858 | ||||||
13,500 | First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e) | 13,523 | ||||||
7,669 | Flagship Credit Auto Trust, Series 2012-1, Class A, 1.860%, 01/15/15 (e) | 7,672 | ||||||
5,006 | Ford Credit Auto Lease Trust, Series 2011-A, Class A2, 0.740%, 09/15/13 | 5,010 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
4,079 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 4,143 | ||||||
182 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 182 | ||||||
1,761 | Series 2011-B, Class A2, 0.680%, 01/15/14 | 1,762 | ||||||
14,025 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 14,108 | ||||||
8,800 | Series 2012-B, Class A3, 0.720%, 12/15/16 | 8,839 | ||||||
18,491 | Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) | 18,863 | ||||||
Freedom Trust, | ||||||||
5,491 | Series 2011-1, Class A13, VAR, 0.402%, 11/30/37 (e) (f) (i) | 5,340 | ||||||
10,467 | Series 2011-2, Class A11, VAR, 4.003%, 08/01/46 (e) | 10,478 | ||||||
9,764 | Series 2012-1, Class A19, VAR, 4.440%, 09/25/41 (e) (f) (i) | 9,935 | ||||||
938 | GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 853 | ||||||
201 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.316%, 03/25/36 | 104 | ||||||
4,120 | Harley-Davidson Motorcycle Trust, | 4,129 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
1,569 | Series 2009-2, Class A4, 4.430%, 07/15/15 | 1,572 | ||||||
3,333 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 3,349 | ||||||
5,200 | Series 2011-1, Class A4, 1.800%, 04/17/17 | 5,304 | ||||||
5,399 | Series 2012-1, Class A3, 0.770%, 01/15/16 | 5,428 | ||||||
3,377 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 3,416 | ||||||
5,781 | Series 2012-2, Class A3, 0.700%, 02/16/16 | 5,819 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 25 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
HSBC Home Equity Loan Trust, | ||||||||
2,571 | Series 2005-2, Class A1, VAR, 0.507%, 01/20/35 | 2,433 | ||||||
2,095 | Series 2005-2, Class M2, VAR, 0.727%, 01/20/35 | 1,883 | ||||||
4,516 | Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 | 4,284 | ||||||
1,971 | Series 2006-2, Class A1, VAR, 0.387%, 03/20/36 | 1,875 | ||||||
3,898 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 3,922 | ||||||
842 | Series 2007-1, Class AS, VAR, 0.437%, 03/20/36 | 787 | ||||||
10,418 | Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 | 9,986 | ||||||
Huntington Auto Trust, | ||||||||
4,575 | Series 2011-1A, Class A2, 0.760%, 04/15/14 (e) | 4,579 | ||||||
8,000 | Series 2011-1A, Class A3, 1.010%, 01/15/16 (e) | 8,046 | ||||||
8,600 | Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 8,738 | ||||||
6,432 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 6,464 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
3,079 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 3,090 | ||||||
6,300 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 6,437 | ||||||
5,675 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 5,704 | ||||||
4,680 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 4,780 | ||||||
3,880 | Series 2011-B, Class A3, 1.040%, 09/15/15 | 3,903 | ||||||
5,798 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 5,929 | ||||||
8,655 | Series 2012-A, Class A3, 0.720%, 03/15/16 | 8,687 | ||||||
9,512 | Series 2012-B, Class A2, 0.540%, 01/15/15 | 9,527 | ||||||
5,084 | Series 2012-B, Class A3, 0.620%, 09/15/16 | 5,098 | ||||||
1,311 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.435%, 03/25/36 | 746 | ||||||
John Deere Owner Trust, | ||||||||
5,015 | Series 2011-A, Class A3, 1.290%, 01/15/16 | 5,049 | ||||||
3,915 | Series 2011-A, Class A4, 1.960%, 04/16/18 | 4,016 | ||||||
9,146 | Series 2012-B, Class A2, 0.430%, 02/17/15 | 9,146 | ||||||
6,541 | Series 2012-B, Class A4, 0.690%, 01/15/19 | 6,539 | ||||||
4,492 | LAI Vehicle Lease Securitization Trust, Series 2010-A, Class A, 2.550%, 09/15/16 (e) (f) (i) | 4,492 | ||||||
11,179 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.585%, 07/25/34 (e) | 11,009 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
5,600 | Series 2004-1, Class M1, VAR, 0.986%, 02/25/34 | 4,594 | ||||||
1,500 | Series 2004-3, Class M1, VAR, 1.091%, 07/25/34 | 1,189 | ||||||
1,245 | Series 2006-8, Class 2A2, VAR, 0.326%, 09/25/36 | 455 | ||||||
1,540 | Series 2006-WL2, Class 2A3, VAR, 0.435%, 01/25/36 | 1,262 | ||||||
8,666 | Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.486%, 03/25/32 | 8,006 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
507 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 509 | ||||||
2,267 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 2,276 | ||||||
3,273 | Series 2011-1, Class A3, 0.850%, 03/16/15 | 3,285 | ||||||
Mid-State Trust, | ||||||||
12,153 | Series 2006-1, Class M1, 6.083%, 10/15/40 (e) | 12,113 | ||||||
6,533 | Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 6,746 | ||||||
11,758 | Series 2010-1, Class M, 5.250%, 12/15/45 (e) | 12,147 | ||||||
21,300 | MMCA Automobile Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e) | 21,573 | ||||||
629 | Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 0.986%, 01/25/35 | 625 | ||||||
10,293 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.591%, 12/07/20 | 10,329 | ||||||
4,000 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.191%, 11/25/33 | 4,117 | ||||||
4,548 | Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e) | 4,561 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
4,784 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 4,795 | ||||||
4,740 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 4,786 | ||||||
6,594 | Series 2012-A, Class A3, 0.730%, 05/16/16 | 6,661 | ||||||
3,329 | Series 2012-A, Class A4, 1.000%, 07/16/18 | 3,393 | ||||||
238 | Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.076%, 02/25/33 | 196 | ||||||
15,530 | Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.861%, 10/25/34 | 14,785 | ||||||
7,611 | PennyMac Loan Trust, Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i) | 7,616 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
RAMP Trust, | ||||||||
6,925 | Series 2004-RS11, Class M1, VAR, 0.856%, 11/25/34 | 6,594 | ||||||
10,000 | Series 2005-EFC5, Class A3, VAR, 0.575%, 10/25/35 | 8,906 | ||||||
26,339 | Series 2006-RZ1, Class A3, VAR, 0.536%, 03/25/36 | 23,088 | ||||||
RASC Trust, | ||||||||
66 | Series 2002-KS4, Class AIIB, VAR, 0.736%, 07/25/32 | 42 | ||||||
90 | Series 2003-KS5, Class AIIB, VAR, 0.816%, 07/25/33 | 68 | ||||||
107 | Series 2003-KS9, Class A2B, VAR, 0.875%, 11/25/33 | 77 | ||||||
2,008 | Series 2005-KS9, Class A3, VAR, 0.605%, 10/25/35 | 1,950 | ||||||
4,131 | RBSSP Resecuritization Trust, Series 2010-4, Class 2A1, SUB, 5.749%, 11/26/35 (e) | 4,209 | ||||||
Real Estate Asset Trust, | ||||||||
3,893 | Series 2011-2A, Class A1, 5.750%, | 3,893 | ||||||
16,018 | Series 2012-2A, Class A1, VAR, 4.460%, 08/25/42 (e) (f) (i) | 16,018 | ||||||
3,500 | Series 2012-2A, Class A2, VAR, 6.660%, 08/25/42 (e) (f) (i) | 3,500 | ||||||
100 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 43 | ||||||
15,452 | Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) | 15,489 | ||||||
61,609 | Resort Finance Timeshare Receivables Trust, Series 2012-1, Class A1, SUB, 6.250%, 07/05/18 (f) (i) | 61,609 | ||||||
1,275 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e) | 1,087 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3,943 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 3,945 | ||||||
1,166 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 1,175 | ||||||
4,595 | Series 2010-A, Class A4, 2.390%, 06/15/17 (e) | 4,717 | ||||||
2,523 | Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 2,537 | ||||||
3,637 | Series 2011-S2A, Class D, 3.350%, 06/15/17 (e) | 3,644 | ||||||
11,409 | Series 2012-1, Class A2, 1.250%, 04/15/15 | 11,460 | ||||||
2,753 | Series 2012-1, Class A3, 1.490%, 10/15/15 | 2,786 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
7,857 | Series 2012-2, Class A2, 0.910%, 05/15/15 | 7,882 | ||||||
3,667 | Series 2012-2, Class A3, 1.220%, 12/15/15 | 3,697 | ||||||
7,000 | Series 2012-3, Class A2, 0.830%, 04/15/15 | 7,020 | ||||||
3,965 | Series 2012-3, Class A3, 1.080%, 04/15/16 | 3,990 | ||||||
6,300 | Series 2012-5, Class A2, 0.570%, 12/15/15 | 6,307 | ||||||
4,080 | Series 2012-5, Class A3, 0.830%, 12/15/16 | 4,101 | ||||||
4,092 | Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33 | 4,091 | ||||||
6,103 | SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e) | 6,112 | ||||||
8,353 | Stanwich Mortgage Loan Trust, Series 2012-NPL3, Class A, 4.213%, 05/15/42 (e) | 8,386 | ||||||
4,087 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.506%, 06/25/35 | 4,031 | ||||||
Structured Asset Securities Corp., | ||||||||
2,343 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 2,369 | ||||||
1,012 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 926 | ||||||
2,913 | Series 2002-AL1, Class A3, 3.450%, 02/25/32 | 2,635 | ||||||
4,312 | Series 2004-6XS, Class A5A, SUB, 5.530%, 03/25/34 | 4,335 | ||||||
3,450 | Series 2004-6XS, Class A5B, SUB, 5.550%, 03/25/34 | 3,469 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
6,789 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 6,797 | ||||||
11,581 | Series 2011-A, Class A3, 0.980%, 10/15/14 | 11,611 | ||||||
4,585 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 4,658 | ||||||
24,890 | Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.639%, 10/15/15 (e) | 25,283 | ||||||
314 | Union Pacific Railroad Co. 2003 Pass-Through Trust, 4.698%, 01/02/24 | 344 | ||||||
2,852 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 2,879 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
18,400 | Series 2012-A, Class A2, 0.660%, 11/20/14 | 18,481 | ||||||
11,550 | Series 2012-A, Class A3, 0.870%, 07/20/15 | 11,622 | ||||||
17,021 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 17,131 | ||||||
VOLT LLC, | ||||||||
53,059 | Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) | 53,059 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 27 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
25,763 | Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (f) (i) | 25,830 | ||||||
2,250 | Series 2012-RP2A, Class A2, 8.836%, 06/26/17 (e) | 2,262 | ||||||
28,839 | Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) | 28,861 | ||||||
3,998 | Westlake Automobile Receivables Trust, Series 2011-1A, Class A3, 1.490%, 06/16/14 (e) | 4,004 | ||||||
World Omni Auto Receivables Trust, | ||||||||
7,045 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 7,133 | ||||||
7,216 | Series 2012-A, Class A2, 0.520%, 06/15/15 | 7,227 | ||||||
4,739 | Series 2012-A, Class A3, 0.640%, 02/15/17 | 4,761 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
4,875 | Series 2012-A, Class A2, 0.710%, 01/15/15 | 4,882 | ||||||
2,231 | Series 2012-A, Class A3, 0.930%, 11/16/15 | 2,239 | ||||||
|
| |||||||
Total Asset-Backed Securities | 1,538,417 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 29.9% |
| ||||||
Agency CMO — 20.5% |
| |||||||
Federal Home Loan Bank, | ||||||||
845 | Series 2000-0606, Class Y, 5.270%, 12/28/12 | 855 | ||||||
7,349 | Series 9M-2012, Class A, 4.720%, 09/20/12 | 7,363 | ||||||
8,199 | Series TQ-2015, Class A, 5.065%, 10/20/15 | 8,826 | ||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | ||||||||
455 | Series 8, Class ZA, 7.000%, 03/25/23 | 516 | ||||||
277 | Series 24, Class ZE, 6.250%, 11/25/23 | 312 | ||||||
2,030 | Series 29, Class L, 7.500%, 04/25/24 | 2,345 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
58 | Series 11, Class D, 9.500%, 07/15/19 | 61 | ||||||
21 | Series 22, Class C, 9.500%, 04/15/20 | 23 | ||||||
33 | Series 23, Class F, 9.600%, 04/15/20 | 37 | ||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | ||||||
12 | Series 46, Class B, 7.800%, 09/15/20 | 13 | ||||||
6 | Series 47, Class F, 10.000%, 06/15/20 | 7 | ||||||
— | (h) | Series 85, Class C, 8.600%, 01/15/21 | — | (h) | ||||
22 | Series 99, Class Z, 9.500%, 01/15/21 | 24 | ||||||
64 | Series 114, Class H, 6.950%, 01/15/21 | 71 | ||||||
— | (h) | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 | 15 | |||||
— | (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 | 1 | |||||
13 | Series 1065, Class J, 9.000%, 04/15/21 | 16 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
6 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 | 12 | ||||||
14 | Series 1084, Class F, VAR, 1.200%, 05/15/21 | 14 | ||||||
10 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 | 20 | ||||||
19 | Series 1116, Class I, 5.500%, 08/15/21 | 21 | ||||||
63 | Series 1144, Class KB, 8.500%, 09/15/21 | 72 | ||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 2 | |||||
1 | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 | 24 | ||||||
42 | Series 1206, Class IA, 7.000%, 03/15/22 | 47 | ||||||
59 | Series 1250, Class J, 7.000%, 05/15/22 | 70 | ||||||
131 | Series 1343, Class LA, 8.000%, 08/15/22 | 157 | ||||||
52 | Series 1343, Class LB, 7.500%, 08/15/22 | 63 | ||||||
95 | Series 1370, Class JA, VAR, 1.400%, 09/15/22 | 95 | ||||||
92 | Series 1455, Class WB, IF, 4.550%, 12/15/22 | 98 | ||||||
840 | Series 1466, Class PZ, 7.500%, 02/15/23 | 970 | ||||||
12 | Series 1470, Class F, VAR, 2.116%, 02/15/23 | 13 | ||||||
147 | Series 1491, Class I, 7.500%, 04/15/23 | 170 | ||||||
478 | Series 1498, Class I, VAR, 1.400%, 04/15/23 | 478 | ||||||
640 | Series 1502, Class PX, 7.000%, 04/15/23 | 736 | ||||||
84 | Series 1505, Class Q, 7.000%, 05/15/23 | 97 | ||||||
341 | Series 1518, Class G, IF, 8.799%, 05/15/23 | 406 | ||||||
64 | Series 1541, Class M, HB, IF, 23.091%, 07/15/23 | 107 | ||||||
307 | Series 1541, Class O, VAR, 0.840%, 07/15/23 | 313 | ||||||
18 | Series 1570, Class F, VAR, 2.616%, 08/15/23 | 19 | ||||||
624 | Series 1573, Class PZ, 7.000%, 09/15/23 | 717 | ||||||
380 | Series 1591, Class PV, 6.250%, 10/15/23 | 395 | ||||||
9 | Series 1595, Class D, 7.000%, 10/15/13 | 9 | ||||||
34 | Series 1596, Class D, 6.500%, 10/15/13 | 35 | ||||||
51 | Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 | 84 | ||||||
8 | Series 1607, Class SA, HB, IF, 20.690%, 10/15/13 | 9 | ||||||
2,181 | Series 1608, Class L, 6.500%, 09/15/23 | 2,462 | ||||||
633 | Series 1609, Class LG, IF, 16.792%, 11/15/23 | 744 | ||||||
793 | Series 1642, Class PJ, 6.000%, 11/15/23 | 910 | ||||||
338 | Series 1658, Class GZ, 7.000%, 01/15/24 | 393 | ||||||
16 | Series 1671, Class L, 7.000%, 02/15/24 | 19 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
21 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 33 | ||||||
24 | Series 1686, Class SH, IF, 18.675%, 02/15/24 | 39 | ||||||
273 | Series 1695, Class EB, 7.000%, 03/15/24 | 315 | ||||||
54 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 | 54 | ||||||
349 | Series 1700, Class GA, PO, 02/15/24 | 342 | ||||||
1,494 | Series 1706, Class K, 7.000%, 03/15/24 | 1,727 | ||||||
25 | Series 1709, Class FA, VAR, 0.670%, 03/15/24 | 26 | ||||||
994 | Series 1720, Class PL, 7.500%, 04/15/24 | 1,160 | ||||||
1,024 | Series 1737, Class L, 6.000%, 06/15/24 | 1,106 | ||||||
154 | Series 1745, Class D, 7.500%, 08/15/24 | 180 | ||||||
770 | Series 1798, Class F, 5.000%, 05/15/23 | 837 | ||||||
18 | Series 1807, Class G, 9.000%, 10/15/20 | 20 | ||||||
176 | Series 1829, Class ZB, 6.500%, 03/15/26 | 199 | ||||||
8 | Series 1844, Class E, 6.500%, 10/15/13 | 8 | ||||||
1,099 | Series 1863, Class Z, 6.500%, 07/15/26 | 1,242 | ||||||
58 | Series 1865, Class D, PO, 02/15/24 | 43 | ||||||
117 | Series 1890, Class H, 7.500%, 09/15/26 | 138 | ||||||
315 | Series 1899, Class ZE, 8.000%, 09/15/26 | 370 | ||||||
746 | Series 1927, Class PH, 7.500%, 01/15/27 | 877 | ||||||
698 | Series 1927, Class ZA, 6.500%, 01/15/27 | 703 | ||||||
19 | Series 1935, Class FL, VAR, 0.950%, 02/15/27 | 19 | ||||||
260 | Series 1963, Class Z, 7.500%, 01/15/27 | 306 | ||||||
38 | Series 1970, Class PG, 7.250%, 07/15/27 | 44 | ||||||
703 | Series 1981, Class Z, 6.000%, 05/15/27 | 772 | ||||||
448 | Series 1983, Class Z, 6.500%, 12/15/23 | 507 | ||||||
283 | Series 1987, Class PE, 7.500%, 09/15/27 | 334 | ||||||
435 | Series 2019, Class Z, 6.500%, 12/15/27 | 492 | ||||||
16 | Series 2025, Class PE, 6.300%, 01/15/13 | 17 | ||||||
1,516 | Series 2033, Class J, 5.600%, 06/15/23 | 1,666 | ||||||
180 | Series 2033, Class SN, HB, IF, 26.419%, 03/15/24 | 159 | ||||||
477 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 116 | ||||||
1,354 | Series 2040, Class PE, 7.500%, 03/15/28 | 1,594 | ||||||
548 | Series 2054, Class PV, 7.500%, 05/15/28 | 646 | ||||||
35 | Series 2055, Class OE, 6.500%, 05/15/13 | 35 | ||||||
167 | Series 2056, Class TD, 6.500%, 05/15/18 | 182 | ||||||
813 | Series 2063, Class PG, 6.500%, 06/15/28 | 933 | ||||||
123 | Series 2064, Class TE, 7.000%, 06/15/28 | 144 | ||||||
455 | Series 2070, Class C, 6.000%, 07/15/28 | 495 | ||||||
1,635 | Series 2075, Class PH, 6.500%, 08/15/28 | 1,876 | ||||||
1,750 | Series 2075, Class PM, 6.250%, 08/15/28 | 1,808 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
357 | Series 2086, Class GB, 6.000%, 09/15/28 | 362 | ||||||
597 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 150 | ||||||
1,613 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,812 | ||||||
179 | Series 2102, Class TC, 6.000%, 12/15/13 | 184 | ||||||
100 | Series 2102, Class TU, 6.000%, 12/15/13 | 103 | ||||||
2,504 | Series 2106, Class ZD, 6.000%, 12/15/28 | 2,677 | ||||||
4,210 | Series 2110, Class PG, 6.000%, 01/15/29 | 4,523 | ||||||
415 | Series 2115, Class PE, 6.000%, 01/15/14 | 426 | ||||||
877 | Series 2125, Class JZ, 6.000%, 02/15/29 | 916 | ||||||
2,710 | Series 2126, Class CB, 6.250%, 02/15/29 | 2,810 | ||||||
117 | Series 2132, Class SB, HB, IF, 29.485%, 03/15/29 | 226 | ||||||
75 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 9 | ||||||
12 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | — | (h) | |||||
62 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 15 | ||||||
216 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 50 | ||||||
3,367 | Series 2169, Class TB, 7.000%, 06/15/29 | 3,946 | ||||||
1,218 | Series 2172, Class QC, 7.000%, 07/15/29 | 1,429 | ||||||
720 | Series 2176, Class OJ, 7.000%, 08/15/29 | 832 | ||||||
4 | Series 2196, Class TL, 7.500%, 11/15/29 | 4 | ||||||
633 | Series 2201, Class C, 8.000%, 11/15/29 | 755 | ||||||
1,598 | Series 2208, Class PG, 7.000%, 01/15/30 | 1,876 | ||||||
344 | Series 2209, Class TC, 8.000%, 01/15/30 | 407 | ||||||
1,125 | Series 2210, Class Z, 8.000%, 01/15/30 | 1,348 | ||||||
316 | Series 2224, Class CB, 8.000%, 03/15/30 | 380 | ||||||
352 | Series 2230, Class Z, 8.000%, 04/15/30 | 418 | ||||||
292 | Series 2234, Class PZ, 7.500%, 05/15/30 | 345 | ||||||
245 | Series 2247, Class Z, 7.500%, 08/15/30 | 290 | ||||||
629 | Series 2256, Class MC, 7.250%, 09/15/30 | 741 | ||||||
1,125 | Series 2259, Class ZM, 7.000%, 10/15/30 | 1,324 | ||||||
15 | Series 2261, Class ZY, 7.500%, 10/15/30 | 18 | ||||||
84 | Series 2262, Class Z, 7.500%, 10/15/30 | 99 | ||||||
1,077 | Series 2271, Class PC, 7.250%, 12/15/30 | 1,267 | ||||||
1,572 | Series 2283, Class K, 6.500%, 12/15/23 | 1,763 | ||||||
520 | Series 2296, Class PD, 7.000%, 03/15/31 | 612 | ||||||
807 | Series 2301, Class PA, 6.000%, 10/15/13 | 819 | ||||||
204 | Series 2306, Class K, PO, 05/15/24 | 173 | ||||||
488 | Series 2306, Class SE, IF, IO, 9.080%, 05/15/24 | 90 | ||||||
362 | Series 2313, Class LA, 6.500%, 05/15/31 | 416 | ||||||
727 | Series 2325, Class PM, 7.000%, 06/15/31 | 795 | ||||||
1,358 | Series 2332, Class ZH, 7.000%, 07/15/31 | 1,442 | ||||||
270 | Series 2333, Class HC, 6.000%, 07/15/31 | 272 | ||||||
1,212 | Series 2344, Class QG, 6.000%, 08/15/16 | 1,290 | ||||||
7,707 | Series 2344, Class ZD, 6.500%, 08/15/31 | 8,482 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 29 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
893 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 983 | ||||||
662 | Series 2345, Class NE, 6.500%, 08/15/31 | 687 | ||||||
626 | Series 2345, Class PQ, 6.500%, 08/15/16 | 645 | ||||||
268 | Series 2347, Class VP, 6.500%, 03/15/20 | 268 | ||||||
901 | Series 2351, Class PZ, 6.500%, 08/15/31 | 1,015 | ||||||
1,627 | Series 2353, Class TD, 6.000%, 09/15/16 | 1,737 | ||||||
530 | Series 2355, Class BP, 6.000%, 09/15/16 | 564 | ||||||
173 | Series 2359, Class PM, 6.000%, 09/15/16 | 178 | ||||||
1,597 | Series 2359, Class ZB, 8.500%, 06/15/31 | 1,870 | ||||||
860 | Series 2360, Class PG, 6.000%, 09/15/16 | 919 | ||||||
151 | Series 2363, Class PF, 6.000%, 09/15/16 | 161 | ||||||
448 | Series 2366, Class MD, 6.000%, 10/15/16 | 478 | ||||||
656 | Series 2367, Class ME, 6.500%, 10/15/31 | 712 | ||||||
744 | Series 2388, Class FB, VAR, 0.839%, 01/15/29 | 751 | ||||||
1,315 | Series 2391, Class QR, 5.500%, 12/15/16 | 1,397 | ||||||
378 | Series 2394, Class MC, 6.000%, 12/15/16 | 404 | ||||||
808 | Series 2399, Class OH, 6.500%, 01/15/32 | 892 | ||||||
1,389 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,532 | ||||||
1,444 | Series 2410, Class NG, 6.500%, 02/15/32 | 1,603 | ||||||
849 | Series 2410, Class OE, 6.375%, 02/15/32 | 932 | ||||||
1,739 | Series 2410, Class QS, IF, 18.877%, 02/15/32 | 2,463 | ||||||
547 | Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 | 115 | ||||||
1,712 | Series 2412, Class SP, IF, 15.621%, 02/15/32 | 2,346 | ||||||
3,724 | Series 2418, Class FO, VAR, 1.139%, 02/15/32 | 3,789 | ||||||
1,620 | Series 2420, Class XK, 6.500%, 02/15/32 | 1,781 | ||||||
988 | Series 2423, Class MC, 7.000%, 03/15/32 | 1,166 | ||||||
1,307 | Series 2423, Class MT, 7.000%, 03/15/32 | 1,464 | ||||||
1,487 | Series 2423, Class TB, 6.500%, 03/15/32 | 1,633 | ||||||
365 | Series 2425, Class OB, 6.000%, 03/15/17 | 392 | ||||||
2,007 | Series 2430, Class WF, 6.500%, 03/15/32 | 2,319 | ||||||
2,565 | Series 2434, Class TC, 7.000%, 04/15/32 | 2,941 | ||||||
5,193 | Series 2434, Class ZA, 6.500%, 04/15/32 | 5,962 | ||||||
1,797 | Series 2435, Class CJ, 6.500%, 04/15/32 | 2,076 | ||||||
943 | Series 2436, Class MC, 7.000%, 04/15/32 | 1,102 | ||||||
513 | Series 2441, Class GF, 6.500%, 04/15/32 | 593 | ||||||
1,186 | Series 2444, Class ES, IF, IO, 7.711%, 03/15/32 | 267 | ||||||
1,021 | Series 2450, Class GZ, 7.000%, 05/15/32 | 1,202 | ||||||
774 | Series 2450, Class SW, IF, IO, 7.760%, 03/15/32 | 175 | ||||||
1,899 | Series 2455, Class GK, 6.500%, 05/15/32 | 2,197 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
252 | Series 2458, Class QE, 5.500%, 06/15/17 | 268 | ||||||
1,486 | Series 2458, Class ZM, 6.500%, 06/15/32 | 1,708 | ||||||
1,275 | Series 2463, Class CE, 6.000%, 06/15/17 | 1,362 | ||||||
1,239 | Series 2466, Class DH, 6.500%, 06/15/32 | 1,378 | ||||||
1,085 | Series 2466, Class PG, 6.500%, 04/15/32 | 1,122 | ||||||
1,400 | Series 2466, Class PH, 6.500%, 06/15/32 | 1,596 | ||||||
1,584 | Series 2474, Class NR, 6.500%, 07/15/32 | 1,785 | ||||||
3,824 | Series 2475, Class S, IF, IO, 7.760%, 02/15/32 | 756 | ||||||
2,406 | Series 2484, Class LZ, 6.500%, 07/15/32 | 2,778 | ||||||
169 | Series 2488, Class WS, IF, 16.193%, 08/15/17 | 208 | ||||||
3,796 | Series 2500, Class MC, 6.000%, 09/15/32 | 4,147 | ||||||
465 | Series 2508, Class AQ, 5.500%, 10/15/17 | 501 | ||||||
3,830 | Series 2512, Class PG, 5.500%, 10/15/22 | 4,248 | ||||||
528 | Series 2515, Class DE, 4.000%, 03/15/32 | 536 | ||||||
780 | Series 2515, Class MG, 4.000%, 09/15/17 | 798 | ||||||
234 | Series 2518, Class PX, 5.500%, 09/15/13 | 234 | ||||||
1,174 | Series 2535, Class BK, 5.500%, 12/15/22 | 1,306 | ||||||
2,200 | Series 2537, Class TE, 5.500%, 12/15/17 | 2,369 | ||||||
1,124 | Series 2543, Class LX, 5.000%, 12/15/17 | 1,204 | ||||||
5,178 | Series 2543, Class YX, 6.000%, 12/15/32 | 5,826 | ||||||
2,493 | Series 2544, Class HC, 6.000%, 12/15/32 | 2,806 | ||||||
2,019 | Series 2549, Class ZG, 5.000%, 01/15/18 | 2,109 | ||||||
3,118 | Series 2552, Class ME, 6.000%, 01/15/33 | 3,509 | ||||||
1,904 | Series 2567, Class QD, 6.000%, 02/15/33 | 2,147 | ||||||
13,162 | Series 2568, Class KG, 5.500%, 02/15/23 | 14,476 | ||||||
1,685 | Series 2571, Class FY, VAR, 0.990%, 12/15/32 | 1,714 | ||||||
265 | Series 2571, Class SK, HB, IF, 33.467%, 09/15/23 | 521 | ||||||
994 | Series 2571, Class SY, IF, 18.025%, 12/15/32 | 1,684 | ||||||
1,453 | Series 2574, Class HP, 5.000%, 02/15/18 | 1,560 | ||||||
8,791 | Series 2575, Class ME, 6.000%, 02/15/33 | 10,053 | ||||||
1,416 | Series 2586, Class HD, 5.500%, 03/15/23 | 1,690 | ||||||
1,143 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 228 | ||||||
1,420 | Series 2595, Class HC, 5.500%, 04/15/23 | 1,757 | ||||||
2,033 | Series 2596, Class QG, 6.000%, 03/15/33 | 2,266 | ||||||
239 | Series 2597, Class AD, 6.500%, 03/15/32 | 240 | ||||||
155 | Series 2597, Class DS, IF, IO, 7.310%, 02/15/33 | 5 | ||||||
178 | Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 | 4 | ||||||
210 | Series 2610, Class DS, IF, IO, 6.860%, 03/15/33 | 6 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
984 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,035 | ||||||
2,474 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,626 | ||||||
55 | Series 2619, Class HR, 3.500%, 11/15/31 | 56 | ||||||
2,563 | Series 2626, Class NS, IF, IO, 6.311%, 06/15/23 | 184 | ||||||
1,188 | Series 2629, Class BY, IO, 4.500%, 03/15/18 | 71 | ||||||
5,114 | Series 2631, Class LC, 4.500%, 06/15/18 | 5,447 | ||||||
4,613 | Series 2631, Class SA, IF, 14.411%, 06/15/33 | 5,834 | ||||||
8,171 | Series 2636, Class Z, 4.500%, 06/15/18 | 8,682 | ||||||
1,131 | Series 2637, Class SA, IF, IO, 5.861%, 06/15/18 | 114 | ||||||
515 | Series 2638, Class DS, IF, 8.360%, 07/15/23 | 565 | ||||||
631 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 24 | ||||||
2,327 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 74 | ||||||
4 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | — | (h) | |||||
485 | Series 2640, Class VE, 3.250%, 07/15/22 | 490 | ||||||
355 | Series 2642, Class SL, IF, 6.677%, 07/15/33 | 373 | ||||||
532 | Series 2650, Class PO, PO, 12/15/32 | 510 | ||||||
2,491 | Series 2650, Class SO, PO, 12/15/32 | 2,386 | ||||||
7,802 | Series 2651, Class VZ, 4.500%, 07/15/18 | 8,300 | ||||||
8,024 | Series 2653, Class PZ, 5.000%, 07/15/33 | 9,721 | ||||||
2,817 | Series 2655, Class EO, PO, 02/15/33 | 2,723 | ||||||
1,456 | Series 2671, Class S, IF, 14.319%, 09/15/33 | 1,840 | ||||||
3,358 | Series 2672, Class ME, 5.000%, 11/15/22 | 3,545 | ||||||
8,342 | Series 2675, Class CK, 4.000%, 09/15/18 | 8,819 | ||||||
8,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 8,666 | ||||||
662 | Series 2682, Class YS, IF, 8.631%, 10/15/33 | 668 | ||||||
12,702 | Series 2684, Class PO, PO, 01/15/33 | 12,315 | ||||||
4,879 | Series 2690, Class SJ, IF, 8.791%, 10/15/33 | 5,003 | ||||||
1,470 | Series 2692, Class SC, IF, 12.808%, 07/15/33 | 1,725 | ||||||
121 | Series 2695, Class DE, 4.000%, 01/15/17 | 122 | ||||||
486 | Series 2695, Class OB, PO, 10/15/33 | 482 | ||||||
244 | Series 2696, Class CO, PO, 10/15/18 | 243 | ||||||
1,408 | Series 2700, Class S, IF, 8.641%, 11/15/33 | 1,432 | ||||||
1,297 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,372 | ||||||
193 | Series 2705, Class SC, IF, 8.641%, 11/15/33 | 194 | ||||||
309 | Series 2705, Class SD, IF, 8.692%, 11/15/33 | 311 | ||||||
7,400 | Series 2707, Class QE, 4.500%, 11/15/18 | 8,035 | ||||||
5,000 | Series 2709, Class PG, 5.000%, 11/15/23 | 5,780 | ||||||
2,000 | Series 2710, Class HB, 5.500%, 11/15/23 | 2,289 | ||||||
2,100 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,194 | ||||||
3,122 | Series 2716, Class UN, 4.500%, 12/15/23 | 3,415 | ||||||
1,406 | Series 2720, Class PC, 5.000%, 12/15/23 | 1,542 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
5,000 | Series 2722, Class PF, VAR, 0.839%, 12/15/33 | 5,046 | ||||||
1,154 | Series 2725, Class OP, PO, 10/15/33 | 1,145 | ||||||
2,411 | Series 2727, Class BS, IF, 8.716%, 01/15/34 | 2,436 | ||||||
10,505 | Series 2733, Class SB, IF, 7.794%, 10/15/33 | 12,325 | ||||||
574 | Series 2743, Class HD, 4.500%, 08/15/17 | 580 | ||||||
5,000 | Series 2743, Class HE, 4.500%, 02/15/19 | 5,406 | ||||||
1,892 | Series 2744, Class PE, 5.500%, 02/15/34 | 2,036 | ||||||
3,537 | Series 2744, Class TU, 5.500%, 05/15/32 | 3,756 | ||||||
1,950 | Series 2748, Class KO, PO, 10/15/23 | 1,874 | ||||||
422 | Series 2755, Class PA, PO, 02/15/29 | 421 | ||||||
1,064 | Series 2755, Class SA, IF, 13.721%, 05/15/30 | 1,147 | ||||||
3,075 | Series 2758, Class AO, PO, 03/15/19 | 2,967 | ||||||
2,370 | Series 2770, Class TW, 4.500%, 03/15/19 | 2,607 | ||||||
3,186 | Series 2777, Class KO, PO, 02/15/33 | 3,127 | ||||||
173 | Series 2780, Class JG, 4.500%, 04/15/19 | 179 | ||||||
737 | Series 2780, Class SY, IF, 15.973%, 11/15/33 | 959 | ||||||
5,672 | Series 2802, Class OH, 6.000%, 05/15/34 | 6,632 | ||||||
18 | Series 2809, Class UB, 4.000%, 09/15/17 | 18 | ||||||
2,000 | Series 2809, Class UC, 4.000%, 06/15/19 | 2,117 | ||||||
317 | Series 2812, Class AB, 4.500%, 10/15/18 | 323 | ||||||
951 | Series 2812, Class NO, PO, 10/15/33 | 940 | ||||||
3,279 | Series 2827, Class QE, 5.500%, 03/15/33 | 3,393 | ||||||
1,927 | Series 2835, Class BO, PO, 12/15/28 | 1,891 | ||||||
391 | Series 2835, Class QO, PO, 12/15/32 | 358 | ||||||
277 | Series 2840, Class JO, PO, 06/15/23 | 271 | ||||||
189 | Series 2863, Class JA, 4.500%, 09/15/19 | 193 | ||||||
1,196 | Series 2864, Class GB, 4.000%, 09/15/19 | 1,269 | ||||||
2,932 | Series 2903, Class Z, 5.000%, 12/15/24 | 3,293 | ||||||
4,167 | Series 2921, Class MD, 5.000%, 06/15/33 | 4,314 | ||||||
6,118 | Series 2922, Class JN, 4.500%, 02/15/20 | 6,376 | ||||||
1,675 | Series 2929, Class MS, HB, IF, 27.106%, 02/15/35 | 2,764 | ||||||
9,723 | Series 2934, Class EC, PO, 02/15/20 | 9,328 | ||||||
314 | Series 2934, Class EN, PO, 02/15/18 | 310 | ||||||
2,896 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 287 | ||||||
2,055 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 210 | ||||||
1,081 | Series 2945, Class SA, IF, 11.863%, 03/15/20 | 1,280 | ||||||
2,319 | Series 2965, Class GD, 4.500%, 04/15/20 | 2,537 | ||||||
966 | Series 2967, Class S, HB, IF, 32.508%, 04/15/25 | 1,542 | ||||||
10,244 | Series 2968, Class EH, 6.000%, 04/15/35 | 12,751 | ||||||
5,000 | Series 2968, Class MD, 5.500%, 12/15/33 | 5,343 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 31 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,961 | Series 2981, Class FA, VAR, 0.640%, 05/15/35 | 2,963 | ||||||
2,760 | Series 2988, Class AF, VAR, 0.540%, 06/15/35 | 2,760 | ||||||
633 | Series 2988, Class GS, IF, 16.026%, 06/15/35 | 661 | ||||||
16 | Series 2988, Class SD, IF, 15.901%, 03/15/35 | 17 | ||||||
381 | Series 2989, Class PO, PO, 06/15/23 | 373 | ||||||
1,729 | Series 2990, Class GO, PO, 02/15/35 | 1,649 | ||||||
4,380 | Series 2990, Class LK, VAR, 0.609%, 10/15/34 | 4,400 | ||||||
3,415 | Series 2990, Class SL, HB, IF, 23.615%, 06/15/34 | 5,173 | ||||||
1,049 | Series 2990, Class WP, IF, 16.410%, 06/15/35 | 1,329 | ||||||
2,635 | Series 2991, Class EG, 5.500%, 11/15/34 | 2,714 | ||||||
5,000 | Series 2992, Class LB, 5.000%, 06/15/20 | 5,649 | ||||||
7,313 | Series 2995, Class FK, VAR, 0.489%, 05/15/34 | 7,313 | ||||||
2,994 | Series 2999, Class NC, 4.500%, 12/15/18 | 3,035 | ||||||
4,500 | Series 2999, Class ND, 4.500%, 07/15/20 | 4,899 | ||||||
290 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | 16 | ||||||
7,292 | Series 3013, Class AF, VAR, 0.489%, 05/15/35 | 7,297 | ||||||
235 | Series 3014, Class OD, PO, 08/15/35 | 222 | ||||||
545 | Series 3022, Class SX, IF, 16.276%, 08/15/25 | 766 | ||||||
1,544 | Series 3029, Class SO, PO, 09/15/35 | 1,471 | ||||||
42 | Series 3034, Class FB, VAR, 0.000% 09/15/35 | 42 | ||||||
3,733 | Series 3042, Class PF, VAR, 0.489%, 08/15/35 | 3,736 | ||||||
1,143 | Series 3047, Class OB, 5.500%, 12/15/33 | 1,192 | ||||||
15,746 | Series 3049, Class XF, VAR, 0.590%, 05/15/33 | 15,774 | ||||||
1,082 | Series 3051, Class DP, HB, IF, 26.974%, 10/15/25 | 1,715 | ||||||
356 | Series 3064, Class OB, 5.500%, 07/15/29 | 357 | ||||||
1,396 | Series 3064, Class SG, IF, 19.202%, 11/15/35 | 1,971 | ||||||
5,356 | Series 3065, Class DF, VAR, 0.619%, 04/15/35 | 5,368 | ||||||
600 | Series 3068, Class AO, PO, 01/15/35 | 587 | ||||||
3,217 | Series 3077, Class TO, PO, 04/15/35 | 3,108 | ||||||
4,672 | Series 3085, Class WF, VAR, 1.039%, 08/15/35 | 4,718 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
199 | Series 3100, Class MA, VAR, 1.708%, 12/15/35 | 195 | ||||||
8,156 | Series 3101, Class UZ, 6.000%, 01/15/36 | 9,300 | ||||||
5,651 | Series 3102, Class FB, VAR, 0.540%, 01/15/36 | 5,665 | ||||||
617 | Series 3102, Class HS, HB, IF, 23.688%, 01/15/36 | 974 | ||||||
6,661 | Series 3117, Class AO, PO, 02/15/36 | 6,447 | ||||||
1,394 | Series 3117, Class EO, PO, 02/15/36 | 1,307 | ||||||
2,142 | Series 3117, Class OG, PO, 02/15/36 | 2,071 | ||||||
1,289 | Series 3117, Class OK, PO, 02/15/36 | 1,219 | ||||||
4,093 | Series 3122, Class OH, PO, 03/15/36 | 3,957 | ||||||
3,819 | Series 3122, Class OP, PO, 03/15/36 | 3,695 | ||||||
135 | Series 3122, Class ZB, 6.000%, 03/15/36 | 141 | ||||||
520 | Series 3134, Class PO, PO, 03/15/36 | 491 | ||||||
3,872 | Series 3137, Class XP, 6.000%, 04/15/36 | 4,377 | ||||||
2,695 | Series 3138, Class PO, PO, 04/15/36 | 2,598 | ||||||
3,847 | Series 3147, Class PF, VAR, 0.540%, 04/15/36 | 3,857 | ||||||
7,694 | Series 3147, Class PO, PO, 04/15/36 | 7,437 | ||||||
392 | Series 3149, Class SO, PO, 05/15/36 | 374 | ||||||
1,602 | Series 3151, Class PO, PO, 05/15/36 | 1,514 | ||||||
3,259 | Series 3153, Class EO, PO, 05/15/36 | 3,144 | ||||||
1,788 | Series 3164, Class MG, 6.000%, 06/15/36 | 2,014 | ||||||
5,770 | Series 3171, Class MO, PO, 06/15/36 | 5,503 | ||||||
1,013 | Series 3174, Class PX, 5.000%, 06/15/17 | 1,088 | ||||||
2,204 | Series 3179, Class OA, PO, 07/15/36 | 2,117 | ||||||
4,079 | Series 3181, Class AZ, 6.500%, 07/15/36 | 4,901 | ||||||
4,885 | Series 3184, Class OA, PO, 02/15/33 | 4,813 | ||||||
7,300 | Series 3189, Class PC, 6.000%, 08/15/35 | 7,778 | ||||||
1,913 | Series 3194, Class SA, IF, IO, 6.860%, 07/15/36 | 275 | ||||||
5,319 | Series 3195, Class PD, 6.500%, 07/15/36 | 5,980 | ||||||
13,250 | Series 3200, Class AY, 5.500%, 08/15/36 | 14,743 | ||||||
2,324 | Series 3200, Class PO, PO, 08/15/36 | 2,245 | ||||||
25,088 | Series 3202, Class HI, IF, IO, 6.410%, 08/15/36 | 3,989 | ||||||
1,186 | Series 3213, Class OA, PO, 09/15/36 | 1,138 | ||||||
895 | Series 3218, Class AO, PO, 09/15/36 | 846 | ||||||
7,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 7,698 | ||||||
6,908 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 962 | ||||||
2,610 | Series 3225, Class EO, PO, 10/15/36 | 2,465 | ||||||
3,283 | Series 3232, Class ST, IF, IO, 6.460%, 10/15/36 | 515 | ||||||
950 | Series 3233, Class OP, PO, 05/15/36 | 910 | ||||||
222 | Series 3253, Class A, 5.000%, 08/15/20 | 226 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
12,647 | Series 3253, Class PO, PO, 12/15/21 | 12,241 | ||||||
1,015 | Series 3256, Class PO, PO, 12/15/36 | 960 | ||||||
1,872 | Series 3260, Class CS, IF, IO, 5.901%, 01/15/37 | 261 | ||||||
956 | Series 3261, Class OA, PO, 01/15/37 | 896 | ||||||
9,000 | Series 3266, Class D, 5.000%, 01/15/22 | 9,868 | ||||||
8,200 | Series 3274, Class B, 6.000%, 02/15/37 | 9,111 | ||||||
1,175 | Series 3274, Class JO, PO, 02/15/37 | 1,112 | ||||||
3,874 | Series 3275, Class FL, VAR, 0.679%, 02/15/37 | 3,881 | ||||||
5,500 | Series 3284, Class CB, 5.000%, 03/15/22 | 6,350 | ||||||
1,917 | Series 3286, Class PO, PO, 03/15/37 | 1,825 | ||||||
3,854 | Series 3290, Class SB, IF, IO, 6.211%, 03/15/37 | 599 | ||||||
3,000 | Series 3302, Class UT, 6.000%, 04/15/37 | 3,442 | ||||||
2,848 | Series 3305, Class MG, IF, 2.460%, 07/15/34 | 2,847 | ||||||
6,846 | Series 3315, Class HZ, 6.000%, 05/15/37 | 8,039 | ||||||
2,695 | Series 3316, Class PO, PO, 05/15/37 | 2,545 | ||||||
221 | Series 3318, Class AO, PO, 05/15/37 | 213 | ||||||
1,210 | Series 3326, Class JO, PO, 06/15/37 | 1,151 | ||||||
5,000 | Series 3329, Class JD, 6.000%, 06/15/36 | 5,627 | ||||||
770 | Series 3329, Class WK, 6.000%, 12/15/31 | 775 | ||||||
1,635 | Series 3331, Class PO, PO, 06/15/37 | 1,563 | ||||||
6,232 | Series 3344, Class FT, VAR, 0.590%, 07/15/34 | 6,242 | ||||||
3,026 | Series 3344, Class SL, IF, IO, 6.361%, 07/15/37 | 473 | ||||||
1,382 | Series 3365, Class PO, PO, 09/15/37 | 1,308 | ||||||
2,783 | Series 3369, Class VA, 6.000%, 07/15/18 | 2,882 | ||||||
1,103 | Series 3371, Class FA, VAR, 0.839%, 09/15/37 | 1,110 | ||||||
1,565 | Series 3373, Class TO, PO, 04/15/37 | 1,510 | ||||||
12,213 | Series 3383, Class SA, IF, IO, 6.211%, 11/15/37 | 1,662 | ||||||
16,852 | Series 3387, Class SA, IF, IO, 6.181%, 11/15/37 | 2,379 | ||||||
1,570 | Series 3389, Class DQ, 5.750%, 10/15/35 | 1,665 | ||||||
4,364 | Series 3393, Class JO, PO, 09/15/32 | 4,029 | ||||||
3,959 | Series 3398, Class PO, PO, 01/15/36 | 3,871 | ||||||
4,000 | Series 3402, Class NC, 5.000%, 12/15/22 | 4,474 | ||||||
17,626 | Series 3404, Class SC, IF, IO, 5.761%, 01/15/38 | 2,481 | ||||||
907 | Series 3422, Class SE, IF, 16.851%, 02/15/38 | 1,292 | ||||||
5,500 | Series 3423, Class PB, 5.500%, 03/15/38 | 6,397 | ||||||
8,118 | Series 3424, Class PI, IF, IO, 6.560%, 04/15/38 | 1,223 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
9,368 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | — | (h) | |||||
433 | Series 3443, Class SY, IF, 9.000%, 03/15/37 | 496 | ||||||
14,098 | Series 3453, Class B, 5.500%, 05/15/38 | 15,535 | ||||||
5,659 | Series 3455, Class SE, IF, IO, 5.960%, 06/15/38 | 760 | ||||||
2,280 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,545 | ||||||
7,699 | Series 3461, Class Z, 6.000%, 06/15/38 | 9,286 | ||||||
10,811 | Series 3481, Class SJ, IF, IO, 5.610%, 08/15/38 | 1,451 | ||||||
7,500 | Series 3493, Class LA, 4.000%, 10/15/23 | 8,288 | ||||||
6,500 | Series 3501, Class CB, 5.500%, 01/15/39 | 7,183 | ||||||
8,232 | Series 3505, Class SA, IF, IO, 5.761%, 01/15/39 | 1,055 | ||||||
2,432 | Series 3510, Class OD, PO, 02/15/37 | 2,354 | ||||||
7,971 | Series 3511, Class SA, IF, IO, 5.761%, 02/15/39 | 1,026 | ||||||
1,591 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 134 | ||||||
2,090 | Series 3523, Class SD, IF, 19.004%, 06/15/36 | 2,852 | ||||||
11,116 | Series 3531, Class SA, IF, IO, 6.060%, 05/15/39 | 1,406 | ||||||
7,807 | Series 3531, Class SM, IF, IO, 5.860%, 05/15/39 | 1,027 | ||||||
2,975 | Series 3546, Class A, VAR, 4.065%, 02/15/39 | 3,172 | ||||||
8,429 | Series 3549, Class FA, VAR, 1.439%, 07/15/39 | 8,478 | ||||||
4,063 | Series 3564, Class JA, 4.000%, 01/15/18 | 4,281 | ||||||
5,750 | Series 3607, Class AO, PO, 04/15/36 | 5,541 | ||||||
10,538 | Series 3607, Class BO, PO, 04/15/36 | 10,155 | ||||||
3,747 | Series 3607, Class EO, PO, 02/15/33 | 3,623 | ||||||
6,268 | Series 3607, Class OP, PO, 07/15/37 | 5,787 | ||||||
10,505 | Series 3607, Class PO, PO, 05/15/37 | 9,913 | ||||||
4,470 | Series 3607, Class TO, PO, 10/15/39 | 4,239 | ||||||
13,465 | Series 3608, Class SC, IF, IO, 6.010%, 12/15/39 | 1,987 | ||||||
8,182 | Series 3611, Class PO, PO, 07/15/34 | 7,655 | ||||||
2,000 | Series 3614, Class QB, 4.000%, 12/15/24 | 2,231 | ||||||
6,141 | Series 3621, Class BO, PO, 01/15/40 | 5,934 | ||||||
4,600 | Series 3632, Class BS, IF, 16.702%, 02/15/40 | 7,822 | ||||||
2,969 | Series 3645, Class KZ, 5.500%, 08/15/36 | 3,390 | ||||||
6,800 | Series 3654, Class DC, 5.000%, 04/15/30 | 7,960 | ||||||
4,039 | Series 3654, Class VB, 5.500%, 10/15/27 | 4,547 | ||||||
3,672 | Series 3659, Class VE, 5.000%, 03/15/26 | 4,078 | ||||||
11,275 | Series 3666, Class VA, 5.500%, 12/15/22 | 12,222 | ||||||
22,453 | Series 3680, Class MA, 4.500%, 07/15/39 | 24,622 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 33 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
7,000 | Series 3684, Class CY, 4.500%, 06/15/25 | 8,046 | ||||||
16,573 | Series 3687, Class MA, 4.500%, 02/15/37 | 18,210 | ||||||
6,942 | Series 3688, Class CU, VAR, 6.787%, 11/15/21 | 7,513 | ||||||
27,867 | Series 3688, Class GT, VAR, 7.160%, 11/15/46 | 31,420 | ||||||
74,299 | Series 3704, Class CT, 7.000%, 12/15/36 | 87,389 | ||||||
32,479 | Series 3704, Class DT, 7.500%, 11/15/36 | 38,261 | ||||||
30,775 | Series 3704, Class ET, 7.500%, 12/15/36 | 35,919 | ||||||
15,915 | Series 3710, Class FL, VAR, 0.739%, 05/15/36 | 16,066 | ||||||
6,670 | Series 3720, Class A, 4.500%, 09/15/25 | 7,216 | ||||||
21,011 | Series 3740, Class SB, IF, IO, 5.761%, 10/15/40 | 4,271 | ||||||
20,930 | Series 3740, Class SC, IF, IO, 5.761%, 10/15/40 | 4,410 | ||||||
46,634 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 5,295 | ||||||
26,881 | Series 3756, Class IP, IO, 4.000%, 08/15/35 | 1,406 | ||||||
36,575 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 3,685 | ||||||
30,310 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 3,111 | ||||||
21,700 | Series 3760, Class NI, IO, 4.000%, 10/15/37 | 1,852 | ||||||
16,852 | Series 3779, Class IH, IO, 4.000%, 11/15/34 | 1,644 | ||||||
13,791 | Series 3795, Class EI, IO, 5.000%, 10/15/39 | 2,024 | ||||||
5,139 | Series 3798, Class BF, VAR, 0.540%, 06/15/24 | 5,139 | ||||||
10,400 | Series 3800, Class AI, IO, 4.000%, 11/15/29 | 870 | ||||||
54,263 | Series 3802, Class LS, IF, IO, 4.135%, 01/15/40 | 2,240 | ||||||
29,346 | Series 3804, Class FN, VAR, 0.689%, 03/15/39 | 29,445 | ||||||
32,655 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 38,236 | ||||||
9,415 | Series 3852, Class QN, IF, 5.500%, 05/15/41 | 10,293 | ||||||
23,329 | Series 3852, Class TP, IF, 5.500%, 05/15/41 | 25,898 | ||||||
8,751 | Series 3860, Class PZ, 5.000%, 05/15/41 | 10,253 | ||||||
7,656 | Series 3895, Class WA, VAR, 5.693%, 10/15/38 | 8,504 | ||||||
9,200 | Series 3920, Class LP, 5.000%, 01/15/34 | 10,431 | ||||||
28,334 | Series 3925, Class FL, VAR, 0.689%, 01/15/41 | 28,408 | ||||||
24,472 | Series 3957, Class B, 4.000%, 11/15/41 | 26,230 | ||||||
6,696 | Series 3966, Class BF, VAR, 0.739%, 10/15/40 | 6,717 | ||||||
10,392 | Series 3966, Class NA, 4.000%, 12/15/41 | 11,194 | ||||||
21,164 | Series 3997, Class PF, VAR, 0.689%, 11/15/39 | 21,190 | ||||||
19,604 | Series 3998, Class GF, VAR, 0.689%, 05/15/36 | 19,646 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
14,032 | Series 4001, Class NF, VAR, 0.739%, 01/15/39 | 14,061 | ||||||
19,552 | Series 4012, Class FN, VAR, 0.739%, 03/15/42 | 19,637 | ||||||
9,775 | Series 4012, Class NF, VAR, 0.689%, 12/15/38 | 9,788 | ||||||
23,503 | Series 4048, Class FB, VAR, 0.640%, 10/15/41 | 23,535 | ||||||
43,627 | Series 4048, Class FJ, VAR, 0.646%, 07/15/37 | 43,738 | ||||||
9,984 | Series 4077, Class FB, VAR, 0.739%, 07/15/42 | 10,014 | ||||||
17,738 | Series 4087, Class FA, VAR, 0.689%, 05/15/39 | 17,760 | ||||||
12,000 | Series 4095, Class FB, VAR, 0.644%, 04/15/39 | 11,981 | ||||||
15,047 | Series R006, Class ZA, 6.000%, 04/15/36 | 17,467 | ||||||
20,351 | Series R007, Class ZA, 6.000%, 05/15/36 | 23,803 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
5 | Series 134, Class B, IO, 9.000%, 04/01/22 | 1 | ||||||
3,380 | Series 197, Class PO, PO, 04/01/28 | 2,943 | ||||||
9,483 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 1,322 | ||||||
7,759 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 1,079 | ||||||
14,826 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 2,060 | ||||||
38,988 | Series 239, Class S30, IF, IO, 7.460%, 08/15/36 | 5,280 | ||||||
4,254 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 364 | ||||||
2,717 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 235 | ||||||
116,821 | Series 262, Class 35, 3.500%, 07/15/42 | 124,605 | ||||||
54,875 | Series 264, Class F1, VAR, 0.789%, 07/15/42 | 55,069 | ||||||
15,000 | Series 270, Class F1, VAR, 0.746%, 08/15/42 | 14,991 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
1,204 | Series T-41, Class 3A, VAR, 6.917%, 07/25/32 | 1,396 | ||||||
4,884 | Series T-42, Class A5, 7.500%, 02/25/42 | 5,860 | ||||||
3,520 | Series T-48, Class 1A, VAR, 6.239%, 07/25/33 | 4,086 | ||||||
768 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 918 | ||||||
4,632 | Series T-54, Class 2A, 6.500%, 02/25/43 | 5,493 | ||||||
1,607 | Series T-54, Class 3A, 7.000%, 02/25/43 | 1,924 | ||||||
11,267 | Series T-56, Class A5, 5.231%, 05/25/43 | 12,699 | ||||||
1,267 | Series T-57, Class 1A3, 7.500%, 07/25/43 | 1,472 | ||||||
482 | Series T-57, Class 1AP, PO, 07/25/43 | 426 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,453 | Series T-58, Class 4A, 7.500%, 09/25/43 | 7,684 | ||||||
585 | Series T-58, Class APO, PO, 09/25/43 | 552 | ||||||
6,090 | Series T-59, Class 1A2, 7.000%, 10/25/43 | 6,950 | ||||||
663 | Series T-59, Class 1AP, PO, 10/25/43 | 578 | ||||||
9,518 | Series T-62, Class 1A1, VAR, 1.348%, 10/25/44 | 9,560 | ||||||
30,335 | Series T-76, Class 2A, VAR, 3.996%, 10/25/37 | 30,974 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
21,500 | Series 2010-M1, Class A2, 4.450%, 09/25/19 | 24,671 | ||||||
8,000 | Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 | 9,139 | ||||||
6,910 | Series 2010-M7, Class A2, 3.655%, 11/25/20 | 7,657 | ||||||
10,000 | Series 2011-M1, Class A3, 3.763%, 06/25/21 | 11,153 | ||||||
8,664 | Series 2011-M2, Class A2, 3.645%, 07/25/21 | 9,606 | ||||||
58,500 | Series 2011-M2, Class A3, 3.764%, 07/25/21 | 65,489 | ||||||
32,200 | Series 2011-M4, Class A2, 3.726%, 06/25/21 | 36,112 | ||||||
6,845 | Series 2011-M8, Class A2, 2.922%, 08/25/21 | 7,272 | ||||||
7,576 | Series 2012-M8, Class ASQ2, 1.520%, 12/25/19 | 7,711 | ||||||
7,200 | Series 2012-M8, Class ASQ3, 1.801%, 12/25/19 | 7,333 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
2,169 | Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39 | 2,457 | ||||||
2,683 | Series 2001-T10, Class A2, 7.500%, 12/25/41 | 3,177 | ||||||
2,524 | Series 2001-T3, Class A1, 7.500%, 11/25/40 | 2,881 | ||||||
2,833 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 3,352 | ||||||
872 | Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 980 | ||||||
6,430 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 7,556 | ||||||
3,549 | Series 2004-T2, Class 2A, VAR, 3.340%, 07/25/43 | 3,832 | ||||||
9,041 | Series 2004-T3, Class 1A2, 6.500%, 02/25/44 | 10,443 | ||||||
3,539 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 4,139 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
902 | Series 2004-T3, Class PT1, VAR, 8.304%, 01/25/44 | 967 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
15 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 16 | ||||||
67 | Series 1989-70, Class G, 8.000%, 10/25/19 | 75 | ||||||
25 | Series 1989-78, Class H, 9.400%, 11/25/19 | 29 | ||||||
30 | Series 1989-83, Class H, 8.500%, 11/25/19 | 34 | ||||||
27 | Series 1989-89, Class H, 9.000%, 11/25/19 | 31 | ||||||
18 | Series 1990-1, Class D, 8.800%, 01/25/20 | 20 | ||||||
8 | Series 1990-7, Class B, 8.500%, 01/25/20 | 9 | ||||||
8 | Series 1990-60, Class K, 5.500%, 06/25/20 | 9 | ||||||
15 | Series 1990-63, Class H, 9.500%, 06/25/20 | 17 | ||||||
11 | Series 1990-93, Class G, 5.500%, 08/25/20 | 12 | ||||||
— | (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 | |||||
79 | Series 1990-102, Class J, 6.500%, 08/25/20 | 87 | ||||||
61 | Series 1990-120, Class H, 9.000%, 10/25/20 | 70 | ||||||
9 | Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 | 14 | ||||||
— | (h) | 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 | |||||
19 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 20 | ||||||
18 | Series 1991-42, Class S, IF, 17.238%, 05/25/21 | 25 | ||||||
2 | Series 1992-101, Class J, 7.500%, 06/25/22 | 2 | ||||||
500 | Series 1992-117, Class MA, 8.000%, 07/25/22 | 577 | ||||||
86 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 96 | ||||||
97 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 106 | ||||||
597 | Series 1992-150, Class M, 8.000%, 09/25/22 | 690 | ||||||
213 | Series 1992-163, Class M, 7.750%, 09/25/22 | 246 | ||||||
292 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 336 | ||||||
139 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 161 | ||||||
350 | Series 1993-25, Class J, 7.500%, 03/25/23 | 404 | ||||||
55 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 78 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 35 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
878 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 1,002 | ||||||
310 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 354 | ||||||
3,456 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 3,969 | ||||||
149 | Series 1993-62, Class SA, IF, 17.929%, 04/25/23 | 226 | ||||||
1,774 | Series 1993-99, Class Z, 7.000%, 07/25/23 | 2,027 | ||||||
83 | Series 1993-122, Class M, 6.500%, 07/25/23 | 93 | ||||||
1,683 | Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 | 1,907 | ||||||
2,664 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 3,034 | ||||||
76 | Series 1993-165, Class SD, IF, 12.489%, 09/25/23 | 99 | ||||||
95 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 124 | ||||||
137 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 154 | ||||||
64 | Series 1993-179, Class SB, HB, IF, 24.868%, 10/25/23 | 106 | ||||||
42 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 56 | ||||||
2,484 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 2,797 | ||||||
1,016 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 1,169 | ||||||
150 | Series 1993-199, Class FA, VAR, 0.800%, 10/25/23 | 151 | ||||||
121 | Series 1993-205, Class H, PO, 09/25/23 | 118 | ||||||
62 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 | 67 | ||||||
46 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 | 52 | ||||||
191 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 210 | ||||||
55 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 | 56 | ||||||
179 | Series 1993-247, Class FE, VAR, 1.250%, 12/25/23 | 182 | ||||||
218 | Series 1993-247, Class SA, HB, IF, 26.068%, 12/25/23 | 383 | ||||||
83 | Series 1993-247, Class SU, IF, 11.834%, 12/25/23 | 108 | ||||||
587 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 615 | ||||||
334 | Series 1993-257, Class C, PO, 06/25/23 | 333 | ||||||
14 | Series 1994-9, Class E, PO, 11/25/23 | 13 | ||||||
720 | Series 1994-37, Class L, 6.500%, 03/25/24 | 832 | ||||||
3,406 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 3,812 | ||||||
5,495 | Series 1994-62, Class PK, 7.000%, 04/25/24 | 6,330 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,449 | Series 1994-63, Class PK, 7.000%, 04/25/24 | 2,790 | ||||||
115 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 134 | ||||||
373 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 447 | ||||||
1,309 | Series 1996-14, Class SE, IF, IO, 9.280%, 08/25/23 | 267 | ||||||
52 | Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 | 52 | ||||||
1,076 | Series 1996-48, Class Z, 7.000%, 11/25/26 | 1,245 | ||||||
134 | Series 1996-59, Class J, 6.500%, 08/25/22 | 149 | ||||||
24 | Series 1996-59, Class K, 6.500%, 07/25/23 | 24 | ||||||
296 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 16 | ||||||
1,023 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 57 | ||||||
210 | Series 1997-27, Class J, 7.500%, 04/18/27 | 236 | ||||||
245 | Series 1997-29, Class J, 7.500%, 04/20/27 | 280 | ||||||
685 | Series 1997-32, Class PG, 6.500%, 04/25/27 | 796 | ||||||
918 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 1,075 | ||||||
106 | Series 1997-42, Class EN, 7.250%, 07/18/27 | 108 | ||||||
72 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 82 | ||||||
1,266 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 1,441 | ||||||
337 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 83 | ||||||
37 | Series 1998-4, Class C, PO, 04/25/23 | 33 | ||||||
733 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 810 | ||||||
253 | Series 1998-43, Class SA, HB, IF, 20.083%, 04/25/23 | 121 | ||||||
411 | Series 1998-66, Class SB, IF, IO, 7.914%, 12/25/28 | 86 | ||||||
245 | Series 1999-17, Class C, 6.350%, 04/25/29 | 280 | ||||||
1,432 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 1,590 | ||||||
376 | Series 1999-38, Class SK, IF, IO, 7.814%, 08/25/23 | 57 | ||||||
119 | Series 1999-52, Class NS, HB, IF, 22.721%, 10/25/23 | 192 | ||||||
325 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 382 | ||||||
1,771 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 2,085 | ||||||
496 | Series 2000-20, Class SA, IF, IO, 8.864%, 07/25/30 | 110 | ||||||
77 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 20 | ||||||
601 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 660 | ||||||
127 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 130 | ||||||
253 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 297 | ||||||
442 | Series 2001-7, Class PR, 6.000%, 03/25/16 | 454 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
416 | Series 2001-10, Class PR, 6.000%, 04/25/16 | 427 | ||||||
724 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 852 | ||||||
1,588 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 350 | ||||||
1,400 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 1,648 | ||||||
1,689 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 1,987 | ||||||
447 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 526 | ||||||
318 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 374 | ||||||
3,842 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 4,319 | ||||||
411 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 474 | ||||||
212 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 245 | ||||||
438 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 465 | ||||||
3,200 | Series 2001-60, Class PX, 6.000%, 11/25/31 | 3,613 | ||||||
995 | Series 2001-60, Class QS, HB, IF, 23.676%, 09/25/31 | 1,821 | ||||||
2,477 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 2,915 | ||||||
599 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 640 | ||||||
1,022 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 1,089 | ||||||
137 | Series 2001-72, Class SX, IF, 16.917%, 12/25/31 | 200 | ||||||
3,323 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 3,549 | ||||||
119 | Series 2001-81, Class LO, PO, 01/25/32 | 107 | ||||||
1,199 | Series 2002-1, Class G, 7.000%, 07/25/23 | 1,377 | ||||||
575 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 647 | ||||||
406 | Series 2002-1, Class SA, HB, IF, 24.422%, 02/25/32 | 719 | ||||||
179 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 | 301 | ||||||
892 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 954 | ||||||
2,293 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 2,442 | ||||||
2,840 | Series 2002-5, Class PK, 6.000%, 02/25/22 | 3,262 | ||||||
399 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 425 | ||||||
1,296 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 1,378 | ||||||
413 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 437 | ||||||
2,281 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 124 | ||||||
38 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 46 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
7,230 | Series 2002-15, Class ZA, 6.000%, 04/25/32 | 8,120 | ||||||
2,169 | Series 2002-16, Class PG, 6.000%, 04/25/17 | 2,336 | ||||||
1,704 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 1,743 | ||||||
404 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 430 | ||||||
91 | Series 2002-21, Class LO, PO, 04/25/32 | 86 | ||||||
1,296 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 1,445 | ||||||
1,615 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 1,745 | ||||||
2,518 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 2,906 | ||||||
830 | Series 2002-31, Class S, IF, 18.755%, 05/25/17 | 1,072 | ||||||
1,109 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 1,222 | ||||||
4,698 | Series 2002-38, Class QE, 6.000%, 06/25/17 | 5,001 | ||||||
645 | Series 2002-42, Class C, 6.000%, 07/25/17 | 694 | ||||||
2,886 | Series 2002-48, Class GH, 6.500%, 08/25/32 | 3,338 | ||||||
4,726 | Series 2002-54, Class PG, 6.000%, 09/25/22 | 5,259 | ||||||
307 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 329 | ||||||
4,383 | Series 2002-56, Class UC, 5.500%, 09/25/17 | 4,695 | ||||||
1,807 | Series 2002-57, Class AE, 5.500%, 09/25/17 | 1,930 | ||||||
408 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 436 | ||||||
600 | Series 2002-71, Class AP, 5.000%, 11/25/32 | 659 | ||||||
3,755 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 4,021 | ||||||
569 | Series 2002-77, Class S, IF, 14.052%, 12/25/32 | 719 | ||||||
9,946 | Series 2002-78, Class Z, 5.500%, 12/25/32 | 11,051 | ||||||
2,906 | Series 2002-81, Class JO, PO, 04/25/32 | 2,882 | ||||||
1,441 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 1,646 | ||||||
1,743 | Series 2002-84, Class VB, 5.500%, 04/25/15 | 1,765 | ||||||
1,252 | Series 2002-90, Class A1, 6.500%, 06/25/42 | 1,477 | ||||||
58 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 1 | ||||||
4,290 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 4,586 | ||||||
909 | Series 2003-9, Class NZ, 6.500%, 02/25/33 | 1,049 | ||||||
1,255 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 219 | ||||||
5,000 | Series 2003-17, Class EQ, 5.500%, 03/25/23 | 5,797 | ||||||
4,550 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 5,058 | ||||||
8,000 | Series 2003-23, Class EQ, 5.500%, 04/25/23 | 9,275 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 37 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,627 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 1,648 | ||||||
118 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 118 | ||||||
1,108 | Series 2003-32, Class KC, 5.000%, 05/25/18 | 1,194 | ||||||
4,451 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 900 | ||||||
2,073 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 2,336 | ||||||
2,256 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 2,783 | ||||||
640 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 751 | ||||||
1,199 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 1,481 | ||||||
487 | Series 2003-35, Class EA, PO, 05/25/33 | 466 | ||||||
495 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 100 | ||||||
1,960 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 2,250 | ||||||
2,800 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 3,102 | ||||||
807 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 874 | ||||||
399 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 18 | ||||||
2,715 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 3,106 | ||||||
859 | Series 2003-52, Class SX, HB, IF, 22.243%, 10/25/31 | 1,507 | ||||||
2,302 | Series 2003-56, Class AZ, 5.500%, 08/25/31 | 2,343 | ||||||
1,352 | Series 2003-64, Class SX, IF, 13.136%, 07/25/33 | 1,700 | ||||||
5,000 | Series 2003-67, Class TJ, 4.750%, 07/25/18 | 5,383 | ||||||
51 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 51 | ||||||
2,716 | Series 2003-71, Class DS, IF, 7.139%, 08/25/33 | 2,825 | ||||||
12,144 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 1,631 | ||||||
5,000 | Series 2003-73, Class HC, 5.500%, 08/25/33 | 5,688 | ||||||
326 | Series 2003-73, Class HF, VAR, 0.685%, 01/25/31 | 326 | ||||||
262 | Series 2003-74, Class SH, IF, 9.746%, 08/25/33 | 289 | ||||||
1,708 | Series 2003-76, Class SH, IF, 13.729%, 09/25/31 | 1,991 | ||||||
3,711 | Series 2003-80, Class SY, IF, IO, 7.414%, 06/25/23 | 443 | ||||||
5,209 | Series 2003-81, Class HC, 4.750%, 09/25/18 | 5,588 | ||||||
1,363 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,462 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,801 | Series 2003-82, Class VB, 5.500%, 08/25/33 | 1,956 | ||||||
5,569 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 5,979 | ||||||
926 | Series 2003-91, Class SD, IF, 12.107%, 09/25/33 | 1,124 | ||||||
38 | Series 2003-92, Class GA, 4.500%, 09/25/18 | 38 | ||||||
19,574 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 22,318 | ||||||
5,112 | Series 2003-116, Class SB, IF, IO, 7.364%, 11/25/33 | 1,129 | ||||||
4,651 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 4,848 | ||||||
2,240 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 2,360 | ||||||
320 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 325 | ||||||
3,221 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 3,414 | ||||||
1,712 | Series 2003-130, Class CS, IF, 13.629%, 12/25/33 | 2,099 | ||||||
770 | Series 2003-130, Class SX, IF, 11.167%, 01/25/34 | 891 | ||||||
837 | Series 2003-131, Class SK, IF, 15.729%, 01/25/34 | 1,106 | ||||||
405 | Series 2003-132, Class OA, PO, 08/25/33 | 393 | ||||||
5,895 | Series 2004-3, Class BE, 4.000%, 02/25/19 | 6,255 | ||||||
3,421 | Series 2004-4, Class QI, IF, IO, 6.865%, 06/25/33 | 516 | ||||||
2,544 | Series 2004-4, Class QM, IF, 13.729%, 06/25/33 | 3,168 | ||||||
2,257 | Series 2004-10, Class SC, HB, IF, 27.658%, 02/25/34 | 3,465 | ||||||
— | (h) | Series 2004-14, Class SD, IF, 8.706%, 03/25/34 | — | (h) | ||||
4,433 | Series 2004-17, Class H, 5.500%, 04/25/34 | 5,145 | ||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,065 | ||||||
480 | Series 2004-21, Class CO, PO, 04/25/34 | 476 | ||||||
146 | Series 2004-22, Class A, 4.000%, 04/25/19 | 147 | ||||||
3,275 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 3,608 | ||||||
3,245 | Series 2004-25, Class SA, IF, 18.877%, 04/25/34 | 4,809 | ||||||
8,100 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 8,677 | ||||||
5,523 | Series 2004-28, Class PF, VAR, 0.635%, 03/25/34 | 5,538 | ||||||
8,789 | Series 2004-36, Class FA, VAR, 0.635%, 05/25/34 | 8,822 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,157 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 2,381 | ||||||
3,758 | Series 2004-36, Class SA, IF, 18.877%, 05/25/34 | 5,592 | ||||||
1,303 | Series 2004-36, Class SN, IF, 13.729%, 07/25/33 | 1,560 | ||||||
6,021 | Series 2004-46, Class EP, PO, 03/25/34 | 5,771 | ||||||
1,151 | Series 2004-46, Class HS, IF, IO, 5.765%, 05/25/30 | 19 | ||||||
921 | Series 2004-46, Class QB, HB, IF, 23.058%, 05/25/34 | 1,469 | ||||||
773 | Series 2004-46, Class SK, IF, 15.852%, 05/25/34 | 1,072 | ||||||
9,392 | Series 2004-50, Class VZ, 5.500%, 07/25/34 | 11,151 | ||||||
830 | Series 2004-51, Class SY, IF, 13.769%, 07/25/34 | 1,082 | ||||||
910 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,008 | ||||||
693 | Series 2004-59, Class BG, PO, 12/25/32 | 636 | ||||||
22 | Series 2004-61, Class CO, PO, 10/25/31 | 22 | ||||||
10,540 | Series 2004-61, Class FH, VAR, 1.035%, 11/25/32 | 10,681 | ||||||
229 | Series 2004-61, Class SH, HB, IF, 23.046%, 11/25/32 | 384 | ||||||
689 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 795 | ||||||
5,000 | Series 2004-65, Class EY, 5.500%, 08/25/24 | 5,698 | ||||||
12,000 | Series 2004-72, Class CB, 4.000%, 09/25/19 | 12,894 | ||||||
783 | Series 2004-74, Class SW, IF, 15.026%, 11/25/31 | 1,100 | ||||||
1,715 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 1,812 | ||||||
3,209 | Series 2004-79, Class S, IF, 19.152%, 08/25/32 | 4,262 | ||||||
1,085 | Series 2004-79, Class SP, IF, 19.152%, 11/25/34 | 1,552 | ||||||
1,450 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 1,532 | ||||||
9,600 | Series 2004-81, Class JG, 5.000%, 11/25/24 | 10,793 | ||||||
8,148 | Series 2004-87, Class F, VAR, 0.985%, 01/25/34 | 8,220 | ||||||
506 | Series 2004-89, Class EA, IF, 12.792%, 01/25/34 | 571 | ||||||
1,090 | Series 2004-92, Class BX, 5.500%, 09/25/34 | 1,195 | ||||||
54 | Series 2004-92, Class JO, PO, 12/25/34 | 53 | ||||||
2,120 | Series 2004-101, Class HD, 5.000%, 01/25/20 | 2,335 | ||||||
482 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 490 | ||||||
5,600 | Series 2005-16, Class LE, 5.500%, 07/25/33 | 6,064 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
3,918 | Series 2005-25, Class PF, VAR, 0.585%, 04/25/35 | 3,925 | ||||||
247 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 250 | ||||||
697 | Series 2005-42, Class PS, IF, 16.411%, 05/25/35 | 989 | ||||||
215 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 233 | ||||||
3,397 | Series 2005-56, Class S, IF, IO, 6.474%, 07/25/35 | 569 | ||||||
1,665 | Series 2005-56, Class TP, IF, 17.444%, 08/25/33 | 2,378 | ||||||
1,014 | Series 2005-57, Class CD, HB, IF, 24.242%, 01/25/35 | 1,517 | ||||||
277 | Series 2005-57, Class DC, HB, IF, 21.010%, 12/25/34 | 361 | ||||||
5,571 | Series 2005-57, Class EG, VAR, 0.536%, 03/25/35 | 5,574 | ||||||
1,000 | Series 2005-59, Class SU, HB, IF, 24.322%, 06/25/35 | 1,597 | ||||||
1,015 | Series 2005-66, Class SG, IF, 16.786%, 07/25/35 | 1,459 | ||||||
7,458 | Series 2005-67, Class EY, 5.500%, 08/25/25 | 8,293 | ||||||
1,134 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,254 | ||||||
4,940 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 5,615 | ||||||
1,890 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 2,071 | ||||||
4,865 | Series 2005-72, Class SB, IF, 16.286%, 08/25/35 | 6,582 | ||||||
1,522 | Series 2005-73, Class PS, IF, 16.111%, 08/25/35 | 2,156 | ||||||
10,076 | Series 2005-73, Class ZB, 5.500%, 08/25/35 | 11,480 | ||||||
1,299 | Series 2005-74, Class CP, HB, IF, 23.886%, 05/25/35 | 2,062 | ||||||
5,659 | Series 2005-74, Class CS, IF, 19.372%, 05/25/35 | 8,266 | ||||||
3,891 | Series 2005-74, Class SK, IF, 19.482%, 05/25/35 | 5,696 | ||||||
791 | Series 2005-75, Class SV, HB, IF, 23.258%, 09/25/35 | 1,258 | ||||||
5,778 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 6,515 | ||||||
1,966 | Series 2005-90, Class ES, IF, 16.286%, 10/25/35 | 2,827 | ||||||
1,166 | Series 2005-90, Class PO, PO, 09/25/35 | 1,098 | ||||||
4,872 | Series 2005-93, Class MF, VAR, 0.486%, 08/25/34 | 4,872 | ||||||
10,303 | Series 2005-106, Class US, HB, IF, 23.703%, 11/25/35 | 16,725 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 39 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,839 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 1,875 | ||||||
1,000 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 1,160 | ||||||
7,639 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 7,782 | ||||||
17,500 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 19,109 | ||||||
5,659 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 6,901 | ||||||
1,173 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 1,196 | ||||||
2,840 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 3,177 | ||||||
914 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 987 | ||||||
14,245 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 14,648 | ||||||
3,350 | Series 2005-121, Class DX, 5.500%, 01/25/26 | 3,813 | ||||||
1,207 | Series 2005-123, Class FG, VAR, 0.685%, 07/25/34 | 1,206 | ||||||
2,487 | Series 2006-7, Class TC, 6.000%, 09/25/33 | 2,540 | ||||||
7,143 | Series 2006-8, Class JZ, 5.500%, 03/25/36 | 8,305 | ||||||
22,394 | Series 2006-8, Class WN, IF, IO, 6.464%, 03/25/36 | 4,822 | ||||||
6,107 | Series 2006-8, Class WQ, PO, 03/25/36 | 5,423 | ||||||
951 | Series 2006-11, Class PS, HB, IF, 23.703%, 03/25/36 | 1,441 | ||||||
7,143 | Series 2006-12, Class BZ, 5.500%, 03/25/36 | 8,243 | ||||||
1,263 | Series 2006-15, Class OT, PO, 01/25/36 | 1,218 | ||||||
3,531 | Series 2006-16, Class FC, VAR, 0.536%, 03/25/36 | 3,542 | ||||||
7,143 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 8,051 | ||||||
836 | Series 2006-16, Class OA, PO, 03/25/36 | 767 | ||||||
2,065 | Series 2006-22, Class AO, PO, 04/25/36 | 1,868 | ||||||
2,850 | Series 2006-23, Class FK, VAR, 0.486%, 04/25/36 | 2,850 | ||||||
1,483 | Series 2006-23, Class KO, PO, 04/25/36 | 1,433 | ||||||
3,882 | Series 2006-27, Class OH, PO, 04/25/36 | 3,555 | ||||||
870 | Series 2006-33, Class LS, HB, IF, 29.090%, 05/25/36 | 1,635 | ||||||
17,000 | �� | Series 2006-35, Class GD, 6.000%, 12/25/34 | 18,111 | |||||
2,000 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,242 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,545 | Series 2006-42, Class CF, VAR, 0.685%, 06/25/36 | 1,550 | ||||||
3,154 | Series 2006-43, Class DO, PO, 06/25/36 | 2,948 | ||||||
1,022 | Series 2006-43, Class PO, PO, 06/25/36 | 990 | ||||||
54 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 54 | ||||||
9,935 | Series 2006-44, Class FP, VAR, 0.635%, 06/25/36 | 9,966 | ||||||
1,919 | Series 2006-44, Class GO, PO, 06/25/36 | 1,857 | ||||||
5,228 | Series 2006-44, Class P, PO, 12/25/33 | 5,033 | ||||||
2,415 | Series 2006-46, Class FW, VAR, 0.635%, 06/25/36 | 2,422 | ||||||
386 | Series 2006-46, Class SW, HB, IF, 23.336%, 06/25/36 | 585 | ||||||
2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 2,243 | ||||||
6,520 | Series 2006-50, Class JO, PO, 06/25/36 | 6,177 | ||||||
8,564 | Series 2006-50, Class PS, PO, 06/25/36 | 8,125 | ||||||
8,572 | Series 2006-53, Class US, IF, IO, 6.344%, 06/25/36 | 1,273 | ||||||
14,747 | Series 2006-56, Class FC, VAR, 0.525%, 07/25/36 | 14,781 | ||||||
5,452 | Series 2006-56, Class PF, VAR, 0.585%, 07/25/36 | 5,475 | ||||||
730 | Series 2006-58, Class AP, PO, 07/25/36 | 706 | ||||||
1,860 | Series 2006-58, Class FL, VAR, 0.695%, 07/25/36 | 1,869 | ||||||
6,340 | Series 2006-58, Class IG, IF, IO, 6.284%, 07/25/36 | 979 | ||||||
1,151 | Series 2006-58, Class PO, PO, 07/25/36 | 1,089 | ||||||
2,866 | Series 2006-59, Class QO, PO, 01/25/33 | 2,751 | ||||||
888 | Series 2006-60, Class AK, HB, IF, 27.858%, 07/25/36 | 1,543 | ||||||
4,929 | Series 2006-60, Class DO, PO, 04/25/35 | 4,650 | ||||||
944 | Series 2006-62, Class PS, HB, IF, 38.487%, 07/25/36 | 1,669 | ||||||
10,440 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 12,708 | ||||||
2,257 | Series 2006-65, Class QO, PO, 07/25/36 | 2,178 | ||||||
727 | Series 2006-66, Class NV, 6.500%, 02/25/24 | 737 | ||||||
16,551 | Series 2006-71, Class ZL, 6.000%, 07/25/36 | 19,449 | ||||||
3,855 | Series 2006-72, Class GO, PO, 08/25/36 | 3,604 | ||||||
1,075 | Series 2006-72, Class TO, PO, 08/25/36 | 1,040 | ||||||
8,515 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 9,785 | ||||||
2,967 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 3,546 | ||||||
6,764 | Series 2006-79, Class DF, VAR, 0.585%, 08/25/36 | 6,778 |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,602 | Series 2006-79, Class DO, PO, 08/25/36 | 1,470 | ||||||
1,610 | Series 2006-79, Class OP, PO, 08/25/36 | 1,500 | ||||||
1,475 | Series 2006-85, Class MZ, 6.500%, 09/25/36 | 1,744 | ||||||
1,771 | Series 2006-86, Class OB, PO, 09/25/36 | 1,647 | ||||||
1,642 | Series 2006-90, Class AO, PO, 09/25/36 | 1,575 | ||||||
908 | Series 2006-94, Class GK, HB, IF, 32.073%, 10/25/26 | 1,502 | ||||||
1,422 | Series 2006-95, Class SG, HB, IF, 25.258%, 10/25/36 | 2,210 | ||||||
4,700 | Series 2006-102, Class MD, 6.000%, 01/25/35 | 4,994 | ||||||
471 | Series 2006-109, Class PO, PO, 11/25/36 | 444 | ||||||
4,376 | Series 2006-110, Class PO, PO, 11/25/36 | 4,228 | ||||||
1,509 | Series 2006-111, Class EO, PO, 11/25/36 | 1,452 | ||||||
2,366 | Series 2006-113, Class PO, PO, 07/25/36 | 2,245 | ||||||
408 | Series 2006-115, Class ES, HB, IF, 25.618%, 12/25/36 | 678 | ||||||
1,505 | Series 2006-115, Class OK, PO, 12/25/36 | 1,456 | ||||||
10,572 | Series 2006-117, Class GS, IF, IO, 6.415%, 12/25/36 | 1,812 | ||||||
3,844 | Series 2006-118, Class A1, VAR, 0.295%, 12/25/36 | 3,801 | ||||||
12,964 | Series 2006-118, Class A2, VAR, 0.295%, 12/25/36 | 12,340 | ||||||
1,422 | Series 2006-119, Class PO, PO, 12/25/36 | 1,366 | ||||||
1,300 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,560 | ||||||
1,182 | Series 2006-128, Class PO, PO, 01/25/37 | 1,100 | ||||||
4,820 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 820 | ||||||
724 | Series 2007-1, Class SD, HB, IF, 37.587%, 02/25/37 | 1,083 | ||||||
132 | Series 2007-2, Class FA, VAR, 0.436%, 02/25/37 | 131 | ||||||
1,402 | Series 2007-2, Class HF, VAR, 0.585%, 08/25/36 | 1,403 | ||||||
4,377 | Series 2007-7, Class SG, IF, IO, 6.265%, 08/25/36 | 860 | ||||||
6,009 | Series 2007-10, Class FD, VAR, 0.486%, 02/25/37 | 6,008 | ||||||
19,491 | Series 2007-14, Class ES, IF, IO, 6.204%, 03/25/37 | 2,693 | ||||||
1,910 | Series 2007-14, Class OP, PO, 03/25/37 | 1,803 | ||||||
5,047 | Series 2007-14, Class QD, 5.500%, 11/25/35 | 5,437 | ||||||
1,534 | Series 2007-15, Class NO, PO, 03/25/22 | 1,452 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
10,735 | Series 2007-16, Class FC, VAR, 0.985%, 03/25/37 | 10,788 | ||||||
2,780 | Series 2007-18, Class MZ, 6.000%, 03/25/37 | 3,359 | ||||||
1,356 | Series 2007-22, Class SC, IF, IO, 5.844%, 03/25/37 | 182 | ||||||
1,750 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,847 | ||||||
4,098 | Series 2007-28, Class EO, PO, 04/25/37 | 3,959 | ||||||
3,382 | Series 2007-29, Class SG, HB, IF, 21.881%, 04/25/37 | 5,128 | ||||||
11,345 | Series 2007-35, Class SI, IF, IO, 5.865%, 04/25/37 | 1,626 | ||||||
1,512 | Series 2007-42, Class AO, PO, 05/25/37 | 1,427 | ||||||
11,000 | Series 2007-42, Class B, 6.000%, 05/25/37 | 13,054 | ||||||
4,071 | Series 2007-43, Class FL, VAR, 0.536%, 05/25/37 | 4,073 | ||||||
16,825 | Series 2007-53, Class SH, IF, IO, 5.865%, 06/25/37 | 2,235 | ||||||
24,143 | Series 2007-54, Class FA, VAR, 0.635%, 06/25/37 | 24,221 | ||||||
5,865 | Series 2007-54, Class PF, VAR, 0.455%, 06/25/37 | 5,870 | ||||||
3,553 | Series 2007-54, Class WI, IF, IO, 5.865%, 06/25/37 | 520 | ||||||
32,479 | Series 2007-60, Class AX, IF, IO, 6.914%, 07/25/37 | 5,869 | ||||||
2,416 | Series 2007-62, Class SE, IF, 15.911%, 07/25/37 | 3,334 | ||||||
3,795 | Series 2007-64, Class FB, VAR, 0.606%, 07/25/37 | 3,805 | ||||||
21,766 | Series 2007-65, Class KI, IF, IO, 6.384%, 07/25/37 | 2,908 | ||||||
4,590 | Series 2007-67, Class PO, PO, 07/25/37 | 4,440 | ||||||
3,983 | Series 2007-70, Class Z, 5.500%, 07/25/37 | 4,610 | ||||||
31,176 | Series 2007-72, Class EK, IF, IO, 6.164%, 07/25/37 | 4,457 | ||||||
948 | Series 2007-75, Class EO, PO, 01/25/36 | 920 | ||||||
5,948 | Series 2007-76, Class AZ, 5.500%, 08/25/37 | 6,727 | ||||||
4,067 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 4,848 | ||||||
5,435 | Series 2007-77, Class FG, VAR, 0.735%, 03/25/37 | 5,460 | ||||||
2,000 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 2,268 | ||||||
4,601 | Series 2007-78, Class PE, 6.000%, 08/25/37 | 5,447 | ||||||
640 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 644 | ||||||
3,272 | Series 2007-79, Class SB, HB, IF, 23.153%, 08/25/37 | 4,999 | ||||||
4,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 4,884 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 41 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
4,464 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 4,930 | ||||||
1,171 | Series 2007-85, Class SL, IF, 15.561%, 09/25/37 | 1,585 | ||||||
8,444 | Series 2007-88, Class VI, IF, IO, 6.305%, 09/25/37 | 1,400 | ||||||
8,503 | Series 2007-91, Class ES, IF, IO, 6.225%, 10/25/37 | 1,330 | ||||||
2,364 | Series 2007-92, Class YA, 6.500%, 06/25/37 | 2,651 | ||||||
3,940 | Series 2007-92, Class YS, IF, IO, 5.545%, 06/25/37 | 531 | ||||||
2,800 | Series 2007-97, Class FC, VAR, 0.735%, 07/25/37 | 2,813 | ||||||
5,912 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 1,421 | ||||||
1,720 | Series 2007-98, Class FB, VAR, 0.685%, 06/25/37 | 1,697 | ||||||
2,943 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 2,997 | ||||||
14,356 | Series 2007-100, Class SM, IF, IO, 6.214%, 10/25/37 | 1,974 | ||||||
50,710 | Series 2007-101, Class A2, VAR, 0.485%, 06/27/36 | 50,551 | ||||||
4,257 | Series 2007-106, Class A7, VAR, 5.952%, 10/25/37 | 4,761 | ||||||
7,697 | Series 2007-108, Class AN, VAR, 8.488%, 11/25/37 | 9,202 | ||||||
1,739 | Series 2007-108, Class SA, IF, IO, 6.125%, 12/25/37 | 253 | ||||||
19,359 | Series 2007-109, Class AI, IF, IO, 6.164%, 12/25/37 | 3,017 | ||||||
6,180 | Series 2007-112, Class MJ, 6.500%, 12/25/37 | 7,436 | ||||||
9,942 | Series 2007-112, Class SA, IF, IO, 6.215%, 12/25/37 | 1,419 | ||||||
44,000 | Series 2007-114, Class A6, VAR, 0.435%, 10/27/37 | 43,756 | ||||||
16,112 | Series 2007-116, Class HI, IO, VAR, 4.180%, 01/25/38 | 1,199 | ||||||
366 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 34 | ||||||
17,286 | Series 2008-1, Class BI, IF, IO, 5.675%, 02/25/38 | 2,301 | ||||||
19,187 | Series 2008-4, Class SD, IF, IO, 5.765%, 02/25/38 | 2,639 | ||||||
4,596 | Series 2008-10, Class XI, IF, IO, 5.995%, 03/25/38 | 701 | ||||||
7,559 | Series 2008-16, Class IS, IF, IO, 5.965%, 03/25/38 | 1,043 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,695 | Series 2008-18, Class SP, IF, 13.529%, 03/25/38 | 2,157 | ||||||
6,603 | Series 2008-20, Class SA, IF, IO, 6.755%, 03/25/38 | 1,084 | ||||||
14,712 | Series 2008-24, Class PF, VAR, 0.886%, 02/25/38 | 14,860 | ||||||
6,376 | Series 2008-27, Class SN, IF, IO, 6.665%, 04/25/38 | 1,025 | ||||||
2,095 | Series 2008-28, Class QS, IF, 19.994%, 04/25/38 | 3,028 | ||||||
8,602 | Series 2008-32, Class SA, IF, IO, 6.614%, 04/25/38 | 1,204 | ||||||
24,765 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 311 | ||||||
1,544 | Series 2008-42, Class AO, PO, 09/25/36 | 1,502 | ||||||
287 | Series 2008-44, Class PO, PO, 05/25/38 | 275 | ||||||
6,824 | Series 2008-46, Class HI, IO, VAR, 6.106%, 06/25/38 | 440 | ||||||
3,392 | Series 2008-47, Class SI, IF, IO, 6.265%, 06/25/23 | 379 | ||||||
2,649 | Series 2008-53, Class CA, 5.000%, 07/25/23 | 2,918 | ||||||
4,079 | Series 2008-53, Class CI, IF, IO, 6.964%, 07/25/38 | 750 | ||||||
18,329 | Series 2008-55, Class S, IF, IO, 7.364%, 07/25/28 | 2,999 | ||||||
4,042 | Series 2008-56, Class AC, 5.000%, 07/25/38 | 4,415 | ||||||
213 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 3 | ||||||
1,500 | Series 2008-60, Class JC, 5.000%, 07/25/38 | 1,738 | ||||||
2,778 | Series 2008-61, Class BH, 4.500%, 07/25/23 | 3,107 | ||||||
3,778 | Series 2008-61, Class CB, 5.000%, 07/25/23 | 4,302 | ||||||
63 | Series 2008-66, Class GD, 6.000%, 06/25/30 | 64 | ||||||
5,063 | Series 2008-76, Class GF, VAR, 0.886%, 09/25/23 | 5,120 | ||||||
13,340 | Series 2008-80, Class SA, IF, IO, 5.614%, 09/25/38 | 1,596 | ||||||
6,812 | Series 2008-81, Class SB, IF, IO, 5.614%, 09/25/38 | 892 | ||||||
983 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 1,057 | ||||||
9,048 | Series 2009-6, Class GS, IF, IO, 6.315%, 02/25/39 | 1,684 | ||||||
5,102 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 513 | ||||||
8,000 | Series 2009-11, Class NB, 5.000%, 03/25/29 | 9,112 | ||||||
6,245 | Series 2009-15, Class MI, IO, 5.000%, 03/25/24 | 541 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
10,821 | Series 2009-17, Class QS, IF, IO, 6.415%, 03/25/39 | 1,496 | ||||||
2,480 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 225 | ||||||
4,000 | Series 2009-19, Class PW, 4.500%, 10/25/36 | 4,496 | ||||||
700 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 787 | ||||||
6,286 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 823 | ||||||
10,000 | Series 2009-59, Class HB, 5.000%, 08/25/39 | 11,418 | ||||||
22,483 | Series 2009-60, Class HT, 6.000%, 08/25/39 | 25,300 | ||||||
692 | Series 2009-63, Class P, 5.000%, 03/25/37 | 765 | ||||||
14,134 | Series 2009-65, Class MT, 5.000%, 09/25/39 | 15,691 | ||||||
7,208 | Series 2009-69, Class WA, VAR, 6.033%, 09/25/39 | 8,049 | ||||||
5,572 | Series 2009-70, Class CO, PO, 01/25/37 | 5,267 | ||||||
11,553 | Series 2009-84, Class WS, IF, IO, 5.664%, 10/25/39 | 1,397 | ||||||
21,365 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 2,853 | ||||||
26,748 | Series 2009-86, Class OT, PO, 10/25/37 | 24,248 | ||||||
21,180 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 1,085 | ||||||
10,706 | Series 2009-99, Class SC, IF, IO, 5.945%, 12/25/39 | 1,367 | ||||||
8,202 | Series 2009-99, Class WA, VAR, 6.313%, 12/25/39 | 9,317 | ||||||
11,833 | Series 2009-103, Class MB, VAR, 3.641%, 12/25/39 | 12,682 | ||||||
14,128 | Series 2009-112, Class ST, IF, IO, 6.014%, 01/25/40 | 1,720 | ||||||
2,580 | Series 2009-113, Class AO, PO, 01/25/40 | 2,458 | ||||||
2,566 | Series 2010-1, Class WA, VAR, 6.163%, 02/25/40 | 2,928 | ||||||
7,398 | Series 2010-14, Class FJ, VAR, 0.836%, 03/25/40 | 7,443 | ||||||
6,586 | Series 2010-16, Class WA, VAR, 6.450%, 03/25/40 | 7,578 | ||||||
6,132 | Series 2010-16, Class WB, VAR, 6.202%, 03/25/40 | 7,042 | ||||||
13,326 | Series 2010-35, Class SB, IF, IO, 6.184%, 04/25/40 | 1,813 | ||||||
3,000 | Series 2010-35, Class SJ, IF, 16.882%, 04/25/40 | 5,037 | ||||||
1,346 | Series 2010-39, Class OT, PO, 10/25/35 | 1,205 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
5,735 | Series 2010-40, Class FJ, VAR, 0.836%, 04/25/40 | 5,775 | ||||||
10,136 | Series 2010-42, Class S, IF, IO, 6.164%, 05/25/40 | 1,297 | ||||||
4,181 | Series 2010-43, Class FD, VAR, 0.836%, 05/25/40 | 4,217 | ||||||
2,134 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,277 | ||||||
2,490 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 2,703 | ||||||
14,386 | Series 2010-49, Class SC, IF, 12.189%, 03/25/40 | 17,738 | ||||||
9,760 | Series 2010-58, Class MB, 5.500%, 06/25/40 | 11,786 | ||||||
5,196 | Series 2010-63, Class AP, PO, 06/25/40 | 4,921 | ||||||
47,181 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 50,801 | ||||||
18,039 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 19,946 | ||||||
2,000 | Series 2010-102, Class PN, 5.000%, 09/25/40 | 2,416 | ||||||
10,019 | Series 2010-103, Class SB, IF, IO, 5.865%, 11/25/49 | 1,355 | ||||||
55,505 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 59,079 | ||||||
19,500 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 23,720 | ||||||
33,484 | Series 2010-125, Class SA, IF, IO, 4.205%, 11/25/40 | 3,490 | ||||||
39,680 | Series 2010-133, Class A, 5.500%, 05/25/38 | 42,366 | ||||||
18,919 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 20,033 | ||||||
10,721 | Series 2011-2, Class WA, VAR, 5.750%, 02/25/51 | 11,688 | ||||||
4,287 | Series 2011-17, Class EF, VAR, 0.536%, 07/25/25 | 4,286 | ||||||
13,834 | Series 2011-19, Class ZY, 6.500%, 07/25/36 | 16,192 | ||||||
2,485 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 2,852 | ||||||
71,166 | Series 2011-30, Class LS, IO, VAR, 4.617%, 04/25/41 | 5,298 | ||||||
19,756 | Series 2011-39, Class ZA, 6.000%, 11/25/32 | 22,180 | ||||||
10,710 | Series 2011-47, Class ZA, 5.500%, 07/25/38 | 12,298 | ||||||
3,279 | Series 2011-58, Class WA, VAR, 5.410%, 07/25/51 | 3,457 | ||||||
10,243 | Series 2011-75, Class FA, VAR, 0.786%, 08/25/41 | 10,311 | ||||||
9,275 | Series 2011-101, Class FM, VAR, 0.786%, 01/25/41 | 9,319 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 43 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
5,850 | Series 2011-111, Class DF, VAR, 0.635%, 12/25/38 | 5,841 | ||||||
47,582 | Series 2011-118, Class LB, 7.000%, 11/25/41 | 56,170 | ||||||
66,364 | Series 2011-118, Class MT, 7.000%, 11/25/41 | 82,218 | ||||||
62,678 | Series 2011-118, Class NT, 7.000%, 11/25/41 | 73,557 | ||||||
17,928 | Series 2011-124, Class JF, VAR, 0.635%, 02/25/41 | 17,960 | ||||||
2,868 | Series 2011-149, Class EF, VAR, 0.735%, 07/25/41 | 2,875 | ||||||
10,339 | Series 2011-149, Class MF, VAR, 0.735%, 11/25/41 | 10,366 | ||||||
19,224 | Series 2012-3, Class PF, VAR, 0.635%, 04/25/40 | 19,262 | ||||||
10,548 | Series 2012-14, Class FB, VAR, 0.685%, 08/25/37 | 10,569 | ||||||
14,412 | Series 2012-14, Class FG, VAR, 0.635%, 07/25/40 | 14,429 | ||||||
4,887 | Series 2012-14, Class FL, VAR, 0.685%, 12/25/40 | 4,905 | ||||||
95,498 | Series 2012-47, Class HF, VAR, 0.635%, 05/25/27 | 95,691 | ||||||
9,885 | Series 2012-66, Class HF, VAR, 0.536%, 03/25/41 | 9,881 | ||||||
12,521 | Series 2012-87, Class KF, VAR, 0.685%, 09/25/37 | 12,538 | ||||||
8,981 | Series 2012-89, Class FD, VAR, 0.685%, 04/25/39 | 8,994 | ||||||
14,500 | Series 2012-97, Class FB, VAR, 0.760%, 09/25/42 | 14,539 | ||||||
11,500 | Series 2012-101, Class FC, VAR, 0.741%, 09/25/42 | 11,535 | ||||||
14 | Series G-14, Class L, 8.500%, 06/25/21 | 17 | ||||||
1 | Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21 | 21 | ||||||
66 | Series G-18, Class Z, 8.750%, 06/25/21 | 78 | ||||||
15 | Series G-22, Class G, 6.000%, 12/25/16 | 16 | ||||||
58 | Series G-28, Class S, IF, 14.850%, 09/25/21 | 76 | ||||||
108 | Series G-35, Class M, 8.750%, 10/25/21 | 124 | ||||||
20 | Series G-51, Class SA, HB, IF, 27.336%, 12/25/21 | 33 | ||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 11,737.650%, 05/25/22 | 47 | |||||
489 | Series G92-35, Class E, 7.500%, 07/25/22 | 550 | ||||||
— | (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 6 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
44 | Series G92-42, Class Z, 7.000%, 07/25/22 | 50 | ||||||
1,245 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 1,395 | ||||||
549 | Series G92-45, Class Z, 6.000%, 08/25/22 | 585 | ||||||
44 | Series G92-52, Class FD, VAR, 0.271%, 09/25/22 | 44 | ||||||
582 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 657 | ||||||
44 | Series G92-59, Class F, VAR, 1.816%, 10/25/22 | 45 | ||||||
87 | Series G92-61, Class Z, 7.000%, 10/25/22 | 103 | ||||||
65 | Series G92-62, Class B, PO, 10/25/22 | 62 | ||||||
302 | Series G93-1, Class KA, 7.900%, 01/25/23 | 347 | ||||||
116 | Series G93-5, Class Z, 6.500%, 02/25/23 | 134 | ||||||
85 | Series G93-14, Class J, 6.500%, 03/25/23 | 94 | ||||||
207 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 248 | ||||||
191 | Series G93-27, Class FD, VAR, 1.130%, 08/25/23 | 194 | ||||||
49 | Series G93-37, Class H, PO, 09/25/23 | 48 | ||||||
153 | Series G95-1, Class C, 8.800%, 01/25/25 | 178 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
5 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 1 | ||||||
3 | Series 50, Class 2, IO, 10.500%, 03/01/19 | 1 | ||||||
44 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 10 | ||||||
27 | Series 265, Class 2, 9.000%, 03/01/24 | 32 | ||||||
3,840 | Series 300, Class 1, PO, 09/01/24 | 3,411 | ||||||
627 | Series 329, Class 1, PO, 01/01/33 | 582 | ||||||
2,032 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 156 | ||||||
2,791 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 215 | ||||||
1,530 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 136 | ||||||
837 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 102 | ||||||
3,801 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 503 | ||||||
404 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 34 | ||||||
2,527 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 338 | ||||||
3,286 | Series 383, Class 33, IO, 6.000%, 01/01/38 | 475 | ||||||
795 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 93 | ||||||
43,928 | Series 411, Class F1, VAR, 0.785%, 08/25/42 | 44,087 | ||||||
14,864 | Series 412, Class F2, VAR, 0.735%, 08/25/42 | 14,907 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2,524 | Series 2003-W1, Class 1A1, VAR, 6.224%, 12/25/42 | 2,908 | ||||||
610 | Series 2003-W1, Class 2A, VAR, 7.007%, 12/25/42 | 719 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,192 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 2,560 | ||||||
1,303 | Series 2003-W2, Class 2A9, 5.900%, 07/25/42 | 1,511 | ||||||
515 | Series 2003-W4, Class 2A, VAR, 6.497%, 10/25/42 | 580 | ||||||
9,017 | Series 2003-W6, Class 2A4, 5.204%, 09/25/42 | 10,130 | ||||||
4,068 | Series 2003-W6, Class 3A, 6.500%, 09/25/42 | 4,693 | ||||||
4,811 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 5,625 | ||||||
990 | Series 2003-W8, Class 3F1, VAR, 0.635%, 05/25/42 | 986 | ||||||
12,181 | Series 2004-W1, Class 1A6, 5.040%, 11/25/43 | 12,901 | ||||||
6,549 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 7,924 | ||||||
6,800 | Series 2004-W10, Class A6, 5.750%, 08/25/34 | 7,528 | ||||||
2,048 | Series 2004-W11, Class 1A1, 6.000%, 05/25/44 | 2,447 | ||||||
6,116 | Series 2004-W15, Class 2AF, VAR, 0.486%, 08/25/44 | 6,070 | ||||||
2,128 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 2,462 | ||||||
2,016 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 2,394 | ||||||
3,908 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 4,644 | ||||||
46,192 | Series 2005-W3, Class 2AF, VAR, 0.455%, 03/25/45 | 45,918 | ||||||
2,817 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 3,146 | ||||||
22,331 | Series 2006-W2, Class 1AF1, VAR, 0.455%, 02/25/36 | 22,170 | ||||||
5,354 | Series 2006-W2, Class 2A, VAR, 2.224%, 11/25/35 | 5,538 | ||||||
4,950 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 5,587 | ||||||
45,053 | Series 2007-W1, Class 1AF1, VAR, 0.496%, 11/25/46 | 44,802 | ||||||
777 | Series 2007-W10, Class 2A, VAR, 6.224%, 08/25/47 | 881 | ||||||
3,341 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 3,684 | ||||||
2,085 | Series 2007-W5, Class PO, PO, 06/25/37 | 1,859 | ||||||
2,509 | Series 2007-W7, Class 1A4, HB, IF, 37.767%, 07/25/37 | 5,109 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
26,569 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 30,606 | ||||||
Government National Mortgage Association, | ||||||||
1,235 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 1,490 | ||||||
4,307 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 5,056 | ||||||
291 | Series 1995-3, Class DQ, 8.050%, 06/16/25 | 338 | ||||||
69 | Series 1995-7, Class CQ, 7.500%, 09/16/25 | 79 | ||||||
1,061 | Series 1996-16, Class E, 7.500%, 08/16/26 | 1,223 | ||||||
522 | Series 1998-26, Class K, 7.500%, 09/17/25 | 602 | ||||||
3,802 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 4,346 | ||||||
3,635 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 4,262 | ||||||
460 | Series 1999-30, Class S, IF, IO, 8.362%, 08/16/29 | 74 | ||||||
28 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 | 37 | ||||||
405 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 481 | ||||||
780 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 916 | ||||||
353 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 409 | ||||||
4,075 | Series 1999-44, Class ZC, 8.500%, 12/16/29 | 5,026 | ||||||
647 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 798 | ||||||
329 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 407 | ||||||
4,021 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 4,881 | ||||||
470 | Series 2000-12, Class ST, HB, IF, 38.272%, 02/16/30 | 1,013 | ||||||
1,053 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 1,245 | ||||||
281 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 295 | ||||||
3,711 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 4,402 | ||||||
653 | Series 2000-26, Class TZ, 8.500%, 09/20/30 | 769 | ||||||
165 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 193 | ||||||
31 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 39 | ||||||
515 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 611 | ||||||
307 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 338 | ||||||
49 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 15 | ||||||
261 | Series 2001-4, Class SJ, IF, IO, 7.913%, 01/19/30 | 60 | ||||||
234 | Series 2001-6, Class SD, IF, IO, 8.312%, 03/16/31 | 50 | ||||||
887 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 947 | ||||||
1,369 | Series 2001-8, Class Z, 6.500%, 03/20/31 | 1,607 | ||||||
1,970 | Series 2001-22, Class PS, HB, IF, 20.389%, 03/17/31 | 3,346 | ||||||
51 | Series 2001-32, Class WA, IF, 19.532%, 07/20/31 | 93 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 45 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
380 | Series 2001-35, Class SA, IF, IO, 8.012%, 08/16/31 | 89 | ||||||
312 | Series 2001-36, Class S, IF, IO, 7.811%, 08/16/31 | 72 | ||||||
4,500 | Series 2001-53, Class PB, 6.500%, 11/20/31 | 5,622 | ||||||
2,587 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 2,741 | ||||||
409 | Series 2002-3, Class SP, IF, IO, 7.152%, 01/16/32 | 114 | ||||||
720 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 850 | ||||||
1,655 | Series 2002-24, Class AG, IF, IO, 7.711%, 04/16/32 | 434 | ||||||
147 | Series 2002-24, Class SB, IF, 11.567%, 04/16/32 | 199 | ||||||
235 | Series 2002-31, Class S, IF, IO, 8.462%, 01/16/31 | 55 | ||||||
3,722 | Series 2002-31, Class SE, IF, IO, 7.261%, 04/16/30 | 791 | ||||||
1,741 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 2,054 | ||||||
60 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 77 | ||||||
6,777 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 7,859 | ||||||
2,029 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 2,394 | ||||||
758 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 872 | ||||||
3,414 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 4,031 | ||||||
139 | Series 2002-51, Class SG, HB, IF, 31.473%, 04/20/31 | 303 | ||||||
2,339 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 2,685 | ||||||
1,019 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 1,172 | ||||||
1,244 | Series 2002-69, Class PO, PO, 02/20/32 | 1,241 | ||||||
1,634 | Series 2002-70, Class PS, IF, IO, 7.463%, 08/20/32 | 197 | ||||||
1,411 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,783 | ||||||
482 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 11 | ||||||
580 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 597 | ||||||
343 | Series 2003-8, Class PO, PO, 01/16/32 | 340 | ||||||
1,874 | Series 2003-11, Class SK, IF, IO, 7.462%, 02/16/33 | 431 | ||||||
777 | Series 2003-12, Class SP, IF, IO, 7.463%, 02/20/33 | 191 | ||||||
295 | Series 2003-24, Class PO, PO, 03/16/33 | 264 | ||||||
5,841 | Series 2003-25, Class PZ, 5.500%, 04/20/33 | 6,854 | ||||||
314 | Series 2003-34, Class TO, PO, 02/16/32 | 313 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
780 | Series 2003-40, Class TC, 7.500%, 03/20/33 | 798 | ||||||
3,156 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 3,952 | ||||||
1,120 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 1,409 | ||||||
2,072 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 2,436 | ||||||
1,311 | Series 2003-52, Class AP, PO, 06/16/33 | 1,197 | ||||||
3,196 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 3,832 | ||||||
132 | Series 2003-60, Class NS, IF, 15.975%, 07/16/33 | 136 | ||||||
5,135 | Series 2003-75, Class ZX, 6.000%, 09/16/33 | 5,901 | ||||||
863 | Series 2003-76, Class LS, IF, IO, 6.963%, 09/20/31 | 46 | ||||||
210 | Series 2003-90, Class PO, PO, 10/20/33 | 193 | ||||||
2,945 | Series 2003-97, Class SA, IF, IO, 6.311%, 11/16/33 | 602 | ||||||
2,600 | Series 2003-112, Class SA, IF, IO, 6.311%, 12/16/33 | 491 | ||||||
18,418 | Series 2003-112, Class TS, IF, IO, 6.713%, 10/20/32 | 1,827 | ||||||
675 | Series 2003-114, Class SH, IF, 14.267%, 11/17/32 | 870 | ||||||
7,978 | Series 2004-11, Class SW, IF, IO, 5.263%, 02/20/34 | 1,219 | ||||||
3,020 | Series 2004-15, Class SA, IF, 19.011%, 12/20/32 | 3,631 | ||||||
1,026 | Series 2004-28, Class S, IF, 19.007%, 04/16/34 | 1,678 | ||||||
2,151 | Series 2004-34, Class JO, PO, 02/20/34 | 2,148 | ||||||
2,882 | Series 2004-46, Class PO, PO, 06/20/34 | 2,720 | ||||||
5,867 | Series 2004-49, Class Z, 6.000%, 06/20/34 | 7,021 | ||||||
1,185 | Series 2004-68, Class PO, PO, 05/20/31 | 1,181 | ||||||
1,495 | Series 2004-71, Class SB, HB, IF, 28.300%, 09/20/34 | 2,357 | ||||||
1,495 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 1,623 | ||||||
1,414 | Series 2004-73, Class AE, IF, 14.364%, 08/17/34 | 1,857 | ||||||
8,098 | Series 2004-73, Class JL, IF, IO, 6.311%, 09/16/34 | 1,467 | ||||||
765 | Series 2004-83, Class AP, IF, 13.741%, 10/16/34 | 937 | ||||||
446 | Series 2004-85, Class PO, PO, 01/17/33 | 444 | ||||||
845 | Series 2004-87, Class SB, IF, 7.398%, 03/17/33 | 922 | ||||||
919 | Series 2004-89, Class LS, HB, IF, 23.509%, 10/16/34 | 1,594 | ||||||
17,117 | Series 2004-90, Class SI, IF, IO, 5.863%, 10/20/34 | 2,680 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
7,664 | Series 2004-96, Class SC, IF, IO, 5.843%, 11/20/34 | 1,162 | ||||||
8,275 | Series 2005-3, Class SB, IF, IO, 5.863%, 01/20/35 | 1,284 | ||||||
12,344 | Series 2005-3, Class SK, IF, IO, 6.513%, 01/20/35 | 1,993 | ||||||
1,218 | Series 2005-6, Class GS, IF, 13.026%, 12/20/32 | 1,362 | ||||||
3,214 | Series 2005-7, Class JM, IF, 16.199%, 05/18/34 | 3,943 | ||||||
12,811 | Series 2005-17, Class SL, IF, IO, 6.463%, 07/20/34 | 2,152 | ||||||
1,883 | Series 2005-35, Class FL, VAR, 0.587%, 03/20/32 | 1,885 | ||||||
1,150 | Series 2005-44, Class SP, IF, 11.726%, 10/20/34 | 1,365 | ||||||
1,370 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 203 | ||||||
138 | Series 2005-65, Class SA, HB, IF, 21.834%, 08/20/35 | 171 | ||||||
503 | Series 2005-66, Class SP, HB, IF, 20.038%, 08/16/35 | 757 | ||||||
5,883 | Series 2005-68, Class DP, IF, 15.860%, 06/17/35 | 8,310 | ||||||
27,686 | Series 2005-68, Class KI, IF, IO, 6.063%, 09/20/35 | 4,101 | ||||||
6,178 | Series 2005-69, Class SY, IF, IO, 6.513%, 11/20/33 | 908 | ||||||
2,923 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 3,587 | ||||||
1,261 | Series 2005-82, Class PO, PO, 10/20/35 | 1,195 | ||||||
2,413 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 433 | ||||||
304 | Series 2005-93, Class JO, PO, 03/20/31 | 303 | ||||||
2,329 | Series 2006-16, Class OP, PO, 03/20/36 | 2,141 | ||||||
2,701 | Series 2006-20, Class QA, 5.750%, 02/20/36 | 3,000 | ||||||
3,471 | Series 2006-22, Class AO, PO, 05/20/36 | 3,300 | ||||||
5,934 | Series 2006-33, Class Z, 6.500%, 07/20/36 | 7,325 | ||||||
545 | Series 2006-34, Class PO, PO, 07/20/36 | 519 | ||||||
681 | Series 2006-38, Class SW, IF, IO, 6.263%, 06/20/36 | 87 | ||||||
6,197 | Series 2006-38, Class ZK, 6.500%, 08/20/36 | 7,740 | ||||||
4,150 | Series 2006-40, Class VB, 6.000%, 11/20/26 | 4,228 | ||||||
2,074 | Series 2006-57, Class PZ, 5.565%, 10/20/36 | 2,530 | ||||||
4,254 | Series 2006-59, Class SD, IF, IO, 6.463%, 10/20/36 | 740 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
8,174 | Series 2006-65, Class SA, IF, IO, 6.563%, 11/20/36 | 1,281 | ||||||
6,296 | Series 2007-9, Class CI, IF, IO, 5.963%, 03/20/37 | 1,000 | ||||||
10,602 | Series 2007-9, Class DI, IF, IO, 6.273%, 03/20/37 | 1,759 | ||||||
14,958 | Series 2007-17, Class AF, VAR, 0.438%, 04/16/37 | 14,957 | ||||||
9,637 | Series 2007-17, Class JI, IF, IO, 6.572%, 04/16/37 | 1,678 | ||||||
3,739 | Series 2007-17, Class JO, PO, 04/16/37 | 3,435 | ||||||
4,582 | Series 2007-19, Class SD, IF, IO, 5.963%, 04/20/37 | 661 | ||||||
3,164 | Series 2007-25, Class FN, VAR, 0.538%, 05/16/37 | 3,159 | ||||||
10,795 | Series 2007-26, Class SC, IF, IO, 5.963%, 05/20/37 | 1,607 | ||||||
23,920 | Series 2007-26, Class SW, IF, IO, 5.963%, 05/20/37 | 3,759 | ||||||
7,786 | Series 2007-27, Class SD, IF, IO, 5.963%, 05/20/37 | 1,142 | ||||||
830 | Series 2007-28, Class BO, PO, 05/20/37 | 787 | ||||||
10,344 | Series 2007-35, Class PO, PO, 06/16/37 | 9,505 | ||||||
363 | Series 2007-35, Class TO, PO, 04/20/35 | 362 | ||||||
1,434 | Series 2007-36, Class HO, PO, 06/16/37 | 1,317 | ||||||
6,147 | Series 2007-36, Class SE, IF, IO, 6.231%, 06/16/37 | 1,001 | ||||||
8,218 | Series 2007-36, Class SJ, IF, IO, 6.013%, 06/20/37 | 1,303 | ||||||
6,532 | Series 2007-40, Class SD, IF, IO, 6.513%, 07/20/37 | 1,035 | ||||||
10,965 | Series 2007-40, Class SN, IF, IO, 6.443%, 07/20/37 | 1,647 | ||||||
15,811 | Series 2007-42, Class SC, IF, IO, 6.513%, 07/20/37 | 2,666 | ||||||
9,753 | Series 2007-45, Class QA, IF, IO, 6.403%, 07/20/37 | 1,613 | ||||||
1,368 | Series 2007-49, Class NO, PO, 12/20/35 | 1,365 | ||||||
3,226 | Series 2007-50, Class AI, IF, IO, 6.538%, 08/20/37 | 535 | ||||||
6,139 | Series 2007-53, Class ES, IF, IO, 6.313%, 09/20/37 | 1,118 | ||||||
2,269 | Series 2007-53, Class SW, IF, 19.494%, 09/20/37 | 3,316 | ||||||
9,932 | Series 2007-57, Class PO, PO, 03/20/37 | 9,557 | ||||||
8,517 | Series 2007-57, Class QA, IF, IO, 6.263%, 10/20/37 | 1,303 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 47 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
8,793 | Series 2007-67, Class SI, IF, IO, 6.273%, 11/20/37 | 1,438 | ||||||
4,223 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 4,412 | ||||||
6,552 | Series 2007-71, Class SB, IF, IO, 6.463%, 07/20/36 | 776 | ||||||
7,504 | Series 2007-72, Class US, IF, IO, 6.313%, 11/20/37 | 1,261 | ||||||
8,267 | Series 2007-73, Class MI, IF, IO, 5.763%, 11/20/37 | 1,195 | ||||||
5,346 | Series 2007-74, Class SL, IF, IO, 6.302%, 11/16/37 | 911 | ||||||
16,083 | Series 2007-76, Class SB, IF, IO, 6.263%, 11/20/37 | 2,495 | ||||||
12,144 | Series 2007-79, Class SY, IF, IO, 6.313%, 12/20/37 | 2,087 | ||||||
9,356 | Series 2007-82, Class SA, IF, IO, 6.293%, 12/20/37 | 1,553 | ||||||
621 | Series 2008-1, Class PO, PO, 01/20/38 | 589 | ||||||
872 | Series 2008-7, Class SK, IF, 19.239%, 11/20/37 | 1,253 | ||||||
1,226 | Series 2008-7, Class SP, IF, 12.926%, 10/20/37 | 1,519 | ||||||
2,467 | Series 2008-17, Class IO, IO, 5.500%, 02/20/38 | 346 | ||||||
2,391 | Series 2008-20, Class PO, PO, 09/20/37 | 2,305 | ||||||
1,025 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 86 | ||||||
5,638 | Series 2008-25, Class SB, IF, IO, 6.663%, 03/20/38 | 1,049 | ||||||
2,486 | Series 2008-29, Class PO, PO, 02/17/33 | 2,376 | ||||||
13,469 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 1,828 | ||||||
3,721 | Series 2008-33, Class XS, IF, IO, 7.462%, 04/16/38 | 605 | ||||||
6,000 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 7,054 | ||||||
10,602 | Series 2008-36, Class SH, IF, IO, 6.063%, 04/20/38 | 1,661 | ||||||
23,258 | Series 2008-40, Class SA, IF, IO, 6.162%, 05/16/38 | 4,802 | ||||||
8,954 | Series 2008-41, Class SA, IF, IO, 6.103%, 05/20/38 | 1,279 | ||||||
1,012 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 1,085 | ||||||
3,500 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 4,084 | ||||||
3,224 | Series 2008-55, Class SA, IF, IO, 5.963%, 06/20/38 | 481 | ||||||
12,844 | Series 2008-60, Class CS, IF, IO, 5.913%, 07/20/38 | 1,975 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,218 | Series 2008-60, Class PO, PO, 01/20/38 | 2,177 | ||||||
1,361 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 1,488 | ||||||
10,000 | Series 2008-65, Class ME, 5.750%, 09/20/37 | 10,785 | ||||||
10,798 | Series 2008-69, Class QD, 5.750%, 07/20/38 | 12,099 | ||||||
4,928 | Series 2008-71, Class SC, IF, IO, 5.763%, 08/20/38 | 672 | ||||||
13,026 | Series 2008-76, Class US, IF, IO, 5.663%, 09/20/38 | 1,811 | ||||||
7,056 | Series 2008-79, Class CS, IF, 6.563%, 06/20/35 | 7,618 | ||||||
24,436 | Series 2008-81, Class S, IF, IO, 5.963%, 09/20/38 | 3,666 | ||||||
11,313 | Series 2008-93, Class AS, IF, IO, 5.463%, 12/20/38 | 1,590 | ||||||
24,264 | Series 2008-95, Class DS, IF, IO, 7.063%, 12/20/38 | 4,324 | ||||||
7,196 | Series 2008-96, Class SL, IF, IO, 5.763%, 12/20/38 | 1,142 | ||||||
7,774 | Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 | 1,300 | ||||||
7,473 | Series 2009-6, Class SH, IF, IO, 5.803%, 02/20/39 | 1,074 | ||||||
11,853 | Series 2009-10, Class SA, IF, IO, 5.713%, 02/20/39 | 1,661 | ||||||
4,482 | Series 2009-10, Class SL, IF, IO, 6.262%, 03/16/34 | 480 | ||||||
9,368 | Series 2009-11, Class SC, IF, IO, 5.911%, 02/16/39 | 1,552 | ||||||
3,317 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 713 | ||||||
6,768 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 1,308 | ||||||
21,342 | Series 2009-22, Class SA, IF, IO, 6.033%, 04/20/39 | 3,092 | ||||||
10,765 | Series 2009-24, Class DS, IF, IO, 6.063%, 03/20/39 | 1,176 | ||||||
5,729 | Series 2009-25, Class SE, IF, IO, 7.363%, 09/20/38 | 941 | ||||||
11,548 | Series 2009-31, Class ST, IF, IO, 6.113%, 03/20/39 | 1,523 | ||||||
13,900 | Series 2009-31, Class TS, IF, IO, 6.063%, 03/20/39 | 1,817 | ||||||
3,433 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 482 | ||||||
3,504 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 620 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
8,658 | Series 2009-35, Class SN, IF, IO, 6.162%, 12/16/38 | 1,047 | ||||||
17,664 | Series 2009-42, Class SC, IF, IO, 5.843%, 06/20/39 | 2,555 | ||||||
12,257 | Series 2009-43, Class SA, IF, IO, 5.713%, 06/20/39 | 1,649 | ||||||
9,782 | Series 2009-44, Class MV, 6.000%, 04/20/20 | 11,084 | ||||||
3,513 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 3,818 | ||||||
24,768 | Series 2009-64, Class SN, IF, IO, 5.861%, 07/16/39 | 3,312 | ||||||
4,599 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 824 | ||||||
15,769 | Series 2009-72, Class SM, IF, IO, 6.011%, 08/16/39 | 2,118 | ||||||
3,070 | Series 2009-75, Class MN, 5.500%, 09/20/39 | 3,734 | ||||||
12,387 | Series 2009-79, Class OK, PO, 11/16/37 | 11,521 | ||||||
24,356 | Series 2009-81, Class SB, IF, IO, 5.853%, 09/20/39 | 3,993 | ||||||
10,859 | Series 2009-83, Class TS, IF, IO, 5.863%, 08/20/39 | 1,535 | ||||||
4,133 | Series 2009-89, Class VA, 5.000%, 07/20/20 | 4,712 | ||||||
38,092 | Series 2009-102, Class SM, IF, IO, 6.162%, 06/16/39 | 4,298 | ||||||
3,407 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 4,174 | ||||||
17,025 | Series 2009-106, Class AS, IF, IO, 6.162%, 11/16/39 | 2,685 | ||||||
61,861 | Series 2009-106, Class ST, IF, IO, 5.763%, 02/20/38 | 9,400 | ||||||
5,649 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 6,505 | ||||||
5,672 | Series 2010-14, Class AO, PO, 12/20/32 | 5,534 | ||||||
2,281 | Series 2010-14, Class BO, PO, 11/20/35 | 2,163 | ||||||
4,499 | Series 2010-14, Class CO, PO, 08/20/35 | 3,910 | ||||||
578 | Series 2010-14, Class EO, PO, 06/16/33 | 574 | ||||||
25,948 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 28,313 | ||||||
4,504 | Series 2010-41, Class WA, VAR, 5.849%, 10/20/33 | 5,102 | ||||||
2,821 | Series 2010-103, Class WA, VAR, 5.757%, 08/20/34 | 3,268 | ||||||
3,636 | Series 2010-129, Class AW, VAR, 6.133%, 04/20/37 | 4,158 | ||||||
23,608 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 27,835 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
20,373 | Series 2010-157, Class OP, PO, 12/20/40 | 17,754 | ||||||
4,401 | Series 2011-17, Class FP, VAR, 0.637%, 09/20/40 | 4,417 | ||||||
1,643 | Series 2011-22, Class WA, VAR, 5.947%, 02/20/37 | 1,853 | ||||||
5,945 | Series 2011-43, Class ZQ, 5.500%, 01/16/33 | 7,175 | ||||||
20,489 | Series 2011-75, Class SM, IF, IO, 6.363%, 05/20/41 | 3,307 | ||||||
6,390 | Series 2011-97, Class WA, VAR, 6.050%, 11/20/38 | 7,294 | ||||||
8,933 | Series 2011-137, Class WA, VAR, 5.538%, 07/20/40 | 10,134 | ||||||
24,764 | Series 2011-163, Class WA, VAR, 5.767%, 12/20/38 | 27,500 | ||||||
11,629 | Series 2012-59, Class WA, VAR, 5.585%, 08/20/38 | 13,310 | ||||||
31,506 | Series 2012-61, Class FM, VAR, 0.639%, 05/16/42 | 31,609 | ||||||
98,305 | Series 2012-H10, Class FA, VAR, 0.795%, 12/20/61 | 98,356 | ||||||
NCUA Guaranteed Notes, | ||||||||
69,584 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 73,367 | ||||||
29,724 | Series 2010-R3, Class 1A, VAR, 0.804%, 12/08/20 | 29,902 | ||||||
7,736 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 7,922 | ||||||
Vendee Mortgage Trust, | ||||||||
10,494 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 12,172 | ||||||
2,099 | Series 1994-1, Class 1, VAR, 5.628%, 02/15/24 | 2,388 | ||||||
7,541 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 8,552 | ||||||
3,060 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 3,579 | ||||||
1,453 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,725 | ||||||
4,350 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 5,162 | ||||||
2,930 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,527 | ||||||
|
| |||||||
5,728,667 | ||||||||
|
| |||||||
Non-Agency CMO — 9.4% |
| |||||||
4,032 | AAM ACE Resecuritization Trust, | 3,860 | ||||||
American General Mortgage Loan Trust, | ||||||||
3,160 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 3,312 | ||||||
24,489 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 24,575 | ||||||
16,389 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 16,598 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 49 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
33,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 34,049 | ||||||
7,637 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 7,790 | ||||||
4,487 | Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e) | 4,715 | ||||||
9,499 | Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e) | 9,932 | ||||||
4,500 | Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e) | 4,625 | ||||||
8,500 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.339%, 09/25/35 | 3,963 | ||||||
ASG Resecuritization Trust, | ||||||||
5,190 | Series 2009-1, Class A60, VAR, 2.490%, 06/26/37 (e) | 5,164 | ||||||
13,848 | Series 2009-2, Class A55, VAR, 5.199%, 05/24/36 (e) | 13,714 | ||||||
5,300 | Series 2009-2, Class G60, VAR, 5.199%, 05/24/36 (e) | 5,183 | ||||||
31,006 | Series 2009-3, Class A65, VAR, 2.608%, 03/26/37 (e) | 30,489 | ||||||
15,640 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 16,201 | ||||||
3,610 | Series 2009-5, Class A50, VAR, 7.077%, 02/28/37 (e) | 3,613 | ||||||
6,581 | Series 2010-1, Class A85, VAR, 0.635%, 02/27/36 (e) | 6,383 | ||||||
12,885 | Series 2010-2, Class A60, VAR, 2.145%, 01/28/37 (e) | 12,506 | ||||||
7,827 | Series 2010-3, Class 2A22, VAR, 0.485%, 10/28/36 (e) | 7,730 | ||||||
4,922 | Series 2010-4, Class 1A22, VAR, 0.438%, 07/28/36 (e) (f) (i) | 4,836 | ||||||
2,536 | Series 2010-4, Class 2A20, VAR, 0.430%, 11/28/36 (e) | 2,479 | ||||||
4,742 | Series 2011-1, Class 1A85, 4.000%, 09/28/20 (e) | 4,761 | ||||||
8,760 | Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e) | 9,089 | ||||||
8,335 | Series 2011-1, Class 3A50, VAR, 2.720%, 11/28/35 (e) (f) (i) | 8,047 | ||||||
1,775 | Series 2011-2, Class A48S, HB, IF, 23.297%, 02/28/36 (e) | 2,432 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
343 | Series 2003-1, Class APO, PO, 02/25/33 | 248 | ||||||
7,387 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 | 7,519 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
4,948 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 5,070 | ||||||
5,718 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 5,868 | ||||||
7,723 | Series 2003-11, Class 1A1, 6.000%, 01/25/34 | 8,043 | ||||||
6,251 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 6,531 | ||||||
831 | Series 2003-11, Class PO, PO, 01/25/34 | 615 | ||||||
2,215 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 2,271 | ||||||
1,932 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 1,969 | ||||||
403 | Series 2004-6, Class 15PO, PO, 07/25/19 | 337 | ||||||
771 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 785 | ||||||
3,017 | Series 2004-8, Class 3A1, 5.500%, 09/25/19 | 3,057 | ||||||
1,278 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,175 | ||||||
3,615 | Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 | 618 | ||||||
Banc of America Funding Corp., | ||||||||
1,103 | Series 2004-1, Class PO, PO, 03/25/34 | 865 | ||||||
1,364 | Series 2004-2, Class 1CB1, 5.750%, 09/20/34 | 1,438 | ||||||
2,716 | Series 2004-C, Class 1A1, VAR, 5.055%, 12/20/34 | 2,741 | ||||||
1,549 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,643 | ||||||
1,365 | Series 2005-7, Class 30PO, PO, 11/25/35 | 1,058 | ||||||
557 | Series 2005-8, Class 30PO, PO, 01/25/36 | 415 | ||||||
3,042 | Series 2005-E, Class 4A1, VAR, 2.645%, 03/20/35 | 2,998 | ||||||
1,295 | Series 2006-1, Class XPO, PO, 01/25/36 | 874 | ||||||
14,937 | Series 2010-R11A, Class 1A6, VAR, 5.362%, 08/26/35 (e) | 15,857 | ||||||
2,181 | Series 2010-R4, Class 5A1, VAR, 0.385%, 07/26/36 (e) | 2,134 | ||||||
5,783 | Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e) | 6,069 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
7,123 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 7,313 | ||||||
2,405 | Series 2003-3, Class 2A1, VAR, 0.786%, 05/25/18 | 2,296 | ||||||
896 | Series 2003-5, Class 3A1, 7.500%, 02/25/31 | 951 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,094 | Series 2003-6, Class 2A1, VAR, 0.685%, 08/25/18 | 1,047 | ||||||
151 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 156 | ||||||
544 | Series 2003-8, Class APO, PO, 11/25/33 | 509 | ||||||
1,206 | Series 2003-C, Class 3A1, VAR, 3.090%, 04/25/33 | 1,233 | ||||||
3,753 | Series 2003-E, Class 2A2, VAR, 3.133%, 06/25/33 | 3,766 | ||||||
265 | Series 2004-1, Class APO, PO, 02/25/34 | 252 | ||||||
3,143 | Series 2004-3, Class 15IO, IO, VAR, 0.258%, 04/25/19 | 15 | ||||||
16,500 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 16,910 | ||||||
177 | Series 2004-4, Class APO, PO, 05/25/34 | 167 | ||||||
3,840 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 3,966 | ||||||
1,131 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 1,168 | ||||||
15,300 | Series 2004-6, Class 1A3, 5.500%, 05/25/34 | 15,993 | ||||||
602 | Series 2004-6, Class 2A7, 5.500%, 07/25/34 | 629 | ||||||
1,031 | Series 2004-6, Class APO, PO, 07/25/34 | 965 | ||||||
79 | Series 2004-8, Class 5PO, PO, 05/25/32 | 76 | ||||||
366 | Series 2004-8, Class XPO, PO, 10/25/34 | 349 | ||||||
1,570 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 1,658 | ||||||
122 | Series 2004-9, Class 3PO, PO, 09/25/32 | 118 | ||||||
2,255 | Series 2004-J, Class 3A1, VAR, 2.916%, 11/25/34 | 2,084 | ||||||
3,732 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 3,953 | ||||||
BCAP LLC Trust, | ||||||||
9,026 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 9,203 | ||||||
204 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 203 | ||||||
12,599 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 12,355 | ||||||
6,912 | Series 2009-RR14, Class 3A2, VAR, 2.896%, 08/26/35 (e) | 6,462 | ||||||
1,947 | Series 2009-RR14, Class 4A1, VAR, 2.817%, 03/26/36 (e) | 1,944 | ||||||
7,445 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 7,649 | ||||||
2,377 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 2,405 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
7,594 | Series 2010-RR12, Class 4A5, VAR, 2.922%, 10/26/36 (e) | 7,614 | ||||||
2,660 | Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i) | 2,644 | ||||||
1,457 | Series 2010-RR4, Class 2A1, VAR, 0.986%, 06/26/37 (e) | 1,444 | ||||||
1,682 | Series 2010-RR5, Class 1A4, VAR, 2.234%, 11/26/37 (e) | 1,656 | ||||||
10,322 | Series 2010-RR5, Class 2A5, VAR, 5.240%, 04/26/37 (e) | 10,322 | ||||||
5,806 | Series 2010-RR6, Class 22A3, VAR, 4.934%, 06/26/36 (e) | 5,881 | ||||||
2,364 | Series 2010-RR6, Class 5A1, VAR, 5.381%, 11/26/37 (e) | 2,356 | ||||||
4,864 | Series 2010-RR7, Class 15A1, VAR, 1.035%, 01/26/36 (e) | 4,597 | ||||||
9,029 | Series 2010-RR7, Class 16A1, VAR, 0.848%, 02/26/47 (e) | 8,427 | ||||||
10,103 | Series 2010-RR7, Class 1A5, VAR, 5.017%, 04/26/35 (e) | 9,844 | ||||||
23,308 | Series 2010-RR7, Class 2A1, VAR, 2.445%, 07/26/45 (e) | 21,863 | ||||||
5,581 | Series 2010-RR8, Class 3A3, VAR, 5.070%, 05/26/35 (e) | 5,620 | ||||||
10,000 | Series 2010-RR8, Class 3A4, VAR, 5.070%, 05/26/35 (e) | 9,058 | ||||||
7,152 | Series 2011-R11, Class 24A5, VAR, 3.000%, 08/26/22 (e) | 7,222 | ||||||
8,235 | Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e) | 8,365 | ||||||
21,683 | Series 2011-RR10, Class 2A1, VAR, 4.326%, 09/26/37 (e) | 19,186 | ||||||
5,791 | Series 2011-RR2, Class 3A3, VAR, 3.031%, 11/21/35 (e) | 5,782 | ||||||
15,716 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 15,233 | ||||||
20,338 | Series 2011-RR5, Class 11A3, VAR, 0.385%, 05/28/36 (e) | 18,022 | ||||||
13,293 | Series 2011-RR5, Class 14A3, VAR, 2.933%, 07/26/36 (e) (f) (i) | 12,817 | ||||||
7,933 | Series 2012-RR1, Class 5A1, VAR, 6.546%, 07/26/37 (e) (f) (i) | 8,205 | ||||||
21,410 | Series 2012-RR2, Class 1A1, VAR, 0.406%, 08/26/36 (e) (f) (i) | 20,301 | ||||||
36,095 | Series 2012-RR3, Class 2A5, 4.930%, 05/26/37 (e) | 35,297 | ||||||
15,250 | Series 2012-RR4, Class 8A3, VAR, 0.467%, 06/26/47 (e) | 13,703 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 51 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
3,758 | Series 2003-2, Class A5, VAR, 2.484%, 01/25/33 (e) | 3,484 | ||||||
400 | Series 2003-7, Class 3A, VAR, 2.713%, 10/25/33 | 401 | ||||||
4,761 | Series 2004-2, Class 14A, VAR, 5.090%, 05/25/34 | 4,848 | ||||||
13,026 | Series 2005-5, Class A1, VAR, 2.240%, 08/25/35 | 13,195 | ||||||
10,003 | Series 2006-1, Class A1, VAR, 2.370%, 02/25/36 | 9,156 | ||||||
6,122 | Bear Stearns Alt-A Trust, Series 2005-2, | 5,616 | ||||||
Cendant Mortgage Corp., | ||||||||
615 | Series 2003-8, Class 1P, PO, 10/25/33 | 580 | ||||||
246 | Series 2004-1, Class P, PO, 02/25/34 | 222 | ||||||
Chase Mortgage Finance Corp., | ||||||||
2,125 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 2,191 | ||||||
747 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 765 | ||||||
469 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 477 | ||||||
1,236 | Series 2003-S9, Class AP, PO, 10/25/18 | 1,232 | ||||||
5,234 | Series 2007-A1, Class 2A1, VAR, 3.000%, 02/25/37 | 5,341 | ||||||
836 | Series 2007-A1, Class 7A1, VAR, 2.937%, 02/25/37 | 839 | ||||||
2,344 | Series 2007-A1, Class 9A1, VAR, 2.947%, 02/25/37 | 2,383 | ||||||
2,142 | Series 2007-A2, Class 1A1, VAR, 3.083%, 07/25/37 | 2,071 | ||||||
3,128 | Series 2007-A2, Class 2A1, VAR, 2.872%, 07/25/37 | 3,269 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
1,807 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,835 | ||||||
6,332 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 6,635 | ||||||
525 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 544 | ||||||
1,016 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 1,066 | ||||||
3,978 | Series 2006-4, Class 1A2, 6.000%, 08/25/36 | 4,061 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
2,707 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 2,766 | ||||||
433 | Series 2003-1, Class 2A6, PO, 10/25/33 | 408 | ||||||
390 | Series 2003-1, Class PO2, PO, 10/25/33 | 365 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
298 | Series 2003-1, Class PO3, PO, 09/25/33 | 281 | ||||||
14 | Series 2003-1, Class WPO1, PO, 06/25/16 | 14 | ||||||
318 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 330 | ||||||
1,466 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 1,532 | ||||||
273 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 272 | ||||||
158 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 157 | ||||||
1,229 | Series 2004-UST1, Class A6, VAR, 5.060%, 08/25/34 | 1,259 | ||||||
580 | Series 2005-1, Class 2A1A, VAR, 2.845%, 04/25/35 | 383 | ||||||
3,887 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 3,981 | ||||||
1,605 | Series 2005-5, Class 1A2, VAR, 3.180%, 08/25/35 | 929 | ||||||
19,437 | Series 2008-AR4, Class 1A1A, VAR, 3.040%, 11/25/38 (e) | 19,448 | ||||||
4,324 | Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) | 4,558 | ||||||
3,868 | Series 2009-8, Class 4A1, 6.000%, 11/25/36 (e) | 4,106 | ||||||
12,402 | Series 2009-10, Class 1A1, VAR, 2.449%, 09/25/33 (e) | 12,416 | ||||||
9,497 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 9,981 | ||||||
12,491 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 12,868 | ||||||
2,612 | Series 2010-3, Class 4A1, VAR, 2.520%, 02/25/36 (e) | 2,569 | ||||||
5,236 | Series 2010-7, Class 10A1, VAR, 2.610%, 02/25/35 (e) | 5,271 | ||||||
74,622 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 77,274 | ||||||
76,003 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 78,961 | ||||||
5,269 | Series 2010-10, Class 2A1, VAR, 2.610%, 02/25/36 (e) | 5,294 | ||||||
8,613 | Series 2010-12, Class 4A1, VAR, 0.457%, 07/20/36 (e) | 8,200 | ||||||
3,291 | Series 2011-3, Class 1A1, VAR, 0.316%, 02/25/47 (e) | 3,259 | ||||||
5,938 | Series 2011-10, Class 4A1, VAR, 0.435%, 02/25/46 (e) (f) (i) | 5,650 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
1,718 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 1,799 | ||||||
284 | Series 2002-12, Class PO, PO, 11/25/32 | 235 | ||||||
2,882 | Series 2002-18, Class M, 6.000%, 02/25/33 | 2,783 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
456 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 435 | ||||||
11,618 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 11,473 | ||||||
2,630 | Series 2004-14T2, Class A5, 5.500%, 08/25/34 | 2,664 | ||||||
5,368 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 5,485 | ||||||
669 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 675 | ||||||
7,435 | Series 2005-1CB, Class 1A6, IF, IO, 6.865%, 03/25/35 | 1,824 | ||||||
17,917 | Series 2005-20CB, Class 3A8, IF, IO, 4.515%, 07/25/35 | 2,024 | ||||||
17,860 | Series 2005-22T1, Class A2, IF, IO, 4.835%, 06/25/35 | 2,774 | ||||||
7,350 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 6,713 | ||||||
233 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 201 | ||||||
56,678 | Series 2005-37T1, Class A2, IF, IO, 4.814%, 09/25/35 | 8,953 | ||||||
8,673 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 7,516 | ||||||
35,218 | Series 2005-54CB, Class 1A2, IF, IO, 4.615%, 11/25/35 | 5,126 | ||||||
102 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 88 | ||||||
3,337 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 2,761 | ||||||
12,851 | Series 2005-J1, Class 1A4, IF, IO, 4.865%, 02/25/35 | 1,774 | ||||||
315 | Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i) | 8 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
384 | Series 2002-18, Class PO, PO, 11/25/32 | 326 | ||||||
1,632 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 1,705 | ||||||
3,194 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 3,191 | ||||||
1,084 | Series 2003-29, Class A1, 5.500%, 08/25/33 | 1,125 | ||||||
51 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 51 | ||||||
8,968 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 9,284 | ||||||
825 | Series 2003-44, Class A9, PO, 10/25/33 | 822 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
8,280 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 8,554 | ||||||
181 | Series 2003-J13, Class PO, PO, 01/25/34 | 172 | ||||||
1,151 | Series 2003-J7, Class 4A3, IF, 9.469%, 08/25/18 | 1,262 | ||||||
1,738 | Series 2004-3, Class A26, 5.500%, 04/25/34 | 1,800 | ||||||
1,181 | Series 2004-3, Class A4, 5.750%, 04/25/34 | 1,222 | ||||||
6,993 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 7,281 | ||||||
340 | Series 2004-7, Class 2A1, VAR, 2.983%, 06/25/34 | 337 | ||||||
4,912 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 5,002 | ||||||
585 | Series 2004-HYB1, Class 2A, VAR, 2.867%, 05/20/34 | 561 | ||||||
2,560 | Series 2004-HYB3, Class 2A, VAR, 2.813%, 06/20/34 | 2,277 | ||||||
1,564 | Series 2004-HYB6, Class A3, VAR, 2.698%, 11/20/34 | 1,330 | ||||||
377 | Series 2004-J6, Class 2A1, 4.750%, 07/25/14 | 381 | ||||||
448 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 461 | ||||||
970 | Series 2005-14, Class A2, 5.500%, 07/25/35 | 962 | ||||||
1,000 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,022 | ||||||
6,209 | Series 2005-22, Class 2A1, VAR, 2.723%, 11/25/35 | 4,665 | ||||||
299 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 222 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
8,800 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 8,947 | ||||||
636 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 634 | ||||||
7,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 7,019 | ||||||
3,148 | Series 2010-16, Class A4, VAR, 4.250%, 06/25/50 (e) | 2,578 | ||||||
3,750 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 3,751 | ||||||
4,169 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 4,315 | ||||||
985 | Series 2010-11R, Class A1, VAR, 1.234%, 06/28/47 (e) | 962 | ||||||
5,346 | Series 2010-12R, Class 14A1, VAR, 2.879%, 09/26/46 (e) | 5,318 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 53 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
4,393 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 4,364 | ||||||
1,890 | Series 2010-15R, Class 7A1, VAR, 1.675%, 10/26/37 (e) | 1,861 | ||||||
3,010 | Series 2010-15R, Class 7A2, VAR, 1.675%, 10/26/37 (e) | 2,875 | ||||||
6,191 | Series 2010-17R, Class 1A1, VAR, 2.663%, 06/26/36 (e) | 5,988 | ||||||
5,139 | Series 2010-17R, Class 5A1, VAR, 2.948%, 07/26/36 (e) | 5,104 | ||||||
38,246 | Series 2011-1R, Class A1, VAR, 1.235%, 02/27/47 (e) | 37,673 | ||||||
6,476 | Series 2011-6R, Class 3A1, VAR, 2.948%, 07/28/36 (e) | 6,107 | ||||||
33,609 | Series 2011-7R, Class A1, VAR, 1.485%, 08/28/47 (e) | 33,049 | ||||||
46,440 | Series 2011-9R, Class A1, VAR, 2.234%, 03/27/46 (e) | 46,295 | ||||||
26,777 | Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) | 27,218 | ||||||
7,617 | Series 2012-2R, Class 2A1, VAR, 2.766%, 03/27/47 (e) (f) (i) | 7,350 | ||||||
25,434 | Series 2012-3R, Class 1A1, VAR, 3.250%, 07/27/37 (e) | 25,611 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
55 | Series 1997-2, Class A, 7.500%, 06/25/20 (e) | 57 | ||||||
1,856 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,937 | ||||||
3,861 | Series 2003-21, Class 1A4, 5.250%, 09/25/33 | 3,905 | ||||||
2,153 | Series 2003-23, Class 1P, PO, 10/25/33 | 2,008 | ||||||
1,679 | Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 1,728 | ||||||
443 | Series 2003-25, Class 2A1, 4.500%, 10/25/18 | 455 | ||||||
6,719 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 6,924 | ||||||
2,086 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 2,165 | ||||||
1,236 | Series 2003-AR15, Class 3A1, VAR, 2.988%, 06/25/33 | 1,225 | ||||||
3,269 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 3,418 | ||||||
2,764 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 2,841 | ||||||
89 | Series 2004-5, Class 5P, PO, 08/25/19 | 89 | ||||||
4,967 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 5,232 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,703 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 1,753 | ||||||
375 | Series 2005-4, Class 3A24, IF, 18.162%, 06/25/35 | 409 | ||||||
723 | Series 2005-9, Class AP, PO, 10/25/35 | 434 | ||||||
6,785 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 1,529 | ||||||
405 | Series 2005-10, Class AP, PO, 11/25/35 | 205 | ||||||
Deutsche ALT-A Securities, Inc., Alternate Loan Trust, | ||||||||
2,065 | Series 2005-1, Class 2A1, VAR, 5.626%, 02/25/20 | 2,131 | ||||||
3,088 | Series 2005-3, Class 1A1, VAR, 5.301%, 06/25/20 | 3,158 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
149 | Series 2004-1, Class 2APO, PO, 10/25/18 | 128 | ||||||
3,700 | Series 2009-RS2, Class 4A1, VAR, 0.375%, 04/26/37 (e) | 3,589 | ||||||
1,577 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 1,583 | ||||||
4,499 | Series 2010-RS2, Class A1, VAR, 1.483%, 06/28/47 (e) | 4,502 | ||||||
First Boston Mortgage Securities Corp. 1987 STRIPS, | ||||||||
31 | Series C, Class IO, IO, 10.965%, 04/25/17 | 4 | ||||||
17 | Series C, Class PO, PO, 04/25/17 | 17 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
3,526 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 2,848 | ||||||
22,584 | Series 2007-FA4, Class 1A2, IF, IO, 5.415%, 08/25/37 | 4,048 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
162 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 167 | ||||||
1,754 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 1,786 | ||||||
3,425 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 3,473 | ||||||
2,119 | Series 2004-AR2, Class 2A1, VAR, 2.626%, 05/25/34 | 2,090 | ||||||
425 | Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 | 423 | ||||||
798 | Series 2004-AR7, Class 2A2, VAR, 2.616%, 02/25/35 | 791 | ||||||
5,490 | Series 2005-AR1, Class 2A2, VAR, 2.625%, 04/25/35 | 5,540 | ||||||
Freedom Trust, | ||||||||
2,645 | Series 2011-3, Class A11, VAR, 5.000%, 09/01/51 (e) | 2,659 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
10,700 | Series 2011-4, Class A18, VAR, 3.664%, 03/25/37 (e) | 10,673 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
11,703 | Series 2003-AR1, Class A4, VAR, 3.136%, 10/19/33 | 12,025 | ||||||
7,316 | Series 2003-AR2, Class 2A4, VAR, 3.009%, 12/19/33 | 7,420 | ||||||
778 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 822 | ||||||
9,107 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 9,495 | ||||||
480 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 498 | ||||||
5,791 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 5,965 | ||||||
2,833 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 2,911 | ||||||
807 | Series 2005-AR3, Class 3A3, VAR, 3.338%, 06/19/35 | 817 | ||||||
5,000 | Series 2005-AR3, Class 3A4, VAR, 3.338%, 06/19/35 | 4,647 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
1,197 | Series 2004-4, Class 1AF, VAR, 0.635%, 06/25/34 (e) | 1,020 | ||||||
2,218 | Series 2005-RP2, Class 1AF, VAR, 0.585%, 03/25/35 (e) | 1,835 | ||||||
13,193 | Series 2005-RP3, Class 1AF, VAR, 0.585%, 09/25/35 (e) | 10,667 | ||||||
9,725 | Series 2005-RP3, Class 1AS, IO, VAR, 5.055%, 09/25/35 (e) | 1,463 | ||||||
GSR Mortgage Loan Trust, | ||||||||
1,414 | Series 2003-3F, Class 4A3, 5.750%, 04/25/33 | 1,440 | ||||||
668 | Series 2003-6F, Class A2, VAR, 0.635%, 09/25/32 | 629 | ||||||
6,219 | Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 6,537 | ||||||
2,471 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 2,636 | ||||||
100 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 101 | ||||||
1,065 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 1,052 | ||||||
60 | Series 2004-15F, Class AP, PO, 12/25/34 | 59 | ||||||
3,653 | Series 2005-5F, Class 8A3, VAR, 0.735%, 06/25/35 | 3,467 | ||||||
8,571 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 8,484 | ||||||
435 | Series 2005-AR6, Class 3A1, VAR, 2.613%, 09/25/35 | 427 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
4,000 | Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 3,768 | ||||||
12,398 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 11,548 | ||||||
12,371 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 12,749 | ||||||
3,870 | Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.536%, 05/25/35 | 3,763 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
1,964 | Series 2003-2, Class A1, 5.500%, 08/25/33 | 2,062 | ||||||
93 | Series 2004-3, Class 1A4, VAR, 1.036%, 11/25/34 | 90 | ||||||
9,666 | Series 2006-1, Class 2A1, VAR, 0.586%, 05/25/36 | 9,527 | ||||||
19,391 | Series 2006-2, Class 2A1, VAR, 0.586%, 08/25/36 | 19,518 | ||||||
27,015 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35 | 135 | ||||||
7,767 | Jefferies & Co., Inc., Series 2011-R2, Class A1, VAR, 4.500%, 10/26/36 (e) | 7,826 | ||||||
JP Morgan Mortgage Trust, | ||||||||
1,516 | Series 2004-A3, Class 4A1, VAR, 3.045%, 07/25/34 | 1,525 | ||||||
2,674 | Series 2004-A4, Class 1A1, VAR, 3.028%, 09/25/34 | 2,733 | ||||||
1,800 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 1,852 | ||||||
7,145 | Series 2005-A1, Class 3A4, VAR, 4.999%, 02/25/35 | 7,362 | ||||||
459 | Series 2005-A1, Class 5A1, VAR, 4.428%, 02/25/35 | 463 | ||||||
35,655 | Series 2006-A2, Class 4A1, VAR, 3.014%, 08/25/34 | 35,841 | ||||||
20,255 | Series 2006-A2, Class 5A3, VAR, 2.710%, 11/25/33 | 20,600 | ||||||
5,075 | Series 2006-A3, Class 6A1, VAR, 2.987%, 08/25/34 | 4,991 | ||||||
3,387 | Series 2007-A1, Class 5A1, VAR, 2.912%, 07/25/35 | 3,344 | ||||||
1,355 | Series 2007-A1, Class 5A2, VAR, 2.912%, 07/25/35 | 1,366 | ||||||
JP Morgan Reremic, | ||||||||
5,905 | Series 2009-6, Class 4A1, VAR, 5.541%, 09/26/36 (e) | 5,845 | ||||||
5,553 | Series 2010-4, Class 7A1, VAR, 3.018%, 08/26/35 (e) | 5,458 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 55 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
Lehman Mortgage Trust, | ||||||||
2,003 | Series 2006-2, Class 1A1, VAR, 6.446%, 04/25/36 | 1,940 | ||||||
1,791 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 1,465 | ||||||
9,362 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 8,945 | ||||||
LVII Resecuritization Trust, | ||||||||
10,159 | Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e) | 10,197 | ||||||
12,557 | Series 2009-2, Class M3, VAR, 5.412%, 09/27/37 (e) | 13,177 | ||||||
8,000 | Series 2009-3, Class M3, VAR, 5.559%, 11/27/37 (e) | 8,475 | ||||||
10,000 | Series 2009-3, Class M4, VAR, 5.559%, 11/27/37 (e) | 10,572 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
1,333 | Series 2004-3, Class 4A2, VAR, 2.605%, 04/25/34 | 1,328 | ||||||
9,681 | Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 9,749 | ||||||
4,631 | Series 2004-13, Class 3A6, VAR, 2.623%, 11/21/34 | 4,717 | ||||||
692 | Series 2004-15, Class 3A1, VAR, 3.077%, 12/25/34 | 618 | ||||||
MASTR Alternative Loans Trust, | ||||||||
3,227 | Series 2003-9, Class 2A1, 6.000%, 12/25/33 | 3,411 | ||||||
573 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 608 | ||||||
1,739 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 1,775 | ||||||
5,018 | Series 2004-3, Class 3A1, 6.000%, 04/25/34 | 5,164 | ||||||
969 | Series 2004-6, Class 30PO, PO, 07/25/34 | 836 | ||||||
537 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 542 | ||||||
865 | Series 2004-7, Class 30PO, PO, 08/25/34 | 649 | ||||||
2,420 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 2,466 | ||||||
761 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 779 | ||||||
2,770 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 2,715 | ||||||
MASTR Asset Securitization Trust, | ||||||||
489 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 504 | ||||||
304 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 310 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
968 | Series 2003-2, Class 2A10, 4.500%, 03/25/18 | 986 | ||||||
304 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 317 | ||||||
586 | Series 2003-9, Class 15PO, PO, 10/25/18 | 582 | ||||||
530 | Series 2003-9, Class 2A7, 5.500%, 10/25/33 | 553 | ||||||
336 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 345 | ||||||
363 | Series 2003-12, Class 30PO, PO, 12/25/33 | 339 | ||||||
757 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 776 | ||||||
227 | Series 2004-1, Class 30PO, PO, 02/25/34 | 183 | ||||||
5,439 | Series 2004-4, Class 1A6, 5.250%, 12/26/33 | 5,547 | ||||||
108 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 110 | ||||||
344 | Series 2004-6, Class 15PO, PO, 05/25/19 | 341 | ||||||
1,160 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 1,203 | ||||||
223 | Series 2004-8, Class PO, PO, 08/25/19 | 222 | ||||||
882 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 913 | ||||||
3,210 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 3,386 | ||||||
2,300 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 2,146 | ||||||
MASTR Reperforming Loan Trust, | ||||||||
18,167 | Series 2005-2, Class 1A1F, VAR, 0.585%, 05/25/35 (e) | 13,859 | ||||||
2,155 | Series 2006-2, Class 1A1, VAR, 5.221%, 05/25/36 (e) | 2,013 | ||||||
4,242 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 3,309 | ||||||
313 | Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.557%, 05/25/35 | 312 | ||||||
Mellon Residential Funding Corp., | ||||||||
8,033 | Series 2000-TBC2, Class A1, VAR, 0.719%, 06/15/30 | 8,039 | ||||||
1,828 | Series 2000-TBC3, Class A1, VAR, 0.680%, 12/15/30 | 1,815 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
2,079 | Series 2003-A5, Class 2A6, VAR, 2.684%, 08/25/33 | 2,105 | ||||||
3,565 | Series 2004-A4, Class A2, VAR, 2.584%, 08/25/34 | 3,604 | ||||||
6,667 | Series 2005-A2, Class A1, VAR, 2.530%, 02/25/35 | 6,069 |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
5,288 | Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.480%, 06/25/37 | 5,240 | ||||||
85 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 94 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
2,815 | Series 2003-E, Class A1, VAR, 0.855%, 10/25/28 | 2,662 | ||||||
3,866 | Series 2004-1, Class 2A1, VAR, 2.514%, 12/25/34 | 3,969 | ||||||
4,179 | Series 2004-C, Class A2, VAR, 1.337%, 07/25/29 | 4,148 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
7,888 | Series 2004-3, Class 4A, VAR, 5.669%, 04/25/34 | 8,040 | ||||||
2,253 | Series 2004-9, Class 4A, VAR, 5.426%, 11/25/19 | 2,311 | ||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 15,218.000%, 04/20/21 | 16 | |||||
2,237 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.556%, 02/25/35 | 1,978 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
936 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 979 | ||||||
294 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 310 | ||||||
142 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 150 | ||||||
14 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 14 | ||||||
1,281 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 1,257 | ||||||
3,095 | Nomura Resecuritization Trust, | 3,078 | ||||||
Paine Webber CMO Trust, | ||||||||
4 | Series H, Class 4, 8.750%, 04/01/18 | 5 | ||||||
17 | Series P, Class 4, 8.500%, 08/01/19 | 19 | ||||||
3,552 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 3,747 | ||||||
1,750 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.816%, 05/25/35 | 1,762 | ||||||
RALI Trust, | ||||||||
1,183 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 1,207 | ||||||
509 | Series 2002-QS16, Class A3, IF, 16.130%, 10/25/17 | 574 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
2,162 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 2,221 | ||||||
3,304 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 3,263 | ||||||
1,740 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 1,740 | ||||||
573 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 581 | ||||||
1,627 | Series 2003-QS12, Class A2A, IF, IO, 7.364%, 06/25/18 | 230 | ||||||
495 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 44 | ||||||
8,623 | Series 2003-QS13, Class A2, 4.000%, 07/25/33 | 8,073 | ||||||
3,777 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 3,865 | ||||||
8,193 | Series 2003-QS15, Class A7, 5.500%, 08/25/33 | 8,461 | ||||||
1,209 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,249 | ||||||
10,332 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 10,744 | ||||||
1,075 | Series 2003-QS3, Class A2, IF, 15.982%, 02/25/18 | 1,194 | ||||||
944 | Series 2003-QS3, Class A8, IF, IO, 7.364%, 02/25/18 | 81 | ||||||
3,062 | Series 2003-QS9, Class A3, IF, IO, 7.315%, 05/25/18 | 431 | ||||||
11,992 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 11,071 | ||||||
127 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 128 | ||||||
2,999 | Series 2005-QA6, Class A32, VAR, 3.869%, 05/25/35 | 1,527 | ||||||
465 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 330 | ||||||
RBSSP Resecuritization Trust, | ||||||||
6,710 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 7,191 | ||||||
2,938 | Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) | 3,120 | ||||||
3,474 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 3,541 | ||||||
5,801 | Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e) | 5,873 | ||||||
1,684 | Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) | 1,681 | ||||||
4,809 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 4,966 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 57 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
15,837 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 16,791 | ||||||
2,170 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 2,172 | ||||||
7,964 | Series 2010-9, Class 3A1, VAR, 5.000%, 10/26/34 (e) | 8,163 | ||||||
22,014 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 22,008 | ||||||
2,539 | Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e) | 2,557 | ||||||
16,198 | Series 2012-3, Class 3A1, VAR, 0.385%, 09/26/36 (e) (f) (i) | 14,439 | ||||||
Residential Asset Securitization Trust, | ||||||||
970 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 975 | ||||||
104 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 107 | ||||||
2,186 | Series 2003-A8, Class A5, 4.250%, 10/25/18 | 2,245 | ||||||
19,368 | Series 2005-A2, Class A4, IF, IO, 4.814%, 03/25/35 | 3,576 | ||||||
2,173 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,556 | ||||||
RFMSI Trust, | ||||||||
1,680 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,722 | ||||||
408 | Series 2003-S14, Class A4, PO, 07/25/18 | 406 | ||||||
1,078 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 1,113 | ||||||
1,685 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 1,726 | ||||||
3,277 | Series 2004-S5, Class 1A9, 5.500%, 05/25/22 | 3,293 | ||||||
231 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 216 | ||||||
1,088 | Series 2005-S1, Class 2A1, 4.750%, 02/25/20 | 1,120 | ||||||
1,947 | Series 2005-SA4, Class 1A1, VAR, 3.121%, 09/25/35 | 1,528 | ||||||
62 | RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 51 | ||||||
21,264 | RMS Mortgage Asset Trust, Series 2012-1, Class A1, VAR, 4.703%, 10/25/56 (e) | 21,347 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
6,920 | Series 2003-HYB1, Class A, VAR, 2.755%, 09/25/33 | 6,846 | ||||||
174 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 156 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
Sequoia Mortgage Trust, | ||||||||
2,942 | Series 2004-8, Class A1, VAR, 0.587%, 09/20/34 | 2,814 | ||||||
4,540 | Series 2004-8, Class A2, VAR, 1.088%, 09/20/34 | 4,404 | ||||||
1,365 | Series 2004-10, Class A1A, VAR, 0.547%, 11/20/34 | 1,306 | ||||||
5,515 | Series 2004-12, Class A3, VAR, 1.048%, 01/20/35 | 4,341 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
16,250 | Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) | 16,717 | ||||||
14,225 | Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e) | 14,926 | ||||||
9,238 | Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e) | 9,305 | ||||||
18,150 | Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e) | 17,923 | ||||||
34,795 | Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 34,795 | ||||||
16,750 | Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e) | 16,278 | ||||||
4,200 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.914%, 06/25/34 | 4,242 | ||||||
3,571 | Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.897%, 10/19/34 | 3,239 | ||||||
Structured Asset Securities Corp., | ||||||||
745 | Series 2002-17, Class B1, VAR, 6.079%, 09/25/32 | 734 | ||||||
108 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 86 | ||||||
459 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 470 | ||||||
3,380 | Series 2003-16, Class A3, VAR, 0.735%, 06/25/33 | 3,263 | ||||||
2,886 | Series 2003-29, Class 1A1, 4.750%, 09/25/18 | 2,964 | ||||||
943 | Series 2003-30, Class 1A1, 5.500%, 10/25/33 | 979 | ||||||
57 | Series 2003-30, Class 3A2, VAR, 0.735%, 10/25/33 | 56 | ||||||
829 | Series 2003-32, Class 1A1, VAR, 5.295%, 11/25/33 | 873 | ||||||
1,393 | Series 2003-31A, Class B1, VAR, 2.806%, 10/25/33 | 576 | ||||||
6,643 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 6,717 |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,802 | Series 2003-34A, Class 3A3, VAR, 2.804%, 11/25/33 | 1,808 | ||||||
6,535 | Series 2003-37A, Class 2A, VAR, 5.026%, 12/25/33 | 6,679 | ||||||
8 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 | 8 | ||||||
14,374 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 14,066 | ||||||
5,304 | Series 2004-4XS, Class 1A5, SUB, 5.490%, 02/25/34 | 5,412 | ||||||
2,246 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 2,219 | ||||||
1,730 | Series 2005-RF3, Class 1A, VAR, 0.585%, 06/25/35 (e) | 1,391 | ||||||
3,109 | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.875%, 09/25/43 | 3,135 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
1,899 | Series 2011-NL1A, Class A1, VAR, 5.926%, 12/26/50 (e) (f) (i) | 1,899 | ||||||
18,000 | Series 2011-NL1A, Class A2, VAR, 9.077%, 12/26/50 (e) (f) (i) | 18,014 | ||||||
1,774 | Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i) | 1,776 | ||||||
14,400 | Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i) | 14,454 | ||||||
5,853 | Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) | 5,860 | ||||||
6,978 | Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e) | 6,990 | ||||||
4,932 | Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) | 4,957 | ||||||
2,307 | Series 2012-NL1A, Class A2, VAR, 8.112%, 03/25/49 (e) (f) (i) | 2,355 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
10,250 | Series 2003-AR11, Class A6, VAR, 2.466%, 10/25/33 | 10,431 | ||||||
3,527 | Series 2003-AR7, Class A7, VAR, 2.318%, 08/25/33 | 3,502 | ||||||
18,180 | Series 2003-AR9, Class 1A6, VAR, 2.449%, 09/25/33 | 18,597 | ||||||
3,949 | Series 2003-AR9, Class 2A, VAR, 2.544%, 09/25/33 | 4,037 | ||||||
3,792 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 3,995 | ||||||
524 | Series 2003-S10, Class A2, 5.000%, 10/25/18 | 543 | ||||||
1,405 | Series 2003-S11, Class 2A5, IF, 16.402%, 11/25/33 | 1,440 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,281 | Series 2003-S13, Class 23A1, VAR, 0.786%, 12/25/18 | 1,244 | ||||||
1,188 | Series 2003-S4, Class 2A10, IF, 16.815%, 06/25/33 | 1,347 | ||||||
871 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 877 | ||||||
1,946 | Series 2003-S8, Class A5, 4.500%, 09/25/18 | 1,974 | ||||||
922 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 957 | ||||||
17,658 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 18,520 | ||||||
409 | Series 2003-S9, Class P, PO, 10/25/33 | 383 | ||||||
4,691 | Series 2004-AR3, Class A1, VAR, 2.584%, 06/25/34 | 4,761 | ||||||
6,027 | Series 2004-AR3, Class A2, VAR, 2.584%, 06/25/34 | 6,118 | ||||||
2,379 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 2,455 | ||||||
2,563 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 2,678 | ||||||
1,515 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 1,514 | ||||||
508 | Series 2004-S1, Class 1A3, VAR, 0.635%, 03/25/34 | 499 | ||||||
10,693 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 10,931 | ||||||
3,819 | Series 2004-S3, Class 1A5, 5.000%, 07/25/34 | 3,943 | ||||||
513 | Series 2006-AR10, Class 2P, VAR, 0.000% 09/25/36 | 296 | ||||||
1,875 | Series 2006-AR8, Class 1A2, VAR, 2.725%, 08/25/46 | 1,380 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
5,113 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 5,165 | ||||||
391 | Series 2005-1, Class CP, PO, 03/25/35 | 216 | ||||||
22,028 | Series 2005-2, Class 1A4, IF, IO, 4.814%, 04/25/35 | 3,556 | ||||||
5,690 | Series 2005-2, Class 2A3, IF, IO, 4.764%, 04/25/35 | 809 | ||||||
7,056 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 6,586 | ||||||
7,232 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 1,023 | ||||||
1,755 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,416 | ||||||
706 | Series 2006-1, Class 3A2, 5.750%, 02/25/36 | 552 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
508 | Series 2003-MS5, Class 1A4, VAR, 0.735%, 03/25/18 | 498 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 59 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
63 | Series 2003-MS7, Class P, PO, 03/25/33 | 60 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
347 | Series 2003-1, Class APO, PO, 09/25/33 | 313 | ||||||
1,023 | Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 | 829 | ||||||
16,895 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 16,988 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
408 | Series 2003-11, Class 1APO, PO, 10/25/18 | 406 | ||||||
1,569 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 1,598 | ||||||
6,907 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 7,151 | ||||||
157 | Series 2003-15, Class APO, PO, 12/25/18 | 146 | ||||||
475 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 489 | ||||||
377 | Series 2003-J, Class 2A5, VAR, 4.430%, 10/25/33 | 382 | ||||||
9,162 | Series 2003-K, Class 1A1, VAR, 4.444%, 11/25/33 | 9,382 | ||||||
351 | Series 2003-K, Class 1A2, VAR, 4.444%, 11/25/33 | 362 | ||||||
1,402 | Series 2003-L, Class 2A1, VAR, 4.528%, 11/25/33 | 1,382 | ||||||
1,845 | Series 2004-4, Class A9, 5.500%, 05/25/34 | 1,905 | ||||||
545 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 558 | ||||||
640 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 661 | ||||||
782 | Series 2004-8, Class APO, PO, 08/25/19 | 775 | ||||||
2,778 | Series 2004-B, Class A1, VAR, 4.963%, 02/25/34 | 2,870 | ||||||
1,902 | Series 2004-BB, Class A4, VAR, 2.612%, 01/25/35 | 1,942 | ||||||
6,623 | Series 2004-EE, Class 2A1, VAR, 2.615%, 12/25/34 | 6,799 | ||||||
4,506 | Series 2004-EE, Class 2A2, VAR, 2.615%, 12/25/34 | 4,624 | ||||||
6,471 | Series 2004-EE, Class 3A1, VAR, 2.949%, 12/25/34 | 6,691 | ||||||
2,113 | Series 2004-EE, Class 3A2, VAR, 2.949%, 12/25/34 | 2,192 | ||||||
8,984 | Series 2004-I, Class 1A1, VAR, 2.720%, 07/25/34 | 9,094 | ||||||
27,611 | Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34 | 28,263 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
4,520 | Series 2004-V, Class 1A1, VAR, 2.641%, 10/25/34 | 4,583 | ||||||
5,798 | Series 2004-V, Class 1A2, VAR, 2.641%, 10/25/34 | 5,912 | ||||||
4,049 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 4,265 | ||||||
2,796 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 2,960 | ||||||
2,842 | Series 2005-14, Class 1A1, 5.500%, 12/25/35 | 3,065 | ||||||
855 | Series 2005-14, Class 2APO, PO, 12/25/35 | 616 | ||||||
5,839 | Series 2005-AR8, Class 2A1, VAR, 2.706%, 06/25/35 | 5,883 | ||||||
1,550 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,532 | ||||||
11,000 | Series 2007-9, Class 1A8, 5.500%, 07/25/37 | 11,535 | ||||||
8,096 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 8,086 | ||||||
|
| |||||||
2,611,160 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 8,339,827 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 3.0% |
| ||||||
29,223 | A10 Securitization LLC, Series 2012-1, | 29,375 | ||||||
9,500 | Banc of America Large Loan, Inc., | 10,638 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
5,000 | Series 2005-1, Class AJ, VAR, 5.366%, 11/10/42 | 5,233 | ||||||
5,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 5,484 | ||||||
10,625 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 11,188 | ||||||
2,500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 2,799 | ||||||
576,086 | Series 2005-5, Class XC, IO, VAR, 0.100%, 10/10/45 (e) | 1,973 | ||||||
6,976 | Series 2005-6, Class ASB, VAR, 5.366%, 09/10/47 | 7,227 | ||||||
2,855 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 3,213 | ||||||
17,655 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 20,227 | ||||||
11,500 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 13,205 | ||||||
9,400 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 10,642 | ||||||
250,578 | Series 2006-5, Class XC, IO, VAR, 0.328%, 09/10/47 (e) | 3,648 |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
9,145 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 9,772 | ||||||
2,067 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 2,154 | ||||||
8,560 | Series 2006-PW11, Class A4, VAR, 5.621%, 03/11/39 | 9,710 | ||||||
252,191 | Series 2006-PW14, Class X1, IO, VAR, 0.216%, 12/11/38 (e) | 3,367 | ||||||
2,700 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 3,122 | ||||||
699,753 | Series 2007-T26, Class X1, IO, VAR, 0.087%, 01/12/45 (e) | 3,850 | ||||||
7,200 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 7,708 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
157,262 | Series 2006-CD3, Class XS, IO, VAR, 0.129%, 10/15/48 (e) | 2,153 | ||||||
256,603 | Series 2007-CD4, Class XC, IO, VAR, 0.245%, 12/11/49 (e) | 2,002 | ||||||
4,700 | Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 4,835 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
6,300 | Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 6,932 | ||||||
10,000 | Series 2012-9W57, Class A, 2.365%, 02/10/29 (e) | 10,449 | ||||||
34,024 | Series 2012-CR2, Class XA, IO, VAR, 2.141%, 08/15/45 | 4,342 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
7,150 | Series 2006-C2, Class A3, VAR, 5.852%, 03/15/39 | 7,975 | ||||||
254,542 | Series 2007-C2, Class AX, IO, VAR, 0.238%, 01/15/49 (e) | 1,211 | ||||||
1,700 | CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AM, 4.730%, 07/15/37 | 1,818 | ||||||
CW Capital Cobalt Ltd., | ||||||||
6,005 | Series 2006-C1, Class A4, 5.223%, 08/15/48 | 6,723 | ||||||
232,596 | Series 2006-C1, Class IO, IO, VAR, 0.956%, 08/15/48 | 5,775 | ||||||
44,382 | DBUBS Mortgage Trust, Series 2011-LC2A, Class XA, IO, VAR, 1.614%, 07/10/44 (e) | 3,146 | ||||||
14,815 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 14,815 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
28,576 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 29,918 | ||||||
20,407 | Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) | 21,158 | ||||||
GE Capital Commercial Mortgage Corp., | ||||||||
11,500 | Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 11,897 | ||||||
10,800 | Series 2005-C1, Class B, VAR, 4.846%, 06/10/48 | 10,641 | ||||||
14,000 | GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 15,484 | ||||||
3,500 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 3,679 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
11,100 | Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 11,887 | ||||||
7,300 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 8,238 | ||||||
154,520 | Series 2006-GG8, Class X, IO, VAR, 0.809%, 11/10/39 (e) | 3,087 | ||||||
5,500 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 6,107 | ||||||
75,518 | Series 2012-SHOP, Class XA, IO, VAR, 1.437%, 06/05/31 (e) | 5,866 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
8,300 | Series 2004-CB8, Class A4, 4.404%, 01/12/39 | 8,646 | ||||||
6,000 | Series 2004-CB9, Class A4, VAR, 5.777%, 06/12/41 | 6,470 | ||||||
5,150 | Series 2005-CB11, Class AJ, VAR, 5.540%, 08/12/37 | 5,494 | ||||||
618,972 | Series 2005-CB11, Class X1, IO, VAR, 0.255%, 08/12/37 (e) | 2,087 | ||||||
629,672 | Series 2005-LDP5, Class X1, IO, VAR, 0.095%, 12/15/44 (e) | 1,845 | ||||||
2,000 | Series 2006-CB15, Class A4, VAR, 5.814%, 06/12/43 | 2,271 | ||||||
441,121 | Series 2006-CB15, Class X1, IO, VAR, 0.117%, 06/12/43 | 2,896 | ||||||
2,195 | Series 2006-CB16, Class A4, 5.552%, 05/12/45 | 2,523 | ||||||
1,600 | Series 2006-LDP8, Class A4, 5.399%, 05/15/45 | 1,839 | ||||||
6,000 | Series 2006-LDP9, Class A3SF, VAR, 0.394%, 05/15/47 | 5,665 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 61 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
4,000 | Series 2006-LDP9, Class AMS, 5.337%, 05/15/47 | 3,861 | ||||||
448,527 | Series 2007-LD12, Class X, IO, VAR, 0.235%, 02/15/51 | 1,534 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
11,528 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 12,054 | ||||||
5,000 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 5,594 | ||||||
1,470 | Series 2006-C4, Class A4, VAR, 6.064%, 06/15/38 | 1,694 | ||||||
182,299 | Series 2007-C2, Class XW, IO, VAR, 0.693%, 02/15/40 | 3,553 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
2,500 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 2,790 | ||||||
3,325 | Series 2005-LC1, Class AJ, VAR, 5.498%, 01/12/44 | 3,460 | ||||||
3,739 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 3,756 | ||||||
2,200 | Series 2006-C1, Class A4, VAR, 5.847%, 05/12/39 | 2,519 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
4,950 | Series 2006-1, Class A4, VAR, 5.607%, 02/12/39 | 5,615 | ||||||
425,030 | Series 2006-4, Class XC, IO, VAR, 0.243%, 12/12/49 (e) | 5,397 | ||||||
Morgan Stanley Capital I, Inc., | ||||||||
3,700 | Series 2004-HQ4, Class A7, 4.970%, 04/14/40 | 3,922 | ||||||
224,866 | Series 2006-IQ12, Class X1, IO, VAR, 0.175%, 12/15/43 (e) | 3,177 | ||||||
443,762 | Series 2007-HQ11, Class X, IO, VAR, 0.401%, 02/12/44 (e) | 2,936 | ||||||
107,723 | Series 2007-HQ13, Class X1, IO, VAR, 0.554%, 12/15/44 (e) | 1,761 | ||||||
340,496 | Series 2007-IQ13, Class X, IO, VAR, 0.609%, 03/15/44 (e) | 5,307 | ||||||
6,107 | Series 2011-C3, Class A3, 4.054%, 07/15/49 | 6,833 | ||||||
8,000 | Series 2012-C4, Class A3, 2.991%, 03/15/45 | 8,417 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
2,698 | Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) | 2,706 | ||||||
23,300 | Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) | 23,883 | ||||||
14,000 | Series 2009-IO, Class B, PO, 07/17/56 (e) | 12,320 | ||||||
3,710 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 3,705 | ||||||
26,000 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 27,533 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
23,868 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 24,047 | ||||||
66,835 | Series 2012-XA, Class A, 2.000%, 07/28/49 | 67,283 | ||||||
10,650 | Series 2012-XA, Class B, 0.250%, 07/28/49 | 7,455 | ||||||
1,021 | Multi Security Asset Trust, Series 2005-RR4A, Class A3, 5.000%, 11/28/35 (e) | 1,029 | ||||||
6,060 | RBSCF Trust, Series 2010-RR3, Class MS4A, VAR, 4.970%, 04/16/40 (e) | 6,417 | ||||||
27,950 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.584%, 08/15/39 | 29,855 | ||||||
19,940 | UBS Commercial Mortgage Trust, | 3,014 | ||||||
17,314 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 18,359 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
10,400 | Series 2012-C2, Class A4, 3.525%, 05/10/63 | 11,090 | ||||||
76,423 | Series 2012-C2, Class XA, IO, VAR, 1.994%, 05/10/63 (e) | 8,111 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
6,628 | Series 2003-C9, Class A4, VAR, 5.012%, 12/15/35 | 6,896 | ||||||
10,719 | Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 11,396 | ||||||
969,730 | Series 2006-C24, Class XC, IO, VAR, 0.082%, 03/15/45 (e) | 4,145 | ||||||
43,963 | Wells Fargo Reremic Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 43,799 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
10,265 | Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 11,507 | ||||||
3,118 | Series 2012-C6, Class A1, 1.081%, 04/15/45 | 3,138 | ||||||
10,400 | Series 2012-C6, Class A4, 3.440%, 04/15/45 | 11,098 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $796,579) | 827,375 | |||||||
|
| |||||||
| Corporate Bonds — 16.9% |
| ||||||
Consumer Discretionary — 1.2% |
| |||||||
Auto Components — 0.0% (g) |
| |||||||
Johnson Controls, Inc., | ||||||||
4,599 | 3.750%, 12/01/21 | 4,857 | ||||||
3,335 | 4.250%, 03/01/21 | 3,663 | ||||||
7,000 | 5.250%, 12/01/41 | 7,931 | ||||||
|
| |||||||
16,451 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
Daimler Finance North America LLC, | ||||||||
11,520 | 1.650%, 04/10/15 (e) | 11,669 | ||||||
5,248 | 2.625%, 09/15/16 (e) | 5,460 |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Automobiles — Continued |
| |||||||
9,800 | 2.950%, 01/11/17 (e) | 10,288 | ||||||
1,500 | 8.500%, 01/18/31 | 2,354 | ||||||
|
| |||||||
29,771 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 0.1% |
| |||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
6,000 | 3.800%, 03/15/22 | 6,198 | ||||||
5,600 | 4.600%, 02/15/21 | 6,119 | ||||||
4,322 | 5.000%, 03/01/21 | 4,858 | ||||||
12,465 | 6.000%, 08/15/40 | 14,091 | ||||||
|
| |||||||
31,266 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (g) | ||||||||
2,025 | McDonald’s Corp., 4.300%, 03/01/13 | 2,064 | ||||||
|
| |||||||
Household Durables — 0.0% (g) |
| |||||||
3,000 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 3,273 | ||||||
|
| |||||||
Media — 0.8% |
| |||||||
CBS Corp., | ||||||||
750 | 5.500%, 05/15/33 | 818 | ||||||
1,426 | 5.750%, 04/15/20 | 1,716 | ||||||
1,250 | 7.875%, 09/01/23 | 1,600 | ||||||
6,025 | 7.875%, 07/30/30 | 8,174 | ||||||
1,750 | 8.875%, 05/15/19 | 2,355 | ||||||
Comcast Cable Communications Holdings, Inc., | ||||||||
6,417 | 8.375%, 03/15/13 | 6,686 | ||||||
5,250 | 9.455%, 11/15/22 | 7,840 | ||||||
Comcast Cable Communications LLC, | ||||||||
2,200 | 7.125%, 06/15/13 | 2,312 | ||||||
1,000 | 8.875%, 05/01/17 | 1,316 | ||||||
1,800 | Comcast Cable Holdings LLC, 10.125%, 04/15/22 | 2,687 | ||||||
Comcast Corp., | ||||||||
1,300 | 5.900%, 03/15/16 | 1,512 | ||||||
3,000 | 6.450%, 03/15/37 | 3,870 | ||||||
1,000 | 6.500%, 01/15/17 | 1,211 | ||||||
10,200 | 6.500%, 11/15/35 | 13,263 | ||||||
COX Communications, Inc., | ||||||||
2,600 | 5.450%, 12/15/14 | 2,862 | ||||||
1,300 | 8.375%, 03/01/39 (e) | 1,962 | ||||||
2,650 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 3,300 | ||||||
Discovery Communications LLC, | ||||||||
6,674 | 4.375%, 06/15/21 | 7,491 | ||||||
2,530 | 4.950%, 05/15/42 | 2,787 | ||||||
3,365 | Historic TW, Inc., 9.150%, 02/01/23 | 4,806 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
NBCUniversal Media LLC, | ||||||||
4,000 | 4.375%, 04/01/21 | 4,515 | ||||||
2,780 | 5.150%, 04/30/20 | 3,281 | ||||||
5,102 | 5.950%, 04/01/41 | 6,413 | ||||||
News America, Inc., | ||||||||
2,500 | 6.200%, 12/15/34 | 3,011 | ||||||
3,000 | 6.650%, 11/15/37 | 3,844 | ||||||
1,500 | 6.900%, 08/15/39 | 1,947 | ||||||
1,965 | 7.250%, 05/18/18 | 2,454 | ||||||
4,400 | 7.300%, 04/30/28 | 5,356 | ||||||
3,000 | 7.625%, 11/30/28 | 3,822 | ||||||
1,100 | 8.000%, 10/17/16 | 1,373 | ||||||
1,050 | 8.875%, 04/26/23 | 1,418 | ||||||
TCI Communications, Inc., | ||||||||
1,337 | 7.125%, 02/15/28 | 1,775 | ||||||
426 | 8.750%, 08/01/15 | 517 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
9,049 | 3.950%, 09/30/21 | 9,845 | ||||||
2,150 | 4.700%, 10/15/19 | 2,458 | ||||||
1,125 | 5.950%, 07/15/13 | 1,174 | ||||||
Time Warner Cable, Inc., | ||||||||
3,735 | 5.500%, 09/01/41 | 4,226 | ||||||
1,700 | 5.850%, 05/01/17 | 2,015 | ||||||
4,600 | 5.875%, 11/15/40 | 5,458 | ||||||
2,595 | 6.550%, 05/01/37 | 3,240 | ||||||
4,550 | 6.750%, 07/01/18 | 5,693 | ||||||
2,000 | 6.750%, 06/15/39 | 2,596 | ||||||
2,450 | 7.300%, 07/01/38 | 3,343 | ||||||
1,590 | 8.250%, 02/14/14 | 1,757 | ||||||
2,150 | 8.250%, 04/01/19 | 2,870 | ||||||
1,785 | 8.750%, 02/14/19 | 2,416 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
2,020 | 8.375%, 03/15/23 | 2,826 | ||||||
6,500 | 8.375%, 07/15/33 | 9,356 | ||||||
Time Warner, Inc., | ||||||||
5,670 | 4.750%, 03/29/21 | 6,501 | ||||||
1,754 | 5.375%, 10/15/41 | 2,003 | ||||||
3,125 | 6.200%, 03/15/40 | 3,835 | ||||||
4,139 | 6.250%, 03/29/41 | 5,136 | ||||||
3,825 | 7.625%, 04/15/31 | 5,193 | ||||||
1,255 | 7.700%, 05/01/32 | 1,731 | ||||||
Viacom, Inc., | ||||||||
1,672 | 1.250%, 02/27/15 | 1,688 | ||||||
2,175 | 3.125%, 06/15/22 | 2,227 | ||||||
5,627 | 3.875%, 12/15/21 | 6,112 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 63 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
600 | 4.500%, 03/01/21 | 679 | ||||||
2,022 | 4.500%, 02/27/42 | 2,108 | ||||||
|
| |||||||
214,780 | ||||||||
|
| |||||||
Multiline Retail — 0.1% |
| |||||||
Kohl’s Corp., | ||||||||
2,800 | 4.000%, 11/01/21 | 2,981 | ||||||
1,000 | 6.250%, 12/15/17 | 1,218 | ||||||
Macy’s Retail Holdings, Inc., | ||||||||
1,200 | 3.875%, 01/15/22 | 1,293 | ||||||
978 | 5.125%, 01/15/42 | 1,084 | ||||||
1,300 | 7.450%, 07/15/17 | 1,610 | ||||||
3,856 | Nordstrom, Inc., 4.000%, 10/15/21 | 4,348 | ||||||
Target Corp., | ||||||||
2,100 | 6.000%, 01/15/18 | 2,589 | ||||||
1,900 | 7.000%, 01/15/38 | 2,828 | ||||||
|
| |||||||
17,951 | ||||||||
|
| |||||||
Specialty Retail — 0.1% |
| |||||||
3,788 | Gap, Inc. (The), 5.950%, 04/12/21 | 4,091 | ||||||
4,600 | Home Depot, Inc. (The), 5.400%, 03/01/16 | 5,337 | ||||||
Lowe’s Cos., Inc., | ||||||||
4,350 | 4.650%, 04/15/42 | 4,702 | ||||||
2,305 | 5.125%, 11/15/41 | 2,653 | ||||||
3,500 | 7.110%, 05/15/37 | 4,875 | ||||||
1,775 | Staples, Inc., 9.750%, 01/15/14 | 1,983 | ||||||
|
| |||||||
23,641 | ||||||||
|
| |||||||
Total Consumer Discretionary | 339,197 | |||||||
|
| |||||||
Consumer Staples — 0.9% |
| |||||||
Beverages — 0.3% |
| |||||||
Anheuser-Busch Cos. LLC, | ||||||||
1,000 | 5.500%, 01/15/18 | 1,201 | ||||||
1,100 | 5.750%, 04/01/36 | 1,423 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
3,615 | 1.500%, 07/14/14 | 3,680 | ||||||
7,050 | 7.750%, 01/15/19 | 9,478 | ||||||
Coca-Cola Co. (The), | ||||||||
1,550 | 3.625%, 03/15/14 | 1,627 | ||||||
1,550 | 4.875%, 03/15/19 | 1,851 | ||||||
Diageo Capital plc, (United Kingdom), | ||||||||
3,929 | 1.500%, 05/11/17 | 4,003 | ||||||
2,780 | 4.828%, 07/15/20 | 3,265 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
2,150 | 5.300%, 10/28/15 | 2,440 | ||||||
3,600 | 5.500%, 04/01/13 | 3,704 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Beverages — Continued |
| |||||||
5,000 | Diageo Investment Corp., 8.000%, 09/15/22 | 7,209 | ||||||
3,975 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 4,394 | ||||||
PepsiCo, Inc., | ||||||||
935 | 0.800%, 08/25/14 | 941 | ||||||
15,850 | 1.250%, 08/13/17 | 15,876 | ||||||
2,503 | 3.000%, 08/25/21 | 2,662 | ||||||
231 | 7.900%, 11/01/18 | 313 | ||||||
SABMiller Holdings, Inc., | ||||||||
3,784 | 1.850%, 01/15/15 (e) | 3,877 | ||||||
4,660 | 3.750%, 01/15/22 (e) | 5,053 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
1,900 | 5.500%, 08/15/13 (e) | 1,977 | ||||||
4,600 | 5.700%, 01/15/14 (e) | 4,891 | ||||||
850 | 6.500%, 07/01/16 (e) | 996 | ||||||
|
| |||||||
80,861 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
CVS Caremark Corp., | ||||||||
6,794 | 5.750%, 05/15/41 | 8,611 | ||||||
2,000 | 6.125%, 09/15/39 | 2,639 | ||||||
7,129 | CVS Pass-Through Trust, 5.926%, 01/10/34 (e) | 8,266 | ||||||
Kroger Co. (The), | ||||||||
3,867 | 2.200%, 01/15/17 | 3,923 | ||||||
13,900 | 5.000%, 04/15/42 | 14,564 | ||||||
924 | 5.400%, 07/15/40 | 1,006 | ||||||
2,000 | 6.150%, 01/15/20 | 2,431 | ||||||
600 | 6.400%, 08/15/17 | 719 | ||||||
2,225 | 7.500%, 01/15/14 | 2,427 | ||||||
12,320 | 7.500%, 04/01/31 | 16,255 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,820 | 4.550%, 05/01/13 | 1,871 | ||||||
1,200 | 5.250%, 09/01/35 | 1,502 | ||||||
1,050 | 6.200%, 04/15/38 | 1,483 | ||||||
700 | 7.550%, 02/15/30 | 1,076 | ||||||
|
| |||||||
66,773 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
2,125 | 5.875%, 05/15/13 | 2,192 | ||||||
7,760 | 8.500%, 06/15/19 | 9,797 | ||||||
605 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 684 | ||||||
Cargill, Inc., | ||||||||
7,750 | 3.300%, 03/01/22 (e) | 8,063 | ||||||
2,724 | 4.307%, 05/14/21 (e) | 3,018 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Food Products — Continued |
| |||||||
1,550 | 6.000%, 11/27/17 (e) | 1,884 | ||||||
2,850 | 7.350%, 03/06/19 (e) | 3,623 | ||||||
1,900 | H.J. Heinz Co., 6.375%, 07/15/28 | 2,309 | ||||||
Kellogg Co., | ||||||||
2,540 | 1.750%, 05/17/17 | 2,585 | ||||||
4,239 | 3.125%, 05/17/22 | 4,446 | ||||||
2,270 | 3.250%, 05/21/18 | 2,485 | ||||||
1,500 | 4.250%, 03/06/13 | 1,528 | ||||||
2,600 | 5.125%, 12/03/12 | 2,630 | ||||||
Kraft Foods Group, Inc., | ||||||||
5,701 | 3.500%, 06/06/22 (e) | 6,038 | ||||||
4,897 | 5.000%, 06/04/42 (e) | 5,570 | ||||||
3,083 | 5.375%, 02/10/20 (e) | 3,685 | ||||||
5,143 | 6.125%, 08/23/18 (e) | 6,318 | ||||||
3,000 | 6.500%, 02/09/40 (e) | 4,089 | ||||||
10,166 | 6.875%, 01/26/39 (e) | 14,097 | ||||||
Kraft Foods, Inc., | ||||||||
2,805 | 5.375%, 02/10/20 | 3,371 | ||||||
1,107 | 6.125%, 02/01/18 | 1,347 | ||||||
9,705 | 6.500%, 08/11/17 | 11,932 | ||||||
|
| |||||||
101,691 | ||||||||
|
| |||||||
Household Products — 0.0% (g) |
| |||||||
Kimberly-Clark Corp., | ||||||||
1,360 | 2.400%, 03/01/22 | 1,388 | ||||||
500 | 7.500%, 11/01/18 | 670 | ||||||
2,043 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 2,767 | ||||||
1,000 | Procter & Gamble Co. (The), 5.500%, 02/01/34 | 1,327 | ||||||
|
| |||||||
6,152 | ||||||||
|
| |||||||
Total Consumer Staples | 255,477 | |||||||
|
| |||||||
Energy — 1.1% |
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
1,711 | Cameron International Corp., 1.600%, 04/30/15 | 1,725 | ||||||
Halliburton Co., | ||||||||
750 | 6.150%, 09/15/19 | 932 | ||||||
5,050 | 7.450%, 09/15/39 | 7,950 | ||||||
2,500 | 7.600%, 08/15/96 (e) | 3,957 | ||||||
3,375 | Nabors Industries, Inc., 9.250%, 01/15/19 | 4,369 | ||||||
Noble Holding International Ltd., | ||||||||
871 | 3.950%, 03/15/22 | 918 | ||||||
621 | 5.250%, 03/15/42 | 666 | ||||||
3,268 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) | 3,521 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — Continued |
| |||||||
Transocean, Inc., (Cayman Islands), | ||||||||
1,888 | 6.375%, 12/15/21 | 2,275 | ||||||
6,750 | 6.500%, 11/15/20 | 8,068 | ||||||
1,487 | 7.350%, 12/15/41 | 2,002 | ||||||
500 | 7.500%, 04/15/31 | 614 | ||||||
Weatherford International Ltd., (Bermuda), | ||||||||
2,411 | 4.500%, 04/15/22 | 2,473 | ||||||
941 | 5.950%, 04/15/42 | 983 | ||||||
|
| |||||||
40,453 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.9% |
| |||||||
2,655 | Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31 | 3,306 | ||||||
2,000 | Anadarko Finance Co., (Canada), 7.500%, 05/01/31 | 2,679 | ||||||
1,650 | Anadarko Holding Co., 7.150%, 05/15/28 | 1,989 | ||||||
Anadarko Petroleum Corp., | ||||||||
405 | 5.750%, 06/15/14 | 436 | ||||||
8,500 | 7.625%, 03/15/14 | 9,305 | ||||||
1,100 | 8.700%, 03/15/19 | 1,463 | ||||||
Apache Corp., | ||||||||
1,314 | 3.250%, 04/15/22 | 1,409 | ||||||
4,027 | 4.750%, 04/15/43 | 4,617 | ||||||
2,500 | 6.900%, 09/15/18 | 3,235 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
6,680 | 1.846%, 05/05/17 | 6,836 | ||||||
2,535 | 3.245%, 05/06/22 | 2,700 | ||||||
5,500 | 3.875%, 03/10/15 | 5,928 | ||||||
6,200 | 4.742%, 03/11/21 | 7,275 | ||||||
9,100 | 5.250%, 11/07/13 | 9,599 | ||||||
2,000 | Burlington Resources, Inc., 8.200%, 03/15/25 | 2,880 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
400 | 5.900%, 02/01/18 | 481 | ||||||
1,450 | 6.450%, 06/30/33 | 1,867 | ||||||
2,000 | 6.750%, 02/01/39 | 2,743 | ||||||
400 | 7.200%, 01/15/32 | 542 | ||||||
Cenovus Energy, Inc., (Canada), | ||||||||
1,783 | 3.000%, 08/15/22 | 1,822 | ||||||
4,135 | 4.450%, 09/15/42 | 4,227 | ||||||
5,100 | Chevron Corp., 4.950%, 03/03/19 | 6,212 | ||||||
1,040 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 1,549 | ||||||
ConocoPhillips, | ||||||||
1,500 | 5.200%, 05/15/18 | 1,803 | ||||||
2,000 | 5.750%, 02/01/19 | 2,481 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 65 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
1,450 | 6.000%, 01/15/20 | 1,844 | ||||||
1,450 | 6.500%, 02/01/39 | 2,090 | ||||||
Devon Energy Corp., | ||||||||
1,500 | 1.875%, 05/15/17 | 1,533 | ||||||
5,776 | 3.250%, 05/15/22 | 6,018 | ||||||
3,130 | 4.750%, 05/15/42 | 3,381 | ||||||
1,280 | 6.300%, 01/15/19 | 1,584 | ||||||
Encana Corp., (Canada), | ||||||||
2,330 | 6.500%, 05/15/19 | 2,819 | ||||||
1,145 | 6.500%, 08/15/34 | 1,349 | ||||||
5,400 | Eni S.p.A., (Italy), 5.700%, 10/01/40 (e) | 5,505 | ||||||
EOG Resources, Inc., | ||||||||
5,300 | 4.100%, 02/01/21 | 6,020 | ||||||
1,800 | 6.875%, 10/01/18 | 2,271 | ||||||
1,155 | Husky Energy, Inc., (Canada), 6.150%, 06/15/19 | 1,383 | ||||||
1,230 | Kerr-McGee Corp., 6.950%, 07/01/24 | 1,577 | ||||||
Marathon Oil Corp., | ||||||||
2,819 | 5.900%, 03/15/18 | 3,369 | ||||||
2,800 | 6.000%, 10/01/17 | 3,347 | ||||||
2,430 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 2,505 | ||||||
1,150 | PC Financial Partnership, 5.000%, 11/15/14 | 1,247 | ||||||
7,202 | Petrobras International Finance Co., (Cayman Islands), 5.375%, 01/27/21 | 8,015 | ||||||
Petro-Canada, (Canada), | ||||||||
2,549 | 6.050%, 05/15/18 | 3,107 | ||||||
3,200 | 6.800%, 05/15/38 | 4,334 | ||||||
Phillips 66, | ||||||||
2,340 | 2.950%, 05/01/17 (e) | 2,456 | ||||||
1,317 | 4.300%, 04/01/22 (e) | 1,434 | ||||||
2,045 | Pioneer Natural Resources Co., 5.875%, 07/15/16 | 2,333 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
4,885 | 1.125%, 08/21/17 | 4,911 | ||||||
2,330 | 1.875%, 03/25/13 | 2,350 | ||||||
994 | 3.100%, 06/28/15 | 1,063 | ||||||
2,330 | 4.000%, 03/21/14 | 2,457 | ||||||
3,000 | 4.300%, 09/22/19 | 3,507 | ||||||
8,580 | 4.375%, 03/25/20 | 10,106 | ||||||
6,000 | 6.375%, 12/15/38 | 8,751 | ||||||
Statoil ASA, (Norway), | ||||||||
2,950 | 3.125%, 08/17/17 | 3,236 | ||||||
2,301 | 3.150%, 01/23/22 | 2,473 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
1,866 | 4.250%, 11/23/41 | 2,096 | ||||||
3,700 | 5.250%, 04/15/19 | 4,476 | ||||||
Suncor Energy, Inc., (Canada), | ||||||||
2,400 | 5.950%, 12/01/34 | 2,906 | ||||||
1,900 | 6.100%, 06/01/18 | 2,324 | ||||||
900 | 6.850%, 06/01/39 | 1,229 | ||||||
Talisman Energy, Inc., (Canada), | ||||||||
11,100 | 5.500%, 05/15/42 | 12,197 | ||||||
5,355 | 7.750%, 06/01/19 | 6,760 | ||||||
Tosco Corp., | ||||||||
300 | 7.800%, 01/01/27 | 437 | ||||||
3,500 | 8.125%, 02/15/30 | 5,348 | ||||||
Total Capital International S.A., (France), | ||||||||
2,112 | 1.500%, 02/17/17 | 2,145 | ||||||
5,625 | 1.550%, 06/28/17 | 5,716 | ||||||
1,400 | 2.875%, 02/17/22 | 1,469 | ||||||
Total Capital S.A., (France), | ||||||||
10,000 | 2.300%, 03/15/16 | 10,490 | ||||||
2,218 | 4.125%, 01/28/21 | 2,527 | ||||||
2,800 | XTO Energy, Inc., 5.750%, 12/15/13 | 2,986 | ||||||
|
| |||||||
258,865 | ||||||||
|
| |||||||
Total Energy | 299,318 | |||||||
|
| |||||||
Financials — 8.6% |
| |||||||
Capital Markets — 1.6% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
2,857 | 1.200%, 02/20/15 | 2,896 | ||||||
9,791 | 2.400%, 01/17/17 | 10,286 | ||||||
8,000 | 2.950%, 06/18/15 | 8,490 | ||||||
2,500 | 3.100%, 01/15/15 | 2,641 | ||||||
3,444 | 3.550%, 09/23/21 | 3,721 | ||||||
3,750 | 4.600%, 01/15/20 | 4,303 | ||||||
1,000 | 5.125%, 08/27/13 | 1,046 | ||||||
BlackRock, Inc., | ||||||||
8,700 | 3.375%, 06/01/22 | 9,198 | ||||||
3,245 | 3.500%, 12/10/14 | 3,457 | ||||||
9,294 | 5.000%, 12/10/19 | 10,806 | ||||||
Blackstone Holdings Finance Co. LLC, | ||||||||
14,000 | 5.875%, 03/15/21 (e) | 15,255 | ||||||
6,381 | 6.250%, 08/15/42 (e) | 6,541 | ||||||
1,600 | Charles Schwab Corp. (The), 3.225%, 09/01/22 (e) | 1,622 | ||||||
Credit Suisse USA, Inc., | ||||||||
1,200 | 4.875%, 01/15/15 | 1,292 | ||||||
3,353 | 5.125%, 08/15/15 | 3,698 |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Capital Markets — Continued |
| |||||||
2,500 | FMR LLC, 6.450%, 11/15/39 (e) | 3,015 | ||||||
2,095 | Goldman Sachs Capital I, 6.345%, 02/15/34 | 2,082 | ||||||
1,000 | Goldman Sachs Group LP, 8.000%, 03/01/13 (e) | 1,031 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
3,755 | 3.300%, 05/03/15 | 3,877 | ||||||
6,465 | 3.625%, 02/07/16 | 6,703 | ||||||
4,020 | 3.700%, 08/01/15 | 4,211 | ||||||
2,694 | 4.750%, 07/15/13 | 2,780 | ||||||
12,876 | 5.150%, 01/15/14 | 13,493 | ||||||
6,727 | 5.250%, 07/27/21 | 7,153 | ||||||
9,757 | 5.375%, 03/15/20 | 10,515 | ||||||
5,300 | 5.750%, 01/24/22 | 5,848 | ||||||
12,900 | 5.950%, 01/18/18 | 14,510 | ||||||
14,670 | 6.000%, 06/15/20 | 16,413 | ||||||
2,200 | 6.150%, 04/01/18 | 2,501 | ||||||
7,470 | 6.250%, 09/01/17 | 8,573 | ||||||
1,600 | 6.750%, 10/01/37 | 1,666 | ||||||
32,760 | 7.500%, 02/15/19 | 39,292 | ||||||
Jefferies Group, Inc., | ||||||||
3,075 | 3.875%, 11/09/15 | 3,091 | ||||||
2,750 | 5.125%, 04/13/18 | 2,798 | ||||||
5,600 | 6.450%, 06/08/27 | 5,698 | ||||||
9,250 | 8.500%, 07/15/19 | 10,568 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
4,600 | 6.000%, 01/14/20 (e) | 4,745 | ||||||
10,015 | 6.250%, 01/14/21 (e) | 10,361 | ||||||
6,992 | 7.300%, 08/01/14 (e) | 7,547 | ||||||
745 | 7.625%, 08/13/19 (e) | 821 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
700 | 5.000%, 01/15/15 | 738 | ||||||
3,723 | 5.450%, 07/15/14 | 3,984 | ||||||
6,929 | 6.150%, 04/25/13 | 7,149 | ||||||
21,186 | 6.400%, 08/28/17 | 24,070 | ||||||
6,348 | 6.875%, 04/25/18 | 7,405 | ||||||
Morgan Stanley, | ||||||||
6,626 | 4.000%, 07/24/15 | 6,754 | ||||||
4,263 | 4.200%, 11/20/14 | 4,373 | ||||||
9,078 | 5.300%, 03/01/13 | 9,260 | ||||||
5,200 | 5.450%, 01/09/17 | 5,469 | ||||||
7,503 | 5.500%, 07/24/20 | 7,714 | ||||||
3,600 | 5.500%, 07/28/21 | 3,691 | ||||||
14,220 | 5.625%, 09/23/19 | 14,715 | ||||||
3,245 | 5.750%, 01/25/21 | 3,351 | ||||||
5,800 | 6.000%, 05/13/14 | 6,132 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
3,294 | 6.000%, 04/28/15 | 3,509 | ||||||
1,070 | 6.250%, 08/28/17 | 1,159 | ||||||
4,425 | 6.625%, 04/01/18 | 4,887 | ||||||
8,400 | 7.300%, 05/13/19 | 9,474 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
8,375 | 4.125%, 01/19/16 | 8,677 | ||||||
2,828 | 5.000%, 03/04/15 | 2,977 | ||||||
6,114 | 6.700%, 03/04/20 | 7,020 | ||||||
887 | Northern Trust Corp., 5.500%, 08/15/13 | 930 | ||||||
1,250 | State Street Corp., 4.300%, 05/30/14 | 1,329 | ||||||
UBS AG, (Switzerland), | ||||||||
2,927 | 2.250%, 08/12/13 | 2,961 | ||||||
13,050 | 3.875%, 01/15/15 | 13,752 | ||||||
2,000 | 4.875%, 08/04/20 | 2,231 | ||||||
3,755 | 5.750%, 04/25/18 | 4,342 | ||||||
1,025 | 5.875%, 12/20/17 | 1,193 | ||||||
|
| |||||||
443,790 | ||||||||
|
| |||||||
Commercial Banks — 3.2% |
| |||||||
2,930 | ANZ National International Ltd., (New Zealand), 3.125%, 08/10/15 (e) | 3,058 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
9,960 | 2.400%, 11/23/16 (e) | 10,392 | ||||||
6,200 | 3.250%, 03/01/16 (e) | 6,572 | ||||||
2,867 | 4.875%, 01/12/21 (e) | 3,267 | ||||||
Bank of America Corp., | ||||||||
2,385 | 3.625%, 03/17/16 | 2,485 | ||||||
5,500 | 4.900%, 05/01/13 | 5,633 | ||||||
12,895 | 5.000%, 05/13/21 | 13,860 | ||||||
6,500 | 5.625%, 10/14/16 | 7,224 | ||||||
17,700 | 5.625%, 07/01/20 | 19,624 | ||||||
7,980 | 5.650%, 05/01/18 | 8,915 | ||||||
4,635 | 5.750%, 12/01/17 | 5,182 | ||||||
3,300 | 5.875%, 01/05/21 | 3,709 | ||||||
5,000 | 6.500%, 08/01/16 | 5,702 | ||||||
3,000 | 7.375%, 05/15/14 | 3,274 | ||||||
3,500 | 7.625%, 06/01/19 | 4,274 | ||||||
7,420 | Bank of America N.A., 5.300%, 03/15/17 | 8,076 | ||||||
7,402 | Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) | 7,540 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
8,206 | 1.650%, 10/29/15 (e) | 8,469 | ||||||
8,400 | 2.550%, 01/12/17 | 8,881 | ||||||
7,071 | 3.400%, 01/22/15 | 7,479 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 67 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), | ||||||||
9,498 | 2.350%, 02/23/17 (e) | 9,822 | ||||||
4,367 | 3.850%, 01/22/15 (e) | 4,648 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
2,667 | 2.250%, 05/10/17 (e) | 2,747 | ||||||
2,400 | 2.500%, 01/23/13 | 2,416 | ||||||
8,375 | 2.500%, 09/21/15 (e) | 8,688 | ||||||
11,558 | 2.750%, 02/23/15 | 11,788 | ||||||
1,100 | 5.000%, 09/22/16 | 1,208 | ||||||
4,500 | 5.125%, 01/08/20 | 4,860 | ||||||
9,300 | 5.200%, 07/10/14 | 9,857 | ||||||
3,700 | 6.050%, 12/04/17 (e) | 3,923 | ||||||
500 | 6.750%, 05/22/19 | 586 | ||||||
BB&T Corp., | ||||||||
3,718 | 1.600%, 08/15/17 | 3,776 | ||||||
4,855 | 3.375%, 09/25/13 | 4,992 | ||||||
6,250 | 3.950%, 04/29/16 | 6,856 | ||||||
2,750 | 4.900%, 06/30/17 | 3,086 | ||||||
7,358 | 5.700%, 04/30/14 | 7,953 | ||||||
1,650 | 6.850%, 04/30/19 | 2,104 | ||||||
Branch Banking & Trust Co., | ||||||||
598 | 4.875%, 01/15/13 | 606 | ||||||
4,650 | 5.625%, 09/15/16 | 5,325 | ||||||
1,500 | Cadets Trust, 4.800%, 07/15/13 (e) (f) (i) | 1,547 | ||||||
37,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 39,377 | ||||||
1,250 | Comerica Bank, 5.200%, 08/22/17 | 1,411 | ||||||
1,960 | Comerica, Inc., 3.000%, 09/16/15 | 2,059 | ||||||
8,100 | Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e) | 8,398 | ||||||
Credit Suisse, (Switzerland), | ||||||||
2,700 | 5.000%, 05/15/13 | 2,778 | ||||||
4,995 | 5.500%, 05/01/14 | 5,330 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
7,800 | 3.250%, 01/11/16 | 8,141 | ||||||
3,520 | 3.875%, 08/18/14 | 3,701 | ||||||
3,300 | 6.000%, 09/01/17 | 3,861 | ||||||
14,418 | DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 14,905 | ||||||
1,450 | Fifth Third Bancorp, 5.450%, 01/15/17 | 1,614 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
16,761 | 1.625%, 07/07/14 (e) | 16,884 | ||||||
9,146 | 3.100%, 05/24/16 (e) | 9,587 | ||||||
4,624 | 3.500%, 06/28/15 (e) | 4,878 | ||||||
5,961 | 4.125%, 08/12/20 (e) | 6,417 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
10,000 | 4.750%, 01/19/21 (e) | 11,253 | ||||||
6,805 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 7,120 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
9,802 | 4.000%, 03/30/22 | 10,509 | ||||||
7,200 | 4.875%, 01/14/22 | 8,242 | ||||||
4,669 | 5.100%, 04/05/21 | 5,371 | ||||||
7,200 | 6.100%, 01/14/42 | 9,634 | ||||||
10,000 | HSBC USA, Inc., 2.375%, 02/13/15 | 10,246 | ||||||
11,028 | ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e) | 11,430 | ||||||
3,150 | KeyBank N.A., 5.500%, 09/17/12 | 3,156 | ||||||
3,750 | KeyCorp, 6.500%, 05/14/13 | 3,898 | ||||||
26,349 | Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) | 27,524 | ||||||
4,500 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 5,325 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
20,000 | 2.000%, 06/20/17 (e) | 20,444 | ||||||
8,650 | 2.500%, 01/08/13 (e) | 8,709 | ||||||
7,800 | 2.750%, 09/28/15 (e) | 8,098 | ||||||
7,000 | 3.000%, 07/27/16 (e) | 7,356 | ||||||
3,455 | 3.750%, 03/02/15 (e) | 3,653 | ||||||
8,677 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 8,830 | ||||||
4,000 | National City Bank, 5.800%, 06/07/17 | 4,681 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
5,000 | 1.750%, 10/04/13 (e) | 5,026 | ||||||
15,350 | 3.125%, 03/20/17 (e) | 15,953 | ||||||
6,198 | 4.875%, 05/13/21 (e) | 6,596 | ||||||
6,571 | Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e) | 6,631 | ||||||
2,000 | PNC Bank N.A., 6.875%, 04/01/18 | 2,484 | ||||||
PNC Funding Corp., | ||||||||
1,284 | 2.700%, 09/19/16 | 1,369 | ||||||
1,015 | 3.000%, 05/19/14 | 1,054 | ||||||
5,575 | 3.300%, 03/08/22 | 5,917 | ||||||
4,534 | 4.375%, 08/11/20 | 5,173 | ||||||
5,700 | 5.125%, 02/08/20 | 6,745 | ||||||
1,200 | 5.250%, 11/15/15 | 1,337 | ||||||
1,230 | 5.625%, 02/01/17 | 1,412 | ||||||
4,100 | 6.700%, 06/10/19 | 5,176 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
2,340 | 2.125%, 10/13/15 | 2,396 | ||||||
12,700 | 3.200%, 03/11/15 (e) | 13,233 | ||||||
2,501 | 3.375%, 01/19/17 | 2,646 |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
5,921 | 3.875%, 02/08/22 | 6,166 | ||||||
6,900 | 4.500%, 01/11/21 | 7,599 | ||||||
3,500 | 5.800%, 09/30/10 (e) | 4,026 | ||||||
8,400 | Royal Bank of Canada, (Canada), 2.300%, 07/20/16 | 8,808 | ||||||
2,450 | SouthTrust Bank, 7.690%, 05/15/25 | 2,956 | ||||||
SunTrust Banks, Inc., | ||||||||
4,015 | 5.250%, 11/05/12 | 4,048 | ||||||
1,000 | 6.000%, 09/11/17 | 1,152 | ||||||
505 | 7.250%, 03/15/18 | 598 | ||||||
6,699 | Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16 | 7,039 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
14,000 | 1.500%, 03/13/17 (e) | 14,347 | ||||||
9,045 | 2.200%, 07/29/15 (e) | 9,463 | ||||||
5,384 | 2.500%, 07/14/16 | 5,700 | ||||||
U.S. Bancorp, | ||||||||
5,615 | 1.650%, 05/15/17 | 5,742 | ||||||
4,680 | 2.450%, 07/27/15 | 4,915 | ||||||
4,299 | 2.875%, 11/20/14 | 4,522 | ||||||
3,667 | 3.000%, 03/15/22 | 3,848 | ||||||
3,558 | 4.125%, 05/24/21 | 4,037 | ||||||
1,400 | 7.500%, 06/01/26 | 1,791 | ||||||
690 | U.S. Bank N.A., 6.300%, 02/04/14 | 744 | ||||||
Wachovia Bank N.A., | ||||||||
4,700 | 5.000%, 08/15/15 | 5,129 | ||||||
15,190 | 6.000%, 11/15/17 | 18,191 | ||||||
2,700 | 6.600%, 01/15/38 | 3,675 | ||||||
4,430 | VAR, 0.798%, 03/15/16 | 4,274 | ||||||
Wachovia Corp., | ||||||||
2,130 | 4.875%, 02/15/14 | 2,252 | ||||||
8,400 | 5.500%, 05/01/13 | 8,675 | ||||||
3,050 | 5.750%, 06/15/17 | 3,639 | ||||||
18,075 | 5.750%, 02/01/18 | 21,698 | ||||||
Wells Fargo & Co., | ||||||||
15,339 | 2.625%, 12/15/16 | 16,249 | ||||||
9,000 | 3.500%, 03/08/22 | 9,591 | ||||||
8,500 | 4.600%, 04/01/21 | 9,797 | ||||||
9,185 | 5.625%, 12/11/17 | 11,000 | ||||||
16,700 | SUB, 3.676%, 06/15/16 | 18,166 | ||||||
Wells Fargo Bank N.A., | ||||||||
4,870 | 4.750%, 02/09/15 | 5,267 | ||||||
2,000 | 5.750%, 05/16/16 | 2,290 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
6,550 | 2.450%, 11/28/16 (e) | 6,856 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
4,800 | 4.200%, 02/27/15 | 5,151 | ||||||
10,711 | 4.875%, 11/19/19 | 12,083 | ||||||
|
| |||||||
889,856 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
4,900 | American Express Centurion Bank, 6.000%, 09/13/17 | 5,924 | ||||||
2,750 | American Express Co., 7.000%, 03/19/18 | 3,489 | ||||||
American Express Credit Corp., | ||||||||
2,777 | 2.375%, 03/24/17 | 2,919 | ||||||
8,055 | 2.800%, 09/19/16 | 8,576 | ||||||
4,500 | 5.125%, 08/25/14 | 4,886 | ||||||
4,600 | 5.875%, 05/02/13 | 4,759 | ||||||
5,650 | 7.300%, 08/20/13 | 6,010 | ||||||
American Honda Finance Corp., | ||||||||
8,000 | 1.450%, 02/27/15 (e) | 8,096 | ||||||
4,121 | 2.125%, 02/28/17 (e) | 4,253 | ||||||
2,060 | 2.375%, 03/18/13 (e) | 2,080 | ||||||
11,476 | 2.600%, 09/20/16 (e) | 11,989 | ||||||
1,335 | 7.625%, 10/01/18 (e) | 1,715 | ||||||
17,474 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 22,689 | ||||||
Capital One Financial Corp., | ||||||||
2,535 | 2.150%, 03/23/15 | 2,596 | ||||||
2,502 | 4.750%, 07/15/21 | 2,807 | ||||||
8,300 | 6.750%, 09/15/17 | 10,147 | ||||||
6,075 | 7.375%, 05/23/14 | 6,707 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
8,765 | 3.000%, 06/12/17 | 8,797 | ||||||
12,102 | 3.984%, 06/15/16 (e) | 12,543 | ||||||
3,346 | 4.207%, 04/15/16 (e) | 3,500 | ||||||
HSBC Finance Corp., | ||||||||
311 | 4.750%, 07/15/13 | 320 | ||||||
6,500 | 5.000%, 06/30/15 | 6,984 | ||||||
1,600 | 5.250%, 01/15/14 | 1,670 | ||||||
200 | 5.500%, 01/19/16 | 219 | ||||||
1,078 | 6.375%, 11/27/12 | 1,093 | ||||||
308 | 7.350%, 11/27/32 | 352 | ||||||
1,700 | VAR, 0.705%, 01/15/14 | 1,685 | ||||||
John Deere Capital Corp., | ||||||||
3,250 | 2.250%, 04/17/19 | 3,395 | ||||||
3,610 | 2.800%, 01/27/23 | 3,731 | ||||||
2,491 | 3.150%, 10/15/21 | 2,675 | ||||||
450 | 4.500%, 04/03/13 | 461 | ||||||
4,750 | 5.250%, 10/01/12 | 4,769 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 69 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued |
| |||||||
3,943 | PACCAR Financial Corp., 1.600%, 03/15/17 | 4,018 | ||||||
2,437 | SLM Corp., 5.375%, 01/15/13 | 2,474 | ||||||
1,479 | Springleaf Finance Corp., 5.375%, 10/01/12 | 1,476 | ||||||
Toyota Motor Credit Corp., | ||||||||
8,000 | 1.000%, 02/17/15 | 8,082 | ||||||
5,000 | 1.750%, 05/22/17 | 5,152 | ||||||
15,500 | 2.000%, 09/15/16 | 16,150 | ||||||
3,900 | 2.050%, 01/12/17 | 4,061 | ||||||
5,538 | 3.200%, 06/17/15 | 5,920 | ||||||
2,002 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 2,020 | ||||||
|
| |||||||
211,189 | ||||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
12,875 | Associates Corp. of North America, 6.950%, 11/01/18 | 15,208 | ||||||
1,552 | BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e) | 1,861 | ||||||
6,049 | Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e) | 6,432 | ||||||
Caterpillar Financial Services Corp., | ||||||||
4,319 | 2.850%, 06/01/22 | 4,501 | ||||||
1,900 | 4.900%, 08/15/13 | 1,981 | ||||||
1,000 | 5.450%, 04/15/18 | 1,209 | ||||||
900 | 5.500%, 03/15/16 | 1,038 | ||||||
4,800 | 6.200%, 09/30/13 | 5,098 | ||||||
3,500 | 7.050%, 10/01/18 | 4,567 | ||||||
600 | 7.150%, 02/15/19 | 790 | ||||||
Citigroup, Inc., | ||||||||
13,000 | 2.250%, 08/07/15 | 13,113 | ||||||
8,500 | 4.450%, 01/10/17 | 9,158 | ||||||
1,666 | 4.500%, 01/14/22 | 1,761 | ||||||
11,602 | 4.587%, 12/15/15 | 12,482 | ||||||
1,500 | 4.700%, 05/29/15 | 1,597 | ||||||
11,025 | 4.750%, 05/19/15 | 11,836 | ||||||
5,286 | 5.000%, 09/15/14 | 5,529 | ||||||
8,570 | 5.375%, 08/09/20 | 9,584 | ||||||
1,000 | 5.500%, 02/15/17 | 1,076 | ||||||
2,054 | 5.875%, 01/30/42 | 2,412 | ||||||
1,575 | 6.000%, 12/13/13 | 1,664 | ||||||
13,500 | 6.000%, 08/15/17 | 15,416 | ||||||
7,525 | 6.010%, 01/15/15 | 8,221 | ||||||
5,350 | 6.125%, 11/21/17 | 6,177 | ||||||
3,675 | 6.375%, 08/12/14 | 3,987 | ||||||
2,400 | 6.500%, 08/19/13 | 2,524 | ||||||
3,750 | 6.625%, 01/15/28 | 4,230 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — Continued |
| |||||||
700 | 6.875%, 03/05/38 | 899 | ||||||
2,850 | 8.125%, 07/15/39 | 4,177 | ||||||
14,375 | 8.500%, 05/22/19 | 18,390 | ||||||
CME Group, Inc., | ||||||||
4,050 | 5.400%, 08/01/13 | 4,232 | ||||||
3,850 | 5.750%, 02/15/14 | 4,126 | ||||||
1,225 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,459 | ||||||
ERAC USA Finance LLC, | ||||||||
2,728 | 2.250%, 01/10/14 (e) | 2,757 | ||||||
2,663 | 2.750%, 03/15/17 (e) | 2,745 | ||||||
3,874 | 4.500%, 08/16/21 (e) | 4,228 | ||||||
2,080 | 5.625%, 03/15/42 (e) | 2,240 | ||||||
400 | 6.375%, 10/15/17 (e) | 478 | ||||||
4,925 | 6.700%, 06/01/34 (e) | 5,940 | ||||||
General Electric Capital Corp., | ||||||||
11,500 | 1.625%, 07/02/15 | 11,702 | ||||||
4,131 | 2.250%, 11/09/15 | 4,273 | ||||||
7,653 | 2.300%, 04/27/17 | 7,900 | ||||||
14,400 | 4.375%, 09/16/20 | 15,985 | ||||||
6,050 | 4.625%, 01/07/21 | 6,836 | ||||||
13,000 | 4.650%, 10/17/21 | 14,842 | ||||||
16,000 | 5.250%, 10/19/12 | 16,101 | ||||||
1,787 | 5.300%, 02/11/21 | 2,056 | ||||||
1,500 | 5.400%, 02/15/17 | 1,741 | ||||||
2,000 | 5.500%, 06/04/14 | 2,161 | ||||||
10,250 | 5.500%, 01/08/20 | 12,132 | ||||||
7,400 | 5.625%, 09/15/17 | 8,744 | ||||||
32,425 | 5.625%, 05/01/18 | 38,399 | ||||||
1,900 | 5.875%, 01/14/38 | 2,307 | ||||||
4,700 | 5.900%, 05/13/14 | 5,112 | ||||||
5,300 | 6.000%, 08/07/19 | 6,434 | ||||||
9,241 | 6.750%, 03/15/32 | 11,999 | ||||||
900 | 6.875%, 01/10/39 | 1,230 | ||||||
3,500 | VAR, 0.605%, 02/15/17 | 3,346 | ||||||
10,530 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 11,112 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
530 | 2.625%, 09/16/12 | 530 | ||||||
3,550 | 4.750%, 03/01/14 | 3,767 | ||||||
2,155 | 10.375%, 11/01/18 | 3,166 | ||||||
2,400 | Textron Financial Corp., 5.400%, 04/28/13 | 2,470 | ||||||
|
| |||||||
399,468 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — 1.3% |
| |||||||
ACE INA Holdings, Inc., | ||||||||
3,636 | 2.600%, 11/23/15 | 3,812 | ||||||
2,000 | 5.600%, 05/15/15 | 2,238 | ||||||
Aflac, Inc., | ||||||||
2,077 | 2.650%, 02/15/17 | 2,181 | ||||||
2,371 | 4.000%, 02/15/22 | 2,562 | ||||||
2,118 | �� | 6.450%, 08/15/40 | 2,623 | |||||
1,500 | 8.500%, 05/15/19 | 2,014 | ||||||
9,250 | AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e) | 11,878 | ||||||
5,000 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 5,162 | ||||||
American International Group, Inc., | ||||||||
3,284 | 4.250%, 05/15/13 | 3,353 | ||||||
2,800 | 5.450%, 05/18/17 | 3,146 | ||||||
1,425 | 5.600%, 10/18/16 | 1,601 | ||||||
Aon Corp., | ||||||||
2,483 | 3.125%, 05/27/16 | 2,622 | ||||||
2,012 | 3.500%, 09/30/15 | 2,121 | ||||||
1,668 | 6.250%, 09/30/40 | 2,190 | ||||||
16,966 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 17,136 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
3,000 | 2.450%, 12/15/15 | 3,160 | ||||||
2,594 | 3.000%, 05/15/22 | 2,686 | ||||||
4,640 | 4.400%, 05/15/42 | 4,963 | ||||||
3,800 | 4.600%, 05/15/13 | 3,910 | ||||||
750 | 5.000%, 08/15/13 | 783 | ||||||
11,700 | 5.400%, 05/15/18 | 14,112 | ||||||
1,300 | 5.750%, 01/15/40 | 1,654 | ||||||
Berkshire Hathaway, Inc., | ||||||||
11,564 | 3.400%, 01/31/22 | 12,399 | ||||||
5,859 | 3.750%, 08/15/21 | 6,451 | ||||||
1,130 | Chubb Corp. (The), 5.750%, 05/15/18 | 1,397 | ||||||
CNA Financial Corp., | ||||||||
6,800 | 5.850%, 12/15/14 | 7,280 | ||||||
5,063 | 5.875%, 08/15/20 | 5,837 | ||||||
Jackson National Life Global Funding, | ||||||||
3,000 | 4.700%, 06/01/18 (e) | 3,319 | ||||||
3,400 | 5.375%, 05/08/13 (e) | 3,500 | ||||||
3,099 | Liberty Mutual Group, Inc., 4.950%, 05/01/22 (e) | 3,241 | ||||||
Lincoln National Corp., | ||||||||
2,569 | 4.200%, 03/15/22 | 2,690 | ||||||
1,625 | 4.850%, 06/24/21 | 1,775 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
1,970 | Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e) | 2,243 | ||||||
MassMutual Global Funding II, | ||||||||
16,000 | 2.000%, 04/05/17 (e) | 16,399 | ||||||
2,714 | 2.300%, 09/28/15 (e) | 2,829 | ||||||
1,628 | 2.875%, 04/21/14 (e) | 1,687 | ||||||
7,358 | MetLife Institutional Funding II, VAR, 1.361%, 04/04/14 (e) | 7,405 | ||||||
3,200 | Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e) | 3,464 | ||||||
815 | MetLife, Inc., 6.817%, 08/15/18 | 1,019 | ||||||
Metropolitan Life Global Funding I, | ||||||||
8,875 | 1.700%, 06/29/15 (e) | 9,024 | ||||||
2,500 | 2.000%, 01/10/14 (e) | 2,537 | ||||||
17,335 | 2.500%, 01/11/13 (e) | 17,451 | ||||||
10,000 | 2.500%, 09/29/15 (e) | 10,392 | ||||||
3,235 | 3.125%, 01/11/16 (e) | 3,440 | ||||||
13,300 | 3.650%, 06/14/18 (e) | 14,654 | ||||||
14,338 | 3.875%, 04/11/22 (e) | 15,675 | ||||||
2,410 | 5.125%, 04/10/13 (e) | 2,475 | ||||||
590 | 5.125%, 06/10/14 (e) | 634 | ||||||
2,497 | 5.200%, 09/18/13 (e) | 2,608 | ||||||
1,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 1,024 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
1,000 | 6.600%, 04/15/34 (e) | 1,003 | ||||||
12,430 | 9.375%, 08/15/39 (e) | 16,911 | ||||||
New York Life Global Funding, | ||||||||
5,635 | 0.750%, 07/24/15 (e) | 5,641 | ||||||
6,200 | 1.300%, 01/12/15 (e) | 6,301 | ||||||
6,300 | 3.000%, 05/04/15 (e) | 6,681 | ||||||
5,910 | 4.650%, 05/09/13 (e) | 6,079 | ||||||
5,914 | 5.375%, 09/15/13 (e) | 6,207 | ||||||
Pacific Life Global Funding, | ||||||||
4,000 | 5.000%, 05/15/17 (e) | 4,287 | ||||||
2,500 | 5.150%, 04/15/13 (e) | 2,569 | ||||||
4,100 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 5,576 | ||||||
6,400 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 6,887 | ||||||
1,600 | Principal Life Global Funding I, 5.050%, 03/15/15 (e) | 1,743 | ||||||
Principal Life Income Funding Trusts, | ||||||||
5,900 | 5.100%, 04/15/14 | 6,302 | ||||||
2,215 | 5.300%, 12/14/12 | 2,244 | ||||||
2,900 | 5.300%, 04/24/13 | 2,989 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 71 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued |
| |||||||
11,540 | Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e) | 15,556 | ||||||
1,070 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 1,318 | ||||||
890 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 911 | ||||||
|
| |||||||
357,961 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.3% |
| |||||||
CommonWealth REIT, | ||||||||
7,010 | 5.875%, 09/15/20 | 7,382 | ||||||
2,800 | 6.250%, 08/15/16 | 3,030 | ||||||
3,890 | 6.650%, 01/15/18 | 4,316 | ||||||
4,209 | ERP Operating LP, 4.625%, 12/15/21 | 4,824 | ||||||
HCP, Inc., | ||||||||
1,445 | 3.750%, 02/01/19 | 1,504 | ||||||
6,185 | 5.375%, 02/01/21 | 7,080 | ||||||
Simon Property Group LP, | ||||||||
9,167 | 2.150%, 09/15/17 | 9,425 | ||||||
4,280 | 4.125%, 12/01/21 | 4,716 | ||||||
450 | 4.200%, 02/01/15 | 480 | ||||||
2,400 | 4.375%, 03/01/21 | 2,681 | ||||||
1,775 | 5.625%, 08/15/14 | 1,923 | ||||||
1,100 | 5.650%, 02/01/20 | 1,324 | ||||||
2,120 | 6.100%, 05/01/16 | 2,440 | ||||||
3,675 | 6.125%, 05/30/18 | 4,451 | ||||||
1,645 | 6.750%, 05/15/14 | 1,779 | ||||||
2,600 | WEA Finance LLC, 7.125%, 04/15/18 (e) | 3,115 | ||||||
10,077 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 12,084 | ||||||
|
| |||||||
72,554 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
8,600 | Countrywide Financial Corp., 6.250%, 05/15/16 | 9,240 | ||||||
24,170 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 24,407 | ||||||
|
| |||||||
33,647 | ||||||||
|
| |||||||
Total Financials | 2,408,465 | |||||||
|
| |||||||
Health Care — 0.3% |
| |||||||
Biotechnology — 0.2% |
| |||||||
Amgen, Inc., | ||||||||
7,000 | 3.875%, 11/15/21 | 7,569 | ||||||
1,188 | 4.500%, 03/15/20 | 1,332 | ||||||
4,500 | 4.950%, 10/01/41 | 4,768 | ||||||
14,500 | 5.150%, 11/15/41 | 15,830 | ||||||
2,348 | 5.650%, 06/15/42 | 2,738 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Biotechnology — Continued |
| |||||||
1,975 | 5.700%, 02/01/19 | 2,345 | ||||||
3,541 | 5.750%, 03/15/40 | 4,114 | ||||||
9,885 | Celgene Corp., 3.250%, 08/15/22 | 9,933 | ||||||
|
| |||||||
48,629 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
Baxter International, Inc., | ||||||||
1,150 | 4.000%, 03/01/14 | 1,209 | ||||||
500 | 4.625%, 03/15/15 | 549 | ||||||
700 | Becton Dickinson and Co., 5.000%, 05/15/19 | 828 | ||||||
|
| |||||||
2,586 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.1% |
| |||||||
Aetna, Inc., | ||||||||
1,982 | 4.500%, 05/15/42 | 2,012 | ||||||
3,300 | 6.750%, 12/15/37 | 4,403 | ||||||
2,158 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 2,258 | ||||||
6,640 | UnitedHealth Group, Inc., 3.375%, 11/15/21 | 7,096 | ||||||
WellPoint, Inc., | ||||||||
4,694 | 3.125%, 05/15/22 | 4,676 | ||||||
3,877 | 4.625%, 05/15/42 | 3,863 | ||||||
492 | 5.875%, 06/15/17 | 580 | ||||||
340 | 7.000%, 02/15/19 | 423 | ||||||
|
| |||||||
25,311 | ||||||||
|
| |||||||
Pharmaceuticals — 0.0% (g) |
| |||||||
350 | Abbott Laboratories, 6.150%, 11/30/37 | 500 | ||||||
3,200 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 3,474 | ||||||
GlaxoSmithKline Capital, Inc., | ||||||||
1,000 | 4.375%, 04/15/14 | 1,063 | ||||||
3,100 | 5.650%, 05/15/18 | 3,808 | ||||||
2,100 | 6.375%, 05/15/38 | 3,023 | ||||||
1,040 | Merck & Co., Inc., 6.000%, 09/15/17 | 1,286 | ||||||
790 | Wyeth, 6.450%, 02/01/24 | 1,089 | ||||||
|
| |||||||
14,243 | ||||||||
|
| |||||||
Total Health Care | 90,769 | |||||||
|
| |||||||
Industrials — 1.0% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
2,350 | BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e) | 2,805 | ||||||
5,328 | BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e) | 6,283 | ||||||
Boeing Co. (The), | ||||||||
250 | 3.500%, 02/15/15 | 268 |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued |
| |||||||
500 | 4.875%, 02/15/20 | 607 | ||||||
1,500 | Honeywell International, Inc., 5.300%, 03/01/18 | 1,824 | ||||||
Lockheed Martin Corp., | ||||||||
3,084 | 2.125%, 09/15/16 | 3,206 | ||||||
1,000 | 4.250%, 11/15/19 | 1,124 | ||||||
1,750 | 4.850%, 09/15/41 | 2,015 | ||||||
3,993 | 5.720%, 06/01/40 | 5,085 | ||||||
United Technologies Corp., | ||||||||
1,982 | 1.800%, 06/01/17 | 2,049 | ||||||
5,076 | 3.100%, 06/01/22 | 5,400 | ||||||
6,715 | 4.500%, 06/01/42 | 7,630 | ||||||
8,400 | 6.125%, 02/01/19 | 10,569 | ||||||
|
| |||||||
48,865 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
1,592 | American Airlines, 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 | 1,674 | ||||||
5,690 | American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21 | 6,031 | ||||||
538 | Continental Airlines, 1999-2 Class C-2 Pass-Through Trust, 7.256%, 03/15/20 | 581 | ||||||
3,967 | Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 | 4,344 | ||||||
4,169 | Delta Air Lines, 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 4,471 | ||||||
1,417 | Delta Air Lines, 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19 | 1,527 | ||||||
3,928 | Delta Air Lines, 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20 | 4,026 | ||||||
|
| |||||||
22,654 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
ADT Corp. (The), | ||||||||
3,788 | 3.500%, 07/15/22 (e) | 3,935 | ||||||
3,132 | 4.875%, 07/15/42 (e) | 3,407 | ||||||
Pitney Bowes, Inc., | ||||||||
4,300 | 4.875%, 08/15/14 | 4,515 | ||||||
7,170 | 5.000%, 03/15/15 | 7,580 | ||||||
1,700 | 5.600%, 03/15/18 | 1,809 | ||||||
4,805 | Republic Services, Inc., 3.550%, 06/01/22 | 5,055 | ||||||
Waste Management, Inc., | ||||||||
1,885 | 4.750%, 06/30/20 | 2,178 | ||||||
1,365 | 7.375%, 03/11/19 | 1,757 | ||||||
800 | 7.750%, 05/15/32 | 1,159 | ||||||
|
| |||||||
31,395 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — 0.0% (g) |
| |||||||
ABB Finance USA, Inc., | ||||||||
1,677 | 1.625%, 05/08/17 | 1,704 | ||||||
2,333 | 2.875%, 05/08/22 | 2,419 | ||||||
1,035 | 4.375%, 05/08/42 | 1,169 | ||||||
5,475 | Fluor Corp., 3.375%, 09/15/21 | 5,832 | ||||||
|
| |||||||
11,124 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
3,748 | Danaher Corp., 3.900%, 06/23/21 | 4,254 | ||||||
Koninklijke Philips Electronics N.V., (Netherlands), | ||||||||
7,272 | 3.750%, 03/15/22 | 7,876 | ||||||
1,666 | 5.750%, 03/11/18 | 2,007 | ||||||
550 | 7.200%, 06/01/26 | 727 | ||||||
1,350 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 1,582 | ||||||
|
| |||||||
16,446 | ||||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
Caterpillar, Inc., | ||||||||
1,869 | 1.500%, 06/26/17 | 1,905 | ||||||
2,133 | 2.600%, 06/26/22 | 2,204 | ||||||
Deere & Co., | ||||||||
6,001 | 2.600%, 06/08/22 | 6,184 | ||||||
2,661 | 3.900%, 06/09/42 | 2,806 | ||||||
Eaton Corp., | ||||||||
2,650 | 5.600%, 05/15/18 | 3,155 | ||||||
2,000 | 7.625%, 04/01/24 | 2,664 | ||||||
17,000 | Illinois Tool Works, Inc., 3.900%, 09/01/42 | 17,339 | ||||||
775 | Ingersoll-Rand Co., 6.391%, 11/15/27 | 942 | ||||||
775 | Parker Hannifin Corp., 5.500%, 05/15/18 | 931 | ||||||
|
| |||||||
38,130 | ||||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
4,261 | 3.050%, 03/15/22 | 4,396 | ||||||
2,080 | 3.450%, 09/15/21 | 2,207 | ||||||
1,418 | 3.600%, 09/01/20 | 1,540 | ||||||
4,480 | 4.375%, 09/01/42 | 4,716 | ||||||
5,250 | 5.400%, 06/01/41 | 6,308 | ||||||
3,660 | 5.650%, 05/01/17 | 4,361 | ||||||
1,675 | 5.750%, 03/15/18 | 2,022 | ||||||
3,617 | 5.750%, 05/01/40 | 4,483 | ||||||
600 | 6.700%, 08/01/28 | 761 | ||||||
1,300 | 7.000%, 02/01/14 | 1,415 | ||||||
1,300 | 7.290%, 06/01/36 | 1,779 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 73 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
CSX Corp., | ||||||||
1,986 | 4.250%, 06/01/21 | 2,222 | ||||||
3,900 | 5.500%, 04/15/41 | 4,705 | ||||||
1,700 | 6.250%, 04/01/15 | 1,934 | ||||||
700 | 7.375%, 02/01/19 | 899 | ||||||
4,000 | 7.900%, 05/01/17 | 5,026 | ||||||
2,420 | Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22 | 2,904 | ||||||
Norfolk Southern Corp., | ||||||||
2,852 | 2.903%, 02/15/23 (e) | 2,912 | ||||||
5,527 | 3.250%, 12/01/21 | 5,831 | ||||||
57 | 5.590%, 05/17/25 | 71 | ||||||
3,400 | 6.000%, 03/15/05 | 4,199 | ||||||
12,345 | 6.000%, 05/23/11 | 15,193 | ||||||
135 | 7.700%, 05/15/17 | 171 | ||||||
Ryder System, Inc., | ||||||||
3,197 | 2.500%, 03/01/17 | 3,250 | ||||||
2,690 | 3.600%, 03/01/16 | 2,845 | ||||||
Union Pacific Corp., | ||||||||
1,446 | 2.950%, 01/15/23 | 1,490 | ||||||
4,388 | 4.163%, 07/15/22 | 4,983 | ||||||
1,600 | 4.300%, 06/15/42 | 1,712 | ||||||
175 | 4.875%, 01/15/15 | 192 | ||||||
1,484 | 5.650%, 05/01/17 | 1,735 | ||||||
1,000 | 5.780%, 07/15/40 | 1,284 | ||||||
United Parcel Service of America, Inc., | ||||||||
2,350 | 8.375%, 04/01/20 | 3,285 | ||||||
800 | SUB, 8.375%, 04/01/30 | 1,239 | ||||||
|
| |||||||
102,070 | ||||||||
|
| |||||||
Total Industrials | 270,684 | |||||||
|
| |||||||
Information Technology — 0.8% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
Cisco Systems, Inc., | ||||||||
1,500 | 5.500%, 02/22/16 | 1,747 | ||||||
4,660 | 5.500%, 01/15/40 | 6,022 | ||||||
4,990 | 5.900%, 02/15/39 | 6,650 | ||||||
|
| |||||||
14,419 | ||||||||
|
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
Dell, Inc., | ||||||||
6,526 | 3.100%, 04/01/16 | 6,938 | ||||||
2,200 | 4.625%, 04/01/21 | 2,414 | ||||||
1,220 | 5.650%, 04/15/18 | 1,431 | ||||||
1,900 | 7.100%, 04/15/28 | 2,341 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Computers & Peripherals — Continued |
| |||||||
Hewlett-Packard Co., | ||||||||
7,503 | 2.600%, 09/15/17 | 7,427 | ||||||
6,079 | 4.050%, 09/15/22 | 5,931 | ||||||
7,667 | 4.300%, 06/01/21 | 7,699 | ||||||
4,687 | 4.375%, 09/15/21 | 4,684 | ||||||
1,900 | 4.750%, 06/02/14 | 2,005 | ||||||
2,525 | 5.400%, 03/01/17 | 2,802 | ||||||
20,000 | 6.000%, 09/15/41 | 20,855 | ||||||
5,400 | 6.125%, 03/01/14 | 5,778 | ||||||
|
| |||||||
70,305 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
3,260 | 3.375%, 11/01/15 | 3,390 | ||||||
4,635 | 6.000%, 04/01/20 | 5,218 | ||||||
4,265 | 6.875%, 07/01/13 | 4,464 | ||||||
3,600 | 7.500%, 01/15/27 | 4,167 | ||||||
|
| |||||||
17,239 | ||||||||
|
| |||||||
Internet Software & Services — 0.0% (g) |
| |||||||
eBay, Inc., | ||||||||
2,289 | 2.600%, 07/15/22 | 2,312 | ||||||
2,064 | 4.000%, 07/15/42 | 2,040 | ||||||
|
| |||||||
4,352 | ||||||||
|
| |||||||
IT Services — 0.1% |
| |||||||
HP Enterprise Services LLC, | ||||||||
2,950 | 6.000%, 08/01/13 | 3,085 | ||||||
2,420 | 7.450%, 10/15/29 | 2,921 | ||||||
International Business Machines Corp., | ||||||||
5,532 | 1.250%, 02/06/17 | 5,617 | ||||||
8,500 | 1.875%, 05/15/19 | 8,668 | ||||||
5,151 | 1.950%, 07/22/16 | 5,380 | ||||||
762 | 4.000%, 06/20/42 | 842 | ||||||
3,950 | 5.700%, 09/14/17 | 4,838 | ||||||
660 | 6.220%, 08/01/27 | 896 | ||||||
4,500 | 7.625%, 10/15/18 | 6,089 | ||||||
|
| |||||||
38,336 | ||||||||
|
| |||||||
Office Electronics — 0.0% (g) |
| |||||||
Xerox Corp., | ||||||||
1,961 | 2.950%, 03/15/17 | 2,008 | ||||||
1,770 | 4.500%, 05/15/21 | 1,859 | ||||||
5,050 | 5.625%, 12/15/19 | 5,695 | ||||||
3,200 | 6.750%, 02/01/17 | 3,755 | ||||||
310 | 8.250%, 05/15/14 | 345 | ||||||
|
| |||||||
13,662 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
4,883 | Intel Corp., 3.300%, 10/01/21 | 5,309 | ||||||
8,285 | National Semiconductor Corp., 6.600%, 06/15/17 | 10,339 | ||||||
Texas Instruments, Inc., | ||||||||
5,000 | 1.375%, 05/15/14 | 5,083 | ||||||
4,203 | 1.650%, 08/03/19 | 4,205 | ||||||
|
| |||||||
24,936 | ||||||||
|
| |||||||
Software — 0.1% |
| |||||||
3,480 | Intuit, Inc., 5.750%, 03/15/17 | 4,036 | ||||||
Microsoft Corp., | ||||||||
7,590 | 1.625%, 09/25/15 | 7,873 | ||||||
1,214 | 4.500%, 10/01/40 | 1,458 | ||||||
Oracle Corp., | ||||||||
5,300 | 5.000%, 07/08/19 | 6,393 | ||||||
2,320 | 5.250%, 01/15/16 | 2,671 | ||||||
3,400 | 5.750%, 04/15/18 | 4,202 | ||||||
2,565 | 6.125%, 07/08/39 | 3,527 | ||||||
1,950 | 6.500%, 04/15/38 | 2,780 | ||||||
|
| |||||||
32,940 | ||||||||
|
| |||||||
Total Information Technology | 216,189 | |||||||
|
| |||||||
Materials — 0.4% |
| |||||||
Chemicals — 0.3% |
| |||||||
850 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 863 | ||||||
Dow Chemical Co. (The), | ||||||||
3,156 | 4.125%, 11/15/21 | 3,455 | ||||||
4,831 | 4.250%, 11/15/20 | 5,317 | ||||||
1,926 | 5.250%, 11/15/41 | 2,196 | ||||||
650 | 6.000%, 10/01/12 | 653 | ||||||
1,345 | 7.375%, 11/01/29 | 1,824 | ||||||
6,770 | 7.600%, 05/15/14 | 7,513 | ||||||
2,044 | 8.550%, 05/15/19 | 2,759 | ||||||
E.I. du Pont de Nemours & Co., | ||||||||
3,706 | 1.950%, 01/15/16 | 3,853 | ||||||
125 | 4.125%, 03/06/13 | 127 | ||||||
500 | 4.875%, 04/30/14 | 536 | ||||||
2,150 | 4.900%, 01/15/41 | 2,659 | ||||||
1,500 | 5.600%, 12/15/36 | 1,963 | ||||||
5,000 | 6.000%, 07/15/18 | 6,290 | ||||||
1,000 | Ecolab, Inc., 5.500%, 12/08/41 | 1,254 | ||||||
Mosaic Co. (The), | ||||||||
2,201 | 3.750%, 11/15/21 | 2,358 | ||||||
501 | 4.875%, 11/15/41 | 560 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
1,450 | 4.875%, 03/01/13 | 1,480 | ||||||
3,800 | 6.500%, 05/15/19 | 4,771 | ||||||
PPG Industries, Inc., | ||||||||
1,144 | 5.500%, 11/15/40 | 1,406 | ||||||
2,150 | 5.750%, 03/15/13 | 2,208 | ||||||
6,250 | 6.650%, 03/15/18 | 7,695 | ||||||
2,100 | 9.000%, 05/01/21 | 2,876 | ||||||
Praxair, Inc., | ||||||||
850 | 4.375%, 03/31/14 | 900 | ||||||
1,900 | 4.625%, 03/30/15 | 2,090 | ||||||
480 | 5.200%, 03/15/17 | 563 | ||||||
1,295 | 5.250%, 11/15/14 | 1,422 | ||||||
Union Carbide Corp., | ||||||||
6,050 | 7.500%, 06/01/25 | 7,357 | ||||||
6,600 | 7.750%, 10/01/96 | 7,622 | ||||||
|
| |||||||
84,570 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
1,666 | CRH America, Inc., 6.000%, 09/30/16 | 1,848 | ||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
1,877 | 1.000%, 02/24/15 | 1,897 | ||||||
6,223 | 1.625%, 02/24/17 | 6,347 | ||||||
1,600 | 5.400%, 03/29/17 | 1,876 | ||||||
1,150 | 5.500%, 04/01/14 | 1,239 | ||||||
2,750 | 6.500%, 04/01/19 | 3,520 | ||||||
9,702 | Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17 | 9,791 | ||||||
1,970 | Placer Dome, Inc., (Canada), 6.450%, 10/15/35 | 2,326 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
1,280 | 3.500%, 11/02/20 | 1,352 | ||||||
3,755 | 3.750%, 09/20/21 | 4,025 | ||||||
1,585 | 8.950%, 05/01/14 | 1,795 | ||||||
2,000 | 9.000%, 05/01/19 | 2,743 | ||||||
4,468 | Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17 | 4,470 | ||||||
|
| |||||||
41,381 | ||||||||
|
| |||||||
Total Materials | 127,799 | |||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
270 | AT&T Corp., 8.000%, 11/15/31 | 418 | ||||||
AT&T, Inc., | ||||||||
7,000 | 4.450%, 05/15/21 | 8,214 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 75 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
1,120 | 5.100%, 09/15/14 | 1,220 | ||||||
10,603 | 5.350%, 09/01/40 | 12,723 | ||||||
2,925 | 5.500%, 02/01/18 | 3,543 | ||||||
1,300 | 5.600%, 05/15/18 | 1,595 | ||||||
2,295 | 5.625%, 06/15/16 | 2,692 | ||||||
7,200 | 6.300%, 01/15/38 | 9,387 | ||||||
500 | 6.800%, 05/15/36 | 683 | ||||||
2,350 | Bellsouth Capital Funding Corp., 7.120%, 07/15/97 | 2,999 | ||||||
BellSouth Corp., | ||||||||
4,550 | 5.200%, 09/15/14 | 4,951 | ||||||
1,000 | 6.550%, 06/15/34 | 1,217 | ||||||
3,840 | 6.875%, 10/15/31 | 4,820 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
1,234 | 6.300%, 12/15/15 | 1,301 | ||||||
1,200 | 6.375%, 06/01/28 | 1,441 | ||||||
1,200 | 7.000%, 10/01/25 | 1,533 | ||||||
2,300 | 7.000%, 12/01/95 | 2,886 | ||||||
British Telecommunications plc, (United Kingdom), | ||||||||
1,812 | 2.000%, 06/22/15 | 1,853 | ||||||
5,000 | 5.150%, 01/15/13 | 5,082 | ||||||
2,800 | 5.950%, 01/15/18 | 3,341 | ||||||
300 | 9.625%, 12/15/30 | 481 | ||||||
4,500 | Centel Capital Corp., 9.000%, 10/15/19 | 5,369 | ||||||
CenturyLink, Inc., | ||||||||
9,400 | 6.450%, 06/15/21 | 10,491 | ||||||
6,000 | 7.600%, 09/15/39 | 6,198 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
2,555 | 2.250%, 03/06/17 (e) | 2,611 | ||||||
4,200 | 4.875%, 07/08/14 | 4,454 | ||||||
2,327 | 4.875%, 03/06/42 (e) | 2,482 | ||||||
785 | 5.250%, 07/22/13 | 816 | ||||||
2,025 | 6.000%, 07/08/19 | 2,459 | ||||||
5,800 | 8.750%, 06/15/30 | 8,548 | ||||||
France Telecom S.A., (France), | ||||||||
4,236 | 2.750%, 09/14/16 | 4,419 | ||||||
6,350 | 8.500%, 03/01/31 | 9,456 | ||||||
GTE Corp., | ||||||||
18,000 | 6.840%, 04/15/18 | 22,345 | ||||||
3,400 | 6.940%, 04/15/28 | 4,497 | ||||||
1,000 | 8.750%, 11/01/21 | 1,436 | ||||||
2,300 | Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 | 2,325 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
8,149 | Qwest Corp., 6.750%, 12/01/21 | 9,615 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
4,360 | 4.950%, 09/30/14 | 4,425 | ||||||
2,300 | 5.250%, 11/15/13 | 2,355 | ||||||
2,650 | 6.175%, 06/18/14 | 2,729 | ||||||
2,125 | 6.999%, 06/04/18 | 2,221 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
2,258 | 5.462%, 02/16/21 | 2,077 | ||||||
4,000 | 5.855%, 02/04/13 | 4,050 | ||||||
1,500 | 5.877%, 07/15/19 | 1,448 | ||||||
3,250 | 6.221%, 07/03/17 | 3,307 | ||||||
2,400 | 6.421%, 06/20/16 | 2,454 | ||||||
Verizon Communications, Inc., | ||||||||
2,175 | 5.500%, 02/15/18 | 2,649 | ||||||
250 | 5.550%, 02/15/16 | 290 | ||||||
1,443 | 5.850%, 09/15/35 | 1,838 | ||||||
1,100 | 6.400%, 02/15/38 | 1,476 | ||||||
4,400 | 7.350%, 04/01/39 | 6,553 | ||||||
1,500 | 8.750%, 11/01/18 | 2,104 | ||||||
17,610 | Verizon Global Funding Corp., 7.750%, 12/01/30 | 26,050 | ||||||
3,100 | Verizon Maryland, Inc., 7.150%, 05/01/23 | 3,202 | ||||||
900 | Verizon New England, Inc., 4.750%, 10/01/13 | 939 | ||||||
880 | Verizon New York, Inc., 7.375%, 04/01/32 | 1,147 | ||||||
5,232 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 7,072 | ||||||
2,788 | Verizon Virginia, Inc., 4.625%, 03/15/13 | 2,848 | ||||||
|
| |||||||
251,135 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
America Movil S.A.B. de C.V., (Mexico), | ||||||||
4,274 | 2.375%, 09/08/16 | 4,438 | ||||||
3,624 | 3.125%, 07/16/22 | 3,715 | ||||||
1,500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 1,599 | ||||||
2,780 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 2,865 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
8,300 | 1.625%, 03/20/17 | 8,460 | ||||||
5,125 | 5.000%, 09/15/15 | 5,744 | ||||||
753 | 5.450%, 06/10/19 | 916 | ||||||
|
| |||||||
27,737 | ||||||||
|
| |||||||
Total Telecommunication Services | 278,872 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Utilities — 1.6% |
| |||||||
Electric Utilities — 1.1% |
| |||||||
Alabama Power Co., | ||||||||
858 | 6.000%, 03/01/39 | 1,168 | ||||||
2,123 | 6.125%, 05/15/38 | 2,921 | ||||||
2,250 | Appalachian Power Co., 6.700%, 08/15/37 | 3,001 | ||||||
Arizona Public Service Co., | ||||||||
2,144 | 4.500%, 04/01/42 | 2,386 | ||||||
1,110 | 4.650%, 05/15/15 | 1,213 | ||||||
3,385 | 5.050%, 09/01/41 | 4,013 | ||||||
4,928 | Baltimore Gas & Electric Co., 2.800%, 08/15/22 | 5,009 | ||||||
Carolina Power & Light Co., | ||||||||
3,246 | 2.800%, 05/15/22 | 3,368 | ||||||
3,602 | 3.000%, 09/15/21 | 3,803 | ||||||
2,103 | 4.100%, 05/15/42 | 2,231 | ||||||
2,177 | 5.125%, 09/15/13 | 2,281 | ||||||
2,000 | 5.300%, 01/15/19 | 2,419 | ||||||
3,450 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 4,354 | ||||||
5,342 | Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e) | 5,943 | ||||||
925 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 1,103 | ||||||
3,078 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 4,195 | ||||||
1,498 | Consumers Energy Co., 2.850%, 05/15/22 | 1,581 | ||||||
1,881 | Detroit Edison Co. (The), 2.650%, 06/15/22 | 1,945 | ||||||
Duke Energy Carolinas LLC, | ||||||||
1,369 | 4.250%, 12/15/41 | 1,498 | ||||||
1,991 | 4.300%, 06/15/20 | 2,311 | ||||||
1,400 | 5.100%, 04/15/18 | 1,672 | ||||||
1,795 | 5.625%, 11/30/12 | 1,817 | ||||||
Duke Energy Corp., | ||||||||
4,251 | 2.150%, 11/15/16 | 4,400 | ||||||
2,966 | 3.550%, 09/15/21 | 3,152 | ||||||
1,875 | 3.950%, 09/15/14 | 1,991 | ||||||
Duke Energy Indiana, Inc., | ||||||||
3,860 | 3.750%, 07/15/20 | 4,265 | ||||||
3,100 | 6.350%, 08/15/38 | 4,341 | ||||||
Enel Finance International N.V., (Netherlands), | ||||||||
6,030 | 5.125%, 10/07/19 (e) | 5,985 | ||||||
1,000 | 6.000%, 10/07/39 (e) | 828 | ||||||
Exelon Generation Co. LLC, | ||||||||
6,000 | 4.000%, 10/01/20 | 6,334 | ||||||
1,857 | 5.750%, 10/01/41 | 2,064 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
Florida Power & Light Co., | ||||||||
550 | 5.625%, 04/01/34 | 719 | ||||||
3,900 | 5.950%, 10/01/33 | 5,268 | ||||||
1,000 | 5.950%, 02/01/38 | 1,386 | ||||||
Florida Power Corp., | ||||||||
500 | 4.800%, 03/01/13 | 511 | ||||||
1,125 | 5.650%, 06/15/18 | 1,370 | ||||||
700 | 6.400%, 06/15/38 | 983 | ||||||
Georgia Power Co., | ||||||||
400 | 5.950%, 02/01/39 | 533 | ||||||
1,100 | 6.000%, 11/01/13 | 1,168 | ||||||
1,507 | Great Plains Energy, Inc., 4.850%, 06/01/21 | 1,665 | ||||||
Hydro-Quebec, (Canada), | ||||||||
8,000 | 8.400%, 01/15/22 | 11,614 | ||||||
1,800 | 9.400%, 02/01/21 | 2,714 | ||||||
1,085 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 1,354 | ||||||
300 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 384 | ||||||
4,687 | John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42 | 5,433 | ||||||
10,000 | Kansas City Power & Light Co., 5.300%, 10/01/41 | 11,528 | ||||||
114 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 114 | ||||||
700 | MidAmerican Energy Co., 5.300%, 03/15/18 | 837 | ||||||
Nevada Power Co., | ||||||||
367 | 5.375%, 09/15/40 | 454 | ||||||
3,740 | 5.450%, 05/15/41 | 4,722 | ||||||
2,250 | 6.500%, 08/01/18 | 2,820 | ||||||
1,825 | 7.125%, 03/15/19 | 2,361 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
900 | 5.350%, 06/15/13 | 932 | ||||||
1,200 | 6.000%, 03/01/19 | 1,425 | ||||||
1,600 | 7.875%, 12/15/15 | 1,919 | ||||||
1,625 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 1,843 | ||||||
Nisource Finance Corp., | ||||||||
2,740 | 3.850%, 02/15/23 | 2,840 | ||||||
1,800 | 4.450%, 12/01/21 | 1,946 | ||||||
7,500 | 5.800%, 02/01/42 | 8,908 | ||||||
1,164 | 6.150%, 03/01/13 | 1,195 | ||||||
2,500 | Northern States Power Co., 6.250%, 06/01/36 | 3,568 | ||||||
Ohio Power Co., | ||||||||
2,400 | 5.750%, 09/01/13 | 2,512 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 77 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
1,550 | 6.050%, 05/01/18 | 1,876 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
6,150 | 6.800%, 09/01/18 | 7,521 | ||||||
1,200 | 7.000%, 09/01/22 | 1,493 | ||||||
Pacific Gas & Electric Co., | ||||||||
5,628 | 2.450%, 08/15/22 | 5,647 | ||||||
1,411 | 3.250%, 09/15/21 | 1,518 | ||||||
1,875 | 4.450%, 04/15/42 | 2,077 | ||||||
7,260 | 4.500%, 12/15/41 | 8,129 | ||||||
1,980 | 5.625%, 11/30/17 | 2,405 | ||||||
750 | 8.250%, 10/15/18 | 1,035 | ||||||
PacifiCorp, | ||||||||
1,000 | 3.850%, 06/15/21 | 1,130 | ||||||
250 | 5.500%, 01/15/19 | 304 | ||||||
2,850 | 5.650%, 07/15/18 | 3,499 | ||||||
900 | Peco Energy Co., 5.350%, 03/01/18 | 1,077 | ||||||
900 | Pennsylvania Electric Co., 6.050%, 09/01/17 | 1,034 | ||||||
1,320 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,904 | ||||||
1,721 | PPL Electric Utilities Corp., 2.500%, 09/01/22 | 1,753 | ||||||
Progress Energy, Inc., | ||||||||
3,769 | 3.150%, 04/01/22 | 3,831 | ||||||
3,778 | 4.400%, 01/15/21 | 4,267 | ||||||
730 | 6.050%, 03/15/14 | 785 | ||||||
1,480 | 7.750%, 03/01/31 | 2,099 | ||||||
PSEG Power LLC, | ||||||||
800 | 4.150%, 09/15/21 | 865 | ||||||
2,411 | 5.125%, 04/15/20 | 2,773 | ||||||
2,190 | 5.500%, 12/01/15 | 2,448 | ||||||
1,255 | 8.625%, 04/15/31 | 1,858 | ||||||
Public Service Co. of Colorado, | ||||||||
1,160 | 3.200%, 11/15/20 | 1,277 | ||||||
275 | 5.800%, 08/01/18 | 338 | ||||||
Public Service Co. of Oklahoma, | ||||||||
1,964 | 4.400%, 02/01/21 | 2,196 | ||||||
3,350 | 6.625%, 11/15/37 | 4,315 | ||||||
Public Service Electric & Gas Co., | ||||||||
825 | 5.300%, 05/01/18 | 995 | ||||||
1,138 | 5.375%, 11/01/39 | 1,494 | ||||||
5,300 | 6.330%, 11/01/13 | 5,650 | ||||||
San Diego Gas & Electric Co., | ||||||||
3,000 | 3.950%, 11/15/41 | 3,264 | ||||||
2,065 | 6.000%, 06/01/26 | 2,769 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
Southern California Edison Co., | ||||||||
988 | 3.875%, 06/01/21 | 1,122 | ||||||
3,800 | 3.900%, 12/01/41 | 4,064 | ||||||
1,200 | 4.150%, 09/15/14 | 1,282 | ||||||
1,400 | 5.500%, 08/15/18 | 1,719 | ||||||
1,650 | 5.750%, 03/15/14 | 1,782 | ||||||
645 | 5.950%, 02/01/38 | 887 | ||||||
2,450 | 6.050%, 03/15/39 | 3,435 | ||||||
Southern Co., | ||||||||
2,973 | 1.950%, 09/01/16 | 3,068 | ||||||
580 | 4.150%, 05/15/14 | 613 | ||||||
1,417 | Southern Power Co., 5.150%, 09/15/41 | 1,653 | ||||||
3,400 | Southwestern Public Service Co., 8.750%, 12/01/18 | 4,697 | ||||||
Spectra Energy Capital LLC, | ||||||||
2,900 | 5.500%, 03/01/14 | 3,080 | ||||||
350 | 5.668%, 08/15/14 | 377 | ||||||
3,645 | 6.250%, 02/15/13 | 3,733 | ||||||
2,490 | 7.500%, 09/15/38 | 3,365 | ||||||
3,850 | 8.000%, 10/01/19 | 4,996 | ||||||
Virginia Electric and Power Co., | ||||||||
776 | 2.950%, 01/15/22 | 821 | ||||||
2,550 | 5.100%, 11/30/12 | 2,578 | ||||||
4,600 | 5.400%, 04/30/18 | 5,558 | ||||||
800 | 5.950%, 09/15/17 | 990 | ||||||
|
| |||||||
312,064 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
AGL Capital Corp., | ||||||||
5,139 | 3.500%, 09/15/21 | 5,491 | ||||||
1,700 | 4.450%, 04/15/13 | 1,736 | ||||||
11,728 | 5.875%, 03/15/41 | 15,651 | ||||||
6,700 | 6.375%, 07/15/16 | 7,814 | ||||||
3,270 | ANR Pipeline Co., 9.625%, 11/01/21 | 4,955 | ||||||
690 | Atmos Energy Corp., 8.500%, 03/15/19 | 922 | ||||||
2,454 | Boston Gas Co., 4.487%, 02/15/42 (e) | 2,767 | ||||||
CenterPoint Energy Resources Corp., | ||||||||
1,000 | 4.500%, 01/15/21 | 1,129 | ||||||
530 | 6.125%, 11/01/17 | 635 | ||||||
1,037 | Southern California Gas Co., 4.800%, 10/01/12 | 1,040 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
1,515 | 4.000%, 06/15/13 | 1,556 | ||||||
1,500 | 6.200%, 10/15/37 | 2,059 | ||||||
1,900 | 6.500%, 08/15/18 | 2,372 |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Gas Utilities — Continued |
| |||||||
2,650 | 7.125%, 01/15/19 | 3,426 | ||||||
2,100 | 7.250%, 08/15/38 | 3,134 | ||||||
|
| |||||||
54,687 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.0% (g) |
| |||||||
9,500 | PPL Energy Supply LLC, 4.600%, 12/15/21 | 10,156 | ||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
3,780 | CenterPoint Energy, Inc., 6.500%, 05/01/18 | 4,553 | ||||||
1,648 | Delmarva Power & Light Co., 4.000%, 06/01/42 | 1,772 | ||||||
Dominion Resources, Inc., | ||||||||
2,052 | 4.900%, 08/01/41 | 2,431 | ||||||
5,650 | 5.250%, 08/01/33 | 6,673 | ||||||
590 | 6.000%, 11/30/17 | 715 | ||||||
1,200 | 7.000%, 06/15/38 | 1,746 | ||||||
1,600 | 8.875%, 01/15/19 | 2,193 | ||||||
1,625 | MidAmerican Energy Holdings Co., 5.750%, 04/01/18 | 1,959 | ||||||
1,550 | PG&E Corp., 5.750%, 04/01/14 | 1,664 | ||||||
Sempra Energy, | ||||||||
1,500 | 6.000%, 10/15/39 | 1,989 | ||||||
2,300 | 6.150%, 06/15/18 | 2,834 | ||||||
900 | 6.500%, 06/01/16 | 1,073 | ||||||
2,760 | 8.900%, 11/15/13 | 3,018 | ||||||
8,150 | 9.800%, 02/15/19 | 11,484 | ||||||
Wisconsin Electric Power Co., | ||||||||
261 | 2.950%, 09/15/21 | 276 | ||||||
1,400 | 6.000%, 04/01/14 | 1,521 | ||||||
1,295 | 6.250%, 12/01/15 | 1,516 | ||||||
Xcel Energy, Inc., | ||||||||
601 | 4.700%, 05/15/20 | 708 | ||||||
924 | 4.800%, 09/15/41 | 1,083 | ||||||
|
| |||||||
49,208 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Capital Corp., | ||||||||
4,625 | 6.085%, 10/15/17 | 5,504 | ||||||
3,740 | 6.593%, 10/15/37 | 4,832 | ||||||
|
| |||||||
10,336 | ||||||||
|
| |||||||
Total Utilities | 436,451 | |||||||
|
| |||||||
Total Corporate Bonds | 4,723,221 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Foreign Government Securities — 0.6% |
| ||||||
Israel Government AID Bond, (Israel), | ||||||||
12,000 | Zero Coupon, 08/15/17 | 11,381 | ||||||
10,000 | Zero Coupon, 03/15/18 | 9,361 | ||||||
33,638 | Zero Coupon, 08/15/18 | 31,188 | ||||||
3,345 | Zero Coupon, 11/01/19 | 2,995 | ||||||
5,010 | Zero Coupon, 08/15/20 | 4,363 | ||||||
4,000 | Zero Coupon, 11/01/23 | 3,029 | ||||||
24,700 | Zero Coupon, 11/01/24 | 17,784 | ||||||
2,500 | Zero Coupon, 11/15/26 | 1,654 | ||||||
3,040 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 3,075 | ||||||
Province of Ontario, (Canada), | ||||||||
16,000 | 0.950%, 05/26/15 | 16,180 | ||||||
5,500 | 2.700%, 06/16/15 | 5,824 | ||||||
12,250 | 2.950%, 02/05/15 | 12,962 | ||||||
560 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 | 827 | ||||||
10,000 | Tunisia Government AID Bond, (Tunisia), 1.686%, 07/16/19 | 9,975 | ||||||
United Mexican States, (Mexico), | ||||||||
4,356 | 4.750%, 03/08/44 | 4,879 | ||||||
5,706 | 5.750%, 10/12/10 | 6,862 | ||||||
2,035 | 5.875%, 01/15/14 | 2,162 | ||||||
3,398 | 6.375%, 01/16/13 | 3,457 | ||||||
850 | 6.625%, 03/03/15 | 961 | ||||||
4,881 | 7.500%, 04/08/33 | 7,431 | ||||||
2,925 | 8.300%, 08/15/31 | 4,724 | ||||||
|
| |||||||
Total Foreign Government Securities | 161,074 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 13.9% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
76 | ARM, 2.072%, 07/01/19 | 80 | ||||||
183 | ARM, 2.168%, 01/01/27 | 194 | ||||||
59 | ARM, 2.250%, 07/01/26 | 60 | ||||||
684 | ARM, 2.300%, 04/01/37 | 728 | ||||||
71 | ARM, 2.303%, 04/01/30 | 76 | ||||||
2,186 | ARM, 2.323%, 05/01/37 | 2,328 | ||||||
2,148 | ARM, 2.345%, 10/01/36 | 2,280 | ||||||
840 | ARM, 2.355%, 12/01/33 | 881 | ||||||
4,304 | ARM, 2.370%, 05/01/36 | 4,558 | ||||||
3,804 | ARM, 2.375%, 01/01/35 - 08/01/36 | 4,055 | ||||||
4,378 | ARM, 2.385%, 05/01/33 | 4,660 | ||||||
598 | ARM, 2.415%, 01/01/37 | 639 | ||||||
7,584 | ARM, 2.432%, 12/01/36 | 8,128 | ||||||
756 | ARM, 2.464%, 11/01/36 | 806 | ||||||
1,446 | ARM, 2.467%, 07/01/36 | 1,551 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 79 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
5,167 | ARM, 2.470%, 10/01/36 | 5,492 | ||||||
1,858 | ARM, 2.471%, 08/01/36 | 1,985 | ||||||
2,342 | ARM, 2.480%, 10/01/36 | 2,475 | ||||||
10,096 | ARM, 2.493%, 08/01/36 | 10,788 | ||||||
3,152 | ARM, 2.495%, 09/01/34 | 3,364 | ||||||
3,518 | ARM, 2.498%, 09/01/32 - 10/01/36 | 3,756 | ||||||
3,567 | ARM, 2.499%, 11/01/36 | 3,821 | ||||||
2,086 | ARM, 2.540%, 10/01/36 | 2,232 | ||||||
7,942 | ARM, 2.653%, 12/01/36 | 8,512 | ||||||
924 | ARM, 2.664%, 02/01/36 | 986 | ||||||
567 | ARM, 2.675%, 08/01/35 | 606 | ||||||
8,208 | ARM, 2.705%, 03/01/37 | 8,804 | ||||||
4,460 | ARM, 2.760%, 05/01/37 | 4,785 | ||||||
3,165 | ARM, 2.764%, 09/01/36 | 3,387 | ||||||
718 | ARM, 2.785%, 10/01/36 | 756 | ||||||
280 | ARM, 2.859%, 02/01/37 | 301 | ||||||
4,698 | ARM, 2.860%, 02/01/37 | 5,030 | ||||||
1,554 | ARM, 2.861%, 04/01/34 | 1,660 | ||||||
696 | ARM, 2.870%, 05/01/37 | 741 | ||||||
2,270 | ARM, 2.881%, 12/01/35 | 2,419 | ||||||
2,734 | ARM, 2.885%, 10/01/36 | 2,890 | ||||||
1,250 | ARM, 2.899%, 07/01/37 | 1,349 | ||||||
4,682 | ARM, 2.903%, 09/01/36 | 5,037 | ||||||
5,393 | ARM, 2.947%, 12/01/36 | 5,757 | ||||||
2,446 | ARM, 2.956%, 01/01/37 | 2,602 | ||||||
3,120 | ARM, 2.990%, 02/01/37 | 3,364 | ||||||
450 | ARM, 3.060%, 12/01/36 | 477 | ||||||
5,652 | ARM, 3.112%, 05/01/37 | 6,065 | ||||||
2,281 | ARM, 3.142%, 05/01/38 | 2,451 | ||||||
4,853 | ARM, 3.159%, 03/01/36 | 5,199 | ||||||
2,140 | ARM, 3.164%, 04/01/37 | 2,296 | ||||||
1,334 | ARM, 3.220%, 03/01/37 | 1,431 | ||||||
946 | ARM, 3.249%, 03/01/37 | 1,014 | ||||||
622 | ARM, 3.271%, 02/01/37 | 667 | ||||||
2,122 | ARM, 3.291%, 11/01/36 | 2,257 | ||||||
2,986 | ARM, 3.292%, 05/01/37 | 3,207 | ||||||
1,169 | ARM, 3.429%, 05/01/36 | 1,253 | ||||||
5,390 | ARM, 3.442%, 03/01/36 | 5,840 | ||||||
3,263 | ARM, 3.504%, 04/01/38 | 3,509 | ||||||
5,161 | ARM, 4.905%, 02/01/36 | 5,551 | ||||||
8,648 | ARM, 5.008%, 01/01/35 | 9,340 | ||||||
3,078 | ARM, 5.065%, 07/01/36 | 3,324 | ||||||
3,408 | ARM, 5.603%, 05/01/36 | 3,679 | ||||||
3,520 | ARM, 5.629%, 06/01/37 | 3,817 | ||||||
2,719 | ARM, 5.758%, 06/01/36 | 2,942 | ||||||
681 | ARM, 5.928%, 04/01/37 | 737 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
10,223 | ARM, 6.037%, 06/01/36 | 11,054 | ||||||
8,492 | ARM, 6.039%, 11/01/36 | 9,109 | ||||||
642 | ARM, 6.437%, 02/01/37 | 698 | ||||||
973 | ARM, 6.464%, 11/01/37 | 1,063 | ||||||
577 | ARM, 6.470%, 12/01/36 | 626 | ||||||
2,112 | ARM, 6.554%, 11/01/36 | 2,284 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
2,169 | 4.000%, 06/01/18 - 05/01/19 | 2,309 | ||||||
2,164 | 4.500%, 08/01/18 - 10/01/18 | 2,315 | ||||||
9,704 | 5.000%, 10/01/17 - 12/01/18 | 10,484 | ||||||
45,691 | 5.500%, 06/01/17 - 02/01/24 | 49,611 | ||||||
22,105 | 6.000%, 04/01/17 - 03/01/22 | 23,622 | ||||||
3,450 | 6.500%, 07/01/16 - 03/01/22 | 3,694 | ||||||
32 | 7.000%, 09/01/12 - 04/01/17 | 35 | ||||||
1 | 7.500%, 10/01/14 | 1 | ||||||
5 | 8.500%, 11/01/15 | 5 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
18,980 | 3.500%, 01/01/32 | 20,260 | ||||||
3,933 | 5.500%, 01/01/23 - 11/01/23 | 4,332 | ||||||
325 | 6.000%, 12/01/22 | 358 | ||||||
2,396 | 6.500%, 12/01/13 - 01/01/28 | 2,684 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
3,145 | 4.000%, 10/01/33 | 3,381 | ||||||
71,279 | 4.500%, 05/01/41 | 76,932 | ||||||
105,982 | 5.000%, 01/01/34 - 08/01/40 | 115,981 | ||||||
27,763 | 5.500%, 01/01/33 - 03/01/40 | 30,540 | ||||||
2,988 | 6.000%, 10/01/29 - 12/01/36 | 3,322 | ||||||
15,680 | 6.500%, 08/01/29 - 03/01/38 | 18,024 | ||||||
4,161 | 7.000%, 04/01/26 - 02/01/37 | 4,915 | ||||||
7,801 | 7.500%, 08/01/25 - 09/01/38 | 9,673 | ||||||
41 | 8.000%, 07/01/20 - 11/01/24 | 48 | ||||||
111 | 8.500%, 07/01/28 | 137 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
14,163 | 7.500%, 01/01/32 - 12/01/36 | 16,717 | ||||||
7,963 | 10.000%, 10/01/30 | 9,461 | ||||||
�� | Federal Home Loan Mortgage Corp. Gold Pools, Other, | |||||||
56,748 | 3.500%, 06/01/42 | 60,733 | ||||||
46,865 | 4.000%, 06/01/42 | 51,539 | ||||||
9,751 | 5.500%, 04/01/18 | 10,511 | ||||||
9,874 | 6.000%, 02/01/33 - 11/01/36 | 10,918 | ||||||
35,523 | 6.500%, 12/01/35 - 06/01/37 | 39,888 |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
691 | 7.000%, 07/01/29 - 08/01/47 | 780 | ||||||
1,587 | 10.000%, 03/17/26 | 1,736 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
16 | 12.000%, 08/01/15 - 07/01/19 | 17 | ||||||
Federal National Mortgage Association, | ||||||||
51 | ARM, 1.875%, 03/01/19 | 52 | ||||||
717 | ARM, 1.945%, 08/01/34 | 753 | ||||||
1,775 | ARM, 2.071%, 07/01/37 | 1,909 | ||||||
4,230 | ARM, 2.123%, 01/01/36 | 4,443 | ||||||
430 | ARM, 2.124%, 11/01/34 | 451 | ||||||
1,241 | ARM, 2.163%, 09/01/33 | 1,305 | ||||||
197 | ARM, 2.170%, 07/01/34 | 209 | ||||||
4,856 | ARM, 2.184%, 09/01/36 | 5,137 | ||||||
1,782 | ARM, 2.213%, 07/01/35 | 1,896 | ||||||
2,395 | ARM, 2.215%, 02/01/37 | 2,541 | ||||||
1,770 | ARM, 2.217%, 01/01/37 | 1,881 | ||||||
1,432 | ARM, 2.242%, 08/01/36 | 1,536 | ||||||
9,251 | ARM, 2.273%, 01/01/35 | 9,866 | ||||||
628 | ARM, 2.291%, 02/01/35 | 670 | ||||||
1,120 | ARM, 2.292%, 11/01/33 | 1,188 | ||||||
773 | ARM, 2.313%, 10/01/34 | 819 | ||||||
1,018 | ARM, 2.350%, 09/01/36 | 1,069 | ||||||
3,737 | ARM, 2.362%, 04/01/35 - 01/01/36 | 3,976 | ||||||
1,292 | ARM, 2.381%, 05/01/35 | 1,378 | ||||||
2,069 | ARM, 2.402%, 11/01/34 - 09/01/36 | 2,206 | ||||||
1,697 | ARM, 2.420%, 06/01/34 | 1,811 | ||||||
11 | ARM, 2.451%, 01/01/19 | 12 | ||||||
261 | ARM, 2.460%, 08/01/35 | 276 | ||||||
517 | ARM, 2.460%, 01/01/35 | 548 | ||||||
2,522 | ARM, 2.471%, 10/01/36 | 2,701 | ||||||
1,288 | ARM, 2.505%, 10/01/34 | 1,379 | ||||||
176 | ARM, 2.543%, 09/01/34 | 188 | ||||||
299 | ARM, 2.565%, 01/01/34 | 319 | ||||||
916 | ARM, 2.569%, 09/01/35 | 979 | ||||||
1,936 | ARM, 2.570%, 09/01/36 | 2,053 | ||||||
1,184 | ARM, 2.581%, 03/01/35 | 1,263 | ||||||
7,600 | ARM, 2.660%, 12/01/36 | 8,160 | ||||||
1,032 | ARM, 2.672%, 08/01/33 | 1,103 | ||||||
1,876 | ARM, 2.682%, 10/01/35 | 2,006 | ||||||
724 | ARM, 2.685%, 04/01/34 | 771 | ||||||
193 | ARM, 2.720%, 05/01/35 | 204 | ||||||
5 | ARM, 2.749%, 08/01/19 | 5 | ||||||
621 | ARM, 2.760%, 08/01/34 | 655 | ||||||
7,685 | ARM, 2.770%, 07/01/37 | 8,255 | ||||||
2,369 | ARM, 2.780%, 02/01/37 | 2,531 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
1,295 | ARM, 2.781%, 06/01/36 | 1,394 | ||||||
2,144 | ARM, 2.798%, 12/01/36 | 2,304 | ||||||
539 | ARM, 2.816%, 09/01/33 | 579 | ||||||
4,387 | ARM, 2.825%, 04/01/37 | 4,700 | ||||||
5,761 | ARM, 2.833%, 06/01/36 | 6,194 | ||||||
1,208 | ARM, 2.838%, 01/01/37 | 1,296 | ||||||
5,586 | ARM, 2.846%, 10/01/36 | 5,957 | ||||||
593 | ARM, 2.864%, 09/01/37 | 623 | ||||||
2,251 | ARM, 2.872%, 07/01/36 - 07/01/37 | 2,406 | ||||||
1,719 | ARM, 2.885%, 07/01/37 | 1,850 | ||||||
2,395 | ARM, 2.885%, 10/01/36 | 2,552 | ||||||
4,115 | ARM, 2.919%, 08/01/36 | 4,407 | ||||||
2,295 | ARM, 2.932%, 11/01/36 | 2,437 | ||||||
1,675 | ARM, 2.938%, 06/01/36 | 1,807 | ||||||
1,034 | ARM, 2.976%, 05/01/36 | 1,108 | ||||||
225 | ARM, 2.987%, 09/01/27 | 237 | ||||||
682 | ARM, 3.219%, 02/01/36 | 728 | ||||||
17,678 | ARM, 3.250%, 03/01/36 | 18,882 | ||||||
144 | ARM, 3.375%, 01/01/36 | 155 | ||||||
1,576 | ARM, 3.539%, 11/01/37 | 1,690 | ||||||
8,534 | ARM, 3.723%, 12/01/37 | 9,168 | ||||||
5,569 | ARM, 3.768%, 11/01/37 | 5,999 | ||||||
5,828 | ARM, 3.787%, 08/01/37 | 6,289 | ||||||
197 | ARM, 3.850%, 03/01/29 | 211 | ||||||
1,908 | ARM, 3.913%, 09/01/37 | 2,051 | ||||||
1,657 | ARM, 3.947%, 11/01/36 | 1,759 | ||||||
458 | ARM, 5.005%, 01/01/34 | 496 | ||||||
3,013 | ARM, 5.236%, 01/01/38 | 3,237 | ||||||
611 | ARM, 5.612%, 08/01/36 | 663 | ||||||
11,365 | ARM, 5.625%, 01/01/23 | 12,464 | ||||||
2,218 | ARM, 5.869%, 09/01/37 | 2,413 | ||||||
1,638 | ARM, 5.998%, 09/01/37 | 1,787 | ||||||
5,669 | ARM, 6.100%, 09/01/36 | 6,121 | ||||||
3,872 | ARM, 6.185%, 08/01/36 | 4,221 | ||||||
1,179 | ARM, 6.320%, 09/01/37 | 1,293 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
598 | 3.500%, 04/01/19 | 636 | ||||||
6,687 | 4.000%, 07/01/18 - 12/01/20 | 7,207 | ||||||
25,105 | 4.500%, 05/01/18 - 12/01/19 | 27,316 | ||||||
28,406 | 5.000%, 12/01/16 - 08/01/24 | 31,161 | ||||||
26,388 | 5.500%, 02/01/18 - 07/01/20 | 28,893 | ||||||
56,024 | 6.000%, 06/01/16 - 07/01/24 | 61,005 | ||||||
7,132 | 6.500%, 05/01/13 - 02/01/24 | 7,861 | ||||||
802 | 7.000%, 03/01/17 - 11/01/17 | 857 | ||||||
17 | 7.500%, 03/01/17 | 19 | ||||||
6 | 8.000%, 11/01/12 - 11/01/15 | 6 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 81 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
26,835 | 3.500%, 07/01/32 - 08/01/32 | 28,654 | ||||||
1,028 | 5.000%, 10/01/25 | 1,134 | ||||||
3,524 | 5.500%, 07/01/25 | 3,897 | ||||||
34,717 | 6.000%, 04/01/24 - 09/01/29 | 38,309 | ||||||
7,004 | 6.500%, 05/01/22 - 08/01/26 | 7,886 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
259 | 6.000%, 09/01/33 | 292 | ||||||
444 | 6.500%, 03/01/29 | 522 | ||||||
71 | 7.000%, 02/01/33 | 84 | ||||||
88 | 8.000%, 06/01/28 | 106 | ||||||
80 | 8.500%, 08/01/27 - 02/01/30 | 90 | ||||||
111 | 9.000%, 05/01/18 - 12/01/30 | 118 | ||||||
33 | 9.500%, 12/01/18 | 38 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
1,379 | 4.000%, 12/01/33 | 1,484 | ||||||
2,364 | 4.500%, 11/01/33 - 09/01/34 | 2,570 | ||||||
81,565 | 5.000%, 06/01/33 - 08/01/40 | 89,942 | ||||||
107,716 | 5.500%, 11/01/32 - 12/01/39 | 118,992 | ||||||
51,091 | 6.000%, 12/01/28 - 11/01/38 | 57,189 | ||||||
99,116 | 6.500%, 11/01/29 - 10/01/38 | 114,620 | ||||||
50,416 | 7.000%, 01/01/24 - 01/01/39 | 58,336 | ||||||
29,409 | 7.500%, 11/01/22 - 04/01/39 | 35,290 | ||||||
1,470 | 8.000%, 03/01/21 - 01/01/38 | 1,809 | ||||||
41 | 8.500%, 07/01/24 - 06/01/25 | 49 | ||||||
3 | 9.000%, 04/01/26 | 3 | ||||||
24 | 9.500%, 07/01/28 | 27 | ||||||
17 | 10.000%, 02/01/24 | 18 | ||||||
15 | 12.500%, 01/01/16 | 16 | ||||||
Federal National Mortgage Association, Other, | ||||||||
15,000 | VAR, 0.795%, 08/01/22 | 15,095 | ||||||
7,000 | VAR, 0.846%, 03/01/22 | 7,044 | ||||||
12,000 | VAR, 0.856%, 04/01/22 | 12,070 | ||||||
15,895 | VAR, 0.866%, 12/01/20 | 16,186 | ||||||
13,888 | VAR, 0.986%, 01/01/19 | 13,940 | ||||||
18,012 | VAR, 1.016%, 04/01/22 | 18,067 | ||||||
9,917 | VAR, 1.046%, 03/01/22 | 10,093 | ||||||
597 | VAR, 2.875%, 08/01/34 | 637 | ||||||
5,916 | VAR, 6.070%, 11/01/18 | 6,410 | ||||||
12,000 | 0.672%, 09/01/22 | 12,008 | ||||||
18,000 | 1.446%, 07/01/17 | 18,268 | ||||||
22,886 | 2.004%, 01/01/17 - 07/01/19 | 23,417 | ||||||
47,701 | 2.030%, 08/01/19 | 48,957 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
10,000 | 2.056%, 01/01/17 | 9,990 | ||||||
7,000 | 2.170%, 06/01/19 | 7,263 | ||||||
20,000 | 2.211%, 04/01/19 | 20,811 | ||||||
9,981 | 2.263%, 05/01/19 | 10,402 | ||||||
7,491 | 2.273%, 07/01/19 | 7,802 | ||||||
15,000 | 2.449%, 07/01/19 | 15,765 | ||||||
4,000 | 2.470%, 10/29/42 | 4,060 | ||||||
4,736 | 2.490%, 10/01/17 | 5,019 | ||||||
16,000 | 2.531%, 06/01/19 | 16,889 | ||||||
10,000 | 2.650%, 08/01/22 | 10,346 | ||||||
6,050 | 2.670%, 07/01/22 | 6,279 | ||||||
8,972 | 2.686%, 06/01/22 | 9,367 | ||||||
4,000 | 2.690%, 10/01/17 | 4,266 | ||||||
5,800 | 2.707%, 10/01/17 | 6,175 | ||||||
12,482 | 2.759%, 07/01/22 | 13,072 | ||||||
10,000 | 2.779%, 07/01/22 | 10,484 | ||||||
17,329 | 2.790%, 04/01/22 | 18,243 | ||||||
11,944 | 2.831%, 05/01/22 | 12,581 | ||||||
9,934 | 2.841%, 03/01/22 | 10,316 | ||||||
15,550 | 2.852%, 06/01/22 | 16,378 | ||||||
11,483 | 2.914%, 07/01/22 | 12,152 | ||||||
14,942 | 2.955%, 05/01/22 | 15,860 | ||||||
14,565 | 2.970%, 11/01/18 | 15,716 | ||||||
9,961 | 2.996%, 05/01/22 | 10,601 | ||||||
10,958 | 3.038%, 05/01/22 | 11,696 | ||||||
19,273 | 3.069%, 01/01/22 - 03/01/22 | 20,604 | ||||||
2,965 | 3.089%, 02/01/22 | 3,179 | ||||||
5,000 | 3.100%, 02/01/22 | 5,364 | ||||||
6,872 | 3.120%, 05/01/22 | 7,376 | ||||||
9,416 | 3.131%, 01/01/22 | 10,142 | ||||||
12,000 | 3.141%, 12/01/18 | 13,023 | ||||||
8,360 | 3.162%, 02/01/22 | 8,967 | ||||||
14,339 | 3.182%, 03/01/22 - 04/01/22 | 15,445 | ||||||
25,245 | 3.193%, 01/01/22 - 02/01/22 | 27,262 | ||||||
7,791 | 3.203%, 05/01/22 | 8,406 | ||||||
21,962 | 3.224%, 01/01/22 - 05/01/22 | 23,745 | ||||||
6,000 | 3.230%, 11/01/20 | 6,545 | ||||||
28,040 | 3.244%, 02/01/22 - 03/01/22 | 30,275 | ||||||
8,000 | 3.290%, 10/01/20 | 8,757 | ||||||
8,000 | 3.306%, 01/01/22 | 8,701 | ||||||
3,000 | 3.317%, 03/01/22 | 3,251 | ||||||
7,880 | 3.379%, 11/01/20 | 8,610 | ||||||
3,963 | 3.420%, 12/01/21 | 4,339 | ||||||
6,500 | 3.461%, 11/01/20 | 7,135 | ||||||
8,000 | 3.472%, 10/01/20 | 8,792 | ||||||
10,000 | 3.492%, 01/01/18 | 10,983 |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
2,655 | 3.503%, 08/01/17 | 2,900 | ||||||
3,605 | 3.513%, 10/01/21 | 3,972 | ||||||
6,448 | 3.520%, 01/01/18 | 7,098 | ||||||
19,727 | 3.544%, 09/01/20 - 11/01/21 | 21,759 | ||||||
15,150 | 3.590%, 10/01/20 | 16,860 | ||||||
8,500 | 3.596%, 12/01/20 | 9,409 | ||||||
1,951 | 3.600%, 09/01/20 | 2,170 | ||||||
20,013 | 3.616%, 09/01/20 - 10/01/20 | 22,162 | ||||||
29,103 | 3.621%, 09/01/20 | 32,241 | ||||||
10,000 | 3.638%, 12/01/20 | 11,137 | ||||||
24,243 | 3.658%, 01/01/18 - 10/01/20 | 26,813 | ||||||
10,000 | 3.709%, 10/01/21 | 11,138 | ||||||
19,821 | 3.730%, 06/01/18 | 22,397 | ||||||
18,910 | 3.740%, 07/01/20 - 08/01/20 | 21,187 | ||||||
3,000 | 3.751%, 01/01/18 | 3,316 | ||||||
12,765 | 3.761%, 06/01/18 - 01/01/25 | 14,144 | ||||||
26,899 | 3.770%, 09/01/21 | 30,370 | ||||||
5,882 | 3.800%, 03/01/18 | 6,549 | ||||||
3,643 | 3.802%, 09/01/20 | 4,069 | ||||||
3,896 | 3.823%, 12/01/20 | 4,362 | ||||||
12,088 | 3.895%, 01/01/21 | 13,592 | ||||||
7,501 | 3.906%, 09/01/21 | 8,453 | ||||||
10,000 | 3.926%, 08/01/20 | 11,255 | ||||||
14,985 | 3.930%, 07/01/20 | 16,972 | ||||||
14,506 | 3.947%, 06/01/17 | 16,002 | ||||||
24,268 | 3.957%, 12/01/20 - 12/01/21 | 27,417 | ||||||
10,000 | 3.960%, 08/01/20 | 11,350 | ||||||
26,157 | 3.978%, 09/01/20 - 09/01/21 | 29,538 | ||||||
10,000 | 3.980%, 11/01/16 | 10,612 | ||||||
9,849 | 3.988%, 07/01/21 | 11,151 | ||||||
11,400 | 3.999%, 01/01/21 | 12,894 | ||||||
27,069 | 4.000%, 04/01/20 - 07/01/42 | 29,705 | ||||||
17,776 | 4.009%, 09/01/21 | 20,232 | ||||||
35,286 | 4.019%, 08/01/20 - 09/01/21 | 39,983 | ||||||
7,000 | 4.045%, 10/01/20 | 7,931 | ||||||
6,711 | 4.050%, 09/01/21 | 7,630 | ||||||
4,000 | 4.061%, 01/01/21 | 4,545 | ||||||
15,000 | 4.081%, 07/01/20 | 17,018 | ||||||
6,421 | 4.102%, 06/01/21 | 7,313 | ||||||
5,509 | 4.123%, 07/01/21 | 6,286 | ||||||
7,084 | 4.130%, 07/01/20 | 8,092 | ||||||
6,700 | 4.154%, 06/01/21 | 7,660 | ||||||
6,793 | 4.185%, 01/01/21 - 08/01/21 | 7,775 | ||||||
9,667 | 4.195%, 07/01/21 | 11,070 | ||||||
31,966 | 4.201%, 07/01/20 | 35,676 | ||||||
18,000 | 4.205%, 10/01/21 | 20,640 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
6,960 | 4.236%, 06/01/21 | 7,977 | ||||||
10,000 | 4.250%, 04/01/21 | 11,570 | ||||||
16,504 | 4.267%, 11/01/19 - 08/01/21 | 18,882 | ||||||
9,902 | 4.291%, 06/01/21 | 11,515 | ||||||
17,647 | 4.298%, 03/01/21 | 20,276 | ||||||
19,137 | 4.319%, 12/01/19 - 09/01/23 | 21,962 | ||||||
5,500 | 4.329%, 06/01/21 | 6,335 | ||||||
5,000 | 4.330%, 02/01/21 | 5,786 | ||||||
14,943 | 4.350%, 04/01/20 | 17,234 | ||||||
24,510 | 4.380%, 01/01/21 | 28,405 | ||||||
20,738 | 4.381%, 11/01/19 - 06/01/21 | 23,915 | ||||||
7,600 | 4.390%, 05/01/21 | 8,825 | ||||||
7,600 | 4.391%, 04/01/21 | 8,794 | ||||||
61,500 | 4.399%, 02/01/20 | 70,998 | ||||||
21,826 | 4.402%, 07/01/21 | 25,232 | ||||||
19,266 | 4.424%, 01/01/20 | 22,068 | ||||||
7,864 | 4.443%, 08/01/20 - 04/01/21 | 8,914 | ||||||
8,838 | 4.444%, 01/01/21 | 10,255 | ||||||
7,385 | 4.474%, 04/01/21 | 8,547 | ||||||
18,000 | 4.484%, 06/01/21 | 20,919 | ||||||
2,874 | 4.500%, 03/01/20 | 3,302 | ||||||
15,000 | 4.505%, 05/01/21 | 17,398 | ||||||
23,159 | 4.514%, 04/01/20 | 26,806 | ||||||
11,683 | 4.515%, 02/01/20 | 13,499 | ||||||
23,370 | 4.530%, 12/01/19 | 27,117 | ||||||
3,387 | 4.540%, 01/01/20 | 3,929 | ||||||
2,800 | 4.546%, 02/01/20 | 3,237 | ||||||
11,667 | 4.552%, 08/01/26 | 13,444 | ||||||
4,315 | 4.598%, 01/01/21 | 5,014 | ||||||
9,000 | 4.629%, 06/01/21 | 10,507 | ||||||
27,500 | 4.650%, 08/01/21 | 32,139 | ||||||
10,862 | 4.762%, 08/01/26 | 13,017 | ||||||
6,912 | 4.766%, 08/01/26 | 8,287 | ||||||
12,790 | 4.794%, 01/01/21 | 14,984 | ||||||
11,799 | 4.821%, 12/01/26 | 13,664 | ||||||
3,951 | 5.000%, 04/01/31 - 12/01/32 | 4,427 | ||||||
8,974 | 5.414%, 05/01/17 | 10,172 | ||||||
12,180 | 5.500%, 03/01/17 - 06/01/39 | 13,136 | ||||||
16,913 | 6.000%, 02/01/36 - 11/01/48 | 18,429 | ||||||
6,205 | 6.500%, 04/01/36 - 05/01/37 | 6,897 | ||||||
4,985 | 7.000%, 02/01/36 - 01/01/38 | 5,664 | ||||||
245 | 7.500%, 10/01/37 | 283 | ||||||
1,227 | 8.000%, 11/01/37 | 1,422 | ||||||
149 | 10.890%, 04/15/19 | 165 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 83 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
8,051 | 5.500%, 09/20/39 | 9,011 | ||||||
57,122 | 6.000%, 03/20/28 - 08/20/39 | 64,521 | ||||||
2,740 | 6.500%, 07/20/29 | 3,175 | ||||||
1,538 | 7.000%, 08/20/38 | 1,778 | ||||||
179 | 7.500%, 02/20/28 - 09/20/28 | 217 | ||||||
347 | 8.000%, 12/20/25 - 09/20/28 | 425 | ||||||
166 | 8.500%, 03/20/25 - 05/20/25 | 205 | ||||||
737 | Government National Mortgage Association II, Other, 6.000%, 11/20/38 | 801 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
145 | 6.000%, 10/15/17 | 157 | ||||||
148 | 6.500%, 06/15/17 | 160 | ||||||
233 | 8.000%, 01/15/16 | 244 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
10,563 | 5.500%, 04/15/33 - 09/15/34 | 11,969 | ||||||
396 | 6.000%, 11/15/28 | 449 | ||||||
6,570 | 6.500%, 01/15/24 - 12/15/35 | 7,702 | ||||||
11,322 | 7.000%, 08/15/23 - 04/15/37 | 13,328 | ||||||
2,433 | 7.500%, 11/15/22 - 10/15/37 | 2,866 | ||||||
58 | 8.000%, 05/15/22 - 08/15/28 | 64 | ||||||
26 | 8.500%, 03/15/17 - 11/15/17 | 28 | ||||||
55 | 9.000%, 08/15/16 - 11/15/24 | 61 | ||||||
3,155 | 9.500%, 09/15/18 - 12/15/25 | 3,651 | ||||||
17 | 12.000%, 11/15/19 | 18 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 3,868,843 | |||||||
|
| |||||||
| Municipal Bonds — 0.2% (t) |
| ||||||
California — 0.0% (g) |
| |||||||
2,675 | State of California, Build America Bonds, GO, 7.300%, 10/01/39 | 3,515 | ||||||
|
| |||||||
Illinois — 0.0% (g) |
| |||||||
5,450 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 5,281 | ||||||
|
| |||||||
New York — 0.1% |
| |||||||
2,500 | New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, Rev., 5.600%, 03/15/40 | 3,224 | ||||||
12,225 | Port Authority of New York & New Jersey, Taxable Construction 164, Rev., 5.647%, 11/01/40 | 15,608 | ||||||
|
| |||||||
18,832 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Ohio — 0.1% |
| |||||||
13,075 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 18,077 | ||||||
10,678 | Ohio State University (The), Series A, Rev., 4.800%, 06/01/11 | 12,149 | ||||||
|
| |||||||
30,226 | ||||||||
|
| |||||||
Total Municipal Bonds | 57,854 | |||||||
|
| |||||||
| Supranational — 0.2% |
| ||||||
26,360 | African Development Bank, 8.800%, 09/01/19 | 35,455 | ||||||
Corp. Andina de Fomento, | ||||||||
9,103 | 3.750%, 01/15/16 | 9,531 | ||||||
720 | 5.200%, 05/21/13 | 742 | ||||||
9,500 | International Bank for Reconstruction & Development, Zero Coupon, 02/15/16 | 9,210 | ||||||
|
| |||||||
Total Supranational | 54,938 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 2.0% |
| ||||||
Federal Farm Credit Banks, | ||||||||
5,000 | 1.875%, 12/07/12 | 5,022 | ||||||
10,000 | 5.125%, 11/15/18 | 12,354 | ||||||
11,000 | Federal Home Loan Bank, 5.500%, 07/15/36 | 15,408 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
38,500 | 4.125%, 12/21/12 | 38,952 | ||||||
4,000 | 5.125%, 11/17/17 | 4,869 | ||||||
25,500 | 5.500%, 08/23/17 | 31,349 | ||||||
Federal National Mortgage Association, | ||||||||
45,000 | Zero Coupon, 07/05/14 | 44,359 | ||||||
26,500 | Zero Coupon, 06/01/17 | 25,291 | ||||||
10,000 | 2.700%, 03/28/22 | 10,100 | ||||||
26,700 | 5.000%, 05/11/17 | 32,108 | ||||||
33,400 | 5.375%, 06/12/17 | 40,629 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
11,500 | 11/15/21 | 9,412 | ||||||
1,000 | 05/15/30 | 557 | ||||||
Financing Corp. Fico, | ||||||||
3,910 | Zero Coupon, 11/30/17 | 3,659 | ||||||
1,882 | Zero Coupon, 04/06/18 | 1,746 | ||||||
19,000 | Zero Coupon, 05/11/18 | 17,583 | ||||||
6,281 | Zero Coupon, 08/03/18 | 5,780 | ||||||
2,000 | Zero Coupon, 03/07/19 | 1,812 | ||||||
26,800 | Zero Coupon, 04/05/19 | 24,230 | ||||||
30,760 | Zero Coupon, 09/26/19 | 27,436 |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
Government Trust Certificate, | ||||||||
4,488 | Zero Coupon, 10/01/15 | 4,319 | ||||||
5,741 | Zero Coupon, 04/01/16 | 5,480 | ||||||
13,319 | Zero Coupon, 04/01/19 | 11,774 | ||||||
Residual Funding Corp. STRIPS, | ||||||||
27,150 | 10/15/19 | 24,680 | ||||||
106,000 | 07/15/20 | 93,787 | ||||||
16,000 | 10/15/20 | 14,019 | ||||||
Tennessee Valley Authority, | ||||||||
2,935 | 4.625%, 09/15/60 | 3,662 | ||||||
1,195 | 5.250%, 09/15/39 | 1,587 | ||||||
9,500 | 5.500%, 07/18/17 | 11,634 | ||||||
6,000 | 5.880%, 04/01/36 | 8,538 | ||||||
Tennessee Valley Authority STRIPS, | ||||||||
4,138 | 12/15/17 | 3,842 | ||||||
7,506 | 01/15/19 | 6,757 | ||||||
12,000 | 05/01/19 | 10,727 | ||||||
13,000 | 11/01/25 | 8,883 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 562,345 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 24.5% |
| ||||||
U.S. Treasury Bonds, | ||||||||
83,300 | 4.500%, 02/15/36 | 113,665 | ||||||
2,000 | 4.500%, 08/15/39 | 2,762 | ||||||
5,500 | 4.750%, 02/15/37 | 7,793 | ||||||
650 | 5.250%, 11/15/28 | 925 | ||||||
4,000 | 5.250%, 02/15/29 | 5,702 | ||||||
7,500 | 5.375%, 02/15/31 | 11,048 | ||||||
12,350 | 5.500%, 08/15/28 | 17,962 | ||||||
4,300 | 6.000%, 02/15/26 | 6,367 | ||||||
4,550 | 6.125%, 11/15/27 | 6,947 | ||||||
2,500 | 6.125%, 08/15/29 | 3,900 | ||||||
7,650 | 6.250%, 05/15/30 | 12,195 | ||||||
4,750 | 6.375%, 08/15/27 | 7,391 | ||||||
7,550 | 6.500%, 11/15/26 | 11,757 | ||||||
7,300 | 6.625%, 02/15/27 | 11,520 | ||||||
7,800 | 6.750%, 08/15/26 | 12,354 | ||||||
6,620 | 7.125%, 02/15/23 | 10,181 | ||||||
19,490 | 7.250%, 08/15/22 (m) | 29,929 | ||||||
56,392 | 7.500%, 11/15/16 (m) | 72,834 | ||||||
8,717 | 7.875%, 02/15/21 (m) | 13,375 | ||||||
8,000 | 8.000%, 11/15/21 | 12,607 | ||||||
16,650 | 8.125%, 05/15/21 | 26,056 | ||||||
48,180 | 8.500%, 02/15/20 | 73,994 | ||||||
25,150 | 8.750%, 05/15/20 | 39,413 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
73,089 | 8.750%, 08/15/20 | 115,492 | ||||||
196,750 | 8.875%, 08/15/17 (m) | 276,172 | ||||||
30,200 | 11.250%, 02/15/15 | 38,281 | ||||||
U.S. Treasury Bonds STRIPS, | ||||||||
29,374 | 08/15/13 | 29,331 | ||||||
38,855 | 02/15/14 (m) | 38,741 | ||||||
11,132 | 05/15/14 (m) | 11,089 | ||||||
48,062 | 08/15/14 (m) | 47,857 | ||||||
33,961 | 11/15/14 | 33,780 | ||||||
40,209 | 02/15/15 (m) | 39,948 | ||||||
18,535 | 02/15/15 | 18,416 | ||||||
9,895 | 05/15/15 | 9,815 | ||||||
4,941 | 08/15/15 | 4,893 | ||||||
38,361 | 11/15/15 | 37,909 | ||||||
7,010 | 11/15/15 | 6,948 | ||||||
94,812 | 02/15/16 (m) | 93,541 | ||||||
42,950 | 05/15/16 | 42,290 | ||||||
68,427 | 08/15/16 | 67,154 | ||||||
55,981 | 11/15/16 | 54,763 | ||||||
118,866 | 02/15/17 | 115,898 | ||||||
40,461 | 08/15/17 | 39,138 | ||||||
90,980 | 11/15/17 | 87,683 | ||||||
35,450 | 02/15/18 | 33,989 | ||||||
15,500 | 05/15/18 | 14,797 | ||||||
56,581 | 08/15/18 | 53,777 | ||||||
11,897 | 02/15/19 | 11,183 | ||||||
105,365 | 05/15/19 (m) | 98,527 | ||||||
182,720 | 08/15/19 | 169,829 | ||||||
18,000 | 02/15/20 | 16,497 | ||||||
480,096 | 05/15/20 (m) | 436,672 | ||||||
4,550 | 05/15/20 | 4,155 | ||||||
196,150 | 08/15/20 (m) | 177,110 | ||||||
13,125 | 11/15/20 | 11,769 | ||||||
22,925 | 02/15/21 | 20,371 | ||||||
90,000 | 05/15/21 | 79,298 | ||||||
46,300 | 08/15/21 | 40,505 | ||||||
55,600 | 11/15/21 | 48,237 | ||||||
17,208 | 02/15/22 | 14,803 | ||||||
7,869 | 02/15/23 | 6,526 | ||||||
25,000 | 05/15/23 | 20,561 | ||||||
1,200 | 02/15/24 | 960 | ||||||
7,000 | 05/15/24 | 5,543 | ||||||
12,925 | 08/15/24 | 10,141 | ||||||
20,400 | 11/15/24 | 15,851 | ||||||
5,800 | 02/15/25 | 4,463 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 85 |
Table of Contents
JPMorgan Core Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
2,700 | 05/15/25 | 2,057 | ||||||
13,100 | 02/15/26 | 9,706 | ||||||
22,300 | 05/15/26 | 16,369 | ||||||
34,900 | 08/15/26 | 25,388 | ||||||
99,050 | 11/15/26 | 71,354 | ||||||
173,600 | 02/15/27 | 123,923 | ||||||
22,925 | 05/15/27 | 16,224 | ||||||
36,800 | 08/15/27 | 25,812 | ||||||
75,650 | 11/15/27 | 52,562 | ||||||
56,650 | 02/15/28 | 39,039 | ||||||
9,300 | 05/15/28 | 6,354 | ||||||
5,900 | 08/15/28 | 3,995 | ||||||
28,300 | 11/15/28 | 18,994 | ||||||
21,115 | 02/15/29 | 14,048 | ||||||
3,200 | 05/15/29 | 2,112 | ||||||
21,200 | 08/15/29 | 13,870 | ||||||
16,120 | 11/15/29 | 10,463 | ||||||
102,900 | 02/15/30 | 66,231 | ||||||
41,000 | 05/15/30 | 26,184 | ||||||
33,550 | 08/15/30 | 21,250 | ||||||
20,000 | 11/15/30 | 12,566 | ||||||
12,100 | 02/15/31 | 7,537 | ||||||
23,375 | 05/15/31 | 14,430 | ||||||
14,125 | 08/15/31 | 8,645 | ||||||
15,400 | 11/15/31 | 9,344 | ||||||
14,925 | 02/15/32 | 8,968 | ||||||
7,750 | 05/15/32 | 4,619 | ||||||
1,700 | 08/15/32 | 1,004 | ||||||
42,750 | 11/15/32 | 25,050 | ||||||
49,850 | 05/15/33 | 28,692 | ||||||
23,375 | 08/15/33 | 13,337 | ||||||
32,500 | 11/15/33 | 18,381 | ||||||
18,675 | 02/15/34 | 10,462 | ||||||
14,050 | 05/15/34 | 7,810 | ||||||
28,050 | 08/15/34 | 15,442 | ||||||
12,100 | 11/15/34 | 6,608 | ||||||
32,000 | 02/15/35 | 17,292 | ||||||
1,700 | 08/15/35 | 904 | ||||||
1,175 | 05/15/36 | 611 | ||||||
U.S. Treasury Inflation Indexed Bonds, | ||||||||
4,000 | 2.500%, 01/15/29 | 6,073 | ||||||
10,109 | 3.625%, 04/15/28 (m) | 22,609 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
4,000 | 0.125%, 04/15/16 | 4,391 | ||||||
31,300 | 0.500%, 04/15/15 | 34,788 | ||||||
15,000 | 0.625%, 04/15/13 | 16,438 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
4,750 | 1.125%, 01/15/21 | 5,826 | ||||||
13,000 | 1.250%, 04/15/14 | 14,644 | ||||||
18,000 | 2.000%, 01/15/14 | 23,333 | ||||||
2,000 | 2.000%, 07/15/14 | 2,596 | ||||||
U.S. Treasury Notes, | ||||||||
34,850 | 0.375%, 10/31/12 | 34,864 | ||||||
7,000 | 0.625%, 12/31/12 | 7,011 | ||||||
15,000 | 0.625%, 01/31/13 | 15,030 | ||||||
10,000 | 1.250%, 02/15/14 | 10,149 | ||||||
7,050 | 1.375%, 09/15/12 | 7,053 | ||||||
15,990 | 1.375%, 11/15/12 | 16,029 | ||||||
28,500 | 1.375%, 01/15/13 | 28,627 | ||||||
2,700 | 1.375%, 02/15/13 | 2,715 | ||||||
189,040 | 1.375%, 11/30/18 | 195,021 | ||||||
7,000 | 1.375%, 12/31/18 | 7,217 | ||||||
16,200 | 1.500%, 08/31/18 | 16,858 | ||||||
35,000 | 1.750%, 04/15/13 | 35,338 | ||||||
20,500 | 1.750%, 03/31/14 | 20,990 | ||||||
18,700 | 1.750%, 10/31/18 | 19,726 | ||||||
12,000 | 1.875%, 02/28/14 | 12,295 | ||||||
24,000 | 1.875%, 04/30/14 | 24,654 | ||||||
25,000 | 2.000%, 04/30/16 | 26,469 | ||||||
35,980 | 2.125%, 12/31/15 | 38,094 | ||||||
5,475 | 2.250%, 11/30/17 | 5,925 | ||||||
20,000 | 2.375%, 10/31/14 | 20,914 | ||||||
46,000 | 2.375%, 02/28/15 | 48,411 | ||||||
9,000 | 2.500%, 03/31/15 | 9,517 | ||||||
10,000 | 2.500%, 06/30/17 | 10,910 | ||||||
72,900 | 2.625%, 07/31/14 | 76,215 | ||||||
221,500 | 2.625%, 12/31/14 | 233,752 | ||||||
19,000 | 2.625%, 02/29/16 | 20,496 | ||||||
44,325 | 2.625%, 04/30/16 | 47,933 | ||||||
26,000 | 2.625%, 01/31/18 | 28,675 | ||||||
49,000 | 2.625%, 08/15/20 | 54,340 | ||||||
2,500 | 2.750%, 11/30/16 | 2,738 | ||||||
218,675 | 2.750%, 05/31/17 | 241,089 | ||||||
34,140 | 2.750%, 12/31/17 | 37,847 | ||||||
20,000 | 2.875%, 01/31/13 | 20,221 | ||||||
30,610 | 2.875%, 03/31/18 | 34,226 | ||||||
34,800 | 3.125%, 04/30/13 | 35,470 | ||||||
169,500 | 3.125%, 10/31/16 | 188,092 | ||||||
20,000 | 3.125%, 01/31/17 | 22,277 | ||||||
143,855 | 3.125%, 04/30/17 | 160,882 | ||||||
216,292 | 3.125%, 05/15/19 | 247,249 | ||||||
247,500 | 3.250%, 12/31/16 | 276,678 |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
77,000 | 3.250%, 03/31/17 | 86,463 | ||||||
2,000 | 3.375%, 11/30/12 | 2,015 | ||||||
19,650 | 3.375%, 11/15/19 | 22,863 | ||||||
13,000 | 3.500%, 02/15/18 | 14,947 | ||||||
5,500 | 3.500%, 05/15/20 | 6,464 | ||||||
13,500 | 3.875%, 10/31/12 | 13,579 | ||||||
29,850 | 3.875%, 02/15/13 | 30,346 | ||||||
36,100 | 4.000%, 11/15/12 | 36,372 | ||||||
22,000 | 4.000%, 02/15/15 | 24,002 | ||||||
70,800 | 4.250%, 11/15/17 | 83,815 | ||||||
5,400 | 4.500%, 11/15/15 | 6,115 | ||||||
3,000 | 4.500%, 02/15/16 | 3,426 | ||||||
55,060 | 4.500%, 05/15/17 | 65,113 | ||||||
9,500 | 4.625%, 02/15/17 | 11,220 | ||||||
142,865 | 4.750%, 08/15/17 | 171,762 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 6,844,214 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.9% |
| ||||||
Investment Company — 2.9% |
| |||||||
816,901 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120% (b) (l) | 816,901 | ||||||
|
| |||||||
Total Investments — 99.6% | 27,795,009 | |||||||
Other Assets in Excess of | 110,010 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 27,905,019 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 87 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — 5.6% |
| ||||||
2,701 | Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.036%, 12/27/22 (e) | 2,701 | ||||||
Accredited Mortgage Loan Trust, | ||||||||
1,503 | Series 2006-1, Class A3, VAR, 0.416%, 04/25/36 | 1,303 | ||||||
1,354 | Series 2006-2, Class A3, VAR, 0.385%, 09/25/36 | 1,199 | ||||||
AH Mortgage Advance Trust, | ||||||||
1,941 | Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 1,946 | ||||||
4,583 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 4,594 | ||||||
787 | Series SART-3, Class 1A2, 3.720%, 03/13/44 (e) | 795 | ||||||
Ally Auto Receivables Trust, | ||||||||
321 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 322 | ||||||
565 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 573 | ||||||
331 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 333 | ||||||
444 | Series 2012-1, Class A4, 1.210%, 07/15/16 | 452 | ||||||
6,242 | Series 2012-3, Class A3, 0.850%, 08/15/16 | 6,282 | ||||||
7,016 | Series 2012-4, Class A3, 0.590%, 01/17/17 | 7,037 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
4,735 | Series 2012-2, Class A, 1.890%, 07/15/16 (e) | 4,748 | ||||||
946 | Series 2012-2, Class B, 2.750%, 02/15/18 (e) | 949 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
654 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 660 | ||||||
353 | Series 2012-1, Class A3, 1.230%, 09/08/16 | 357 | ||||||
1,244 | Series 2012-3, Class A3, 0.960%, 01/09/17 | 1,254 | ||||||
Ameriquest Mortgage Securities, Inc., | ||||||||
993 | Series 2003-5, Class A6, SUB, 4.541%, 04/25/33 | 939 | ||||||
322 | Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 322 | ||||||
16 | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13 | 15 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
773 | Series 2003-SD2, Class 2A, VAR, 2.981%, 06/25/43 | 776 | ||||||
1,117 | Series 2006-SD1, Class A, VAR, 0.605%, 04/25/36 | 947 | ||||||
383 | CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e) | 383 | ||||||
Centex Home Equity, | ||||||||
386 | Series 2001-B, Class A6, 6.360%, 07/25/32 | 389 | ||||||
435 | Series 2002-C, Class AF4, SUB, 4.980%, 06/25/31 | 428 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
135 | Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32 | 122 | ||||||
948 | Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 964 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
311 | Series 2003-5, Class 1A4, 4.396%, 02/25/30 | 312 | ||||||
432 | Series 2003-6, Class 1A4, 4.499%, 11/25/34 | 440 | ||||||
1,372 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,885 | ||||||
966 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.848%, 08/25/33 | 946 | ||||||
CNH Equipment Trust, | ||||||||
19 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 19 | ||||||
791 | Series 2011-B, Class A3, 0.910%, 08/15/16 | 794 | ||||||
2,232 | Series 2012-B, Class A3, 0.860%, 09/15/17 | 2,243 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
8 | Series 2004-1, Class 3A, VAR, 0.795%, 04/25/34 | 6 | ||||||
590 | Series 2004-1, Class M1, VAR, 0.986%, 03/25/34 | 516 | ||||||
276 | Series 2004-1, Class M2, VAR, 1.060%, 03/25/34 | 248 | ||||||
1,539 | Series 2004-6, Class M1, VAR, 0.835%, 10/25/34 | 1,187 | ||||||
230 | Series 2004-13, Class MV8, VAR, 1.936%, 01/25/35 (f) (i) | 8 | ||||||
4,081 | Series 2006-20, Class 2A2, VAR, 0.356%, 04/25/47 | 3,984 | ||||||
8,587 | Series 2006-23, Class 2A2, VAR, 0.345%, 05/25/37 | 8,525 | ||||||
CPS Auto Trust, | ||||||||
607 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 609 | ||||||
6,529 | Series 2012-B, Class A, 2.520%, 09/16/19 (e) | 6,551 | ||||||
565 | Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 568 | ||||||
297 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.350%, 01/25/36 | 155 | ||||||
99 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 98 | ||||||
635 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 661 | ||||||
902 | Distressed Asset Portfolio I, LLC, 3.500%, 12/31/15 (f) (i) | 1,003 | ||||||
2,034 | DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 (e) | 2,035 |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — Continued |
| ||||||
1,116 | Equity One ABS, Inc., Series 2003-2, Class M1, VAR, 5.050%, 09/25/33 | 1,024 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
46 | Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25 | 49 | ||||||
95 | Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25 | 95 | ||||||
685 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF9, Class A3, VAR, 0.515%, 10/25/35 | 675 | ||||||
500 | Ford Credit Auto Owner Trust, Series 2012-A, Class A4, 1.150%, 06/15/17 | 508 | ||||||
616 | Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) | 629 | ||||||
1,232 | GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29 | 1,265 | ||||||
84 | Honda Auto Receivables Owner Trust, Series 2012-1, Class A4, 0.970%, 04/16/18 | 85 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
190 | Series 2005-2, Class A1, VAR, 0.507%, 01/20/35 | 180 | ||||||
762 | Series 2005-2, Class M1, VAR, 0.697%, 01/20/35 | 703 | ||||||
762 | Series 2005-2, Class M2, VAR, 0.727%, 01/20/35 | 685 | ||||||
285 | Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 | 270 | ||||||
676 | Series 2006-2, Class A1, VAR, 0.387%, 03/20/36 | 643 | ||||||
864 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 875 | ||||||
108 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 109 | ||||||
1,455 | Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36 | 1,506 | ||||||
850 | Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 | 815 | ||||||
582 | Huntington Auto Trust, Series 2012-1, Class A3, 0.810%, 09/15/16 | 585 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
272 | Series 2012-A, Class A4, 0.950%, 12/15/16 | 275 | ||||||
3,051 | Series 2012-B, Class A3, 0.620%, 09/15/16 | 3,059 | ||||||
6,365 | John Deere Owner Trust, Series 2012-B, Class A3, 0.530%, 07/15/16 | 6,365 | ||||||
50,000 | KGS- Alpha Capital Markets LP, 0.862%, 08/27/37 | 2,031 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
932 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.586%, 07/25/34 (e) | 917 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
147 | Series 2004-1, Class M3, VAR, 1.285%, 02/25/34 | 112 | ||||||
45 | Series 2004-5, Class M6, VAR, 2.735%, 09/25/34 (f) (i) | 6 | ||||||
Mid-State Trust, | ||||||||
220 | Series 2005-1, Class A, 5.745%, 01/15/40 | 233 | ||||||
2,172 | Series 2006-1, Class A, 5.787%, 10/15/40 (e) | 2,304 | ||||||
3,041 | Series 2006-1, Class M1, 6.083%, 10/15/40 (e) | 3,031 | ||||||
1,215 | Series 2006-1, Class M2, 6.742%, 10/15/40 (e) | 1,178 | ||||||
868 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.486%, 03/25/33 | 486 | ||||||
New Century Home Equity Loan Trust, | ||||||||
1,000 | Series 2003-5, Class AI6, SUB, 5.191%, 11/25/33 | 1,029 | ||||||
610 | Series 2005-1, Class M1, VAR, 0.686%, 03/25/35 | 488 | ||||||
2,400 | Park Place Securities, Inc., Series 2004-WCW1, Class M2, VAR, 0.916%, 09/25/34 | 2,210 | ||||||
1,728 | RASC Trust, Series 2005-EMX3, Class M1, VAR, 0.665%, 09/25/35 | 1,722 | ||||||
Real Estate Asset Trust, | ||||||||
5,153 | Series 2012-2A, Class A1, VAR, 4.460%, 08/25/42 (e) (f) (i) | 5,153 | ||||||
1,460 | Series 2012-2A, Class A2, VAR, 6.660%, 08/25/42 (e) (f) (i) | 1,460 | ||||||
484 | Residential Funding Mortgage Securities II Home Loan Trust, Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28 | 473 | ||||||
4,667 | Resort Finance Timeshare Receivables Trust, Series 2012-1, Class A1, SUB, 6.250%, 07/05/18 (f) (i) | 4,667 | ||||||
894 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e) | 762 | ||||||
1,315 | Santander Consumer Acquired Receivables Trust, Series 2011-S1A, Class B, 1.660%, 08/15/16 (e) | 1,319 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
419 | Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 421 | ||||||
502 | Series 2011-S2A, Class D, 3.350%, 06/15/17 (e) | 503 | ||||||
411 | Series 2012-1, Class A3, 1.490%, 10/15/15 | 416 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 89 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Asset-Backed Securities — Continued |
| ||||||
533 | Series 2012-2, Class A3, 1.220%, 12/15/15 | 538 | ||||||
536 | Series 2012-3, Class A3, 1.080%, 04/15/16 | 539 | ||||||
1,911 | Series 2012-5, Class A3, 0.830%, 12/15/16 | 1,921 | ||||||
2,542 | SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e) | 2,546 | ||||||
60 | Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, VAR, 0.316%, 06/25/37 | 56 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
2,500 | Series 2003-BC10, Class A4, VAR, 1.235%, 10/25/33 | 2,102 | ||||||
1,226 | Series 2005-5, Class A9, VAR, 0.506%, 06/25/35 | 1,209 | ||||||
31 | Structured Asset Securities Corp., Series 2007-OSI, Class A2, VAR, 0.326%, 06/25/37 | 26 | ||||||
1,341 | Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.639%, 10/15/15 (e) | 1,362 | ||||||
197 | Union Pacific Railroad Co. 2003 Pass-Through Trust, 4.698%, 01/02/24 | 215 | ||||||
1,500 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 1,441 | ||||||
273 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 276 | ||||||
3,300 | Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15 | 3,321 | ||||||
1,000 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A4, 1.150%, 07/20/18 | 1,017 | ||||||
VOLT LLC, | ||||||||
3,423 | Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) | 3,423 | ||||||
5,768 | Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (f) (i) | 5,783 | ||||||
1,250 | Series 2012-RP2A, Class A2, 8.836%, 06/26/17 (e) | 1,257 | ||||||
1,096 | Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e) | 1,097 | ||||||
2,633 | World Omni Auto Receivables Trust, Series 2012-A, Class A3, 0.640%, 02/15/17 | 2,645 | ||||||
1,508 | World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3, 0.930%, 11/16/15 | 1,514 | ||||||
|
| |||||||
Total Asset-Backed Securities | 157,192 | |||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — 18.6% |
| ||||||
Agency CMO — 12.8% |
| |||||||
423 | Federal Home Loan Bank, Series 2000-0606, Class Y, 5.270%, 12/28/12 | 427 | ||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | ||||||||
167 | Series 23, Class KZ, 6.500%, 11/25/23 | 193 | ||||||
1,166 | Series 24, Class J, 6.250%, 11/25/23 | 1,220 | ||||||
206 | Series 31, Class Z, 8.000%, 04/25/24 | 237 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
20 | Series 11, Class D, 9.500%, 07/15/19 | 21 | ||||||
14 | Series 38, Class D, 9.500%, 05/15/20 | 17 | ||||||
6 | Series 81, Class A, 8.125%, 11/15/20 | 7 | ||||||
16 | Series 84, Class F, 9.200%, 10/15/20 | 18 | ||||||
8 | Series 109, Class I, 9.100%, 01/15/21 | 9 | ||||||
2 | Series 198, Class Z, 8.500%, 09/15/22 | 3 | ||||||
115 | Series 1316, Class Z, 8.000%, 06/15/22 | 133 | ||||||
37 | Series 1343, Class LB, 7.500%, 08/15/22 | 45 | ||||||
1 | Series 1351, Class TF, HB, IO, 1,010.000%, 08/15/22 | 31 | ||||||
80 | Series 1456, Class Z, 7.500%, 01/15/23 | 93 | ||||||
552 | Series 1543, Class VN, 7.000%, 07/15/23 | 635 | ||||||
4 | Series 1556, Class H, 6.500%, 08/15/13 | 4 | ||||||
394 | Series 1577, Class PV, 6.500%, 09/15/23 | 413 | ||||||
14 | Series 1595, Class D, 7.000%, 10/15/13 | 14 | ||||||
1,010 | Series 1608, Class L, 6.500%, 09/15/23 | 1,141 | ||||||
930 | Series 1611, Class Z, 6.500%, 11/15/23 | 1,042 | ||||||
908 | Series 1628, Class LZ, 6.500%, 12/15/23 | 1,018 | ||||||
421 | Series 1630, Class PK, 6.000%, 11/15/23 | 472 | ||||||
1,000 | Series 1671, Class I, 7.000%, 02/15/24 | 1,162 | ||||||
16 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 25 | ||||||
80 | Series 1695, Class G, HB, IF, 26.419%, 03/15/24 | 142 | ||||||
52 | Series 1710, Class GB, HB, IF, 39.803%, 04/15/24 | 105 | ||||||
204 | Series 1911, Class SD, IF, IO, 10.169%, 07/15/23 | 71 | ||||||
101 | Series 2022, Class PE, 6.500%, 01/15/28 | 116 | ||||||
781 | Series 2033, Class K, 6.050%, 08/15/23 | 859 | ||||||
627 | Series 2036, Class PG, 6.500%, 01/15/28 | 710 | ||||||
60 | Series 2055, Class OE, 6.500%, 05/15/13 | 60 | ||||||
100 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 25 | ||||||
2,107 | Series 2091, Class PG, 6.000%, 11/15/28 | 2,365 | ||||||
1,410 | Series 2113, Class MW, 6.500%, 01/15/29 | 1,601 | ||||||
462 | Series 2116, Class ZA, 6.000%, 01/15/29 | 519 | ||||||
139 | Series 2148, Class ZA, 6.000%, 04/15/29 | 156 | ||||||
288 | Series 2201, Class C, 8.000%, 11/15/29 | 343 | ||||||
48 | Series 2261, Class ZY, 7.500%, 10/15/30 | 56 |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
727 | Series 2293, Class ZA, 6.000%, 03/15/31 | 815 | ||||||
48 | Series 2297, Class NB, 6.000%, 03/15/16 | 50 | ||||||
116 | Series 2310, Class Z, 6.000%, 04/15/31 | 127 | ||||||
48 | Series 2313, Class LA, 6.500%, 05/15/31 | 56 | ||||||
401 | Series 2325, Class JO, PO, 06/15/31 | 353 | ||||||
1,049 | Series 2330, Class PE, 6.500%, 06/15/31 | 1,088 | ||||||
251 | Series 2344, Class QG, 6.000%, 08/15/16 | 267 | ||||||
312 | Series 2345, Class PQ, 6.500%, 08/15/16 | 321 | ||||||
225 | Series 2368, Class TG, 6.000%, 10/15/16 | 239 | ||||||
495 | Series 2394, Class MC, 6.000%, 12/15/16 | 529 | ||||||
179 | Series 2399, Class PG, 6.000%, 01/15/17 | 191 | ||||||
300 | Series 2410, Class QB, 6.250%, 02/15/32 | 345 | ||||||
4,385 | Series 2427, Class GE, 6.000%, 03/15/32 | 4,940 | ||||||
2,586 | Series 2430, Class WF, 6.500%, 03/15/32 | 2,989 | ||||||
621 | Series 2466, Class DH, 6.500%, 06/15/32 | 691 | ||||||
1,796 | Series 2530, Class SK, IF, IO, 7.860%, 06/15/29 | 349 | ||||||
211 | Series 2534, Class SI, HB, IF, 20.437%, 02/15/32 | 318 | ||||||
1,896 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,134 | ||||||
199 | Series 2545, Class SQ, IF, IO, 7.360%, 05/15/17 | 1 | ||||||
817 | Series 2557, Class HL, 5.300%, 01/15/33 | 904 | ||||||
1,392 | Series 2586, Class IO, IO, 6.500%, 03/15/33 | 324 | ||||||
383 | Series 2587, Class XS, IF, IO, 7.410%, 09/15/17 | 9 | ||||||
400 | Series 2594, Class IV, IO, 7.000%, 03/15/32 | 98 | ||||||
66 | Series 2602, Class BX, 3.500%, 12/15/22 | 68 | ||||||
1,158 | Series 2610, Class UI, IO, 6.500%, 05/15/33 | 227 | ||||||
1,515 | Series 2613, Class H, 4.500%, 05/15/18 | 1,623 | ||||||
1,290 | Series 2617, Class GR, 4.500%, 05/15/18 | 1,370 | ||||||
2,466 | Series 2636, Class Z, 4.500%, 06/15/18 | 2,620 | ||||||
1,530 | Series 2641, Class SK, IF, IO, 6.910%, 01/15/18 | 89 | ||||||
110 | Series 2643, Class SA, HB, IF, 43.943%, 03/15/32 | 239 | ||||||
124 | Series 2650, Class PO, PO, 12/15/32 | 119 | ||||||
125 | Series 2650, Class SO, PO, 12/15/32 | 119 | ||||||
462 | Series 2656, Class AC, 6.000%, 08/15/33 | 526 | ||||||
1,375 | Series 2656, Class PE, 4.500%, 07/15/18 | 1,495 | ||||||
291 | Series 2658, Class A, 4.500%, 08/15/18 | 297 | ||||||
156 | Series 2695, Class OB, PO, 10/15/33 | 155 | ||||||
1,632 | Series 2699, Class W, 5.500%, 11/15/33 | 1,769 | ||||||
971 | Series 2707, Class KA, 4.500%, 11/15/18 | 1,043 | ||||||
245 | Series 2707, Class KJ, 5.000%, 11/15/18 | 260 | ||||||
3,651 | Series 2708, Class N, 4.000%, 11/15/18 | 3,859 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued | ||||||||
705 | Series 2733, Class SB, IF, 7.794%, 10/15/33 | 827 | ||||||
501 | Series 2736, Class PD, 5.000%, 03/15/32 | 512 | ||||||
129 | Series 2755, Class SA, IF, 13.721%, 05/15/30 | 139 | ||||||
894 | Series 2756, Class NA, 5.000%, 02/15/24 | 991 | ||||||
2,000 | Series 2764, Class OE, 4.500%, 03/15/19 | 2,180 | ||||||
231 | Series 2764, Class S, IF, 13.151%, 07/15/33 | 288 | ||||||
314 | Series 2779, Class SM, IF, IO, 6.910%, 10/15/18 | 17 | ||||||
1,039 | Series 2801, Class JN, 5.000%, 06/15/33 | 1,114 | ||||||
2,000 | Series 2843, Class BC, 5.000%, 08/15/19 | 2,180 | ||||||
1,000 | Series 2845, Class QH, 5.000%, 08/15/34 | 1,138 | ||||||
1,540 | Series 2864, Class NB, 5.500%, 07/15/33 | 1,732 | ||||||
2,126 | Series 2864, Class NS, IF, IO, 6.860%, 09/15/34 | 202 | ||||||
456 | Series 2888, Class IN, IO, 5.000%, 10/15/18 | 8 | ||||||
1,502 | Series 2912, Class EH, 5.500%, 01/15/35 | 1,783 | ||||||
776 | Series 2934, Class CI, 5.000%, 01/15/34 | 818 | ||||||
1,376 | Series 2980, Class QA, 6.000%, 05/15/35 | 1,554 | ||||||
105 | Series 2980, Class QB, 6.500%, 05/15/35 | 124 | ||||||
1,428 | Series 2989, Class TG, 5.000%, 06/15/25 | 1,561 | ||||||
256 | Series 2990, Class SL, HB, IF, 23.615%, 06/15/34 | 388 | ||||||
3,048 | Series 2994, Class SC, IF, IO, 5.361%, 02/15/33 | 309 | ||||||
552 | Series 2995, Class FT, VAR, 0.489%, 05/15/29 | 552 | ||||||
2,000 | Series 3005, Class ED, 5.000%, 07/15/25 | 2,248 | ||||||
226 | Series 3005, Class PV, IF, 12.352%, 10/15/33 | 268 | ||||||
1,287 | Series 3028, Class ME, 5.000%, 02/15/34 | 1,395 | ||||||
470 | Series 3031, Class BN, HB, IF, 20.937%, 08/15/35 | 620 | ||||||
982 | Series 3059, Class B, 5.000%, 02/15/35 | 1,093 | ||||||
1,000 | Series 3062, Class HE, 5.000%, 01/15/34 | 1,065 | ||||||
1,000 | Series 3064, Class OG, 5.500%, 06/15/34 | 1,066 | ||||||
100 | Series 3068, Class AO, PO, 01/15/35 | 98 | ||||||
546 | Series 3080, Class TZ, 5.500%, 02/15/33 | 548 | ||||||
697 | Series 3117, Class EO, PO, 02/15/36 | 653 | ||||||
320 | Series 3134, Class PO, PO, 03/15/36 | 302 | ||||||
355 | Series 3138, Class PO, PO, 04/15/36 | 342 | ||||||
1,077 | Series 3151, Class PD, 6.000%, 11/15/34 | 1,120 | ||||||
1,008 | Series 3152, Class MO, PO, 03/15/36 | 895 | ||||||
1,214 | Series 3184, Class YO, PO, 03/15/36 | 1,140 | ||||||
1,800 | Series 3189, Class PC, 6.000%, 08/15/35 | 1,918 | ||||||
4,420 | Series 3201, Class IN, IF, IO, 6.010%, 08/15/36 | 579 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 91 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 |
| |||||||
4,704 | Series 3202, Class HI, IF, IO, 6.410%, 08/15/36 | 748 | ||||||
785 | Series 3219, Class OD, 6.000%, 06/15/33 | 809 | ||||||
1,581 | Series 3219, Class PD, 6.000%, 11/15/35 | 1,752 | ||||||
2,000 | Series 3274, Class B, 6.000%, 02/15/37 | 2,222 | ||||||
722 | Series 3292, Class DO, PO, 03/15/37 | 697 | ||||||
3,401 | Series 3305, Class IW, IF, IO, 6.211%, 04/15/37 | 436 | ||||||
156 | Series 3306, Class TB, IF, 2.989%, 04/15/37 | 158 | ||||||
138 | Series 3306, Class TC, IF, 2.450%, 04/15/37 | 138 | ||||||
409 | Series 3331, Class PO, PO, 06/15/37 | 391 | ||||||
502 | Series 3336, Class GD, 5.000%, 04/15/36 | 514 | ||||||
773 | Series 3383, Class OP, PO, 11/15/37 | 746 | ||||||
1,561 | Series 3531, Class SM, IF, IO, 5.861%, 05/15/39 | 205 | ||||||
291 | Series 3542, Class TN, IF, 6.000%, 07/15/36 | 305 | ||||||
406 | Series 3546, Class A, VAR, 4.065%, 02/15/39 | 433 | ||||||
1,028 | Series 3572, Class JS, IF, IO, 6.560%, 09/15/39 | 186 | ||||||
1,086 | Series 3605, Class NC, 5.500%, 06/15/37 | 1,331 | ||||||
2,488 | Series 3609, Class SA, IF, IO, 6.100%, 12/15/39 | 609 | ||||||
930 | Series 3610, Class CA, 4.500%, 12/15/39 | 1,016 | ||||||
547 | Series 3611, Class PO, PO, 07/15/34 | 512 | ||||||
1,628 | Series 3620, Class TV, 5.500%, 12/15/20 | 1,668 | ||||||
1,570 | Series 3648, Class CY, 4.500%, 03/15/30 | 1,781 | ||||||
964 | Series 3653, Class HJ, 5.000%, 04/15/40 | 1,051 | ||||||
1,810 | Series 3662, Class PJ, 5.000%, 04/15/40 | 2,092 | ||||||
7,220 | Series 3677, Class PB, 4.500%, 05/15/40 | 8,053 | ||||||
868 | Series 3688, Class GT, VAR, 7.160%, 11/15/46 | 979 | ||||||
2,069 | Series 3737, Class DG, 5.000%, 10/15/30 | 2,274 | ||||||
2,489 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 283 | ||||||
1,388 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 1,625 | ||||||
1,617 | Series 3827, Class BD, 4.000%, 08/15/39 | 1,696 | ||||||
1,134 | Series 3852, Class TP, IF, 5.500%, 05/15/41 | 1,259 | ||||||
1,246 | Series 3855, Class AM, 6.500%, 11/15/36 | 1,431 | ||||||
1,469 | Series 3890, Class ET, 5.500%, 11/15/23 | 1,622 | ||||||
1,633 | Series 3895, Class PW, 4.500%, 07/15/41 | 1,885 | ||||||
8,155 | Series 4030, Class IL, IO, 3.500%, 04/15/27 | 925 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
560 | Series 186, Class PO, PO, 08/01/27 | 483 | ||||||
9,985 | Series 262, Class 35, 3.500%, 07/15/42 | 10,650 | ||||||
804 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-76, Class 2A, VAR, 3.997%, 10/25/37 | 821 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued | ||||||||
Federal National Mortgage Association - ACES, | ||||||||
2,270 | Series 2011-M2, Class A2, 3.645%, 07/25/21 | 2,517 | ||||||
1,680 | Series 2011-M4, Class A2, 3.726%, 06/25/21 | 1,884 | ||||||
631 | Series 2011-M8, Class A2, 2.922%, 08/25/21 | 670 | ||||||
3,505 | Series 2012-M8, Class ASQ2, 1.520%, 12/25/19 | 3,568 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
46,909 | Series 2001-T12, Class IO, IO, VAR, 0.537%, 08/25/41 | 1,018 | ||||||
1,385 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 1,639 | ||||||
1,120 | Series 2002-T19, Class A1, 6.500%, 07/25/42 | 1,305 | ||||||
958 | Series 2002-T4, Class A2, 7.000%, 12/25/41 | 1,084 | ||||||
1,912 | Series 2002-T4, Class A4, 9.500%, 12/25/41 | 2,338 | ||||||
89,922 | Series 2002-T4, Class IO, IO, VAR, 0.437%, 12/25/41 | 1,406 | ||||||
887 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,003 | ||||||
615 | Series 2004-T2, Class 1A3, 7.000%, 11/25/43 | 714 | ||||||
730 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 858 | ||||||
10,933 | Series 2004-T3, Class 1IO4, IO, VAR, 0.602%, 02/25/44 | 225 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
11 | Series 1988-13, Class C, 9.300%, 05/25/18 | 12 | ||||||
96 | Series 1989-72, Class E, 9.350%, 10/25/19 | 110 | ||||||
4 | Series 1989-98, Class H, 11.500%, 12/25/19 | 5 | ||||||
6 | Series 1990-1, Class D, 8.800%, 01/25/20 | 7 | ||||||
8 | Series 1990-110, Class H, 8.750%, 09/25/20 | 9 | ||||||
6 | Series 1990-117, Class E, 8.950%, 10/25/20 | 7 | ||||||
61 | Series 1991-141, Class PZ, 8.000%, 10/25/21 | 70 | ||||||
34 | Series 1992-31, Class M, 7.750%, 03/25/22 | 39 | ||||||
33 | Series 1992-79, Class Z, 9.000%, 06/25/22 | 38 | ||||||
19 | Series 1992-101, Class J, 7.500%, 06/25/22 | 20 | ||||||
316 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 364 | ||||||
372 | Series 1992-200, Class SK, HB, IF, 22.752%, 11/25/22 | 625 | ||||||
28 | Series 1993-23, Class PZ, 7.500%, 03/25/23 | 32 | ||||||
218 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 251 | ||||||
120 | Series 1993-60, Class Z, 7.000%, 05/25/23 | 138 | ||||||
239 | Series 1993-79, Class PL, 7.000%, 06/25/23 | 275 | ||||||
400 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 455 | ||||||
194 | Series 1993-149, Class M, 7.000%, 08/25/23 | 225 | ||||||
658 | Series 1993-160, Class ZA, 6.500%, 09/25/23 | 740 | ||||||
69 | Series 1993-165, Class SA, IF, 19.240%, 09/25/23 | 103 | ||||||
7 | Series 1993-205, Class H, PO, 09/25/23 | 7 |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
64 | Series 1993-247, Class SM, HB, IF, 25.904%, 12/25/23 | 112 | ||||||
72 | Series 1993-255, Class E, 7.100%, 12/25/23 | 82 | ||||||
27 | Series 1993-257, Class C, PO, 06/25/23 | 27 | ||||||
66 | Series 1994-1, Class L, 6.500%, 01/25/14 | 68 | ||||||
1,142 | Series 1994-23, Class PX, 6.000%, 08/25/23 | 1,182 | ||||||
700 | Series 1994-29, Class Z, 6.500%, 02/25/24 | 815 | ||||||
99 | Series 1994-65, Class PK, PO, 04/25/24 | 87 | ||||||
421 | Series 1995-4, Class Z, 7.500%, 10/25/22 | 491 | ||||||
649 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 779 | ||||||
6 | Series 1996-59, Class K, 6.500%, 07/25/23 | 6 | ||||||
110 | Series 1997-11, Class E, 7.000%, 03/18/27 | 129 | ||||||
408 | Series 1997-20, Class D, 7.000%, 03/17/27 | 469 | ||||||
49 | Series 1997-27, Class J, 7.500%, 04/18/27 | 55 | ||||||
1,155 | Series 1997-37, Class SM, IF, IO, 7.750%, 12/25/22 | 234 | ||||||
500 | Series 1997-42, Class EG, 8.000%, 07/18/27 | 608 | ||||||
587 | Series 1997-63, Class ZA, 6.500%, 09/18/27 | 665 | ||||||
588 | Series 1998-66, Class FB, VAR, 0.585%, 12/25/28 | 589 | ||||||
1,075 | Series 1999-47, Class JZ, 8.000%, 09/18/29 | 1,304 | ||||||
342 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 404 | ||||||
448 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 492 | ||||||
51 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 52 | ||||||
650 | Series 2001-14, Class Z, 6.000%, 05/25/31 | 730 | ||||||
782 | Series 2001-16, Class Z, 6.000%, 05/25/31 | 876 | ||||||
624 | Series 2001-36, Class ST, IF, IO, 8.264%, 11/25/30 | 120 | ||||||
1,884 | Series 2001-72, Class SB, IF, IO, 7.265%, 12/25/31 | 439 | ||||||
3,214 | Series 2001-81, Class HE, 6.500%, 01/25/32 | 3,649 | ||||||
320 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 339 | ||||||
171 | Series 2002-19, Class SC, IF, 13.759%, 03/17/32 | 237 | ||||||
305 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 326 | ||||||
4,095 | Series 2002-56, Class PE, 6.000%, 09/25/32 | 4,605 | ||||||
340 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 363 | ||||||
151 | Series 2002-73, Class AN, 5.000%, 11/25/17 | 161 | ||||||
1,631 | Series 2002-86, Class PG, 6.000%, 12/25/32 | 1,946 | ||||||
1,106 | Series 2003-14, Class EH, IF, IO, 7.364%, 03/25/18 | 122 | ||||||
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 | 1,075 | ||||||
2,191 | Series 2003-22, Class Z, 6.000%, 04/25/33 | 2,509 | ||||||
899 | Series 2003-30, Class IP, IO, 5.750%, 08/25/32 | 29 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued | ||||||||
2,000 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,288 | ||||||
1,050 | Series 2003-58, Class TB, 5.000%, 03/25/32 | 1,113 | ||||||
791 | Series 2003-64, Class KS, IF, 9.327%, 07/25/18 | 888 | ||||||
181 | Series 2003-64, Class SX, IF, 13.136%, 07/25/33 | 227 | ||||||
261 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 263 | ||||||
1,255 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 1,347 | ||||||
45 | Series 2003-91, Class SD, IF, 12.107%, 09/25/33 | 54 | ||||||
1,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 1,083 | ||||||
1,790 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 1,862 | ||||||
1,045 | Series 2003-109, Class TS, IF, IO, 6.865%, 08/25/22 | 39 | ||||||
129 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 131 | ||||||
9,025 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 9,567 | ||||||
1,000 | Series 2004-8, Class GD, 4.500%, 10/25/32 | 1,046 | ||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,065 | ||||||
33 | Series 2004-22, Class A, 4.000%, 04/25/19 | 33 | ||||||
650 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 720 | ||||||
513 | Series 2004-72, Class F, VAR, 0.735%, 09/25/34 | 517 | ||||||
21 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 | — | (h) | |||||
65 | Series 2004-101, Class PD, 5.000%, 06/25/30 | 65 | ||||||
118 | Series 2005-42, Class PS, IF, 16.411%, 05/25/35 | 167 | ||||||
703 | Series 2005-51, Class MO, PO, 06/25/35 | 673 | ||||||
3,088 | Series 2005-53, Class CS, IF, IO, 6.464%, 06/25/35 | 607 | ||||||
1,547 | Series 2005-59, Class PC, 5.500%, 03/25/31 | 1,565 | ||||||
418 | Series 2005-65, Class KO, PO, 08/25/35 | 375 | ||||||
5,141 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 5,686 | ||||||
4,256 | Series 2005-72, Class WS, IF, IO, 6.514%, 08/25/35 | 542 | ||||||
963 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,086 | ||||||
319 | Series 2005-90, Class ES, IF, 16.286%, 10/25/35 | 459 | ||||||
1,094 | Series 2005-97, Class B, 5.500%, 11/25/35 | 1,264 | ||||||
345 | Series 2005-106, Class US, HB, IF, 23.703%, 11/25/35 | 559 | ||||||
365 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 395 | ||||||
1,387 | Series 2006-9, Class KZ, 6.000%, 03/25/36 | 1,611 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 93 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 |
| |||||||
1,939 | Series 2006-20, Class IB, IF, IO, 6.355%, 04/25/36 | 305 | ||||||
574 | Series 2006-22, Class AO, PO, 04/25/36 | 519 | ||||||
550 | Series 2006-27, Class OH, PO, 04/25/36 | 504 | ||||||
257 | Series 2006-46, Class LI, IO, 6.000%, 02/25/34 | 3 | ||||||
792 | Series 2006-59, Class QO, PO, 01/25/33 | 760 | ||||||
716 | Series 2006-61, Class AP, 6.000%, 08/25/35 | 787 | ||||||
2,027 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 2,330 | ||||||
1,185 | Series 2006-110, Class PO, PO, 11/25/36 | 1,145 | ||||||
335 | Series 2006-114, Class DS, VAR, 12/25/36 | 321 | ||||||
1,860 | Series 2006-114, Class HD, 5.500%, 10/25/35 | 2,022 | ||||||
537 | Series 2006-128, Class PO, PO, 01/25/37 | 500 | ||||||
936 | Series 2007-10, Class Z, 6.000%, 02/25/37 | 1,069 | ||||||
1,627 | Series 2007-22, Class SC, IF, IO, 5.844%, 03/25/37 | 218 | ||||||
602 | Series 2007-68, Class IA, IO, 6.500%, 06/25/37 | 101 | ||||||
1,022 | Series 2007-71, Class GZ, 6.000%, 07/25/47 | 1,231 | ||||||
512 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 515 | ||||||
671 | Series 2007-100, Class ND, 5.750%, 10/25/35 | 713 | ||||||
378 | Series 2007-100, Class SM, IF, IO, 6.215%, 10/25/37 | 52 | ||||||
1,165 | Series 2008-24, Class VB, 5.000%, 09/25/25 | 1,254 | ||||||
4,771 | Series 2008-62, Class SM, IF, IO, 5.965%, 07/25/38 | 773 | ||||||
852 | Series 2008-68, Class VK, 5.500%, 03/25/27 | 927 | ||||||
1,075 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 1,136 | ||||||
11,729 | Series 2008-91, Class SI, IF, IO, 5.765%, 03/25/38 | 1,423 | ||||||
1,475 | Series 2008-93, Class AM, 5.500%, 06/25/37 | 1,602 | ||||||
860 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 70 | ||||||
3,134 | Series 2009-3, Class PA, 5.000%, 01/25/37 | 3,491 | ||||||
876 | Series 2009-17, Class AI, IO, 5.000%, 03/25/24 | 80 | ||||||
2,195 | Series 2009-23, Class MI, IO, 4.500%, 04/25/24 | 189 | ||||||
1,293 | Series 2009-29, Class LA, VAR, 3.683%, 05/25/39 | 1,272 | ||||||
2,465 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 323 | ||||||
4,749 | Series 2009-89, Class A1, 5.410%, 05/25/35 | 5,219 | ||||||
1,407 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 1,511 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
5,447 | Series 2009-112, Class ST, IF, IO, 6.014%, 01/25/40 | 663 | ||||||
3,581 | Series 2009-112, Class SW, IF, IO, 6.014%, 01/25/40 | 436 | ||||||
1,381 | Series 2010-10, Class NT, 5.000%, 02/25/40 | 1,639 | ||||||
1,633 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 1,746 | ||||||
7,680 | Series 2010-35, Class SB, IF, IO, 6.185%, 04/25/40 | 1,045 | ||||||
1,589 | Series 2010-43, Class CI, IO, 4.500%, 02/25/25 | 126 | ||||||
1,264 | Series 2010-49, Class SC, IF, 12.189%, 03/25/40 | 1,558 | ||||||
798 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 860 | ||||||
6,824 | Series 2010-70, Class SA, IF, IO, 6.000%, 04/25/38 | 1,037 | ||||||
1,613 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 1,783 | ||||||
1,297 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 1,380 | ||||||
1,460 | Series 2011-19, Class ZY, 6.500%, 07/25/36 | 1,709 | ||||||
1,640 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 1,882 | ||||||
9,668 | Series 2012-46, Class KI, IO, 3.500%, 05/25/27 | 1,240 | ||||||
28 | Series G-29, Class O, 8.500%, 09/25/21 | 33 | ||||||
16 | Series G92-30, Class Z, 7.000%, 06/25/22 | 18 | ||||||
35 | Series G92-62, Class B, PO, 10/25/22 | 33 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
3,331 | Series 203, Class 2, IO, 8.000%, 02/01/23 | 736 | ||||||
573 | Series 266, Class 2, IO, 7.500%, 08/01/24 | 127 | ||||||
911 | Series 348, Class 30, IO, 5.500%, 12/01/18 | 94 | ||||||
876 | Series 348, Class 31, IO, VAR, 5.500%, 12/01/18 | 96 | ||||||
765 | Series 356, Class 42, IO, 5.500%, 12/01/19 | 86 | ||||||
1,655 | Series 380, Class S36, IF, IO, 7.665%, 07/25/37 | 234 | ||||||
1,011 | Series 383, Class 68, IO, 6.500%, 09/01/37 | 182 | ||||||
1,577 | Series 383, Class 69, IO, VAR, 6.500%, 10/01/37 | 280 | ||||||
463 | Series 383, Class 86, IO, VAR, 7.000%, 09/01/37 | 86 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
846 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 981 | ||||||
11,407 | Series 2002-W10, Class IO, IO, VAR, 0.985%, 08/25/42 | 318 | ||||||
17,031 | Series 2002-W7, Class IO1, IO, VAR, 0.949%, 06/25/29 | 444 |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
36 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 | 41 | ||||||
365 | Series 2003-W4, Class 2A, VAR, 6.497%, 10/25/42 | 411 | ||||||
475 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 | 526 | ||||||
33,906 | Series 2004-W11, Class 1IO1, IO, VAR, 0.356%, 05/25/44 | 439 | ||||||
1,068 | Series 2004-W2, Class 1A, 6.000%, 02/25/44 | 1,193 | ||||||
151 | Series 2004-W2, Class 1A3F, VAR, 0.585%, 02/25/44 | 150 | ||||||
286 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 331 | ||||||
1,161 | Series 2004-W6, Class 3A4, 6.500%, 07/25/34 | 1,321 | ||||||
678 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 805 | ||||||
1,106 | Series 2004-W9, Class 1A3, 6.050%, 02/25/44 | 1,224 | ||||||
1,213 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,354 | ||||||
8,392 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 9,667 | ||||||
Government National Mortgage Association, | ||||||||
148 | Series 1997-7, Class ZA, 9.000%, 05/16/27 | 175 | ||||||
35 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 42 | ||||||
434 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 536 | ||||||
274 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 338 | ||||||
194 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 226 | ||||||
2,384 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 2,753 | ||||||
1,599 | Series 2002-13, Class QA, IF, IO, 7.811%, 02/16/32 | 381 | ||||||
893 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 1,035 | ||||||
50 | Series 2002-47, Class HM, 6.000%, 07/16/32 | 57 | ||||||
5,596 | Series 2002-68, Class SC, IF, IO, 5.461%, 10/16/32 | 1,127 | ||||||
1,880 | Series 2002-84, Class PH, 6.000%, 11/16/32 | 2,228 | ||||||
48 | Series 2003-4, Class TI, IO, 5.500%, 05/16/31 | — | (h) | |||||
1,174 | Series 2003-18, Class PG, 5.500%, 03/20/33 | 1,414 | ||||||
274 | Series 2003-52, Class SB, IF, 11.133%, 06/16/33 | 357 | ||||||
837 | Series 2003-79, Class PV, 5.500%, 10/20/23 | 922 | ||||||
4,521 | Series 2003-101, Class SK, IF, IO, 6.322%, 10/17/33 | 871 | ||||||
240 | Series 2004-2, Class SA, IF, 19.632%, 01/16/34 | 448 | ||||||
6,187 | Series 2004-59, Class SG, IF, IO, 6.263%, 07/20/34 | 1,017 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Agency CMO — Continued |
| |||||||
48 | Series 2004-73, Class AE, IF, 14.364%, 08/17/34 | 63 | ||||||
2,976 | Series 2004-86, Class SP, IF, IO, 5.863%, 09/20/34 | 479 | ||||||
2,054 | Series 2004-90, Class SI, IF, IO, 5.863%, 10/20/34 | 322 | ||||||
3,870 | Series 2004-105, Class SN, IF, IO, 5.863%, 12/20/34 | 678 | ||||||
3,150 | Series 2005-3, Class SD, IF, IO, 5.863%, 01/20/31 | 82 | ||||||
3,136 | Series 2005-48, Class CS, IF, IO, 6.063%, 04/20/33 | 177 | ||||||
368 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 55 | ||||||
6,173 | Series 2006-23, Class S, IF, IO, 6.263%, 01/20/36 | 711 | ||||||
4,673 | Series 2006-26, Class S, IF, IO, 6.263%, 06/20/36 | 708 | ||||||
835 | Series 2006-33, Class PK, 6.000%, 07/20/36 | 958 | ||||||
723 | Series 2006-59, Class PC, 5.500%, 04/20/35 | 768 | ||||||
6,166 | Series 2007-7, Class EI, IF, IO, 5.963%, 02/20/37 | 976 | ||||||
2,697 | Series 2007-9, Class CI, IF, IO, 5.963%, 03/20/37 | 428 | ||||||
4,691 | Series 2007-16, Class KU, IF, IO, 6.413%, 04/20/37 | 773 | ||||||
349 | Series 2007-17, Class JO, PO, 04/16/37 | 320 | ||||||
1,000 | Series 2007-22, Class PK, 5.500%, 04/20/37 | 1,215 | ||||||
5,613 | Series 2007-24, Class SA, IF, IO, 6.273%, 05/20/37 | 938 | ||||||
1,692 | Series 2007-26, Class SC, IF, IO, 5.963%, 05/20/37 | 252 | ||||||
1,830 | Series 2007-35, Class TE, 6.000%, 06/20/37 | 2,239 | ||||||
1,231 | Series 2007-67, Class SI, IF, IO, 6.273%, 11/20/37 | 201 | ||||||
346 | Series 2008-29, Class PO, PO, 02/17/33 | 330 | ||||||
226 | Series 2008-34, Class OC, PO, 06/20/37 | 189 | ||||||
1,677 | Series 2008-40, Class PS, IF, IO, 6.262%, 05/16/38 | 288 | ||||||
3,077 | Series 2008-40, Class SA, IF, IO, 6.162%, 05/16/38 | 635 | ||||||
364 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 390 | ||||||
1,657 | Series 2008-49, Class PH, 5.250%, 06/20/38 | 1,981 | ||||||
8,452 | Series 2008-50, Class SA, IF, IO, 5.993%, 06/20/38 | 1,455 | ||||||
2,429 | Series 2008-55, Class PL, 5.500%, 06/20/38 | 2,888 | ||||||
1,980 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 513 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 95 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 |
| |||||||
5,336 | Series 2009-16, Class SJ, IF, IO, 6.563%, 05/20/37 | 888 | ||||||
2,755 | Series 2009-72, Class SM, IF, IO, 6.011%, 08/16/39 | 370 | ||||||
293 | Series 2009-75, Class IY, IO, 5.500%, 06/20/39 | 123 | ||||||
4,276 | Series 2009-77, Class CS, IF, IO, 6.761%, 06/16/38 | 621 | ||||||
903 | Series 2009-79, Class OK, PO, 11/16/37 | 840 | ||||||
802 | Series 2009-81, Class A, 5.750%, 09/20/36 | 900 | ||||||
1,745 | Series 2009-83, Class TS, IF, IO, 5.863%, 08/20/39 | 247 | ||||||
2,983 | Series 2009-106, Class XL, IF, IO, 6.513%, 06/20/37 | 436 | ||||||
4,358 | Series 2010-4, Class SB, IF, IO, 6.262%, 08/16/39 | 557 | ||||||
532 | Series 2010-14, Class DO, PO, 03/20/36 | 528 | ||||||
703 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 767 | ||||||
1,222 | Series 2010-31, Class SK, IF, IO, 5.863%, 11/20/34 | 206 | ||||||
5,500 | Series 2010-61, Class PC, 4.500%, 02/20/37 | 6,158 | ||||||
1,500 | Series 2010-107, Class AY, 5.000%, 10/20/36 | 1,673 | ||||||
1,490 | Series 2010-157, Class OP, PO, 12/20/40 | 1,298 | ||||||
NCUA Guaranteed Notes, | ||||||||
3,716 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 3,918 | ||||||
361 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 370 | ||||||
Vendee Mortgage Trust, | ||||||||
1,047 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,243 | ||||||
2,720 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,274 | ||||||
377 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 453 | ||||||
|
| |||||||
355,074 | ||||||||
|
| |||||||
Non-Agency CMO — 5.8% |
| |||||||
738 | ABN Amro Mortgage Corp., Series 2003-9, | 754 | ||||||
260 | Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21, VAR, 0.466%, 09/25/35 | 226 | ||||||
American General Mortgage Loan Trust, | ||||||||
1,264 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,325 | ||||||
2,540 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 2,549 | ||||||
3,000 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 3,067 | ||||||
760 | Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e) | 795 | ||||||
300 | Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e) | 308 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
174 | ASG Resecuritization Trust, Series 2009-2, | 173 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
565 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 590 | ||||||
884 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 907 | ||||||
528 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 540 | ||||||
Banc of America Funding Corp., | ||||||||
1,500 | Series 2005-5, Class 3A5, 5.500%, 08/25/35 | 1,363 | ||||||
353 | Series 2005-7, Class 30PO, PO, 11/25/35 | 274 | ||||||
1,721 | Series 2005-E, Class 4A1, VAR, 2.645%, 03/20/35 | 1,695 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
1,446 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 1,485 | ||||||
636 | Series 2003-4, Class 1B1, 5.500%, 06/25/33 | 599 | ||||||
269 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 279 | ||||||
276 | Series 2004-2, Class 2A4, 5.500%, 03/25/34 | 263 | ||||||
1,990 | Series 2004-3, Class 2A1, 5.500%, 04/25/34 | 2,041 | ||||||
732 | Series 2004-5, Class 3A3, 5.000%, 06/25/19 | 755 | ||||||
291 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 300 | ||||||
529 | Series 2004-7, Class 2A2, 5.750%, 08/25/34 | 546 | ||||||
160 | Series 2004-8, Class XPO, PO, 10/25/34 | 152 | ||||||
2 | Series 2004-11, Class 15PO, PO, 01/25/20 | 2 | ||||||
677 | Series 2004-F, Class 1A1, VAR, 2.998%, 07/25/34 | 637 | ||||||
134 | Series 2005-1, Class 15PO, PO, 02/25/20 | 117 | ||||||
504 | Series 2005-1, Class 1A17, 5.500%, 02/25/35 | 457 | ||||||
915 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 969 | ||||||
113 | Series 2005-10, Class 15PO, PO, 11/25/20 | 99 | ||||||
169 | Series 2005-11, Class 15PO, PO, 12/25/20 | 144 | ||||||
BCAP LLC Trust, | ||||||||
300 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 308 | ||||||
861 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/27/35 (e) | 874 | ||||||
1,505 | Series 2010-RR6, Class 8A6, VAR, 5.500%, 08/26/36 (e) | 1,604 | ||||||
1,129 | Series 2010-RR7, Class 16A1, VAR, 0.848%, 02/26/47 (e) | 1,053 | ||||||
982 | Series 2010-RR8, Class 3A3, VAR, 5.070%, 05/26/35 (e) | 989 | ||||||
1,727 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 1,674 | ||||||
267 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.713%, 10/25/33 | 267 |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
7 | Bear Stearns Mortgage Securities, Inc., | 7 | ||||||
Chase Mortgage Finance Corp., | ||||||||
263 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 271 | ||||||
422 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 445 | ||||||
787 | Series 2004-S1, Class M, VAR, 5.094%, 02/25/19 | 709 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
393 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 399 | ||||||
775 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 812 | ||||||
452 | Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 474 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
44 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 44 | ||||||
219 | Series 2004-HYB4, Class AA, VAR, 0.565%, 12/25/34 | 197 | ||||||
575 | Series 2004-UST1, Class A3, VAR, 2.514%, 08/25/34 | 587 | ||||||
1,236 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 1,280 | ||||||
1,118 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 1,161 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
292 | Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 303 | ||||||
884 | Series 2004-16CB, Class 2A2, 5.000%, 08/25/19 | 897 | ||||||
268 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 274 | ||||||
1,285 | Series 2004-22CB, Class 1A1, 6.000%, 10/25/34 | 1,275 | ||||||
573 | Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35 | 578 | ||||||
299 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 302 | ||||||
800 | Series 2005-23CB, Class A2, 5.500%, 07/25/35 | 717 | ||||||
5,129 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 4,445 | ||||||
1,741 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 1,277 | ||||||
197 | Series 2005-J6, Class 2A1, 5.500%, 07/25/25 | 196 | ||||||
88 | Series 2005-J7, Class 1A9, 5.500%, 07/25/35 | 11 | ||||||
441 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 303 | ||||||
Countrywide Home Loan Mortgage Pass-Through |
| |||||||
211 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 221 | ||||||
622 | Series 2003-40, Class A3, 4.500%, 10/25/18 | 635 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
689 | Series 2003-50, Class A1, 5.000%, 11/25/18 | 709 | ||||||
140 | Series 2003-J7, Class 2A13, 5.000%, 08/25/33 | 135 | ||||||
954 | Series 2004-3, Class A25, 5.750%, 04/25/34 | 910 | ||||||
1,756 | Series 2004-4, Class A13, 5.250%, 05/25/34 | 1,792 | ||||||
1,101 | Series 2004-5, Class 2A9, 5.250%, 05/25/34 | 1,129 | ||||||
1,315 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 1,339 | ||||||
876 | Series 2004-J1, Class 2A1, 4.750%, 01/25/19 | 900 | ||||||
1,102 | Series 2004-J7, Class 2A2, 4.500%, 08/25/19 | 1,139 | ||||||
91 | Series 2005-13, Class A2, 5.500%, 06/25/35 | 91 | ||||||
1,215 | Series 2005-22, Class 2A1, VAR, 2.723%, 11/25/35 | 913 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
611 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 621 | ||||||
1,500 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,404 | ||||||
997 | Series 2010-20R, Class 2A3, VAR, 3.500%, 06/27/37 (e) | 866 | ||||||
1,231 | Series 2011-7R, Class A1, VAR, 1.484%, 08/28/47 (e) | 1,211 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
286 | Series 2003-29, Class 8A1, 6.000%, 11/25/18 | 293 | ||||||
2,640 | Series 2004-4, Class 5A4, IF, IO, 7.315%, 08/25/34 | 376 | ||||||
1,000 | Series 2005-1, Class 1A16, 5.500%, 02/25/35 | 862 | ||||||
419 | Series 2005-7, Class 5A1, 4.750%, 08/25/20 | 439 | ||||||
430 | Series 2005-10, Class 10A4, 6.000%, 11/25/35 | 281 | ||||||
881 | Series 2005-10, Class 6A13, 5.500%, 11/25/35 | 813 | ||||||
136 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35 | 86 | ||||||
707 | DLJ Mortgage Acceptance Corp., | 716 | ||||||
661 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.564%, 09/25/34 | 619 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
112 | Series 2003-8, Class 1A43, PO, 10/25/33 | 100 | ||||||
1,099 | Series 2004-AR6, Class 2A1, VAR, 2.625%, 12/25/34 | 1,067 | ||||||
55 | Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 | 55 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 97 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 |
| |||||||
400 | Series 2004-AR7, Class 2A2, VAR, 2.616%, 02/25/35 | 397 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
1,261 | Series 2003-J10, Class A1, 4.750%, 01/25/19 | 1,304 | ||||||
486 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 501 | ||||||
325 | Series 2005-AR3, Class 3A4, VAR, 3.338%, 06/19/35 | 302 | ||||||
GSR Mortgage Loan Trust, | ||||||||
605 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 603 | ||||||
1,133 | Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 1,191 | ||||||
690 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 736 | ||||||
714 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 747 | ||||||
3,174 | Series 2005-2F, Class 1A5, 5.500%, 03/25/35 | 3,203 | ||||||
378 | Series 2005-5F, Class 8A1, VAR, 0.735%, 06/25/35 | 358 | ||||||
219 | Series 2005-5F, Class 8A3, VAR, 0.735%, 06/25/35 | 208 | ||||||
875 | Series 2007-2F, Class 2A7, 5.750%, 02/25/37 | 877 | ||||||
Impac CMB Trust, | ||||||||
1,411 | Series 2004-10, Class 3A1, VAR, 0.935%, 03/25/35 | 1,279 | ||||||
858 | Series 2004-10, Class 3A2, VAR, 1.036%, 03/25/35 | 585 | ||||||
24 | Impac Secured Assets CMN Owner Trust, | 25 | ||||||
JP Morgan Mortgage Trust, | ||||||||
1,718 | Series 2004-S1, Class 3A1, 5.500%, 09/25/34 | 1,790 | ||||||
1,190 | Series 2004-S2, Class 4A5, 6.000%, 11/25/34 | 1,181 | ||||||
1,069 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 1,086 | ||||||
1,474 | Series 2006-A2, Class 4A1, VAR, 3.014%, 08/25/34 | 1,481 | ||||||
1,102 | Series 2006-A2, Class 5A3, VAR, 2.710%, 11/25/33 | 1,121 | ||||||
339 | Series 2007-A1, Class 5A2, VAR, 2.912%, 07/25/35 | 342 | ||||||
670 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 3.018%, 08/26/35 (e) | 658 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
360 | Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 363 | ||||||
121 | Series 2004-13, Class 3A6, VAR, 2.623%, 11/21/34 | 124 | ||||||
MASTR Alternative Loans Trust, | ||||||||
493 | Series 2003-7, Class 4A3, 8.000%, 11/25/18 | 527 | ||||||
270 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 280 | ||||||
683 | Series 2003-9, Class 5A1, 4.500%, 12/25/18 | 705 | ||||||
1,177 | Series 2004-6, Class 6A1, 6.500%, 07/25/34 | 1,245 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
1,074 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 1,084 | ||||||
166 | Series 2004-7, Class 30PO, PO, 08/25/34 | 124 | ||||||
93 | Series 2004-7, Class 3A1, 6.500%, 08/25/34 | 99 | ||||||
726 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 740 | ||||||
1,066 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,092 | ||||||
320 | Series 2004-11, Class 8A3, 5.500%, 11/25/19 | 322 | ||||||
57 | Series 2005-1, Class 5A1, 5.500%, 01/25/20 | 58 | ||||||
MASTR Asset Securitization Trust, | ||||||||
53 | Series 2003-6, Class 8A1, 5.500%, 07/25/33 | 55 | ||||||
330 | Series 2003-10, Class 3A1, 5.500%, 11/25/33 | 343 | ||||||
128 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 133 | ||||||
224 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 230 | ||||||
81 | Series 2004-6, Class 15PO, PO, 05/25/19 | 80 | ||||||
583 | Series 2004-6, Class 3A1, 5.250%, 07/25/19 | 601 | ||||||
287 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 297 | ||||||
113 | Series 2004-8, Class PO, PO, 08/25/19 | 112 | ||||||
212 | Series 2004-10, Class 1A1, 4.500%, 10/25/19 | 218 | ||||||
1,338 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 1,411 | ||||||
207 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 161 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
954 | Series 2004-C, Class A2, VAR, 1.337%, 07/25/29 | 947 | ||||||
674 | Series 2004-D, Class A3, VAR, 2.492%, 09/25/29 | 667 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
1,262 | Series 2004-3, Class 4A, VAR, 5.669%, 04/25/34 | 1,287 | ||||||
494 | Series 2004-7AR, Class 2A6, VAR, 2.778%, 09/25/34 | 464 | ||||||
396 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.556%, 02/25/35 | 350 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
316 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 310 | ||||||
1,072 | Series 2005-AR1, Class 1A1, VAR, 2.828%, 02/25/35 | 1,050 | ||||||
Paine Webber CMO Trust, | ||||||||
6 | Series H, Class 4, 8.750%, 04/01/18 | 6 | ||||||
5 | Series L, Class 4, 8.950%, 07/01/18 | 5 |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,835 | PHH Mortgage Capital LLC, Series 2008-CIM2, Class 5A1, 6.000%, 07/25/38 | 1,980 | ||||||
646 | Prime Mortgage Trust, Series 2004-CL1, | 681 | ||||||
RALI Trust, | ||||||||
663 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 678 | ||||||
1,542 | Series 2003-QS19, Class NB2, 5.750%, 10/25/33 | 1,464 | ||||||
1,197 | Series 2004-QS3, Class CB, 5.000%, 03/25/19 | 1,247 | ||||||
80 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 80 | ||||||
4,000 | Series 2005-QS5, Class A4, 5.750%, 04/25/35 | 3,180 | ||||||
359 | Residential Asset Securitization Trust, | 295 | ||||||
RFMSI Trust, | ||||||||
521 | Series 2004-S4, Class 2A7, 4.500%, 04/25/19 | 543 | ||||||
487 | Series 2005-SA4, Class 1A1, VAR, 3.121%, 09/25/35 | 382 | ||||||
4,309 | Series 2006-S1, Class 1A8, 5.750%, 01/25/36 | 3,911 | ||||||
216 | RFSC Trust, Series 2003-RM2, Class AII, 5.000%, 05/25/18 | 224 | ||||||
1,889 | RMS Mortgage Asset Trust, Series 2012-1, | 1,896 | ||||||
82 | SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) | 83 | ||||||
1,544 | Sequoia Mortgage Trust, Series 2004-8, | 1,497 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1,500 | Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e) | 1,574 | ||||||
616 | Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e) | 621 | ||||||
3,365 | Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 3,365 | ||||||
2,800 | Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e) | 2,721 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
595 | Series 2004-14, Class 1A, VAR, 2.848%, 10/25/34 | 528 | ||||||
499 | Series 2005-5, Class A1, VAR, 0.465%, 05/25/35 | 485 | ||||||
232 | Series 2005-5, Class A2, VAR, 0.465%, 05/25/35 | 227 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Non-Agency CMO — Continued |
| |||||||
Structured Asset Securities Corp., | ||||||||
4,042 | Series 2003-26A, Class 3A5, VAR, 2.797%, 09/25/33 | 3,910 | ||||||
927 | Series 2003-31A, Class B1, VAR, 2.806%, 10/25/33 | 383 | ||||||
595 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 602 | ||||||
532 | Series 2003-37A, Class 2A, VAR, 5.026%, 12/25/33 | 544 | ||||||
474 | Series 2004-7, Class 2A1, VAR, 5.444%, 05/25/24 | 493 | ||||||
694 | Series 2005-5, Class 2A1, 5.500%, 04/25/35 | 696 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
146 | Series 2011-NL1A, Class A1, VAR, 5.926%, 12/26/50 (e) (f) (i) | 146 | ||||||
119 | Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) | 120 | ||||||
279 | Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e) | 280 | ||||||
1,360 | Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) | 1,367 | ||||||
923 | Series 2012-NL1A, Class A2, VAR, 8.112%, 03/25/49 (e) (f) (i) | 942 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
177 | Series 2002-S4, Class A4, 6.500%, 10/19/29 | 186 | ||||||
234 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 241 | ||||||
755 | Series 2003-AR8, Class A, VAR, 2.462%, 08/25/33 | 770 | ||||||
540 | Series 2003-AR9, Class 1A6, VAR, 2.449%, 09/25/33 | 552 | ||||||
121 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 | 126 | ||||||
235 | Series 2004-AR3, Class A1, VAR, 2.584%, 06/25/34 | 238 | ||||||
2,166 | Series 2004-AR3, Class A2, VAR, 2.584%, 06/25/34 | 2,198 | ||||||
538 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 563 | ||||||
513 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 534 | ||||||
1,926 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 1,969 | ||||||
173 | Series 2005-AR2, Class 2A21, VAR, 0.565%, 01/25/45 | 153 | ||||||
1,676 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, | 1,564 | ||||||
1,525 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1, Class 2A, 7.000%, 03/25/34 | 1,611 | ||||||
1,112 | Wells Fargo Mortgage Loan Trust, | 1,118 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 99 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 |
| |||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
78 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 81 | ||||||
363 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 374 | ||||||
685 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 709 | ||||||
386 | Series 2003-17, Class 2A9, PO, 01/25/34 | 304 | ||||||
231 | Series 2003-18, Class A1, 5.500%, 12/25/33 | 242 | ||||||
397 | Series 2003-F, Class A1, VAR, 4.868%, 06/25/33 | 404 | ||||||
86 | Series 2003-J, Class 2A5, VAR, 4.430%, 10/25/33 | 87 | ||||||
514 | Series 2003-M, Class A1, VAR, 4.695%, 12/25/33 | 527 | ||||||
332 | Series 2004-B, Class A1, VAR, 4.963%, 02/25/34 | 343 | ||||||
320 | Series 2004-DD, Class 2A8, VAR, 2.615%, 01/25/35 | 258 | ||||||
352 | Series 2004-EE, Class 3A1, VAR, 2.949%, 12/25/34 | 364 | ||||||
485 | Series 2004-EE, Class 3A2, VAR, 2.949%, 12/25/34 | 504 | ||||||
1,065 | Series 2004-K, Class 1A2, VAR, 2.615%, 07/25/34 | 1,084 | ||||||
108 | Series 2004-Q, Class 1A3, VAR, 2.608%, 09/25/34 | 110 | ||||||
370 | Series 2004-Q, Class 2A2, VAR, 2.615%, 09/25/34 | 338 | ||||||
441 | Series 2004-U, Class A1, VAR, 2.764%, 10/25/34 | 451 | ||||||
318 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 335 | ||||||
819 | Series 2005-1, Class B1, VAR, 4.923%, 01/25/20 | 781 | ||||||
2,175 | Series 2005-9, Class 2A10, 5.250%, 10/25/35 | 2,164 | ||||||
431 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 457 | ||||||
52 | Series 2005-AR13, Class A1, VAR, 5.241%, 05/25/35 | 52 | ||||||
1,345 | Series 2005-AR16, Class 2A1, VAR, 2.651%, 02/25/34 | 1,324 | ||||||
|
| |||||||
162,592 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $489,614) | 517,666 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 4.7% |
| ||||||
1,948 | A10 Securitization LLC, Series 2012-1, Class A, 3.492%, 04/15/24 (e) | 1,958 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Banc of America Large Loan, Inc., | ||||||||
500 | Series 2009-UB1, Class A4A, VAR, 5.686%, 06/24/50 (e) | 560 | ||||||
4,459 | Series 2010-HLTN, Class HLTN, VAR, 1.990%, 11/15/15 (e) | 4,370 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
1,730 | Series 2005-1, Class AJ, VAR, 5.366%, 11/10/42 | 1,811 | ||||||
1,050 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 1,152 | ||||||
1,000 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 1,053 | ||||||
1,050 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 1,175 | ||||||
1,438 | Series 2005-6, Class ASB, VAR, 5.366%, 09/10/47 | 1,490 | ||||||
485 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 546 | ||||||
3,175 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 3,638 | ||||||
1,005 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 1,154 | ||||||
3,566 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 4,037 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
1,655 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 1,769 | ||||||
73 | Series 2004-T14, Class A3, 4.800%, 01/12/41 | 74 | ||||||
640 | Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41 | 698 | ||||||
2,570 | Series 2006-PW11, Class A4, VAR, 5.621%, 03/11/39 | 2,915 | ||||||
75 | Series 2006-PW12, Class A4, VAR, 5.893%, 09/11/38 | 86 | ||||||
250 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 289 | ||||||
1,973 | Citigroup Commercial Mortgage Trust, | 2,112 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||||||
500 | Series 2005-CD1, Class AM, VAR, 5.393%, 07/15/44 | 546 | ||||||
91,647 | Series 2007-CD4, Class XC, IO, VAR, 0.245%, 12/11/49 (e) | 715 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2,500 | Series 2005-LP5, Class B, VAR, 5.105%, 05/10/43 | 2,604 | ||||||
2,052 | Series 2012-CR2, Class XA, IO, VAR, 2.141%, 08/15/45 | 262 |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
3,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C2, Class F, VAR, 6.750%, 11/15/30 (e) | 3,226 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
1,500 | Series 2006-C2, Class A3, VAR, 5.852%, 03/15/39 | 1,673 | ||||||
135,379 | Series 2007-C2, Class AX, IO, VAR, 0.238%, 01/15/49 (e) | 644 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
2,000 | Series 2003-C4, Class D, VAR, 5.353%, 08/15/36 | 2,050 | ||||||
2,480 | Series 2004-C1, Class D, VAR, 4.956%, 01/15/37 (e) | 2,494 | ||||||
2,321 | Series 2005-C3, Class AM, 4.730%, 07/15/37 | 2,481 | ||||||
3,680 | CW Capital Cobalt Ltd., Series 2006-C1, | 4,120 | ||||||
20,408 | DBUBS Mortgage Trust, Series 2011-LC2A, Class XA, IO, VAR, 1.614%, 07/10/44 (e) | 1,447 | ||||||
2,442 | Fontainebleau Miami Beach Trust, | 2,532 | ||||||
2,505 | GE Capital Commercial Mortgage Corp., | 2,591 | ||||||
GMAC Commercial Mortgage Securities, Inc., | ||||||||
53,504 | Series 1998-C2, Class X, IO, VAR, 1.079%, 05/15/35 | 1,305 | ||||||
645 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 713 | ||||||
2,330 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42 | 2,449 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
2,150 | Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 2,302 | ||||||
465 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 525 | ||||||
793 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 881 | ||||||
20,000 | Series 2012-SHOP, Class XA, IO, VAR, 1.437%, 06/05/31 (e) | 1,553 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
2,500 | Series 2005-CB11, Class AJ, VAR, 5.540%, 08/12/37 | 2,667 | ||||||
198,524 | Series 2005-CB11, Class X1, IO, VAR, 0.255%, 08/12/37 (e) | 669 | ||||||
2,000 | Series 2005-CB13, Class A4, VAR, 5.467%, 01/12/43 | 2,211 | ||||||
200 | Series 2005-LDP2, Class AM, 4.780%, 07/15/42 | 215 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
625 | Series 2005-LDP4, Class AM, VAR, 4.999%, 10/15/42 | 678 | ||||||
271,698 | Series 2005-LDP5, Class X1, IO, VAR, 0.095%, 12/15/44 (e) | 796 | ||||||
1,000 | Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44 | 1,123 | ||||||
88,224 | Series 2006-CB15, Class X1, IO, VAR, 0.117%, 06/12/43 | 579 | ||||||
2,060 | Series 2006-CB16, Class A4, 5.552%, 05/12/45 | 2,368 | ||||||
1,285 | Series 2006-CB17, Class A4, 5.429%, 12/12/43 | 1,460 | ||||||
620 | Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43 | 702 | ||||||
920 | Series 2006-LDP6, Class AM, VAR, 5.525%, 04/15/43 | 1,002 | ||||||
1,160 | Series 2006-LDP7, Class A4, VAR, 6.061%, 04/15/45 | 1,333 | ||||||
25,472 | Series 2006-LDP8, Class X, IO, VAR, 0.733%, 05/15/45 | 443 | ||||||
2,000 | Series 2006-LDP9, Class AMS, 5.337%, 05/15/47 | 1,931 | ||||||
11,566 | Series 2010-C2, Class XA, IO, VAR, 2.132%, 11/15/43 (e) | 1,070 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
1,212 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 1,268 | ||||||
1,000 | Series 2005-C2, Class A5, VAR, 5.150%, 04/15/30 | 1,105 | ||||||
405 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 453 | ||||||
1,060 | Series 2006-C4, Class A4, VAR, 6.064%, 06/15/38 | 1,221 | ||||||
560 | Series 2006-C6, Class A4, 5.372%, 09/15/39 | 647 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
602 | Series 2005-CKI1, Class A6, VAR, 5.389%, 11/12/37 | 673 | ||||||
1,425 | Series 2005-CKI1, Class AM, VAR, 5.389%, 11/12/37 | 1,536 | ||||||
1,750 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 1,953 | ||||||
1,750 | Series 2005-LC1, Class AJ, VAR, 5.498%, 01/12/44 | 1,821 | ||||||
2,000 | Series 2005-LC1, Class AM, VAR, 5.439%, 01/12/44 | 2,200 | ||||||
1,755 | Series 2006-C1, Class A4, VAR, 5.847%, 05/12/39 | 2,010 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
1,725 | Series 2006-1, Class A4, VAR, 5.607%, 02/12/39 | 1,957 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 101 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
250 | Series 2006-4, Class A3, VAR, 5.172%, 12/12/49 | 284 | ||||||
114,980 | Series 2006-4, Class XC, IO, VAR, 0.243%, 12/12/49 (e) | 1,460 | ||||||
Morgan Stanley Capital I, Inc., | ||||||||
645 | Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52 | 723 | ||||||
1,575 | Series 2006-T23, Class AM, VAR, 5.987%, 08/12/41 | 1,776 | ||||||
93,659 | Series 2007-HQ11, Class X, IO, VAR, 0.401%, 02/12/44 (e) | 620 | ||||||
699 | Series 2011-C3, Class A3, 4.054%, 07/15/49 | 782 | ||||||
583 | Morgan Stanley Dean Witter Capital I, | 589 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
3,000 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 3,177 | ||||||
343 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 345 | ||||||
900 | Series 2012-XA, Class A, 2.000%, 07/28/49 | 906 | ||||||
1,500 | Series 2012-XA, Class B, 0.250%, 07/28/49 | 1,050 | ||||||
1,290 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.584%, 08/15/39 | 1,378 | ||||||
9,342 | UBS Commercial Mortgage Trust, | 1,412 | ||||||
2,191 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 2,323 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1,560 | Series 2012-C2, Class A4, 3.525%, 05/10/63 | 1,663 | ||||||
17,936 | Series 2012-C2, Class XA, IO, VAR, 1.994%, 05/10/63 (e) | 1,904 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
932 | Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 991 | ||||||
193 | Series 2005-C16, Class AJ, VAR, 4.896%, 10/15/41 | 204 | ||||||
170 | Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 | 186 | ||||||
250 | Series 2006-C25, Class A4, VAR, 5.923%, 05/15/43 | 286 | ||||||
2,279 | Wells Fargo Reremic Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 2,271 | ||||||
2,500 | WF-RBS Commercial Mortgage Trust, | 2,803 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 131,224 | |||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Convertible Bonds — 0.0% (g) |
| ||||||
Consumer Discretionary — 0.0% (g) | ||||||||
Diversified Consumer Services — 0.0% (g) | ||||||||
165 | Stewart Enterprises, Inc., 3.125%, 07/15/14 | 166 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (g) | ||||||||
192 | Real Mex Restaurants, Inc., 1.120%, 03/21/18 (f) (i) | 192 | ||||||
|
| |||||||
Total Consumer Discretionary | 358 | |||||||
|
| |||||||
Materials — 0.0% (g) | ||||||||
Construction Materials — 0.0% (g) | ||||||||
665 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 704 | ||||||
|
| |||||||
Utilities — 0.0% (g) | ||||||||
Independent Power Producers & Energy |
| |||||||
285 | Somerset Cayuga Holding Co., Inc., PIK, 20.000%, 06/15/17 (e) (f) (i) | 285 | ||||||
|
| |||||||
Total Convertible Bonds | 1,347 | |||||||
|
| |||||||
| Corporate Bonds — 33.6% |
| ||||||
Consumer Discretionary — 3.9% | ||||||||
Auto Components — 0.1% | ||||||||
47 | Dana Holding Corp., 6.750%, 02/15/21 | 51 | ||||||
890 | Johnson Controls, Inc., 5.700%, 03/01/41 | 1,072 | ||||||
720 | Lear Corp., 8.125%, 03/15/20 | 810 | ||||||
|
| |||||||
1,933 | ||||||||
|
| |||||||
Automobiles — 0.1% | ||||||||
Daimler Finance North America LLC, | ||||||||
1,721 | 1.300%, 07/31/15 (e) | 1,723 | ||||||
320 | 8.500%, 01/18/31 | 502 | ||||||
Ford Motor Co., | ||||||||
130 | 7.450%, 07/16/31 | 161 | ||||||
400 | 9.215%, 09/15/21 | 508 | ||||||
Motors Liquidation Co., | ||||||||
120 | 5.250%, 03/06/32 (f) (i) | — | (h) | |||||
385 | 6.250%, 07/15/33 (f) (i) | — | (h) | |||||
21 | 7.250%, 04/15/41 (f) (i) | — | (h) | |||||
1 | 7.250%, 07/15/41 (f) (i) | — | (h) | |||||
42 | 7.250%, 02/15/52 (f) (i) | — | (h) | |||||
55 | 7.375%, 05/15/48 (f) (i) | — | (h) | |||||
1 | 7.375%, 10/01/51 (f) (i) | — | (h) | |||||
2,500 | 7.700%, 04/15/16 (d) (f) (i) | — | (h) | |||||
|
| |||||||
2,894 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 0.7% | ||||||||
2,004 | Adelphia Communications Corp., 9.375%, 11/15/09 (d) | 16 |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Broadcasting & Cable TV — Continued | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
1,750 | 5.250%, 09/30/22 | 1,733 | ||||||
1,510 | 6.500%, 04/30/21 | 1,619 | ||||||
653 | 6.625%, 01/31/22 | 707 | ||||||
765 | 7.000%, 01/15/19 | 832 | ||||||
968 | 7.250%, 10/30/17 | 1,060 | ||||||
625 | 7.375%, 06/01/20 | 694 | ||||||
330 | 8.125%, 04/30/20 | 371 | ||||||
378 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 8.625%, 11/15/17 (e) | 406 | ||||||
CSC Holdings LLC, | ||||||||
75 | 6.750%, 11/15/21 (e) | 81 | ||||||
500 | 7.625%, 07/15/18 | 569 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
530 | 5.000%, 03/01/21 | 596 | ||||||
580 | 6.000%, 08/15/40 | 655 | ||||||
DISH DBS Corp., | ||||||||
433 | 4.625%, 07/15/17 (e) | 437 | ||||||
680 | 5.875%, 07/15/22 (e) | 685 | ||||||
1,510 | 6.750%, 06/01/21 | 1,608 | ||||||
5 | 7.125%, 02/01/16 | 6 | ||||||
1,675 | 7.875%, 09/01/19 | 1,924 | ||||||
200 | Mediacom Broadband LLC/Mediacom Broadband Corp., 6.375%, 04/01/23 (e) | 199 | ||||||
Mediacom LLC/Mediacom Capital Corp., | ||||||||
160 | 7.250%, 02/15/22 | 170 | ||||||
872 | 9.125%, 08/15/19 | 970 | ||||||
1,250 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 1,353 | ||||||
1,040 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 1,100 | ||||||
884 | UPCB Finance V Ltd., (Cayman Islands), 7.250%, 11/15/21 (e) | 963 | ||||||
526 | UPCB Finance VI Ltd., (Cayman Islands), 6.875%, 01/15/22 (e) | 558 | ||||||
400 | Videotron Ltee, (Canada), 5.000%, 07/15/22 | 424 | ||||||
Virgin Media Finance plc, (United Kingdom), | ||||||||
605 | 5.250%, 02/15/22 | 634 | ||||||
600 | 8.375%, 10/15/19 | 678 | ||||||
|
| |||||||
21,048 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
Service Corp. International, | ||||||||
495 | 7.000%, 06/15/17 | 564 | ||||||
700 | 7.000%, 05/15/19 | 767 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Consumer Services — Continued | ||||||||
2,073 | 7.625%, 10/01/18 | 2,438 | ||||||
615 | Stewart Enterprises, Inc., 6.500%, 04/15/19 | 652 | ||||||
|
| |||||||
4,421 | ||||||||
|
| |||||||
Gaming — 0.5% |
| |||||||
390 | American Casino & Entertainment Properties LLC/ACEP Finance Corp., 11.000%, 06/15/14 | 408 | ||||||
2,377 | Chukchansi Economic Development Authority, 9.750%, 05/30/20 (e) (f) (i) | 1,711 | ||||||
1,241 | CityCenter Holdings LLC/CityCenter Finance Corp., PIK, 10.750%, 01/15/17 | 1,316 | ||||||
711 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 809 | ||||||
MGM Resorts International, | ||||||||
1,650 | 9.000%, 03/15/20 | 1,842 | ||||||
675 | 10.000%, 11/01/16 | 751 | ||||||
825 | 11.375%, 03/01/18 | 951 | ||||||
875 | Peninsula Gaming LLC/Peninsula Gaming Corp., 8.375%, 08/15/15 | 919 | ||||||
870 | Pinnacle Entertainment, Inc., 8.625%, 08/01/17 | 950 | ||||||
500 | Seminole Hard Rock Entertainment, Inc., VAR, 2.968%, 03/15/14 (e) | 493 | ||||||
775 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 798 | ||||||
3,000 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) | 2,453 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
360 | 5.375%, 03/15/22 (e) | 368 | ||||||
1,000 | 7.875%, 05/01/20 | 1,114 | ||||||
|
| |||||||
14,883 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.3% |
| |||||||
713 | Cinemark USA, Inc., 8.625%, 06/15/19 | 799 | ||||||
Host Hotels & Resorts LP, | ||||||||
450 | 4.750%, 03/01/23 | 461 | ||||||
2,625 | 6.000%, 11/01/20 | 2,901 | ||||||
250 | 6.000%, 10/01/21 | 282 | ||||||
Real Mex Restaurants, Inc., | ||||||||
232 | 11.000%, 03/15/14 (f) (i) | 232 | ||||||
377 | 12.000%, 03/15/14 (f) (i) | 377 | ||||||
Speedway Motorsports, Inc., | ||||||||
900 | 6.750%, 02/01/19 | 949 | ||||||
15 | 8.750%, 06/01/16 | 16 | ||||||
910 | Vail Resorts, Inc., 6.500%, 05/01/19 | 983 | ||||||
|
| |||||||
7,000 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 103 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Household Durables — 0.3% |
| |||||||
175 | American Standard Americas, 10.750%, 01/15/16 (e) | 156 | ||||||
D.R. Horton, Inc., | ||||||||
1,570 | 5.625%, 01/15/16 | 1,692 | ||||||
1,080 | 6.500%, 04/15/16 | 1,199 | ||||||
192 | KB Home, 7.500%, 09/15/22 | 199 | ||||||
Lennar Corp., | ||||||||
160 | 4.750%, 12/15/17 (e) | 160 | ||||||
1,150 | 6.950%, 06/01/18 | 1,246 | ||||||
315 | 12.250%, 06/01/17 | 411 | ||||||
106 | Libbey Glass, Inc., 6.875%, 05/15/20 (e) | 113 | ||||||
375 | MDC Holdings, Inc., 5.625%, 02/01/20 | 384 | ||||||
420 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 458 | ||||||
PulteGroup, Inc., | ||||||||
10 | 5.250%, 01/15/14 | 10 | ||||||
400 | 7.625%, 10/15/17 | 444 | ||||||
Standard Pacific Corp., | ||||||||
1,085 | 8.375%, 05/15/18 | 1,215 | ||||||
375 | 10.750%, 09/15/16 | 453 | ||||||
210 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 7.750%, 04/15/20 (e) | 222 | ||||||
Toll Brothers Finance Corp., | ||||||||
375 | 5.875%, 02/15/22 | 409 | ||||||
750 | 6.750%, 11/01/19 | 857 | ||||||
|
| |||||||
9,628 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.0% (g) |
| |||||||
968 | Icon Health & Fitness, Inc., 11.875%, 10/15/16 (e) | 890 | ||||||
|
| |||||||
Media — 1.2% |
| |||||||
Cablevision Systems Corp., | ||||||||
695 | 7.750%, 04/15/18 | 752 | ||||||
80 | 8.000%, 04/15/20 | 89 | ||||||
379 | 8.625%, 09/15/17 | 434 | ||||||
CBS Corp., | ||||||||
200 | 7.875%, 07/30/30 | 272 | ||||||
160 | 8.875%, 05/15/19 | 215 | ||||||
1,500 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 1,286 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
360 | 9.250%, 12/15/17 | 390 | ||||||
975 | 9.250%, 12/15/17 | 1,059 | ||||||
240 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 358 | ||||||
Comcast Corp., | ||||||||
850 | 5.900%, 03/15/16 | 989 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Media — Continued | ||||||||
240 | 6.300%, 11/15/17 | 295 | ||||||
177 | 6.550%, 07/01/39 | 235 | ||||||
281 | Discovery Communications LLC, 4.950%, 05/15/42 | 310 | ||||||
Gannett Co., Inc., | ||||||||
270 | 6.375%, 09/01/15 | 294 | ||||||
750 | 7.125%, 09/01/18 | 823 | ||||||
245 | 9.375%, 11/15/17 | 275 | ||||||
1,000 | Historic TW, Inc., 9.150%, 02/01/23 | 1,428 | ||||||
Hughes Satellite Systems Corp., | ||||||||
500 | 6.500%, 06/15/19 | 535 | ||||||
150 | 7.625%, 06/15/21 | 166 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
300 | 7.250%, 04/01/19 | 323 | ||||||
700 | 7.250%, 10/15/20 | 756 | ||||||
500 | 7.500%, 04/01/21 | 543 | ||||||
475 | 8.500%, 11/01/19 | 525 | ||||||
750 | Lamar Media Corp., 6.625%, 08/15/15 | 758 | ||||||
630 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 703 | ||||||
810 | NBCUniversal Media LLC, 5.950%, 04/01/41 | 1,018 | ||||||
News America, Inc., | ||||||||
600 | 6.750%, 01/09/38 | 691 | ||||||
800 | 7.750%, 01/20/24 | 1,016 | ||||||
200 | 7.850%, 03/01/39 | 273 | ||||||
147 | 8.875%, 04/26/23 | 199 | ||||||
2,091 | Radio One, Inc., PIK, 12.500%, 05/24/16 | 1,780 | ||||||
525 | Regal Cinemas Corp., 8.625%, 07/15/19 | 584 | ||||||
865 | Sinclair Television Group, Inc., 9.250%, 11/01/17 (e) | 962 | ||||||
180 | Sirius XM Radio, Inc., 5.250%, 08/15/22 (e) | 180 | ||||||
635 | Telesat Canada/Telesat LLC, (Canada), 6.000%, 05/15/17 (e) | 660 | ||||||
Thomson Reuters Corp., (Canada), | ||||||||
1,960 | 3.950%, 09/30/21 | 2,132 | ||||||
280 | 4.700%, 10/15/19 | 320 | ||||||
410 | 5.950%, 07/15/13 | 428 | ||||||
200 | 6.500%, 07/15/18 | 250 | ||||||
335 | Time Warner Cable, Inc., 7.300%, 07/01/38 | 457 | ||||||
Time Warner Entertainment Co. LP, | ||||||||
415 | 8.375%, 03/15/23 | 581 | ||||||
1,445 | 8.375%, 07/15/33 | 2,080 | ||||||
182 | Time Warner, Inc., 5.375%, 10/15/41 | 208 | ||||||
Univision Communications, Inc., | ||||||||
735 | 6.875%, 05/15/19 (e) | 759 |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued | ||||||||
1,000 | 7.875%, 11/01/20 (e) | 1,072 | ||||||
1,352 | Valassis Communications, Inc., 6.625%, 02/01/21 | 1,352 | ||||||
50 | Viacom, Inc., 6.875%, 04/30/36 | 67 | ||||||
Walt Disney Co. (The), | ||||||||
500 | 0.875%, 12/01/14 | 505 | ||||||
500 | 5.875%, 12/15/17 | 612 | ||||||
WMG Acquisition Corp., | ||||||||
743 | 9.500%, 06/15/16 | 814 | ||||||
50 | 11.500%, 10/01/18 | 55 | ||||||
|
| |||||||
32,868 | ||||||||
|
| |||||||
Multiline Retail — 0.1% |
| |||||||
328 | Dollar General Corp., 4.125%, 07/15/17 | 341 | ||||||
200 | Kohl’s Corp., 4.000%, 11/01/21 | 213 | ||||||
QVC, Inc., | ||||||||
170 | 5.125%, 07/02/22 (e) | 178 | ||||||
75 | 7.125%, 04/15/17 (e) | 79 | ||||||
75 | 7.375%, 10/15/20 (e) | 84 | ||||||
2,050 | 7.500%, 10/01/19 (e) | 2,272 | ||||||
310 | Target Corp., 7.000%, 01/15/38 | 461 | ||||||
|
| |||||||
3,628 | ||||||||
|
| |||||||
Specialty Retail — 0.4% |
| |||||||
220 | AutoNation, Inc., 5.500%, 02/01/20 | 234 | ||||||
1,374 | Claire’s Stores, Inc., 8.875%, 03/15/19 | 1,185 | ||||||
Limited Brands, Inc., | ||||||||
400 | 5.625%, 02/15/22 | 421 | ||||||
1,600 | 8.500%, 06/15/19 | 1,920 | ||||||
Lowe’s Cos., Inc., | ||||||||
116 | 5.125%, 11/15/41 | 133 | ||||||
951 | 7.110%, 05/15/37 | 1,325 | ||||||
651 | Neebo, Inc., 15.000%, 06/30/16 (e) | 625 | ||||||
1,429 | Sally Holdings LLC/Sally Capital, Inc., 5.750%, 06/01/22 | 1,538 | ||||||
200 | Staples, Inc., 9.750%, 01/15/14 | 223 | ||||||
1,000 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 1,008 | ||||||
1,750 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 1,894 | ||||||
|
| |||||||
10,506 | ||||||||
|
| |||||||
Total Consumer Discretionary | 109,699 | |||||||
|
| |||||||
Consumer Staples — 1.8% |
| |||||||
Beverages — 0.5% |
| |||||||
Anheuser-Busch Cos. LLC, | ||||||||
325 | 5.500%, 01/15/18 | 391 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Beverages — Continued |
| |||||||
550 | 5.750%, 04/01/36 | 711 | ||||||
280 | 7.550%, 10/01/30 | 402 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
410 | 6.875%, 11/15/19 | 541 | ||||||
275 | 7.750%, 01/15/19 | 370 | ||||||
Constellation Brands, Inc., | ||||||||
290 | 6.000%, 05/01/22 | 326 | ||||||
1,340 | 7.250%, 09/01/16 | 1,528 | ||||||
1,000 | 7.250%, 05/15/17 | 1,151 | ||||||
Diageo Finance B.V., (Netherlands), | ||||||||
575 | 5.300%, 10/28/15 | 653 | ||||||
325 | 5.500%, 04/01/13 | 334 | ||||||
Diageo Investment Corp., | ||||||||
1,000 | 7.450%, 04/15/35 | 1,521 | ||||||
365 | 8.000%, 09/15/22 | 526 | ||||||
PepsiCo, Inc., | ||||||||
1,720 | 1.250%, 08/13/17 | 1,723 | ||||||
572 | 3.000%, 08/25/21 | 609 | ||||||
800 | 3.750%, 03/01/14 | 839 | ||||||
70 | 7.900%, 11/01/18 | 95 | ||||||
70 | Pernod-Ricard S.A., (France), 5.750%, 04/07/21 (e) | 81 | ||||||
1,235 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 1,285 | ||||||
|
| |||||||
13,086 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
CVS Caremark Corp., | ||||||||
225 | 5.750%, 06/01/17 | 271 | ||||||
555 | 6.125%, 09/15/39 | 732 | ||||||
1,610 | Ingles Markets, Inc., 8.875%, 05/15/17 | 1,739 | ||||||
Kroger Co. (The), | ||||||||
215 | 6.400%, 08/15/17 | 258 | ||||||
1,162 | 7.500%, 04/01/31 | 1,533 | ||||||
300 | 7.700%, 06/01/29 | 390 | ||||||
2,300 | New Albertsons, Inc., 7.450%, 08/01/29 | 1,357 | ||||||
Rite Aid Corp., | ||||||||
169 | 7.500%, 03/01/17 | 174 | ||||||
1,500 | 8.000%, 08/15/20 | 1,687 | ||||||
6,000 | 9.500%, 06/15/17 | 6,188 | ||||||
SUPERVALU, Inc., | ||||||||
135 | 7.500%, 11/15/14 | 130 | ||||||
2,000 | 8.000%, 05/01/16 | 1,790 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,500 | 3.625%, 07/08/20 | 1,687 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 105 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 | ||||||||
160 | 5.250%, 09/01/35 | 200 | ||||||
1,000 | 6.200%, 04/15/38 | 1,412 | ||||||
260 | 7.550%, 02/15/30 | 400 | ||||||
|
| |||||||
19,948 | ||||||||
|
| |||||||
Food Products — 0.4% | ||||||||
380 | Bumble Bee Acquisition Corp., 9.000%, 12/15/17 (e) | 388 | ||||||
Bunge Ltd. Finance Corp., | ||||||||
370 | 5.875%, 05/15/13 | 382 | ||||||
655 | 8.500%, 06/15/19 | 827 | ||||||
148 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 167 | ||||||
Cargill, Inc., | ||||||||
350 | 1.900%, 03/01/17 (e) | 358 | ||||||
800 | 3.300%, 03/01/22 (e) | 832 | ||||||
200 | 6.000%, 11/27/17 (e) | 243 | ||||||
360 | 6.625%, 09/15/37 (e) | 487 | ||||||
1,000 | 7.350%, 03/06/19 (e) | 1,271 | ||||||
135 | ConAgra Foods, Inc., 7.000%, 04/15/19 | 170 | ||||||
191 | Eurofresh, Inc., PIK, 15.000%, | — | ||||||
JBS USA LLC/JBS USA Finance, Inc., | ||||||||
746 | 8.250%, 02/01/20 (e) | 712 | ||||||
367 | 11.625%, 05/01/14 | 414 | ||||||
737 | Kellogg Co., 3.125%, 05/17/22 | 773 | ||||||
Kraft Foods Group, Inc., | ||||||||
429 | 3.500%, 06/06/22 (e) | 455 | ||||||
488 | 5.000%, 06/04/42 (e) | 555 | ||||||
599 | 6.125%, 08/23/18 (e) | 736 | ||||||
575 | 6.875%, 01/26/39 (e) | 797 | ||||||
Kraft Foods, Inc., | ||||||||
211 | 6.125%, 02/01/18 | 257 | ||||||
335 | 6.500%, 08/11/17 | 412 | ||||||
500 | Post Holdings, Inc., 7.375%, 02/15/22 (e) | 527 | ||||||
Smithfield Foods, Inc., | ||||||||
180 | 6.625%, 08/15/22 | 184 | ||||||
500 | 7.750%, 07/01/17 | 558 | ||||||
|
| |||||||
11,505 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
575 | Armored Autogroup, Inc., 9.250%, 11/01/18 | 508 | ||||||
1,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 | 1,230 | ||||||
730 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 988 | ||||||
1,750 | Scotts Miracle-Gro Co. (The), 6.625%, 12/15/20 | 1,879 | ||||||
|
| |||||||
4,605 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Tobacco — 0.0% (g) | ||||||||
250 | Alliance One International, Inc., 10.000%, 07/15/16 | 254 | ||||||
|
| |||||||
Total Consumer Staples | 49,398 | |||||||
|
| |||||||
Energy — 3.3% | ||||||||
Energy Equipment & Services — 0.4% | ||||||||
720 | Baker Hughes, Inc., 5.125%, 09/15/40 | 890 | ||||||
322 | Cameron International Corp., 1.600%, 04/30/15 | 325 | ||||||
70 | Diamond Offshore Drilling, Inc., 5.875%, 05/01/19 | 85 | ||||||
Halliburton Co., | ||||||||
250 | 7.450%, 09/15/39 | 394 | ||||||
275 | 7.600%, 08/15/96 (e) | 435 | ||||||
700 | 8.750%, 02/15/21 | 1,017 | ||||||
Key Energy Services, Inc., | ||||||||
292 | 6.750%, 03/01/21 (e) | 295 | ||||||
445 | 6.750%, 03/01/21 | 453 | ||||||
98 | Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22 | 103 | ||||||
850 | Oil States International, Inc., 6.500%, 06/01/19 | 903 | ||||||
450 | Petroleum Geo-Services ASA, (Norway), 7.375%, 12/15/18 (e) | 480 | ||||||
550 | PHI, Inc., 8.625%, 10/15/18 | 569 | ||||||
Precision Drilling Corp., (Canada), | ||||||||
210 | 6.500%, 12/15/21 | 221 | ||||||
360 | 6.625%, 11/15/20 | 378 | ||||||
219 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) | 236 | ||||||
700 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 716 | ||||||
2,110 | Transocean, Inc., (Cayman Islands), 6.500%, 11/15/20 | 2,522 | ||||||
280 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 301 | ||||||
520 | Unit Corp., 6.625%, 05/15/21 (e) | 528 | ||||||
|
| |||||||
10,851 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.9% | ||||||||
1,000 | Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 07/15/22 | 1,037 | ||||||
175 | Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31 | 218 | ||||||
Alpha Natural Resources, Inc., | ||||||||
175 | 6.000%, 06/01/19 | 157 | ||||||
175 | 6.250%, 06/01/21 | 157 | ||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., | ||||||||
315 | 6.750%, 05/20/20 | 336 |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
405 | 7.000%, 05/20/22 | 432 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp., | ||||||||
1,315 | 6.250%, 08/20/19 | 1,367 | ||||||
649 | 6.500%, 05/20/21 | 680 | ||||||
278 | Anadarko Holding Co., 7.150%, 05/15/28 | 335 | ||||||
Anadarko Petroleum Corp., | ||||||||
350 | 6.950%, 06/15/19 | 436 | ||||||
125 | 7.625%, 03/15/14 | 137 | ||||||
100 | 7.950%, 06/15/39 | 140 | ||||||
225 | 8.700%, 03/15/19 | 299 | ||||||
250 | ANR Pipeline Co., 9.625%, 11/01/21 | 379 | ||||||
775 | Apache Corp., 6.900%, 09/15/18 | 1,003 | ||||||
Bill Barrett Corp., | ||||||||
250 | 7.625%, 10/01/19 | 260 | ||||||
825 | 9.875%, 07/15/16 | 910 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
385 | 3.245%, 05/06/22 | 410 | ||||||
1,835 | 3.875%, 03/10/15 | 1,978 | ||||||
515 | 4.750%, 03/10/19 | 598 | ||||||
325 | 5.250%, 11/07/13 | 343 | ||||||
815 | Burlington Resources, Inc., 8.200%, 03/15/25 | 1,174 | ||||||
330 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 | 430 | ||||||
Cenovus Energy, Inc., (Canada), | ||||||||
123 | 3.000%, 08/15/22 | 126 | ||||||
404 | 4.450%, 09/15/42 | 413 | ||||||
Chesapeake Energy Corp., | ||||||||
520 | 6.500%, 08/15/17 | 534 | ||||||
800 | 6.775%, 03/15/19 | 806 | ||||||
285 | 6.875%, 08/15/18 | 294 | ||||||
500 | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 (e) | 480 | ||||||
190 | Cimarex Energy Co., 5.875%, 05/01/22 | 203 | ||||||
450 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 517 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
450 | 8.250%, 12/15/17 | 488 | ||||||
500 | 8.500%, 12/15/19 | 555 | ||||||
Comstock Resources, Inc., | ||||||||
400 | 7.750%, 04/01/19 | 394 | ||||||
1,000 | 8.375%, 10/15/17 | 1,020 | ||||||
309 | 9.500%, 06/15/20 | 326 | ||||||
Concho Resources, Inc., | ||||||||
545 | 6.500%, 01/15/22 | 588 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
1,460 | 7.000%, 01/15/21 | 1,628 | ||||||
425 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 633 | ||||||
ConocoPhillips, | ||||||||
275 | 5.750%, 02/01/19 | 341 | ||||||
750 | 6.500%, 02/01/39 | 1,082 | ||||||
410 | 7.000%, 03/30/29 | 546 | ||||||
300 | ConocoPhillips Holding Co., 6.950%, 04/15/29 | 425 | ||||||
CONSOL Energy, Inc., | ||||||||
100 | 8.000%, 04/01/17 | 108 | ||||||
750 | 8.250%, 04/01/20 | 808 | ||||||
Continental Resources, Inc., | ||||||||
691 | 5.000%, 09/15/22 | 722 | ||||||
160 | 7.125%, 04/01/21 | 179 | ||||||
236 | Devon Energy Corp., 3.250%, 05/15/22 | 246 | ||||||
270 | Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31 | 393 | ||||||
El Paso LLC, | ||||||||
1,900 | 6.875%, 06/15/14 | 2,056 | ||||||
150 | 7.000%, 06/15/17 | 172 | ||||||
150 | El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20 | 177 | ||||||
Encana Corp., (Canada), | ||||||||
150 | 6.500%, 05/15/19 | 181 | ||||||
215 | 6.625%, 08/15/37 | 259 | ||||||
1,210 | ENI S.p.A., (Italy), 5.700%, 10/01/40 (e) | 1,234 | ||||||
EOG Resources, Inc., | ||||||||
1,700 | 4.100%, 02/01/21 | 1,931 | ||||||
200 | 6.875%, 10/01/18 | 252 | ||||||
300 | Ferrellgas LP/Ferrellgas Finance Corp., 6.500%, 05/01/21 | 294 | ||||||
500 | Forest Oil Corp., 7.250%, 06/15/19 | 487 | ||||||
1,000 | Frontier Oil Corp., 8.500%, 09/15/16 | 1,044 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
220 | 7.625%, 04/15/21 (e) | 242 | ||||||
1,370 | 8.000%, 02/15/20 (e) | 1,517 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
337 | 6.500%, 03/01/20 (e) | 352 | ||||||
150 | 8.250%, 03/15/18 | 163 | ||||||
650 | HollyFrontier Corp., 9.875%, 06/15/17 | 713 | ||||||
KazMunayGas National Co., (Kazakhstan), | ||||||||
545 | 6.375%, 04/09/21 (e) | 648 | ||||||
200 | Reg. S., 6.375%, 04/09/21 | 238 | ||||||
575 | Reg. S., 7.000%, 05/05/20 | 701 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 107 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 | ||||||||
345 | Laredo Petroleum, Inc., 7.375%, 05/01/22 | 371 | ||||||
410 | Marathon Oil Corp., 6.000%, 10/01/17 | 490 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., | ||||||||
1,000 | 5.500%, 02/15/23 | 1,023 | ||||||
500 | 6.250%, 06/15/22 | 531 | ||||||
415 | 6.750%, 11/01/20 | 447 | ||||||
386 | MEG Energy Corp., (Canada), 6.375%, 01/30/23 (e) | 402 | ||||||
Newfield Exploration Co., | ||||||||
288 | 5.625%, 07/01/24 | 313 | ||||||
625 | 5.750%, 01/30/22 | 684 | ||||||
750 | 6.875%, 02/01/20 | 819 | ||||||
890 | 7.125%, 05/15/18 | 941 | ||||||
1,641 | NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 (e) | 1,419 | ||||||
210 | NGPL PipeCo LLC, 9.625%, 06/01/19 (e) | 232 | ||||||
504 | Occidental Petroleum Corp., 2.700%, 02/15/23 | 518 | ||||||
336 | OGX Austria GmbH, (Austria), 8.375%, 04/01/22 (e) | 286 | ||||||
697 | PBF Holding Co. LLC/PBF Finance Corp., 8.250%, 02/15/20 (e) | 728 | ||||||
Peabody Energy Corp., | ||||||||
1,575 | 6.000%, 11/15/18 (e) | 1,611 | ||||||
675 | 6.250%, 11/15/21 (e) | 687 | ||||||
325 | 6.500%, 09/15/20 | 336 | ||||||
Pemex Project Funding Master Trust, | ||||||||
78 | 5.750%, 03/01/18 | 90 | ||||||
97 | 6.625%, 06/15/35 | 121 | ||||||
354 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 06/01/20 (e) | 360 | ||||||
Pertamina Persero PT, (Indonesia), | ||||||||
400 | 5.250%, 05/23/21 (e) | 436 | ||||||
200 | 6.000%, 05/03/42 (e) | 216 | ||||||
200 | 6.500%, 05/27/41 (e) | 227 | ||||||
80 | Petrobras International Finance Co. - Pifco, (Cayman Islands), 6.875%, 01/20/40 | 100 | ||||||
Petro-Canada, (Canada), | ||||||||
400 | 6.800%, 05/15/38 | 542 | ||||||
335 | 7.875%, 06/15/26 | 473 | ||||||
610 | Petrohawk Energy Corp., 6.250%, 06/01/19 | 691 | ||||||
Petroleos de Venezuela S.A., (Venezuela), | ||||||||
404 | 4.900%, 10/28/14 | 363 | ||||||
175 | 5.000%, 10/28/15 | 147 | ||||||
786 | 5.375%, 04/12/27 | 483 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
Petroleos Mexicanos, (Mexico), | ||||||||
370 | 4.875%, 01/24/22 (e) | 414 | ||||||
495 | 5.500%, 01/21/21 | 577 | ||||||
210 | 5.500%, 06/27/44 (e) | 228 | ||||||
MXN 1,840 | 7.650%, 11/24/21 (e) | 149 | ||||||
125 | Petronas Capital Ltd., (Malaysia), Reg. S., 5.250%, 08/12/19 | 147 | ||||||
Pioneer Natural Resources Co., | ||||||||
150 | 6.650%, 03/15/17 | 178 | ||||||
1,075 | 7.500%, 01/15/20 | 1,344 | ||||||
QEP Resources, Inc., | ||||||||
475 | 5.375%, 10/01/22 | 487 | ||||||
1,315 | 6.875%, 03/01/21 | 1,486 | ||||||
Range Resources Corp., | ||||||||
456 | 5.000%, 08/15/22 | 475 | ||||||
200 | 5.750%, 06/01/21 | 213 | ||||||
45 | 6.750%, 08/01/20 | 49 | ||||||
25 | 7.250%, 05/01/18 | 26 | ||||||
770 | Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21 | 824 | ||||||
740 | Samson Investment Co., 9.750%, 02/15/20 (e) | 762 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
425 | 1.125%, 08/21/17 | 427 | ||||||
1,030 | 1.875%, 03/25/13 | 1,039 | ||||||
679 | 3.100%, 06/28/15 | 726 | ||||||
500 | 4.300%, 09/22/19 | 585 | ||||||
200 | Sinopec Group Overseas Development 2012 Ltd., (United Kingdom), 4.875%, 05/17/42 (e) | 222 | ||||||
SM Energy Co., | ||||||||
350 | 6.500%, 11/15/21 | 366 | ||||||
315 | 6.500%, 01/01/23 (e) | 328 | ||||||
1,790 | 6.625%, 02/15/19 | 1,871 | ||||||
375 | Southern Star Central Corp., 6.750%, 03/01/16 | 382 | ||||||
145 | Spectra Energy Capital LLC, 7.500%, 09/15/38 | 196 | ||||||
Statoil ASA, (Norway), | ||||||||
417 | 3.150%, 01/23/22 | 448 | ||||||
435 | 7.150%, 11/15/25 | 625 | ||||||
815 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 | 1,113 | ||||||
1,000 | Swift Energy Co., 7.125%, 06/01/17 | 1,027 | ||||||
Talisman Energy, Inc., (Canada), | ||||||||
1,000 | 5.500%, 05/15/42 | 1,099 | ||||||
120 | 7.750%, 06/01/19 | 151 |
SEE NOTES TO FINANCIAL STATEMENTS.
108 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
400 | 6.375%, 08/01/22 (e) | 418 | ||||||
400 | 6.875%, 02/01/21 | 430 | ||||||
295 | 7.875%, 10/15/18 | 322 | ||||||
NOK 3,000 | Teekay LNG Partners LP, VAR, 7.470%, 05/03/17 | 525 | ||||||
640 | Tosco Corp., 8.125%, 02/15/30 | 978 | ||||||
206 | Total Capital International S.A., (France), 1.550%, 06/28/17 | 209 | ||||||
1,900 | Total Capital S.A., (France), 2.300%, 03/15/16 | 1,993 | ||||||
282 | �� | Western Refining, Inc., 11.250%, 06/15/17 (e) | 314 | |||||
WPX Energy, Inc., | ||||||||
475 | 5.250%, 01/15/17 | 500 | ||||||
707 | 6.000%, 01/15/22 | 749 | ||||||
|
| |||||||
80,221 | ||||||||
|
| |||||||
Total Energy | 91,072 | |||||||
|
| |||||||
Financials — 10.4% |
| |||||||
Capital Markets — 1.7% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
1,033 | 2.400%, 01/17/17 | 1,085 | ||||||
440 | 2.500%, 01/15/16 | 462 | ||||||
525 | 2.950%, 06/18/15 | 557 | ||||||
530 | 4.600%, 01/15/20 | 608 | ||||||
BlackRock, Inc., | ||||||||
696 | 3.375%, 06/01/22 | 736 | ||||||
978 | 5.000%, 12/10/19 | 1,137 | ||||||
1,000 | Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e) | 1,090 | ||||||
750 | Charles Schwab Corp. (The), 3.225%, 09/01/22 (e) | 760 | ||||||
2,660 | Credit Suisse, (Switzerland), 5.500%, 05/01/14 | 2,838 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
1,475 | 3.250%, 01/11/16 | 1,540 | ||||||
375 | 3.875%, 08/18/14 | 394 | ||||||
1,000 | FMR LLC, 4.750%, 03/01/13 (e) | 1,018 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
1,276 | 3.300%, 05/03/15 | 1,317 | ||||||
920 | 3.625%, 02/07/16 | 954 | ||||||
326 | 3.700%, 08/01/15 | 342 | ||||||
2,780 | 5.150%, 01/15/14 | 2,913 | ||||||
1,191 | 5.250%, 07/27/21 | 1,266 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Capital Markets — Continued | ||||||||
819 | 5.375%, 03/15/20 | 883 | ||||||
450 | 5.750%, 10/01/16 | 503 | ||||||
2,100 | 5.950%, 01/18/18 | 2,362 | ||||||
102 | 6.000%, 06/15/20 | 114 | ||||||
115 | 6.250%, 09/01/17 | 132 | ||||||
965 | 6.750%, 10/01/37 | 1,005 | ||||||
205 | 7.500%, 02/15/19 | 246 | ||||||
Jefferies Group, Inc., | ||||||||
950 | 6.250%, 01/15/36 | 936 | ||||||
140 | 6.450%, 06/08/27 | 143 | ||||||
880 | 8.500%, 07/15/19 | 1,005 | ||||||
Lehman Brothers Holdings, Inc., | ||||||||
235 | 3.600%, 12/30/16 (d) | 58 | ||||||
1,000 | 5.750%, 05/17/13 (d) | 246 | ||||||
295 | 8.500%, 08/01/15 (d) | 73 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
639 | 6.250%, 01/14/21 (e) | 661 | ||||||
2,125 | 7.300%, 08/01/14 (e) | 2,294 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
500 | 6.400%, 08/28/17 | 568 | ||||||
1,710 | 6.875%, 04/25/18 | 1,995 | ||||||
Morgan Stanley, | ||||||||
198 | 4.000%, 07/24/15 | 202 | ||||||
505 | 4.200%, 11/20/14 | 518 | ||||||
1,690 | 5.300%, 03/01/13 | 1,724 | ||||||
243 | 5.500%, 07/24/20 | 250 | ||||||
2,450 | 5.500%, 07/28/21 | 2,512 | ||||||
310 | 5.625%, 09/23/19 | 321 | ||||||
920 | 5.750%, 01/25/21 | 950 | ||||||
150 | 6.000%, 05/13/14 | 158 | ||||||
1,315 | 6.000%, 04/28/15 | 1,401 | ||||||
320 | 6.250%, 08/28/17 | 347 | ||||||
1,250 | 6.625%, 04/01/18 | 1,380 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
200 | 5.000%, 03/04/15 | 211 | ||||||
407 | 6.700%, 03/04/20 | 467 | ||||||
740 | Northern Trust Co. (The), 5.850%, 11/09/17 | 870 | ||||||
113 | Northern Trust Corp., 5.500%, 08/15/13 | 118 | ||||||
200 | State Street Corp., 4.300%, 05/30/14 | 212 | ||||||
UBS AG, (Switzerland), | ||||||||
305 | 2.250%, 08/12/13 | 308 | ||||||
650 | 3.875%, 01/15/15 | 685 | ||||||
900 | 5.750%, 04/25/18 | 1,041 | ||||||
450 | 5.875%, 12/20/17 | 524 | ||||||
|
| |||||||
46,440 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 109 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — 3.2% |
| |||||||
705 | ANZ National (International) Ltd., (New Zealand), 3.125%, 08/10/15 (e) | 736 | ||||||
544 | Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e) | 568 | ||||||
190 | Banco del Estado de Chile, (Chile), Reg. S., 4.125%, 10/07/20 | 207 | ||||||
Bank of America Corp., | ||||||||
1,540 | 5.000%, 05/13/21 | 1,655 | ||||||
1,775 | 5.625%, 07/01/20 | 1,968 | ||||||
695 | 5.650%, 05/01/18 | 776 | ||||||
1,825 | 6.500%, 08/01/16 | 2,081 | ||||||
1,500 | 6.975%, 03/07/37 | 1,626 | ||||||
1,005 | 7.375%, 05/15/14 | 1,097 | ||||||
500 | 7.800%, 09/15/16 | 571 | ||||||
2,000 | VAR, 8.000%, 01/30/18 (x) | 2,153 | ||||||
200 | Bank of Ceylon, (Sri Lanka), 6.875%, 05/03/17 (e) | 208 | ||||||
1,037 | Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) | 1,056 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
1,082 | 1.650%, 10/29/15 (e) | 1,117 | ||||||
614 | 3.400%, 01/22/15 | 649 | ||||||
679 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 723 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
200 | 2.250%, 05/10/17 (e) | 206 | ||||||
1,615 | 2.500%, 01/23/13 | 1,626 | ||||||
1,280 | 5.125%, 01/08/20 | 1,382 | ||||||
980 | 6.050%, 12/04/17 (e) | 1,039 | ||||||
305 | 6.750%, 05/22/19 | 357 | ||||||
BB&T Corp., | ||||||||
783 | 1.600%, 08/15/17 | 795 | ||||||
225 | 3.375%, 09/25/13 | 232 | ||||||
1,250 | 3.950%, 04/29/16 | 1,371 | ||||||
500 | 4.900%, 06/30/17 | 561 | ||||||
150 | 6.850%, 04/30/19 | 191 | ||||||
1,750 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 1,774 | ||||||
2,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 2,378 | ||||||
CIT Group, Inc., | ||||||||
1,004 | 5.000%, 05/15/17 | 1,047 | ||||||
125 | 5.250%, 03/15/18 | 130 | ||||||
503 | 5.375%, 05/15/20 | 524 | ||||||
155 | 6.625%, 04/01/18 (e) | 168 | ||||||
1,382 | 7.000%, 05/02/17 (e) | 1,384 | ||||||
1,045 | Comerica Bank, 5.200%, 08/22/17 | 1,179 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Commercial Banks — Continued | ||||||||
185 | Comerica, Inc., 3.000%, 09/16/15 | 194 | ||||||
400 | Countrywide Capital III, 8.050%, 06/15/27 | 462 | ||||||
500 | Fifth Third Bancorp, 5.450%, 01/15/17 | 556 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
728 | 1.625%, 07/07/14 (e) | 733 | ||||||
927 | 4.125%, 08/12/20 (e) | 998 | ||||||
650 | 4.750%, 01/19/21 (e) | 732 | ||||||
395 | HSBC Bank USA N.A., 6.000%, 08/09/17 | 451 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
1,371 | 4.000%, 03/30/22 | 1,470 | ||||||
415 | 4.875%, 01/14/22 | 475 | ||||||
250 | HSBC USA, Inc., 2.375%, 02/13/15 | 256 | ||||||
761 | ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e) | 789 | ||||||
725 | KeyCorp, 6.500%, 05/14/13 | 754 | ||||||
995 | Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) | 1,039 | ||||||
1,250 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 1,479 | ||||||
National Australia Bank Ltd., (Australia), | ||||||||
875 | 2.000%, 06/20/17 (e) | 894 | ||||||
2,710 | 2.500%, 01/08/13 (e) | 2,728 | ||||||
255 | 3.750%, 03/02/15 (e) | 270 | ||||||
1,420 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 1,445 | ||||||
1,500 | National City Bank, 4.625%, 05/01/13 | 1,537 | ||||||
500 | NB Capital Trust II, 7.830%, 12/15/26 | 501 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
1,800 | 3.125%, 03/20/17 (e) | 1,871 | ||||||
886 | 4.875%, 05/13/21 (e) | 943 | ||||||
PNC Funding Corp., | ||||||||
1,115 | 3.000%, 05/19/14 | 1,158 | ||||||
1,057 | 4.375%, 08/11/20 | 1,206 | ||||||
625 | 5.250%, 11/15/15 | 696 | ||||||
625 | 5.625%, 02/01/17 | 718 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
2,150 | 3.200%, 03/11/15 (e) | 2,240 | ||||||
1,045 | 4.500%, 01/11/21 | 1,151 | ||||||
605 | Regions Bank, 7.500%, 05/15/18 | 705 | ||||||
1,200 | Royal Bank of Canada, (Canada), 2.300%, 07/20/16 | 1,258 | ||||||
4,750 | Royal Bank of Scotland N.V., (Netherlands), VAR, 1.168%, 03/09/15 | 4,247 | ||||||
300 | Russian Agricultural Bank OJSC Via RSHB Capital S.A., (Luxembourg), Reg. S., 9.000%, 06/11/14 | 332 |
SEE NOTES TO FINANCIAL STATEMENTS.
110 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
Standard Chartered plc, (United Kingdom), | ||||||||
225 | 5.500%, 11/18/14 (e) | 243 | ||||||
2,500 | SunTrust Banks, Inc., 6.000%, 02/15/26 | 2,603 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
570 | 1.500%, 03/13/17 (e) | 584 | ||||||
2,500 | 2.200%, 07/29/15 (e) | 2,616 | ||||||
2,000 | U.S. Bancorp, 7.500%, 06/01/26 | 2,559 | ||||||
500 | UnionBanCal Corp., 5.250%, 12/16/13 | 523 | ||||||
Wachovia Bank N.A., | ||||||||
750 | 6.000%, 11/15/17 | 898 | ||||||
750 | 6.600%, 01/15/38 | 1,021 | ||||||
1,995 | Wachovia Capital Trust III, VAR, 5.570%, 10/05/12 (x) | 1,970 | ||||||
Wachovia Corp., | ||||||||
760 | 5.500%, 05/01/13 | 785 | ||||||
1,555 | 5.750%, 02/01/18 | 1,866 | ||||||
515 | SUB, 7.574%, 08/01/26 | 698 | ||||||
Wells Fargo & Co., | ||||||||
1,665 | 5.625%, 12/11/17 | 1,994 | ||||||
1,025 | SUB, 3.676%, 06/15/16 | 1,115 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
670 | 4.200%, 02/27/15 | 719 | ||||||
942 | 4.875%, 11/19/19 | 1,063 | ||||||
|
| |||||||
89,080 | ||||||||
|
| |||||||
Consumer Finance — 1.3% |
| |||||||
Ally Financial, Inc., | ||||||||
1,500 | 6.250%, 12/01/17 | 1,621 | ||||||
2,025 | 8.000%, 11/01/31 | 2,394 | ||||||
475 | American Express Co., 7.250%, 05/20/14 | 526 | ||||||
American Express Credit Corp., | ||||||||
1,300 | 1.750%, 06/12/15 | 1,330 | ||||||
405 | 2.375%, 03/24/17 | 426 | ||||||
861 | 2.800%, 09/19/16 | 917 | ||||||
1,115 | 5.125%, 08/25/14 | 1,211 | ||||||
1,110 | 5.875%, 05/02/13 | 1,148 | ||||||
1,100 | 7.300%, 08/20/13 | 1,170 | ||||||
American Honda Finance Corp., | ||||||||
200 | 2.125%, 02/28/17 (e) | 206 | ||||||
375 | 2.375%, 03/18/13 (e) | 379 | ||||||
810 | 4.625%, 04/02/13 (e) | 830 | ||||||
835 | 7.625%, 10/01/18 (e) | 1,073 | ||||||
Capital One Financial Corp., | ||||||||
485 | 6.750%, 09/15/17 | 593 | ||||||
1,190 | 7.375%, 05/23/14 | 1,314 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Consumer Finance — Continued | ||||||||
Caterpillar Financial Services Corp., | ||||||||
325 | 1.100%, 05/29/15 | 330 | ||||||
800 | 1.550%, 12/20/13 | 811 | ||||||
581 | 2.850%, 06/01/22 | 605 | ||||||
850 | 5.450%, 04/15/18 | 1,028 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
505 | 3.984%, 06/15/16 (e) | 523 | ||||||
639 | 4.207%, 04/15/16 (e) | 668 | ||||||
325 | 5.750%, 02/01/21 | 358 | ||||||
1,250 | 5.875%, 08/02/21 | 1,381 | ||||||
2,000 | 8.125%, 01/15/20 | 2,476 | ||||||
HSBC Finance Corp., | ||||||||
1,000 | 5.000%, 06/30/15 | 1,074 | ||||||
500 | 6.375%, 11/27/12 | 507 | ||||||
400 | 7.350%, 11/27/32 | 457 | ||||||
John Deere Capital Corp., | ||||||||
551 | 0.950%, 06/29/15 | 555 | ||||||
610 | 2.250%, 04/17/19 | 637 | ||||||
515 | 5.350%, 04/03/18 | 615 | ||||||
PACCAR Financial Corp., | ||||||||
700 | 1.550%, 09/29/14 | 712 | ||||||
555 | 1.600%, 03/15/17 | 566 | ||||||
143 | Springleaf Finance Corp., 6.900%, 12/15/17 | 118 | ||||||
Toyota Motor Credit Corp., | ||||||||
7,230 | 2.000%, 09/15/16 | 7,533 | ||||||
670 | 3.200%, 06/17/15 | 716 | ||||||
662 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 668 | ||||||
|
| |||||||
37,476 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
2,465 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 2,286 | ||||||
Block Financial LLC, | ||||||||
500 | 5.125%, 10/30/14 | 516 | ||||||
500 | 7.875%, 01/15/13 | 511 | ||||||
Capmark Financial Group, Inc., | ||||||||
15,277 | 0.000%, 05/10/10 (d) | 267 | ||||||
187 | VAR, 9.000%, 09/30/15 | 187 | ||||||
852 | Cardtronics, Inc., 8.250%, 09/01/18 | 946 | ||||||
Citigroup, Inc., | ||||||||
1,300 | 2.250%, 08/07/15 | 1,311 | ||||||
1,117 | 4.587%, 12/15/15 | 1,202 | ||||||
385 | 4.750%, 05/19/15 | 413 | ||||||
291 | 5.375%, 08/09/20 | 325 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 111 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued | ||||||||
1,550 | 5.500%, 02/15/17 | 1,668 | ||||||
510 | 6.000%, 12/13/13 | 539 | ||||||
1,350 | 6.000%, 08/15/17 | 1,542 | ||||||
865 | 6.010%, 01/15/15 | 945 | ||||||
260 | 6.375%, 08/12/14 | 282 | ||||||
838 | 6.625%, 01/15/28 | 945 | ||||||
645 | 6.875%, 06/01/25 | 754 | ||||||
1,115 | 7.000%, 12/01/25 | 1,320 | ||||||
1,260 | 8.500%, 05/22/19 | 1,612 | ||||||
CME Group, Inc., | ||||||||
845 | 5.400%, 08/01/13 | 883 | ||||||
855 | 5.750%, 02/15/14 | 916 | ||||||
EUR 1,200 | GE Capital European Funding, (Ireland), 5.250%, 05/18/15 | 1,670 | ||||||
General Electric Capital Corp., | ||||||||
JPY 100,000 | 2.215%, 11/20/20 | 1,355 | ||||||
4,671 | 2.300%, 04/27/17 | 4,822 | ||||||
294 | 5.300%, 02/11/21 | 338 | ||||||
1,115 | 5.625%, 05/01/18 | 1,321 | ||||||
3,370 | 5.875%, 01/14/38 | 4,091 | ||||||
130 | 5.900%, 05/13/14 | 142 | ||||||
1,100 | 6.750%, 03/15/32 | 1,428 | ||||||
145 | 6.875%, 01/10/39 | 198 | ||||||
2,205 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 2,327 | ||||||
1,400 | ILFC E-Capital Trust I, VAR, 4.280%, 12/21/65 (e) | 924 | ||||||
600 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 456 | ||||||
International Lease Finance Corp., | ||||||||
845 | 8.250%, 12/15/20 | 989 | ||||||
320 | 8.625%, 09/15/15 | 359 | ||||||
1,820 | 8.750%, 03/15/17 | 2,107 | ||||||
600 | 8.875%, 09/01/17 | 697 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
385 | 4.750%, 03/01/14 | 408 | ||||||
170 | 10.375%, 11/01/18 | 250 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp., | ||||||||
625 | 5.625%, 03/15/20 (e) | 661 | ||||||
625 | 5.875%, 03/15/22 (e) | 664 | ||||||
2,450 | SquareTwo Financial Corp., 11.625%, 04/01/17 | 2,132 | ||||||
505 | Textron Financial Corp., 5.400%, 04/28/13 | 520 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Financial Services — Continued | ||||||||
100 | Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e) | 116 | ||||||
|
| |||||||
47,345 | ||||||||
|
| |||||||
Insurance — 1.7% |
| |||||||
1,310 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 1,466 | ||||||
Aflac, Inc., | ||||||||
199 | 2.650%, 02/15/17 | 209 | ||||||
78 | 4.000%, 02/15/22 | 84 | ||||||
558 | 6.450%, 08/15/40 | 691 | ||||||
190 | Allstate Corp. (The), 7.450%, 05/16/19 | 249 | ||||||
1,132 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 1,169 | ||||||
American International Group, Inc., | ||||||||
435 | 5.600%, 10/18/16 | 489 | ||||||
2,850 | VAR, 8.175%, 05/15/58 | 3,402 | ||||||
Aon Corp., | ||||||||
191 | 3.500%, 09/30/15 | 201 | ||||||
240 | 6.250%, 09/30/40 | 315 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
1,000 | 5.400%, 05/15/18 | 1,206 | ||||||
500 | 5.750%, 01/15/40 | 636 | ||||||
1,075 | Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x) | 997 | ||||||
315 | Chubb Corp. (The), 5.750%, 05/15/18 | 390 | ||||||
642 | CNA Financial Corp., 5.875%, 08/15/20 | 740 | ||||||
355 | CNO Financial Group, Inc., 9.000%, 01/15/18 (e) | 388 | ||||||
EP Energy LLC/EP Energy Finance, Inc., | ||||||||
255 | 6.875%, 05/01/19 (e) | 273 | ||||||
853 | 9.375%, 05/01/20 (e) | 928 | ||||||
164 | EP Energy LLC/Everest Acquisition Finance, Inc., 7.750%, 09/01/22 (e) | 164 | ||||||
1,896 | Hartford Financial Services Group, Inc., VAR, 8.125%, 06/15/38 | 2,133 | ||||||
2,000 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) | 2,055 | ||||||
1,950 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 2,007 | ||||||
Liberty Mutual Group, Inc., | ||||||||
375 | 6.500%, 05/01/42 (e) | 407 | ||||||
1,535 | 7.800%, 03/15/37 (e) | 1,625 | ||||||
2,201 | VAR, 10.750%, 06/15/58 (e) | 3,076 | ||||||
152 | Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e) | 173 | ||||||
382 | MassMutual Global Funding II, 2.300%, 09/28/15 (e) | 398 |
SEE NOTES TO FINANCIAL STATEMENTS.
112 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued | ||||||||
2,550 | Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e) | 2,761 | ||||||
160 | MetLife, Inc., 6.750%, 06/01/16 | 191 | ||||||
Metropolitan Life Global Funding I, | ||||||||
190 | 2.000%, 01/10/14 (e) | 193 | ||||||
400 | 3.650%, 06/14/18 (e) | 441 | ||||||
400 | 3.875%, 04/11/22 (e) | 437 | ||||||
875 | 5.200%, 09/18/13 (e) | 914 | ||||||
315 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 323 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
1,465 | 7.875%, 04/01/33 (e) | 1,716 | ||||||
1,000 | 9.375%, 08/15/39 (e) | 1,361 | ||||||
New York Life Global Funding, | ||||||||
800 | 0.750%, 07/24/15 (e) | 801 | ||||||
250 | 3.000%, 05/04/15 (e) | 265 | ||||||
1,680 | 4.650%, 05/09/13 (e) | 1,728 | ||||||
303 | New York Life Insurance Co., 6.750%, 11/15/39 (e) | 423 | ||||||
Pacific Life Global Funding, | ||||||||
400 | 5.000%, 05/15/17 (e) | 429 | ||||||
770 | 5.150%, 04/15/13 (e) | 791 | ||||||
1,000 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 1,360 | ||||||
800 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 861 | ||||||
175 | Principal Financial Group, Inc., 8.875%, 05/15/19 | 232 | ||||||
300 | Principal Life Global Funding I, 5.250%, 01/15/13 (e) | 305 | ||||||
Principal Life Income Funding Trusts, | ||||||||
1,165 | 5.300%, 12/14/12 | 1,180 | ||||||
1,025 | 5.300%, 04/24/13 | 1,056 | ||||||
205 | Prudential Financial, Inc., 7.375%, 06/15/19 | 258 | ||||||
405 | Travelers Cos., Inc. (The), 5.800%, 05/15/18 | 499 | ||||||
700 | Travelers Property Casualty Corp., 7.750%, 04/15/26 | 995 | ||||||
960 | XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x) | 875 | ||||||
|
| |||||||
46,266 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.7% |
| |||||||
405 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 442 | ||||||
655 | CNL Lifestyle Properties, Inc., 7.250%, 04/15/19 | 610 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
CommonWealth REIT, | ||||||||
1,865 | 5.875%, 09/15/20 | 1,964 | ||||||
375 | 6.250%, 08/15/16 | 406 | ||||||
300 | 6.650%, 01/15/18 | 333 | ||||||
820 | DDR Corp., 7.875%, 09/01/20 | 1,016 | ||||||
1,135 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 1,254 | ||||||
2,300 | First Industrial LP, 6.420%, 06/01/14 | 2,401 | ||||||
HCP, Inc., | ||||||||
222 | 3.750%, 02/01/19 | 231 | ||||||
500 | 5.375%, 02/01/21 | 573 | ||||||
3,000 | Rouse Co. LLC (The), 5.375%, 11/26/13 | 3,045 | ||||||
Simon Property Group LP, | ||||||||
340 | 5.625%, 08/15/14 | 368 | ||||||
492 | 5.650%, 02/01/20 | 592 | ||||||
915 | 6.100%, 05/01/16 | 1,053 | ||||||
675 | 6.125%, 05/30/18 | 818 | ||||||
310 | 6.750%, 05/15/14 | 335 | ||||||
415 | 6.750%, 02/01/40 | 568 | ||||||
1,341 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 1,608 | ||||||
Weyerhaeuser Co., | ||||||||
350 | 7.375%, 10/01/19 | 431 | ||||||
1,750 | 7.375%, 03/15/32 | 2,110 | ||||||
|
| |||||||
20,158 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
335 | Kennedy-Wilson, Inc., 8.750%, 04/01/19 | 356 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
525 | Countrywide Financial Corp., 6.250%, 05/15/16 | 564 | ||||||
674 | DNB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 697 | ||||||
3,065 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 3,095 | ||||||
|
| |||||||
4,356 | ||||||||
|
| |||||||
Total Financials | 291,477 | |||||||
|
| |||||||
Health Care — 1.7% | ||||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc., | ||||||||
640 | 3.875%, 11/15/21 | 692 | ||||||
400 | 5.375%, 05/15/43 | 453 | ||||||
289 | 5.650%, 06/15/42 | 337 | ||||||
150 | 5.700%, 02/01/19 | 178 | ||||||
618 | 5.750%, 03/15/40 | 718 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 113 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Biotechnology — Continued | ||||||||
300 | 6.375%, 06/01/37 | 371 | ||||||
130 | 6.900%, 06/01/38 | 171 | ||||||
|
| |||||||
2,920 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% (g) | ||||||||
Baxter International, Inc., | ||||||||
250 | 4.000%, 03/01/14 | 263 | ||||||
550 | 4.625%, 03/15/15 | 604 | ||||||
Becton Dickinson and Co., | ||||||||
100 | 5.000%, 05/15/19 | 118 | ||||||
400 | 6.000%, 05/15/39 | 553 | ||||||
160 | Hologic, Inc., 6.250%, 08/01/20 (e) | 169 | ||||||
|
| |||||||
1,707 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.0% | ||||||||
224 | Aetna, Inc., 4.500%, 05/15/42 | 227 | ||||||
955 | CHS/Community Health Systems, Inc., 5.125%, 08/15/18 | 985 | ||||||
DaVita, Inc., | ||||||||
600 | 6.375%, 11/01/18 | 641 | ||||||
600 | 6.625%, 11/01/20 | 640 | ||||||
Fresenius Medical Care U.S. Finance II, Inc., | ||||||||
346 | 5.625%, 07/31/19 (e) | 370 | ||||||
286 | 5.875%, 01/31/22 (e) | 304 | ||||||
Fresenius Medical Care U.S. Finance, Inc., | ||||||||
500 | 5.750%, 02/15/21 (e) | 527 | ||||||
1,250 | 6.500%, 09/15/18 (e) | 1,401 | ||||||
1,000 | 6.875%, 07/15/17 | 1,140 | ||||||
HCA, Inc., | ||||||||
3,600 | 5.875%, 03/15/22 | 3,830 | ||||||
1,260 | 6.500%, 02/15/20 | 1,384 | ||||||
750 | 7.250%, 09/15/20 | 831 | ||||||
200 | 8.500%, 04/15/19 | 226 | ||||||
2,028 | Health Management Associates, Inc., 6.125%, 04/15/16 | 2,190 | ||||||
inVentiv Health, Inc., | ||||||||
2,275 | 10.000%, 08/15/18 (e) | 1,917 | ||||||
800 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 | 857 | ||||||
305 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 319 | ||||||
1,250 | National Mentor Holdings, Inc., 12.500%, 02/15/18 (e) | 1,255 | ||||||
3,600 | Omnicare, Inc., 7.750%, 06/01/20 | 3,969 | ||||||
900 | OnCure Holdings, Inc., 11.750%, 05/15/17 | 527 | ||||||
Tenet Healthcare Corp., | ||||||||
440 | 6.250%, 11/01/18 | 477 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Health Care Providers & Services — Continued | ||||||||
1,395 | 8.875%, 07/01/19 | 1,587 | ||||||
806 | UnitedHealth Group, Inc., 3.375%, 11/15/21 | 861 | ||||||
577 | WellPoint, Inc., 3.125%, 05/15/22 | 575 | ||||||
|
| |||||||
27,040 | ||||||||
|
| |||||||
Pharmaceuticals — 0.6% |
| |||||||
400 | Abbott Laboratories, 6.150%, 11/30/37 | 571 | ||||||
504 | AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12 | 505 | ||||||
910 | Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16 | 987 | ||||||
Endo Health Solutions, Inc., | ||||||||
450 | 7.000%, 07/15/19 | 486 | ||||||
600 | 7.250%, 01/15/22 | 652 | ||||||
920 | GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38 | 1,324 | ||||||
1,000 | Merck & Co., Inc., 6.550%, 09/15/37 | 1,506 | ||||||
Mylan, Inc., | ||||||||
1,125 | 7.625%, 07/15/17 (e) | 1,249 | ||||||
899 | 7.875%, 07/15/20 (e) | 1,016 | ||||||
Novartis Capital Corp., | ||||||||
435 | 4.125%, 02/10/14 | 457 | ||||||
335 | 4.400%, 04/24/20 | 396 | ||||||
250 | Pfizer, Inc., 6.200%, 03/15/19 | 320 | ||||||
Roche Holdings, Inc., | ||||||||
635 | 5.000%, 03/01/14 (e) | 676 | ||||||
1,220 | 6.000%, 03/01/19 (e) | 1,542 | ||||||
950 | Valeant Pharmaceuticals International, 6.500%, 07/15/16 (e) | 1,002 | ||||||
Wyeth, | ||||||||
2,350 | 5.500%, 02/01/14 | 2,518 | ||||||
555 | 5.500%, 02/15/16 | 644 | ||||||
|
| |||||||
15,851 | ||||||||
|
| |||||||
Total Health Care | 47,518 | |||||||
|
| |||||||
Industrials — 3.4% | ||||||||
Aerospace & Defense — 0.4% | ||||||||
400 | Alliant Techsystems, Inc., 6.875%, 09/15/20 | 429 | ||||||
BAE Systems Holdings, Inc., | ||||||||
850 | 5.200%, 08/15/15 (e) | 929 | ||||||
145 | 6.375%, 06/01/19 (e) | 173 | ||||||
BE Aerospace, Inc., | ||||||||
786 | 5.250%, 04/01/22 | 820 | ||||||
725 | 6.875%, 10/01/20 | 802 | ||||||
Esterline Technologies Corp., | ||||||||
1,000 | 6.625%, 03/01/17 | 1,032 |
SEE NOTES TO FINANCIAL STATEMENTS.
114 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued | ||||||||
250 | 7.000%, 08/01/20 | 277 | ||||||
952 | Lockheed Martin Corp., 5.720%, 06/01/40 | 1,212 | ||||||
750 | Moog, Inc., 6.250%, 01/15/15 | 759 | ||||||
643 | Spirit Aerosystems, Inc., 6.750%, 12/15/20 | 699 | ||||||
Triumph Group, Inc., | ||||||||
232 | 8.000%, 11/15/17 | 253 | ||||||
575 | 8.625%, 07/15/18 | 644 | ||||||
United Technologies Corp., | ||||||||
2,471 | 4.500%, 06/01/42 | 2,808 | ||||||
735 | 6.125%, 02/01/19 | 925 | ||||||
|
| |||||||
11,762 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% (g) | ||||||||
235 | United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30 | 364 | ||||||
|
| |||||||
Airlines — 0.3% | ||||||||
612 | American Airlines, 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21 | 649 | ||||||
1,921 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 1,950 | ||||||
619 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 650 | ||||||
337 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 | 362 | ||||||
1,040 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 1,095 | ||||||
610 | Delta Air Lines 1991 Series K Pass-Through Trust, 10.000%, 12/05/14 (d) (e) (f) (i) | 165 | ||||||
64 | Delta Air Lines 2007-1 Class B Pass-Through Trust, 8.021%, 08/10/22 | 66 | ||||||
62 | Delta Air Lines 2007-1 Class C Pass-Through Trust, 8.954%, 08/10/14 | 63 | ||||||
320 | Delta Air Lines 2009-1 Series B Pass-Through Trust, 9.750%, 12/17/16 | 346 | ||||||
375 | Delta Air Lines 2012-1 Class B Pass-Through Trust, 6.875%, 05/07/19 (e) | 379 | ||||||
300 | Delta Air Lines, 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20 | 307 | ||||||
39 | Delta Airlines, Inc., 9.500%, 09/15/14 (e) | 41 | ||||||
1,170 | Northwest Airlines 2007-1 Class A Pass-Through Trust, 7.027%, 11/01/19 | 1,246 | ||||||
1,267 | UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19 | 1,241 | ||||||
182 | UAL 2009-1 Pass-Through Trust, 10.400%, 11/01/16 | 210 | ||||||
|
| |||||||
8,770 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Building Products — 0.2% | ||||||||
Building Materials Corp. of America, | ||||||||
2,235 | 6.750%, 05/01/21 (e) | 2,442 | ||||||
750 | 6.875%, 08/15/18 (e) | 804 | ||||||
700 | 7.000%, 02/15/20 (e) | 758 | ||||||
25 | 7.500%, 03/15/20 (e) | 27 | ||||||
Masco Corp., | ||||||||
437 | 5.950%, 03/15/22 | 472 | ||||||
95 | 7.125%, 03/15/20 | 108 | ||||||
|
| |||||||
4,611 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.6% |
| |||||||
1,550 | Cenveo Corp., 8.875%, 02/01/18 | 1,410 | ||||||
781 | Clean Harbors, Inc., 5.250%, 08/01/20 (e) | 802 | ||||||
280 | Corrections Corp. of America, 6.750%, 01/31/14 | 281 | ||||||
1,730 | Covanta Holding Corp., 6.375%, 10/01/22 | 1,892 | ||||||
Deluxe Corp., | ||||||||
1,000 | 7.000%, 03/15/19 | 1,051 | ||||||
1,075 | 7.375%, 06/01/15 | 1,091 | ||||||
FTI Consulting, Inc., | ||||||||
290 | 6.750%, 10/01/20 | 310 | ||||||
1,750 | 7.750%, 10/01/16 | 1,800 | ||||||
271 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 286 | ||||||
Harland Clarke Holdings Corp., | ||||||||
1,839 | 9.500%, 05/15/15 | 1,526 | ||||||
1,775 | VAR, 6.000%, 05/15/15 | 1,336 | ||||||
1,673 | Pitney Bowes, Inc., 5.250%, 01/15/37 | 1,688 | ||||||
Power Sector Assets & Liabilities Management Corp., (Philippines), | ||||||||
130 | 7.250%, 05/27/19 (e) | 165 | ||||||
100 | 7.390%, 12/02/24 (e) | 136 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
1,145 | 6.125%, 11/15/13 (d) | 11 | ||||||
1,160 | 6.500%, 08/01/27 (d) | 12 | ||||||
265 | 9.750%, 01/15/15 (d) | 3 | ||||||
R.R. Donnelley & Sons Co., | ||||||||
125 | 7.250%, 05/15/18 | 125 | ||||||
1,125 | 7.625%, 06/15/20 | 1,122 | ||||||
240 | 8.250%, 03/15/19 | 244 | ||||||
348 | Republic Services, Inc., 3.550%, 06/01/22 | 366 | ||||||
|
| |||||||
15,657 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
1,450 | Dycom Investments, Inc., 7.125%, 01/15/21 | 1,581 | ||||||
360 | Fluor Corp., 3.375%, 09/15/21 | 383 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 115 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction & Engineering — Continued | ||||||||
New Enterprise Stone & Lime Co., Inc., | ||||||||
1,500 | 11.000%, 09/01/18 | 1,046 | ||||||
650 | PIK, 13.000%, 03/15/18 (e) | 663 | ||||||
2,975 | Tutor Perini Corp., 7.625%, 11/01/18 | 3,035 | ||||||
UR Merger Sub Corp., | ||||||||
215 | 5.750%, 07/15/18 (e) | 227 | ||||||
650 | 9.250%, 12/15/19 | 731 | ||||||
100 | 10.875%, 06/15/16 | 112 | ||||||
|
| |||||||
7,778 | ||||||||
|
| |||||||
Electrical Equipment — 0.0% (g) |
| |||||||
ABB Finance USA, Inc., | ||||||||
75 | 1.625%, 05/08/17 | 76 | ||||||
303 | 2.875%, 05/08/22 | 314 | ||||||
326 | 4.375%, 05/08/42 | 368 | ||||||
295 | Belden, Inc., 5.500%, 09/01/22 (e) | 296 | ||||||
185 | International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e) | 195 | ||||||
|
| |||||||
1,249 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% |
| |||||||
2,470 | 3M Co., 1.000%, 06/26/17 | 2,489 | ||||||
459 | Danaher Corp., 3.900%, 06/23/21 | 521 | ||||||
215 | Koninklijke Philips Electronics N.V., (Netherlands), 7.200%, 06/01/26 | 284 | ||||||
Siemens Financieringsmaatschappij N.V., (Netherlands), | ||||||||
1,830 | 5.750%, 10/17/16 (e) | 2,145 | ||||||
300 | 6.125%, 08/17/26 (e) | 390 | ||||||
|
| |||||||
5,829 | ||||||||
|
| |||||||
Machinery — 0.6% |
| |||||||
415 | Actuant Corp., 5.625%, 06/15/22 (e) | 426 | ||||||
2,725 | AGCO Corp., 5.875%, 12/01/21 | 2,927 | ||||||
277 | Altra Holdings, Inc., 8.125%, 12/01/16 | 297 | ||||||
500 | Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e) | 519 | ||||||
3,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 3,255 | ||||||
Caterpillar, Inc., | ||||||||
198 | 2.600%, 06/26/22 | 205 | ||||||
680 | 3.803%, 08/15/42 (e) | 704 | ||||||
450 | CNH Capital LLC, 6.250%, 11/01/16 (e) | 488 | ||||||
550 | Eaton Corp., 5.600%, 05/15/18 | 655 | ||||||
1,000 | Griffon Corp., 7.125%, 04/01/18 | 1,049 | ||||||
2,104 | Illinois Tool Works, Inc., 3.900%, 09/01/42 | 2,146 | ||||||
195 | Ingersoll-Rand Co., 7.200%, 06/01/25 | 233 | ||||||
440 | Parker Hannifin Corp., 6.250%, 05/15/38 | 622 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Machinery — Continued | ||||||||
SPX Corp., | ||||||||
1,500 | 6.875%, 09/01/17 | 1,665 | ||||||
250 | 7.625%, 12/15/14 | 277 | ||||||
320 | Titan International, Inc., 7.875%, 10/01/17 | 335 | ||||||
750 | Wabtec Corp., 6.875%, 07/31/13 | 776 | ||||||
|
| |||||||
16,579 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
1,700 | Bluewater Holding B.V., (Netherlands), VAR, 3.455%, 07/17/14 (e) | 1,505 | ||||||
74 | Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17 | 69 | ||||||
522 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 | 532 | ||||||
995 | Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 9.250%, 04/15/19 | 920 | ||||||
486 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 379 | ||||||
|
| |||||||
3,405 | ||||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
1,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 03/15/18 | 1,110 | ||||||
582 | Burlington Northern and Santa Fe Railway Co. 2000 Pass-Through Trust, 7.908%, 01/15/20 | 707 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
510 | 4.375%, 09/01/42 | 537 | ||||||
220 | 5.650%, 05/01/17 | 262 | ||||||
1,150 | 6.700%, 08/01/28 | 1,458 | ||||||
927 | Canadian National Railway Co., (Canada), 6.375%, 11/15/37 | 1,337 | ||||||
Canadian Pacific Railway Co., (Canada), | ||||||||
165 | 7.250%, 05/15/19 | 206 | ||||||
280 | 9.450%, 08/01/21 | 389 | ||||||
1,075 | CSX Corp., 7.375%, 02/01/19 | 1,381 | ||||||
ERAC USA Finance LLC, | ||||||||
250 | 6.375%, 10/15/17 (e) | 299 | ||||||
800 | 6.700%, 06/01/34 (e) | 965 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
571 | 6.125%, 06/15/21 | 639 | ||||||
375 | 6.625%, 12/15/20 | 423 | ||||||
200 | Kazakhstan Temir Zholy Finance B.V., (Netherlands), 6.950%, 07/10/42 (e) | 235 | ||||||
Norfolk Southern Corp., | ||||||||
462 | 2.903%, 02/15/23 (e) | 472 |
SEE NOTES TO FINANCIAL STATEMENTS.
116 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Road & Rail — Continued | ||||||||
1,415 | 3.250%, 12/01/21 | 1,493 | ||||||
595 | 6.000%, 05/23/11 | 732 | ||||||
576 | Ryder System, Inc., 3.600%, 03/01/16 | 609 | ||||||
Union Pacific Corp., | ||||||||
341 | 4.163%, 07/15/22 | 387 | ||||||
283 | 4.300%, 06/15/42 | 303 | ||||||
|
| |||||||
13,944 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
1,113 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 | 1,277 | ||||||
290 | HD Supply, Inc., 8.125%, 04/15/19 (e) | 315 | ||||||
1,162 | Rexel S.A., (France), 6.125%, 12/15/19 (e) | 1,191 | ||||||
464 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.500%, 10/01/18 (e) | 500 | ||||||
|
| |||||||
3,283 | ||||||||
|
| |||||||
Transportation Services — 0.0% (g) |
| |||||||
703 | CEVA Group plc, (United Kingdom), 8.375%, 12/01/17 (e) | 684 | ||||||
77 | SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875%, 08/01/20 (e) | 79 | ||||||
|
| |||||||
763 | ||||||||
|
| |||||||
Total Industrials | 93,994 | |||||||
|
| |||||||
Information Technology — 1.7% |
| |||||||
Communications Equipment — 0.2% |
| |||||||
1,850 | Avaya, Inc., 10.875%, 11/01/15 | 1,609 | ||||||
540 | Brightstar Corp., 9.500%, 12/01/16 (e) | 567 | ||||||
Cisco Systems, Inc., | ||||||||
500 | 5.500%, 01/15/40 | 646 | ||||||
375 | 5.900%, 02/15/39 | 500 | ||||||
Nokia OYJ, (Finland), | ||||||||
255 | 5.375%, 05/15/19 | 216 | ||||||
259 | 6.625%, 05/15/39 | 210 | ||||||
|
| |||||||
3,748 | ||||||||
|
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
Dell, Inc., | ||||||||
981 | 3.100%, 04/01/16 | 1,043 | ||||||
1,000 | 7.100%, 04/15/28 | 1,232 | ||||||
Hewlett-Packard Co., | ||||||||
1,113 | 4.300%, 06/01/21 | 1,117 | ||||||
480 | 4.375%, 09/15/21 | 480 | ||||||
500 | 5.400%, 03/01/17 | 555 | ||||||
250 | 5.500%, 03/01/18 | 280 | ||||||
600 | 6.000%, 09/15/41 | 625 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Computers & Peripherals — Continued | ||||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
630 | 6.875%, 05/01/20 | 668 | ||||||
2,000 | 7.750%, 12/15/18 | 2,195 | ||||||
500 | Sealed Air Corp., 7.875%, 06/15/17 | 539 | ||||||
|
| |||||||
8,734 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
415 | Anixter, Inc., 5.625%, 05/01/19 | 434 | ||||||
Arrow Electronics, Inc., | ||||||||
145 | 3.375%, 11/01/15 | 151 | ||||||
250 | 6.000%, 04/01/20 | 281 | ||||||
624 | 6.875%, 07/01/13 | 653 | ||||||
100 | 7.500%, 01/15/27 | 116 | ||||||
50 | Intcomex, Inc., 13.250%, 12/15/14 | 51 | ||||||
955 | Jabil Circuit, Inc., 4.700%, 09/15/22 | 960 | ||||||
750 | Sanmina-SCI Corp., VAR, 3.218%, 06/15/14 (e) | 742 | ||||||
333 | Viasystems, Inc., 7.875%, 05/01/19 (e) | 327 | ||||||
|
| |||||||
3,715 | ||||||||
|
| |||||||
Internet Software & Services — 0.1% | ||||||||
750 | eAccess Ltd., (Japan), 8.250%, 04/01/18 (e) | 682 | ||||||
991 | eBay, Inc., 2.600%, 07/15/22 | 1,001 | ||||||
Equinix, Inc., | ||||||||
1,235 | 7.000%, 07/15/21 | 1,387 | ||||||
575 | 8.125%, 03/01/18 | 638 | ||||||
|
| |||||||
3,708 | ||||||||
|
| |||||||
IT Services — 0.4% | ||||||||
Fidelity National Information Services, Inc., | ||||||||
583 | 5.000%, 03/15/22 | 607 | ||||||
391 | 7.625%, 07/15/17 | 430 | ||||||
First Data Corp., | ||||||||
400 | 6.750%, 11/01/20 (e) | 397 | ||||||
600 | 8.875%, 08/15/20 (e) | 654 | ||||||
180 | 12.625%, 01/15/21 | 182 | ||||||
900 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 941 | ||||||
875 | iGATE Corp., 9.000%, 05/01/16 | 947 | ||||||
International Business Machines Corp., | ||||||||
214 | 1.250%, 02/06/17 | 217 | ||||||
744 | 1.950%, 07/22/16 | 777 | ||||||
720 | 4.000%, 06/20/42 | 795 | ||||||
770 | 5.875%, 11/29/32 | 1,067 | ||||||
650 | 7.000%, 10/30/25 | 946 | ||||||
3,860 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 | 2,866 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 117 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
IT Services — Continued | ||||||||
627 | SunGard Data Systems, Inc., 7.625%, 11/15/20 | 673 | ||||||
|
| |||||||
11,499 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.3% |
| |||||||
Advanced Micro Devices, Inc., | ||||||||
1,280 | 7.750%, 08/01/20 | 1,306 | ||||||
415 | 8.125%, 12/15/17 | 436 | ||||||
Amkor Technology, Inc., | ||||||||
150 | 6.625%, 06/01/21 | 151 | ||||||
1,830 | 7.375%, 05/01/18 | 1,908 | ||||||
1,239 | Intel Corp., 3.300%, 10/01/21 | 1,347 | ||||||
National Semiconductor Corp., | ||||||||
575 | 3.950%, 04/15/15 | 622 | ||||||
475 | 6.600%, 06/15/17 | 593 | ||||||
96 | NXP B.V./NXP Funding LLC, (Netherlands), VAR, 3.205%, 10/15/13 | 96 | ||||||
150 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 161 | ||||||
Texas Instruments, Inc., | ||||||||
462 | 1.650%, 08/03/19 | 462 | ||||||
1,400 | 2.375%, 05/16/16 | 1,481 | ||||||
|
| |||||||
8,563 | ||||||||
|
| |||||||
Software — 0.2% | ||||||||
860 | Audatex North America, Inc., 6.750%, 06/15/18 (e) | 922 | ||||||
655 | Intuit, Inc., 5.750%, 03/15/17 | 760 | ||||||
595 | Microsoft Corp., 4.500%, 10/01/40 | 714 | ||||||
345 | Nuance Communications, Inc., 5.375%, 08/15/20 (e) | 353 | ||||||
Oracle Corp., | ||||||||
1,000 | 5.250%, 01/15/16 | 1,151 | ||||||
241 | 5.375%, 07/15/40 | 309 | ||||||
1,030 | 6.500%, 04/15/38 | 1,469 | ||||||
|
| |||||||
5,678 | ||||||||
|
| |||||||
Total Information Technology | 45,645 | |||||||
|
| |||||||
Materials — 2.7% | ||||||||
Chemicals — 0.6% | ||||||||
310 | Celanese US Holdings LLC, 6.625%, 10/15/18 | 342 | ||||||
CF Industries, Inc., | ||||||||
650 | 6.875%, 05/01/18 | 787 | ||||||
340 | 7.125%, 05/01/20 | 422 | ||||||
885 | Chemtura Corp., 7.875%, 09/01/18 | 954 | ||||||
242 | Dow Chemical Co. (The), 4.250%, 11/15/20 | 266 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Chemicals — Continued | ||||||||
E.I. du Pont de Nemours & Co., | ||||||||
721 | 1.950%, 01/15/16 | 750 | ||||||
410 | 3.250%, 01/15/15 | 436 | ||||||
1,175 | 4.900%, 01/15/41 | 1,453 | ||||||
130 | 5.000%, 07/15/13 | 135 | ||||||
625 | 6.500%, 01/15/28 | 849 | ||||||
300 | J.M. Huber Corp., 9.875%, 11/01/19 (e) | 332 | ||||||
LyondellBasell Industries N.V., (Netherlands), | ||||||||
830 | 5.000%, 04/15/19 | 880 | ||||||
410 | 5.750%, 04/15/24 | 464 | ||||||
850 | 6.000%, 11/15/21 | 969 | ||||||
Mosaic Co. (The), | ||||||||
429 | 3.750%, 11/15/21 | 460 | ||||||
429 | 4.875%, 11/15/41 | 479 | ||||||
1,106 | PolyOne Corp., 7.375%, 09/15/20 | 1,208 | ||||||
450 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 | 459 | ||||||
200 | PPG Industries, Inc., 9.000%, 05/01/21 | 274 | ||||||
Praxair, Inc., | ||||||||
1,535 | 4.625%, 03/30/15 | 1,688 | ||||||
375 | 5.200%, 03/15/17 | 440 | ||||||
650 | 5.250%, 11/15/14 | 714 | ||||||
1,305 | Union Carbide Corp., 7.750%, 10/01/96 | 1,507 | ||||||
|
| |||||||
16,268 | ||||||||
|
| |||||||
Construction Materials — 0.4% | ||||||||
2,500 | Cemex Espana Finance LLC, Series A, 8.910%, 02/14/14 (f) (i) | 2,425 | ||||||
1,500 | Cemex Espana Luxembourg, (Spain), 9.875%, 04/30/19 (e) | 1,511 | ||||||
500 | Cemex S.A.B. de C.V., (Mexico), 9.000%, 01/11/18 (e) | 496 | ||||||
1,000 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 1,089 | ||||||
400 | Lafarge S.A., (France), 7.125%, 07/15/36 | 406 | ||||||
Vulcan Materials Co., | ||||||||
535 | 6.500%, 12/01/16 | 575 | ||||||
1,050 | 7.000%, 06/15/18 | 1,145 | ||||||
2,110 | 7.500%, 06/15/21 | 2,347 | ||||||
|
| |||||||
9,994 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% | ||||||||
1,100 | Ardagh Packaging Finance plc, (Ireland), 7.375%, 10/15/17 (e) | 1,180 | ||||||
Ball Corp., | ||||||||
950 | 5.000%, 03/15/22 | 997 | ||||||
1,465 | 5.750%, 05/15/21 | 1,577 |
SEE NOTES TO FINANCIAL STATEMENTS.
118 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Containers & Packaging — Continued | ||||||||
1,500 | 6.750%, 09/15/20 | 1,657 | ||||||
125 | 7.125%, 09/01/16 | 136 | ||||||
125 | 7.375%, 09/01/19 | 140 | ||||||
706 | Constar International, Inc., 11.000%, 12/31/17 (f) (i) | 706 | ||||||
20 | Crown Americas LLC/Crown Americas Capital Corp. II, 7.625%, 05/15/17 | 22 | ||||||
725 | Crown Americas LLC/Crown Americas Capital Corp. III, 6.250%, 02/01/21 | 801 | ||||||
675 | Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16 | 769 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
1,000 | 6.875%, 02/15/21 | 1,083 | ||||||
1,975 | 7.125%, 04/15/19 | 2,128 | ||||||
700 | 7.750%, 10/15/16 | 731 | ||||||
2,500 | 7.875%, 08/15/19 | 2,781 | ||||||
|
| |||||||
14,708 | ||||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
375 | AK Steel Corp., 7.625%, 05/15/20 | 332 | ||||||
450 | APERAM, (Luxembourg), 7.750%, 04/01/18 (e) | 373 | ||||||
425 | ArcelorMittal, (Luxembourg), 6.250%, 02/25/22 | 413 | ||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
163 | 1.000%, 02/24/15 | 165 | ||||||
235 | 1.625%, 02/24/17 | 240 | ||||||
570 | 4.800%, 04/15/13 | 585 | ||||||
575 | 5.400%, 03/29/17 | 674 | ||||||
1,110 | 5.500%, 04/01/14 | 1,196 | ||||||
120 | 6.500%, 04/01/19 | 154 | ||||||
230 | Corp. Nacional del Cobre de Chile, (Chile), Reg. S., 7.500%, 01/15/19 | 295 | ||||||
FMG Resources August 2006 Pty Ltd., (Australia), | ||||||||
141 | 6.000%, 04/01/17 (e) | 133 | ||||||
1,075 | 6.875%, 02/01/18 (e) | 1,024 | ||||||
545 | 6.875%, 04/01/22 (e) | 501 | ||||||
1,500 | 7.000%, 11/01/15 (e) | 1,474 | ||||||
325 | 8.250%, 11/01/19 (e) | 323 | ||||||
1,010 | Freeport-McMoRan Copper & Gold, Inc., 2.150%, 03/01/17 | 1,019 | ||||||
1,218 | Kaiser Aluminum Corp., 8.250%, 06/01/20 (e) | 1,291 | ||||||
150 | New Gold, Inc., (Canada), 7.000%, 04/15/20 (e) | 158 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Metals & Mining — Continued | ||||||||
1,510 | Nucor Corp., 6.400%, 12/01/37 | 2,114 | ||||||
660 | Placer Dome, Inc., (Canada), 6.450%, 10/15/35 | 779 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
538 | 3.500%, 11/02/20 | 568 | ||||||
1,121 | 3.750%, 09/20/21 | 1,202 | ||||||
500 | 9.000%, 05/01/19 | 686 | ||||||
270 | Severstal Columbus LLC, 10.250%, 02/15/18 | 278 | ||||||
Steel Dynamics, Inc., | ||||||||
605 | 6.125%, 08/15/19 (e) | 628 | ||||||
605 | 6.375%, 08/15/22 (e) | 626 | ||||||
1,500 | 6.750%, 04/01/15 | 1,530 | ||||||
United States Steel Corp., | ||||||||
474 | 6.050%, 06/01/17 | 474 | ||||||
280 | 7.000%, 02/01/18 | 285 | ||||||
250 | 7.375%, 04/01/20 | 247 | ||||||
285 | 7.500%, 03/15/22 | 279 | ||||||
188 | Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i) | 179 | ||||||
|
| |||||||
20,225 | ||||||||
|
| |||||||
Paper & Forest Products — 0.5% |
| |||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
14,926 | 6.000%, 06/20/13 (d) | 37 | ||||||
1,999 | 7.750%, 06/15/11 (d) | 5 | ||||||
7,648 | 8.375%, 04/01/15 (d) | 19 | ||||||
Abitibi-Consolidated, Inc., (Canada), | ||||||||
1,199 | 7.500%, 04/01/28 (d) | 3 | ||||||
730 | 8.850%, 08/01/30 (d) | 2 | ||||||
2,750 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 2,942 | ||||||
624 | Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.000%, 04/01/20 | 690 | ||||||
340 | Cascades, Inc., (Canada), 7.750%, 12/15/17 | 353 | ||||||
Georgia-Pacific LLC, | ||||||||
1,000 | 5.400%, 11/01/20 (e) | 1,175 | ||||||
1,200 | 7.750%, 11/15/29 | 1,590 | ||||||
1,154 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) (f) (i) | 23 | ||||||
5,650 | NewPage Corp., 11.375%, 12/31/14 (d) | 3,828 | ||||||
750 | P.H. Glatfelter Co., 7.125%, 05/01/16 | 767 | ||||||
1,650 | Potlatch Corp., 7.500%, 11/01/19 | 1,753 | ||||||
620 | Resolute Forest Products, 10.250%, 10/15/18 | 710 | ||||||
Sappi Papier Holding GmbH, (Austria), | ||||||||
300 | �� | 6.625%, 04/15/21 (e) | 278 | |||||
250 | 7.750%, 07/15/17 (e) | 261 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
1,640 | 8.000%, 03/15/17 (d) (f) (i) | 33 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 119 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 | ||||||||
2,656 | 8.375%, 07/01/12 (d) (f) (i) | 53 | ||||||
|
| |||||||
14,522 | ||||||||
|
| |||||||
Total Materials | 75,717 | |||||||
|
| |||||||
Telecommunication Services — 2.1% |
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
31 | AT&T Corp., 8.000%, 11/15/31 | 48 | ||||||
AT&T, Inc., | ||||||||
1,030 | 5.350%, 09/01/40 | 1,236 | ||||||
220 | 5.600%, 05/15/18 | 270 | ||||||
465 | 5.800%, 02/15/19 | 576 | ||||||
1,500 | 6.300%, 01/15/38 | 1,955 | ||||||
890 | Bellsouth Capital Funding Corp., 7.120%, 07/15/97 | 1,136 | ||||||
BellSouth Corp., | ||||||||
2,090 | 5.200%, 09/15/14 | 2,274 | ||||||
100 | 6.875%, 10/15/31 | 126 | ||||||
BellSouth Telecommunications, Inc., | ||||||||
330 | 6.300%, 12/15/15 | 347 | ||||||
330 | 7.000%, 12/01/95 | 414 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
100 | 6.750%, 08/20/18 | 124 | ||||||
1,000 | 8.750%, 06/15/30 | 1,474 | ||||||
Frontier Communications Corp., | ||||||||
785 | 7.125%, 03/15/19 | 828 | ||||||
1,333 | 7.125%, 01/15/23 | 1,356 | ||||||
1,165 | 8.125%, 10/01/18 | 1,296 | ||||||
215 | 8.500%, 04/15/20 | 240 | ||||||
15 | 8.750%, 04/15/22 | 17 | ||||||
2,150 | 9.250%, 07/01/21 | 2,451 | ||||||
GTE Corp., | ||||||||
800 | 6.840%, 04/15/18 | 993 | ||||||
590 | 6.940%, 04/15/28 | 780 | ||||||
2,750 | Level 3 Communications, Inc., 11.875%, 02/01/19 | 3,066 | ||||||
763 | Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 | 771 | ||||||
Qwest Communications International, Inc., | ||||||||
500 | 7.125%, 04/01/18 | 532 | ||||||
90 | 8.000%, 10/01/15 | 94 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
562 | 5.250%, 11/15/13 | 576 | ||||||
190 | 7.721%, 06/04/38 | 177 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
138 | 5.462%, 02/16/21 | 127 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
600 | 5.855%, 02/04/13 | 608 | ||||||
80 | 5.877%, 07/15/19 | 77 | ||||||
Verizon Communications, Inc., | ||||||||
585 | 6.900%, 04/15/38 | 829 | ||||||
75 | 7.350%, 04/01/39 | 112 | ||||||
Verizon Global Funding Corp., | ||||||||
920 | 7.750%, 12/01/30 | 1,361 | ||||||
290 | 7.750%, 06/15/32 | 424 | ||||||
2,000 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 2,703 | ||||||
500 | Vivendi S.A., (France), 2.400%, 04/10/15 (e) | 503 | ||||||
Windstream Corp., | ||||||||
955 | 7.500%, 06/01/22 | 974 | ||||||
1,170 | 7.750%, 10/15/20 | 1,228 | ||||||
2,213 | 7.750%, 10/01/21 | 2,324 | ||||||
10 | 7.875%, 11/01/17 | 11 | ||||||
525 | 8.125%, 08/01/13 | 554 | ||||||
125 | 8.125%, 09/01/18 | 133 | ||||||
|
| |||||||
35,125 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.8% |
| |||||||
America Movil S.A.B. de C.V., (Mexico), | ||||||||
732 | 2.375%, 09/08/16 | 760 | ||||||
1,266 | 3.125%, 07/16/22 | 1,298 | ||||||
450 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 484 | ||||||
144 | Cricket Communications, Inc., 7.750%, 05/15/16 | 152 | ||||||
1,260 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 1,298 | ||||||
1,975 | Inmarsat Finance plc, (United Kingdom), 7.375%, 12/01/17 (e) | 2,148 | ||||||
75 | MetroPCS Wireless, Inc., 7.875%, 09/01/18 | 81 | ||||||
1,427 | Nextel Communications, Inc., 7.375%, 08/01/15 | 1,434 | ||||||
NII Capital Corp., | ||||||||
2,157 | 7.625%, 04/01/21 | 1,666 | ||||||
185 | 10.000%, 08/15/16 | 179 | ||||||
240 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 | 301 | ||||||
59 | SBA Telecommunications, Inc., 5.750%, 07/15/20 (e) | 62 | ||||||
800 | Sprint Capital Corp., 8.750%, 03/15/32 | 808 | ||||||
Sprint Nextel Corp., | ||||||||
2,815 | 7.000%, 08/15/20 | 2,878 | ||||||
125 | 8.375%, 08/15/17 | 138 | ||||||
1,638 | 9.000%, 11/15/18 (e) | 1,933 |
SEE NOTES TO FINANCIAL STATEMENTS.
120 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Wireless Telecommunication Services — Continued |
| |||||||
177 | 11.500%, 11/15/21 | 221 | ||||||
1,650 | Vimpel Communications Via VIP Finance Ireland Ltd., OJSC, (Ireland), 7.748%, 02/02/21 (e) | 1,700 | ||||||
250 | VimpelCom Holdings B.V., (Netherlands), 6.255%, 03/01/17 (e) | 254 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
1,160 | 1.625%, 03/20/17 | 1,182 | ||||||
870 | 5.000%, 09/15/15 | 975 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
208 | 7.250%, 02/15/18 (e) | 190 | ||||||
1,500 | 7.250%, 02/15/18 (e) | 1,380 | ||||||
1,175 | 11.750%, 07/15/17 (e) | 1,075 | ||||||
504 | Wind Acquisition Holdings Finance S.A., (Luxembourg), PIK, 12.250%, 07/15/17 (e) | 353 | ||||||
|
| |||||||
22,950 | ||||||||
|
| |||||||
Total Telecommunication Services | 58,075 | |||||||
|
| |||||||
Utilities — 2.6% |
| |||||||
Electric Utilities — 1.4% |
| |||||||
891 | Alabama Power Co., 6.125%, 05/15/38 | 1,226 | ||||||
1,016 | Baltimore Gas & Electric Co., 2.800%, 08/15/22 | 1,033 | ||||||
Carolina Power & Light Co., | ||||||||
607 | 2.800%, 05/15/22 | 630 | ||||||
305 | 4.100%, 05/15/42 | 324 | ||||||
90 | 5.300%, 01/15/19 | 109 | ||||||
500 | 6.300%, 04/01/38 | 701 | ||||||
925 | Consumers Energy Co., 6.700%, 09/15/19 | 1,204 | ||||||
Detroit Edison Co. (The), | ||||||||
340 | 3.900%, 06/01/21 | 386 | ||||||
381 | 3.950%, 06/15/42 | 411 | ||||||
DPL, Inc., | ||||||||
300 | 6.500%, 10/15/16 (e) | 330 | ||||||
255 | 7.250%, 10/15/21 (e) | 291 | ||||||
Dubai Electricity & Water Authority, (United Arab Emirates), | ||||||||
200 | 8.500%, 04/22/15 (e) | 224 | ||||||
Duke Energy Carolinas LLC, | ||||||||
780 | 4.300%, 06/15/20 | 906 | ||||||
200 | 5.250%, 01/15/18 | 239 | ||||||
500 | 5.625%, 11/30/12 | 506 | ||||||
1,100 | 6.050%, 04/15/38 | 1,488 | ||||||
280 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 309 | ||||||
1,200 | Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) | 1,191 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Electric Utilities — Continued | ||||||||
115 | Florida Power Corp., 5.650%, 06/15/18 | 140 | ||||||
Georgia Power Co., | ||||||||
562 | 5.250%, 12/15/15 | 644 | ||||||
140 | 5.950%, 02/01/39 | 186 | ||||||
Hydro-Quebec, (Canada), | ||||||||
842 | 8.400%, 01/15/22 | 1,222 | ||||||
1,028 | 9.400%, 02/01/21 | 1,550 | ||||||
2,000 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 2,240 | ||||||
480 | John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42 | 556 | ||||||
988 | Massachusetts Electric Co., 5.900%, 11/15/39 (e) | 1,314 | ||||||
860 | MidAmerican Energy Co., 5.300%, 03/15/18 | 1,028 | ||||||
Nevada Power Co., | ||||||||
446 | 5.375%, 09/15/40 | 552 | ||||||
600 | 7.125%, 03/15/19 | 776 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
275 | 5.350%, 06/15/13 | 285 | ||||||
265 | 7.875%, 12/15/15 | 318 | ||||||
300 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 340 | ||||||
Northern States Power Co., | ||||||||
173 | 5.350%, 11/01/39 | 226 | ||||||
765 | 6.250%, 06/01/36 | 1,092 | ||||||
Pacific Gas & Electric Co., | ||||||||
214 | 3.750%, 08/15/42 | 211 | ||||||
267 | 4.500%, 12/15/41 | 299 | ||||||
1,010 | 5.625%, 11/30/17 | 1,227 | ||||||
PacifiCorp, | ||||||||
700 | 3.850%, 06/15/21 | 791 | ||||||
1,900 | 5.750%, 04/01/37 | 2,500 | ||||||
250 | 7.240%, 08/16/23 | 337 | ||||||
1,880 | Peco Energy Co., 5.350%, 03/01/18 | 2,250 | ||||||
360 | Potomac Electric Power Co., 6.500%, 11/15/37 | 519 | ||||||
929 | PPL Electric Utilities Corp., 2.500%, 09/01/22 | 946 | ||||||
50 | Progress Energy, Inc., 6.050%, 03/15/14 | 54 | ||||||
Public Service Co. of Colorado, | ||||||||
198 | 3.200%, 11/15/20 | 218 | ||||||
35 | 6.500%, 08/01/38 | 52 | ||||||
1,050 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 1,275 | ||||||
Public Service Co. of Oklahoma, | ||||||||
88 | 5.150%, 12/01/19 | 102 | ||||||
1,100 | 6.625%, 11/15/37 | 1,417 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 121 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued | ||||||||
Public Service Electric & Gas Co., | ||||||||
350 | 2.700%, 05/01/15 | 368 | ||||||
155 | 5.300%, 05/01/18 | 187 | ||||||
416 | 5.375%, 11/01/39 | 546 | ||||||
Southern California Edison Co., | ||||||||
450 | 5.550%, 01/15/37 | 590 | ||||||
285 | 5.950%, 02/01/38 | 392 | ||||||
292 | Southern Co. (The), 1.950%, 09/01/16 | 301 | ||||||
120 | Union Electric Co., 8.450%, 03/15/39 | 206 | ||||||
Virginia Electric and Power Co., | ||||||||
235 | 6.350%, 11/30/37 | 338 | ||||||
670 | 8.875%, 11/15/38 | 1,162 | ||||||
|
| |||||||
40,265 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
369 | Boston Gas Co., 4.487%, 02/15/42 (e) | 416 | ||||||
570 | CenterPoint Energy Resources Corp., 6.625%, 11/01/37 | 776 | ||||||
325 | Genesis Energy LP/Genesis Energy Finance Corp., 7.875%, 12/15/18 | 342 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
625 | 2.500%, 08/01/22 | 635 | ||||||
1,505 | 4.000%, 06/15/13 | 1,546 | ||||||
1,000 | 6.200%, 10/15/37 | 1,373 | ||||||
|
| |||||||
5,088 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.7% |
| |||||||
AES Eastern Energy LP, | ||||||||
235 | 9.000%, 01/02/17 (d) (f) (i) | 9 | ||||||
727 | 9.670%, 01/02/29 (d) (f) (i) | 29 | ||||||
3,450 | Calpine Construction Finance Co. LP/CCFC Finance Corp., 8.000%, 06/01/16 (e) | 3,730 | ||||||
Calpine Corp., | ||||||||
1,341 | 7.500%, 02/15/21 (e) | 1,488 | ||||||
1,659 | 7.875%, 01/15/23 (e) | 1,875 | ||||||
Dynegy Holdings LLC, | ||||||||
105 | 7.625%, 10/15/26 (d) | 63 | ||||||
4,770 | 7.750%, 06/01/19 (d) | 2,862 | ||||||
Edison Mission Energy, | ||||||||
2,500 | 7.000%, 05/15/17 | 1,313 | ||||||
800 | 7.200%, 05/15/19 | 418 | ||||||
220 | FPL Energy National Wind Portfolio LLC, 6.125%, 03/25/19 (e) | 172 | ||||||
182 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 150 | ||||||
664 | Homer City Funding LLC, 8.137%, 10/01/19 | 667 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Independent Power Producers & Energy Traders — Continued |
| |||||||
1,167 | Midwest Generation LLC, 8.560%, 01/02/16 | 1,027 | ||||||
2,750 | NRG Energy, Inc., 7.625%, 01/15/18 | 2,943 | ||||||
318 | Ormat Funding Corp., 8.250%, 12/30/20 | 296 | ||||||
1,121 | PSEG Power LLC, 5.125%, 04/15/20 | 1,289 | ||||||
180 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 10.250%, 11/01/15 | 53 | ||||||
|
| |||||||
18,384 | ||||||||
|
| |||||||
Multi-Utilities — 0.3% |
| |||||||
300 | Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39 | 394 | ||||||
Dominion Resources, Inc., | ||||||||
46 | 4.900%, 08/01/41 | 55 | ||||||
785 | 5.250%, 08/01/33 | 927 | ||||||
400 | 7.000%, 06/15/38 | 582 | ||||||
160 | DTE Energy Co., 7.625%, 05/15/14 | 178 | ||||||
Nisource Finance Corp., | ||||||||
1,470 | 6.400%, 03/15/18 | 1,759 | ||||||
150 | 6.800%, 01/15/19 | 180 | ||||||
362 | Puget Energy, Inc., 5.625%, 07/15/22 (e) | 380 | ||||||
San Diego Gas & Electric Co., | ||||||||
249 | 4.500%, 08/15/40 | 295 | ||||||
685 | 6.000%, 06/01/26 | 918 | ||||||
500 | 6.000%, 06/01/39 | 714 | ||||||
Sempra Energy, | ||||||||
255 | 6.150%, 06/15/18 | 314 | ||||||
75 | 6.500%, 06/01/16 | 89 | ||||||
220 | 8.900%, 11/15/13 | 241 | ||||||
589 | 9.800%, 02/15/19 | 830 | ||||||
73 | Wisconsin Electric Power Co., 2.950%, 09/15/21 | 78 | ||||||
36 | Xcel Energy, Inc., 4.800%, 09/15/41 | 42 | ||||||
|
| |||||||
7,976 | ||||||||
|
| |||||||
Water Utilities — 0.0% (g) |
| |||||||
925 | American Water Capital Corp., 6.085%, 10/15/17 | 1,101 | ||||||
|
| |||||||
Total Utilities | 72,814 | |||||||
|
| |||||||
Total Corporate Bonds | 935,409 | |||||||
|
| |||||||
| Foreign Government Securities — 1.6% |
| ||||||
200 | Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e) | 239 | ||||||
BRL 170 | Brazil Notas do Tesouro Nacional Serie B, (Brazil), 13.000%, 08/15/20 | 207 |
SEE NOTES TO FINANCIAL STATEMENTS.
122 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Foreign Government Securities — Continued |
| ||||||
BRL 440 | Brazil Notas do Tesouro Nacional Serie F, (Brazil), 10.000%, 01/01/17 | 224 | ||||||
150 | Citigroup Funding, Inc., CLN, 16.390%, 01/31/22 (linked to Nigeria Treasury Bond, 16.390%, 01/31/22; credit rating B+), (Nigeria), 16.390%, 01/31/22 (e) (f) (i) | 150 | ||||||
220 | Citigroup Funding, Inc., CLN, 13.300%, 10/02/13 (linked to Republic of Ghana, 13.300%, 10/02/13; credit rating BBB+), (Ghana), 13.300%, 10/02/13 (e) (f) (i) | 146 | ||||||
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)03/13/13 (e) (f) (i) | 89 | ||||||
220 | Eskom Holdings SOC Ltd., (South Africa), | 249 | ||||||
Federal Republic of Brazil, (Brazil), | ||||||||
48 | 8.000%, 01/15/18 | 57 | ||||||
340 | 8.250%, 01/20/34 | 562 | ||||||
BRL 350 | 8.500%, 01/05/24 | 194 | ||||||
380 | 11.000%, 08/17/40 | 486 | ||||||
299 | 12.250%, 03/06/30 | 607 | ||||||
200 | Government of Bermuda, (Bermuda), 4.138%, 01/03/23 (e) | 212 | ||||||
Government of Dominican Republic, (Dominican Republic), | ||||||||
200 | Reg. S., 7.500%, 05/06/21 | 226 | ||||||
141 | Reg. S., 9.040%, 01/23/18 | 159 | ||||||
Government of Ukraine, (Ukraine), | ||||||||
950 | Reg. S., 6.580%, 11/21/16 (e) | 873 | ||||||
6,000 | Israel Government AID Bond, (Israel), Zero Coupon, 08/15/17 | 5,690 | ||||||
Kingdom of Bahrain, (Bahrain), | ||||||||
160 | 5.500%, 03/31/20 | 162 | ||||||
200 | 6.125%, 07/05/22 (e) | 206 | ||||||
249 | Poland Government Bond, (Poland), 5.000%, 03/23/22 | 286 | ||||||
200 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 202 | ||||||
655 | Province of Nova Scotia, (Canada), 9.250%, 03/01/20 | 966 | ||||||
Province of Ontario, (Canada), | ||||||||
1,000 | 0.950%, 05/26/15 | 1,011 | ||||||
780 | 2.700%, 06/16/15 | 826 | ||||||
1,635 | 2.950%, 02/05/15 | 1,730 | ||||||
300 | Province of Quebec, (Canada), 6.350%, 01/30/26 | 409 | ||||||
AUD 1,400 | Queensland Treasury Corp., (Australia), | 1,601 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Republic of Argentina, (Argentina), | ||||||||
50 | SUB, 2.500%, 12/31/38 | 16 | ||||||
1,001 | SUB, 2.500%, 12/31/38 | 328 | ||||||
108 | 8.280%, 12/31/33 | 74 | ||||||
598 | 8.750%, 06/02/17 | 553 | ||||||
420 | Republic of Belarus, (Belarus), 8.750%, 08/03/15 | 411 | ||||||
Republic of Colombia, (Colombia), | ||||||||
100 | 6.125%, 01/18/41 | 137 | ||||||
100 | 7.375%, 01/27/17 | 124 | ||||||
240 | 8.125%, 05/21/24 | 358 | ||||||
270 | 10.375%, 01/28/33 | 494 | ||||||
Republic of Croatia, (Croatia), | ||||||||
200 | 6.375%, 03/24/21 (e) | 209 | ||||||
390 | Reg. S., 6.625%, 07/14/20 | 417 | ||||||
230 | Reg. S., 6.750%, 11/05/19 | 248 | ||||||
200 | Republic of Ecuador, (Ecuador), Reg. S., 9.375%, 12/15/15 | 205 | ||||||
Republic of El Salvador, (El Salvador), | ||||||||
130 | Reg. S., 7.375%, 12/01/19 | 150 | ||||||
242 | Reg. S., 7.650%, 06/15/35 | 271 | ||||||
190 | Reg. S., 8.250%, 04/10/32 | 225 | ||||||
200 | Republic of Georgia, (Georgia), Reg. S., 6.875%, 04/12/21 | 224 | ||||||
200 | Republic of Guatemala, (Guatemala), 5.750%, 06/06/22 (e) | 224 | ||||||
Republic of Hungary, (Hungary), | ||||||||
481 | 6.250%, 01/29/20 | 510 | ||||||
190 | 6.375%, 03/29/21 | 201 | ||||||
478 | 7.625%, 03/29/41 | 525 | ||||||
240 | Republic of Iceland, (Iceland), 5.875%, 05/11/22 (e) | 254 | ||||||
Republic of Indonesia, (Indonesia), | ||||||||
310 | Reg. S., 5.875%, 03/13/20 | 365 | ||||||
200 | Reg. S., 6.750%, 03/10/14 | 214 | ||||||
100 | Reg. S., 7.750%, 01/17/38 | 146 | ||||||
180 | Reg. S., 8.500%, 10/12/35 | 278 | ||||||
350 | Reg. S., 11.625%, 03/04/19 (e) | 527 | ||||||
750 | Republic of Iraq, (Iraq), Reg. S., 5.800%, 01/15/28 | 679 | ||||||
420 | Republic of Ivory Coast, (Ivory Coast), Reg. S., 3.813%, 12/31/32 | 340 | ||||||
Republic of Lithuania, (Lithuania), | ||||||||
565 | Reg. S., 5.125%, 09/14/17 (e) | 616 | ||||||
140 | 6.125%, 03/09/21 (e) | 161 | ||||||
220 | 6.625%, 02/01/22 (e) | 262 | ||||||
160 | Reg. S., 6.750%, 01/15/15 | 174 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 123 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Foreign Government Securities — Continued |
| ||||||
190 | Republic of Pakistan, (Pakistan), Reg. S., 6.875%, 06/01/17 | 154 | ||||||
220 | Republic of Panama, (Panama), 9.375%, 04/01/29 | 377 | ||||||
Republic of Peru, (Peru), | ||||||||
114 | 5.625%, 11/18/50 | 147 | ||||||
PEN | 589 | 6.950%, 08/12/31 (e) | 270 | |||||
90 | 7.125%, 03/30/19 | 118 | ||||||
480 | 7.350%, 07/21/25 | 697 | ||||||
60 | 8.375%, 05/03/16 | 74 | ||||||
218 | 8.750%, 11/21/33 | 376 | ||||||
88 | 9.875%, 02/06/15 | 106 | ||||||
Republic of Philippines, (Philippines), | ||||||||
170 | 4.000%, 01/15/21 | 188 | ||||||
PHP | 10,000 | 4.950%, 01/15/21 | 249 | |||||
400 | 6.500%, 01/20/20 | 506 | ||||||
390 | 7.750%, 01/14/31 | 586 | ||||||
100 | 9.500%, 02/02/30 | 170 | ||||||
470 | 10.625%, 03/16/25 | 805 | ||||||
Republic of Romania, (Romania), | ||||||||
320 | Reg. S., 6.750%, 02/07/22 (e) | 346 | ||||||
267 | Republic of Serbia, (Serbia), Reg. S., SUB, 6.750%, 11/01/24 | 253 | ||||||
Republic of South Africa, (South Africa), | ||||||||
250 | 4.665%, 01/17/24 | 282 | ||||||
230 | 5.500%, 03/09/20 | 273 | ||||||
100 | 6.250%, 03/08/41 | 134 | ||||||
Republic of Sri Lanka, (Sri Lanka), | ||||||||
570 | Reg. S., 6.250%, 10/04/20 (e) | 599 | ||||||
Republic of Turkey, (Turkey), | ||||||||
200 | 6.000%, 01/14/41 | 235 | ||||||
600 | 6.750%, 04/03/18 | 717 | ||||||
115 | 6.875%, 03/17/36 | 147 | ||||||
170 | 7.000%, 03/11/19 | 209 | ||||||
170 | 7.000%, 06/05/20 | 212 | ||||||
335 | 7.250%, 03/15/15 | 375 | ||||||
317 | 7.250%, 03/05/38 | 429 | ||||||
100 | 7.500%, 07/14/17 | 121 | ||||||
50 | 8.000%, 02/14/34 | 72 | ||||||
TRY | 670 | 10.500%, 01/15/20 | 414 | |||||
200 | Republic of Ukraine, (Ukraine), Reg. S., 6.250%, 06/17/16 | 184 | ||||||
Republic of Uruguay, (Uruguay), | ||||||||
UYU | 584 | 5.409%, 06/26/37 | 44 | |||||
UYU | 3,000 | 6.261%, 04/05/27 | 244 | |||||
430 | 7.625%, 03/21/36 | 662 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Republic of Venezuela, (Venezuela), | ||||||||
675 | Reg. S., 5.750%, 02/26/16 | 605 | ||||||
428 | Reg. S., 6.000%, 12/09/20 | 316 | ||||||
75 | Reg. S., 7.750%, 10/13/19 | 63 | ||||||
14 | Reg. S., 9.000%, 05/07/23 | 12 | ||||||
109 | 9.250%, 09/15/27 | 96 | ||||||
135 | Reg. S., 12.750%, 08/23/22 | 141 | ||||||
340 | Republic of Vietnam, (Vietnam), Reg. S., 6.750%, 01/29/20 | 371 | ||||||
Russian Federation, (Russia), | ||||||||
600 | 5.625%, 04/04/42 (e) | 707 | ||||||
1,337 | Reg. S., SUB, 7.500%, 03/31/30 | 1,670 | ||||||
130 | Reg. S, 12.750%, 06/24/28 | 248 | ||||||
AUD | 1,400 | South Australian Government Financing Authority, (Australia), Series 15, 5.750%, 04/20/15 | 1,536 | |||||
200 | Standard Chartered Bank, CLN, 8.250%, 06/17/32 (linked to Indonesia Government Bond, 8.250%, 06/17/32; credit rating BB+) (e) (f) (i) | 187 | ||||||
United Mexican States, (Mexico), | ||||||||
510 | 5.625%, 01/15/17 | 597 | ||||||
528 | 5.750%, 10/12/10 | 635 | ||||||
188 | 5.950%, 03/19/19 | 232 | ||||||
160 | 6.050%, 01/11/40 | 213 | ||||||
MXN | 1,600 | 7.750%, 12/14/17 | 136 | |||||
|
| |||||||
Total Foreign Government Securities | 46,229 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 7.9% | |||||||
Federal Home Loan Mortgage Corp., | ||||||||
51 | ARM, 2.375%, 08/01/36 | 55 | ||||||
305 | ARM, 2.435%, 10/01/36 | 327 | ||||||
101 | ARM, 2.646%, 05/01/37 | 108 | ||||||
345 | ARM, 3.159%, 03/01/36 | 370 | ||||||
720 | ARM, 3.442%, 03/01/36 | 781 | ||||||
571 | ARM, 5.316%, 10/01/37 | 610 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
1,248 | 4.000%, 08/01/18 - 05/01/19 | 1,329 | ||||||
644 | 4.500%, 10/01/18 | 682 | ||||||
73 | 5.000%, 05/01/18 | 79 | ||||||
6,105 | 5.500%, 01/01/21 - 12/01/24 | 6,669 | ||||||
511 | 6.000%, 11/01/21 | 552 | ||||||
232 | 6.500%, 07/01/14 | 243 | ||||||
55 | 7.500%, 01/01/17 | 61 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
9,735 | 4.000%, 01/01/32 | 10,516 |
SEE NOTES TO FINANCIAL STATEMENTS.
124 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued | |||||||
4,621 | 6.000%, 02/01/28 | 5,093 | ||||||
1,149 | 6.500%, 11/01/22 - 03/01/26 | 1,287 | ||||||
403 | 7.000%, 01/01/27 | 464 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
318 | 4.000%, 09/01/33 | 342 | ||||||
2,537 | 4.500%, 05/01/41 | 2,738 | ||||||
36 | 6.000%, 02/01/29 | 40 | ||||||
939 | 6.500%, 01/01/24 - 11/01/36 | 1,078 | ||||||
966 | 7.000%, 09/01/24 - 10/01/36 (m) | 1,137 | ||||||
114 | 7.500%, 10/01/19 - 02/01/27 | 130 | ||||||
128 | 8.000%, 08/01/27 - 03/01/30 | 156 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
2,137 | 7.500%, 01/01/32 - 12/01/36 | 2,543 | ||||||
478 | 10.000%, 10/01/30 | 568 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
5,824 | 3.500%, 06/01/42 | 6,233 | ||||||
1,496 | 4.000%, 06/01/42 | 1,645 | ||||||
82 | 7.000%, 12/01/14 - 03/01/16 | 86 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
3 | 7.500%, 02/01/17 | 3 | ||||||
4 | 12.000%, 08/01/15 - 07/01/19 | 4 | ||||||
— | (h) | 13.000%, 06/01/14 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
137 | ARM, 2.071%, 07/01/37 | 147 | ||||||
257 | ARM, 2.419%, 07/01/37 | 268 | ||||||
199 | ARM, 2.565%, 01/01/34 | 213 | ||||||
289 | ARM, 2.720%, 05/01/35 | 306 | ||||||
105 | ARM, 2.726%, 04/01/37 | 112 | ||||||
536 | ARM, 2.827%, 04/01/37 | 575 | ||||||
378 | ARM, 2.844%, 03/01/37 | 406 | ||||||
24 | ARM, 3.000%, 10/01/33 | 24 | ||||||
758 | ARM, 5.625%, 01/01/23 | 831 | ||||||
482 | ARM, 6.000%, 02/01/37 | 521 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
3,972 | 3.500%, 09/01/18 - 07/01/19 | 4,220 | ||||||
2,328 | 4.000%, 07/01/18 - 12/01/18 | 2,510 | ||||||
307 | 4.500%, 07/01/18 | 339 | ||||||
3,099 | 5.000%, 05/01/18 - 07/01/25 | 3,395 | ||||||
778 | 5.500%, 08/01/17 - 07/01/20 | 848 | ||||||
1,473 | 6.000%, 01/01/14 - 08/01/22 | 1,590 | ||||||
15 | 6.500%, 05/01/13 | 16 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
— | (h) | 7.000%, 03/01/15 | — | (h) | ||||
9 | 8.000%, 01/01/16 | 9 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,527 | 3.500%, 12/01/30 | 1,630 | ||||||
1,604 | 6.000%, 04/01/24 - 08/01/27 | 1,774 | ||||||
655 | 6.500%, 11/01/18 | 738 | ||||||
247 | Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34 | 273 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
1,981 | 5.000%, 08/01/40 | 2,174 | ||||||
1,618 | 5.500%, 12/01/28 - 09/01/34 | 1,790 | ||||||
2,300 | 6.000%, 03/01/34 - 08/01/37 | 2,587 | ||||||
2,727 | 6.500%, 04/01/28 - 10/01/38 | 3,126 | ||||||
1,599 | 7.000%, 03/01/28 - 04/01/37 | 1,885 | ||||||
588 | 7.500%, 09/01/25 - 11/01/38 | 683 | ||||||
5,773 | 8.000%, 08/01/22 - 12/01/36 | 7,137 | ||||||
57 | 8.500%, 10/01/25 - 12/01/25 | 68 | ||||||
4 | 9.000%, 01/01/19 - 04/01/25 | 5 | ||||||
10 | 12.500%, 01/01/16 | 11 | ||||||
Federal National Mortgage Association, Other, | ||||||||
5,060 | 1.446%, 07/01/17 | 5,135 | ||||||
5,000 | 2.004%, 07/01/19 | 5,100 | ||||||
1,860 | 2.211%, 04/01/19 | 1,935 | ||||||
1,856 | 2.490%, 10/01/17 | 1,967 | ||||||
1,530 | 2.841%, 03/01/22 | 1,589 | ||||||
1,750 | 3.482%, 11/01/20 | 1,925 | ||||||
1,680 | 3.492%, 01/01/18 | 1,845 | ||||||
64,290 | 3.500%, 05/01/32 - 08/01/32 | 68,839 | ||||||
1,575 | 3.590%, 10/01/20 | 1,753 | ||||||
1,501 | 3.730%, 06/01/18 | 1,697 | ||||||
1,000 | 3.770%, 09/01/21 | 1,129 | ||||||
1,639 | 3.782%, 12/01/21 | 1,834 | ||||||
1,628 | 3.810%, 01/01/19 | 1,808 | ||||||
1,275 | 4.195%, 07/01/21 | 1,460 | ||||||
2,128 | 4.319%, 12/01/19 | 2,429 | ||||||
3,000 | 4.399%, 02/01/20 | 3,463 | ||||||
1,073 | 4.500%, 01/01/20 | 1,159 | ||||||
2,434 | 4.515%, 02/01/20 | 2,812 | ||||||
1,968 | 4.794%, 01/01/21 | 2,305 | ||||||
1,040 | 5.000%, 12/01/32 - 08/01/33 | 1,119 | ||||||
645 | 5.500%, 09/01/17 | 694 | ||||||
378 | 6.500%, 04/01/36 - 07/01/36 | 425 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
8,301 | 6.000%, 11/20/32 - 09/20/38 | 9,426 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 125 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
2,424 | 6.500%, 02/20/29 - 10/20/39 | 2,783 | ||||||
5,094 | 7.000%, 06/20/32 - 01/20/39 | 5,939 | ||||||
526 | 7.500%, 08/20/25 - 05/20/32 | 641 | ||||||
995 | 8.000%, 08/20/26 - 09/20/31 | 1,231 | ||||||
841 | Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23 | 936 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
367 | 6.500%, 02/15/28 - 10/15/29 | 427 | ||||||
115 | 7.000%, 02/15/24 - 11/15/27 | 135 | ||||||
118 | 7.250%, 07/15/21 - 01/15/28 | 139 | ||||||
68 | 7.500%, 10/15/22 - 02/15/27 | 75 | ||||||
6 | 7.750%, 02/15/27 | 6 | ||||||
3 | 8.500%, 11/15/25 | 4 | ||||||
98 | 9.000%, 04/15/16 - 01/15/25 | 106 | ||||||
4 | 10.000%, 11/15/20 | 4 | ||||||
1 | 13.000%, 01/15/15 | 2 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 220,416 | |||||||
|
| |||||||
| Municipal Bonds — 0.6% (t) |
| ||||||
California — 0.1% |
| |||||||
1,000 | Los Angeles Department of Airports, Taxable Build America Bonds, Rev., 6.582%, 05/15/39 | 1,292 | ||||||
774 | University of California, Rev., 4.858%, 05/15/12 | 815 | ||||||
|
| |||||||
2,107 | ||||||||
|
| |||||||
Illinois — 0.1% |
| |||||||
780 | Railsplitter Tobacco Settlement Authority, Rev., 5.250%, 06/01/21 | 916 | ||||||
1,960 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 | 1,899 | ||||||
|
| |||||||
2,815 | ||||||||
|
| |||||||
New York — 0.2% |
| |||||||
900 | New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.375%, 06/15/43 | 1,055 | ||||||
New York State Dormitory Authority, State Personal Taxable General Purpose, Build America Bonds, | ||||||||
560 | Series H, Rev., 5.289%, 03/15/33 | 674 | ||||||
1,165 | Series H, Rev., 5.389%, 03/15/40 | 1,475 | ||||||
1,450 | Port Authority of New York & New Jersey, Construction 164, Rev., 5.647%, 11/01/40 | 1,851 | ||||||
|
| |||||||
5,055 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Ohio — 0.1% |
| |||||||
1,040 | American Municipal Power, Inc., Build America Bonds, Series B, Rev., 7.499%, 02/15/50 | 1,438 | ||||||
1,563 | Ohio State University (The), Series A, Rev., 4.800%, 06/01/11 | 1,778 | ||||||
|
| |||||||
3,216 | ||||||||
|
| |||||||
Oklahoma — 0.1% |
| |||||||
900 | Oklahoma City Water Utilities Trust, Water & Sewer, Rev., 5.375%, 07/01/40 | 1,077 | ||||||
|
| |||||||
Washington — 0.0% (g) |
| |||||||
900 | City of Seattle, Light & Power Improvement, Series A, Rev., 5.250%, 02/01/33 | 1,060 | ||||||
|
| |||||||
Total Municipal Bonds | 15,330 | |||||||
|
| |||||||
| Supranational — 0.2% |
| ||||||
1,000 | African Development Bank, 8.800%, 09/01/19 | 1,345 | ||||||
1,260 | Corp. Andina de Fomento, 3.750%, 01/15/16 | 1,319 | ||||||
330 | Eurasian Development Bank, Reg. S., 7.375%, 09/29/14 | 360 | ||||||
NZD 1,500 | International Finance Corp., (IFD), 3.500%, 09/05/17 | 1,209 | ||||||
|
| |||||||
Total Supranational | 4,233 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 1.3% |
| ||||||
1,500 | Federal Home Loan Bank, 1.750%, 12/14/12 | 1,506 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
915 | 1.350%, 04/29/14 | 931 | ||||||
635 | 5.250%, 04/18/16 | 744 | ||||||
385 | 6.750%, 09/15/29 | 595 | ||||||
Federal National Mortgage Association, | ||||||||
7,360 | Zero Coupon, 06/01/17 | 7,024 | ||||||
825 | ARM, 5.000%, 05/11/17 | 992 | ||||||
1,500 | 5.625%, 07/15/37 | 2,187 | ||||||
1,000 | 8.200%, 03/10/16 | 1,266 | ||||||
1,000 | Federal National Mortgage Association STRIPS, 11/15/21 | 818 | ||||||
Financing Corp. Fico, | ||||||||
3,100 | Zero Coupon, 11/30/17 | 2,901 | ||||||
1,000 | Zero Coupon, 05/11/18 | 925 | ||||||
1,285 | Zero Coupon, 04/05/19 | 1,162 | ||||||
1,500 | Zero Coupon, 09/26/19 | 1,338 | ||||||
388 | New Valley Generation II, 5.572%, 05/01/20 | 451 | ||||||
633 | New Valley Generation III, 4.929%, 01/15/21 | 726 | ||||||
6,470 | Residual Funding Corp. STRIPS, Zero Coupon, 07/15/20 | 5,725 |
SEE NOTES TO FINANCIAL STATEMENTS.
126 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
Tennessee Valley Authority, | ||||||||
902 | 4.625%, 09/15/60 | 1,126 | ||||||
2,103 | 5.250%, 09/15/39 | 2,793 | ||||||
1,610 | 5.880%, 04/01/36 | 2,291 | ||||||
500 | Tennessee Valley Authority STRIPS, 11/01/25 | 342 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 35,843 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 17.2% |
| ||||||
U.S. Treasury Bonds, | ||||||||
85 | 3.500%, 02/15/39 | 100 | ||||||
555 | 4.375%, 02/15/38 | 749 | ||||||
8,400 | 4.500%, 02/15/36 | 11,462 | ||||||
3,890 | 4.500%, 05/15/38 | 5,350 | ||||||
5,000 | 5.000%, 05/15/37 | 7,330 | ||||||
2,500 | 5.250%, 02/15/29 | 3,564 | ||||||
1,000 | 5.500%, 08/15/28 | 1,454 | ||||||
2,340 | 6.000%, 02/15/26 | 3,465 | ||||||
5,000 | 6.250%, 08/15/23 | 7,315 | ||||||
4,250 | 6.375%, 08/15/27 | 6,613 | ||||||
7,600 | 7.125%, 02/15/23 | 11,689 | ||||||
7,200 | 7.250%, 08/15/22 | 11,056 | ||||||
17,000 | 7.500%, 11/15/16 (m) | 21,956 | ||||||
4,800 | 7.500%, 11/15/24 | 7,818 | ||||||
2,625 | 7.875%, 02/15/21 | 4,028 | ||||||
13,600 | 8.125%, 05/15/21 (m) | 21,283 | ||||||
10,000 | 8.125%, 08/15/21 (m) | 15,760 | ||||||
5,000 | 8.500%, 02/15/20 | 7,679 | ||||||
6,000 | 8.750%, 08/15/20 | 9,481 | ||||||
22,210 | 8.875%, 08/15/17 (m) | 31,176 | ||||||
1,000 | U.S. Treasury Inflation Indexed Bond, 3.625%, 04/15/28 | 2,236 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
9,500 | 0.625%, 04/15/13 | 10,411 | ||||||
4,900 | 1.250%, 04/15/14 | 5,519 | ||||||
9,000 | 2.000%, 01/15/14 | 11,667 | ||||||
U.S. Treasury Notes, | ||||||||
40 | 0.750%, 03/31/13 (k) | 40 | ||||||
24,750 | 0.875%, 07/31/19 | 24,559 | ||||||
4,750 | 1.125%, 05/31/19 | 4,802 | ||||||
6,750 | 1.250%, 04/30/19 | 6,885 | ||||||
4,000 | 1.375%, 09/15/12 | 4,002 | ||||||
6,625 | 1.375%, 10/15/12 (m) | 6,635 | ||||||
5,275 | 1.375%, 11/15/12 | 5,288 | ||||||
2,665 | 1.375%, 11/30/18 | 2,749 | ||||||
100 | 2.000%, 04/30/16 | 106 | ||||||
225 | 2.250%, 05/31/14 | 233 |
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
335 | 2.250%, 01/31/15 | 351 | ||||||
11,000 | 2.250%, 11/30/17 | 11,904 | ||||||
2,780 | 2.625%, 02/29/16 | 2,999 | ||||||
130 | 2.625%, 04/30/16 | 140 | ||||||
12,940 | 2.750%, 05/31/17 (m) | 14,266 | ||||||
7,115 | 2.875%, 03/31/18 | 7,955 | ||||||
1,000 | 3.125%, 10/31/16 | 1,110 | ||||||
2,000 | 3.125%, 01/31/17 | 2,228 | ||||||
10,654 | 3.125%, 05/15/19 | 12,179 | ||||||
2,250 | 3.250%, 03/31/17 | 2,526 | ||||||
8,000 | 4.250%, 11/15/17 | 9,471 | ||||||
7,860 | 4.750%, 08/15/17 | 9,450 | ||||||
U.S. Treasury STRIPS, | ||||||||
308 | 05/15/14 | 307 | ||||||
2,000 | 11/15/14 | 1,989 | ||||||
2,425 | 11/15/15 | 2,396 | ||||||
6,980 | 05/15/16 | 6,873 | ||||||
6,916 | 02/15/17 | 6,743 | ||||||
12,239 | 08/15/17 | 11,839 | ||||||
19,170 | 11/15/17 (m) | 18,475 | ||||||
6,000 | 02/15/18 | 5,753 | ||||||
1,606 | 08/15/18 | 1,526 | ||||||
185 | 08/15/19 | 172 | ||||||
9,201 | 05/15/20 | 8,369 | ||||||
3,390 | 11/15/20 | 3,040 | ||||||
1,795 | 02/15/21 | 1,595 | ||||||
15,000 | 05/15/21 | 13,216 | ||||||
22,000 | 11/15/21 (m) | 19,087 | ||||||
5,000 | 08/15/22 | 4,227 | ||||||
5,000 | 11/15/22 | 4,188 | ||||||
4,000 | 08/15/24 | 3,138 | ||||||
5,000 | 11/15/24 | 3,885 | ||||||
2,900 | 02/15/25 | 2,232 | ||||||
6,315 | 02/15/27 | 4,508 | ||||||
8,000 | 11/15/27 | 5,558 | ||||||
2,615 | 02/15/28 | 1,802 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 479,957 | |||||||
|
| |||||||
SHARES | ||||||||
| Common Stocks — 0.4% |
| ||||||
Consumer Discretionary — 0.1% |
| |||||||
Automobiles — 0.1% |
| |||||||
73 | General Motors Co. (a) | 1,566 | ||||||
18 | Motors Liquidation Co. GUC Trust (a) | 264 | ||||||
|
| |||||||
1,830 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 127 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
| Common Stocks — Continued |
| ||||||
Hotels, Restaurants & Leisure — 0.0% (g) |
| |||||||
500 | Real Mex Restaurants, Inc., Class B, ADR (a) (f) (i) | 29 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.0% (g) | ||||||||
31 | New True Temper Holdings Corp., Inc. (a) (f) (i) | 20 | ||||||
|
| |||||||
Specialty Retail — 0.0% (g) | ||||||||
44 | Neebo, Inc. (a) (f) (i) | 153 | ||||||
|
| |||||||
Total Consumer Discretionary | 2,032 | |||||||
|
| |||||||
Consumer Staples — 0.0% |
| |||||||
Food Products — 0.0% |
| |||||||
40 | Eurofresh, Inc., ADR (a) (f) (i) | — | ||||||
|
| |||||||
Financials — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
208 | Capmark Financial Group, Inc. (a) | 5,295 | ||||||
|
| |||||||
Industrials — 0.0% (g) | ||||||||
Marine — 0.0% (g) | ||||||||
1 | General Maritime Corp. (a) (f) (i) | 16 | ||||||
|
| |||||||
Information Technology — 0.0% (g) | ||||||||
Semiconductors & Semiconductor Equipment — 0.0% (g) |
| |||||||
11 | Magnachip Semiconductor Corp., (Luxembourg) (a) | 147 | ||||||
|
| |||||||
Materials — 0.1% | ||||||||
Construction Materials — 0.0% (g) | ||||||||
264 | U.S. Concrete, Inc. (a) | 1,668 | ||||||
|
| |||||||
Containers & Packaging — 0.0% (g) | ||||||||
9 | Constar International, Inc., ADR (a) (f) (i) | 7 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) | ||||||||
8 | Wolverine Tube, Inc., ADR (a) (f) (i) | 150 | ||||||
|
| |||||||
Paper & Forest Products — 0.1% | ||||||||
137 | Resolute Forest Products, (Canada) (a) | 1,717 | ||||||
|
| |||||||
Total Materials | 3,542 | |||||||
|
| |||||||
Telecommunication Services — 0.0% (g) | ||||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
— | (h) | Sprint Nextel Corp. (a) | — | (h) | ||||
|
| |||||||
Utilities – 0.0% (g) |
| |||||||
Independent Power Producers & Energy Traders – 0.0% (g) |
| |||||||
7 | Somerset Cayuga Holding Co., Inc. (a) | 106 | ||||||
|
| |||||||
Total Common Stocks | 11,138 | |||||||
|
| |||||||
| Preferred Stocks — 0.4% |
| ||||||
Consumer Discretionary — 0.2% | ||||||||
Automobiles — 0.0% (g) | ||||||||
35 | General Motors Co., 4.750%, 12/01/13 | 1,250 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE | ||||||
Diversified Consumer Services — 0.1% | ||||||||
34 | Carriage Services Capital Trust, 7.000%, 06/01/29 | 1,493 | ||||||
|
| |||||||
Household Durables — 0.1% | ||||||||
124 | M/I Homes, Inc., 9.750%, 10/18/12 | 2,271 | ||||||
|
| |||||||
Total Consumer Discretionary | 5,014 | |||||||
|
| |||||||
Consumer Staples — 0.0% | ||||||||
Food Products — 0.0% | ||||||||
— | (h) | Eurofresh, Inc., ADR, PIK, 15.000% | — | |||||
|
| |||||||
Financials — 0.2% | ||||||||
Commercial Banks — 0.1% | ||||||||
8 | CoBank ACB, 7.000%, 10/01/12 | 409 | ||||||
10 | CoBank ACB, Series C, 11.000%, 07/01/13 ($50.00 par value)@ (e) | 537 | ||||||
15 | CoBank ACB, Series D, 11.000%, 10/01/14 ($50.00 par value)@ | 833 | ||||||
|
| |||||||
1,779 | ||||||||
|
| |||||||
Consumer Finance — 0.1% | ||||||||
4 | Ally Financial, Inc., 7.000%, 10/04/12 (e)@ | 3,621 | ||||||
|
| |||||||
Diversified Financial Services — 0.0% (g) | ||||||||
14 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 397 | ||||||
|
| |||||||
Insurance — 0.0% (g) | ||||||||
11 | Hartford Financial Services Group, Inc., VAR, 7.875%, 04/15/42 (a) | 310 | ||||||
|
| |||||||
Total Financials | 6,107 | |||||||
|
| |||||||
Materials — 0.0% (g) | ||||||||
Containers & Packaging — 0.0% (g) | ||||||||
1 | Constar International, Inc., 11.000% (a) (f) (i) | 195 | ||||||
|
| |||||||
Total Preferred Stocks | 11,316 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
| Loan Participations & Assignments — 1.7% | |||||||
Consumer Discretionary — 0.9% | ||||||||
Automobiles — 0.1% | ||||||||
3,519 | Chrysler, Term Loan B, VAR, 6.000%, 05/24/17 | 3,578 | ||||||
|
| |||||||
Broadcasting & Cable TV — 0.0% (g) | ||||||||
200 | Kabel Deutschland, Facility F Loan, VAR, 4.250%, 02/01/19 | 200 | ||||||
72 | Yankee Cable, Term Loan B, VAR, 5.250%, 08/26/16 | 72 | ||||||
|
| |||||||
272 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
128 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Gaming — 0.2% | ||||||||
2,100 | Caesars Entertainment Operating Co., Inc, Term B-2 Loan, VAR, 3.236%, 01/28/15 | 1,991 | ||||||
1,100 | Caesars Entertainment Operating Co., Inc., Extended B-6 Term Loan, VAR, 5.486%, 01/28/18 ^ | 967 | ||||||
1,242 | CCM Merger, Inc., Term Loan, VAR, 6.000%, 03/01/17 | 1,229 | ||||||
1,400 | Mohegan Tribal Gaming Authority, Term Loan, VAR, 9.000%, 03/31/16 | 1,404 | ||||||
|
| |||||||
5,591 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||
517 | Burger King Corp., Term Loan B, VAR, 4.500%, 10/19/16 | 518 | ||||||
264 | Landry’s, Inc., Term Loan, VAR, 6.500%, 04/24/18 | 266 | ||||||
MTL Publishing LLC, Term B Loan, | ||||||||
57 | VAR, 5.500%, 06/29/18 | 58 | ||||||
218 | VAR, 5.500%, 06/29/18 | 219 | ||||||
325 | Wendy’s International, Term Loan, VAR, 4.750%, 05/15/19 | 327 | ||||||
|
| |||||||
1,388 | ||||||||
|
| |||||||
Media — 0.4% | ||||||||
439 | Bresnan Communication, Term Loan B, VAR, 4.500%, 12/14/17 | 440 | ||||||
2,000 | Cengage Learning Acquisitions, Extended Tranche B Term Loan, VAR, 0.068%, 07/05/17 | 1,751 | ||||||
2,345 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.881%, 01/29/16 | 1,816 | ||||||
357 | High Plains Broadcasting Operating Co., LLC, Term Loan, VAR, 9.000%, 09/14/16 | 357 | ||||||
1,290 | Newport Television, Term Loan, VAR, 9.000%, 09/14/16 | 1,291 | ||||||
1,750 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 1,759 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
516 | VAR, 9.000%, 10/24/14 | 297 | ||||||
428 | VAR, 9.000%, 10/24/14 | 246 | ||||||
174 | VAR, 9.000%, 10/24/14 | 100 | ||||||
864 | Radio One, Term Loan, VAR, 7.500%, 03/31/16 | 864 | ||||||
1,008 | TL Acquisitions, Inc., Term Loan, VAR, 2.490%, 07/03/14 | 928 | ||||||
171 | Univision Communications, Inc., Existing First Lien Term Loan, VAR, 2.231%, 09/29/14 | 170 | ||||||
2,993 | Vertis, Inc., 1st Lien Term Loan, VAR, 14.000%, 12/21/15 (f) (i) | 988 | ||||||
|
| |||||||
11,007 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Specialty Retail — 0.1% | ||||||||
Claire’s Stores, Initial Term Loan (A&R), | ||||||||
1,402 | VAR, 2.981%, 05/29/14 | 1,376 | ||||||
604 | VAR, 3.197%, 05/29/14 | 592 | ||||||
Gymboree, Initial Term Loan (A&R), | ||||||||
619 | VAR, 5.000%, 02/23/18 | 599 | ||||||
83 | VAR, 5.000%, 02/23/18 | 80 | ||||||
|
| |||||||
2,647 | ||||||||
|
| |||||||
Total Consumer Discretionary | 24,483 | |||||||
|
| |||||||
Consumer Staples — 0.1% | ||||||||
Food & Staples Retailing — 0.1% | ||||||||
1,155 | SUPERVALU, Inc., Term Loan, VAR, 08/03/18 ^ | 1,154 | ||||||
|
| |||||||
Food Products — 0.0% (g) | ||||||||
High Liner Foods, Inc., Term Loan, | ||||||||
235 | VAR, 7.000%, 12/19/17 | 235 | ||||||
4 | VAR, 7.000%, 12/19/17 | 4 | ||||||
425 | Smart Balance, Term Loan, VAR, 7.000%, 07/02/18 | 428 | ||||||
|
| |||||||
667 | ||||||||
|
| |||||||
Total Consumer Staples | 1,821 | |||||||
|
| |||||||
Energy — 0.1% | ||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||
388 | Arch Coal, Term Loan B, VAR, 5.750%, 05/16/18 | 387 | ||||||
1,550 | Chesapeake Energy, Term Loan, VAR, 8.500%, 12/02/17 | 1,553 | ||||||
571 | MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18 | 571 | ||||||
780 | NGPL PipeCo LLC, Term Loan, VAR, 6.750%, 09/15/17 | 782 | ||||||
Patriot Coal, DIP Term Loan, | ||||||||
11 | VAR, 9.250%, 10/02/13 | 12 | ||||||
23 | VAR, 9.250%, 10/02/13 | 23 | ||||||
|
| |||||||
Total Energy | 3,328 | |||||||
|
| |||||||
Financials — 0.2% | ||||||||
Capital Markets — 0.1% | ||||||||
1,906 | Pinafore LLC/Pinafore, Inc., Term Loan B1, VAR, 4.250%, 09/29/16 | 1,911 | ||||||
|
| |||||||
Insurance — 0.0% (g) | ||||||||
88 | USI Holdings, Series C, New Term Loan, VAR, 7.000%, 05/05/14 | 88 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.0% (g) |
| |||||||
I-Star, Term Loan A-1, | ||||||||
468 | VAR, 5.000%, 06/28/13 | 469 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 129 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (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 | |||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
207 | VAR, 5.000%, 06/28/13 | 207 | ||||||
|
| |||||||
676 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
2,195 | GMACM, Term A-1 Loan, VAR, 5.000%, 11/18/13 | 2,200 | ||||||
|
| |||||||
Total Financials | 4,875 | |||||||
|
| |||||||
Health Care — 0.0% (g) |
| |||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
173 | inVentiv Health, Consolidated Term Loan, VAR, 6.500%, 08/04/16 | 161 | ||||||
U.S. Renal Care, 1st Lien Term Loan, | ||||||||
199 | VAR, 6.250%, 07/03/19 | 201 | ||||||
1 | VAR, 7.250%, 07/03/19 | — | (h) | |||||
|
| |||||||
362 | ||||||||
|
| |||||||
Pharmaceuticals — 0.0% (g) |
| |||||||
574 | Aptalis Pharma, Inc., Term B-2 Loan, VAR, 5.500%, 02/10/17 | 572 | ||||||
Aptalis Pharma, Inc., Term Loan, | ||||||||
346 | VAR, 5.500%, 02/10/17 | 345 | ||||||
37 | VAR, 5.500%, 02/10/17 | 37 | ||||||
Catalent Pharma Solutions, Dollar Term-2 Loan, | ||||||||
115 | VAR, 5.250%, 09/15/17 | 116 | ||||||
59 | VAR, 5.250%, 09/15/17 | 59 | ||||||
|
| |||||||
1,129 | ||||||||
|
| |||||||
Total Health Care | 1,491 | |||||||
|
| |||||||
Industrials — 0.1% |
| |||||||
Aerospace & Defense — 0.0% (g) |
| |||||||
545 | Ducommun, Inc., Term Loan, VAR, 5.500%, 06/28/17 | 545 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
302 | ACCO Brands, Term B Loan, VAR, 4.250%, 05/01/19 | 302 | ||||||
347 | Baker Corp. International, Term Loan, VAR, 4.750%, 06/01/18 | 345 | ||||||
447 | Cenveo Corp., Term Loan B, VAR, 6.625%, 12/21/16 | 447 | ||||||
445 | Sourcehov LLC, 1st Lien Term B Loan, VAR, 6.625%, 04/28/17 | 426 | ||||||
|
| |||||||
1,520 | ||||||||
|
|
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
Machinery — 0.0% (g) |
| |||||||
347 | Terex Corp., Term Loan, VAR, 5.500%, 04/28/17 | 349 | ||||||
350 | WireCo World Group, Term Loan, VAR, 6.000%, 02/15/17 | 352 | ||||||
|
| |||||||
701 | ||||||||
|
| |||||||
Total Industrials | 2,766 | |||||||
|
| |||||||
Information Technology — 0.1% |
| |||||||
Communications Equipment — 0.0% (g) |
| |||||||
Syniverse Holdings, Inc., Initial Term Loan, | ||||||||
399 | VAR, 5.000%, 04/23/19 | 397 | ||||||
1 | VAR, 5.000%, 04/23/19 | 1 | ||||||
|
| |||||||
398 | ||||||||
|
| |||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
Sealed Air, Term Loan B, | ||||||||
227 | VAR, 4.750%, 10/03/18 | 229 | ||||||
263 | VAR, 4.750%, 10/03/18 | 264 | ||||||
|
| |||||||
493 | ||||||||
|
| |||||||
IT Services — 0.1% |
| |||||||
EVERTEC, Inc. Term Loan B1, | ||||||||
892 | VAR, 5.500%, 09/30/16 | 888 | ||||||
28 | VAR, 5.500%, 09/30/16 | 28 | ||||||
218 | First Data Corp., Non-Extended B-1 3/12 Term, VAR, 2.987%, 09/24/14 | 215 | ||||||
207 | First Data Corp., Non-Extended B-3 3/12 Term, VAR, 2.986%, 09/24/14 | 204 | ||||||
|
| |||||||
1,335 | ||||||||
|
| |||||||
Total Information Technology | 2,226 | |||||||
|
| |||||||
Materials — 0.1% |
| |||||||
Chemicals — 0.1% |
| |||||||
AZ Chem U.S., Inc., Term Loan, | ||||||||
251 | VAR, 7.250%, 12/22/17 | 253 | ||||||
30 | VAR, 7.250%, 12/22/17 | 30 | ||||||
Harko C.V., Term Loan B, | ||||||||
157 | VAR, 5.750%, 08/02/17 | 158 | ||||||
116 | VAR, 5.750%, 08/02/17 | 116 | ||||||
Nexeo Solutions, Term Loan, | ||||||||
14 | VAR, 5.000%, 09/08/17 | 14 | ||||||
13 | VAR, 5.000%, 09/08/17 | 12 | ||||||
19 | VAR, 5.000%, 09/08/17 | 18 | ||||||
PL Propylene LLC, Term Loan, | ||||||||
274 | VAR, 7.000%, 03/27/17 | 275 | ||||||
1 | VAR, 7.000%, 03/27/17 | 1 | ||||||
1 | VAR, 7.000%, 03/27/17 | 1 |
SEE NOTES TO FINANCIAL STATEMENTS.
130 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT | SECURITY DESCRIPTION | VALUE | ||||||
| Loan Participations & Assignments — Continued | |||||||
Chemicals — Continued | ||||||||
PolyOne, Term Loan B, | ||||||||
295 | VAR, 5.000%, 12/20/17 | 296 | ||||||
4 | VAR, 5.000%, 12/20/17 | 3 | ||||||
478 | Trinseo, 1st Lien Term Loan, VAR, 8.000%, 08/02/17 | 445 | ||||||
|
| |||||||
1,622 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
324 | Summit Materials LLC, Term Loan, VAR, 6.000%, 01/30/19 | 325 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) |
| |||||||
308 | Noranda Aluminum, Term B Loan, VAR, 5.750%, 02/28/19 | 310 | ||||||
|
| |||||||
Total Materials | 2,257 | |||||||
|
| |||||||
Utilities — 0.1% |
| |||||||
Independent Power Producers & Energy Traders — 0.1% |
| |||||||
293 | Texas Competitive Electric, Extended Term Loan, VAR, 4.938%, 10/10/17 | 199 | ||||||
1,824 | Texas Competitive Electric, Extended-Term Loan, VAR, 4.741%, 10/10/17 | 1,236 | ||||||
Texas Competitive Electric, Non-Extended Term Loan, | ||||||||
1,824 | VAR, 3.741%, 10/10/14 | 1,335 | ||||||
293 | VAR, 3.938%, 10/10/14 | 215 | ||||||
|
| |||||||
Total Utilities | 2,985 | |||||||
|
| |||||||
Total Loan Participations & Assignments | 46,232 | |||||||
|
|
NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE | ||||||
| Warrants — 0.1% |
| ||||||
Consumer Discretionary — 0.1% |
| |||||||
Automobiles — 0.1% |
| |||||||
General Motors Co., | ||||||||
67 | expiring 7/10/16 (Strike Price $10.00) (a) | 835 | ||||||
67 | expiring 7/10/19 (Strike Price $18.33) (a) | 504 | ||||||
|
| |||||||
1,339 | ||||||||
|
| |||||||
Specialty Retail — 0.0% |
| |||||||
13 | Neebo, Inc., expiring 6/20/19 (Strike Price $1.00) (a) (f) (i) | — | ||||||
|
| |||||||
Total Consumer Discretionary | 1,339 | |||||||
|
| |||||||
Industrials — 0.0% |
| |||||||
Marine — 0.0% |
| |||||||
1 | General Maritime Corp., expiring 05/17/17 (Strike Price $1.00) (a) (f) (i) | — | ||||||
|
| |||||||
Total Warrants | 1,339 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 5.5% |
| ||||||
Investment Company — 5.5% |
| |||||||
153,998 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120% (b) (l) | 153,998 | ||||||
|
| |||||||
Total Investments — 99.4% | 2,768,869 | |||||||
Other Assets in Excess of | 16,892 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,785,761 | ||||||
|
|
Percentages indicated are based on net assets.
Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 08/31/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
19 | 10 Year U.S. Treasury Note | 12/19/12 | 2,541 | 18 | ||||||||||||
5 | 2 Year U.S. Treasury Note | 12/31/12 | 1,103 | 1 | ||||||||||||
Short Futures Outstanding | ||||||||||||||||
(11 | ) | 30 Year U.S. Treasury Bond | 12/19/12 | (1,666 | ) | (15 | ) | |||||||||
|
| |||||||||||||||
4 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 131 |
Table of Contents
JPMorgan Core Plus Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of contracts)
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
CONTRACTS TO BUY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 08/31/12 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
3,400,000 | MXN | BNP Paribas | 09/28/12 | 250 | 257 | 7 | ||||||||||||||||
1,495,231 | NZD | State Street Corp. | 09/05/12 | 1,209 | 1,201 | (8 | ) | |||||||||||||||
1,459 | 1,458 | (1 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
CONTRACTS TO SELL | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT 08/31/12 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
3,027,906 | AUD | HSBC Bank, N.A. | 11/09/12 | 3,153 | 3,109 | 44 | ||||||||||||||||
10,000 | EUR | BNP Paribas | 09/28/12 | 12 | 12 | — | (h) | |||||||||||||||
160,000 | EUR | State Street Corp. | 09/28/12 | 202 | 202 | — | (h) | |||||||||||||||
1,342,899 | EUR | Credit Suisse International | 11/09/12 | 1,670 | 1,691 | (21 | ) | |||||||||||||||
3,400,000 | MXN | Credit Suisse International | 09/28/12 | 246 | 257 | (11 | ) | |||||||||||||||
3,061,000 | NOK | Westpac Banking Corp. | 09/26/12 | 524 | 528 | (4 | ) | |||||||||||||||
5,807 | 5,799 | 8 | ||||||||||||||||||||
|
|
Credit Default Swaps—Buy Protection [1]
Credit Indices:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND PAYS FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT SPREAD AS OF 08/31/12 [3] | NOTIONAL AMOUNT [4] | VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||
CDX.NA.HY.18-V2 | 5.000% quarterly | 06/20/17 | 5.426 | % | 25,000 | 171 | (1,170 | ) | ||||||||||||||
CDX.NA.HY.18-V2 | 5.000% quarterly | 06/20/17 | 5.426 | 25,000 | 171 | (1,109 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
342 | (2,279 | ) | ||||||||||||||||||||
|
|
|
|
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 08/31/12 [3] | NOTIONAL AMOUNT [4] | VALUE | |||||||||||||
Goldman Sachs Capital Management: | ||||||||||||||||||
FSA Global Funding, Ltd., 6.110%, 06/29/15 | 1.950% quarterly | 03/20/13 | 2.397 | % | 1,000 | 1 |
[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 an 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 credit protection would be obligated to pay 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.
132 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — 40.7% |
| ||||||
Agency CMO — 40.7% |
| |||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
75 | Series 1343, Class LA, 8.000%, 08/15/22 | 89 | ||||||
549 | Series 1367, Class K, 5.500%, 09/15/22 | 605 | ||||||
104 | Series 1591, Class E, 10.000%, 10/15/23 | 111 | ||||||
902 | Series 1633, Class Z, 6.500%, 12/15/23 | 950 | ||||||
1,031 | Series 1694, Class PK, 6.500%, 03/15/24 | 1,091 | ||||||
5,356 | Series 1785, Class A, 6.000%, 10/15/23 | 5,382 | ||||||
287 | Series 1999, Class PU, 7.000%, 10/15/27 | 334 | ||||||
466 | Series 2031, Class PG, 7.000%, 02/15/28 | 546 | ||||||
1,403 | Series 2035, Class PC, 6.950%, 03/15/28 | 1,636 | ||||||
1,133 | Series 2064, Class PD, 6.500%, 06/15/28 (m) | 1,141 | ||||||
951 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,069 | ||||||
370 | Series 2152, Class BD, 6.500%, 05/15/29 | 403 | ||||||
2,109 | Series 2162, Class TH, 6.000%, 06/15/29 | 2,365 | ||||||
143 | Series 2345, Class PQ, 6.500%, 08/15/16 | 147 | ||||||
1,115 | Series 2367, Class ME, 6.500%, 10/15/31 | 1,210 | ||||||
2,004 | Series 2480, Class EJ, 6.000%, 08/15/32 | 2,255 | ||||||
4,723 | Series 2562, Class PG, 5.000%, 01/15/18 | 5,066 | ||||||
1,634 | Series 2571, Class PV, 5.500%, 01/15/14 | 1,658 | ||||||
3,173 | Series 2611, Class QZ, 5.000%, 05/15/33 | 3,826 | ||||||
536 | Series 2647, Class A, 3.250%, 04/15/32 | 557 | ||||||
2,309 | Series 2651, Class VZ, 4.500%, 07/15/18 | 2,456 | ||||||
7,932 | Series 2656, Class BG, 5.000%, 10/15/32 | 8,512 | ||||||
2,226 | Series 2688, Class DG, 4.500%, 10/15/23 | 2,421 | ||||||
8,588 | Series 2727, Class PE, 4.500%, 07/15/32 | 9,011 | ||||||
6,000 | Series 2773, Class TB, 4.000%, 04/15/19 | 6,455 | ||||||
7,450 | Series 2841, Class AT, 4.000%, 08/15/19 | 8,021 | ||||||
2,164 | Series 2882, Class QD, 4.500%, 07/15/34 | 2,367 | ||||||
6,342 | Series 2915, Class MU, 5.000%, 01/15/35 | 7,291 | ||||||
2,831 | Series 2927, Class GA, 5.500%, 10/15/34 | 3,154 | ||||||
5,500 | Series 2931, Class QD, 4.500%, 02/15/20 | 6,064 | ||||||
4,235 | Series 2976, Class HP, 4.500%, 01/15/33 | 4,400 | ||||||
10,600 | Series 3036, Class ND, 5.000%, 05/15/34 (m) | 11,326 | ||||||
1,390 | Series 3045, Class HN, 4.500%, 09/15/33 | 1,453 | ||||||
1,904 | Series 3085, Class VS, HB, IF, 27.762%, 12/15/35 | 3,098 | ||||||
4,632 | Series 3181, Class OP, PO, 07/15/36 | 4,207 | ||||||
4,500 | Series 3188, Class GE, 6.000%, 07/15/26 | 5,063 | ||||||
26,209 | Series 3325, Class JL, 5.500%, 06/15/37 | 28,490 | ||||||
6,000 | Series 3341, Class PE, 6.000%, 07/15/37 | 7,245 | ||||||
7,000 | Series 3413, Class B, 5.500%, 04/15/37 | 7,980 | ||||||
6,000 | Series 3544, Class PC, 5.000%, 05/15/37 | 6,381 | ||||||
4,000 | Series 3699, Class QH, 5.500%, 07/15/40 | 4,990 | ||||||
16,576 | Series 3737, Class DG, 5.000%, 10/15/30 | 18,216 | ||||||
8,921 | Series 3777, Class WA, 4.000%, 12/15/40 | 9,774 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
7,000 | Series 3798, Class AY, 3.500%, 01/15/26 | 7,572 | ||||||
5,000 | Series 3809, Class BC, 3.500%, 02/15/26 | 5,432 | ||||||
6,351 | Series 3926, Class MW, 4.500%, 09/15/26 | 7,367 | ||||||
44,182 | Series 3981, Class PA, 3.000%, 04/15/31 | 46,096 | ||||||
16,900 | Series 4002, Class MV, 4.000%, 01/15/30 | 18,773 | ||||||
5,000 | Series 4050, Class VE, 4.000%, 01/15/29 | 5,709 | ||||||
4,651 | Series 4066, Class VB, 3.500%, 01/15/29 | 4,977 | ||||||
78 | Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23 | 17 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
2,365 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 2,699 | ||||||
2,674 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,171 | ||||||
1,104 | Series T-56, Class APO, PO, 05/25/43 | 895 | ||||||
1,074 | Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 1,206 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
96 | Series 1988-16, Class B, 9.500%, 06/25/18 (m) | 107 | ||||||
45 | Series 1990-57, Class J, 7.000%, 05/25/20 (m) | 47 | ||||||
260 | Series 1993-110, Class H, 6.500%, 05/25/23 | 303 | ||||||
201 | Series 1993-146, Class E, PO, 05/25/23 | 174 | ||||||
3,243 | Series 1993-155, Class PJ, 7.000%, 09/25/23 | 3,788 | ||||||
37 | Series 1993-205, Class H, PO, 09/25/23 | 36 | ||||||
54 | Series 1993-217, Class H, PO, 08/25/23 | 53 | ||||||
42 | Series 1993-228, Class G, PO, 09/25/23 | 41 | ||||||
1,157 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,337 | ||||||
4,173 | Series 1994-51, Class PV, 6.000%, 03/25/24 | 4,685 | ||||||
2,083 | Series 1998-58, Class PC, 6.500%, 10/25/28 | 2,390 | ||||||
456 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 539 | ||||||
1,240 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 274 | ||||||
422 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 451 | ||||||
653 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 687 | ||||||
3,527 | Series 2002-73, Class OE, 5.000%, 11/25/17 | 3,838 | ||||||
1,391 | Series 2002-92, Class FB, VAR, 0.886%, 04/25/30 | 1,403 | ||||||
7,661 | Series 2003-21, Class PZ, 4.500%, 03/25/33 | 8,531 | ||||||
448 | Series 2003-67, Class SA, HB, IF, 43.969%, 10/25/31 | 998 | ||||||
5,000 | Series 2003-74, Class VL, 5.500%, 11/25/22 | 5,205 | ||||||
16,701 | Series 2003-81, Class MC, 5.000%, 12/25/32 (m) | 17,702 | ||||||
5,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 5,417 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 133 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
7,765 | Series 2003-128, Class DY, 4.500%, 01/25/24 (m) | 8,449 | ||||||
16,000 | Series 2004-7, Class JK, 4.000%, 02/25/19 | 16,964 | ||||||
2,928 | Series 2004-46, Class QD, HB, IF, 23.058%, 03/25/34 | 4,407 | ||||||
3,184 | Series 2004-54, Class FL, VAR, 0.635%, 07/25/34 | 3,197 | ||||||
6,032 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 6,509 | ||||||
14,162 | Series 2004-97, Class B, 5.500%, 01/25/35 | 15,762 | ||||||
7,805 | Series 2005-22, Class EH, 5.000%, 04/25/35 | 9,010 | ||||||
2,173 | Series 2005-29, Class AK, 4.500%, 04/25/35 | 2,263 | ||||||
3,831 | Series 2005-58, Class EP, 5.500%, 07/25/35 | 4,312 | ||||||
7,000 | Series 2005-62, Class DX, 5.000%, 05/25/34 | 7,491 | ||||||
3,850 | Series 2005-83, Class LA, 5.500%, 10/25/35 | 4,389 | ||||||
5,498 | Series 2005-116, Class PC, 6.000%, 01/25/36 | 6,109 | ||||||
13,194 | Series 2006-3, Class SB, IF, IO, 6.464%, 07/25/35 | 1,913 | ||||||
22,739 | Series 2006-51, Class FP, VAR, 0.585%, 03/25/36 | 22,786 | ||||||
510 | Series 2006-69, Class SP, IF, 14.518%, 05/25/30 | 544 | ||||||
315 | Series 2006-81, Class FA, VAR, 0.585%, 09/25/36 | 316 | ||||||
3,646 | Series 2006-110, Class PO, PO, 11/25/36 | 3,524 | ||||||
7,773 | Series 2007-76, Class PE, 6.000%, 08/25/37 | 9,054 | ||||||
1,900 | Series 2009-89, Class A1, 5.410%, 05/25/35 | 2,088 | ||||||
1,041 | Series 2010-4, Class SL, IF, 11.058%, 02/25/40 | 1,187 | ||||||
7,518 | Series 2010-11, Class CB, 4.500%, 02/25/40 | 7,960 | ||||||
6,000 | Series 2010-47, Class MB, 5.000%, 09/25/39 | 6,995 | ||||||
9,501 | Series 2010-68, Class EP, 4.500%, 12/25/39 | 10,427 | ||||||
5,000 | Series 2010-117, Class DY, 4.500%, 10/25/25 | 5,842 | ||||||
4,274 | Series 2010-155, Class B, 3.500%, 01/25/26 | 4,657 | ||||||
11,500 | Series 2011-145, Class PB, 3.500%, 01/25/32 | 12,376 | ||||||
24,729 | Series 2012-47, Class QE, 4.000%, 05/25/38 | 26,964 | ||||||
5,566 | Series 2012-50, Class HY, 4.000%, 05/25/42 | 6,234 | ||||||
17,716 | Series 2012-60, Class EP, 3.000%, 04/25/42 | 18,364 | ||||||
26,421 | Series 2012-63, Class VA, 4.000%, 08/25/23 | 29,828 | ||||||
25,000 | Series 2012-93, Class ME, 2.500%, 01/25/42 | 25,724 | ||||||
23 | Series G92-35, Class EB, 7.500%, 07/25/22 | 26 | ||||||
214 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 240 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
3,324 | Series 278, Class 1, VAR, 1.147%, 08/01/25 | 3,340 | ||||||
1,455 | Series 278, Class 3, VAR, 1.232%, 11/01/23 | 1,486 | ||||||
1,634 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 105 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
Federal National Mortgage Association Whole Loan, | ||||||||
360 | Series 1999-W4, Class A9, 6.250%, 02/25/29 | 411 | ||||||
2,848 | Series 2002-W7, Class A4, 6.000%, 06/25/29 | 3,195 | ||||||
1,238 | Series 2003-W1, Class 1A1, VAR, 6.224%, 12/25/42 | 1,427 | ||||||
605 | Series 2003-W1, Class 2A, VAR, 7.007%, 12/25/42 | 713 | ||||||
3,264 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 3,360 | ||||||
4,410 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 5,242 | ||||||
3,957 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 4,558 | ||||||
Government National Mortgage Association, | ||||||||
673 | Series 1998-22, Class PD, 6.500%, 09/20/28 | 732 | ||||||
385 | Series 1999-17, Class L, 6.000%, 05/20/29 | 418 | ||||||
3,888 | Series 2001-10, Class PE, 6.500%, 03/16/31 | 4,539 | ||||||
5,838 | Series 2001-64, Class PB, 6.500%, 12/20/31 | 6,326 | ||||||
9,386 | Series 2003-59, Class XA, IO, VAR, 0.972%, 06/16/34 | 141 | ||||||
3,285 | Series 2004-27, Class PD, 5.500%, 04/20/34 | 4,049 | ||||||
1,624 | Series 2004-62, Class VA, 5.500%, 07/20/15 | 1,648 | ||||||
12,436 | Series 2005-28, Class AJ, 5.500%, 04/20/35 | 13,878 | ||||||
3,112 | Series 2008-15, Class NB, 4.500%, 02/20/38 | 3,359 | ||||||
10,201 | Series 2008-40, Class SA, IF, IO, 6.162%, 05/16/38 | 2,106 | ||||||
28,693 | Series 2009-42, Class TX, 4.500%, 06/20/39 (m) | 32,828 | ||||||
7,030 | Series 2009-52, Class MA, 5.000%, 11/20/36 | 7,467 | ||||||
4,752 | Series 2009-69, Class WM, 5.500%, 08/20/39 | 5,686 | ||||||
10,777 | Series 2011-29, Class Z, 5.000%, 05/20/40 | 13,072 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 766,733 | |||||||
|
| |||||||
| Foreign Government Security — 0.4% |
| ||||||
7,527 | Israel Government AID Bond, (Israel), 09/15/19 (Cost $6,354) | 6,768 | ||||||
|
| |||||||
| Mortgage Pass-Through Securities — 7.1% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
223 | ARM, 2.168%, 01/01/27 | 237 | ||||||
25 | ARM, 2.303%, 04/01/30 | 27 | ||||||
16 | ARM, 2.368%, 02/01/19 | 17 | ||||||
6 | ARM, 2.407%, 07/01/30 | 6 | ||||||
2,313 | ARM, 2.566%, 03/01/37 | 2,476 | ||||||
81 | ARM, 2.611%, 08/01/18 | 86 | ||||||
26 | ARM, 2.655%, 03/01/18 | 27 | ||||||
36 | ARM, 3.000%, 06/01/18 | 36 |
SEE NOTES TO FINANCIAL STATEMENTS.
134 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
108 | ARM, 3.062%, 01/01/21 | 108 | ||||||
3 | ARM, 3.096%, 01/01/20 | 3 | ||||||
49 | ARM, 3.205%, 11/01/18 | 52 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
390 | 5.000%, 12/01/13 - 12/01/16 | 421 | ||||||
157 | 6.000%, 04/01/14 | 160 | ||||||
295 | 6.500%, 12/01/12 - 06/01/14 | 308 | ||||||
— | (h) | 7.000%, 12/01/14 | — | (h) | ||||
966 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24 | 1,060 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
9,242 | 4.000%, 04/01/42 | 9,901 | ||||||
2,781 | 4.500%, 10/01/40 | 3,053 | ||||||
1,451 | 5.500%, 11/01/33 | 1,629 | ||||||
254 | 6.000%, 02/01/32 | 285 | ||||||
1,053 | 6.500%, 01/01/24 - 07/01/29 | 1,231 | ||||||
1,373 | 7.000%, 08/01/25 - 09/01/29 (m) | 1,628 | ||||||
79 | 7.500%, 09/01/24 - 08/01/25 | 88 | ||||||
82 | 8.000%, 11/01/24 - 09/01/25 | 93 | ||||||
188 | 8.500%, 05/01/24 - 07/01/28 | 230 | ||||||
5 | 9.000%, 10/01/17 - 11/01/21 | 6 | ||||||
— | (h) | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16 | — | (h) | ||||
Federal National Mortgage Association, | ||||||||
183 | ARM, 2.366%, 11/01/27 - 08/01/41 | 191 | ||||||
163 | ARM, 2.375%, 08/01/30 | 169 | ||||||
45 | ARM, 2.440%, 06/01/29 | 46 | ||||||
32 | ARM, 2.467%, 06/01/20 | 33 | ||||||
61 | ARM, 2.485%, 09/01/14 | 61 | ||||||
45 | ARM, 2.500%, 06/01/17 - 09/01/17 | 46 | ||||||
87 | ARM, 2.510%, 07/01/17 | 90 | ||||||
9 | ARM, 2.738%, 10/01/16 | 9 | ||||||
159 | ARM, 2.875%, 06/01/15 - 01/01/29 | 168 | ||||||
5 | ARM, 3.000%, 07/01/27 | 5 | ||||||
104 | ARM, 3.230%, 08/01/19 | 105 | ||||||
4 | ARM, 3.251%, 10/01/14 | 4 | ||||||
34 | ARM, 3.450%, 08/01/19 | 34 | ||||||
82 | ARM, 3.739%, 09/01/27 | 83 | ||||||
18 | ARM, 5.977%, 04/01/19 | 19 | ||||||
17 | ARM, 6.000%, 12/01/18 | 17 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
9,875 | 4.000%, 04/01/19 - 09/01/25 | 10,567 | ||||||
2,331 | 4.500%, 03/01/19 | 2,546 | ||||||
1,345 | 5.500%, 11/01/16 - 03/01/18 | 1,470 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
39 | 6.000%, 04/01/13 - 08/01/14 | 40 | ||||||
— | (h) | 8.000%, 11/01/12 | — | (h) | ||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
1,003 | 5.000%, 11/01/23 | 1,113 | ||||||
1,168 | 6.000%, 03/01/22 | 1,287 | ||||||
39 | 7.500%, 06/01/14 - 07/01/14 | 41 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
4,373 | 3.500%, 05/01/42 | 4,685 | ||||||
17,823 | 4.000%, 02/01/42 | 19,131 | ||||||
1,673 | 4.500%, 03/01/38 | 1,810 | ||||||
4,079 | 5.000%, 11/01/33 | 4,627 | ||||||
25,203 | 5.500%, 02/01/29 - 05/01/36 (m) | 28,285 | ||||||
3,812 | 6.000%, 07/01/36 | 4,275 | ||||||
758 | 6.500%, 06/01/26 - 04/01/32 | 875 | ||||||
4,804 | 7.000%, 02/01/24 - 03/01/35 | 5,594 | ||||||
216 | 7.500%, 03/01/30 - 04/01/30 | 239 | ||||||
150 | 10.000%, 10/01/16 - 11/01/21 | 171 | ||||||
Federal National Mortgage Association, Other, | ||||||||
7,936 | 3.118%, 01/01/22 | 8,620 | ||||||
9,912 | 3.373%, 01/01/22 | 10,872 | ||||||
157 | 6.000%, 09/01/28 | 175 | ||||||
321 | Government National Mortgage Association II, 30 Year, Single Family, 8.000%, 11/20/26 - 11/20/27 | 393 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
44 | 6.000%, 10/15/23 | 49 | ||||||
945 | 6.500%, 06/15/23 - 02/15/24 (m) | 1,087 | ||||||
380 | 7.000%, 12/15/22 - 06/15/28 | 447 | ||||||
448 | 7.500%, 02/15/22 - 02/15/28 | 517 | ||||||
211 | 8.000%, 07/15/22 - 08/15/26 | 254 | ||||||
484 | 9.000%, 06/15/16 - 11/15/24 | 562 | ||||||
20 | 9.500%, 08/15/16 - 12/15/20 | 22 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 134,002 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 17.8% |
| ||||||
Federal Farm Credit Banks, | ||||||||
10,000 | 5.750%, 05/11/26 | 13,419 | ||||||
12,824 | 5.750%, 12/07/28 | 17,288 | ||||||
Federal National Mortgage Association, | ||||||||
30,000 | Zero Coupon, 10/09/19 | 26,149 | ||||||
10,000 | 6.250%, 05/15/29 | 14,704 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
34,750 | 11/15/20 | 29,631 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 135 |
Table of Contents
JPMorgan Government Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
8,000 | 05/15/23 | 6,129 | ||||||
9,200 | 05/29/26 | 6,207 | ||||||
10,000 | 05/15/30 | 5,562 | ||||||
26,153 | Financing Corp. STRIPS, 12/06/18 | 23,862 | ||||||
Residual Funding Corp. STRIPS, | ||||||||
34,520 | 10/15/19 | 31,380 | ||||||
90,500 | 07/15/20 | 80,072 | ||||||
10,000 | 01/15/30 | 6,230 | ||||||
5,000 | 04/15/30 | 3,086 | ||||||
Resolution Funding Corp. STRIPS, | ||||||||
50,000 | 07/15/20 | 44,061 | ||||||
15,000 | 04/15/28 | 9,719 | ||||||
Tennessee Valley Authority STRIPS, | ||||||||
4,500 | 07/15/16 | 4,342 | ||||||
14,740 | 12/15/17 | 13,685 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 335,526 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 29.6% |
| ||||||
U.S. Treasury Bonds, | ||||||||
20,000 | 5.250%, 11/15/28 | 28,450 | ||||||
20,000 | 5.250%, 02/15/29 | 28,513 | ||||||
2,500 | 7.125%, 02/15/23 | 3,845 | ||||||
13,140 | 7.250%, 05/15/16 | 16,441 | ||||||
3,935 | 7.250%, 08/15/22 | 6,043 | ||||||
3,635 | 8.000%, 11/15/21 | 5,728 | ||||||
3,190 | 8.875%, 08/15/17 | 4,478 | ||||||
1,020 | 9.000%, 11/15/18 | 1,526 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
25,000 | 1.375%, 07/15/18 | 30,959 | ||||||
26,450 | 1.625%, 01/15/15 | 34,077 | ||||||
U.S. Treasury Notes, | ||||||||
25,000 | 0.625%, 05/31/17 | 25,082 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
45,000 | 1.750%, 05/15/22 | 45,914 | ||||||
25,000 | 2.000%, 04/30/16 | 26,469 | ||||||
20,000 | 2.000%, 11/15/21 | 20,973 | ||||||
25,000 | 2.000%, 02/15/22 | 26,148 | ||||||
25,000 | 2.625%, 08/15/20 | 27,725 | ||||||
80,000 | 2.625%, 11/15/20 | 88,656 | ||||||
25,000 | 3.750%, 11/15/18 | 29,430 | ||||||
25,000 | 4.250%, 11/15/17 | 29,596 | ||||||
1,020 | 4.750%, 08/15/17 | 1,226 | ||||||
U.S. Treasury STRIPS, | ||||||||
5,845 | 02/15/15 | 5,807 | ||||||
1,655 | 05/15/15 | 1,641 | ||||||
600 | 08/15/15 | 594 | ||||||
1,900 | 08/15/15 | 1,882 | ||||||
1,190 | 05/15/16 | 1,172 | ||||||
72,500 | 05/15/20 | 66,198 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 558,573 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 5.5% |
| ||||||
Investment Company — 5.5% |
| |||||||
103,756 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000%, (b) (l) | 103,756 | ||||||
|
| |||||||
Total Investments — 101.1% | 1,905,358 | |||||||
Liabilities in Excess of | (21,275 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,884,083 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
136 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 0.0% (g) |
| ||||||
460 | Countrywide Asset-Backed Certificates, | 16 | ||||||
201 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.316%, 03/25/36 | 104 | ||||||
90 | Long Beach Mortgage Loan Trust, Series 2004-5, Class M6, VAR, 2.735%, 09/25/34 (f) (i) | 12 | ||||||
7,000 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 6,725 | ||||||
|
| |||||||
Total Asset-Backed Securities | 6,857 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Security — 0.8% |
| ||||||
101,310 | Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN, VAR, 1.990%, 11/15/15 (e) | 99,284 | ||||||
|
| |||||||
| Convertible Bonds — 0.2% |
| ||||||
Consumer Discretionary — 0.2% | ||||||||
Diversified Consumer Services — 0.2% | ||||||||
Stewart Enterprises, Inc., | ||||||||
6,435 | 3.125%, 07/15/14 | 6,475 | ||||||
5,625 | 3.375%, 07/15/16 | 5,632 | ||||||
|
| |||||||
12,107 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (g) | ||||||||
3,054 | Real Mex Restaurants, Inc., 1.120%, 03/21/18 (f) (i) | 3,054 | ||||||
|
| |||||||
Total Consumer Discretionary | 15,161 | |||||||
|
| |||||||
Materials — 0.0% (g) | ||||||||
Construction Materials — 0.0% (g) | ||||||||
1,839 | U.S. Concrete, Inc., 9.500%, 08/31/15 (e) | 1,947 | ||||||
|
| |||||||
Utilities — 0.0% (g) | ||||||||
Independent Power Producers & Energy |
| |||||||
4,271 | Somerset Cayuga Holding Co., Inc., PIK, 20.000%, 06/15/17 (e) (f) (i) | 4,271 | ||||||
|
| |||||||
Total Convertible Bonds | 21,379 | |||||||
|
| |||||||
| Corporate Bonds — 76.6% |
| ||||||
Consumer Discretionary — 14.0% | ||||||||
Auto Components — 0.4% | ||||||||
34,854 | Goodyear Tire & Rubber Co. (The), 7.000%, 05/15/22 | 36,248 | ||||||
8,685 | UCI International, Inc., 8.625%, 02/15/19 | 8,674 | ||||||
|
| |||||||
44,922 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Automobiles — 1.2% | ||||||||
Chrysler Group LLC/CG Co-Issuer, Inc., | ||||||||
13,000 | 8.000%, 06/15/19 | 13,715 | ||||||
49,950 | 8.250%, 06/15/21 | 52,697 | ||||||
Ford Holdings LLC, | ||||||||
37,822 | 9.300%, 03/01/30 (m) | 51,060 | ||||||
7,750 | 9.375%, 03/01/20 | 9,610 | ||||||
Ford Motor Co., | ||||||||
325 | 7.500%, 08/01/26 | 379 | ||||||
4,545 | 7.750%, 06/15/43 | 5,068 | ||||||
3,425 | 8.900%, 01/15/32 | 4,435 | ||||||
3,529 | 9.215%, 09/15/21 | 4,482 | ||||||
Motors Liquidation Co., | ||||||||
50 | 0.000%, 06/01/49 (f) (i) | — | (h) | |||||
973 | 5.250%, 03/06/32 (f) (i) | — | (h) | |||||
953 | 6.250%, 07/15/33 (f) (i) | — | (h) | |||||
10,255 | 6.750%, 05/01/28 (d) (f) (i) | — | (h) | |||||
246 | 7.250%, 04/15/41 (f) (i) | — | (h) | |||||
284 | 7.250%, 07/15/41 (f) (i) | — | (h) | |||||
548 | 7.250%, 02/15/52 (f) (i) | — | (h) | |||||
404 | 7.375%, 05/15/48 (f) (i) | — | (h) | |||||
6,000 | 7.375%, 05/23/48 (d) (f) (i) | — | (h) | |||||
47 | 7.375%, 10/01/51 (f) (i) | — | (h) | |||||
9,300 | 7.400%, 09/01/25 (d) (f) (i) | — | (h) | |||||
25,800 | 7.700%, 04/15/16 (d) (f) (i) | — | (h) | |||||
3,415 | 7.750%, 03/15/36 (d) (f) (i) | — | (h) | |||||
12,550 | 8.100%, 06/15/24 (d) (f) (i) | — | (h) | |||||
20,000 | 8.250%, 07/15/23 (d) (f) (i) | — | (h) | |||||
34,006 | 8.375%, 07/15/33 (d) (f) (i) | — | (h) | |||||
|
| |||||||
141,446 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 2.6% | ||||||||
Adelphia Communications Corp., | ||||||||
1,075 | 7.750%, 01/15/09 (d) | 9 | ||||||
1,450 | 8.125%, 07/15/03 (d) | 12 | ||||||
3,175 | 9.375%, 11/15/09 (d) | 25 | ||||||
3,500 | 10.875%, 10/01/10 (d) | 28 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
11,500 | 5.250%, 09/30/22 | 11,385 | ||||||
23,545 | 6.500%, 04/30/21 | 25,252 | ||||||
21,300 | 6.625%, 01/31/22 | 23,057 | ||||||
14,171 | 7.000%, 01/15/19 | 15,411 | ||||||
162 | 7.250%, 10/30/17 | 178 | ||||||
7,665 | 7.375%, 06/01/20 | 8,508 | ||||||
4,110 | 7.875%, 04/30/18 | 4,459 | ||||||
12,445 | 8.125%, 04/30/20 | 14,001 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 137 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Broadcasting & Cable TV — Continued |
| |||||||
10,715 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 8.625%, 11/15/17 (e) | 11,505 | ||||||
8,960 | CSC Holdings LLC, 6.750%, 11/15/21 (e) | 9,677 | ||||||
DISH DBS Corp., | ||||||||
4,615 | 4.625%, 07/15/17 (e) | 4,661 | ||||||
8,081 | 5.875%, 07/15/22 (e) | 8,142 | ||||||
22,130 | 6.750%, 06/01/21 | 23,568 | ||||||
1,700 | 7.125%, 02/01/16 | 1,870 | ||||||
20,115 | 7.875%, 09/01/19 | 23,107 | ||||||
8,360 | Harron Communications LP/Harron Finance Corp., 9.125%, 04/01/20 (e) | 9,050 | ||||||
Mediacom Broadband LLC/Mediacom Broadband Corp., | ||||||||
9,000 | 6.375%, 04/01/23 (e) | 8,978 | ||||||
852 | 8.500%, 10/15/15 | 870 | ||||||
Mediacom LLC/Mediacom Capital Corp., | ||||||||
5,835 | 7.250%, 02/15/22 | 6,192 | ||||||
19,180 | 9.125%, 08/15/19 | 21,338 | ||||||
22,830 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 24,713 | ||||||
19,525 | UPCB Finance III Ltd., (Cayman Islands), 6.625%, 07/01/20 (e) | 20,648 | ||||||
8,340 | UPCB Finance V Ltd., (Cayman Islands), 7.250%, 11/15/21 (e) | 9,091 | ||||||
4,390 | Videotron Ltee, (Canada), 5.000%, 07/15/22 | 4,653 | ||||||
Virgin Media Finance plc, (United Kingdom), | ||||||||
2,185 | 5.250%, 02/15/22 | 2,289 | ||||||
13,252 | 8.375%, 10/15/19 | 14,974 | ||||||
2,600 | XM Satellite Radio, Inc., 7.625%, 11/01/18 (e) | 2,873 | ||||||
|
| |||||||
310,524 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% | ||||||||
5,174 | Carriage Services, Inc., 7.875%, 01/15/15 | 5,242 | ||||||
Service Corp. International, | ||||||||
6,630 | 7.000%, 05/15/19 | 7,260 | ||||||
1,850 | 7.625%, 10/01/18 | 2,176 | ||||||
7,650 | 8.000%, 11/15/21 | 9,218 | ||||||
3,435 | Stewart Enterprises, Inc., 6.500%, 04/15/19 | 3,641 | ||||||
|
| |||||||
27,537 | ||||||||
|
| |||||||
Gaming — 2.5% | ||||||||
3,235 | American Casino & Entertainment Properties LLC/ACEP Finance Corp., 11.000%, 06/15/14 | 3,380 | ||||||
10,770 | Ameristar Casinos, Inc., 7.500%, 04/15/21 | 11,551 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Gaming — Continued |
| |||||||
4,829 | Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp., 8.375%, 02/15/18 (e) | 4,932 | ||||||
24,907 | Chukchansi Economic Development Authority, 9.750%, 05/30/20 (e) (f) (i) | 17,933 | ||||||
26,916 | CityCenter Holdings LLC/CityCenter Finance Corp., PIK, 10.750%, 01/15/17 | 28,531 | ||||||
10,750 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19 (e) | 11,287 | ||||||
8,830 | Graton Economic Development Authority, VAR, 9.625%, 09/01/19 (e) | 9,095 | ||||||
9,920 | Isle of Capri Casinos, Inc., 7.750%, 03/15/19 | 10,540 | ||||||
8,750 | Mandalay Resort Group, 7.625%, 07/15/13 | 8,925 | ||||||
20,000 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 | 22,750 | ||||||
MGM Resorts International, | ||||||||
16,451 | 7.625%, 01/15/17 | 17,006 | ||||||
5,500 | 7.750%, 03/15/22 | 5,541 | ||||||
13,945 | 8.625%, 02/01/19 (e) | 14,852 | ||||||
18,175 | 10.000%, 11/01/16 | 20,243 | ||||||
15,150 | 11.375%, 03/01/18 | 17,460 | ||||||
10,066 | Peninsula Gaming Corp., 10.750%, 08/15/17 | 11,463 | ||||||
10,655 | Pinnacle Entertainment, Inc., 8.750%, 05/15/20 | 11,694 | ||||||
5,640 | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., 9.500%, 06/15/19 (e) | 5,978 | ||||||
14,000 | ROC Finance LLC/ROC Finance 1 Corp., 12.125%, 09/01/18 (e) | 15,960 | ||||||
11,850 | Seminole Hard Rock Entertainment, Inc., VAR, 2.968%, 03/15/14 (e) | 11,687 | ||||||
10,390 | Seneca Gaming Corp., 8.250%, 12/01/18 (e) | 10,702 | ||||||
14,100 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m) | 11,527 | ||||||
8,456 | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 8.625%, 04/15/16 (e) | 9,006 | ||||||
|
| |||||||
292,043 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% | ||||||||
10,000 | Burger King Corp., 9.875%, 10/15/18 | 11,525 | ||||||
9,285 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 9.125%, 08/01/18 | 10,539 | ||||||
Cinemark USA, Inc., | ||||||||
2,255 | 7.375%, 06/15/21 | 2,520 | ||||||
10,451 | 8.625%, 06/15/19 | 11,705 |
SEE NOTES TO FINANCIAL STATEMENTS.
138 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Hotels, Restaurants & Leisure — Continued |
| |||||||
11,493 | CKE Restaurants, Inc., 11.375%, 07/15/18 | 13,231 | ||||||
3,651 | CKE, Inc., PIK, 10.500%, 03/14/16 (e) | 4,072 | ||||||
10,000 | DineEquity, Inc., 9.500%, 10/30/18 | 11,225 | ||||||
12,540 | Felcor Lodging LP, 6.750%, 06/01/19 | 13,449 | ||||||
8,122 | Host Hotels & Resorts LP, 4.750%, 03/01/23 | 8,325 | ||||||
Real Mex Restaurants, Inc., | ||||||||
3,678 | 11.000%, 03/15/14 (f) (i) | 3,677 | ||||||
5,978 | 12.000%, 03/15/14 (f) (i) | 5,978 | ||||||
5,948 | Ruby Tuesday, Inc., 7.625%, 05/15/20 (e) | 5,576 | ||||||
2,140 | Speedway Motorsports, Inc., 6.750%, 02/01/19 | 2,255 | ||||||
6,515 | Vail Resorts, Inc., 6.500%, 05/01/19 | 7,036 | ||||||
|
| |||||||
111,113 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
3,250 | American Standard Americas, 10.750%, 01/15/16 (e) | 2,893 | ||||||
4,432 | D.R. Horton, Inc., 6.500%, 04/15/16 | 4,920 | ||||||
KB Home, | ||||||||
5,520 | 7.500%, 09/15/22 | 5,713 | ||||||
4,000 | 9.100%, 09/15/17 | 4,405 | ||||||
Lennar Corp., | ||||||||
4,904 | 4.750%, 12/15/17 (e) | 4,892 | ||||||
15,528 | 6.950%, 06/01/18 | 16,828 | ||||||
7,130 | 12.250%, 06/01/17 | 9,305 | ||||||
5,000 | Libbey Glass, Inc., 6.875%, 05/15/20 (e) | 5,331 | ||||||
12,159 | M/I Homes, Inc., 8.625%, 11/15/18 | 12,934 | ||||||
10,431 | MDC Holdings, Inc., 5.625%, 02/01/20 | 10,667 | ||||||
9,145 | Meritage Homes Corp., 7.000%, 04/01/22 | 9,602 | ||||||
9,330 | PulteGroup, Inc., 7.625%, 10/15/17 | 10,356 | ||||||
Standard Pacific Corp., | ||||||||
17,490 | 8.375%, 05/15/18 | 19,589 | ||||||
5,550 | 8.375%, 01/15/21 | 6,188 | ||||||
17,002 | 10.750%, 09/15/16 | 20,530 | ||||||
10,600 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 7.750%, 04/15/20 (e) | 11,209 | ||||||
4,155 | Toll Brothers Finance Corp., 6.750%, 11/01/19 | 4,752 | ||||||
|
| |||||||
160,114 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.0% (g) |
| |||||||
4,930 | Affinion Group, Inc., 7.875%, 12/15/18 | 3,525 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.1% |
| |||||||
6,673 | Eastman Kodak Co., 9.750%, 03/01/18 (d) (e) | 4,304 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Leisure Equipment & Products — Continued |
| |||||||
11,440 | Icon Health & Fitness, Inc., 11.875%, 10/15/16 (e) | 10,525 | ||||||
|
| |||||||
14,829 | ||||||||
|
| |||||||
Media — 3.5% |
| |||||||
3,740 | Allbritton Communications Co., 8.000%, 05/15/18 | 4,030 | ||||||
Cablevision Systems Corp., | ||||||||
19,472 | 7.750%, 04/15/18 | 21,078 | ||||||
6,257 | 8.000%, 04/15/20 | 6,930 | ||||||
9,995 | 8.625%, 09/15/17 | 11,444 | ||||||
13,380 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 11,473 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
2,650 | 7.625%, 03/15/20 | 2,531 | ||||||
26,535 | 7.625%, 03/15/20 | 25,739 | ||||||
4,500 | 9.250%, 12/15/17 | 4,871 | ||||||
21,760 | 9.250%, 12/15/17 | 23,637 | ||||||
2,356 | Gannett Co., Inc., 10.000%, 04/01/16 | 2,804 | ||||||
Hughes Satellite Systems Corp., | ||||||||
1,253 | 6.500%, 06/15/19 | 1,342 | ||||||
1,708 | 7.625%, 06/15/21 | 1,888 | ||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | ||||||||
11,347 | 7.250%, 04/01/19 | 12,226 | ||||||
17,390 | 7.250%, 10/15/20 (e) | 18,738 | ||||||
11,945 | 7.250%, 10/15/20 | 12,901 | ||||||
5,700 | 7.500%, 04/01/21 | 6,184 | ||||||
4,855 | 8.500%, 11/01/19 | 5,365 | ||||||
Intelsat Luxembourg S.A., (Luxembourg), | ||||||||
6,700 | 11.250%, 02/04/17 | 7,035 | ||||||
102,634 | PIK, 12.500%, 02/04/17 | 107,766 | ||||||
8,195 | McClatchy Co. (The), 11.500%, 02/15/17 | 8,687 | ||||||
18,675 | Media General, Inc., 11.750%, 02/15/17 | 21,009 | ||||||
5,099 | NAI Entertainment Holdings LLC, 8.250%, 12/15/17 (e) | 5,685 | ||||||
Nexstar Broadcasting, Inc., | ||||||||
148 | 7.000%, 01/15/14 | 147 | ||||||
3,062 | PIK, 7.000%, 01/15/14 | 3,031 | ||||||
6,538 | Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875%, 04/15/17 | 7,028 | ||||||
11,416 | Radio One, Inc., 12.500%, 05/24/16 | 9,718 | ||||||
5,600 | Regal Cinemas Corp., 8.625%, 07/15/19 | 6,230 | ||||||
1,025 | Regal Entertainment Group, 9.125%, 08/15/18 | 1,143 | ||||||
Sinclair Television Group, Inc., | ||||||||
675 | 8.375%, 10/15/18 | 738 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 139 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
2,215 | 9.250%, 11/01/17 (e) | 2,464 | ||||||
7,600 | Telesat Canada/Telesat LLC, (Canada), 6.000%, 05/15/17 (e) | 7,904 | ||||||
Univision Communications, Inc., | ||||||||
11,965 | 6.750%, 09/15/22 (e) | 12,010 | ||||||
8,335 | 6.875%, 05/15/19 (e) | 8,606 | ||||||
4,828 | 7.875%, 11/01/20 (e) | 5,178 | ||||||
17,340 | 8.500%, 05/15/21 (e) | 17,556 | ||||||
2,359 | Valassis Communications, Inc., 6.625%, 02/01/21 | 2,359 | ||||||
WMG Acquisition Corp., | ||||||||
670 | 9.500%, 06/15/16 | 732 | ||||||
7,582 | 11.500%, 10/01/18 | 8,321 | ||||||
|
| |||||||
416,528 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
13,000 | QVC, Inc., 7.375%, 10/15/20 (e) | 14,486 | ||||||
12,000 | Sears Holdings Corp., 6.625%, 10/15/18 | 10,830 | ||||||
|
| |||||||
25,316 | ||||||||
|
| |||||||
Specialty Retail — 0.9% |
| |||||||
8,235 | 99 Cents Only Stores, 11.000%, 12/15/19 (e) | 9,223 | ||||||
4,118 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 | 4,550 | ||||||
Claire’s Stores, Inc., | ||||||||
34,091 | 8.875%, 03/15/19 | 29,403 | ||||||
1,400 | 9.000%, 03/15/19 (e) | 1,453 | ||||||
16,502 | Gymboree Corp., 9.125%, 12/01/18 | 15,677 | ||||||
10,507 | J. Crew Group, Inc., 8.125%, 03/01/19 | 10,993 | ||||||
1,954 | Neebo, Inc., 15.000%, 06/30/16 (e) | 1,875 | ||||||
11,472 | Party City Holdings, Inc., 8.875%, 08/01/20 (e) | 12,132 | ||||||
3,336 | Penske Automotive Group, Inc., 5.750%, 10/01/22 (e) | 3,403 | ||||||
22,020 | Toys R Us - Delaware, Inc., 7.375%, 09/01/16 (e) | 22,185 | ||||||
|
| |||||||
110,894 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
21,059 | Quiksilver, Inc., 6.875%, 04/15/15 (m) | 20,111 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,678,902 | |||||||
|
| |||||||
Consumer Staples — 3.5% |
| |||||||
Beverages — 0.2% |
| |||||||
Constellation Brands, Inc., | ||||||||
11,300 | 6.000%, 05/01/22 | 12,698 | ||||||
4,375 | 7.250%, 05/15/17 | 5,037 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Beverages — Continued |
| |||||||
1,419 | Cott Beverages, Inc., 8.125%, 09/01/18 | 1,563 | ||||||
9,618 | Innovation Ventures LLC/Innovation Ventures Finance Corp., 9.500%, 08/15/19 (e) | 8,825 | ||||||
|
| |||||||
28,123 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
American Stores Co., | ||||||||
3,600 | 7.100%, 03/20/28 | 2,736 | ||||||
4,000 | 8.000%, 06/01/26 | 3,410 | ||||||
16,000 | Ingles Markets, Inc., 8.875%, 05/15/17 (m) | 17,280 | ||||||
New Albertsons, Inc., | ||||||||
5,645 | 7.450%, 08/01/29 | 3,331 | ||||||
5,141 | 8.000%, 05/01/31 | 3,033 | ||||||
1,214 | 8.700%, 05/01/30 | 733 | ||||||
Rite Aid Corp., | ||||||||
13,500 | 7.500%, 03/01/17 | 13,871 | ||||||
12,525 | 9.250%, 03/15/20 | 12,870 | ||||||
75,465 | 9.500%, 06/15/17 | 77,823 | ||||||
20,025 | 10.250%, 10/15/19 | 22,578 | ||||||
8,750 | 10.375%, 07/15/16 | 9,237 | ||||||
SUPERVALU, Inc., | ||||||||
15,525 | 7.500%, 11/15/14 | 14,904 | ||||||
65,225 | 8.000%, 05/01/16 | 58,376 | ||||||
|
| |||||||
240,182 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
13,440 | Bumble Bee Acquisition Corp., 9.000%, 12/15/17 (e) | 13,742 | ||||||
Dean Foods Co., | ||||||||
6,495 | 7.000%, 06/01/16 | 6,893 | ||||||
4,240 | 9.750%, 12/15/18 | 4,733 | ||||||
2,801 | Eurofresh, Inc., PIK, 15.000%, 11/18/16 # (f) (i) | — | ||||||
JBS USA LLC/JBS USA Finance, Inc., | ||||||||
7,920 | 7.250%, 06/01/21 (e) | 7,247 | ||||||
8,653 | 8.250%, 02/01/20 (e) | 8,263 | ||||||
2,705 | 11.625%, 05/01/14 | 3,050 | ||||||
5,029 | Michael Foods Group, Inc., 9.750%, 07/15/18 | 5,557 | ||||||
9,385 | Pilgrim’s Pride Corp., 7.875%, 12/15/18 | 8,928 | ||||||
15,031 | Simmons Foods, Inc., 10.500%, 11/01/17 (e) | 13,002 | ||||||
Smithfield Foods, Inc., | ||||||||
4,000 | 6.625%, 08/15/22 | 4,095 | ||||||
8,897 | 7.750%, 07/01/17 | 9,931 | ||||||
|
| |||||||
85,441 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
140 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Household Products — 0.3% |
| |||||||
6,044 | Armored Autogroup, Inc., 9.250%, 11/01/18 | 5,334 | ||||||
22,325 | Spectrum Brands, Inc., 6.750%, 03/15/20 (e) | 23,441 | ||||||
|
| |||||||
28,775 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
14,884 | American Achievement Corp., 10.875%, 04/15/16 (e) | 12,912 | ||||||
6,016 | Visant Corp., 10.000%, 10/01/17 | 5,956 | ||||||
|
| |||||||
18,868 | ||||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
13,245 | Alliance One International, Inc., 10.000%, 07/15/16 | 13,460 | ||||||
6,000 | Vector Group Ltd., 11.000%, 08/15/15 | 6,240 | ||||||
|
| |||||||
19,700 | ||||||||
|
| |||||||
Total Consumer Staples | 421,089 | |||||||
|
| |||||||
Energy — 10.9% |
| |||||||
Energy Equipment & Services — 1.5% |
| |||||||
1,694 | Cie Generale de Geophysique - Veritas, (France), 9.500%, 05/15/16 | 1,847 | ||||||
3,187 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m) | 3,330 | ||||||
Key Energy Services, Inc., | ||||||||
2,692 | 6.750%, 03/01/21 (e) | 2,726 | ||||||
25,800 | 6.750%, 03/01/21 | 26,251 | ||||||
5,355 | McJunkin Red Man Corp., 9.500%, 12/15/16 | 5,837 | ||||||
10,600 | Ocean Rig UDW, Inc., 9.500%, 04/27/16 | 10,759 | ||||||
23,600 | Oil States International, Inc., 6.500%, 06/01/19 | 25,075 | ||||||
14,450 | Petroleum Geo-Services ASA, (Norway), 7.375%, 12/15/18 (e) | 15,425 | ||||||
11,000 | PHI, Inc., 8.625%, 10/15/18 | 11,385 | ||||||
Precision Drilling Corp., (Canada), | ||||||||
5,550 | 6.500%, 12/15/21 | 5,827 | ||||||
11,195 | 6.625%, 11/15/20 | 11,755 | ||||||
16,200 | Seadrill Ltd., (Bermuda), 6.500%, 10/05/15 | 16,565 | ||||||
9,554 | Trinidad Drilling Ltd., (Canada), 7.875%, 01/15/19 (e) | 10,271 | ||||||
Unit Corp., | ||||||||
1,842 | 6.625%, 05/15/21 | 1,870 | ||||||
29,259 | 6.625%, 05/15/21 (e) | 29,698 | ||||||
|
| |||||||
178,621 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.4% |
| |||||||
14,383 | Access Midstream Partners LP/ACMP Finance Corp., 6.125%, 07/15/22 | 14,922 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
Alpha Natural Resources, Inc., | ||||||||
12,630 | 6.000%, 06/01/19 | 11,367 | ||||||
17,209 | 6.250%, 06/01/21 | 15,402 | ||||||
11,450 | Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 9.625%, 10/15/18 | 11,507 | ||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., | ||||||||
9,104 | 6.750%, 05/20/20 | 9,696 | ||||||
9,005 | 7.000%, 05/20/22 | 9,613 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp., | ||||||||
10,125 | 6.250%, 08/20/19 | 10,530 | ||||||
2,990 | 6.500%, 05/20/21 | 3,132 | ||||||
5,755 | Antero Resources Finance Corp., 9.375%, 12/01/17 | 6,345 | ||||||
Arch Coal, Inc., | ||||||||
7,160 | 7.000%, 06/15/19 | 6,480 | ||||||
3,425 | 7.250%, 10/01/20 | 3,100 | ||||||
11,770 | 7.250%, 06/15/21 | 10,622 | ||||||
1,100 | 8.750%, 08/01/16 | 1,100 | ||||||
Bill Barrett Corp., | ||||||||
13,083 | 7.625%, 10/01/19 | 13,606 | ||||||
19,526 | 9.875%, 07/15/16 (m) | 21,528 | ||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp., | ||||||||
8,516 | 9.375%, 05/01/19 | 8,942 | ||||||
5,064 | 9.625%, 08/01/20 (e) | 5,380 | ||||||
Chesapeake Energy Corp., | ||||||||
2,100 | 6.625%, 08/15/20 | 2,158 | ||||||
13,480 | 6.775%, 03/15/19 | 13,581 | ||||||
7,560 | 6.875%, 08/15/18 | 7,787 | ||||||
8,120 | 6.875%, 11/15/20 | 8,424 | ||||||
6,880 | 7.250%, 12/15/18 | 7,207 | ||||||
13,750 | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 (e) | 13,200 | ||||||
15,000 | Cimarex Energy Co., 5.875%, 05/01/22 | 16,050 | ||||||
15,087 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 17,350 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | ||||||||
8,980 | 8.250%, 12/15/17 | 9,743 | ||||||
518 | 8.500%, 12/15/19 | 575 | ||||||
Comstock Resources, Inc., | ||||||||
2,550 | 7.750%, 04/01/19 | 2,512 | ||||||
29,663 | 8.375%, 10/15/17 | 30,256 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 141 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
7,500 | 9.500%, 06/15/20 | 7,913 | ||||||
Concho Resources, Inc., | ||||||||
14,105 | 5.500%, 10/01/22 | 14,564 | ||||||
8,285 | 5.500%, 04/01/23 | 8,575 | ||||||
7,855 | 6.500%, 01/15/22 | 8,483 | ||||||
9,054 | 7.000%, 01/15/21 | 10,095 | ||||||
CONSOL Energy, Inc., | ||||||||
1,410 | 6.375%, 03/01/21 | 1,396 | ||||||
11,874 | 8.000%, 04/01/17 | 12,794 | ||||||
5,760 | 8.250%, 04/01/20 | 6,207 | ||||||
Continental Resources, Inc., | ||||||||
11,245 | 5.000%, 09/15/22 (e) | 11,723 | ||||||
13,343 | 5.000%, 09/15/22 | 13,943 | ||||||
3,575 | 7.125%, 04/01/21 | 4,004 | ||||||
12,356 | Crosstex Energy LP/Crosstex Energy Finance Corp., 7.125%, 06/01/22 (e) | 12,294 | ||||||
El Paso LLC, | ||||||||
4,950 | 6.500%, 09/15/20 | 5,624 | ||||||
3,869 | 7.250%, 06/01/18 | 4,468 | ||||||
4,800 | El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20 | 5,659 | ||||||
Energy XXI Gulf Coast, Inc., | ||||||||
12,851 | 7.750%, 06/15/19 | 13,654 | ||||||
7,064 | 9.250%, 12/15/17 | 7,877 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., | ||||||||
12,208 | 6.500%, 05/01/21 | 11,964 | ||||||
11,592 | 9.125%, 10/01/17 | 12,432 | ||||||
27,118 | Forest Oil Corp., 7.250%, 06/15/19 (m) | 26,440 | ||||||
2,500 | Frontier Oil Corp., 6.875%, 11/15/18 | 2,656 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
22,315 | 7.625%, 04/15/21 (e) | 24,547 | ||||||
10,990 | 8.000%, 02/15/20 (e) | 12,171 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | ||||||||
7,994 | 6.500%, 03/01/20 (e) | 8,354 | ||||||
6,200 | 8.250%, 03/15/18 | 6,711 | ||||||
11,345 | Laredo Petroleum, Inc., 7.375%, 05/01/22 | 12,196 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., | ||||||||
10,000 | 5.500%, 02/15/23 | 10,225 | ||||||
14,000 | 6.250%, 06/15/22 | 14,875 | ||||||
500 | 6.500%, 08/15/21 | 536 | ||||||
17,060 | 6.750%, 11/01/20 | 18,382 | ||||||
15,456 | MEG Energy Corp., (Canada), 6.375%, 01/30/23 (e) | 16,113 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
Newfield Exploration Co., | ||||||||
8,340 | 5.625%, 07/01/24 | 9,049 | ||||||
12,000 | 5.750%, 01/30/22 | 13,140 | ||||||
14,645 | 6.875%, 02/01/20 | 16,000 | ||||||
9,070 | 7.125%, 05/15/18 | 9,591 | ||||||
24,041 | NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 (e) | 20,795 | ||||||
6,209 | NGPL PipeCo LLC, 9.625%, 06/01/19 (e) | 6,861 | ||||||
9,210 | OGX Austria GmbH, (Austria), 8.375%, 04/01/22 (e) | 7,828 | ||||||
17,672 | PBF Holding Co. LLC/PBF Finance Corp., 8.250%, 02/15/20 (e) | 18,467 | ||||||
Peabody Energy Corp., | ||||||||
8,070 | 6.000%, 11/15/18 (e) | 8,251 | ||||||
9,250 | 6.250%, 11/15/21 (e) | 9,412 | ||||||
Penn Virginia Corp., | ||||||||
805 | 7.250%, 04/15/19 | 725 | ||||||
7,931 | 10.375%, 06/15/16 (m) | 7,931 | ||||||
5,786 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.375%, 06/01/20 (e) | 5,887 | ||||||
12,000 | Petrohawk Energy Corp., 6.250%, 06/01/19 | 13,588 | ||||||
14,815 | Pioneer Energy Services Corp., 9.875%, 03/15/18 | 16,037 | ||||||
Pioneer Natural Resources Co., | ||||||||
4,635 | 6.650%, 03/15/17 | 5,486 | ||||||
4,950 | 6.875%, 05/01/18 | 5,993 | ||||||
19,722 | 7.500%, 01/15/20 | 24,666 | ||||||
QEP Resources, Inc., | ||||||||
13,950 | 5.375%, 10/01/22 | 14,299 | ||||||
20,569 | 6.875%, 03/01/21 | 23,243 | ||||||
Range Resources Corp., | ||||||||
1,080 | 6.750%, 08/01/20 | 1,186 | ||||||
3,270 | 7.250%, 05/01/18 | 3,466 | ||||||
2,000 | 7.500%, 10/01/17 | 2,080 | ||||||
2,000 | 8.000%, 05/15/19 | 2,210 | ||||||
12,345 | Regency Energy Partners LP/Regency Energy Finance Corp., 6.500%, 07/15/21 | 13,209 | ||||||
41,365 | Samson Investment Co., 9.750%, 02/15/20 (e) | 42,606 | ||||||
SM Energy Co., | ||||||||
13,315 | 6.500%, 11/15/21 | 13,914 | ||||||
14,000 | 6.500%, 01/01/23 (e) | 14,595 | ||||||
22,659 | 6.625%, 02/15/19 | 23,679 | ||||||
Swift Energy Co., | ||||||||
16,772 | 7.125%, 06/01/17 | 17,233 |
SEE NOTES TO FINANCIAL STATEMENTS.
142 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
11,886 | 7.875%, 03/01/22 | 12,362 | ||||||
9,336 | 8.875%, 01/15/20 | 10,083 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
4,800 | 6.375%, 08/01/22 (e) | 5,016 | ||||||
11,585 | 6.875%, 02/01/21 | 12,454 | ||||||
9,090 | 7.875%, 10/15/18 | 9,908 | ||||||
10,956 | 8.250%, 07/01/16 | 11,422 | ||||||
9,315 | Vanguard Natural Resources LLC/VNR Finance Corp., 7.875%, 04/01/20 | 9,315 | ||||||
25,715 | W&T Offshore, Inc., 8.500%, 06/15/19 | 27,708 | ||||||
WPX Energy, Inc., | ||||||||
18,045 | 5.250%, 01/15/17 (e) | 18,992 | ||||||
22,060 | 6.000%, 01/15/22 | 23,384 | ||||||
|
| |||||||
1,131,061 | ||||||||
|
| |||||||
Total Energy | 1,309,682 | |||||||
|
| |||||||
Financials — 10.4% |
| |||||||
Capital Markets — 0.1% |
| |||||||
3,600 | Merrill Lynch & Co., Inc., 5.700%, 05/02/17 | 3,856 | ||||||
6,560 | Oppenheimer Holdings, Inc., 8.750%, 04/15/18 | 6,593 | ||||||
|
| |||||||
10,449 | ||||||||
|
| |||||||
Commercial Banks — 3.0% |
| |||||||
17,775 | BankAmerica Institutional Capital B, 7.700%, 12/31/26 (e) | 18,042 | ||||||
Bank of America Corp., | ||||||||
100 | 5.420%, 03/15/17 | 107 | ||||||
3,550 | 5.625%, 07/01/20 | 3,936 | ||||||
10,921 | 5.750%, 08/15/16 | 11,745 | ||||||
4,580 | 5.875%, 01/05/21 | 5,148 | ||||||
35,966 | VAR, 8.000%, 01/30/18 (x) | 38,709 | ||||||
32,885 | VAR, 8.125%, 05/15/18 (x) | 35,698 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
3,950 | 6.050%, 12/04/17 (e) | 4,188 | ||||||
6,900 | 10.179%, 06/12/21 (e) | 8,634 | ||||||
CIT Group, Inc., | ||||||||
12,116 | 4.250%, 08/15/17 | 12,287 | ||||||
6,520 | 5.000%, 05/15/17 | 6,797 | ||||||
9,696 | 5.000%, 08/15/22 | 9,769 | ||||||
32,255 | 5.250%, 03/15/18 | 33,626 | ||||||
3,256 | 5.375%, 05/15/20 | 3,390 | ||||||
33,925 | 6.625%, 04/01/18 (e) | 36,851 | ||||||
8,502 | 7.000%, 05/02/16 (e) | 8,523 | ||||||
16,711 | 7.000%, 05/02/17 (e) | 16,728 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
1,889 | Countrywide Capital III, 8.050%, 06/15/27 | 2,182 | ||||||
3,232 | NB Capital Trust II, 7.830%, 12/15/26 | 3,240 | ||||||
10,970 | Regions Bank, 7.500%, 05/15/18 | 12,780 | ||||||
Royal Bank of Scotland Group plc, (United Kingdom), | ||||||||
6,895 | 5.000%, 10/01/14 | 6,973 | ||||||
4,095 | 5.050%, 01/08/15 | 4,158 | ||||||
8,280 | 7.648%, 09/30/31 @ | 7,783 | ||||||
4,790 | Royal Bank of Scotland N.V., (Netherlands), VAR, 1.168%, 03/09/15 | 4,282 | ||||||
13,566 | Royal Bank of Scotland plc (The), (United Kingdom), VAR, 9.500%, 03/16/22 | 14,685 | ||||||
51,613 | Wachovia Capital Trust III, VAR, 5.570%, 10/05/12 (m) (x) | 50,968 | ||||||
|
| |||||||
361,229 | ||||||||
|
| |||||||
Consumer Finance — 1.4% |
| |||||||
Ally Financial, Inc., | ||||||||
22,880 | 6.250%, 12/01/17 | 24,722 | ||||||
37,488 | 7.500%, 09/15/20 | 42,924 | ||||||
5,765 | 8.000%, 03/15/20 | 6,745 | ||||||
77,504 | 8.000%, 11/01/31 | 91,648 | ||||||
7,189 | Springleaf Finance Corp., 6.900%, 12/15/17 | 5,913 | ||||||
|
| |||||||
171,952 | ||||||||
|
| |||||||
Diversified Financial Services — 2.4% |
| |||||||
8,065 | ACE Cash Express, Inc., 11.000%, 02/01/19 (e) | 7,480 | ||||||
Capmark Financial Group, Inc., | ||||||||
144,695 | 0.000%, 05/10/10 (d) | 2,532 | ||||||
2,394 | VAR, 9.000%, 09/30/15 | 2,394 | ||||||
6,495 | Cardtronics, Inc., 8.250%, 09/01/18 | 7,209 | ||||||
16,076 | CNG Holdings, Inc., 9.375%, 05/15/20 (e) | 16,398 | ||||||
3,879 | Community Choice Financial, Inc., 10.750%, 05/01/19 (e) | 3,811 | ||||||
10,335 | Highland Ranch, 6.700%, 09/01/20 (f) (i) | 7,958 | ||||||
56,054 | ILFC E-Capital Trust I, VAR, 4.280%, 12/21/65 (e) | 36,996 | ||||||
25,981 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 19,746 | ||||||
International Lease Finance Corp., | ||||||||
400 | 5.625%, 09/20/13 | 414 | ||||||
6,965 | 5.875%, 04/01/19 | 7,182 | ||||||
17,400 | 5.875%, 08/15/22 | 17,508 | ||||||
24,055 | 6.250%, 05/15/19 | 25,137 | ||||||
36,002 | 8.250%, 12/15/20 | 42,163 | ||||||
700 | 8.625%, 09/15/15 | 785 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 143 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
19,140 | 8.625%, 01/15/22 | 22,537 | ||||||
13,045 | 8.750%, 03/15/17 | 15,100 | ||||||
10,600 | 8.875%, 09/01/17 | 12,309 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., | ||||||||
4,035 | 9.625%, 05/01/19 (e) | 4,418 | ||||||
2,160 | 9.625%, 05/01/19 (e) | 2,376 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp., | ||||||||
4,889 | 5.625%, 03/15/20 (e) | 5,170 | ||||||
4,889 | 5.875%, 03/15/22 (e) | 5,195 | ||||||
5,878 | Nuveen Investments, Inc., 10.500%, 11/15/15 | 5,981 | ||||||
5,851 | SquareTwo Financial Corp., 11.625%, 04/01/17 | 5,090 | ||||||
10,450 | Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15 | 11,031 | ||||||
1,505 | TransUnion Holding Co., Inc., PIK, 10.375%, 06/15/18 (e) | 1,633 | ||||||
|
| |||||||
288,553 | ||||||||
|
| |||||||
Insurance — 3.0% |
| |||||||
59,075 | American International Group, Inc., VAR, 8.175%, 05/15/58 | 70,521 | ||||||
33,200 | Catlin Insurance Co., Ltd., (Bermuda), VAR, 7.249%, 01/19/17 (e) (x) | 30,793 | ||||||
13,204 | CNO Financial Group, Inc., 9.000%, 01/15/18 (e) | 14,442 | ||||||
EP Energy LLC/EP Energy Finance, Inc., | ||||||||
7,655 | 6.875%, 05/01/19 (e) | 8,210 | ||||||
33,525 | 9.375%, 05/01/20 (e) | 36,458 | ||||||
3,552 | EP Energy LLC/Everest Acquisition Finance, Inc., 7.750%, 09/01/22 (e) | 3,561 | ||||||
5,000 | Hartford Financial Services Group, Inc., VAR, 8.125%, 06/15/38 | 5,625 | ||||||
22,014 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) (m) | 22,619 | ||||||
Liberty Mutual Group, Inc., | ||||||||
15,724 | 7.800%, 03/15/37 (e) | 16,648 | ||||||
80,193 | VAR, 10.750%, 06/15/58 (e) | 112,070 | ||||||
USI Holdings Corp., | ||||||||
17,061 | 9.750%, 05/15/15 (e) (m) | 17,317 | ||||||
5,032 | VAR, 4.309%, 11/15/14 (e) | 4,805 | ||||||
20,000 | XL Group plc, (Ireland), VAR, 6.500%, 04/15/17 (x) | 18,225 | ||||||
|
| |||||||
361,294 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
14,425 | CB Richard Ellis Services, Inc., 6.625%, 10/15/20 | 15,759 | ||||||
11,264 | CNL Lifestyle Properties, Inc., 7.250%, 04/15/19 | 10,490 | ||||||
9,361 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 10,344 | ||||||
5,429 | First Industrial LP, 6.420%, 06/01/14 | 5,669 | ||||||
7,237 | iStar Financial, Inc., 9.000%, 06/01/17 | 7,463 | ||||||
950 | Weyerhaeuser Co., 7.375%, 03/15/32 | 1,145 | ||||||
|
| |||||||
50,870 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
9,190 | Kennedy-Wilson, Inc., 8.750%, 04/01/19 | 9,765 | ||||||
|
| |||||||
Total Financials | 1,254,112 | |||||||
|
| |||||||
Health Care — 6.2% |
| |||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
Biomet, Inc., | ||||||||
16,800 | 6.500%, 08/01/20 (e) | 17,430 | ||||||
15,450 | 10.000%, 10/15/17 (m) | 16,348 | ||||||
12,350 | Hologic, Inc., 6.250%, 08/01/20 (e) | 13,076 | ||||||
275 | Kinetic Concepts, Inc./KCI USA, Inc., 10.500%, 11/01/18 (e) | 280 | ||||||
4,350 | Physio-Control International, Inc., 9.875%, 01/15/19 (e) | 4,698 | ||||||
2,500 | Teleflex, Inc., 6.875%, 06/01/19 | 2,675 | ||||||
VWR Funding, Inc., | ||||||||
16,250 | 7.250%, 09/15/17 (e) | 16,453 | ||||||
2,286 | 10.750%, 06/30/17 (e) | 2,263 | ||||||
|
| |||||||
73,223 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.6% |
| |||||||
5,535 | Capella Healthcare, Inc., 9.250%, 07/01/17 | 5,874 | ||||||
CHS/Community Health Systems, Inc., | ||||||||
16,095 | 5.125%, 08/15/18 | 16,598 | ||||||
16,612 | 7.125%, 07/15/20 | 17,401 | ||||||
33,570 | 8.000%, 11/15/19 | 36,256 | ||||||
DaVita, Inc., | ||||||||
5,775 | 5.750%, 08/15/22 | 6,006 | ||||||
14,110 | 6.375%, 11/01/18 | 15,062 | ||||||
8,800 | 6.625%, 11/01/20 | 9,394 | ||||||
10,985 | Emergency Medical Services Corp., 8.125%, 06/01/19 | 11,726 | ||||||
Fresenius Medical Care U.S. Finance II, Inc., | ||||||||
8,281 | 5.625%, 07/31/19 (e) | 8,850 | ||||||
11,768 | 5.875%, 01/31/22 (e) | 12,504 | ||||||
Fresenius Medical Care U.S. Finance, Inc., | ||||||||
6,210 | 5.750%, 02/15/21 (e) | 6,544 |
SEE NOTES TO FINANCIAL STATEMENTS.
144 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Health Care Providers & Services — Continued |
| |||||||
3,075 | 6.500%, 09/15/18 (e) | 3,448 | ||||||
8,669 | 6.875%, 07/15/17 | 9,882 | ||||||
HCA, Inc., | ||||||||
3,776 | 5.750%, 03/15/14 | 3,941 | ||||||
32,000 | 5.875%, 03/15/22 | 34,040 | ||||||
2,550 | 6.300%, 10/01/12 (m) | 2,560 | ||||||
8,053 | 6.375%, 01/15/15 | 8,586 | ||||||
37,535 | 6.500%, 02/15/20 | 41,242 | ||||||
1,315 | 6.750%, 07/15/13 | 1,366 | ||||||
8,825 | 7.250%, 09/15/20 | 9,779 | ||||||
46,398 | 7.500%, 02/15/22 | 51,618 | ||||||
1,580 | 7.875%, 02/15/20 | 1,764 | ||||||
22,600 | 8.000%, 10/01/18 | 25,707 | ||||||
8,556 | 8.500%, 04/15/19 | 9,647 | ||||||
3,765 | 9.875%, 02/15/17 | 4,066 | ||||||
Health Management Associates, Inc., | ||||||||
10,117 | 6.125%, 04/15/16 | 10,926 | ||||||
16,800 | 7.375%, 01/15/20 (e) | 17,976 | ||||||
7,887 | IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19 | 7,522 | ||||||
31,714 | inVentiv Health, Inc., 10.000%, 08/15/18 (e) | 26,719 | ||||||
5,200 | LifePoint Hospitals, Inc., 6.625%, 10/01/20 | 5,571 | ||||||
20,073 | MultiPlan, Inc., 9.875%, 09/01/18 (e) | 22,080 | ||||||
7,896 | National Mentor Holdings, Inc., 12.500%, 02/15/18 (e) | 7,926 | ||||||
11,293 | Omnicare, Inc., 7.750%, 06/01/20 | 12,451 | ||||||
8,150 | OnCure Holdings, Inc., 11.750%, 05/15/17 | 4,768 | ||||||
Tenet Healthcare Corp., | ||||||||
15,000 | 6.250%, 11/01/18 | 16,284 | ||||||
10,928 | 8.000%, 08/01/20 | 11,584 | ||||||
13,394 | 8.875%, 07/01/19 | 15,236 | ||||||
1,800 | 9.250%, 02/01/15 | 2,011 | ||||||
425 | 10.000%, 05/01/18 | 489 | ||||||
13,415 | United Surgical Partners International, Inc., 9.000%, 04/01/20 (e) | 14,404 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., | ||||||||
2,500 | 7.750%, 02/01/19 | 2,606 | ||||||
2,700 | 7.750%, 02/01/19 (e) | 2,815 | ||||||
15,075 | 8.000%, 02/01/18 | 15,829 | ||||||
|
| |||||||
551,058 | ||||||||
|
| |||||||
Pharmaceuticals — 1.0% |
| |||||||
11,719 | Catalent Pharma Solutions, Inc., 9.500%, 04/15/15 | 12,012 | ||||||
11,913 | Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 # (d) (f) (i) | 1,668 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued |
| |||||||
36,600 | Elan Finance plc/Elan Finance Corp., (Ireland), 8.750%, 10/15/16 | 39,711 | ||||||
Endo Health Solutions, Inc., | ||||||||
5,300 | 7.000%, 07/15/19 | 5,724 | ||||||
6,000 | 7.250%, 01/15/22 | 6,517 | ||||||
15,637 | Mylan, Inc., 7.875%, 07/15/20 (e) | 17,670 | ||||||
Valeant Pharmaceuticals International, | ||||||||
10,225 | 6.500%, 07/15/16 (e) | 10,787 | ||||||
5,450 | 6.750%, 10/01/17 (e) | 5,791 | ||||||
9,400 | 6.875%, 12/01/18 (e) | 9,894 | ||||||
13,520 | 7.000%, 10/01/20 (e) | 13,993 | ||||||
340 | 7.250%, 07/15/22 (e) | 351 | ||||||
|
| |||||||
124,118 | ||||||||
|
| |||||||
Total Health Care | 748,399 | |||||||
|
| |||||||
Industrials — 8.4% |
| |||||||
Aerospace & Defense — 0.7% |
| |||||||
6,380 | Alliant Techsystems, Inc., 6.875%, 09/15/20 | 6,842 | ||||||
BE Aerospace, Inc., | ||||||||
16,637 | 5.250%, 04/01/22 | 17,344 | ||||||
6,575 | 6.875%, 10/01/20 | 7,274 | ||||||
Esterline Technologies Corp., | ||||||||
3,910 | 6.625%, 03/01/17 | 4,037 | ||||||
1,865 | 7.000%, 08/01/20 | 2,066 | ||||||
4,255 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 4,532 | ||||||
1,777 | Moog, Inc., 7.250%, 06/15/18 | 1,888 | ||||||
Spirit Aerosystems, Inc., | ||||||||
13,558 | 6.750%, 12/15/20 | 14,744 | ||||||
4,500 | 7.500%, 10/01/17 | 4,883 | ||||||
Triumph Group, Inc., | ||||||||
9,066 | 8.000%, 11/15/17 | 9,882 | ||||||
8,380 | 8.625%, 07/15/18 | 9,385 | ||||||
|
| |||||||
82,877 | ||||||||
|
| |||||||
Airlines — 1.2% |
| |||||||
2,237 | American Airlines 2011-1 Class B Pass-Through Trust, 7.000%, 01/31/18 (e) | 2,259 | ||||||
34,755 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 35,276 | ||||||
1,820 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 1,911 | ||||||
17,453 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m) | 18,762 | ||||||
2,561 | Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.817%, 06/02/13 | 2,497 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 145 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Airlines — Continued |
| |||||||
4,922 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 5,181 | ||||||
3,200 | Continental Airlines, Inc., 6.750%, 09/15/15 (e) | 3,316 | ||||||
4,460 | Delta Air Lines 2007-1 Class B Pass-Through Trust, 8.021%, 08/10/22 | 4,594 | ||||||
5,636 | Delta Air Lines 2007-1 Class C Pass-Through Trust, 8.954%, 08/10/14 | 5,742 | ||||||
320 | Delta Air Lines 2009-1 Series B Pass-Through Trust, 9.750%, 12/17/16 | 346 | ||||||
3,910 | Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20 | 4,008 | ||||||
11,343 | Delta Air Lines 2012-1 Class B Pass-Through Trust, 6.875%, 05/07/19 (e) | 11,456 | ||||||
531 | Delta Airlines, Inc., 9.500%, 09/15/14 (e) | 557 | ||||||
30,332 | Northwest Airlines 2007-1 Class A Pass-Through Trust, 7.027%, 11/01/19 | 32,304 | ||||||
1,629 | Northwest Airlines 2007-1 Class B Pass Through Trust, 8.028%, 11/01/17 | 1,688 | ||||||
1,166 | UAL 2007-1 Class C Pass-Through Trust, VAR, 2.984%, 07/02/14 | 1,128 | ||||||
UAL 2007-1 Pass-Through Trust, | ||||||||
6,804 | 6.636%, 07/02/22 | 7,110 | ||||||
941 | 7.336%, 07/02/19 | 922 | ||||||
2,376 | UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17 | 2,721 | ||||||
|
| |||||||
141,778 | ||||||||
|
| |||||||
Building Products — 0.7% |
| |||||||
Building Materials Corp. of America, | ||||||||
12,940 | 6.750%, 05/01/21 (e) | 14,137 | ||||||
19,475 | 6.875%, 08/15/18 (e) | 20,887 | ||||||
5,265 | 7.000%, 02/15/20 (e) | 5,699 | ||||||
5,725 | Calcipar S.A., (Luxembourg), 6.875%, 05/01/18 (e) | 5,653 | ||||||
Masco Corp., | ||||||||
2,719 | 5.950%, 03/15/22 | 2,936 | ||||||
1,075 | 7.125%, 03/15/20 | 1,227 | ||||||
12,730 | Masonite International Corp., (Canada), 8.250%, 04/15/21 (e) | 13,335 | ||||||
15,300 | Nortek, Inc., 8.500%, 04/15/21 | 16,256 | ||||||
9,000 | Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10.000%, 06/01/20 (e) | 9,630 | ||||||
|
| |||||||
89,760 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.4% |
| |||||||
3,265 | BakerCorp International, Inc., 8.250%, 06/01/19 (e) | 3,249 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — Continued |
| |||||||
31,968 | Cenveo Corp., 8.875%, 02/01/18 | 29,091 | ||||||
8,934 | Clean Harbors, Inc., 5.250%, 08/01/20 (e) | 9,168 | ||||||
6,923 | Covanta Holding Corp., 6.375%, 10/01/22 | 7,569 | ||||||
Deluxe Corp., | ||||||||
3,203 | 7.000%, 03/15/19 | 3,367 | ||||||
8,075 | 7.375%, 06/01/15 | 8,196 | ||||||
FTI Consulting, Inc., | ||||||||
8,500 | 6.750%, 10/01/20 | 9,074 | ||||||
2,000 | 7.750%, 10/01/16 | 2,057 | ||||||
17,664 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 18,636 | ||||||
Harland Clarke Holdings Corp., | ||||||||
8,297 | 9.500%, 05/15/15 | 6,886 | ||||||
22,340 | VAR, 6.000%, 05/15/15 | 16,811 | ||||||
Iron Mountain, Inc., | ||||||||
18,170 | 5.750%, 08/15/24 | 18,351 | ||||||
5,131 | 7.750%, 10/01/19 | 5,747 | ||||||
6,563 | 8.000%, 06/15/20 | 7,014 | ||||||
2,131 | 8.375%, 08/15/21 | 2,355 | ||||||
1,985 | Liberty Tire Recycling, 11.000%, 10/01/16 (e) | 1,876 | ||||||
Quebecor World Capital Corp., (Canada), | ||||||||
8,325 | 6.125%, 11/15/13 (d) | 83 | ||||||
6,815 | 6.500%, 08/01/27 (d) | 68 | ||||||
3,825 | 9.750%, 01/15/15 (d) | 39 | ||||||
R.R. Donnelley & Sons Co., | ||||||||
7,174 | 6.125%, 01/15/17 | 7,138 | ||||||
2,144 | 7.625%, 06/15/20 | 2,139 | ||||||
8,605 | 8.250%, 03/15/19 | 8,745 | ||||||
|
| |||||||
167,659 | ||||||||
|
| |||||||
Construction & Engineering — 1.2% |
| |||||||
3,530 | Ashtead Capital, Inc., 6.500%, 07/15/22 (e) | 3,671 | ||||||
2,200 | Dycom Investments, Inc., 7.125%, 01/15/21 | 2,398 | ||||||
13,140 | Goodman Networks, Inc., 12.125%, 07/01/18 (e) | 13,797 | ||||||
New Enterprise Stone & Lime Co., Inc., | ||||||||
2,000 | 11.000%, 09/01/18 | 1,395 | ||||||
5,919 | PIK, 13.000%, 03/15/18 (e) | 6,037 | ||||||
26,705 | Tutor Perini Corp., 7.625%, 11/01/18 | 27,239 | ||||||
UR Merger Sub Corp., | ||||||||
6,176 | 5.750%, 07/15/18 (e) | 6,531 | ||||||
9,595 | 7.375%, 05/15/20 (e) | 10,171 | ||||||
15,994 | 7.625%, 04/15/22 (e) | 17,274 | ||||||
13,240 | 8.250%, 02/01/21 | 14,498 | ||||||
14,750 | 8.375%, 09/15/20 | 15,782 |
SEE NOTES TO FINANCIAL STATEMENTS.
146 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Construction & Engineering — Continued |
| |||||||
12,250 | 9.250%, 12/15/19 (m) | 13,781 | ||||||
3,905 | 10.875%, 06/15/16 | 4,369 | ||||||
|
| |||||||
136,943 | ||||||||
|
| |||||||
Electrical Equipment — 0.1% |
| |||||||
5,690 | Belden, Inc., 5.500%, 09/01/22 (e) | 5,704 | ||||||
5,910 | International Wire Group Holdings, Inc., 9.750%, 04/15/15 (e) | 6,221 | ||||||
|
| |||||||
11,925 | ||||||||
|
| |||||||
Environmental Services — 0.1% |
| |||||||
7,455 | Casella Waste Systems, Inc., 11.000%, 07/15/14 | 7,902 | ||||||
|
| |||||||
Industrial Conglomerates — 0.2% |
| |||||||
11,599 | JB Poindexter & Co., Inc., 9.000%, 04/01/22 (e) | 11,599 | ||||||
10,660 | Trimas Corp., 9.750%, 12/15/17 (m) | 11,886 | ||||||
|
| |||||||
23,485 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.1% |
| |||||||
11,997 | FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 05/01/20 (e) | 12,657 | ||||||
|
| |||||||
Machinery — 0.5% |
| |||||||
6,185 | Actuant Corp., 5.625%, 06/15/22 (e) | 6,355 | ||||||
2,862 | American Railcar Industries, Inc., 7.500%, 03/01/14 | 2,898 | ||||||
5,190 | Boart Longyear Management Pty Ltd., (Australia), 7.000%, 04/01/21 (e) | 5,385 | ||||||
9,000 | Briggs & Stratton Corp., 6.875%, 12/15/20 | 9,765 | ||||||
4,207 | Columbus McKinnon Corp., 7.875%, 02/01/19 | 4,470 | ||||||
3,518 | Commercial Vehicle Group, Inc., 7.875%, 04/15/19 | 3,566 | ||||||
4,765 | Griffon Corp., 7.125%, 04/01/18 | 4,997 | ||||||
5,275 | SPX Corp., 6.875%, 09/01/17 | 5,855 | ||||||
8,780 | Thermadyne Holdings Corp., 9.000%, 12/15/17 | 9,175 | ||||||
8,165 | Titan International, Inc., 7.875%, 10/01/17 | 8,553 | ||||||
|
| |||||||
61,019 | ||||||||
|
| |||||||
Marine — 0.7% |
| |||||||
13,664 | ACL I Corp., PIK, 10.625%, 02/15/16 | 13,083 | ||||||
19,500 | Bluewater Holding B.V., (Netherlands), VAR, 3.455%, 07/17/14 (e) | 17,257 | ||||||
19,158 | Commercial Barge Line Co., 12.500%, 07/15/17 | 21,457 | ||||||
2,792 | Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc., 8.625%, 11/01/17 | 2,617 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Marine — Continued |
| |||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., | ||||||||
4,655 | 8.875%, 11/01/17 (e) | 4,696 | ||||||
8,148 | 8.875%, 11/01/17 | 8,301 | ||||||
12,350 | Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc., 9.250%, 04/15/19 | 11,424 | ||||||
13,387 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 10,442 | ||||||
|
| |||||||
89,277 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
6,025 | 8.250%, 01/15/19 | 6,507 | ||||||
9,482 | 9.625%, 03/15/18 | 10,525 | ||||||
5,550 | 9.750%, 03/15/20 | 6,251 | ||||||
1,475 | VAR, 2.935%, 05/15/14 | 1,469 | ||||||
Hertz Corp. (The), | ||||||||
9,459 | 6.750%, 04/15/19 | 9,932 | ||||||
6,925 | 7.375%, 01/15/21 | 7,531 | ||||||
10,531 | 7.500%, 10/15/18 | 11,360 | ||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | ||||||||
7,255 | 6.125%, 06/15/21 | 8,126 | ||||||
7,498 | 6.625%, 12/15/20 | 8,454 | ||||||
|
| |||||||
70,155 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
Aircastle Ltd., (Bermuda), | ||||||||
7,810 | 7.625%, 04/15/20 | 8,649 | ||||||
8,750 | 9.750%, 08/01/18 | 10,041 | ||||||
6,562 | H&E Equipment Services, Inc., 7.000%, 09/01/22 (e) | 6,808 | ||||||
19,151 | HD Supply, Inc., 8.125%, 04/15/19 (e) | 20,779 | ||||||
10,885 | Rexel S.A., (France), 6.125%, 12/15/19 (e) | 11,157 | ||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., | ||||||||
4,634 | 7.375%, 08/01/21 (e) | 4,889 | ||||||
9,448 | 7.500%, 10/01/18 (e) | 10,180 | ||||||
|
| |||||||
72,503 | ||||||||
|
| |||||||
Transportation Services — 0.3% |
| |||||||
22,642 | CEVA Group plc, (United Kingdom), 8.375%, 12/01/17 (e) | 22,020 | ||||||
4,600 | OSX 3 Leasing B.V., (Netherlands), 9.250%, 03/20/15 (e) | 4,740 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 147 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Transportation Services — Continued |
| |||||||
3,108 | SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875%, 08/01/20 (e) | 3,201 | ||||||
5,331 | TRAC Intermodal LLC/TRAC Intermodal Corp., 11.000%, 08/15/19 (e) | 5,358 | ||||||
|
| |||||||
35,319 | ||||||||
|
| |||||||
Total Industrials | 1,003,259 | |||||||
|
| |||||||
Information Technology — 4.3% |
| |||||||
Communications Equipment — 0.6% |
| |||||||
Avaya, Inc., | ||||||||
21,985 | 7.000%, 04/01/19 (e) | 20,116 | ||||||
15,497 | 9.750%, 11/01/15 | 13,444 | ||||||
19,745 | Brightstar Corp., 9.500%, 12/01/16 (e) | 20,732 | ||||||
7,145 | Nokia Corp., (Finland), 6.625%, 05/15/39 | 5,804 | ||||||
8,286 | Nokia OYJ, (Finland), 5.375%, 05/15/19 | 7,011 | ||||||
|
| |||||||
67,107 | ||||||||
|
| |||||||
Computers & Peripherals — 0.5% |
| |||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
8,690 | 6.875%, 05/01/20 | 9,211 | ||||||
13,570 | 7.750%, 12/15/18 | 14,893 | ||||||
18,370 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 20,253 | ||||||
Sealed Air Corp., | ||||||||
8,500 | 8.125%, 09/15/19 (e) | 9,456 | ||||||
7,212 | 8.375%, 09/15/21 (e) | 8,114 | ||||||
3,297 | Stratus Technologies Bermuda Ltd./Stratus Technologies, Inc., (Bermuda), 12.000%, 03/29/15 | 3,066 | ||||||
|
| |||||||
64,993 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
3,500 | Anixter, Inc., 5.625%, 05/01/19 | 3,658 | ||||||
15,857 | CDW LLC/CDW Finance Corp., 8.500%, 04/01/19 | 17,363 | ||||||
10,917 | Intcomex, Inc., 13.250%, 12/15/14 | 11,135 | ||||||
Jabil Circuit, Inc., | ||||||||
4,241 | 4.700%, 09/15/22 | 4,262 | ||||||
960 | 7.750%, 07/15/16 | 1,109 | ||||||
12,818 | Kemet Corp., 10.500%, 05/01/18 | 12,834 | ||||||
3,200 | Sanmina-SCI Corp., VAR, 3.218%, 06/15/14 (e) | 3,168 | ||||||
7,898 | Viasystems, Inc., 7.875%, 05/01/19 (e) | 7,760 | ||||||
|
| |||||||
61,289 | ||||||||
|
| |||||||
Internet Software & Services — 0.3% |
| |||||||
20,333 | eAccess Ltd., (Japan), 8.250%, 04/01/18 (e) | 18,503 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — Continued |
| |||||||
Equinix, Inc., | ||||||||
3,085 | 7.000%, 07/15/21 | 3,463 | ||||||
7,225 | 8.125%, 03/01/18 | 8,020 | ||||||
6,922 | Sabre, Inc., 8.500%, 05/15/19 (e) | 7,173 | ||||||
|
| |||||||
37,159 | ||||||||
|
| |||||||
IT Services — 1.6% |
| |||||||
6,651 | Ceridian Corp., 8.875%, 07/15/19 (e) | 7,133 | ||||||
Fidelity National Information Services, Inc., | ||||||||
7,987 | 5.000%, 03/15/22 | 8,306 | ||||||
3,005 | 7.625%, 07/15/17 | 3,306 | ||||||
First Data Corp., | ||||||||
10,595 | 6.750%, 11/01/20 (e) | 10,516 | ||||||
4,340 | 7.375%, 06/15/19 (e) | 4,481 | ||||||
17,700 | 8.250%, 01/15/21 (e) | 17,545 | ||||||
1,080 | 8.875%, 08/15/20 (e) | 1,177 | ||||||
2,323 | 9.875%, 09/24/15 | 2,369 | ||||||
5,340 | 10.550%, 09/24/15 | 5,474 | ||||||
30,878 | 12.625%, 01/15/21 | 31,264 | ||||||
16,121 | PIK, 8.750%, 01/15/22 (e) | 16,081 | ||||||
20,780 | iGATE Corp., 9.000%, 05/01/16 | 22,494 | ||||||
3,255 | Interactive Data Corp., 10.250%, 08/01/18 | 3,670 | ||||||
Sitel LLC/Sitel Finance Corp., | ||||||||
12,285 | 11.000%, 08/01/17 (e) | 12,100 | ||||||
22,490 | 11.500%, 04/01/18 | 16,699 | ||||||
5,386 | Stream Global Services, Inc., 11.250%, 10/01/14 | 5,521 | ||||||
18,040 | SunGard Data Systems, Inc., 7.625%, 11/15/20 | 19,348 | ||||||
2,395 | Unisys Corp., 12.750%, 10/15/14 (e) | 2,587 | ||||||
|
| |||||||
190,071 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
Advanced Micro Devices, Inc., | ||||||||
13,512 | 7.750%, 08/01/20 | 13,782 | ||||||
9,670 | 8.125%, 12/15/17 | 10,154 | ||||||
Amkor Technology, Inc., | ||||||||
11,005 | 6.625%, 06/01/21 | 11,115 | ||||||
8,730 | 7.375%, 05/01/18 | 9,101 | ||||||
Freescale Semiconductor, Inc., | ||||||||
8,683 | 8.050%, 02/01/20 | 8,531 | ||||||
3,000 | 9.250%, 04/15/18 (e) | 3,247 | ||||||
8,169 | 10.125%, 03/15/18 (e) | 8,945 | ||||||
NXP B.V./NXP Funding LLC, (Netherlands), | ||||||||
8,225 | 9.750%, 08/01/18 (e) | 9,397 | ||||||
25 | VAR, 3.205%, 10/15/13 (e) | 25 |
SEE NOTES TO FINANCIAL STATEMENTS.
148 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
715 | VAR, 3.205%, 10/15/13 | 714 | ||||||
2,850 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 3,057 | ||||||
|
| |||||||
78,068 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
9,727 | Infor U.S., Inc., 9.375%, 04/01/19 (e) | 10,530 | ||||||
6,056 | Nuance Communications, Inc., 5.375%, 08/15/20 (e) | 6,192 | ||||||
|
| |||||||
16,722 | ||||||||
|
| |||||||
Total Information Technology | 515,409 | |||||||
|
| |||||||
Materials — 8.5% | ||||||||
Chemicals — 1.6% | ||||||||
11,219 | Celanese US Holdings LLC, 6.625%, 10/15/18 | 12,369 | ||||||
5,150 | CF Industries, Inc., 6.875%, 05/01/18 | 6,231 | ||||||
17,025 | Chemtura Corp., 7.875%, 09/01/18 | 18,344 | ||||||
12,240 | J.M. Huber Corp., 9.875%, 11/01/19 (e) | 13,556 | ||||||
LyondellBasell Industries N.V., (Netherlands), | ||||||||
22,180 | 5.000%, 04/15/19 | 23,511 | ||||||
11,855 | 5.750%, 04/15/24 | 13,426 | ||||||
31,050 | 6.000%, 11/15/21 | 35,397 | ||||||
9,200 | Olin Corp., 5.500%, 08/15/22 | 9,246 | ||||||
13,510 | Omnova Solutions, Inc., 7.875%, 11/01/18 | 13,679 | ||||||
25,903 | PolyOne Corp., 7.375%, 09/15/20 | 28,299 | ||||||
18,680 | Tronox Finance LLC, 6.375%, 08/15/20 (e) | 18,867 | ||||||
|
| |||||||
192,925 | ||||||||
|
| |||||||
Construction Materials — 1.5% |
| |||||||
6,728 | Cemex Espana Finance LLC, Series A, 8.910%, 02/14/14 (f) (i) | 6,527 | ||||||
49,000 | Cemex Espana Luxembourg, (Spain), 9.875%, 04/30/19 (e) | 49,368 | ||||||
44,445 | Cemex Finance LLC, 9.500%, 12/14/16 (e) | 45,334 | ||||||
Cemex S.A.B. de C.V., (Mexico), | ||||||||
9,900 | 9.000%, 01/11/18 (e) | 9,826 | ||||||
11,000 | VAR, 5.461%, 09/30/15 (e) | 10,340 | ||||||
13,560 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 14,763 | ||||||
1,069 | Lafarge S.A., (France), 7.125%, 07/15/36 | 1,085 | ||||||
Vulcan Materials Co., | ||||||||
11,015 | 6.500%, 12/01/16 | 11,841 | ||||||
33,460 | 7.500%, 06/15/21 | 37,224 | ||||||
|
| |||||||
186,308 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — 2.2% |
| |||||||
Ardagh Packaging Finance plc/Ardagh MP Holdings USA, Inc., (Ireland), | ||||||||
3,000 | 7.375%, 10/15/17 | 3,214 | ||||||
15,874 | 7.375%, 10/15/17 (e) | 17,025 | ||||||
24,950 | 9.125%, 10/15/20 (e) | 25,948 | ||||||
6,200 | 9.125%, 10/15/20 | 6,463 | ||||||
7,748 | 9.125%, 10/15/20 (e) | 8,097 | ||||||
Ball Corp., | ||||||||
6,945 | 5.000%, 03/15/22 | 7,292 | ||||||
9,450 | 5.750%, 05/15/21 | 10,171 | ||||||
4,125 | 6.750%, 09/15/20 | 4,558 | ||||||
1,710 | 7.125%, 09/01/16 | 1,855 | ||||||
1,650 | 7.375%, 09/01/19 | 1,844 | ||||||
Berry Plastics Corp., | ||||||||
18,243 | 9.500%, 05/15/18 | 19,702 | ||||||
11,120 | 9.750%, 01/15/21 | 12,315 | ||||||
4,630 | VAR, 4.343%, 09/15/14 | 4,561 | ||||||
5,450 | VAR, 5.205%, 02/15/15 | 5,453 | ||||||
1,500 | BWAY Holding Co., 10.000%, 06/15/18 | 1,664 | ||||||
Constar International, Inc., | ||||||||
1,853 | 8.231%, 05/31/15 (f) (i) | 1,854 | ||||||
4,539 | VAR, 11.000%, 12/31/17 (f) (i) | 4,539 | ||||||
5,375 | Crown Americas LLC/Crown Americas Capital Corp. III, 6.250%, 02/01/21 | 5,939 | ||||||
Graphic Packaging International, Inc., | ||||||||
5,200 | 7.875%, 10/01/18 | 5,798 | ||||||
4,275 | 9.500%, 06/15/17 | 4,713 | ||||||
1,000 | Owens-Brockway Glass Container, Inc., 7.375%, 05/15/16 | 1,140 | ||||||
Plastipak Holdings, Inc., | ||||||||
2,016 | 8.500%, 12/15/15 (e) | 2,076 | ||||||
3,500 | 10.625%, 08/15/19 (e) | 3,973 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | ||||||||
11,100 | 6.875%, 02/15/21 | 12,016 | ||||||
7,633 | 7.125%, 04/15/19 | 8,225 | ||||||
6,700 | 7.750%, 10/15/16 | 7,001 | ||||||
29,331 | 7.875%, 08/15/19 | 32,631 | ||||||
11,525 | 8.500%, 05/15/18 | 11,669 | ||||||
11,125 | 9.000%, 04/15/19 | 11,306 | ||||||
23,814 | 9.875%, 08/15/19 | 25,183 | ||||||
|
| |||||||
268,225 | ||||||||
|
| |||||||
Metals & Mining — 1.9% |
| |||||||
AK Steel Corp., | ||||||||
3,187 | 7.625%, 05/15/20 | 2,820 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 149 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Metals & Mining — Continued |
| |||||||
5,000 | 8.375%, 04/01/22 | 4,388 | ||||||
6,243 | APERAM, (Luxembourg), 7.750%, 04/01/18 (e) | 5,182 | ||||||
ArcelorMittal, (Luxembourg), | ||||||||
12,050 | 6.250%, 02/25/22 | 11,704 | ||||||
5,000 | 9.850%, 06/01/19 | 5,700 | ||||||
8,420 | Atkore International, Inc., 9.875%, 01/01/18 | 7,999 | ||||||
Commercial Metals Co., | ||||||||
2,000 | 6.500%, 07/15/17 | 2,050 | ||||||
4,945 | 7.350%, 08/15/18 | 5,155 | ||||||
FMG Resources August 2006 Pty Ltd., (Australia), | ||||||||
4,187 | 6.000%, 04/01/17 (e) | 3,946 | ||||||
13,188 | 6.375%, 02/01/16 (e) | 12,661 | ||||||
7,537 | 6.875%, 02/01/18 (e) | 7,179 | ||||||
15,636 | 6.875%, 04/01/22 (e) | 14,385 | ||||||
16,267 | 7.000%, 11/01/15 (e) | 15,982 | ||||||
3,875 | Gibraltar Industries, Inc., 8.000%, 12/01/15 | 3,982 | ||||||
8,945 | JMC Steel Group, 8.250%, 03/15/18 (e) | 9,146 | ||||||
5,745 | Murray Energy Corp., 10.250%, 10/15/15 (e) | 5,601 | ||||||
2,161 | New Gold, Inc., (Canada), 7.000%, 04/15/20 (e) | 2,274 | ||||||
7,124 | Noranda Aluminum Acquisition Corp., PIK, 4.730%, 05/15/15 | 6,804 | ||||||
Novelis, Inc., (Canada), | ||||||||
14,220 | 8.375%, 12/15/17 | 15,713 | ||||||
8,905 | 8.750%, 12/15/20 | 9,951 | ||||||
3,835 | Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/18 (e) | 3,941 | ||||||
5,385 | Ryerson, Inc., 12.000%, 11/01/15 | 5,479 | ||||||
11,355 | Severstal Columbus LLC, 10.250%, 02/15/18 | 11,696 | ||||||
Steel Dynamics, Inc., | ||||||||
8,172 | 6.125%, 08/15/19 (e) | 8,479 | ||||||
8,172 | 6.375%, 08/15/22 (e) | 8,458 | ||||||
7,845 | 7.625%, 03/15/20 | 8,531 | ||||||
4,875 | Taseko Mines Ltd., (Canada), 7.750%, 04/15/19 | 4,643 | ||||||
United States Steel Corp., | ||||||||
5,467 | 7.000%, 02/01/18 | 5,563 | ||||||
11,440 | 7.375%, 04/01/20 | 11,297 | ||||||
4,700 | 7.500%, 03/15/22 | 4,606 | ||||||
1,048 | Wolverine Tube, Inc., 6.000%, 06/28/14 (f) (i) | 995 | ||||||
|
| |||||||
226,310 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Paper & Forest Products — 1.3% |
| |||||||
Abitibi-Consolidated Co. of Canada, (Canada), | ||||||||
8,431 | 6.000%, 06/20/13 (d) | 21 | ||||||
15,841 | 7.750%, 06/15/11 (d) | 40 | ||||||
20,371 | 8.375%, 04/01/15 (d) | 51 | ||||||
Abitibi-Consolidated, Inc., | ||||||||
3,880 | 7.400%, 04/01/18 (d) | 10 | ||||||
2,425 | 7.500%, 04/01/28 (d) | 6 | ||||||
680 | 8.550%, 08/01/10 (d) | 2 | ||||||
44,081 | 8.850%, 08/01/30 (d) | 110 | ||||||
18,760 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 20,073 | ||||||
8,250 | Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.000%, 04/01/20 | 9,116 | ||||||
Cascades, Inc., (Canada), | ||||||||
7,535 | 7.750%, 12/15/17 | 7,818 | ||||||
3,134 | 7.875%, 01/15/20 | 3,251 | ||||||
4,200 | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 (e) | 4,347 | ||||||
6,667 | Louisiana-Pacific Corp., 7.500%, 06/01/20 | 7,234 | ||||||
78,532 | NewPage Corp., 11.375%, 12/31/14 (d) | 53,205 | ||||||
950 | P.H. Glatfelter Co., 7.125%, 05/01/16 | 971 | ||||||
3,200 | Potlatch Corp., 7.500%, 11/01/19 | 3,400 | ||||||
31,111 | Resolute Forest Products, 10.250%, 10/15/18 | 35,622 | ||||||
Sappi Papier Holding GmbH, (Austria), | ||||||||
1,100 | 6.625%, 04/15/21 (e) | 1,017 | ||||||
2,350 | 7.750%, 07/15/17 (e) | 2,456 | ||||||
2,125 | 8.375%, 06/15/19 (e) | 2,237 | ||||||
Smurfit-Stone Container Enterprises, Inc., | ||||||||
25,818 | 8.000%, 03/15/17 (d) (f) (i) | 516 | ||||||
19,431 | 8.375%, 07/01/12 (d) (f) (i) | 389 | ||||||
|
| |||||||
151,892 | ||||||||
|
| |||||||
Total Materials | 1,025,660 | |||||||
|
| |||||||
Telecommunication Services — 6.5% |
| |||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
Cincinnati Bell, Inc., | ||||||||
37 | 7.000%, 02/15/15 | 37 | ||||||
3,125 | 8.250%, 10/15/17 | 3,344 | ||||||
6,061 | 8.375%, 10/15/20 | 6,425 | ||||||
960 | 8.750%, 03/15/18 | 969 | ||||||
32,885 | Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/15 (e) | 32,556 | ||||||
Frontier Communications Corp., | ||||||||
6,340 | 7.125%, 03/15/19 | 6,689 | ||||||
10,000 | 7.125%, 01/15/23 | 10,175 |
SEE NOTES TO FINANCIAL STATEMENTS.
150 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
11 | 8.250%, 05/01/14 | 12 | ||||||
3,945 | 8.250%, 04/15/17 | 4,398 | ||||||
32,345 | 8.500%, 04/15/20 | 36,065 | ||||||
3,945 | 8.750%, 04/15/22 | 4,399 | ||||||
8,324 | 9.250%, 07/01/21 | 9,489 | ||||||
Level 3 Communications, Inc., | ||||||||
14,386 | 8.875%, 06/01/19 | 14,674 | ||||||
10,625 | 11.875%, 02/01/19 | 11,847 | ||||||
Level 3 Financing, Inc., | ||||||||
15,683 | 7.000%, 06/01/20 (e) | 15,604 | ||||||
24,781 | 8.125%, 07/01/19 | 25,958 | ||||||
22,010 | 8.625%, 07/15/20 | 23,551 | ||||||
22,220 | 9.375%, 04/01/19 | 24,331 | ||||||
2,000 | 10.000%, 02/01/18 | 2,195 | ||||||
10,165 | PAETEC Holding Corp., 8.875%, 06/30/17 (m) | 11,004 | ||||||
3,115 | Qwest Communications International, Inc., 8.000%, 10/01/15 | 3,260 | ||||||
Windstream Corp., | ||||||||
950 | 7.000%, 03/15/19 | 962 | ||||||
4,695 | 7.500%, 06/01/22 | 4,789 | ||||||
4,820 | 7.750%, 10/15/20 | 5,061 | ||||||
4,500 | 7.750%, 10/01/21 | 4,725 | ||||||
11,235 | 7.875%, 11/01/17 | 12,218 | ||||||
210 | 8.125%, 08/01/13 | 222 | ||||||
5,190 | 8.125%, 09/01/18 | 5,527 | ||||||
|
| |||||||
280,486 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 4.1% |
| |||||||
4,160 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 4,472 | ||||||
51,422 | Cricket Communications, Inc., 7.750%, 10/15/20 | 49,879 | ||||||
1,370 | Crown Castle International Corp., 9.000%, 01/15/15 | 1,481 | ||||||
4,270 | iPCS, Inc., VAR, 2.570%, 05/01/13 | 4,238 | ||||||
30,866 | MetroPCS Wireless, Inc., 6.625%, 11/15/20 | 31,946 | ||||||
40,108 | Nextel Communications, Inc., 7.375%, 08/01/15 (m) | 40,308 | ||||||
NII Capital Corp., | ||||||||
22,662 | 7.625%, 04/01/21 | 17,506 | ||||||
23,045 | 8.875%, 12/15/19 | 18,724 | ||||||
7,455 | 10.000%, 08/15/16 | 7,213 | ||||||
SBA Telecommunications, Inc., | ||||||||
1,674 | 5.750%, 07/15/20 (e) | 1,750 | ||||||
666 | 8.250%, 08/15/19 | 739 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — Continued |
| |||||||
Sprint Capital Corp., | ||||||||
6,539 | 6.900%, 05/01/19 | 6,694 | ||||||
8,933 | 8.750%, 03/15/32 | 9,023 | ||||||
Sprint Nextel Corp., | ||||||||
52,116 | 6.000%, 12/01/16 (m) | 53,158 | ||||||
5,520 | 7.000%, 03/01/20 (e) | 6,045 | ||||||
79,790 | 7.000%, 08/15/20 | 81,585 | ||||||
6,500 | 8.375%, 08/15/17 | 7,150 | ||||||
41,472 | 9.000%, 11/15/18 (e) | 48,937 | ||||||
17,985 | 9.125%, 03/01/17 | 20,143 | ||||||
5,758 | 11.500%, 11/15/21 | 7,198 | ||||||
8,427 | Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, (Ireland), 7.748%, 02/02/21 (e) | 8,680 | ||||||
VimpelCom Holdings B.V., (Netherlands), | ||||||||
4,550 | 6.255%, 03/01/17 (e) | 4,626 | ||||||
11,900 | 7.504%, 03/01/22 (e) | 12,078 | ||||||
1,300 | VAR, 4.461%, 06/29/14 (e) | 1,302 | ||||||
Wind Acquisition Finance S.A., (Luxembourg), | ||||||||
5,934 | 7.250%, 02/15/18 (e) | 5,430 | ||||||
12,350 | 7.250%, 02/15/18 (e) | 11,362 | ||||||
26,735 | 11.750%, 07/15/17 (e) | 24,462 | ||||||
11,547 | Wind Acquisition Holdings Finance S.A., (Luxembourg), PIK, 12.250%, 07/15/17 (e) | 8,083 | ||||||
|
| |||||||
494,212 | ||||||||
|
| |||||||
Total Telecommunication Services | 774,698 | |||||||
|
| |||||||
Utilities — 3.9% |
| |||||||
Electric Utilities — 0.0% (g) |
| |||||||
750 | PNM Resources, Inc., 9.250%, 05/15/15 | 858 | ||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
Genesis Energy LP/Genesis Energy Finance Corp., | ||||||||
9,420 | 7.875%, 12/15/18 | 9,914 | ||||||
4,800 | 7.875%, 12/15/18 (e) | 5,052 | ||||||
|
| |||||||
14,966 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 2.5% |
| |||||||
AES Eastern Energy LP, | ||||||||
1,310 | 9.000%, 01/02/17 (d) (f) (i) | 52 | ||||||
12,770 | 9.670%, 01/02/29 (d) (f) (i) | 511 | ||||||
Calpine Corp., | ||||||||
10,011 | 7.250%, 10/15/17 (e) | 10,712 | ||||||
52,250 | 7.500%, 02/15/21 (e) | 57,998 | ||||||
30,050 | 7.875%, 01/15/23 (e) | 33,956 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 151 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Independent Power Producers & Energy Traders — Continued |
| |||||||
Dynegy Holdings LLC, | ||||||||
12,200 | 7.125%, 05/15/18 (d) | 7,259 | ||||||
3,900 | 7.500%, 06/01/15 (d) | 2,321 | ||||||
48,825 | 7.750%, 06/01/19 (d) | 29,295 | ||||||
151 | 8.375%, 05/01/16 (d) | 91 | ||||||
41,590 | Dynegy Roseton LLC/Dynegy Danskammer LLC Pass-Through Trust, 7.670%, 11/08/16 (d) | 26,618 | ||||||
Edison Mission Energy, | ||||||||
13,102 | 7.000%, 05/15/17 | 6,878 | ||||||
58,706 | 7.200%, 05/15/19 (m) | 30,674 | ||||||
462 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 381 | ||||||
GenOn Energy, Inc., | ||||||||
2,600 | 7.875%, 06/15/17 (m) | 2,746 | ||||||
21,373 | 9.875%, 10/15/20 | 23,430 | ||||||
Homer City Funding LLC, | ||||||||
4,485 | 8.137%, 10/01/19 | 4,507 | ||||||
8,792 | 8.734%, 10/01/26 | 8,836 | ||||||
9,806 | Midwest Generation LLC, 8.560%, 01/02/16 | 8,629 | ||||||
NRG Energy, Inc., | ||||||||
9,145 | 7.625%, 05/15/19 | 9,557 | ||||||
28,448 | 7.875%, 05/15/21 | 30,439 | ||||||
1,974 | Ormat Funding Corp., 8.250%, 12/30/20 (m) | 1,836 | ||||||
10,661 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 10.250%, 11/01/15 | 3,145 | ||||||
|
| |||||||
299,871 | ||||||||
|
| |||||||
Multi-Utilities — 1.3% |
| |||||||
14,006 | Energy Future Holdings Corp., 9.750%, 10/15/19 | 14,951 | ||||||
1,300 | Energy Future Intermediate Holding Co. LLC, 9.750%, 10/15/19 | 1,388 | ||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., | ||||||||
105,190 | 10.000%, 12/01/20 | 118,076 | ||||||
12,450 | 11.750%, 03/01/22 (e) | 13,259 | ||||||
|
| |||||||
147,674 | ||||||||
|
| |||||||
Total Utilities | 463,369 | |||||||
|
| |||||||
Total Corporate Bonds | 9,194,579 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 0.7% |
| ||||||
Consumer Discretionary — 0.3% |
| |||||||
Automobiles — 0.3% |
| |||||||
1,318 | General Motors Co. (a) | 28,149 | ||||||
211 | Motors Liquidation Co. GUC Trust (a) | 3,015 | ||||||
|
| |||||||
31,164 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 0.0% (g) |
| |||||||
9,055 | Adelphia Recovery Trust (f) (i) | 41 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0% (g) |
| |||||||
7,940 | Real Mex Restaurants, Inc., ADR (a) (f) (i) | 453 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.0% (g) |
| |||||||
458 | New True Temper Holdings Corp., Inc. (a) (f) (i) | 293 | ||||||
|
| |||||||
Specialty Retail — 0.0% (g) |
| |||||||
131 | Neebo, Inc. (a) (f) (i) | 460 | ||||||
|
| |||||||
Total Consumer Discretionary | 32,411 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
585 | Eurofresh, Inc., ADR (a) (f) (i) | — | ||||||
|
| |||||||
Financials — 0.2% |
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
1,170 | Capmark Financial Group, Inc. (a) | 29,726 | ||||||
|
| |||||||
Health Care — 0.0% (g) |
| |||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
— | (h) | Magellan Health Services, Inc. (a) | 6 | |||||
|
| |||||||
Industrials — 0.0% (g) |
| |||||||
Marine — 0.0% (g) |
| |||||||
15 | General Maritime Corp. (a) (f) (i) | 444 | ||||||
|
| |||||||
Information Technology — 0.1% |
| |||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
616 | Stratus Technologies Bermuda Holdings, Ltd., (Bermuda) (a) (f) (i) | — | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
561 | Magnachip Semiconductor Corp., (Luxembourg) (a) | 7,575 | ||||||
|
| |||||||
Total Information Technology | 7,575 | |||||||
|
| |||||||
Materials — 0.1% |
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
399 | U.S. Concrete, Inc. (a) | 2,518 | ||||||
|
| |||||||
Containers & Packaging — 0.0% (g) |
| |||||||
58 | Constar International, Inc., ADR (a) (f) (i) | 45 | ||||||
|
| |||||||
Metals & Mining — 0.0% (g) |
| |||||||
46 | Wolverine Tube, Inc., ADR, (a) (f) (i) | 835 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
152 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Paper & Forest Products — 0.1% |
| |||||||
406 | Resolute Forest Products, (Canada) (a) | 5,102 | ||||||
|
| |||||||
Total Materials | 8,500 | |||||||
|
| |||||||
Utilities – 0.0% (g) |
| |||||||
Independent Power Producers & Energy Traders – 0.0% (g) |
| |||||||
106 | Somerset Cayuga Holding Co., Inc. (a) | 1,587 | ||||||
|
| |||||||
Total Common Stocks | 80,249 | |||||||
|
| |||||||
| Preferred Stocks — 0.9% |
| ||||||
Consumer Discretionary — 0.2% |
| |||||||
Automobiles — 0.2% |
| |||||||
700 | General Motors Co., 4.750%, 12/01/13 | 24,981 | ||||||
|
| |||||||
Media — 0.0% (g) |
| |||||||
77 | Spanish Broadcasting System, Inc. (a) (f) (i) | — | (h) | |||||
1 | Spanish Broadcasting System, Inc., Series B, PIK, 10.750%, 07/02/12 ($1,000 par value) @ (a) (f) (i) | 415 | ||||||
|
| |||||||
415 | ||||||||
|
| |||||||
Total Consumer Discretionary | 25,396 | |||||||
|
| |||||||
Consumer Staples — 0.0% (g) |
| |||||||
Food Products — 0.0% (g) |
| |||||||
1 | Eurofresh, Inc., ADR, PIK, 15.000%, 11/18/16 # (f) (i) | — | ||||||
|
| |||||||
Financials — 0.7% |
| |||||||
Commercial Banks — 0.2% |
| |||||||
5 | Bank of America Corp., Series L, 7.250%, 01/30/13 ($1,000 par value) @ | 5,285 | ||||||
95 | CoBank ACB, 11.000%, 07/01/13 ($50 par value) @ (e) | 5,097 | ||||||
161 | CoBank ACB, 11.000%, 10/01/14 ($50 par value) @ | 8,935 | ||||||
112 | CoBank ACB, 7.000%, 07/02/12 ($50 par value) @ (e) | 5,737 | ||||||
|
| |||||||
25,054 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
20 | Ally Financial, Inc., 7.000%, 07/02/12 ($1,000 par value) @ (e) | 18,098 | ||||||
326 | Citigroup Capital XIII, VAR, 7.875%, 10/30/40 | 9,002 | ||||||
226 | GMAC Capital Trust I, VAR, 8.125%, 02/15/40 | 5,609 | ||||||
|
| |||||||
32,709 | ||||||||
|
| |||||||
Insurance — 0.2% |
| |||||||
423 | Hartford Financial Services Group, Inc., VAR, 7.875%, 04/15/42 (a) | 11,913 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
10 | XLIT Ltd., (Cayman Islands), VAR, 3.575%, 10/29/49 | 7,360 | ||||||
|
| |||||||
19,273 | ||||||||
|
| |||||||
Total Financials | 77,036 | |||||||
|
| |||||||
Information Technology — 0.0% (g) |
| |||||||
Computers & Peripherals — 0.0% (g) |
| |||||||
140 | Stratus Technologies Bermuda Holdings, Ltd., (Bermuda), (a) (f) (i) | — | ||||||
|
| |||||||
Materials — 0.0% (g) |
| |||||||
Containers & Packaging — 0.0% (g) |
| |||||||
6 | Constar International, Inc., Class A, 11.000% (a) (f) (i) | 1,254 | ||||||
|
| |||||||
Total Preferred Stocks | 103,686 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
| Loan Participations & Assignments — 12.1% |
| ||||||
Consumer Discretionary — 4.8% |
| |||||||
Auto Components — 0.4% |
| |||||||
Autoparts Holdings Ltd., Term Loan, | ||||||||
2,788 | VAR, 6.500%, 07/29/17 | 2,744 | ||||||
1,421 | VAR, 6.500%, 07/29/17 | 1,399 | ||||||
7 | VAR, 6.500%, 07/29/17 | 7 | ||||||
4 | VAR, 6.500%, 07/29/17 | 4 | ||||||
17,309 | Remy International, Term Loan B, VAR, 6.250%, 12/16/16 | 17,280 | ||||||
UCI International, Inc., Term Loan, | ||||||||
909 | VAR, 5.500%, 07/26/17 | 911 | ||||||
2 | VAR, 5.500%, 07/26/17 | 2 | ||||||
16,970 | Wabash, Initial Term Loan, VAR, 6.000%, 05/08/19 | 17,076 | ||||||
|
| |||||||
39,423 | ||||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
37,489 | Chrysler, Term Loan B, VAR, 6.000%, 05/24/17 | 38,115 | ||||||
|
| |||||||
Broadcasting & Cable TV — 0.0% (g) |
| |||||||
4,240 | WideOpenWest, Term Loan, VAR, 6.250%, 07/17/18 | 4,237 | ||||||
2,012 | Yankee Cable (RCN Telecom), Term Loan B, VAR, 5.250%, 08/26/16 | 2,013 | ||||||
|
| |||||||
6,250 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
1,767 | Realogy Corp., Extended Synthetic Commitments, VAR, 4.496%, 10/10/16 | 1,706 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 153 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Diversified Consumer Services — Continued |
| |||||||
23,949 | Realogy Corp., Extended Term Loan, VAR, 4.489%, 10/10/16 | 23,119 | ||||||
139 | Realogy Corp., Non-Extended Synthetic Commitment, VAR, 3.246%, 10/10/13 | 129 | ||||||
|
| |||||||
24,954 | ||||||||
|
| |||||||
Gaming — 1.0% |
| |||||||
23,275 | Caesars Entertainment Operating Co., Inc., Extended B-6 Term Loan, VAR, 5.486%, 01/28/18 | 20,460 | ||||||
62,620 | Caesars Entertainment Operating Co., Inc., Term B-2 Loan, VAR, 3.236%, 01/28/15 | 59,384 | ||||||
10,028 | CCM Merger, Inc., Term Loan, VAR, 6.000%, 03/01/17 | 9,929 | ||||||
7,085 | Graton Economic Development, Term Loan B, VAR, 08/20/18 ^ | 7,091 | ||||||
10,850 | Mohegan Tribal Gaming Authority, Term Loan, VAR, 9.000%, 03/31/16 | 10,877 | ||||||
8,675 | ROC Finance LLC, Funded Term B Loan, VAR, 8.500%, 08/19/17 | 8,805 | ||||||
|
| |||||||
116,546 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.1% |
| |||||||
5,672 | Landry’s, Inc., Term Loan, VAR, 6.500%, 04/24/18 | 5,731 | ||||||
1,202 | MTL Publishing LLC, Term B Loan, VAR, 5.500%, 06/29/18 | 1,210 | ||||||
4,548 | MTL Publishing LLC, Term Loan, VAR, 5.500%, 06/29/18 | 4,579 | ||||||
Outback (OSI Restaurant), Prefunded RC Commitment, | ||||||||
265 | VAR, 0.060%, 06/14/13 | 263 | ||||||
88 | VAR, 2.563%, 06/14/13 | 87 | ||||||
4,419 | Outback (OSI Restaurant), Term Loan B, VAR, 2.563%, 06/14/14 | 4,388 | ||||||
|
| |||||||
16,258 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.1% |
| |||||||
Freedom Group, Inc., Term B Loan, | ||||||||
11,385 | VAR, 5.500%, 04/19/19 | 11,420 | ||||||
146 | VAR, 5.500%, 04/19/19 | 147 | ||||||
29 | VAR, 6.500%, 04/19/19 | 29 | ||||||
|
| |||||||
11,596 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
7,880 | Barrington Broadcasting, Tranche 2 Term Loan, VAR, 7.500%, 06/14/17 | 7,932 | ||||||
5,595 | Cengage Learning Acquisitions, Extended Tranche B Term Loan, VAR, 0.068%, 07/05/17 | 4,899 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
16,957 | Cengage Learning Acquisitions, Term Loan, VAR, 2.490%, 07/03/14 | 15,611 | ||||||
57,722 | Clear Channel Communications, Inc., Term Loan B, VAR, 3.881%, 01/29/16 | 44,699 | ||||||
6,578 | Cumulus Media, Term Loan, VAR, 5.750%, 09/17/18 | 6,589 | ||||||
Entercom Radio LLC, Term Loan, | ||||||||
5,660 | VAR, 6.250%, 11/23/18 | 5,702 | ||||||
1,009 | VAR, 6.250%, 11/23/18 | 1,017 | ||||||
4,783 | High Plains Broadcasting Operating Co. LLC, Term Loan, VAR, 9.000%, 09/14/16 | 4,788 | ||||||
2,605 | Hubbard Radio LLC, 1st Lien Term Loan B, VAR, 5.250%, 04/28/17 | 2,609 | ||||||
2,425 | Hubbard Radio LLC, 2nd Lien Term Loan C, VAR, 8.750%, 04/30/18 | 2,449 | ||||||
17,304 | Newport Television LLC, Term Loan, VAR, 9.000%, 09/14/16 | 17,320 | ||||||
3,820 | Newsday, Fixed Rate Term Loan, VAR, 10.500%, 08/01/13 | 3,841 | ||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||
5,389 | VAR, 9.000%, 10/24/14 | 3,098 | ||||||
4,471 | VAR, 9.000%, 10/24/14 | 2,571 | ||||||
1,819 | VAR, 9.000%, 10/24/14 | 1,046 | ||||||
27,203 | Radio One, Term Loan, VAR, 7.500%, 03/31/16 | 27,203 | ||||||
53,592 | Univision Communications, Inc., Existing 1st Lien Term Loan, VAR, 4.481%, 03/31/17 | 51,809 | ||||||
4,482 | Univision Communications, Inc., Existing First Lien Term Loan, VAR, 2.231%, 09/29/14 | 4,452 | ||||||
16,863 | Vertis, Inc., 1st Lien Term Loan, VAR, 14.000%, 12/21/15 (f) (i) | 5,565 | ||||||
|
| |||||||
213,200 | ||||||||
|
| |||||||
Specialty Retail — 0.9% |
| |||||||
Claire’s Stores, Initial Term Loan (A&R), | ||||||||
37,488 | VAR, 2.981%, 05/29/14 | 36,780 | ||||||
16,139 | VAR, 3.197%, 05/29/14 | 15,834 | ||||||
Gymboree, Initial Term Loan (A&R), | ||||||||
35,082 | VAR, 5.000%, 02/23/18 | 33,942 | ||||||
4,716 | VAR, 5.000%, 02/23/18 | 4,563 | ||||||
J. Crew, 1st Lien Term Loan, | ||||||||
7,595 | VAR, 4.750%, 03/07/18 | 7,585 | ||||||
3,788 | VAR, 4.750%, 03/07/18 | 3,783 | ||||||
3,617 | VAR, 4.750%, 03/07/18 | 3,613 | ||||||
|
| |||||||
106,100 | ||||||||
|
| |||||||
Total Consumer Discretionary | 572,442 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
154 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Consumer Staples — 1.0% |
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
15,719 | Rite Aid Corp., 1st Lien Term Loan 5, VAR, 4.500%, 03/03/18 | 15,527 | ||||||
Rite Aid Corp., Tranche 2 Term Loan, | ||||||||
9,936 | VAR, 1.990%, 06/04/14 | 9,805 | ||||||
8,393 | VAR, 1.990%, 06/04/14 | 8,283 | ||||||
10,012 | VAR, 2.000%, 06/04/14 | 9,881 | ||||||
25,220 | SUPERVALU, Inc., Term Loan, VAR, 08/03/18 ^ | 25,209 | ||||||
|
| |||||||
68,705 | ||||||||
|
| |||||||
Food Products — 0.2% |
| |||||||
3,649 | Del Monte Corp., Term Loan, VAR, 4.500%, 03/08/18 | 3,600 | ||||||
High Liner Foods, Inc., Term Loan, | ||||||||
6,056 | VAR, 7.000%, 12/19/17 | 6,049 | ||||||
93 | VAR, 7.000%, 12/19/17 | 92 | ||||||
Pierre Foods, Inc., 1st Lien Term Loan, | ||||||||
10,224 | VAR, 7.000%, 09/30/16 | 10,270 | ||||||
26 | VAR, 7.000%, 09/30/16 | 26 | ||||||
6,160 | Pierre Foods, Inc., 2nd Lien Term Loan, VAR, 11.250%, 09/29/17 | 6,197 | ||||||
|
| |||||||
26,234 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
19,972 | Visant Corp., Tranche B Term Loans, VAR, 5.250%, 12/22/16 | 19,257 | ||||||
|
| |||||||
Total Consumer Staples | 114,196 | |||||||
|
| |||||||
Energy — 0.7% |
| |||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
11,793 | Arch Coal, Term Loan, VAR, 5.750%, 05/16/18 | 11,778 | ||||||
28,500 | Chesapeake Energy, Term Loan, VAR, 8.500%, 12/02/17 | 28,561 | ||||||
15,662 | MEG Energy Corp., Term Loan B, VAR, 4.000%, 03/18/18 | 15,680 | ||||||
22,736 | NGPL PipeCo LLC, Term Loan, VAR, 6.750%, 09/15/17 | 22,793 | ||||||
Patriot Coal, DIP Term Loan, | ||||||||
1,030 | VAR, 9.250%, 10/02/13 | 1,041 | ||||||
2,060 | VAR, 9.250%, 10/02/13 | 2,083 | ||||||
|
| |||||||
Total Energy | 81,936 | |||||||
|
| |||||||
Financials — 0.5% | ||||||||
Capital Markets — 0.1% | ||||||||
16,938 | Pinafore LLC/Pinafore, Inc., Term Loan B1, VAR, 4.250%, 09/29/16 | 16,983 | ||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — 0.2% |
| |||||||
7,065 | International Lease Finance Corp., Term Loan, VAR, 4.750%, 04/12/16 | 7,136 | ||||||
2,700 | Nuveen Investments, Inc., 1st Lien Term Loan, VAR, 7.250%, 05/13/17 | 2,712 | ||||||
17,605 | Ocwen Financial Corp., Term Loan, VAR, 7.000%, 09/01/16 | 17,715 | ||||||
|
| |||||||
27,563 | ||||||||
|
| |||||||
Insurance — 0.0% (g) |
| |||||||
1,807 | CNO Financial Group, Inc., Term Loan B1, VAR, 6.250%, 09/30/16 | 1,811 | ||||||
973 | USI Holdings Corp., Series C, New Term Loan, VAR, 7.000%, 05/05/14 | 974 | ||||||
|
| |||||||
2,785 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
iStar, Term Loan A-1, | ||||||||
8,676 | VAR, 5.000%, 06/28/13 | 8,682 | ||||||
3,839 | VAR, 5.000%, 06/28/13 | 3,842 | ||||||
|
| |||||||
12,524 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
7,615 | Homeward Residential, Inc., Initial Term Loan, VAR, 8.250%, 08/08/17 | 7,625 | ||||||
|
| |||||||
Total Financials | 67,480 | |||||||
|
| |||||||
Health Care — 0.5% |
| |||||||
Health Care Providers & Services — 0.2% |
| |||||||
Community Health Systems, Inc., Extended Term Loan, | ||||||||
945 | VAR, 3.923%, 01/25/17 | 946 | ||||||
25 | VAR, 3.961%, 01/25/17 | 25 | ||||||
Community Health Systems, Inc., Non Extended B-1 Term Loan, | ||||||||
27 | VAR, 2.483%, 07/25/14 | 27 | ||||||
66 | VAR, 2.672%, 07/25/14 | 66 | ||||||
11 | VAR, 2.673%, 07/25/14 | 11 | ||||||
5,423 | HMA, Term Loan B, VAR, 4.500%, 11/16/18 | 5,435 | ||||||
990 | IASIS Healthcare, 1st Lien Term Loan B, VAR, 5.000%, 05/03/18 | 974 | ||||||
7,116 | inVentiv Health, Consolidated Term Loan, VAR, 6.500%, 08/04/16 | 6,621 | ||||||
9,660 | National Mentor Holdings, Inc., Tranche B Term Loans, VAR, 7.000%, 02/09/17 | 9,506 | ||||||
|
| |||||||
23,611 | ||||||||
|
| |||||||
Pharmaceuticals — 0.3% |
| |||||||
17,855 | Aptalis Pharma, Inc., Term B-2 Loan, VAR, 5.500%, 02/10/17 | 17,788 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 155 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Pharmaceuticals — Continued |
| |||||||
Aptalis Pharma, Inc., Term Loan, | ||||||||
18,338 | VAR, 5.500%, 02/10/17 | 18,270 | ||||||
1,977 | VAR, 5.500%, 02/10/17 | 1,970 | ||||||
— | (h) | Catalent Pharma Solutions, Inc., Dollar Term-2 Loan, VAR, 5.250%, 09/15/17 | — | (h) | ||||
|
| |||||||
38,028 | ||||||||
|
| |||||||
Total Health Care | 61,639 | |||||||
|
| |||||||
Industrials — 1.1% | ||||||||
Aerospace & Defense — 0.1% | ||||||||
7,623 | Ducommun, Inc., Term Loan, VAR, 5.500%, 06/28/17 | 7,623 | ||||||
|
| |||||||
Airlines — 0.1% | ||||||||
10,319 | Delta Air Lines, Inc., New Term Loan, VAR, 4.250%, 03/07/16 | 10,165 | ||||||
1,970 | United Airlines, Term Loan B, VAR, 2.250%, 02/01/14 | 1,942 | ||||||
|
| |||||||
12,107 | ||||||||
|
| |||||||
Building Products — 0.1% | ||||||||
Nortek, Inc., 1st Lien Term Loan, | ||||||||
11,745 | VAR, 5.250%, 04/26/17 | 11,833 | ||||||
34 | VAR, 5.250%, 04/26/17 | 34 | ||||||
21 | VAR, 6.250%, 04/26/17 | 22 | ||||||
Roofing Supply Group, Initial Term Loan, | ||||||||
1,183 | VAR, 6.500%, 05/31/19 | 1,188 | ||||||
1,352 | VAR, 6.500%, 05/31/19 | 1,357 | ||||||
33 | VAR, 6.500%, 05/31/19 | 33 | ||||||
|
| |||||||
14,467 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.6% |
| |||||||
4,109 | BakerCorp. International, Term Loan, VAR, 4.750%, 06/01/18 | 4,091 | ||||||
14,165 | Cenveo Corp., Term Loan B, VAR, 6.625%, 12/21/16 | 14,157 | ||||||
Harland Clarke Holdings Corp., Extended Tranche B-2 Term Loan, | ||||||||
2,172 | VAR, 5.482%, 06/30/17 | 1,915 | ||||||
6,082 | VAR, 5.482%, 06/30/17 | 5,362 | ||||||
2,313 | VAR, 5.482%, 06/30/17 | 2,039 | ||||||
1,802 | VAR, 5.482%, 06/30/17 | 1,589 | ||||||
2,130 | VAR, 5.711%, 06/30/17 | 1,878 | ||||||
Harland Clarke Holdings Corp., Non-Extended Tranche B-1 TL, | ||||||||
8,689 | VAR, 2.732%, 06/30/14 | 7,776 | ||||||
3,304 | VAR, 2.732%, 06/30/14 | 2,957 | ||||||
3,103 | VAR, 2.732%, 06/30/14 | 2,777 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — Continued |
| |||||||
2,574 | VAR, 2.732%, 06/30/14 | 2,304 | ||||||
3,042 | VAR, 2.961%, 06/30/14 | 2,723 | ||||||
14,305 | Sourcehov LLC, 1st Lien Term B Loan, VAR, 6.625%, 04/28/17 | 13,715 | ||||||
7,680 | Sourcehov LLC, 2nd Lien Term Loan, VAR, 10.500%, 04/30/18 | 6,656 | ||||||
|
| |||||||
69,939 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
11,053 | BOC Edwards, Extended Term Loan, VAR, 5.500%, 05/31/16 | 11,016 | ||||||
344 | BOC Edwards, New Term Loan, VAR, 5.500%, 05/31/16 | 343 | ||||||
|
| |||||||
11,359 | ||||||||
|
| |||||||
Machinery — 0.1% | ||||||||
6,125 | Intelligrated, Inc., 1st Lien Term Loan, VAR, 6.750%, 07/30/18 | 6,064 | ||||||
4,125 | WireCo WorldGroup, Term Loan, VAR, 6.000%, 02/15/17 | 4,151 | ||||||
|
| |||||||
10,215 | ||||||||
|
| |||||||
Total Industrials | 125,710 | |||||||
|
| |||||||
Information Technology — 1.6% | ||||||||
Communications Equipment — 0.3% | ||||||||
4,667 | Avaya, Inc., Term Loan B-1, VAR, 3.177%, 10/24/14 | 4,481 | ||||||
15,385 | Avaya, Inc., Term Loan B-3 Extending Tranche, VAR, 4.927%, 10/26/17 | 13,747 | ||||||
Syniverse Holdings, Inc., Initial Term Loan, | ||||||||
13,766 | VAR, 5.000%, 04/23/19 | 13,705 | ||||||
35 | VAR, 5.000%, 04/23/19 | 35 | ||||||
|
| |||||||
31,968 | ||||||||
|
| |||||||
Computers & Peripherals — 0.0% (g) | ||||||||
Sealed Air, Term Loan B, | ||||||||
796 | VAR, 4.750%, 10/03/18 | 800 | ||||||
919 | VAR, 4.750%, 10/03/18 | 924 | ||||||
252 | Stratus Technologies, Inc., 2nd Lien, VAR, 5.240%, 06/30/15 | 145 | ||||||
|
| |||||||
1,869 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
10,412 | CDW Corp., Extended Term Loan, VAR, 4.000%, 07/15/17 | 10,284 | ||||||
2,748 | Oberthur Technologies, Facility B3, VAR, 6.252%, 11/30/18 | 2,714 | ||||||
1,430 | Sensus USA, Inc., Term Loan, VAR, 8.500%, 05/09/18 | 1,419 | ||||||
|
| |||||||
14,417 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
156 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Internet Software & Services — 0.2% | ||||||||
21,093 | Go Daddy Group, Inc. (The), Tranche B-1 Term Loan, VAR, 5.500%, 12/17/18 | 20,711 | ||||||
175 | Saber, Inc., Term Loan B Extended, VAR, 5.982%, 09/30/17 | 171 | ||||||
6,698 | Softlayer Technologies, Inc., Term Loan, VAR, 7.250%, 11/09/16 | 6,715 | ||||||
|
| |||||||
27,597 | ||||||||
|
| |||||||
IT Services — 0.4% | ||||||||
13,681 | Ceridian Corp., Extended U.S. Term Loan, VAR, 5.989%, 05/09/17 | 13,675 | ||||||
20,200 | First Data Corp., Extended 2018 Dollar Term Loan, VAR, 4.237%, 03/26/18 | 19,072 | ||||||
3,026 | First Data Corp., Non-Extended B-1 3/12 Term, VAR, 2.987%, 09/24/14 | 2,982 | ||||||
9,037 | First Data Corp., Non-Extended B-3 3/12 Term, VAR, 2.986%, 09/24/14 | 8,908 | ||||||
4,333 | Interactive Data Corp., Term Loan B, VAR, 4.500%, 02/11/18 | 4,340 | ||||||
4,959 | Sitel, Inc., Tranche A Extended U.S. Term Loan, VAR, 7.208%, 01/30/17 (f) (i) | 4,509 | ||||||
|
| |||||||
53,486 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.4% |
| |||||||
23,958 | Freescale Semiconductor, Inc., Tranche B-1 Term Loan, VAR, 4.496%, 12/01/16 | 22,985 | ||||||
8,611 | NXP B.V., Tranche A-2 Loan, VAR, 5.500%, 03/03/17 | 8,713 | ||||||
11,347 | NXP B.V., Tranche B Loan, VAR, 5.250%, 03/19/19 | 11,375 | ||||||
|
| |||||||
43,073 | ||||||||
|
| |||||||
Software — 0.2% |
| |||||||
Attachmate Corp., 1st Lien Term Loan, | ||||||||
5,838 | VAR, 7.250%, 11/22/17 | 5,879 | ||||||
112 | VAR, 7.250%, 11/22/17 | 112 | ||||||
12,755 | Magic Newco, LLC, 1st Lien Term Loan, VAR, 7.250%, 12/12/18 | 12,649 | ||||||
|
| |||||||
18,640 | ||||||||
|
| |||||||
Total Information Technology | 191,050 | |||||||
|
| |||||||
Materials — 0.9% |
| |||||||
Chemicals — 0.5% |
| |||||||
AZ Chem U.S., Inc., Term Loan, | ||||||||
7,013 | VAR, 7.250%, 12/22/17 | 7,060 | ||||||
825 | VAR, 7.250%, 12/22/17 | 831 | ||||||
7,925 | Cristal Inorganic Chemicals (Millennium), 2nd Lien, VAR, 6.211%, 11/15/14 | 7,885 | ||||||
15,890 | Momentive Performance, Tranche B-1B Term Loan, VAR, 3.750%, 05/05/15 | 14,924 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
Nexeo Solutions, Term Loan, | ||||||||
714 | VAR, 5.000%, 09/08/17 | 695 | ||||||
545 | VAR, 5.000%, 09/08/17 | 531 | ||||||
491 | VAR, 5.000%, 09/08/17 | 478 | ||||||
PL Propylene LLC, Term Loan, | ||||||||
8,107 | VAR, 7.000%, 03/27/17 | 8,147 | ||||||
20 | VAR, 7.000%, 03/27/17 | 21 | ||||||
20 | VAR, 7.000%, 03/27/17 | 20 | ||||||
PolyOne, Term Loan B, | ||||||||
8,113 | VAR, 5.000%, 12/20/17 | 8,137 | ||||||
96 | VAR, 5.000%, 12/20/17 | 96 | ||||||
18,160 | Trinseo, 1st Lien Term Loan, VAR, 8.000%, 08/02/17 | 16,911 | ||||||
|
| |||||||
65,736 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
6,244 | Road Infrastructure Investment LLC, Term Loan, VAR, 6.250%, 03/30/18 | 6,213 | ||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
BWAY Holding Co., Replacement Term Loan B, | ||||||||
550 | VAR, 4.500%, 02/23/18 | 550 | ||||||
33 | VAR, 4.500%, 02/23/18 | 33 | ||||||
BWAY Holding Co., Replacement Term Loan C, | ||||||||
52 | VAR, 4.500%, 02/23/18 | 52 | ||||||
7 | VAR, 4.500%, 02/23/18 | 7 | ||||||
Reynolds Group Holdings, 2011 TR. C Term Loan, | ||||||||
13,196 | VAR, 6.500%, 08/09/18 | 13,363 | ||||||
34 | VAR, 6.500%, 08/09/18 | 34 | ||||||
Reynolds Group Holdings, TR. B Term Loan, | ||||||||
5,813 | VAR, 6.500%, 02/09/18 | 5,846 | ||||||
5,162 | VAR, 6.500%, 02/09/18 | 5,192 | ||||||
3,007 | VAR, 6.500%, 02/09/18 | 3,024 | ||||||
15 | VAR, 6.500%, 02/09/18 | 15 | ||||||
13 | VAR, 6.501%, 02/09/18 | 13 | ||||||
8 | VAR, 6.501%, 02/09/18 | 8 | ||||||
|
| |||||||
28,137 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
4,545 | Noranda Aluminum, Term B Loan, VAR, 5.750%, 02/28/19 | 4,564 | ||||||
2,466 | Novelis, Inc., Term Loan, VAR, 4.000%, 03/10/17 | 2,451 | ||||||
|
| |||||||
7,015 | ||||||||
|
| |||||||
Total Materials | 107,101 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 157 |
Table of Contents
JPMorgan High Yield Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Loan Participations & Assignments — Continued |
| ||||||
Telecommunication Services — 0.2% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
12,800 | Level 3 Communications, Inc., Tranche B II Term Loans, VAR, 5.750%, 09/01/18 | 12,834 | ||||||
5,000 | Level 3 Financing, Inc., Term Loan B3, VAR, 5.750%, 09/01/18 | 5,013 | ||||||
9,500 | Zayo Group, Term Loan, VAR, 7.125%, 07/02/19 | 9,640 | ||||||
|
| |||||||
Total Telecommunication Services | 27,487 | |||||||
|
| |||||||
Utilities — 0.8% |
| |||||||
Independent Power Producers & Energy Traders — 0.8% |
| |||||||
7,042 | Dynegy Midwest Gen (Coal Co.), Term Loan, VAR, 9.250%, 08/05/16 | 7,304 | ||||||
19,855 | Dynegy Power LLC (Gas Co.), Term Loan, VAR, 9.250%, 08/05/16 | 20,784 | ||||||
Texas Competitive Electric, Extended Term Loan, | ||||||||
40,920 | VAR, 4.741%, 10/10/17 | 27,738 | ||||||
6,575 | VAR, 4.938%, 10/10/17 | 4,457 | ||||||
Texas Competitive Electric, Non-Extended Term Loan, | ||||||||
39,631 | VAR, 3.741%, 10/10/14 | 29,016 | ||||||
6,368 | VAR, 3.938%, 10/10/14 | 4,662 | ||||||
4,521 | TPF Generation Holdings LLC, Term Commitment, VAR, 4.711%, 12/15/14 | 4,425 | ||||||
|
| |||||||
Total Utilities | 98,386 | |||||||
|
| |||||||
Total Loan Participations & Assignments | 1,447,427 | |||||||
|
|
NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrants — 0.1% |
| ||||||
Consumer Discretionary — 0.1% |
| |||||||
Automobiles — 0.1% |
| |||||||
General Motors Co., | ||||||||
763 | expiring 7/10/16 (Strike Price $10.00) (a) | 9,547 | ||||||
763 | expiring 7/10/19 (Strike Price $18.33) (a) | 5,765 | ||||||
|
| |||||||
15,312 | ||||||||
|
| |||||||
Specialty Retail — 0.0% (g) |
| |||||||
164 | Neebo, Inc., expiring 6/20/2019 | — | ||||||
|
| |||||||
Total Consumer Discretionary | 15,312 | |||||||
|
| |||||||
Industrials — 0.0% (g) | ||||||||
Marine — 0.0% (g) | ||||||||
23 | General Maritime Corp., expiring 05/17/17 (Strike Price $1.00) (a) (f) (i) | — | ||||||
|
| |||||||
Total Warrants | 15,312 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investments — 5.4% |
| ||||||
Investment Companies — 5.4% |
| |||||||
637,042 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 637,042 | ||||||
15,004 | JPMorgan U.S. Government Money Market Fund, Capital Shares, 0.010% (b) (l) | 15,004 | ||||||
|
| |||||||
Total Short-Term Investments | 652,046 | |||||||
|
| |||||||
Total Investments — 96.8% | 11,620,819 | |||||||
Other Assets in Excess of | 381,362 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,002,181 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
158 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Credit Default Swaps — Sell Protection [1]
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | FUND RECEIVES FIXED RATE (r) | TERMINATION DATE | IMPLIED CREDIT SPREAD AS OF 08/31/12 [2] | NOTIONAL AMOUNT [3] | VALUE | UPFRONT PREMIUMS (PAID)/ RECEIVED [4] | ||||||||||||||
Barclays Bank plc: | ||||||||||||||||||||
Supervalu, Inc., 8.000%, 05/01/16 | 5.000% quarterly | 09/20/15 | 10.715 | % | $ | 5,000 | $ | (655 | ) | $ | 833 |
[1] | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an 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 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. |
[3] | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
[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.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 159 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 2.6% |
| ||||||
706 | AH Mortgage Advance Trust, (Cayman Islands), Series SART-3, Class 1A1, 2.980%, 03/13/43 (e) | 711 | ||||||
Ally Auto Receivables Trust, | ||||||||
98 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 99 | ||||||
123 | Series 2010-4, Class A3, 0.910%, 11/17/14 | 123 | ||||||
750 | Series 2010-4, Class A4, 1.350%, 12/15/15 | 760 | ||||||
992 | Series 2011-3, Class A3, 0.970%, 08/17/15 | 997 | ||||||
1,053 | Series 2011-4, Class A4, 1.140%, 06/15/16 | 1,066 | ||||||
889 | Series 2012-1, Class A4, 1.210%, 07/15/16 | 905 | ||||||
829 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 834 | ||||||
693 | Series 2012-3, Class A3, 0.850%, 08/15/16 | 698 | ||||||
795 | Series 2012-4, Class A3, 0.590%, 01/17/17 | 797 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
652 | Series 2011-3, Class A3, 1.170%, 01/08/16 | 655 | ||||||
1,992 | Series 2011-5, Class A3, 1.550%, 07/08/16 | 2,024 | ||||||
471 | Series 2012-1, Class A3, 1.230%, 09/08/16 | 476 | ||||||
Bank of America Auto Trust, | ||||||||
16 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 16 | ||||||
589 | Series 2012-1, Class A3, 0.780%, 06/15/16 | 592 | ||||||
192 | Chrysler Financial Auto Securitization Trust, Series 2010-A, Class A3, 0.910%, 08/08/13 | 192 | ||||||
CNH Equipment Trust, | ||||||||
1,122 | Series 2011-A, Class A3, 1.200%, 05/16/16 | 1,129 | ||||||
1,001 | Series 2011-B, Class A3, 0.910%, 08/15/16 | 1,004 | ||||||
493 | Series 2012-A, Class A3, 0.940%, 05/15/17 | 497 | ||||||
565 | Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 568 | ||||||
251 | CS First Boston Mortgage Securities Corp., Series 2004-CF2, Class 1A2, SUB, 5.150%, 01/25/43 (e) | 246 | ||||||
407 | Discover Card Master Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17 | 410 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
724 | Series 2011-B, Class A3, 0.840%, 06/15/15 | 727 | ||||||
1,052 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 1,058 | ||||||
700 | Series 2012-B, Class A3, 0.720%, 12/15/16 | 703 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
310 | Series 2011-1, Class A4, 1.800%, 04/17/17 | 316 | ||||||
337 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 341 | ||||||
413 | Series 2012-2, Class A3, 0.700%, 02/16/16 | 416 | ||||||
Huntington Auto Trust, | ||||||||
2,000 | Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 2,032 | ||||||
385 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 387 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Hyundai Auto Receivables Trust, | ||||||||
185 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 189 | ||||||
810 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 828 | ||||||
John Deere Owner Trust, | ||||||||
490 | Series 2011-A, Class A3, 1.290%, 01/15/16 | 493 | ||||||
957 | Series 2012-A, Class A3, 0.750%, 03/15/16 | 961 | ||||||
741 | Series 2012-B, Class A3, 0.530%, 07/15/16 | 741 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
6 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 6 | ||||||
682 | Series 2011-1, Class A3, 0.850%, 03/16/15 | 684 | ||||||
916 | Nissan Auto Receivables Owner Trust, Series 2012-A, Class A4, 1.000%, 07/16/18 | 934 | ||||||
2,718 | Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.861%, 10/25/34 | 2,587 | ||||||
900 | RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.536%, 03/25/36 | 789 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
752 | Series 2011-S2A, Class D, 3.350%, 06/15/17 (e) | 754 | ||||||
822 | Series 2012-1, Class A3, 1.490%, 10/15/15 | 832 | ||||||
357 | Series 2012-2, Class A2, 0.910%, 05/15/15 | 358 | ||||||
132 | Series 2012-3, Class A3, 1.080%, 04/15/16 | 133 | ||||||
480 | Series 2012-5, Class A3, 0.830%, 12/15/16 | 482 | ||||||
682 | Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33 | 682 | ||||||
339 | SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e) | 340 | ||||||
204 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.506%, 06/25/35 | 202 | ||||||
1,373 | Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.639%, 10/15/15 (e) | 1,395 | ||||||
1,276 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 1,284 | ||||||
|
| |||||||
Total Asset-Backed Securities | 35,453 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 31.8% |
| ||||||
Agency CMO — 30.7% |
| |||||||
328 | Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15 | 353 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
76 | Series 1578, Class K, 6.900%, 09/15/23 | 87 | ||||||
421 | Series 2110, Class PG, 6.000%, 01/15/29 | 452 | ||||||
80 | Series 2355, Class BP, 6.000%, 09/15/16 | 85 | ||||||
138 | Series 2391, Class QR, 5.500%, 12/15/16 | 146 | ||||||
100 | Series 2427, Class LW, 6.000%, 03/15/17 | 107 | ||||||
98 | Series 2436, Class MC, 7.000%, 04/15/32 | 114 | ||||||
129 | Series 2441, Class GF, 6.500%, 04/15/32 | 149 |
SEE NOTES TO FINANCIAL STATEMENTS.
160 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
199 | Series 2505, Class D, 5.500%, 09/15/32 | 230 | ||||||
179 | Series 2525, Class AM, 4.500%, 04/15/32 | 205 | ||||||
452 | Series 2544, Class KE, 5.500%, 12/15/32 | 512 | ||||||
806 | Series 2557, Class HL, 5.300%, 01/15/33 | 892 | ||||||
80 | Series 2558, Class BD, 5.000%, 01/15/18 | 85 | ||||||
406 | Series 2564, Class NK, 5.000%, 02/15/18 | 436 | ||||||
431 | Series 2575, Class PE, 5.500%, 02/15/33 | 479 | ||||||
800 | Series 2586, Class WG, 4.000%, 03/15/33 | 894 | ||||||
53 | Series 2594, Class JB, 4.500%, 04/15/18 | 56 | ||||||
400 | Series 2594, Class VU, 5.500%, 03/15/21 | 415 | ||||||
98 | Series 2595, Class HJ, 5.000%, 03/15/23 | 106 | ||||||
1,000 | Series 2596, Class QD, 4.000%, 03/15/33 | 1,078 | ||||||
103 | Series 2602, Class BD, 4.000%, 12/15/22 | 106 | ||||||
1,272 | Series 2611, Class KH, 5.000%, 05/15/18 | 1,368 | ||||||
885 | Series 2621, Class QH, 5.000%, 05/15/33 | 1,000 | ||||||
1,090 | Series 2624, Class QH, 5.000%, 06/15/33 | 1,224 | ||||||
1,807 | Series 2626, Class JC, 5.000%, 06/15/23 | 2,097 | ||||||
2,180 | Series 2632, Class AB, 4.500%, 06/15/18 | 2,417 | ||||||
110 | Series 2648, Class BK, 5.000%, 07/15/33 | 115 | ||||||
132 | Series 2649, Class PJ, 3.500%, 06/15/33 | 138 | ||||||
152 | Series 2649, Class QH, 4.500%, 07/15/18 | 162 | ||||||
227 | Series 2649, Class WB, 3.500%, 07/15/23 | 249 | ||||||
2,100 | Series 2685, Class DT, 5.000%, 10/15/23 | 2,398 | ||||||
12 | Series 2685, Class MB, 4.000%, 03/15/17 | 12 | ||||||
350 | Series 2687, Class JH, 5.000%, 10/15/23 | 405 | ||||||
331 | Series 2692, Class QD, 5.000%, 12/15/22 | 348 | ||||||
272 | Series 2696, Class DG, 5.500%, 10/15/33 | 321 | ||||||
83 | Series 2698, Class PG, 5.000%, 06/15/32 | 86 | ||||||
500 | Series 2699, Class TC, 4.000%, 11/15/18 | 534 | ||||||
4,936 | Series 2701, Class AC, 5.000%, 11/15/23 | 5,464 | ||||||
57 | Series 2707, Class KJ, 5.000%, 11/15/18 | 61 | ||||||
147 | Series 2709, Class PE, 5.000%, 12/15/22 | 155 | ||||||
130 | Series 2725, Class TA, 4.500%, 12/15/33 | 152 | ||||||
1,380 | Series 2733, Class ME, 5.000%, 01/15/34 | 1,557 | ||||||
275 | Series 2744, Class TU, 5.500%, 05/15/32 | 293 | ||||||
93 | Series 2750, Class JB, 4.500%, 02/15/19 | 98 | ||||||
1,000 | Series 2752, Class JB, 4.500%, 02/15/19 | 1,090 | ||||||
327 | Series 2760, Class KT, 4.500%, 09/15/32 | 344 | ||||||
367 | Series 2764, Class TE, 5.000%, 10/15/32 | 383 | ||||||
1,390 | Series 2764, Class UE, 5.000%, 10/15/32 | 1,481 | ||||||
1,075 | Series 2768, Class PK, 5.000%, 03/15/34 | 1,155 | ||||||
385 | Series 2770, Class EV, 4.500%, 09/15/28 | 416 | ||||||
400 | Series 2772, Class VG, 5.000%, 11/15/22 | 419 | ||||||
150 | Series 2773, Class OC, 5.000%, 04/15/19 | 172 | ||||||
23 | Series 2783, Class AB, 4.000%, 10/15/17 | 23 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
22 | Series 2788, Class DA, 5.000%, 10/15/22 | 22 | ||||||
1,967 | Series 2804, Class AM, 5.000%, 03/15/34 | 2,141 | ||||||
342 | Series 2827, Class TE, 5.000%, 04/15/33 | 359 | ||||||
510 | Series 2828, Class JE, 4.500%, 07/15/19 | 548 | ||||||
100 | Series 2843, Class BC, 5.000%, 08/15/19 | 109 | ||||||
6,700 | Series 2852, Class NY, 5.000%, 09/15/33 | 7,219 | ||||||
635 | Series 2864, Class NB, 5.500%, 07/15/33 | 714 | ||||||
584 | Series 2875, Class HB, 4.000%, 10/15/19 | 636 | ||||||
94 | Series 2886, Class HE, 5.000%, 01/15/33 | 96 | ||||||
254 | Series 2888, Class CG, 5.000%, 08/15/33 | 267 | ||||||
390 | Series 2890, Class PD, 5.000%, 03/15/33 | 402 | ||||||
171 | Series 2891, Class LD, 5.000%, 08/15/33 | 178 | ||||||
700 | Series 2896, Class VB, 5.000%, 12/15/25 | 747 | ||||||
179 | Series 2898, Class PE, 5.000%, 05/15/33 | 186 | ||||||
850 | Series 2899, Class HB, 4.000%, 12/15/19 | 942 | ||||||
196 | Series 2899, Class KB, 4.500%, 03/15/19 | 200 | ||||||
474 | Series 2904, Class PD, 5.500%, 03/15/33 | 487 | ||||||
500 | Series 2910, Class BE, 4.500%, 12/15/19 | 544 | ||||||
383 | Series 2920, Class KT, 4.500%, 01/15/20 | 425 | ||||||
53 | Series 2921, Class MD, 5.000%, 06/15/33 | 55 | ||||||
285 | Series 2928, Class NE, 5.000%, 04/15/33 | 292 | ||||||
500 | Series 2929, Class KG, 4.500%, 02/15/20 | 548 | ||||||
1,000 | Series 2934, Class KG, 5.000%, 02/15/35 | 1,146 | ||||||
122 | Series 2948, Class YD, 5.500%, 08/15/33 | 126 | ||||||
1,000 | Series 2957, Class VW, 5.000%, 08/15/24 | 1,083 | ||||||
1,000 | Series 2958, Class ME, 5.500%, 10/15/33 | 1,044 | ||||||
63 | Series 2966, Class XD, 5.500%, 09/15/33 | 65 | ||||||
520 | Series 2968, Class MD, 5.500%, 12/15/33 | 556 | ||||||
500 | Series 2981, Class BC, 4.500%, 05/15/20 | 551 | ||||||
8,500 | Series 2987, Class KG, 5.000%, 12/15/34 | 8,961 | ||||||
180 | Series 2988, Class TY, 5.500%, 06/15/25 (m) | 200 | ||||||
4,249 | Series 2989, Class TG, 5.000%, 06/15/25 | 4,647 | ||||||
259 | Series 2993, Class PM, 4.500%, 05/15/35 | 271 | ||||||
251 | Series 3004, Class HK, 5.500%, 07/15/35 | 263 | ||||||
171 | Series 3017, Class MK, 5.000%, 12/15/34 | 182 | ||||||
541 | Series 3028, Class ME, 5.000%, 02/15/34 (m) | 587 | ||||||
502 | Series 3036, Class TE, 5.500%, 12/15/34 | 538 | ||||||
2,770 | Series 3037, Class ND, 5.000%, 01/15/34 | 2,935 | ||||||
425 | Series 3057, Class LD, 5.000%, 07/15/31 | 428 | ||||||
449 | Series 3057, Class PE, 5.500%, 11/15/34 | 488 | ||||||
1,000 | Series 3059, Class CE, 5.000%, 02/15/34 | 1,057 | ||||||
25 | Series 3059, Class PC, 5.500%, 01/15/32 | 25 | ||||||
4,000 | Series 3062, Class HE, 5.000%, 01/15/34 | 4,261 | ||||||
1,000 | Series 3067, Class PK, 5.500%, 05/15/34 | 1,050 | ||||||
129 | Series 3077, Class TO, PO, 04/15/35 | 124 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 161 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
500 | Series 3078, Class PD, 5.500%, 07/15/34 | 533 | ||||||
151 | Series 3080, Class VB, 5.000%, 06/15/25 | 164 | ||||||
222 | Series 3082, Class PW, 5.500%, 12/15/35 | 257 | ||||||
4,500 | Series 3084, Class BH, 5.500%, 12/15/35 | 5,287 | ||||||
60 | Series 3087, Class JB, 5.500%, 03/15/24 | 61 | ||||||
486 | Series 3087, Class KX, 5.500%, 12/15/25 | 541 | ||||||
218 | Series 3095, Class GB, 5.000%, 04/15/24 | 223 | ||||||
114 | Series 3098, Class KE, 5.500%, 09/15/34 | 119 | ||||||
3,601 | Series 3098, Class KG, 5.500%, 01/15/36 | 4,314 | ||||||
3,800 | Series 3102, Class CE, 5.500%, 01/15/26 | 4,396 | ||||||
17 | Series 3115, Class MB, 5.500%, 12/15/20 | 17 | ||||||
5,500 | Series 3117, Class PL, 5.000%, 08/15/34 | 5,812 | ||||||
226 | Series 3121, Class JD, 5.500%, 03/15/26 | 251 | ||||||
495 | Series 3123, Class HT, 5.000%, 03/15/26 | 558 | ||||||
1,714 | Series 3128, Class BE, 5.000%, 05/15/33 | 1,785 | ||||||
404 | Series 3130, Class QD, 5.500%, 07/15/34 | 416 | ||||||
323 | Series 3135, Class JC, 6.000%, 08/15/33 | 332 | ||||||
424 | Series 3136, Class CO, PO, 04/15/36 | 393 | ||||||
455 | Series 3145, Class AJ, 5.500%, 04/15/36 | 501 | ||||||
6 | Series 3147, Class YE, 5.500%, 07/15/24 | 6 | ||||||
1,320 | Series 3150, Class EQ, 5.000%, 05/15/26 | 1,507 | ||||||
72 | Series 3151, Class PD, 6.000%, 11/15/34 | 74 | ||||||
34 | Series 3164, Class QV, 6.500%, 03/15/17 | 35 | ||||||
1,228 | Series 3165, Class JD, 5.500%, 08/15/34 | 1,283 | ||||||
212 | Series 3165, Class ND, 5.500%, 10/15/34 | 217 | ||||||
863 | Series 3184, Class PD, 5.500%, 07/15/34 | 881 | ||||||
547 | Series 3200, Class PO, PO, 08/15/36 | 528 | ||||||
568 | Series 3204, Class NV, 5.000%, 08/15/17 | 611 | ||||||
1,500 | Series 3219, Class PD, 6.000%, 11/15/35 | 1,662 | ||||||
120 | Series 3261, Class MA, 5.500%, 01/15/17 | 122 | ||||||
455 | Series 3270, Class AT, 5.500%, 01/15/37 | 523 | ||||||
695 | Series 3271, Class PB, 6.000%, 12/15/35 | 756 | ||||||
70 | Series 3272, Class PA, 6.000%, 02/15/37 | 78 | ||||||
2,000 | Series 3289, Class ND, 5.500%, 06/15/35 | 2,113 | ||||||
7,400 | Series 3294, Class DB, 4.500%, 03/15/22 | 8,138 | ||||||
216 | Series 3312, Class LB, 5.500%, 11/15/25 | 225 | ||||||
508 | Series 3334, Class CD, 6.000%, 07/15/34 | 518 | ||||||
392 | Series 3337, Class MD, 5.500%, 06/15/27 | 436 | ||||||
413 | Series 3348, Class HT, 6.000%, 07/15/37 | 474 | ||||||
2,365 | Series 3349, Class HE, 5.500%, 07/15/36 | 2,603 | ||||||
100 | Series 3372, Class BD, 4.500%, 10/15/22 | 111 | ||||||
195 | Series 3414, Class A, 4.500%, 07/15/22 | 204 | ||||||
485 | Series 3476, Class VB, 5.500%, 02/15/27 | 503 | ||||||
350 | Series 3493, Class LA, 4.000%, 10/15/23 | 387 | ||||||
166 | Series 3508, Class PK, 4.000%, 02/15/39 | 176 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
190 | Series 3513, Class A, 4.500%, 02/15/39 | 208 | ||||||
545 | Series 3521, Class B, 4.000%, 04/15/24 | 583 | ||||||
250 | Series 3544, Class BC, 4.000%, 06/15/24 | 273 | ||||||
5,262 | Series 3546, Class NB, 4.000%, 06/15/24 | 5,827 | ||||||
5,000 | Series 3562, Class JC, 4.000%, 08/15/24 | 5,450 | ||||||
5,000 | Series 3563, Class BD, 4.000%, 08/15/24 | 5,465 | ||||||
175 | Series 3563, Class LB, 4.000%, 08/15/29 | 188 | ||||||
265 | Series 3571, Class MY, 4.000%, 09/15/24 | 297 | ||||||
3,000 | Series 3575, Class EB, 4.000%, 09/15/24 | 3,298 | ||||||
5,000 | Series 3577, Class B, 4.000%, 09/15/24 | 5,537 | ||||||
800 | Series 3578, Class KB, 4.000%, 09/15/24 | 875 | ||||||
407 | Series 3593, Class PC, 5.000%, 05/15/38 | 443 | ||||||
3,053 | Series 3605, Class NB, 5.500%, 06/15/37 | 3,318 | ||||||
172 | Series 3652, Class A, 4.500%, 11/15/24 | 180 | ||||||
530 | Series 3653, Class B, 4.500%, 04/15/30 | 595 | ||||||
6,470 | Series 3653, Class HJ, 5.000%, 04/15/40 | 7,057 | ||||||
135 | Series 3659, Class BD, 5.000%, 01/15/37 | 147 | ||||||
530 | Series 3659, Class VG, 5.000%, 09/15/34 | 624 | ||||||
1,185 | Series 3677, Class KB, 4.500%, 05/15/40 | 1,337 | ||||||
3,100 | Series 3677, Class PB, 4.500%, 05/15/40 | 3,458 | ||||||
201 | Series 3688, Class GT, VAR, 7.160%, 11/15/46 | 227 | ||||||
260 | Series 3715, Class PC, 4.500%, 08/15/40 | 295 | ||||||
899 | Series 3730, Class PL, 4.500%, 01/15/33 | 920 | ||||||
2,905 | Series 3740, Class BP, 4.500%, 04/15/38 | 3,093 | ||||||
832 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 95 | ||||||
1,721 | Series 3747, Class PA, 4.000%, 04/15/38 | 1,841 | ||||||
379 | Series 3755, Class ML, 5.500%, 06/15/29 | 410 | ||||||
1,275 | Series 3794, Class LB, 3.500%, 01/15/26 | 1,387 | ||||||
2,901 | Series 3797, Class PA, 4.500%, 08/15/39 | 3,069 | ||||||
4,136 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 4,843 | ||||||
1,586 | Series 3852, Class TP, IF, 5.500%, 05/15/41 | 1,761 | ||||||
2,800 | Series 3874, Class DW, 3.500%, 06/15/21 | 3,075 | ||||||
1,600 | Series 3885, Class AC, 4.000%, 06/15/26 | 1,773 | ||||||
998 | Series 4085, Class FB, VAR, 0.640%, 01/15/39 | 998 | ||||||
2,496 | Federal Home Loan Mortgage Corp. STRIPS, Series 262, Class 35, 3.500%, 07/15/42 | 2,662 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
1,732 | Series 2011-M2, Class A2, 3.645%, 07/25/21 | 1,920 | ||||||
3,447 | Series 2011-M4, Class A1, 2.548%, 06/25/21 | 3,641 | ||||||
884 | Series 2012-M8, Class ASQ2, 1.520%, 12/25/19 | 900 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
712 | Series 1997-57, Class PN, 5.000%, 09/18/27 | 781 |
SEE NOTES TO FINANCIAL STATEMENTS.
162 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
418 | Series 1999-51, Class PH, 6.000%, 10/25/29 | 446 | ||||||
436 | Series 2001-63, Class TC, 6.000%, 12/25/31 | 490 | ||||||
943 | Series 2001-81, Class HE, 6.500%, 01/25/32 | 1,071 | ||||||
49 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 53 | ||||||
1,037 | Series 2002-75, Class GB, 5.500%, 11/25/32 | 1,183 | ||||||
290 | Series 2002-85, Class PE, 5.500%, 12/25/32 | 322 | ||||||
300 | Series 2003-5, Class EQ, 5.500%, 02/25/23 | 342 | ||||||
281 | Series 2003-21, Class OU, 5.500%, 03/25/33 (m) | 312 | ||||||
58 | Series 2003-22, Class UH, 4.000%, 12/25/32 | 60 | ||||||
270 | Series 2003-23, Class CH, 5.000%, 04/25/33 | 296 | ||||||
800 | Series 2003-26, Class EB, 3.500%, 04/25/33 | 844 | ||||||
25 | Series 2003-28, Class KA, 4.250%, 03/25/22 | 25 | ||||||
33 | Series 2003-32, Class BW, 5.500%, 03/25/32 | 34 | ||||||
925 | Series 2003-41, Class BK, 5.000%, 05/25/18 | 1,019 | ||||||
400 | Series 2003-48, Class TC, 5.000%, 06/25/23 | 449 | ||||||
478 | Series 2003-55, Class HY, 5.000%, 06/25/23 | 528 | ||||||
913 | Series 2003-63, Class YB, 5.000%, 07/25/33 | 1,006 | ||||||
236 | Series 2003-64, Class VC, 5.000%, 03/25/16 | 239 | ||||||
1,095 | Series 2003-69, Class N, 5.000%, 07/25/33 | 1,202 | ||||||
230 | Series 2003-80, Class QG, 5.000%, 08/25/33 | 266 | ||||||
24 | Series 2003-81, Class CB, 4.750%, 09/25/18 | 25 | ||||||
600 | Series 2003-84, Class GE, 4.500%, 09/25/18 | 645 | ||||||
1,194 | Series 2003-84, Class PG, 5.000%, 03/25/32 | 1,244 | ||||||
180 | Series 2003-85, Class QD, 5.500%, 09/25/33 | 218 | ||||||
1,154 | Series 2003-86, Class VH, 5.500%, 04/25/22 | 1,227 | ||||||
177 | Series 2003-87, Class TJ, 4.500%, 09/25/18 | 188 | ||||||
275 | Series 2003-94, Class CE, 5.000%, 10/25/33 | 294 | ||||||
25 | Series 2003-109, Class BT, 4.500%, 08/25/22 | 26 | ||||||
80 | Series 2003-113, Class KA, 4.500%, 11/25/18 | 82 | ||||||
5,000 | Series 2003-129, Class ME, 5.000%, 08/25/23 | 5,343 | ||||||
72 | Series 2003-131, Class CG, 5.500%, 05/25/33 | 75 | ||||||
590 | Series 2003-134, Class MH, 5.000%, 06/25/33 | 626 | ||||||
12 | Series 2004-30, Class CK, 4.500%, 05/25/19 | 12 | ||||||
1,000 | Series 2004-44, Class KT, 6.000%, 06/25/24 | 1,178 | ||||||
650 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 720 | ||||||
1,596 | Series 2004-70, Class EB, 5.000%, 10/25/24 | 1,749 | ||||||
116 | Series 2004-81, Class HA, 4.250%, 10/25/24 | 121 | ||||||
2 | Series 2004-89, Class MA, 4.250%, 09/25/24 | 2 | ||||||
212 | Series 2004-91, Class VL, 5.000%, 05/25/23 | 224 | ||||||
1,332 | Series 2005-5, Class CK, 5.000%, 01/25/35 | 1,484 | ||||||
7,593 | Series 2005-22, Class HE, 5.000%, 10/25/33 | 8,000 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
85 | Series 2005-28, Class BC, 5.000%, 03/25/31 | 86 | ||||||
3,669 | Series 2005-29, Class WC, 4.750%, 04/25/35 | 4,000 | ||||||
1,400 | Series 2005-33, Class QD, 5.000%, 01/25/34 | 1,493 | ||||||
9,225 | Series 2005-44, Class PE, 5.000%, 07/25/33 | 9,670 | ||||||
941 | Series 2005-46, Class CE, 5.000%, 03/25/24 | 973 | ||||||
100 | Series 2005-48, Class TD, 5.500%, 06/25/35 | 120 | ||||||
807 | Series 2005-51, Class ND, 5.500%, 11/25/33 | 840 | ||||||
1,000 | Series 2005-53, Class MJ, 5.500%, 06/25/35 | 1,200 | ||||||
349 | Series 2005-58, Class EP, 5.500%, 07/25/35 | 392 | ||||||
191 | Series 2005-62, Class CP, 4.750%, 07/25/35 | 211 | ||||||
125 | Series 2005-68, Class BE, 5.250%, 08/25/35 | 146 | ||||||
840 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 955 | ||||||
336 | Series 2005-84, Class TK, 5.250%, 09/25/35 | 343 | ||||||
718 | Series 2005-86, Class AX, 5.500%, 10/25/35 | 763 | ||||||
690 | Series 2005-86, Class WD, 5.000%, 03/25/34 | 737 | ||||||
127 | Series 2005-91, Class DA, 4.500%, 10/25/20 | 130 | ||||||
201 | Series 2005-99, Class AE, 5.500%, 12/25/35 | 218 | ||||||
580 | Series 2005-101, Class ND, 5.000%, 06/25/34 | 606 | ||||||
1,375 | Series 2005-102, Class PG, 5.000%, 11/25/35 | 1,578 | ||||||
267 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 272 | ||||||
150 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 183 | ||||||
124 | Series 2005-110, Class MB, 5.500%, 09/25/35 | 136 | ||||||
100 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 109 | ||||||
280 | Series 2005-121, Class V, 4.500%, 06/25/29 | 296 | ||||||
98 | Series 2006-4, Class MB, 6.000%, 01/25/31 | 99 | ||||||
950 | Series 2006-7, Class TD, 6.000%, 04/25/35 | 1,049 | ||||||
1,085 | Series 2006-22, Class CE, 4.500%, 08/25/23 | 1,206 | ||||||
173 | Series 2006-30, Class GA, 5.500%, 07/25/20 | 182 | ||||||
500 | Series 2006-41, Class MC, 5.500%, 07/25/35 | 537 | ||||||
5,000 | Series 2006-44, Class OG, 5.500%, 12/25/34 | 5,324 | ||||||
1,695 | Series 2006-45, Class NW, 5.500%, 01/25/35 | 1,826 | ||||||
464 | Series 2006-49, Class PA, 6.000%, 06/25/36 | 522 | ||||||
5,000 | Series 2006-53, Class CM, 5.000%, 01/25/35 | 5,260 | ||||||
832 | Series 2006-56, Class PF, VAR, 0.585%, 07/25/36 | 836 | ||||||
1,135 | Series 2006-57, Class PD, 5.500%, 01/25/35 | 1,217 | ||||||
233 | Series 2006-63, Class QE, 5.500%, 11/25/32 | 236 | ||||||
1,735 | Series 2006-65, Class TE, 5.500%, 05/25/35 | 1,887 | ||||||
89 | Series 2006-112, Class QA, 5.500%, 03/25/33 | 90 | ||||||
17 | Series 2006-129, Class PB, 5.500%, 04/25/32 | 17 | ||||||
179 | Series 2007-33, Class HE, 5.500%, 04/25/37 | 200 | ||||||
6,852 | Series 2007-63, Class PC, 5.500%, 07/25/36 | 7,327 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 163 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
139 | Series 2007-65, Class KI, IF, IO, 6.384%, 07/25/37 | 19 | ||||||
339 | Series 2007-68, Class KA, 6.000%, 12/25/33 | 354 | ||||||
1,000 | Series 2007-68, Class PB, 5.500%, 06/25/36 | 1,055 | ||||||
1,500 | Series 2007-71, Class GB, 6.000%, 07/25/37 | 1,711 | ||||||
1,007 | Series 2007-71, Class KP, 5.500%, 07/25/37 | 1,119 | ||||||
422 | Series 2007-75, Class VA, 5.000%, 08/25/18 | 429 | ||||||
7,200 | Series 2007-76, Class PK, 6.000%, 06/25/36 | 7,697 | ||||||
631 | Series 2007-77, Class TC, 5.500%, 09/25/34 | 650 | ||||||
452 | Series 2007-77, Class TD, 5.500%, 01/25/36 | 495 | ||||||
2,741 | Series 2007-80, Class PB, 5.500%, 05/25/34 | 2,812 | ||||||
288 | Series 2007-113, Class DB, 4.500%, 12/25/22 | 323 | ||||||
600 | Series 2008-65, Class CD, 4.500%, 08/25/23 | 656 | ||||||
2,115 | Series 2008-68, Class VB, 6.000%, 03/25/27 | 2,244 | ||||||
207 | Series 2008-68, Class VJ, 5.500%, 07/25/19 | 218 | ||||||
825 | Series 2008-68, Class VK, 5.500%, 03/25/27 | 898 | ||||||
2,820 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 2,981 | ||||||
4,500 | Series 2008-70, Class BY, 4.000%, 08/25/23 | 4,901 | ||||||
82 | Series 2008-74, Class B, 5.500%, 09/25/38 | 91 | ||||||
65 | Series 2008-89, Class AH, 4.500%, 11/25/34 | 66 | ||||||
163 | Series 2009-20, Class AM, 5.500%, 10/25/36 | 165 | ||||||
198 | Series 2009-37, Class KI, IF, IO, 5.765%, 06/25/39 | 26 | ||||||
390 | Series 2009-39, Class LB, 4.500%, 06/25/29 | 433 | ||||||
3,755 | Series 2009-62, Class HJ, 6.000%, 05/25/39 | 4,123 | ||||||
370 | Series 2009-71, Class MB, 4.500%, 09/25/24 | 407 | ||||||
3,750 | Series 2009-71, Class XB, 5.000%, 03/25/38 | 4,076 | ||||||
435 | Series 2009-78, Class J, 5.000%, 09/25/19 | 473 | ||||||
187 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 25 | ||||||
260 | Series 2009-86, Class OT, PO, 10/25/37 | 235 | ||||||
150 | Series 2009-86, Class PC, 5.000%, 03/25/37 | 159 | ||||||
6,344 | Series 2009-92, Class AD, 6.000%, 11/25/39 | 7,077 | ||||||
363 | Series 2009-96, Class CB, 4.000%, 11/25/49 | 386 | ||||||
675 | Series 2009-96, Class DB, 4.000%, 11/25/29 | 741 | ||||||
1,277 | Series 2009-112, Class ST, IF, IO, 6.014%, 01/25/40 | 156 | ||||||
120 | Series 2010-9, Class MD, 5.000%, 02/25/38 | 135 | ||||||
2,641 | Series 2010-10, Class MA, 4.500%, 04/25/34 | 2,752 | ||||||
3,880 | Series 2010-22, Class PE, 5.000%, 03/25/40 | 4,543 | ||||||
666 | Series 2010-35, Class SB, IF, IO, 6.184%, 04/25/40 | 91 | ||||||
5,000 | Series 2010-37, Class CY, 5.000%, 04/25/40 | 5,637 | ||||||
700 | Series 2010-41, Class DC, 4.500%, 05/25/25 | 796 | ||||||
230 | Series 2010-48, Class UB, 5.000%, 06/25/36 | 243 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,500 | Series 2010-49, Class KB, 4.000%, 05/25/25 | 2,757 | ||||||
365 | Series 2010-54, Class EA, 4.500%, 06/25/40 | 392 | ||||||
525 | Series 2010-56, Class BD, 5.000%, 12/25/38 | 567 | ||||||
66 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 71 | ||||||
237 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 249 | ||||||
1,082 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 1,197 | ||||||
4,000 | Series 2010-103, Class GB, 4.000%, 09/25/20 | 4,563 | ||||||
630 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 670 | ||||||
5,708 | Series 2010-135, Class HE, 3.000%, 01/25/21 | 5,943 | ||||||
1,145 | Series 2011-22, Class MA, 6.500%, 04/25/38 | 1,313 | ||||||
3,951 | Series 2011-39, Class ZA, 6.000%, 11/25/32 | 4,436 | ||||||
1,217 | Series 2011-60, Class C, 4.000%, 10/25/39 | 1,223 | ||||||
3,380 | Series 2011-61, Class V, 4.500%, 08/25/22 | 3,696 | ||||||
3,000 | Series 2011-75, Class BL, 3.500%, 08/25/21 | 3,370 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
151 | Series 293, Class 1, PO, 12/01/24 | 134 | ||||||
298 | Series 314, Class 1, PO, 07/01/31 | 273 | ||||||
Government National Mortgage Association, | ||||||||
139 | Series 2002-44, Class JC, 6.000%, 07/20/32 | 161 | ||||||
420 | Series 2002-79, Class KL, 5.500%, 11/20/32 | 504 | ||||||
161 | Series 2002-88, Class PH, 5.500%, 12/16/31 | 167 | ||||||
242 | Series 2003-10, Class KJ, 5.500%, 02/20/33 | 268 | ||||||
424 | Series 2003-29, Class PD, 5.500%, 04/16/33 | 509 | ||||||
1,000 | Series 2003-33, Class NE, 5.500%, 04/16/33 | 1,142 | ||||||
277 | Series 2003-40, Class TD, 5.000%, 03/20/33 | 300 | ||||||
355 | Series 2003-65, Class AP, 5.500%, 08/20/33 | 410 | ||||||
2,000 | Series 2003-77, Class TK, 5.000%, 09/16/33 | 2,295 | ||||||
550 | Series 2004-16, Class GC, 5.500%, 02/20/34 | 666 | ||||||
109 | Series 2004-54, Class BG, 5.500%, 07/20/34 | 126 | ||||||
141 | Series 2004-75, Class NG, 5.500%, 09/20/33 | 151 | ||||||
453 | Series 2004-93, Class PD, 5.000%, 11/16/34 | 539 | ||||||
450 | Series 2004-101, Class BE, 5.000%, 11/20/34 | 539 | ||||||
350 | Series 2005-11, Class PL, 5.000%, 02/20/35 | 417 | ||||||
2,166 | Series 2005-26, Class XY, 5.500%, 03/20/35 | 2,480 | ||||||
982 | Series 2005-33, Class AY, 5.500%, 04/16/35 | 1,125 | ||||||
297 | Series 2005-49, Class B, 5.500%, 06/20/35 | 348 | ||||||
419 | Series 2005-51, Class DC, 5.000%, 07/20/35 | 479 | ||||||
106 | Series 2005-56, Class BD, 5.000%, 07/20/35 | 124 | ||||||
829 | Series 2006-38, Class SG, IF, IO, 6.413%, 09/20/33 | 64 | ||||||
155 | Series 2007-26, Class SW, IF, IO, 5.963%, 05/20/37 | 24 | ||||||
526 | Series 2007-37, Class LB, 5.500%, 06/16/37 | 596 |
SEE NOTES TO FINANCIAL STATEMENTS.
164 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
320 | Series 2007-79, Class BL, 5.750%, 08/20/37 | 387 | ||||||
450 | Series 2008-7, Class PQ, 5.000%, 02/20/38 | 510 | ||||||
815 | Series 2008-9, Class PW, 5.250%, 02/20/38 | 956 | ||||||
174 | Series 2008-23, Class YA, 5.250%, 03/20/38 | 196 | ||||||
76 | Series 2008-30, Class AB, 4.200%, 02/20/37 | 79 | ||||||
204 | Series 2008-31, Class PK, 4.000%, 06/20/36 | 210 | ||||||
2,098 | Series 2008-33, Class PB, 5.500%, 04/20/38 | 2,436 | ||||||
177 | Series 2008-34, Class PG, 5.250%, 04/20/38 | 212 | ||||||
400 | Series 2008-35, Class NF, 5.000%, 04/20/38 | 470 | ||||||
517 | Series 2008-38, Class BE, 5.000%, 07/16/36 | 583 | ||||||
957 | Series 2008-38, Class BG, 5.000%, 05/16/38 | 1,100 | ||||||
154 | Series 2008-43, Class NB, 5.500%, 05/20/38 | 186 | ||||||
655 | Series 2008-56, Class PX, 5.500%, 06/20/38 | 785 | ||||||
1,372 | Series 2008-58, Class PD, 5.500%, 08/16/37 | 1,588 | ||||||
1,000 | Series 2008-58, Class PE, 5.500%, 07/16/38 | 1,214 | ||||||
19 | Series 2008-62, Class SA, IF, IO, 5.913%, 07/20/38 | 3 | ||||||
699 | Series 2008-76, Class US, IF, IO, 5.663%, 09/20/38 | 97 | ||||||
674 | Series 2008-95, Class DS, IF, IO, 7.063%, 12/20/38 | 120 | ||||||
967 | Series 2009-14, Class AG, 4.500%, 03/20/39 | 1,070 | ||||||
331 | Series 2009-15, Class NA, 5.000%, 12/20/38 | 361 | ||||||
199 | Series 2009-61, Class AP, 4.000%, 08/20/39 | 212 | ||||||
1,584 | Series 2009-72, Class SM, IF, IO, 6.011%, 08/16/39 | 213 | ||||||
959 | Series 2009-106, Class ST, IF, IO, 5.763%, 02/20/38 | 146 | ||||||
175 | Series 2010-7, Class EA, 5.000%, 06/16/38 | 202 | ||||||
432 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 472 | ||||||
103 | Series 2010-51, Class DA, 5.000%, 01/20/40 | 103 | ||||||
591 | Series 2010-130, Class BD, 4.000%, 12/20/39 | 638 | ||||||
724 | Series 2010-157, Class OP, PO, 12/20/40 | 631 | ||||||
4,792 | Series 2011-97, Class WA, VAR, 6.050%, 11/20/38 | 5,471 | ||||||
292 | NCUA Guaranteed Notes, Series 2010-C1, Class APT, 2.650%, 10/29/20 | 308 | ||||||
|
| |||||||
423,398 | ||||||||
|
| |||||||
Non-Agency CMO — 1.1% |
| |||||||
392 | Banc of America Mortgage Securities, Inc., Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 402 | ||||||
295 | Citicorp Mortgage Securities, Inc., Series 2004-4, Class A4, 5.500%, 06/25/34 | 309 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
135 | Series 2003-1, Class 3A4, 5.250%, 09/25/33 | 143 | ||||||
196 | Series 2004-HYB4, Class WA, VAR, 2.795%, 12/25/34 | 198 | ||||||
1,917 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 1,986 | ||||||
144 | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 147 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
232 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 240 | ||||||
1,108 | Series 2011-7R, Class A1, VAR, 1.485%, 08/28/47 (e) | 1,089 | ||||||
141 | CS First Boston Mortgage Securities Corp., Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 147 | ||||||
827 | GMAC Mortgage Corp. Loan Trust, Series 2004-J5, Class A7, 6.500%, 01/25/35 | 852 | ||||||
1,093 | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 1,149 | ||||||
JP Morgan Mortgage Trust, | ||||||||
2,407 | Series 2006-A2, Class 5A3, VAR, 2.710%, 11/25/33 | 2,448 | ||||||
373 | Series 2007-A1, Class 5A5, VAR, 2.912%, 07/25/35 | 374 | ||||||
645 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 650 | ||||||
78 | MASTR Alternative Loans Trust, Series 2004-5, Class 5A1, 4.750%, 06/25/19 | 80 | ||||||
189 | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A, VAR, 5.669%, 04/25/34 | 193 | ||||||
332 | PHH Mortgage Capital LLC, Series 2008-CIM2, Class 5A1, 6.000%, 07/25/38 | 358 | ||||||
53 | Prime Mortgage Trust, Series 2004-2, Class A2, 4.750%, 11/25/19 | 55 | ||||||
82 | RALI Trust, Series 2004-QS3, Class CB, 5.000%, 03/25/19 | 85 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
206 | Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e) | 207 | ||||||
477 | Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 477 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 165 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
707 | Series 2003-AR11, Class A6, VAR, 2.466%, 10/25/33 | 719 | ||||||
38 | Series 2003-S6, Class 2A1, 5.000%, 07/25/18 | 40 | ||||||
2,440 | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34 | 2,498 | ||||||
|
| |||||||
14,846 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 438,244 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 1.9% |
| ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
200 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 211 | ||||||
1,995 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 2,285 | ||||||
1,140 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 1,291 | ||||||
1,300 | Bear Stearns Commercial Mortgage Securities, Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 1,389 | ||||||
400 | Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43 | 428 | ||||||
50 | CW Capital Cobalt Ltd., | 56 | ||||||
1,529 | Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) | 1,585 | ||||||
1,000 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48 | 1,034 | ||||||
2,200 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, VAR, 6.070%, 07/10/38 | 2,540 | ||||||
1,000 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 1,071 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
1,400 | Series 2005-CB11, Class AJ, VAR, 5.540%, 08/12/37 | 1,493 | ||||||
1,000 | Series 2006-CB15, Class A4, VAR, 5.814%, 06/12/43 | 1,136 | ||||||
1,878 | LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4, 4.367%, 03/15/36 | 1,964 | ||||||
34,793 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class XC, IO, VAR, 0.243%, 12/12/49 (e) | 442 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Morgan Stanley Capital I, Inc., | ||||||||
1,000 | Series 2004-HQ4, Class A7, 4.970%, 04/14/40 | 1,060 | ||||||
59,737 | Series 2007-HQ11, Class X, IO, VAR, 0.401%, 02/12/44 (e) | 395 | ||||||
577 | Series 2011-C3, Class A3, 4.054%, 07/15/49 | 646 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
1,500 | Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) | 1,538 | ||||||
239 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 239 | ||||||
866 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 918 | ||||||
1,040 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63 | 1,109 | ||||||
1,047 | Wells Fargo Reremic Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 1,043 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
878 | Series 2011-C3, Class A1, 1.988%, 03/15/44 (e) | 895 | ||||||
1,800 | Series 2012-C6, Class A4, 3.440%, 04/15/45 | 1,921 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 26,689 | |||||||
|
| |||||||
| Corporate Bonds — 21.3% |
| ||||||
Consumer Discretionary — 1.3% |
| |||||||
Auto Components — 0.1% |
| |||||||
Johnson Controls, Inc., | ||||||||
1,135 | 4.250%, 03/01/21 | 1,247 | ||||||
40 | 5.000%, 03/30/20 | 45 | ||||||
|
| |||||||
1,292 | ||||||||
|
| |||||||
Automobiles — 0.2% |
| |||||||
Daimler Finance North America LLC, | ||||||||
1,100 | 2.250%, 07/31/19 (e) | 1,091 | ||||||
584 | 2.625%, 09/15/16 (e) | 607 | ||||||
450 | 6.500%, 11/15/13 | 481 | ||||||
|
| |||||||
2,179 | ||||||||
|
| |||||||
Household Durables — 0.0% (g) |
| |||||||
83 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 91 | ||||||
|
| |||||||
Media — 1.0% |
| |||||||
CBS Corp., | ||||||||
30 | 7.875%, 07/30/30 | 41 | ||||||
1,100 | 8.875%, 05/15/19 | 1,480 | ||||||
450 | Comcast Cable Communications LLC, 8.875%, 05/01/17 | 592 | ||||||
Comcast Corp., | ||||||||
400 | 5.700%, 07/01/19 | 485 | ||||||
335 | 5.900%, 03/15/16 | 389 |
SEE NOTES TO FINANCIAL STATEMENTS.
166 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — Continued |
| |||||||
335 | 6.500%, 01/15/17 | 406 | ||||||
550 | Cox Communications, Inc., 5.450%, 12/15/14 | 605 | ||||||
287 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.000%, 03/01/21 | 323 | ||||||
422 | Discovery Communications LLC, 4.375%, 06/15/21 | 474 | ||||||
News America, Inc., | ||||||||
30 | 7.250%, 05/18/18 | 37 | ||||||
600 | 7.430%, 10/01/26 | 781 | ||||||
400 | 7.600%, 10/11/15 | 461 | ||||||
200 | 7.700%, 10/30/25 | 266 | ||||||
Time Warner Cable, Inc., | ||||||||
500 | 4.125%, 02/15/21 | 549 | ||||||
50 | 8.250%, 04/01/19 | 67 | ||||||
3,425 | 8.750%, 02/14/19 | 4,637 | ||||||
500 | Time Warner Entertainment Co. LP, 8.375%, 07/15/33 | 720 | ||||||
Viacom, Inc., | ||||||||
75 | 1.250%, 02/27/15 | 76 | ||||||
500 | 3.125%, 06/15/22 | 512 | ||||||
361 | 3.875%, 12/15/21 | 392 | ||||||
200 | 4.500%, 03/01/21 | 226 | ||||||
|
| |||||||
13,519 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (g) |
| |||||||
300 | Macy’s Retail Holdings, Inc., 7.450%, 07/15/17 | 372 | ||||||
175 | Nordstrom, Inc., 4.000%, 10/15/21 | 197 | ||||||
|
| |||||||
569 | ||||||||
|
| |||||||
Total Consumer Discretionary | 17,650 | |||||||
|
| |||||||
Consumer Staples — 1.2% |
| |||||||
Beverages — 0.4% |
| |||||||
773 | Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14 | 787 | ||||||
Coca-Cola Co. (The), | ||||||||
1,000 | 1.800%, 09/01/16 | 1,040 | ||||||
400 | 4.875%, 03/15/19 | 478 | ||||||
1,000 | Diageo Investment Corp., 2.875%, 05/11/22 | 1,041 | ||||||
PepsiCo, Inc., | ||||||||
400 | 0.800%, 08/25/14 | 402 | ||||||
1,750 | 1.250%, 08/13/17 | 1,753 | ||||||
|
| |||||||
5,501 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
1,100 | CVS Caremark Corp., 4.125%, 05/15/21 | 1,250 | ||||||
Kroger Co. (The), | ||||||||
92 | 5.400%, 07/15/40 | 100 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — Continued |
| |||||||
700 | 6.150%, 01/15/20 | 851 | ||||||
1,000 | 6.400%, 08/15/17 | 1,199 | ||||||
|
| |||||||
3,400 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
40 | 5.875%, 05/15/13 | 41 | ||||||
1,192 | 8.500%, 06/15/19 | 1,505 | ||||||
Cargill, Inc., | ||||||||
400 | 6.000%, 11/27/17 (e) | 486 | ||||||
1,000 | 7.350%, 03/06/19 (e) | 1,271 | ||||||
100 | General Mills, Inc., 5.650%, 02/15/19 | 121 | ||||||
300 | HJ Heinz Co., 2.850%, 03/01/22 | 308 | ||||||
Kellogg Co., | ||||||||
435 | 3.125%, 05/17/22 | 456 | ||||||
513 | 3.250%, 05/21/18 | 562 | ||||||
Kraft Foods Group, Inc., | ||||||||
429 | 3.500%, 06/06/22 (e) | 455 | ||||||
425 | 6.875%, 01/26/39 (e) | 589 | ||||||
50 | Kraft Foods, Inc., 6.500%, 08/11/17 | 62 | ||||||
|
| |||||||
5,856 | ||||||||
|
| |||||||
Household Products — 0.2% |
| |||||||
200 | Kimberly-Clark Corp., 2.400%, 03/01/22 | 204 | ||||||
1,800 | Procter & Gamble Co. (The), 1.450%, 08/15/16 | 1,848 | ||||||
|
| |||||||
2,052 | ||||||||
|
| |||||||
Total Consumer Staples | 16,809 | |||||||
|
| |||||||
Energy — 1.4% |
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
750 | Halliburton Co., 8.750%, 02/15/21 | 1,090 | ||||||
500 | Nabors Industries, Inc., 9.250%, 01/15/19 | 647 | ||||||
19 | Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22 | 20 | ||||||
233 | Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e) | 251 | ||||||
Transocean, Inc., (Cayman Islands), | ||||||||
100 | 6.500%, 11/15/20 | 119 | ||||||
460 | 7.375%, 04/15/18 | 544 | ||||||
|
| |||||||
2,671 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.2% |
| |||||||
50 | Anadarko Petroleum Corp., 8.700%, 03/15/19 | 66 | ||||||
Apache Corp., | ||||||||
550 | 6.000%, 09/15/13 | 581 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 167 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
400 | 6.900%, 09/15/18 | 518 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
712 | 3.245%, 05/06/22 | 759 | ||||||
800 | 3.875%, 03/10/15 | 862 | ||||||
900 | Burlington Resources, Inc., 8.200%, 03/15/25 | 1,296 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
800 | 5.700%, 05/15/17 | 948 | ||||||
500 | 5.900%, 02/01/18 | 602 | ||||||
375 | ConocoPhillips Holding Co., 6.950%, 04/15/29 | 531 | ||||||
1,250 | Devon Energy Corp., 6.300%, 01/15/19 | 1,547 | ||||||
550 | Encana Corp., (Canada), 5.900%, 12/01/17 | 645 | ||||||
Occidental Petroleum Corp., | ||||||||
139 | 1.750%, 02/15/17 | 143 | ||||||
441 | 2.700%, 02/15/23 | 454 | ||||||
1,000 | Petrobras International Finance Co., (Cayman Islands), 3.500%, 02/06/17 | 1,035 | ||||||
173 | Phillips 66, 4.300%, 04/01/22 (e) | 188 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
44 | 3.100%, 06/28/15 | 47 | ||||||
1,555 | 4.300%, 09/22/19 | 1,818 | ||||||
40 | 4.375%, 03/25/20 | 47 | ||||||
Spectra Energy Capital LLC, | ||||||||
50 | 6.200%, 04/15/18 | 60 | ||||||
70 | 8.000%, 10/01/19 | 91 | ||||||
1,200 | Statoil ASA, (Norway), 3.125%, 08/17/17 | 1,316 | ||||||
200 | Suncor Energy, Inc., (Canada), 6.100%, 06/01/18 | 245 | ||||||
Total Capital International S.A., (France), | ||||||||
138 | 1.550%, 06/28/17 | 140 | ||||||
200 | 2.875%, 02/17/22 | 210 | ||||||
Total Capital S.A., (France), | ||||||||
240 | 2.300%, 03/15/16 | 252 | ||||||
598 | 4.125%, 01/28/21 | 681 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
1,000 | 2.500%, 08/01/22 | 1,017 | ||||||
500 | 3.800%, 10/01/20 | 558 | ||||||
300 | 7.125%, 01/15/19 | 388 | ||||||
|
| |||||||
17,045 | ||||||||
|
| |||||||
Total Energy | 19,716 | |||||||
|
| |||||||
Financials — 9.1% |
| |||||||
Capital Markets — 2.1% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
80 | 2.950%, 06/18/15 | 85 | ||||||
1,340 | 4.150%, 02/01/21 | 1,500 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
155 | 4.600%, 01/15/20 | 178 | ||||||
200 | BlackRock, Inc., 6.250%, 09/15/17 | 245 | ||||||
470 | Blackstone Holdings Finance Co. LLC, 4.750%, 02/15/23 (e) | 483 | ||||||
40 | Charles Schwab Corp. (The), 3.225%, 09/01/22 (e) | 40 | ||||||
80 | Credit Suisse USA, Inc., 5.125%, 08/15/15 | 88 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
500 | 3.300%, 05/03/15 | 516 | ||||||
90 | 3.625%, 02/07/16 | 93 | ||||||
112 | 3.700%, 08/01/15 | 117 | ||||||
196 | 5.250%, 07/27/21 | 209 | ||||||
900 | 5.375%, 03/15/20 | 970 | ||||||
1,195 | 6.000%, 06/15/20 | 1,337 | ||||||
5,150 | 7.500%, 02/15/19 | 6,177 | ||||||
1,600 | Jefferies Group, Inc., 8.500%, 07/15/19 | 1,828 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
200 | 7.300%, 08/01/14 (e) | 216 | ||||||
800 | 7.625%, 08/13/19 (e) | 881 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
600 | 6.400%, 08/28/17 | 682 | ||||||
2,000 | 6.875%, 04/25/18 | 2,333 | ||||||
Morgan Stanley, | ||||||||
323 | 3.450%, 11/02/15 | 325 | ||||||
50 | 5.300%, 03/01/13 | 51 | ||||||
1,000 | 5.450%, 01/09/17 | 1,052 | ||||||
331 | 5.500%, 07/24/20 | 340 | ||||||
2,500 | 5.625%, 09/23/19 | 2,587 | ||||||
510 | 5.750%, 01/25/21 | 527 | ||||||
1,400 | 6.000%, 04/28/15 | 1,491 | ||||||
1,700 | 7.300%, 05/13/19 | 1,917 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
275 | 4.125%, 01/19/16 | 285 | ||||||
300 | 5.000%, 03/04/15 | 316 | ||||||
1,900 | UBS AG, (Switzerland), 5.750%, 04/25/18 | 2,197 | ||||||
|
| |||||||
29,066 | ||||||||
|
| |||||||
Commercial Banks — 3.1% |
| |||||||
Bank of America Corp., | ||||||||
360 | 3.625%, 03/17/16 | 375 | ||||||
1,050 | 4.900%, 05/01/13 | 1,075 | ||||||
780 | 5.000%, 05/13/21 | 838 | ||||||
865 | 5.625%, 07/01/20 | 959 | ||||||
585 | 5.650%, 05/01/18 | 654 | ||||||
427 | 6.500%, 08/01/16 | 487 |
SEE NOTES TO FINANCIAL STATEMENTS.
168 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
600 | 7.375%, 05/15/14 | 655 | ||||||
2,600 | 7.625%, 06/01/19 | 3,175 | ||||||
494 | Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) | 503 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
500 | 2.550%, 01/12/17 | 529 | ||||||
400 | 4.375%, 01/13/21 | 463 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
250 | 5.125%, 01/08/20 | 270 | ||||||
475 | 5.200%, 07/10/14 | 503 | ||||||
2,650 | 6.750%, 05/22/19 | 3,104 | ||||||
BB&T Corp., | ||||||||
705 | 3.200%, 03/15/16 | 757 | ||||||
45 | 3.375%, 09/25/13 | 46 | ||||||
60 | 3.950%, 04/29/16 | 66 | ||||||
500 | 5.200%, 12/23/15 | 555 | ||||||
319 | 5.700%, 04/30/14 | 345 | ||||||
500 | Deutsche Bank AG, (Germany), 3.250%, 01/11/16 | 522 | ||||||
300 | Deutsche Bank Financial LLC, 5.375%, 03/02/15 | 317 | ||||||
1,400 | DnB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 1,447 | ||||||
1,400 | Fifth Third Bancorp, 3.625%, 01/25/16 | 1,506 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
1,246 | 1.625%, 07/07/14 (e) | 1,255 | ||||||
523 | 3.100%, 05/24/16 (e) | 548 | ||||||
1,100 | 4.750%, 01/19/21 (e) | 1,238 | ||||||
1,000 | HSBC Holdings plc, (United Kingdom), 5.100%, 04/05/21 | 1,150 | ||||||
900 | KeyCorp, 6.500%, 05/14/13 | 936 | ||||||
1,000 | Macquarie Bank Ltd., (Australia), 3.450%, 07/27/15 (e) | 1,017 | ||||||
1,000 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 1,183 | ||||||
1,000 | National Australia Bank Ltd., (Australia), 3.000%, 07/27/16 (e) | 1,051 | ||||||
250 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 254 | ||||||
National City Corp., | ||||||||
400 | 4.900%, 01/15/15 | 434 | ||||||
100 | 6.875%, 05/15/19 | 124 | ||||||
591 | Nordea Bank AB, (Sweden), 4.875%, 05/13/21 (e) | 629 | ||||||
PNC Funding Corp., | ||||||||
100 | 3.000%, 05/19/14 | 104 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
50 | 5.125%, 02/08/20 | 59 | ||||||
50 | 5.250%, 11/15/15 | 56 | ||||||
50 | 5.625%, 02/01/17 | 57 | ||||||
725 | 6.700%, 06/10/19 | 915 | ||||||
Rabobank Nederland N.V., (Netherlands), | ||||||||
114 | 2.125%, 10/13/15 | 117 | ||||||
553 | 3.875%, 02/08/22 | 576 | ||||||
350 | 4.500%, 01/11/21 | 385 | ||||||
SunTrust Banks, Inc., | ||||||||
800 | 3.600%, 04/15/16 | 846 | ||||||
280 | 5.250%, 11/05/12 | 282 | ||||||
706 | Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16 | 742 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
400 | 1.500%, 03/13/17 (e) | 410 | ||||||
1,041 | 2.500%, 07/14/16 | 1,102 | ||||||
U.S. Bancorp, | ||||||||
307 | 1.650%, 05/15/17 | 314 | ||||||
60 | 2.450%, 07/27/15 | 63 | ||||||
215 | 2.950%, 07/15/22 | 216 | ||||||
732 | 4.125%, 05/24/21 | 831 | ||||||
1,000 | Wachovia Bank N.A., 6.000%, 11/15/17 | 1,198 | ||||||
Wachovia Corp., | ||||||||
1,000 | 5.750%, 06/15/17 | 1,193 | ||||||
3,895 | 5.750%, 02/01/18 | 4,676 | ||||||
|
| |||||||
43,112 | ||||||||
|
| |||||||
Consumer Finance — 1.1% |
| |||||||
400 | American Express Centurion Bank, 6.000%, 09/13/17 | 484 | ||||||
American Express Co., | ||||||||
200 | 6.150%, 08/28/17 | 243 | ||||||
1,820 | 7.000%, 03/19/18 | 2,309 | ||||||
1,450 | American Honda Finance Corp., 7.625%, 10/01/18 (e) | 1,863 | ||||||
2,800 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 3,636 | ||||||
675 | Caterpillar Financial Services Corp., 7.150%, 02/15/19 | 889 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
627 | 3.000%, 06/12/17 | 629 | ||||||
757 | 3.984%, 06/15/16 (e) | 785 | ||||||
240 | 4.207%, 04/15/16 (e) | 251 | ||||||
460 | HSBC Finance Corp., 5.000%, 06/30/15 | 494 | ||||||
250 | John Deere Capital Corp., 3.150%, 10/15/21 | 268 | ||||||
PACCAR Financial Corp., | ||||||||
400 | 1.550%, 09/29/14 | 407 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 169 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Consumer Finance — Continued |
| |||||||
591 | 1.600%, 03/15/17 | 602 | ||||||
1,700 | Toyota Motor Credit Corp., 2.000%, 09/15/16 | 1,771 | ||||||
|
| |||||||
14,631 | ||||||||
|
| |||||||
Diversified Financial Services — 1.8% |
| |||||||
Citigroup, Inc., | ||||||||
600 | 2.250%, 08/07/15 | 605 | ||||||
619 | 4.587%, 12/15/15 | 666 | ||||||
490 | 4.750%, 05/19/15 | 526 | ||||||
829 | 5.375%, 08/09/20 | 927 | ||||||
5,400 | 8.500%, 05/22/19 | 6,909 | ||||||
131 | CME Group, Inc., 5.750%, 02/15/14 | 140 | ||||||
315 | ERAC USA Finance LLC, 4.500%, 08/16/21 (e) | 344 | ||||||
General Electric Capital Corp., | ||||||||
337 | 2.250%, 11/09/15 | 348 | ||||||
125 | 4.375%, 09/16/20 | 139 | ||||||
6,700 | 4.625%, 01/07/21 | 7,570 | ||||||
331 | 5.300%, 02/11/21 | 381 | ||||||
1,600 | 5.500%, 01/08/20 | 1,894 | ||||||
80 | 5.625%, 09/15/17 | 94 | ||||||
850 | 5.625%, 05/01/18 | 1,007 | ||||||
70 | 5.875%, 01/14/38 | 85 | ||||||
1,061 | GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e) | 1,120 | ||||||
650 | National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18 | 955 | ||||||
|
| |||||||
23,710 | ||||||||
|
| |||||||
Insurance — 0.8% |
| |||||||
500 | Aflac, Inc., 8.500%, 05/15/19 | 671 | ||||||
Aon Corp., | ||||||||
621 | 3.125%, 05/27/16 | 656 | ||||||
94 | 3.500%, 09/30/15 | 99 | ||||||
1,372 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 1,386 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
267 | 2.450%, 12/15/15 | 281 | ||||||
2,160 | 5.400%, 05/15/18 | 2,606 | ||||||
61 | Chubb Corp. (The), 5.750%, 05/15/18 | 75 | ||||||
CNA Financial Corp., | ||||||||
50 | 5.850%, 12/15/14 | 54 | ||||||
860 | 5.875%, 08/15/20 | 991 | ||||||
420 | 6.500%, 08/15/16 | 483 | ||||||
Lincoln National Corp., | ||||||||
96 | 4.200%, 03/15/22 | 101 | ||||||
768 | 4.850%, 06/24/21 | 839 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
Metropolitan Life Global Funding I, | ||||||||
710 | 1.700%, 06/29/15 (e) | 722 | ||||||
400 | 3.125%, 01/11/16 (e) | 425 | ||||||
426 | 3.875%, 04/11/22 (e) | 466 | ||||||
New York Life Global Funding, | ||||||||
500 | 3.000%, 05/04/15 (e) | 530 | ||||||
800 | 5.375%, 09/15/13 (e) | 840 | ||||||
|
| |||||||
11,225 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
400 | CommonWealth REIT, 6.250%, 08/15/16 | 433 | ||||||
1,072 | ERP Operating LP, 4.625%, 12/15/21 | 1,229 | ||||||
50 | HCP, Inc., 3.750%, 02/01/19 | 52 | ||||||
200 | Simon Property Group LP, 6.125%, 05/30/18 | 242 | ||||||
700 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 839 | ||||||
|
| |||||||
2,795 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.0% (g) |
| |||||||
400 | Countrywide Financial Corp., 6.250%, 05/15/16 | 430 | ||||||
|
| |||||||
Total Financials | 124,969 | |||||||
|
| |||||||
Health Care — 0.5% |
| |||||||
Biotechnology — 0.1% |
| |||||||
1,350 | Amgen, Inc., 4.100%, 06/15/21 | 1,484 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
562 | Baxter International, Inc., 2.400%, 08/15/22 | 566 | ||||||
|
| |||||||
Health Care Providers & Services — 0.2% |
| |||||||
381 | Aetna, Inc., 1.750%, 05/15/17 | 385 | ||||||
1,250 | Medco Health Solutions, Inc., 7.125%, 03/15/18 | 1,570 | ||||||
187 | UnitedHealth Group, Inc., 3.375%, 11/15/21 | 200 | ||||||
100 | WellPoint, Inc., 2.375%, 02/15/17 | 103 | ||||||
|
| |||||||
2,258 | ||||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
400 | Bristol-Myers Squibb Co., 2.000%, 08/01/22 | 390 | ||||||
1,400 | Merck & Co., Inc., 6.000%, 09/15/17 | 1,732 | ||||||
|
| |||||||
2,122 | ||||||||
|
| |||||||
Total Health Care | 6,430 | |||||||
|
| |||||||
Industrials — 1.8% |
| |||||||
Aerospace & Defense — 0.3% |
| |||||||
1,200 | Honeywell International, Inc., 4.250%, 03/01/21 | 1,413 | ||||||
850 | Lockheed Martin Corp., 4.250%, 11/15/19 | 955 |
SEE NOTES TO FINANCIAL STATEMENTS.
170 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued |
| |||||||
325 | Northrop Grumman Corp., 5.050%, 08/01/19 | 382 | ||||||
1,550 | United Technologies Corp., 6.125%, 02/01/19 | 1,950 | ||||||
|
| |||||||
4,700 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
103 | American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21 | 109 | ||||||
677 | American Airlines 2011-2 Class A Pass-Through Trust, 8.625%, 10/15/21 | 718 | ||||||
365 | Continental Airlines, 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22 | 400 | ||||||
55 | Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19 | 59 | ||||||
97 | Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19 | 104 | ||||||
535 | Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20 | 548 | ||||||
|
| |||||||
1,938 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Pitney Bowes, Inc., | ||||||||
200 | 5.000%, 03/15/15 | 211 | ||||||
100 | 6.250%, 03/15/19 | 109 | ||||||
417 | Republic Services, Inc., 3.550%, 06/01/22 | 439 | ||||||
Waste Management, Inc., | ||||||||
242 | 4.600%, 03/01/21 | 281 | ||||||
150 | 4.750%, 06/30/20 | 173 | ||||||
|
| |||||||
1,213 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
350 | ABB Finance USA, Inc., 2.875%, 05/08/22 | 363 | ||||||
526 | Fluor Corp., 3.375%, 09/15/21 | 560 | ||||||
|
| |||||||
923 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% |
| |||||||
784 | Danaher Corp., 3.900%, 06/23/21 | 890 | ||||||
Koninklijke Philips Electronics N.V., (Netherlands), | ||||||||
200 | 3.750%, 03/15/22 | 217 | ||||||
480 | 5.750%, 03/11/18 | 578 | ||||||
650 | Tyco Electronics Group S.A., (Luxembourg), 3.500%, 02/03/22 | 666 | ||||||
|
| |||||||
2,351 | ||||||||
|
| |||||||
Machinery — 0.2% |
| |||||||
Caterpillar, Inc., | ||||||||
900 | 3.900%, 05/27/21 | 1,030 | ||||||
30 | 7.900%, 12/15/18 | 41 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
Deere & Co., | ||||||||
298 | 2.600%, 06/08/22 | 307 | ||||||
700 | 4.375%, 10/16/19 | 816 | ||||||
|
| |||||||
2,194 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
125 | 3.600%, 09/01/20 | 136 | ||||||
2,000 | 4.100%, 06/01/21 | 2,214 | ||||||
CSX Corp., | ||||||||
3,000 | 6.250%, 03/15/18 | 3,666 | ||||||
230 | 7.375%, 02/01/19 | 296 | ||||||
Norfolk Southern Corp., | ||||||||
363 | 2.903%, 02/15/23 (e) | 371 | ||||||
829 | 3.250%, 12/01/21 | 874 | ||||||
Ryder System, Inc., | ||||||||
290 | 2.500%, 03/01/17 | 295 | ||||||
535 | 3.500%, 06/01/17 | 566 | ||||||
100 | 3.600%, 03/01/16 | 106 | ||||||
Union Pacific Corp., | ||||||||
1,931 | 4.163%, 07/15/22 | 2,193 | ||||||
142 | 5.450%, 01/31/13 | 145 | ||||||
|
| |||||||
10,862 | ||||||||
|
| |||||||
Total Industrials | 24,181 | |||||||
|
| |||||||
Information Technology — 1.2% |
| |||||||
Communications Equipment — 0.0% (g) |
| |||||||
Cisco Systems, Inc., | ||||||||
180 | 4.450%, 01/15/20 | 211 | ||||||
250 | 5.500%, 02/22/16 | 291 | ||||||
|
| |||||||
502 | ||||||||
|
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
1,400 | Dell, Inc., 4.625%, 04/01/21 | 1,536 | ||||||
Hewlett-Packard Co., | ||||||||
937 | 4.375%, 09/15/21 | 936 | ||||||
1,100 | 4.750%, 06/02/14 | 1,161 | ||||||
30 | 6.125%, 03/01/14 | 32 | ||||||
|
| |||||||
3,665 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
390 | 3.375%, 11/01/15 | 406 | ||||||
155 | 6.000%, 04/01/20 | 174 | ||||||
160 | 6.875%, 07/01/13 | 167 | ||||||
500 | 7.500%, 01/15/27 | 579 | ||||||
|
| |||||||
1,326 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 171 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Internet Software & Services — 0.1% |
| |||||||
eBay, Inc., | ||||||||
93 | 2.600%, 07/15/22 | 94 | ||||||
1,250 | 3.250%, 10/15/20 | 1,343 | ||||||
|
| |||||||
1,437 | ||||||||
|
| |||||||
IT Services — 0.2% |
| |||||||
International Business Machines Corp., | ||||||||
252 | 1.250%, 02/06/17 | 256 | ||||||
1,000 | 1.875%, 05/15/19 | 1,020 | ||||||
629 | 1.950%, 07/22/16 | 657 | ||||||
40 | 8.375%, 11/01/19 | 57 | ||||||
|
| |||||||
1,990 | ||||||||
|
| |||||||
Office Electronics — 0.1% |
| |||||||
1,650 | Xerox Corp., 5.625%, 12/15/19 | 1,861 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
651 | Intel Corp., 3.300%, 10/01/21 | 708 | ||||||
837 | Texas Instruments, Inc., 2.375%, 05/16/16 | 885 | ||||||
|
| |||||||
1,593 | ||||||||
|
| |||||||
Software — 0.3% |
| |||||||
685 | Intuit, Inc., 5.750%, 03/15/17 | 794 | ||||||
1,500 | Microsoft Corp., 4.200%, 06/01/19 | 1,764 | ||||||
Oracle Corp., | ||||||||
720 | 5.750%, 04/15/18 | 890 | ||||||
50 | 6.500%, 04/15/38 | 71 | ||||||
|
| |||||||
3,519 | ||||||||
|
| |||||||
Total Information Technology | 15,893 | |||||||
|
| |||||||
Materials — 1.0% |
| |||||||
Chemicals — 0.7% |
| |||||||
Dow Chemical Co. (The), | ||||||||
89 | 4.250%, 11/15/20 | 98 | ||||||
325 | 5.900%, 02/15/15 | 363 | ||||||
32 | 8.550%, 05/15/19 | 43 | ||||||
E.I. du Pont de Nemours & Co., | ||||||||
200 | 5.750%, 03/15/19 | 246 | ||||||
1,500 | 6.000%, 07/15/18 | 1,887 | ||||||
792 | Ecolab, Inc., 1.000%, 08/09/15 | 795 | ||||||
660 | Mosaic Co. (The), 3.750%, 11/15/21 | 707 | ||||||
650 | Potash Corp. of Saskatchewan, Inc., (Canada), 6.500%, 05/15/19 | 816 | ||||||
PPG Industries, Inc., | ||||||||
550 | 3.600%, 11/15/20 | 590 | ||||||
50 | 5.750%, 03/15/13 | 52 | ||||||
1,325 | 6.650%, 03/15/18 | 1,631 | ||||||
25 | 7.400%, 08/15/19 | 31 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
Praxair, Inc., | ||||||||
250 | 2.200%, 08/15/22 | 248 | ||||||
1,000 | 3.000%, 09/01/21 | 1,064 | ||||||
100 | 4.625%, 03/30/15 | 110 | ||||||
240 | 5.200%, 03/15/17 | 281 | ||||||
400 | Union Carbide Corp., 7.500%, 06/01/25 | 486 | ||||||
|
| |||||||
9,448 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
309 | CRH America, Inc., 6.000%, 09/30/16 | 343 | ||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
900 | Barrick Gold Corp., (Canada), 2.900%, 05/30/16 | 947 | ||||||
650 | BHP Billiton Finance USA Ltd., (Australia), 5.500%, 04/01/14 | 700 | ||||||
Freeport-McMoRan Copper & Gold, Inc., | ||||||||
350 | 1.400%, 02/13/15 | 352 | ||||||
352 | 2.150%, 03/01/17 | 355 | ||||||
172 | Nucor Corp., 5.850%, 06/01/18 | 208 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
38 | 3.500%, 11/02/20 | 40 | ||||||
800 | 4.125%, 05/20/21 | 879 | ||||||
120 | 8.950%, 05/01/14 | 136 | ||||||
|
| |||||||
3,617 | ||||||||
|
| |||||||
Total Materials | 13,408 | |||||||
|
| |||||||
Telecommunication Services — 1.1% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
AT&T, Inc., | ||||||||
1,500 | 4.450%, 05/15/21 | 1,760 | ||||||
1,000 | 5.500%, 02/01/18 | 1,211 | ||||||
850 | 5.600%, 05/15/18 | 1,043 | ||||||
256 | British Telecommunications plc, (United Kingdom), 2.000%, 06/22/15 | 262 | ||||||
1,200 | CenturyLink, Inc., 6.450%, 06/15/21 | 1,339 | ||||||
900 | Deutsche Telekom International Finance B.V., (Netherlands), 6.750%, 08/20/18 | 1,114 | ||||||
France Telecom S.A., (France), | ||||||||
525 | 2.750%, 09/14/16 | 548 | ||||||
50 | 8.500%, 03/01/31 | 74 | ||||||
267 | Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 | 270 | ||||||
400 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 412 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
114 | 5.462%, 02/16/21 | 105 | ||||||
400 | 6.221%, 07/03/17 | 407 |
SEE NOTES TO FINANCIAL STATEMENTS.
172 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
Verizon Communications, Inc., | ||||||||
1,750 | 5.500%, 02/15/18 | 2,131 | ||||||
245 | 5.550%, 02/15/16 | 284 | ||||||
2,055 | 8.750%, 11/01/18 | 2,882 | ||||||
|
| |||||||
13,842 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
379 | America Movil S.A.B de C.V., (Mexico), 3.125%, 07/16/22 | 388 | ||||||
1,000 | Crown Castle Towers LLC, 3.214%, 08/15/15 (e) | 1,031 | ||||||
500 | Vodafone Group plc, (United Kingdom), 5.625%, 02/27/17 | 593 | ||||||
|
| |||||||
2,012 | ||||||||
|
| |||||||
Total Telecommunication Services | 15,854 | |||||||
|
| |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 2.1% |
| |||||||
800 | Appalachian Power Co., 4.600%, 03/30/21 | 913 | ||||||
461 | Carolina Power & Light Co., 2.800%, 05/15/22 | 478 | ||||||
237 | Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e) | 264 | ||||||
2,150 | Commonwealth Edison Co., 1.625%, 01/15/14 | 2,180 | ||||||
137 | Consumers Energy Co., 2.850%, 05/15/22 | 145 | ||||||
Detroit Edison Co. (The), | ||||||||
197 | 2.650%, 06/15/22 | 203 | ||||||
200 | 3.900%, 06/01/21 | 227 | ||||||
Duke Energy Carolinas LLC, | ||||||||
1,250 | 3.900%, 06/15/21 | 1,417 | ||||||
50 | 6.450%, 10/15/32 | 67 | ||||||
233 | Duke Energy Corp., 3.550%, 09/15/21 | 248 | ||||||
160 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 177 | ||||||
400 | Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e) | 397 | ||||||
180 | Exelon Generation Co. LLC, 4.000%, 10/01/20 | 190 | ||||||
3,700 | Georgia Power Co., 4.250%, 12/01/19 | 4,215 | ||||||
1,663 | Great Plains Energy, Inc., 4.850%, 06/01/21 | 1,837 | ||||||
1,000 | Hydro-Quebec, (Canada), 8.400%, 01/15/22 | 1,452 | ||||||
25 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 31 | ||||||
1,000 | Nevada Power Co., 6.500%, 08/01/18 | 1,253 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
200 | 6.000%, 03/01/19 | 238 | ||||||
40 | 7.875%, 12/15/15 | 48 | ||||||
300 | Oncor Electric Delivery Co. LLC, 7.000%, 09/01/22 | 373 | ||||||
Pacific Gas & Electric Co., | ||||||||
794 | 2.450%, 08/15/22 | 797 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
424 | 3.250%, 09/15/21 | 456 | ||||||
50 | 6.050%, 03/01/34 | 66 | ||||||
200 | PacifiCorp, 5.650%, 07/15/18 | 246 | ||||||
1,500 | Pennsylvania Electric Co., 6.050%, 09/01/17 | 1,723 | ||||||
752 | PPL Capital Funding, Inc., 4.200%, 06/15/22 | 794 | ||||||
224 | PPL Electric Utilities Corp., 2.500%, 09/01/22 | 228 | ||||||
490 | Progress Energy, Inc., 4.400%, 01/15/21 | 553 | ||||||
74 | Public Service Co. of Colorado, 3.200%, 11/15/20 | 82 | ||||||
220 | Public Service Co. of Oklahoma, 4.400%, 02/01/21 | 246 | ||||||
25 | Public Service Electric & Gas Co., 2.700%, 05/01/15 | 26 | ||||||
Southern California Edison Co., | ||||||||
958 | 3.875%, 06/01/21 | 1,088 | ||||||
650 | 5.500%, 08/15/18 | 798 | ||||||
1,860 | Southwestern Electric Power Co., 6.450%, 01/15/19 | 2,247 | ||||||
1,500 | Southwestern Public Service Co., 8.750%, 12/01/18 | 2,072 | ||||||
429 | Virginia Electric and Power Co., 2.950%, 01/15/22 | 454 | ||||||
|
| |||||||
28,229 | ||||||||
|
| |||||||
Gas Utilities — 0.2% | ||||||||
939 | AGL Capital Corp., 3.500%, 09/15/21 | 1,003 | ||||||
380 | Atmos Energy Corp., 4.950%, 10/15/14 | 411 | ||||||
843 | CenterPoint Energy Resources Corp., 4.500%, 01/15/21 | 952 | ||||||
|
| |||||||
2,366 | ||||||||
|
| |||||||
Independent Power Producers & Energy |
| |||||||
500 | PSEG Power LLC, 4.150%, 09/15/21 | 541 | ||||||
|
| |||||||
Multi-Utilities — 0.3% | ||||||||
500 | CenterPoint Energy, Inc., 6.500%, 05/01/18 | 602 | ||||||
350 | Dominion Resources, Inc., 5.200%, 08/15/19 | 418 | ||||||
Nisource Finance Corp., | ||||||||
300 | 3.850%, 02/15/23 | 311 | ||||||
500 | 5.450%, 09/15/20 | 571 | ||||||
100 | 6.800%, 01/15/19 | 120 | ||||||
6 | San Diego Gas & Electric Co., 5.350%, 05/15/40 | 8 | ||||||
Sempra Energy, | ||||||||
500 | 2.000%, 03/15/14 | 508 | ||||||
1,400 | 9.800%, 02/15/19 | 1,973 | ||||||
|
| |||||||
4,511 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 173 |
Table of Contents
JPMorgan Inflation Managed Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Water Utilities — 0.1% | ||||||||
1,700 | American Water Capital Corp., 6.085%, 10/15/17 | 2,023 | ||||||
|
| |||||||
Total Utilities | 37,670 | |||||||
|
| |||||||
Total Corporate Bonds | 292,580 | |||||||
|
| |||||||
| Foreign Government Security — 0.1% |
| ||||||
1,600 | Province of Ontario, (Canada), 0.950%, 05/26/15 | 1,618 | ||||||
|
| |||||||
| Mortgage Pass-Through Securities — 5.1% |
| ||||||
9,288 | Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, 5.500%, 01/01/24 -02/01/24 | 10,082 | ||||||
701 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 5.500%, 05/01/27 | 767 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
3,985 | 4.500%, 05/01/41 | 4,300 | ||||||
658 | 5.000%, 10/01/33 | 736 | ||||||
21 | 6.000%, 12/01/36 | 23 | ||||||
2,489 | Federal Home Loan Mortgage Corp. Gold Pools, Other, 3.500%, 06/01/42 | 2,664 | ||||||
275 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 10/01/19 - 01/01/24 | 296 | ||||||
2,740 | Federal National Mortgage Association, 20 Year, Single Family, 3.500%, 08/01/32 | 2,925 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
3,479 | 5.000%, 03/01/36 - 08/01/40 | 3,817 | ||||||
621 | 5.500%, 02/01/38 | 685 | ||||||
2,342 | 6.000%, 12/01/32 - 04/01/35 | 2,637 | ||||||
435 | 6.500%, 10/01/37 - 10/01/38 | 495 | ||||||
272 | 7.000%, 04/01/37 | 315 | ||||||
Federal National Mortgage Association, Other, | ||||||||
3,000 | 1.446%, 07/01/17 | 3,045 | ||||||
2,000 | 2.004%, 07/01/19 | 2,040 | ||||||
1,500 | 2.211%, 04/01/19 | 1,561 | ||||||
1,353 | 2.490%, 10/01/17 | 1,434 | ||||||
2,000 | 2.650%, 08/01/22 | 2,069 | ||||||
2,000 | 2.670%, 07/01/22 | 2,076 | ||||||
1,500 | 3.482%, 11/01/20 | 1,649 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
3,500 | 3.492%, 01/01/18 | 3,844 | ||||||
1,750 | 3.590%, 10/01/20 | 1,947 | ||||||
1,000 | 3.596%, 12/01/20 | 1,107 | ||||||
4,955 | 3.730%, 06/01/18 | 5,599 | ||||||
3,400 | 3.770%, 09/01/21 | 3,839 | ||||||
1,711 | 3.810%, 01/01/19 | 1,900 | ||||||
1,280 | 3.988%, 07/01/21 | 1,450 | ||||||
1,000 | 4.402%, 07/01/21 | 1,156 | ||||||
1,969 | 4.474%, 04/01/21 | 2,279 | ||||||
779 | 4.515%, 02/01/20 | 900 | ||||||
984 | 4.794%, 01/01/21 | 1,153 | ||||||
1,396 | Government National Mortgage Association II, 30 Year, Single Family, 6.000%, 09/20/38 | 1,574 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 70,364 | |||||||
|
| |||||||
| Supranational — 0.1% |
| ||||||
641 | Corp. Andina de Fomento, 3.750%, 01/15/16 | 671 | ||||||
|
| |||||||
| U.S. Government Agency Securities — 20.7% |
| ||||||
25,655 | Federal Home Loan Bank, 1.750%, 09/11/15 | 26,682 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
30,000 | 1.375%, 02/25/14 | 30,497 | ||||||
20,000 | 1.750%, 05/30/19 | 20,742 | ||||||
28,800 | 2.875%, 02/09/15 | 30,549 | ||||||
28,700 | 3.750%, 03/27/19 | 33,440 | ||||||
20,000 | 4.500%, 01/15/14 | 21,153 | ||||||
Federal National Mortgage Association, | ||||||||
30,000 | 0.500%, 10/30/12 | 30,016 | ||||||
20,000 | 1.375%, 11/15/16 | 20,635 | ||||||
14,000 | 1.500%, 06/26/13 (m) | 14,148 | ||||||
12,600 | 1.625%, 10/26/15 | 13,110 | ||||||
36,500 | 5.000%, 02/13/17 | 43,485 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 284,457 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 14.0% |
| ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
82,500 | 0.125%, 01/15/22 | 90,409 | ||||||
40,000 | 1.625%, 01/15/18 | 50,939 | ||||||
40,000 | 1.875%, 07/15/15 | 51,884 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 193,232 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
174 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.4% |
| ||||||
Investment Company — 2.4% | ||||||||
32,738 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.110% † (b) (l) | 32,738 | ||||||
|
| |||||||
Total Investments — 100.0% | 1,376,046 | |||||||
Other Assets in Excess of | 327 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,376,373 | ||||||
|
|
Percentages indicated are based on net assets.
Inflation-Linked Swaps | ||||||||||||||
RATE TYPE (r) | ||||||||||||||
SWAP COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | TERMINATION DATE | NOTIONAL AMOUNT | VALUE | |||||||||
Barclays Bank plc | 1.740% at termination | CPI-U at termination | 06/24/14 | $ | 15,000 | $ | 235 | |||||||
Barclays Bank plc | 2.095% at termination | CPI-U at termination | 05/24/16 | 7,000 | 18 | |||||||||
Barclays Bank plc | 2.250% at termination | CPI-U at termination | 05/09/17 | 45,000 | (403 | ) | ||||||||
BNP Paribas S.A. | 1.970% at termination | CPI-U at termination | 01/31/14 | 47,000 | 492 | |||||||||
BNP Paribas S.A. | 2.125% at termination | CPI-U at termination | 01/25/15 | 60,000 | 232 | |||||||||
Citibank, N.A. | 1.470% at termination | CPI-U at termination | 08/26/15 | 40,000 | 1,528 | |||||||||
Credit Suisse International | 2.180% at termination | CPI-U at termination | 05/22/17 | 18,000 | (116 | ) | ||||||||
Credit Suisse International | 2.085% at termination | CPI-U at termination | 06/01/17 | 25,000 | (57 | ) | ||||||||
Deutsche Bank AG, New York | 1.990% at termination | CPI-U at termination | 06/08/15 | 8,000 | 40 | |||||||||
Deutsche Bank AG, New York | 2.380% at termination | CPI-U at termination | 06/02/16 | 120,000 | (2,305 | ) | ||||||||
Morgan Stanley Capital Services | 2.610% at termination | CPI-U at termination | 04/28/16 | 104,000 | (2,711 | ) | ||||||||
Morgan Stanley Capital Services | 1.970% at termination | CPI-U at termination | 08/30/16 | 75,000 | 68 | |||||||||
Royal Bank of Scotland | 2.050% at termination | CPI-U at termination | 02/16/14 | 50,000 | 296 | |||||||||
Royal Bank of Scotland | 2.150% at termination | CPI-U at termination | 02/16/15 | 50,000 | 41 | |||||||||
Royal Bank of Scotland | 2.270% at termination | CPI-U at termination | 08/02/15 | 77,000 | (1,573 | ) | ||||||||
UBS Warburg | 1.840% at termination | CPI-U at termination | 06/24/13 | 25,000 | (44 | ) | ||||||||
UBS Warburg | 1.770% at termination | CPI-U at termination | 06/27/13 | 25,000 | (16 | ) | ||||||||
UBS Warburg | 2.438% at termination | CPI-U at termination | 03/02/16 | 20,000 | (291 | ) | ||||||||
|
| |||||||||||||
$ | (4,566 | ) | ||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 175 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 13.5% |
| ||||||
2,640 | Accredited Mortgage Loan Trust, Series 2003-3, Class A1, SUB, 5.210%, 01/25/34 | 2,482 | ||||||
1,230 | AH Mortgage Advance Trust, Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 1,233 | ||||||
1,565 | American Credit Acceptance Receivables Trust, Series 2012-2, Class A, 1.890%, 07/15/16 (e) | 1,569 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
2,790 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 2,804 | ||||||
1,935 | Series 2011-3, Class A3, 1.170%, 01/08/16 | 1,945 | ||||||
1,697 | Ameriquest Mortgage Securities, Inc., Series 2003-7, Class M1, VAR, 1.510%, 08/25/33 | 1,566 | ||||||
Amortizing Residential Collateral Trust, | ||||||||
91 | Series 2002-BC4, Class A, VAR, 0.816%, 07/25/32 | 73 | ||||||
1,151 | Series 2002-BC6, Class M1, VAR, 1.361%, 08/25/32 | 743 | ||||||
3,821 | Series 2002-BC9, Class M1, VAR, 1.886%, 12/25/32 | 2,802 | ||||||
Amresco Residential Securities Mortgage Loan Trust, | ||||||||
236 | Series 1997-2, Class M1A, VAR, 0.790%, 06/25/27 | 219 | ||||||
1,149 | Series 1998-1, Class M1A, VAR, 0.880%, 01/25/28 | 941 | ||||||
1,329 | Series 1998-3, Class M1A, VAR, 0.866%, 09/25/28 | 1,025 | ||||||
728 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M2, VAR, 2.864%, 12/15/33 | 628 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
1,998 | Series 2003-SD1, Class A, VAR, 0.686%, 12/25/33 | 1,686 | ||||||
9,348 | Series 2005-CL1, Class M1, VAR, 0.866%, 09/25/34 | 978 | ||||||
2,735 | Series 2005-HE1, Class M2, VAR, 1.065%, 01/25/35 | 2,206 | ||||||
861 | BNC Mortgage Loan Trust, Series 2007-2, Class A2, VAR, 0.335%, 05/25/37 | 818 | ||||||
362 | Centex Home Equity, Series 2002-A, Class MV1, VAR, 1.086%, 01/25/32 | 221 | ||||||
164 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 164 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
189 | Series 2002-1, Class A, VAR, 0.795%, 08/25/32 | 127 | ||||||
179 | Series 2002-BC1, Class A, VAR, 0.896%, 04/25/32 | 101 | ||||||
216 | Series 2002-BC2, Class A, VAR, 0.776%, 04/25/32 | 119 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
61 | Series 2003-BC2, Class 2A1, VAR, 0.835%, 06/25/33 | 46 | ||||||
2,131 | Series 2003-BC5, Class M1, VAR, 1.285%, 09/25/33 | 1,121 | ||||||
503 | Series 2004-2, Class M4, VAR, 1.735%, 03/25/34 | 110 | ||||||
454 | Series 2004-S1, Class M2, SUB, 5.084%, 02/25/35 | 369 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
1,140 | Series 2004-A, Class A, VAR, 0.460%, 04/15/30 | 848 | ||||||
830 | Series 2005-E, Class 2A, VAR, 0.460%, 11/15/35 | 522 | ||||||
3,536 | Series 2005-M, Class A1, VAR, 0.479%, 02/15/36 | 2,143 | ||||||
875 | DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 (e) | 875 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
187 | Series 2002-FF1, Class M1, VAR, 1.285%, 04/25/32 | 104 | ||||||
1,094 | Series 2002-FF4, Class M1, VAR, 1.811%, 02/25/33 | 413 | ||||||
557 | Series 2003-FFH1, Class M2, VAR, 2.860%, 09/25/33 | 62 | ||||||
703 | Series 2004-FF8, Class M4, VAR, 1.842%, 10/25/34 | 34 | ||||||
1,000 | First NLC Trust, Series 2005-2, Class M1, VAR, 0.716%, 09/25/35 | 715 | ||||||
3,580 | Fremont Home Loan Trust, Series 2005-C, Class M2, VAR, 0.726%, 07/25/35 | 1,862 | ||||||
532 | Greenpoint Mortgage Funding Trust, Series 2005-HE3, Class A, VAR, 0.420%, 09/15/30 | 334 | ||||||
625 | Harley-Davidson Motorcycle Trust, Series 2009-2, Class A4, 3.320%, 02/15/17 | 627 | ||||||
350 | Irwin Home Equity Corp., Series 2004-1, Class 1A1, VAR, 0.875%, 12/25/24 | 274 | ||||||
37 | Lehman Home Equity Loan Trust, Series 1998-1, Class A1, 7.000%, 05/25/28 | 37 | ||||||
331 | Long Beach Mortgage Loan Trust, Series 2004-1, Class M3, VAR, 1.285%, 02/25/34 | 253 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
2,251 | Series 2003-NC6, Class M1, VAR, 1.436%, 06/25/33 | 1,925 | ||||||
7,500 | Series 2005-WMC4, Class M5, VAR, 1.211%, 04/25/35 | 5,130 | ||||||
313 | New Century Home Equity Loan Trust, Series 2003-5, Class AII, VAR, 0.636%, 11/25/33 | 209 | ||||||
1,239 | Option One Mortgage Loan Trust, Series 2002-4, Class M1, VAR, 1.136%, 07/25/32 | 1,037 |
SEE NOTES TO FINANCIAL STATEMENTS.
176 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
Park Place Securities, Inc., | ||||||||
3,075 | Series 2004-WHQ2, Class M2, VAR, 0.866%, 02/25/35 | 2,896 | ||||||
2,500 | Series 2005-WHQ3, Class M2, VAR, 0.686%, 06/25/35 | 1,800 | ||||||
390 | RAMP Trust, Series 2003-RS2, Class AII, VAR, 0.916%, 03/25/33 | 285 | ||||||
RASC Trust, | ||||||||
523 | Series 2003-KS4, Class MI2, SUB, 5.010%, 06/25/33 | 111 | ||||||
28 | Series 2005-EMX4, Class A2, VAR, 0.496%, 11/25/35 | 27 | ||||||
Residential Funding Mortgage Securities II Home Loan Trust, | ||||||||
468 | Series 2001-HI2, Class AI7, SUB, 6.940%, 04/25/26 | 447 | ||||||
504 | Series 2001-HI4, Class A7, SUB, 6.740%, 10/25/26 | 479 | ||||||
128 | Series 2003-HS1, Class AII, VAR, 0.525%, 12/25/32 | 97 | ||||||
2,411 | Santander Drive Auto Receivables Trust, Series 2010-1, Class A3, 1.840%, 11/17/14 | 2,434 | ||||||
168 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3, VAR, 0.935%, 04/25/33 | 143 | ||||||
161 | Structured Asset Securities Corp., Series 2002-HF1, Class A, VAR, 0.816%, 01/25/33 | 136 | ||||||
|
| |||||||
Total Asset-Backed Securities | 52,355 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 58.3% |
| ||||||
Agency CMO — 36.3% |
| |||||||
737 | Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 1, Class S, IF, IO, 8.711%, 10/25/22 | 115 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
17 | Series 1071, Class F, VAR, 1.200%, 04/15/21 | 17 | ||||||
27 | Series 1343, Class LA, 8.000%, 08/15/22 | 32 | ||||||
24 | Series 1370, Class JA, VAR, 1.400%, 09/15/22 | 24 | ||||||
21 | Series 1379, Class W, VAR, 0.960%, 10/15/22 | 22 | ||||||
6 | Series 1508, Class KA, VAR, 1.716%, 05/15/23 | 6 | ||||||
8 | Series 1607, Class SA, HB, IF, 20.690%, 10/15/13 | 9 | ||||||
377 | Series 1689, Class M, PO, 03/15/24 | 321 | ||||||
160 | Series 1771, Class PK, 8.000%, 02/15/25 | 187 | ||||||
291 | Series 1974, Class ZA, 7.000%, 07/15/27 | 339 | ||||||
51 | Series 1981, Class Z, 6.000%, 05/15/27 | 56 | ||||||
199 | Series 2033, Class PR, PO, 03/15/24 | 170 | ||||||
19 | Series 2261, Class ZY, 7.500%, 10/15/30 | 23 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
7 | Series 2289, Class NA, VAR, 11.428%, 05/15/20 | 8 | ||||||
103 | Series 2338, Class FN, VAR, 0.739%, 08/15/28 | 104 | ||||||
203 | Series 2416, Class SA, IF, 15.131%, 02/15/32 | 295 | ||||||
162 | Series 2416, Class SH, IF, 15.524%, 02/17/32 | 231 | ||||||
45 | Series 2477, Class FZ, VAR, 0.789%, 06/15/31 | 45 | ||||||
1,445 | Series 2649, Class FK, VAR, 0.789%, 07/15/33 (m) | 1,443 | ||||||
704 | Series 2661, Class FG, VAR, 0.689%, 03/15/17 | 706 | ||||||
1,305 | Series 3085, Class VS, HB, IF, 27.762%, 12/15/35 | 2,123 | ||||||
2,061 | Series 3300, Class FA, VAR, 0.540%, 08/15/35 (m) | 2,062 | ||||||
5,525 | Series 3737, Class DG, 5.000%, 10/15/30 | 6,072 | ||||||
8,496 | Series 3832, Class PL, 5.000%, 08/15/39 | 9,164 | ||||||
4,946 | Series 3841, Class JF, VAR, 0.640%, 10/15/38 (m) | 4,951 | ||||||
18,379 | Series 3860, Class FP, VAR, 0.640%, 06/15/40 (m) | 18,404 | ||||||
19,783 | Series 4074, Class FE, VAR, 0.640%, 07/15/42 | 19,819 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
98 | Series T-51, Class 1APO, PO, 09/25/42 | 84 | ||||||
1,377 | Series T-54, Class 4A, VAR, 3.133%, 02/25/43 | 1,371 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
696 | Series 2001-T8, Class A1, 7.500%, 07/25/41 | 763 | ||||||
1,844 | Series 2002-T6, Class A4, VAR, 3.128%, 03/25/41 | 1,894 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
27 | Series 1988-15, Class B, VAR, 0.800%, 06/25/18 | 27 | ||||||
4 | Series 1989-77, Class J, 8.750%, 11/25/19 | 5 | ||||||
1 | Series 1989-89, Class H, 9.000%, 11/25/19 | 1 | ||||||
78 | Series 1990-64, Class Z, 10.000%, 06/25/20 | 91 | ||||||
198 | Series 1990-145, Class A, VAR, 1.091%, 12/25/20 (m) | 200 | ||||||
116 | Series 1991-142, Class PL, 8.000%, 10/25/21 | 133 | ||||||
130 | Series 1991-156, Class F, VAR, 1.550%, 11/25/21 | 133 | ||||||
— | (h) | Series 1992-91, Class SQ, HB, IF, 9,260.000%, 05/25/22 | 81 | |||||
252 | Series 1992-112, Class GB, 7.000%, 07/25/22 | 286 | ||||||
7 | Series 1992-154, Class SA, IF, IO, 5.400%, 08/25/22 | 1 | ||||||
100 | Series 1992-200, Class FK, VAR, 2.416%, 11/25/22 | 105 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 177 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
109 | Series 1993-27, Class S, IF, 9.376%, 02/25/23 | 132 | ||||||
224 | Series 1993-110, Class H, 6.500%, 05/25/23 | 261 | ||||||
25 | Series 1993-119, Class H, 6.500%, 07/25/23 | 28 | ||||||
218 | Series 1993-146, Class E, PO, 05/25/23 | 189 | ||||||
97 | Series 1993-165, Class FH, VAR, 1.400%, 09/25/23 | 99 | ||||||
470 | Series 1993-179, Class FM, VAR, 2.366%, 10/25/23 | 491 | ||||||
65 | Series 1997-74, Class E, 7.500%, 10/20/27 | 76 | ||||||
1,128 | Series 2001-9, Class F, VAR, 0.488%, 02/17/31 | 1,126 | ||||||
267 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 59 | ||||||
1,135 | Series 2002-77, Class FY, VAR, 0.635%, 12/25/17 | 1,141 | ||||||
1,918 | Series 2003-17, Class FN, VAR, 0.536%, 03/25/18 (m) | 1,925 | ||||||
95 | Series 2003-21, Class FK, VAR, 0.635%, 03/25/33 | 95 | ||||||
190 | Series 2003-34, Class BS, IF, IO, 7.414%, 05/25/22 | 1 | ||||||
1,942 | Series 2004-17, Class BF, VAR, 0.585%, 01/25/34 | 1,945 | ||||||
3,770 | Series 2006-3, Class SB, IF, IO, 6.464%, 07/25/35 | 547 | ||||||
13,769 | Series 2006-124, Class FC, VAR, 0.585%, 01/25/37 (m) | 13,779 | ||||||
619 | Series 2007-2, Class FA, VAR, 0.436%, 02/25/37 | 616 | ||||||
13,359 | Series 2010-42, Class PD, 4.500%, 07/25/39 | 13,909 | ||||||
64 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 72 | ||||||
1,212 | Series G94-9, Class PJ, 6.500%, 08/17/24 | 1,374 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
1,608 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 103 | ||||||
2,316 | Series 343, Class 27, IO, 4.500%, 01/01/19 | 185 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
433 | Series 2003-W1, Class 2A, VAR, 7.007%, 12/25/42 | 511 | ||||||
2,435 | Series 2003-W15, Class 3A, VAR, 3.792%, 12/25/42 (m) | 2,571 | ||||||
2,209 | Series 2003-W4, Class 5A, VAR, 3.128%, 10/25/42 (m) | 2,362 | ||||||
253 | Series 2004-W2, Class 1A3F, VAR, 0.585%, 02/25/44 | 251 | ||||||
1,107 | Series 2004-W2, Class 4A, VAR, 2.984%, 02/25/44 | 1,141 | ||||||
2,072 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 2,387 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
Government National Mortgage Association, | ||||||||
843 | Series 1999-27, Class ZA, 7.500%, 04/17/29 | 975 | ||||||
22 | Series 2000-35, Class F, VAR, 0.788%, 12/16/25 | 23 | ||||||
542 | Series 2002-31, Class FC, VAR, 0.486%, 09/26/21 | 542 | ||||||
1,082 | Series 2003-21, Class PI, IO, 5.500%, 06/20/32 | 43 | ||||||
6,551 | Series 2003-59, Class XA, IO, VAR, 0.972%, 06/16/34 | 98 | ||||||
8,828 | Series 2010-166, Class GP, 3.000%, 04/20/39 | 9,322 | ||||||
9,846 | Series 2012-61, Class FM, VAR, 0.639%, 05/16/42 (m) | 9,878 | ||||||
784 | NCUA Guaranteed Notes, Series 2010-C1, Class A1, 1.600%, 10/29/20 | 796 | ||||||
|
| |||||||
140,976 | ||||||||
|
| |||||||
Non-Agency CMO — 22.0% |
| |||||||
1,665 | Banc of America Alternative Loan Trust, Series 2004-8, Class 3A1, 5.500%, 09/25/19 | 1,687 | ||||||
Banc of America Funding Corp., | ||||||||
1,107 | Series 2005-E, Class 5A1, VAR, 3.137%, 05/20/35 | 1,072 | ||||||
1,794 | Series 2006-1, Class 2A1, 5.500%, 01/25/36 | 1,808 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
26 | Series 2003-5, Class 2A8, VAR, 0.685%, 07/25/18 | 23 | ||||||
2,137 | Series 2004-D, Class 2A2, VAR, 3.117%, 05/25/34 | 2,101 | ||||||
848 | Series 2005-10, Class 1A13, 5.500%, 11/25/35 | 849 | ||||||
1,279 | Series 2005-A, Class 3A1, VAR, 2.989%, 02/25/35 | 1,126 | ||||||
783 | Bear Stearns Asset-Backed Securities Trust, Series 2004-AC6, Class M1, VAR, 0.906%, 11/25/34 | 385 | ||||||
368 | Chase Mortgage Finance Corp., Series 2003-S7, Class A4, VAR, 0.635%, 08/25/18 | 335 | ||||||
24 | Collateralized Mortgage Obligation Trust, | 23 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
1,342 | Series 2003-J1, Class 1A8, 5.250%, 10/25/33 | 1,373 | ||||||
1,590 | Series 2004-33, Class 3A3, VAR, 2.708%, 12/25/34 | 855 | ||||||
501 | Series 2004-J4, Class 1A6, SUB, 4.900%, 06/25/34 | 507 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
568 | Series 2002-38, Class A1, 5.000%, 02/25/18 | 585 |
SEE NOTES TO FINANCIAL STATEMENTS.
178 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
877 | Series 2003-21, Class A1, VAR, 3.104%, 05/25/33 | 891 | ||||||
546 | Series 2004-HYB8, Class 1A1, VAR, 0.587%, 01/20/35 | 381 | ||||||
681 | Series 2005-1, Class 1A2, VAR, 0.586%, 03/25/35 | 73 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
2,105 | Series 2003-AR24, Class 2A4, VAR, 2.738%, 10/25/33 | 2,004 | ||||||
1,684 | Series 2004-5, Class 4A1, 6.000%, 09/25/34 | 1,732 | ||||||
791 | Series 2004-AR3, Class 6M1, VAR, 1.335%, 04/25/34 | 732 | ||||||
570 | Series 2005-5, Class 1A1, 5.000%, 07/25/20 | 598 | ||||||
1,291 | Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.626%, 02/25/20 | 1,332 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
77 | Series 2005-AA7, Class 1A2, VAR, 2.603%, 09/25/35 | — | (h) | |||||
1,051 | Series 2005-FA10, Class 2A1, 5.250%, 12/25/20 | 1,079 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
1,835 | Series 2004-AR6, Class 2A1, VAR, 2.625%, 12/25/34 | 1,783 | ||||||
127 | Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 | 126 | ||||||
387 | Series 2005-6, Class 1A1, 5.500%, 11/25/35 | 390 | ||||||
First Republic Mortgage Loan Trust, | ||||||||
121 | Series 2000-FRB1, Class B1, VAR, 0.736%, 06/25/30 | 93 | ||||||
660 | Series 2000-FRB2, Class A1, VAR, 0.740%, 11/15/30 | 650 | ||||||
3,352 | GSAA Home Equity Trust, Series 2004-CW1, Class 1A1, 5.500%, 04/01/34 | 3,477 | ||||||
2,057 | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1, 5.500%, 09/25/34 | 2,098 | ||||||
Impac CMB Trust, | ||||||||
632 | Series 2004-3, Class 3A, VAR, 0.875%, 03/25/34 | 572 | ||||||
546 | Series 2004-6, Class 1A2, VAR, 1.015%, 10/25/34 | 468 | ||||||
2,201 | Series 2005-5, Class A1, VAR, 0.875%, 08/25/35 | 1,716 | ||||||
1,790 | Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1, VAR, 3.158%, 03/25/37 | 1,351 | ||||||
JPMorgan Mortgage Trust, | ||||||||
371 | Series 2003-A1, Class 1A1, VAR, 2.367%, 10/25/33 | 384 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
179 | Series 2005-A2, Class 5A1, VAR, 4.267%, 04/25/35 | 182 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
1,736 | Series 2003-5, Class 5A1, VAR, 2.360%, 10/25/33 | 1,750 | ||||||
56 | Series 2004-7, Class 6A1, VAR, 0.676%, 08/25/34 | 56 | ||||||
1,158 | Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 1,166 | ||||||
3,220 | Series 2004-13, Class 3A7B, VAR, 2.210%, 11/21/34 | 3,220 | ||||||
319 | MASTR Seasoned Securities Trust, Series 2003-1, Class 3A2, VAR, 0.635%, 02/25/33 | 287 | ||||||
Mellon Residential Funding Corp., | ||||||||
958 | Series 2001-TBC1, Class B1, VAR, 1.120%, 11/15/31 | 777 | ||||||
203 | Series 2002-TBC1, Class B1, VAR, 1.240%, 09/15/30 | 156 | ||||||
101 | Series 2002-TBC1, Class B2, VAR, 1.640%, 09/15/30 | 77 | ||||||
579 | Series 2002-TBC2, Class B1, VAR, 1.089%, 08/15/32 | 440 | ||||||
145 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 161 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
952 | Series 2004-1, Class 2A3, VAR, 2.514%, 12/25/34 | 944 | ||||||
1,672 | Series 2004-D, Class A1, VAR, 0.896%, 09/25/29 | 1,647 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
644 | Series 2003-HYB1, Class A4, VAR, 2.671%, 03/25/33 | 599 | ||||||
438 | Series 2003-HYB1, Class B1, VAR, 2.671%, 03/25/33 | 257 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
750 | Series 2004-5AR, Class 3A3, VAR, 2.690%, 07/25/34 | 518 | ||||||
4,226 | Series 2004-5AR, Class 3A5, VAR, 2.690%, 07/25/34 | 3,970 | ||||||
1,886 | Series 2004-11AR, Class 1A2A, VAR, 0.546%, 01/25/35 | 1,726 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
332 | Series 2003-A3, Class A1, SUB, 5.500%, 08/25/33 | 330 | ||||||
99 | Series 2004-AR1, Class 5A1, VAR, 0.996%, 08/25/34 | 90 | ||||||
2,025 | Series 2004-R3, Class AF, VAR, 0.685%, 02/25/35 (e) | 1,596 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 179 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
35 | Series 2005-AR1, Class 2A1, VAR, 0.515%, 02/25/35 | 35 | ||||||
1,743 | Prime Mortgage Trust, Series 2005-2, Class 2A1, VAR, 7.088%, 10/25/32 | 1,733 | ||||||
982 | RALI Trust, Series 2003-QS16, Class A1, 5.000%, 08/25/18 | 1,002 | ||||||
RFMSI Trust, | ||||||||
1,577 | Series 2005-S1, Class 1A6, 5.500%, 02/25/35 | 1,589 | ||||||
4,500 | Series 2005-SA2, Class 2A2, VAR, 3.256%, 06/25/35 | 3,915 | ||||||
1,251 | Series 2006-SA4, Class 2A1, VAR, 3.757%, 11/25/36 | 961 | ||||||
5 | Securitized Asset Sales, Inc., Series 1993-7, Class TA3, 6.250%, 12/25/23 | 5 | ||||||
Sequoia Mortgage Trust, | ||||||||
167 | Series 11, Class A, VAR, 1.137%, 12/20/32 | 159 | ||||||
337 | Series 2003-3, Class A2, VAR, 1.068%, 07/20/33 | 312 | ||||||
3,103 | Series 2004-11, Class A2, VAR, 1.055%, 12/20/34 | 2,913 | ||||||
2,000 | Springleaf Mortgage Loan Trust, Series 2012-1A, Class B1, VAR, 6.000%, 09/25/57 (e) | 1,965 | ||||||
Structured Asset Mortgage Investments, Inc., | ||||||||
1,709 | Series 2002-AR2, Class A3, VAR, 0.987%, 07/19/32 | 1,341 | ||||||
263 | Series 2004-AR1, Class 1A1, VAR, 0.937%, 03/19/34 | 249 | ||||||
Structured Asset Securities Corp., | ||||||||
520 | Series 2003-8, Class 2A9, VAR, 0.735%, 04/25/33 | 506 | ||||||
1,850 | Series 2003-40A, Class 4A, VAR, 2.796%, 01/25/34 | 1,773 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1,464 | Series 2004-AR11, Class A, VAR, 2.449%, 10/25/34 | 1,452 | ||||||
3,358 | Series 2004-AR3, Class A1, VAR, 2.584%, 06/25/34 | 3,409 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
371 | Series 2003-F, Class A1, VAR, 4.868%, 06/25/33 | 379 | ||||||
1,134 | Series 2003-K, Class 1A2, VAR, 4.444%, 11/25/33 | 1,171 | ||||||
1,014 | Series 2004-2, Class A1, 5.000%, 02/25/19 | 1,036 | ||||||
601 | Series 2004-H, Class A2, VAR, 2.615%, 06/25/34 | 601 | ||||||
1,199 | Series 2005-16, Class A16, 5.750%, 01/25/36 | 1,232 | ||||||
1,149 | Series 2005-AR16, Class 3A2, VAR, 2.641%, 03/25/35 | 1,137 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
571 | Series 2006-17, Class A1, 5.500%, 11/25/21 | 603 | ||||||
1,237 | Series 2007-3, Class 3A1, 5.500%, 04/25/22 | 1,282 | ||||||
|
| |||||||
85,368 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 226,344 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 3.1% |
| ||||||
2,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5, VAR, 4.857%, 07/10/43 | 2,189 | ||||||
Bayview Commercial Asset Trust, | ||||||||
703 | Series 2004-3, Class A2, VAR, 0.655%, 01/25/35 (e) | 554 | ||||||
2,502 | Series 2005-2A, Class A2, VAR, 0.586%, 08/25/35 (e) | 1,778 | ||||||
500 | Series 2005-2A, Class M1, VAR, 0.665%, 08/25/35 (e) | 281 | ||||||
1,533 | Series 2007-2A, Class A2, VAR, 0.556%, 07/25/37 (e) | 494 | ||||||
763 | Series 2007-2A, Class M4, VAR, 0.885%, 07/25/37 (e) | 48 | ||||||
2,228 | �� | Series 2007-3, Class A2, VAR, 0.525%, 07/25/37 (e) | 1,036 | |||||
1,155 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 1,225 | ||||||
1,796 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4, VAR, 5.414%, 10/15/44 | 2,001 | ||||||
2,196 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e) | 2,240 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 11,846 | |||||||
|
| |||||||
| Corporate Bond — 0.3% |
| ||||||
Financials — 0.3% |
| |||||||
Commercial Banks — 0.3% |
| |||||||
1,325 | Wells Fargo & Co., 1.500%, 07/01/15 | 1,346 | ||||||
|
| |||||||
| Mortgage Pass-Through Securities — 14.0% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
97 | ARM, 2.072%, 07/01/19 | 103 | ||||||
18 | ARM, 2.095%, 12/01/21 | 19 | ||||||
96 | ARM, 2.168%, 01/01/27 | 102 | ||||||
658 | ARM, 2.243%, 06/01/22 - 01/01/23 | 700 | ||||||
14 | ARM, 2.250%, 06/01/26 (m) | 15 | ||||||
54 | ARM, 2.303%, 04/01/30 | 58 | ||||||
1,049 | ARM, 2.312%, 04/01/32 | 1,119 | ||||||
62 | ARM, 2.320%, 12/01/26 | 65 |
SEE NOTES TO FINANCIAL STATEMENTS.
180 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
229 | ARM, 2.327%, 12/01/27 (m) | 244 | ||||||
29 | ARM, 2.340%, 10/01/29 | 29 | ||||||
300 | ARM, 2.342%, 08/01/27 | 321 | ||||||
94 | ARM, 2.344%, 07/01/28 | 100 | ||||||
410 | ARM, 2.345%, 07/01/30 (m) | 435 | ||||||
255 | ARM, 2.390%, 12/01/26 | 273 | ||||||
107 | ARM, 2.404%, 02/01/23 | 109 | ||||||
28 | ARM, 2.405%, 11/01/27 | 29 | ||||||
25 | ARM, 2.411%, 12/01/29 | 27 | ||||||
42 | ARM, 2.433%, 05/01/18 | 45 | ||||||
52 | ARM, 2.548%, 01/01/30 | 56 | ||||||
389 | ARM, 2.569%, 01/01/23 (m) | 418 | ||||||
61 | ARM, 2.585%, 04/01/24 | 66 | ||||||
17 | ARM, 2.974%, 06/01/25 | 17 | ||||||
28 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 8.000%, 06/01/17 | 31 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
11 | 7.500%, 05/01/28 | 13 | ||||||
42 | 8.500%, 07/01/28 | 51 | ||||||
23 | 9.000%, 02/01/25 | 29 | ||||||
Federal National Mortgage Association, | ||||||||
13 | ARM, 1.625%, 03/01/17 | 14 | ||||||
251 | ARM, 1.872%, 11/01/18 | 263 | ||||||
109 | ARM, 1.875%, 12/01/20 - 04/01/21 | 114 | ||||||
13 | ARM, 1.880%, 06/01/18 | 14 | ||||||
117 | ARM, 1.990%, 07/01/20 (m) | 120 | ||||||
23 | ARM, 1.996%, 04/01/24 | 23 | ||||||
37 | ARM, 2.025%, 05/01/30 | 38 | ||||||
1,003 | ARM, 2.094%, 05/01/33 | 1,057 | ||||||
44 | ARM, 2.127%, 05/01/18 | 45 | ||||||
12 | ARM, 2.230%, 07/01/25 | 13 | ||||||
16 | ARM, 2.247%, 11/01/21 | 17 | ||||||
12 | ARM, 2.272%, 05/01/29 | 12 | ||||||
83 | ARM, 2.302%, 01/01/31 (m) | 87 | ||||||
49 | ARM, 2.325%, 05/01/31 | 50 | ||||||
61 | ARM, 2.334%, 06/01/26 | 65 | ||||||
345 | ARM, 2.336%, 09/01/33 | 369 | ||||||
131 | ARM, 2.415%, 09/01/19 | 138 | ||||||
25 | ARM, 2.417%, 03/01/38 | 27 | ||||||
734 | ARM, 2.460%, 01/01/25 | 787 | ||||||
24 | ARM, 2.470%, 12/01/26 | 26 | ||||||
59 | ARM, 2.472%, 11/01/23 | 60 | ||||||
178 | ARM, 2.514%, 08/01/26 | 192 | ||||||
137 | ARM, 2.568%, 12/01/28 | 140 | ||||||
80 | ARM, 2.580%, 03/01/29 | 86 | ||||||
88 | ARM, 2.693%, 11/01/30 | 92 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
85 | ARM, 3.033%, 07/01/27 | 92 | ||||||
55 | ARM, 3.715%, 03/01/15 | 56 | ||||||
316 | ARM, 4.177%, 02/01/34 | 336 | ||||||
7 | ARM, 4.340%, 05/01/20 | 7 | ||||||
66 | ARM, 6.000%, 01/01/20 | 68 | ||||||
— | (h) | Federal National Mortgage Association, 10 Year, Single Family, 4.500%, 01/01/13 | — | (h) | ||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
11,835 | 4.000%, 02/01/25 | 12,672 | ||||||
3 | 6.000%, 08/01/14 | 3 | ||||||
100 | 7.000%, 03/01/16 (m) | 101 | ||||||
8,424 | Federal National Mortgage Association, 20 Year, Single Family, 5.000%, 10/01/23 | 9,343 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
26 | 7.000%, 03/01/27 | 31 | ||||||
22 | 8.000%, 11/01/27 | 27 | ||||||
26 | 8.500%, 10/01/24 | 26 | ||||||
11 | 9.000%, 08/01/25 | 11 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
5,453 | 5.000%, 12/01/39 | 6,186 | ||||||
5,446 | 5.500%, 08/01/40 | 6,003 | ||||||
3,414 | 6.000%, 04/01/39 | 3,829 | ||||||
33 | 7.250%, 09/01/22 | 38 | ||||||
155 | 7.500%, 06/01/23 - 10/01/30 | 177 | ||||||
8 | 8.500%, 08/01/17 | 8 | ||||||
Federal National Mortgage Association, Other, | ||||||||
24 | 6.500%, 04/01/16 | 25 | ||||||
60 | 12.000%, 11/01/30 | 67 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
56 | 7.250%, 08/20/22 - 11/20/22 | 66 | ||||||
69 | 7.400%, 10/20/21 - 03/20/22 | 81 | ||||||
19 | 7.500%, 10/20/23 | 23 | ||||||
22 | 7.850%, 12/20/21 | 22 | ||||||
72 | 8.000%, 07/20/25 - 08/20/26 | 88 | ||||||
5,819 | Government National Mortgage Association, 15 Year, Single Family, 4.500%, 10/15/24 | 6,365 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
56 | 7.000%, 06/15/24 | 67 | ||||||
28 | 8.000%, 10/15/27 | 34 | ||||||
26 | 9.000%, 11/15/24 | 29 | ||||||
172 | 9.500%, 07/15/25 | 189 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 54,393 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 181 |
Table of Contents
JPMorgan Limited Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 10.6% |
| ||||||
Investment Company — 10.6% |
| |||||||
41,163 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120% (b) (l) | 41,163 | ||||||
|
| |||||||
Total Investments — 99.8% | 387,447 | |||||||
Other Assets in Excess of | 768 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 388,215 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
182 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 3.0% |
| ||||||
1,002 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.416%, 04/25/36 | 869 | ||||||
AH Mortgage Advance Trust, (Cayman Islands), | ||||||||
2,766 | Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 2,773 | ||||||
7,667 | Series SART-1, Class A2, 3.370%, 05/10/43 (e) | 7,686 | ||||||
3,201 | Series SART-2, Class A1, 3.270%, 09/15/43 (e) | 3,237 | ||||||
1,000 | Series SART-2, Class B1, 6.900%, 09/15/43 (e) | 1,002 | ||||||
2,824 | Series SART-3, Class 1A1, 2.980%, 03/13/43 (e) | 2,844 | ||||||
5,119 | Series SART-3, Class 1A2, 3.720%, 03/13/44 (e) | 5,170 | ||||||
Asset-Backed Funding Certificates, | ||||||||
1,700 | Series 2005-AQ1, Class A4, SUB, 5.010%, 06/25/35 | 1,723 | ||||||
2,172 | Series 2005-WF1, Class A2C, VAR, 0.546%, 12/25/34 | 2,009 | ||||||
319 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.605%, 04/25/36 | 271 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
2,275 | Series 2002-3, Class 1A5, SUB, 5.407%, 06/25/32 | 2,226 | ||||||
1,243 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 1,309 | ||||||
1,261 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,184 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
251 | Series 2003-HE3, Class A, VAR, 0.615%, 12/25/33 | 228 | ||||||
1,571 | Series 2004-HE1, Class A, VAR, 0.565%, 09/25/33 (e) | 1,455 | ||||||
2,042 | Series 2011-5, Class 1A1, VAR, 0.425%, 02/25/46 (e) (f) (i) | 1,881 | ||||||
753 | Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 758 | ||||||
119 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 4.350%, 01/25/36 | 62 | ||||||
308 | Federal National Mortgage Association Whole Loan, Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32 | 337 | ||||||
129 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.335%, 12/25/36 | 123 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
2,774 | Fortress Opportunities Residential Transaction, Series 2011-1A, Class A1, VAR, 7.211%, 10/25/47 (e) | 2,829 | ||||||
Freedom Trust, | ||||||||
659 | Series 2011-1, Class A13, VAR, 0.402%, 11/30/37 (e) (f) (i) | 641 | ||||||
1,799 | Series 2011-2, Class A11, VAR, 4.003%, 08/01/46 (e) | 1,801 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
381 | Series 2005-2, Class A1, VAR, 0.507%, 01/20/35 | 360 | ||||||
508 | Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 | 482 | ||||||
366 | Series 2006-2, Class A1, VAR, 0.387%, 03/20/36 | 348 | ||||||
561 | Series 2007-1, Class AS, VAR, 0.437%, 03/20/36 | 525 | ||||||
1,488 | Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 | 1,427 | ||||||
305 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.435%, 03/25/36 | 173 | ||||||
2,701 | Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.586%, 07/25/34 (e) | 2,661 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
2,200 | Series 2004-1, Class M1, VAR, 0.986%, 02/25/34 | 1,805 | ||||||
341 | Series 2006-8, Class 2A2, VAR, 0.326%, 09/25/36 | 125 | ||||||
550 | Series 2006-WL2, Class 2A3, VAR, 0.435%, 01/25/36 | 450 | ||||||
Madison Avenue Manufactured Housing Contract, | ||||||||
172,624 | Series 2002-A, Class IO, IO, 0.300%, 03/25/32 | 1,673 | ||||||
1,684 | Series 2002-A, Class M2, VAR, 2.486%, 03/25/32 | 1,556 | ||||||
Mid-State Trust, | ||||||||
3,038 | Series 2006-1, Class M1, 6.083%, 10/15/40 (e) | 3,028 | ||||||
1,633 | Series 2010-1, Class A, 3.500%, 12/15/45 (e) | 1,686 | ||||||
2,518 | Series 2010-1, Class M, 5.250%, 12/15/45 (e) | 2,602 | ||||||
1,238 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.591%, 12/07/20 | 1,242 | ||||||
700 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.191%, 11/25/33 | 720 | ||||||
611 | Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e) | 613 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 183 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
2,330 | Park Place Securities, Inc., Series 2004-MCW1, Class M1, VAR, 0.861%, 10/25/34 | 2,218 | ||||||
1,099 | PennyMac Loan Trust, Series 2011-NPL1, Class A, VAR, 5.250%, 09/25/51 (e) (f) (i) | 1,100 | ||||||
RAMP Trust, | ||||||||
777 | Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32 | 772 | ||||||
245 | Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34 | 234 | ||||||
3,011 | Series 2004-RS11, Class M1, VAR, 0.856%, 11/25/34 | 2,867 | ||||||
1,200 | Series 2005-EFC5, Class A3, VAR, 0.575%, 10/25/35 | 1,069 | ||||||
4,000 | Series 2006-RZ1, Class A3, VAR, 0.536%, 03/25/36 | 3,506 | ||||||
1,205 | RASC Trust, Series 2005-KS9, Class A3, VAR, 0.605%, 10/25/35 | 1,170 | ||||||
Real Estate Asset Trust, | ||||||||
377 | Series 2011-2A, Class A1, 5.750%, 05/25/49 (e) (f) (i) | 377 | ||||||
5,153 | Series 2012-2A, Class A1, VAR, 4.460%, 08/25/42 (e) (f) (i) | 5,153 | ||||||
1,500 | Series 2012-2A, Class A2, VAR, 6.660%, 08/25/42 (e) (f) (i) | 1,500 | ||||||
500 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 215 | ||||||
2,197 | Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (f) (i) | 2,203 | ||||||
12,135 | Resort Finance Timeshare Receivables Trust, Series 2012-1, Class A1, SUB, 6.25%, 07/05/18 (f) (i) | 12,135 | ||||||
255 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.950%, 04/25/32 (e) | 217 | ||||||
1,023 | Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33 | 1,023 | ||||||
1,671 | Stanwich Mortgage Loan Trust, Series 2012-NPL3, Class A, 4.213%, 05/15/42 (e) | 1,678 | ||||||
817 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.506%, 06/25/35 | 806 | ||||||
Structured Asset Securities Corp., | ||||||||
669 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 677 | ||||||
602 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 551 | ||||||
1,942 | Series 2002-AL1, Class A3, 3.450%, 02/25/32 | 1,757 | ||||||
VOLT LLC, | ||||||||
10,270 | Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) | 10,270 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
6,152 | Series 2012-RP2A, Class A1, 4.704%, 06/26/17 (e) (f) (i) | 6,168 | ||||||
625 | Series 2012-RP2A, Class A2, 8.836%, 06/26/17 (e) | 628 | ||||||
|
| |||||||
Total Asset-Backed Securities | 122,188 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 50.9% |
| ||||||
Agency CMO — 36.1% |
| |||||||
1,301 | Federal Home Loan Bank, Series 9M-2012, Class A, 4.720%, 09/20/12 | 1,304 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
21 | Series 11, Class D, 9.500%, 07/15/19 | 22 | ||||||
14 | Series 22, Class C, 9.500%, 04/15/20 | 15 | ||||||
19 | Series 23, Class F, 9.600%, 04/15/20 | 21 | ||||||
11 | Series 30, Class D, 9.500%, 02/15/20 | 12 | ||||||
— | (h) | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | |||||
6 | Series 47, Class F, 10.000%, 06/15/20 | 7 | ||||||
62 | Series 77, Class H, 8.500%, 09/15/20 | 69 | ||||||
2 | Series 81, Class A, 8.125%, 11/15/20 | 3 | ||||||
6 | Series 84, Class F, 9.200%, 10/15/20 | 6 | ||||||
6 | Series 99, Class Z, 9.500%, 01/15/21 | 7 | ||||||
— | (h) | Series 180, Class J, HB, 1,010.000%, 09/15/21 | — | (h) | ||||
— | (h) | Series 186, Class I, HB, 1,009.500%, 08/15/21 | 1 | |||||
— | (h) | Series 189, Class K, HB, 1,009.500%, 10/15/21 | 1 | |||||
— | (h) | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 | 8 | |||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 2 | |||||
4 | Series 1065, Class J, 9.000%, 04/15/21 | 5 | ||||||
7 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 | 14 | ||||||
— | (h) | Series 1082, Class D, HB, 1,007.780%, 05/15/21 | 1 | |||||
4 | Series 1084, Class F, VAR, 1.200%, 05/15/21 | 4 | ||||||
3 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 | 6 | ||||||
6 | Series 1133, Class H, 7.000%, 09/15/21 | 7 | ||||||
17 | Series 1144, Class KB, 8.500%, 09/15/21 | 19 | ||||||
— | (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 | 7 | |||||
39 | Series 1343, Class LA, 8.000%, 08/15/22 | 46 | ||||||
19 | Series 1343, Class LB, 7.500%, 08/15/22 | 23 | ||||||
68 | Series 1374, Class Z, 7.000%, 10/15/22 | 78 |
SEE NOTES TO FINANCIAL STATEMENTS.
184 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
19 | Series 1395, Class G, 6.000%, 10/15/22 | 21 | ||||||
168 | Series 1401, Class J, 7.000%, 10/15/22 | 191 | ||||||
242 | Series 1466, Class PZ, 7.500%, 02/15/23 | 280 | ||||||
7 | Series 1470, Class F, VAR, 2.116%, 02/15/23 | 7 | ||||||
7 | Series 1505, Class QB, HB, IF, 20.183%, 05/15/23 | 12 | ||||||
70 | Series 1518, Class G, IF, 8.799%, 05/15/23 | 84 | ||||||
55 | Series 1526, Class L, 6.500%, 06/15/23 | 56 | ||||||
7 | Series 1540, Class IA, 7.000%, 06/15/13 | 7 | ||||||
77 | Series 1541, Class O, VAR, 0.840%, 07/15/23 | 78 | ||||||
723 | Series 1552, Class IA, IF, 18.698%, 08/15/23 | 1,032 | ||||||
19 | Series 1570, Class F, VAR, 2.616%, 08/15/23 | 20 | ||||||
47 | Series 1570, Class SA, HB, IF, 22.480%, 08/15/23 | 77 | ||||||
196 | Series 1578, Class K, 6.900%, 09/15/23 | 224 | ||||||
22 | Series 1578, Class V, IO, 7.000%, 09/15/23 | 5 | ||||||
440 | Series 1591, Class PV, 6.250%, 10/15/23 | 457 | ||||||
31 | Series 1596, Class D, 6.500%, 10/15/13 | 32 | ||||||
15 | Series 1602, Class SA, HB, IF, 21.937%, 10/15/23 | 24 | ||||||
99 | Series 1609, Class LG, IF, 16.792%, 11/15/23 | 117 | ||||||
572 | Series 1628, Class LZ, 6.500%, 12/15/23 | 641 | ||||||
529 | Series 1638, Class H, 6.500%, 12/15/23 | 599 | ||||||
629 | Series 1644, Class K, 6.750%, 12/15/23 | 638 | ||||||
676 | Series 1658, Class GZ, 7.000%, 01/15/24 | 787 | ||||||
6 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 10 | ||||||
286 | Series 1677, Class Z, 7.500%, 07/15/23 | 332 | ||||||
10 | Series 1686, Class SH, IF, 18.675%, 02/15/24 | 16 | ||||||
12 | Series 1688, Class W, 7.250%, 03/15/14 | 13 | ||||||
253 | Series 1695, Class EB, 7.000%, 03/15/24 | 292 | ||||||
33 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 | 34 | ||||||
48 | Series 1745, Class D, 7.500%, 08/15/24 | 56 | ||||||
976 | Series 1760, Class ZD, VAR, 1.020%, 02/15/24 | 1,015 | ||||||
105 | Series 1798, Class F, 5.000%, 05/15/23 | 115 | ||||||
7 | Series 1807, Class G, 9.000%, 10/15/20 | 7 | ||||||
904 | Series 1813, Class I, PO, 11/15/23 | 804 | ||||||
3,493 | Series 1813, Class J, IF, IO, 5.750%, 11/15/23 | 501 | ||||||
204 | Series 1829, Class ZB, 6.500%, 03/15/26 | 230 | ||||||
5 | Series 1844, Class E, 6.500%, 10/15/13 | 5 | ||||||
352 | Series 1863, Class Z, 6.500%, 07/15/26 | 397 | ||||||
6 | Series 1865, Class D, PO, 02/15/24 | 5 | ||||||
109 | Series 1899, Class ZE, 8.000%, 09/15/26 | 128 | ||||||
96 | Series 1963, Class Z, 7.500%, 01/15/27 | 113 | ||||||
32 | Series 1985, Class PR, IO, 8.000%, 07/15/27 | 7 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
46 | Series 1987, Class PE, 7.500%, 09/15/27 | 54 | ||||||
1 | Series 2025, Class PE, 6.300%, 01/15/13 | 1 | ||||||
379 | Series 2033, Class J, 5.600%, 06/15/23 | 417 | ||||||
21 | Series 2033, Class SN, HB, IF, 26.419%, 03/15/24 | 18 | ||||||
27 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 7 | ||||||
236 | Series 2040, Class PE, 7.500%, 03/15/28 | 277 | ||||||
31 | Series 2042, Class T, 7.000%, 03/15/28 | 36 | ||||||
19 | Series 2055, Class OE, 6.500%, 05/15/13 | 19 | ||||||
100 | Series 2060, Class Z, 6.500%, 05/15/28 | 114 | ||||||
242 | Series 2061, Class DC, IO, 6.500%, 06/15/28 | 58 | ||||||
19,313 | Series 2065, Class PX, IO, 0.750%, 08/17/27 | 483 | ||||||
607 | Series 2075, Class PH, 6.500%, 08/15/28 | 696 | ||||||
110 | Series 2086, Class GB, 6.000%, 09/15/28 | 112 | ||||||
43 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 11 | ||||||
122 | Series 2102, Class TC, 6.000%, 12/15/13 (m) | 125 | ||||||
80 | Series 2102, Class TU, 6.000%, 12/15/13 (m) | 82 | ||||||
449 | Series 2110, Class PG, 6.000%, 01/15/29 | 482 | ||||||
463 | Series 2111, Class SB, IF, IO, 7.261%, 01/15/29 | 115 | ||||||
75 | Series 2115, Class PE, 6.000%, 01/15/14 | 77 | ||||||
158 | Series 2125, Class JZ, 6.000%, 02/15/29 | 165 | ||||||
340 | Series 2130, Class QS, 6.000%, 03/15/29 | 380 | ||||||
69 | Series 2132, Class SB, HB, IF, 29.485%, 03/15/29 | 133 | ||||||
102 | Series 2132, Class ZL, 6.500%, 03/15/29 | 111 | ||||||
3 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | — | (h) | |||||
14 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 3 | ||||||
36 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 8 | ||||||
79 | Series 2178, Class PB, 7.000%, 08/15/29 | 92 | ||||||
119 | Series 2201, Class C, 8.000%, 11/15/29 | 142 | ||||||
395 | Series 2209, Class TC, 8.000%, 01/15/30 | 468 | ||||||
207 | Series 2210, Class Z, 8.000%, 01/15/30 | 247 | ||||||
79 | Series 2224, Class CB, 8.000%, 03/15/30 | 95 | ||||||
45 | Series 2247, Class Z, 7.500%, 08/15/30 | 54 | ||||||
271 | Series 2254, Class Z, 9.000%, 09/15/30 | 324 | ||||||
215 | Series 2256, Class MC, 7.250%, 09/15/30 | 253 | ||||||
347 | Series 2259, Class ZM, 7.000%, 10/15/30 | 408 | ||||||
380 | Series 2271, Class PC, 7.250%, 12/15/30 | 447 | ||||||
273 | Series 2283, Class K, 6.500%, 12/15/23 | 306 | ||||||
101 | Series 2296, Class PD, 7.000%, 03/15/31 | 119 | ||||||
40 | Series 2301, Class PA, 6.000%, 10/15/13 | 41 | ||||||
1,490 | Series 2303, Class ZD, 7.000%, 04/15/31 | 1,573 | ||||||
847 | Series 2303, Class ZN, 8.500%, 04/15/29 | 906 | ||||||
49 | Series 2306, Class K, PO, 05/15/24 | 41 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 185 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
121 | Series 2306, Class SE, IF, IO, 9.080%, 05/15/24 | 22 | ||||||
347 | Series 2344, Class QG, 6.000%, 08/15/16 | 369 | ||||||
805 | Series 2344, Class ZD, 6.500%, 08/15/31 | 886 | ||||||
95 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 105 | ||||||
60 | Series 2345, Class NE, 6.500%, 08/15/31 | 62 | ||||||
174 | Series 2347, Class VP, 6.500%, 03/15/20 | 174 | ||||||
138 | Series 2353, Class TD, 6.000%, 09/15/16 | 148 | ||||||
138 | Series 2355, Class BP, 6.000%, 09/15/16 | 147 | ||||||
111 | Series 2358, Class PD, 6.000%, 09/15/16 | 118 | ||||||
239 | Series 2359, Class PM, 6.000%, 09/15/16 | 247 | ||||||
353 | Series 2359, Class ZB, 8.500%, 06/15/31 | 413 | ||||||
255 | Series 2360, Class PG, 6.000%, 09/15/16 | 273 | ||||||
73 | Series 2363, Class PF, 6.000%, 09/15/16 | 77 | ||||||
132 | Series 2366, Class MD, 6.000%, 10/15/16 | 141 | ||||||
1,588 | Series 2367, Class ZK, 6.000%, 10/15/31 | 1,789 | ||||||
46 | Series 2368, Class AS, HB, IF, 20.307%, 10/15/31 | 77 | ||||||
93 | Series 2368, Class TG, 6.000%, 10/15/16 | 99 | ||||||
62 | Series 2372, Class F, VAR, 0.739%, 10/15/31 | 62 | ||||||
69 | Series 2383, Class FD, VAR, 0.739%, 11/15/31 | 70 | ||||||
108 | Series 2388, Class UZ, 8.500%, 06/15/31 | 129 | ||||||
606 | Series 2391, Class QR, 5.500%, 12/15/16 | 644 | ||||||
64 | Series 2394, Class MC, 6.000%, 12/15/16 | 69 | ||||||
1,096 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,209 | ||||||
198 | Series 2410, Class OE, 6.375%, 02/15/32 | 218 | ||||||
224 | Series 2410, Class QS, IF, 18.877%, 02/15/32 | 317 | ||||||
136 | Series 2410, Class QX, IF, IO, 8.411%, 02/15/32 | 29 | ||||||
199 | Series 2423, Class MC, 7.000%, 03/15/32 | 234 | ||||||
254 | Series 2423, Class MT, 7.000%, 03/15/32 | 285 | ||||||
169 | Series 2425, Class OB, 6.000%, 03/15/17 | 181 | ||||||
3,113 | Series 2431, Class F, VAR, 0.739%, 03/15/32 | 3,137 | ||||||
463 | Series 2433, Class SA, HB, IF, 20.307%, 02/15/32 | 768 | ||||||
305 | Series 2434, Class TC, 7.000%, 04/15/32 | 350 | ||||||
507 | Series 2436, Class MC, 7.000%, 04/15/32 | 592 | ||||||
171 | Series 2444, Class ES, IF, IO, 7.711%, 03/15/32 | 38 | ||||||
184 | Series 2450, Class GZ, 7.000%, 05/15/32 | 217 | ||||||
193 | Series 2450, Class SW, IF, IO, 7.760%, 03/15/32 | 44 | ||||||
307 | Series 2458, Class QE, 5.500%, 06/15/17 | 326 | ||||||
454 | Series 2462, Class NB, 6.500%, 06/15/22 | 513 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
882 | Series 2464, Class FE, VAR, 1.240%, 03/15/32 | 901 | ||||||
55 | Series 2470, Class SL, IF, 9.000%, 01/15/27 | 67 | ||||||
206 | Series 2474, Class SJ, IF, IO, 7.410%, 07/15/17 | 17 | ||||||
2,758 | Series 2494, Class SX, IF, IO, 6.761%, 02/15/32 | 479 | ||||||
863 | Series 2513, Class ZC, 5.500%, 10/15/32 | 958 | ||||||
103 | Series 2515, Class DE, 4.000%, 03/15/32 | 104 | ||||||
908 | Series 2517, Class Z, 5.500%, 10/15/32 | 1,010 | ||||||
530 | Series 2533, Class HB, 5.500%, 12/15/17 | 570 | ||||||
262 | Series 2535, Class BK, 5.500%, 12/15/22 | 291 | ||||||
807 | Series 2549, Class ZG, 5.000%, 01/15/18 | 843 | ||||||
6,825 | Series 2552, Class FP, VAR, 1.240%, 01/15/33 | 6,927 | ||||||
2,330 | Series 2557, Class HL, 5.300%, 01/15/33 | 2,577 | ||||||
8,775 | Series 2568, Class KG, 5.500%, 02/15/23 | 9,651 | ||||||
121 | Series 2571, Class SK, HB, IF, 33.467%, 09/15/23 | 239 | ||||||
862 | Series 2574, Class HP, 5.000%, 02/15/18 | 925 | ||||||
822 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 164 | ||||||
171 | Series 2587, Class CO, PO, 03/15/32 | 171 | ||||||
528 | Series 2590, Class IP, IO, 5.500%, 08/15/31 | 5 | ||||||
1,028 | Series 2591, Class QO, 4.500%, 03/15/18 | 1,090 | ||||||
158 | Series 2594, Class DJ, 4.250%, 10/15/30 | 159 | ||||||
15 | Series 2597, Class DS, IF, IO, 7.310%, 02/15/33 | 1 | ||||||
18 | Series 2599, Class DS, IF, IO, 6.761%, 02/15/33 | — | (h) | |||||
16 | Series 2610, Class DS, IF, IO, 6.860%, 03/15/33 | — | (h) | |||||
2,072 | Series 2610, Class DZ, 5.500%, 05/15/33 | 2,280 | ||||||
257 | Series 2611, Class SQ, IF, 12.521%, 05/15/33 | 307 | ||||||
607 | Series 2611, Class UH, 4.500%, 05/15/18 | 638 | ||||||
1,503 | Series 2617, Class GR, 4.500%, 05/15/18 | 1,596 | ||||||
1,422 | Series 2626, Class NS, IF, IO, 6.311%, 06/15/23 | 102 | ||||||
2,018 | Series 2627, Class GY, 4.500%, 06/15/18 | 2,144 | ||||||
1,238 | Series 2631, Class LC, 4.500%, 06/15/18 | 1,318 | ||||||
167 | Series 2631, Class SA, IF, 14.411%, 06/15/33 | 211 | ||||||
684 | Series 2637, Class SA, IF, IO, 5.861%, 06/15/18 | 69 | ||||||
251 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 9 | ||||||
582 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 19 | ||||||
3 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | — | (h) | |||||
1,699 | Series 2641, Class WI, IO, 5.000%, 01/15/33 | 169 |
SEE NOTES TO FINANCIAL STATEMENTS.
186 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
538 | Series 2649, Class IG, IO, 5.000%, 11/15/31 | 20 | ||||||
791 | Series 2650, Class PO, PO, 12/15/32 | 760 | ||||||
1,340 | Series 2650, Class SO, PO, 12/15/32 | 1,284 | ||||||
311 | Series 2671, Class S, IF, 14.319%, 09/15/33 | 393 | ||||||
967 | Series 2672, Class ME, 5.000%, 11/15/22 | 1,021 | ||||||
4,950 | Series 2675, Class CK, 4.000%, 09/15/18 (m) | 5,233 | ||||||
7,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 7,583 | ||||||
166 | Series 2682, Class YS, IF, 8.631%, 10/15/33 | 167 | ||||||
8,158 | Series 2684, Class PO, PO, 01/15/33 | 7,910 | ||||||
197 | Series 2690, Class SJ, IF, 8.791%, 10/15/33 | 202 | ||||||
551 | Series 2692, Class SC, IF, 12.808%, 07/15/33 | 647 | ||||||
135 | Series 2694, Class BA, 4.000%, 06/15/31 | 144 | ||||||
89 | Series 2695, Class OB, PO, 10/15/33 | 88 | ||||||
164 | Series 2695, Class SX, IF, 15.962%, 10/15/33 | 170 | ||||||
82 | Series 2695, Class WS, IF, 15.824%, 10/15/33 | 85 | ||||||
1,126 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,190 | ||||||
40 | Series 2705, Class SC, IF, 8.641%, 11/15/33 | 41 | ||||||
95 | Series 2705, Class SD, IF, 8.692%, 11/15/33 | 96 | ||||||
2,000 | Series 2710, Class HB, 5.500%, 11/15/23 | 2,289 | ||||||
2,427 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,536 | ||||||
2,564 | Series 2716, Class UN, 4.500%, 12/15/23 | 2,805 | ||||||
1,299 | Series 2720, Class PC, 5.000%, 12/15/23 | 1,426 | ||||||
3,221 | Series 2722, Class PF, VAR, 0.839%, 12/15/33 | 3,251 | ||||||
548 | Series 2725, Class SC, IF, 8.706%, 11/15/33 | 607 | ||||||
433 | Series 2727, Class BS, IF, 8.716%, 01/15/34 | 438 | ||||||
1,141 | Series 2744, Class TU, 5.500%, 05/15/32 | 1,211 | ||||||
560 | Series 2755, Class PA, PO, 02/15/29 | 559 | ||||||
233 | Series 2755, Class SA, IF, 13.721%, 05/15/30 | 251 | ||||||
347 | Series 2756, Class NA, 5.000%, 02/15/24 | 385 | ||||||
685 | Series 2764, Class OE, 4.500%, 03/15/19 | 747 | ||||||
2,868 | Series 2780, Class BE, 4.500%, 04/15/19 | 3,049 | ||||||
280 | Series 2780, Class JG, 4.500%, 04/15/19 | 289 | ||||||
1,678 | Series 2780, Class YC, 5.000%, 04/15/19 | 1,819 | ||||||
1,027 | Series 2802, Class ZY, 6.000%, 05/15/34 | 1,205 | ||||||
159 | Series 2812, Class AB, 4.500%, 10/15/18 | 161 | ||||||
458 | Series 2812, Class NO, PO, 10/15/33 | 453 | ||||||
1,549 | Series 2827, Class QE, 5.500%, 03/15/33 | 1,603 | ||||||
416 | Series 2835, Class BO, PO, 12/15/28 | 409 | ||||||
391 | Series 2835, Class QO, PO, 12/15/32 | 358 | ||||||
63 | Series 2863, Class JA, 4.500%, 09/15/19 | 64 | ||||||
820 | Series 2864, Class GB, 4.000%, 09/15/19 | 869 | ||||||
209 | Series 2877, Class KO, PO, 03/15/19 | 202 | ||||||
1,059 | Series 2921, Class MD, 5.000%, 06/15/33 | 1,096 | ||||||
1,224 | Series 2922, Class JN, 4.500%, 02/15/20 | 1,275 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,000 | Series 2930, Class AN, 4.500%, 06/15/19 | 1,031 | ||||||
2,069 | Series 2934, Class EC, PO, 02/15/20 | 1,985 | ||||||
103 | Series 2934, Class EN, PO, 02/15/18 | 102 | ||||||
2,152 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 213 | ||||||
1,438 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 147 | ||||||
540 | Series 2945, Class SA, IF, 11.863%, 03/15/20 | 640 | ||||||
629 | Series 2967, Class JI, IO, 5.000%, 04/15/20 | 67 | ||||||
228 | Series 2967, Class S, HB, IF, 32.508%, 04/15/25 | 364 | ||||||
613 | Series 2971, Class GC, 5.000%, 07/15/18 | 632 | ||||||
1,118 | Series 2979, Class BC, 5.000%, 04/15/20 | 1,216 | ||||||
209 | Series 2989, Class PO, PO, 06/15/23 | 205 | ||||||
438 | Series 2990, Class LK, VAR, 0.609%, 10/15/34 | 440 | ||||||
427 | Series 2990, Class SL, HB, IF, 23.615%, 06/15/34 | 647 | ||||||
150 | Series 2990, Class WP, IF, 16.410%, 06/15/35 | 190 | ||||||
1,524 | Series 2994, Class FC, VAR, 0.640%, 02/15/33 | 1,521 | ||||||
88 | Series 2996, Class FD, VAR, 0.489%, 06/15/35 | 88 | ||||||
499 | Series 2999, Class NC, 4.500%, 12/15/18 | 506 | ||||||
2,652 | Series 3013, Class AF, VAR, 0.489%, 05/15/35 | 2,653 | ||||||
383 | Series 3022, Class SX, IF, 16.276%, 08/15/25 | 538 | ||||||
2,600 | Series 3035, Class Z, 5.850%, 09/15/35 | 2,923 | ||||||
626 | Series 3047, Class OB, 5.500%, 12/15/33 | 653 | ||||||
1,270 | Series 3049, Class XF, VAR, 0.590%, 05/15/33 | 1,272 | ||||||
810 | Series 3054, Class MI, IO, 5.500%, 05/15/34 | 48 | ||||||
1,465 | Series 3068, Class QB, 4.500%, 06/15/20 | 1,546 | ||||||
1,072 | Series 3077, Class TO, PO, 04/15/35 | 1,036 | ||||||
97 | Series 3100, Class MA, VAR, 1.708%, 12/15/35 | 95 | ||||||
4,449 | Series 3101, Class UZ, 6.000%, 01/15/36 | 5,073 | ||||||
716 | Series 3117, Class EO, PO, 02/15/36 | 671 | ||||||
1,028 | Series 3117, Class OG, PO, 02/15/36 | 994 | ||||||
772 | Series 3117, Class OK, PO, 02/15/36 | 730 | ||||||
4,000 | Series 3117, Class PL, 5.000%, 08/15/34 | 4,227 | ||||||
220 | Series 3122, Class OH, PO, 03/15/36 | 213 | ||||||
91 | Series 3122, Class ZB, 6.000%, 03/15/36 | 95 | ||||||
1,422 | Series 3130, Class KZ, 5.500%, 12/15/34 | 1,606 | ||||||
160 | Series 3134, Class PO, PO, 03/15/36 | 151 | ||||||
3,872 | Series 3137, Class XP, 6.000%, 04/15/36 | 4,377 | ||||||
646 | Series 3138, Class PO, PO, 04/15/36 | 623 | ||||||
1,500 | Series 3143, Class BC, 5.500%, 02/15/36 | 1,697 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 187 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2,416 | Series 3147, Class PF, VAR, 0.540%, 04/15/36 | 2,422 | ||||||
172 | Series 3149, Class SO, PO, 05/15/36 | 164 | ||||||
1,431 | Series 3151, Class PD, 6.000%, 11/15/34 | 1,488 | ||||||
1,001 | Series 3151, Class PO, PO, 05/15/36 | 946 | ||||||
1,008 | Series 3152, Class MO, PO, 03/15/36 | 895 | ||||||
791 | Series 3153, Class EO, PO, 05/15/36 | 763 | ||||||
2,469 | Series 3155, Class CG, 6.000%, 11/15/24 | 2,518 | ||||||
5,355 | Series 3156, Class AZ, 5.500%, 05/15/36 | 5,991 | ||||||
8,000 | Series 3166, Class AC, 5.000%, 06/15/21 (m) | 9,221 | ||||||
736 | Series 3171, Class MO, PO, 06/15/36 | 702 | ||||||
657 | Series 3174, Class PX, 5.000%, 06/15/17 | 706 | ||||||
891 | Series 3179, Class OA, PO, 07/15/36 | 855 | ||||||
305 | Series 3184, Class OA, PO, 02/15/33 | 301 | ||||||
1,063 | Series 3194, Class SA, IF, IO, 6.860%, 07/15/36 | 153 | ||||||
1,120 | Series 3195, Class PD, 6.500%, 07/15/36 | 1,259 | ||||||
1,094 | Series 3200, Class PO, PO, 08/15/36 | 1,056 | ||||||
1,910 | Series 3210, Class PO, PO, 05/15/36 | 1,830 | ||||||
2,000 | Series 3218, Class BE, 6.000%, 09/15/35 | 2,200 | ||||||
1,285 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 179 | ||||||
1,033 | Series 3232, Class ST, IF, IO, 6.460%, 10/15/36 | 162 | ||||||
1,311 | Series 3237, Class AO, PO, 11/15/36 | 1,262 | ||||||
1,125 | Series 3253, Class PO, PO, 12/15/21 | 1,089 | ||||||
638 | Series 3260, Class CS, IF, IO, 5.901%, 01/15/37 | 89 | ||||||
834 | Series 3262, Class SG, IF, IO, 6.161%, 01/15/37 | 112 | ||||||
734 | Series 3274, Class JO, PO, 02/15/37 | 695 | ||||||
623 | Series 3274, Class MO, PO, 02/15/37 | 601 | ||||||
387 | Series 3275, Class FL, VAR, 0.679%, 02/15/37 | 388 | ||||||
3,500 | Series 3282, Class YD, 5.500%, 02/15/22 | 4,077 | ||||||
259 | Series 3288, Class GS, IF, 0.440%, 03/15/37 | 251 | ||||||
2,075 | Series 3290, Class SB, IF, IO, 6.211%, 03/15/37 | 322 | ||||||
518 | Series 3305, Class MB, IF, 2.719%, 07/15/34 | 521 | ||||||
631 | Series 3316, Class JO, PO, 05/15/37 | 600 | ||||||
2,500 | Series 3329, Class JD, 6.000%, 06/15/36 | 2,813 | ||||||
4,400 | Series 3342, Class VG, 6.000%, 11/15/23 | 4,728 | ||||||
3,116 | Series 3344, Class FT, VAR, 0.590%, 07/15/34 | 3,121 | ||||||
368 | Series 3371, Class FA, VAR, 0.839%, 09/15/37 | 370 | ||||||
1,021 | Series 3373, Class TO, PO, 04/15/37 | 985 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,284 | Series 3385, Class SN, IF, IO, 5.761%, 11/15/37 | 278 | ||||||
1,590 | Series 3387, Class SA, IF, IO, 6.181%, 11/15/37 | 224 | ||||||
981 | Series 3389, Class DQ, 5.750%, 10/15/35 | 1,040 | ||||||
727 | Series 3393, Class JO, PO, 09/15/32 | 672 | ||||||
2,000 | Series 3402, Class NC, 5.000%, 12/15/22 | 2,237 | ||||||
1,939 | Series 3404, Class SC, IF, IO, 5.761%, 01/15/38 | 273 | ||||||
4,162 | Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38 | 29 | ||||||
970 | Series 3422, Class LI, IO, 5.000%, 02/15/23 | 90 | ||||||
3,935 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | — | (h) | |||||
1,649 | Series 3451, Class SA, IF, IO, 5.811%, 05/15/38 | 211 | ||||||
2,002 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,234 | ||||||
2,252 | Series 3481, Class SJ, IF, IO, 5.610%, 08/15/38 | 302 | ||||||
1,910 | Series 3505, Class SA, IF, IO, 5.761%, 01/15/39 | 245 | ||||||
1,396 | Series 3511, Class IO, IO, 5.000%, 12/15/21 | 125 | ||||||
972 | Series 3511, Class SA, IF, IO, 5.761%, 02/15/39 | 125 | ||||||
2,058 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 173 | ||||||
3,420 | Series 3531, Class SA, IF, IO, 6.060%, 05/15/39 | 433 | ||||||
2,713 | Series 3537, Class MI, IO, 5.000%, 06/15/38 | 481 | ||||||
270 | Series 3546, Class A, VAR, 4.065%, 02/15/39 | 288 | ||||||
1,561 | Series 3549, Class FA, VAR, 1.439%, 07/15/39 | 1,570 | ||||||
1,777 | Series 3564, Class JA, 4.000%, 01/15/18 | 1,873 | ||||||
2,677 | Series 3572, Class JS, IF, IO, 6.560%, 09/15/39 | 485 | ||||||
1,146 | Series 3604, Class PO, PO, 05/15/36 | 1,105 | ||||||
1,600 | Series 3607, Class AO, PO, 04/15/36 | 1,542 | ||||||
1,600 | Series 3607, Class BO, PO, 04/15/36 | 1,542 | ||||||
937 | Series 3607, Class EO, PO, 02/15/33 | 906 | ||||||
2,167 | Series 3607, Class PO, PO, 05/15/37 | 2,045 | ||||||
1,683 | Series 3611, Class PO, PO, 07/15/34 | 1,574 | ||||||
1,700 | Series 3614, Class QB, 4.000%, 12/15/24 | 1,896 | ||||||
1,390 | Series 3621, Class BO, PO, 01/15/40 | 1,344 | ||||||
1,475 | Series 3621, Class PO, PO, 01/15/40 | 1,395 | ||||||
1,951 | Series 3623, Class LO, PO, 01/15/40 | 1,886 | ||||||
1,343 | Series 3632, Class BS, IF, 16.702%, 02/15/40 | 2,284 | ||||||
3,235 | Series 3653, Class HJ, 5.000%, 04/15/40 | 3,528 | ||||||
5,900 | Series 3659, Class VG, 5.000%, 09/15/34 | 6,942 | ||||||
2,602 | Series 3666, Class VA, 5.500%, 12/15/22 | 2,820 |
SEE NOTES TO FINANCIAL STATEMENTS.
188 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,773 | Series 3680, Class MA, 4.500%, 07/15/39 | 7,428 | ||||||
1,667 | Series 3688, Class CU, VAR, 6.787%, 11/15/21 | 1,804 | ||||||
3,952 | Series 3688, Class GT, VAR, 7.160%, 11/15/46 | 4,456 | ||||||
6,902 | Series 3688, Class NI, IO, 5.000%, 04/15/32 | 912 | ||||||
9,692 | Series 3704, Class CT, 7.000%, 12/15/36 | 11,399 | ||||||
6,226 | Series 3704, Class DT, 7.500%, 11/15/36 | 7,334 | ||||||
5,097 | Series 3704, Class ET, 7.500%, 12/15/36 | 5,949 | ||||||
5,570 | Series 3710, Class FL, VAR, 0.739%, 05/15/36 | 5,623 | ||||||
7,676 | Series 3714, Class IP, IO, 5.000%, 08/15/40 | 1,261 | ||||||
3,335 | Series 3720, Class A, 4.500%, 09/15/25 | 3,608 | ||||||
6,064 | Series 3739, Class LI, IO, 4.000%, 03/15/34 | 516 | ||||||
4,510 | Series 3740, Class SC, IF, IO, 5.761%, 10/15/40 | 950 | ||||||
2,373 | Series 3747, Class CY, 4.500%, 10/15/40 | 2,679 | ||||||
1,500 | Series 3747, Class PY, 4.000%, 10/15/40 | 1,659 | ||||||
6,792 | Series 3759, Class HI, IO, 4.000%, 08/15/37 | 684 | ||||||
5,196 | Series 3760, Class GI, IO, 4.000%, 10/15/37 | 533 | ||||||
1,500 | Series 3770, Class PY, 5.000%, 12/15/40 | 1,854 | ||||||
4,310 | Series 3795, Class EI, IO, 5.000%, 10/15/39 | 633 | ||||||
5,869 | Series 3804, Class FN, VAR, 0.689%, 03/15/39 | 5,889 | ||||||
10,396 | Series 3819, Class ZQ, 6.000%, 04/15/36 | 12,172 | ||||||
574 | Series 3852, Class QN, IF, 5.500%, 05/15/41 | 628 | ||||||
933 | Series 3852, Class TP, IF, 5.500%, 05/15/41 | 1,036 | ||||||
7,729 | Series 3855, Class HJ, 3.000%, 02/15/26 | 8,007 | ||||||
2,129 | Series 3860, Class PZ, 5.000%, 05/15/41 | 2,494 | ||||||
2,161 | Series 3895, Class WA, VAR, 5.693%, 10/15/38 | 2,401 | ||||||
2,181 | Series 3898, Class AF, VAR, 0.810%, 06/15/41 | 2,189 | ||||||
5,000 | Series 3920, Class LP, 5.000%, 01/15/34 | 5,669 | ||||||
5,667 | Series 3925, Class FL, VAR, 0.689%, 01/15/41 | 5,682 | ||||||
3,932 | Series 3960, Class JF, VAR, 0.689%, 04/15/41 | 3,946 | ||||||
4,783 | Series 3966, Class BF, VAR, 0.739%, 10/15/40 | 4,798 | ||||||
6,613 | Series 3966, Class NA, 4.000%, 12/15/41 | 7,123 | ||||||
2,886 | Series 3997, Class PF, VAR, 0.689%, 11/15/39 | 2,890 | ||||||
4,483 | Series 3998, Class GF, VAR, 0.689%, 05/15/36 | 4,492 | ||||||
4,839 | Series 4001, Class NF, VAR, 0.739%, 01/15/39 | 4,849 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
4,888 | Series 4012, Class FN, VAR, 0.739%, 03/15/42 | 4,909 | ||||||
2,092 | Series 4012, Class NF, VAR, 0.689%, 12/15/38 | 2,095 | ||||||
6,881 | Series 4013, Class QF, VAR, 0.789%, 03/15/41 | 6,901 | ||||||
4,897 | Series 4048, Class FB, VAR, 0.640%, 10/15/41 | 4,903 | ||||||
7,756 | Series 4048, Class FJ, VAR, 0.646%, 07/15/37 | 7,776 | ||||||
7,987 | Series 4077, Class FB, VAR, 0.739%, 07/15/42 | 8,011 | ||||||
4,989 | Series 4087, Class FA, VAR, 0.689%, 05/15/39 | 4,996 | ||||||
5,000 | Series 4095, Class FB, VAR, 0.644%, 04/15/39 | 4,992 | ||||||
2,000 | Series R004, Class VG, 6.000%, 08/15/21 | 2,051 | ||||||
7,305 | Series R006, Class ZA, 6.000%, 04/15/36 | 8,479 | ||||||
6,251 | Series R007, Class ZA, 6.000%, 05/15/36 | 7,311 | ||||||
129 | Series R012, Class AI, IO, 5.500%, 12/15/20 | 1 | ||||||
Federal Home Loan Mortgage Corp. STRIPS, | ||||||||
2 | Series 1, Class B, IO, 8.000%, 10/15/18 | — | (h) | |||||
1 | Series 16, Class B, IO, 10.000%, 06/01/20 | — | (h) | |||||
11 | Series 134, Class B, IO, 9.000%, 04/01/22 | 2 | ||||||
2,070 | Series 191, Class IO, IO, 8.000%, 01/01/28 | 463 | ||||||
1,352 | Series 197, Class PO, PO, 04/01/28 | 1,177 | ||||||
2,213 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 309 | ||||||
1,241 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 173 | ||||||
2,965 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 412 | ||||||
5,874 | Series 239, Class S30, IF, IO, 7.460%, 08/15/36 | 796 | ||||||
995 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 85 | ||||||
1,630 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 141 | ||||||
34,447 | Series 262, Class 35, 3.500%, 07/15/42 | 36,743 | ||||||
14,966 | Series 264, Class F1, VAR, 0.789%, 07/15/42 | 15,019 | ||||||
5,000 | Series 270, Class F1, VAR, 0.746%, 08/15/42 | 4,997 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | ||||||||
427 | Series T-41, Class 3A, VAR, 6.917%, 07/25/32 (m) | 495 | ||||||
1,517 | Series T-42, Class A5, 7.500%, 02/25/42 | 1,820 | ||||||
92 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 105 | ||||||
111 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 132 | ||||||
2,467 | Series T-54, Class 2A, 6.500%, 02/25/43 | 2,926 | ||||||
1,227 | Series T-54, Class 3A, 7.000%, 02/25/43 | 1,469 | ||||||
2,253 | Series T-56, Class A5, 5.231%, 05/25/43 | 2,540 | ||||||
224 | Series T-58, Class APO, PO, 09/25/43 | 212 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 189 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
221 | Series T-59, Class 1AP, PO, 10/25/43 | 193 | ||||||
3,173 | Series T-62, Class 1A1, VAR, 1.348%, 10/25/44 | 3,187 | ||||||
6,067 | Series T-76, Class 2A, VAR, 3.997%, 10/25/37 | 6,195 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
4,000 | Series 2010-M1, Class A2, 4.450%, 09/25/19 | 4,590 | ||||||
5,000 | Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20 | 5,712 | ||||||
1,700 | Series 2011-M1, Class A3, 3.763%, 06/25/21 | 1,896 | ||||||
9,480 | Series 2011-M2, Class A3, 3.764%, 07/25/21 | 10,612 | ||||||
5,000 | Series 2011-M4, Class A2, 3.726%, 06/25/21 | 5,608 | ||||||
5,051 | Series 2012-M8, Class ASQ2, 1.520%, 12/25/19 | 5,141 | ||||||
4,800 | Series 2012-M8, Class ASQ3, 1.801%, 12/25/19 | 4,888 | ||||||
Federal National Mortgage Association Grantor Trust, | ||||||||
40 | Series 2001-T10, Class PO, PO, 12/25/41 | 38 | ||||||
920 | Series 2001-T12, Class A2, 7.500%, 08/25/41 | 1,082 | ||||||
1,069 | Series 2001-T7, Class A1, 7.500%, 02/25/41 | 1,215 | ||||||
340 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 402 | ||||||
616 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 699 | ||||||
431 | Series 2002-T4, Class A2, 7.000%, 12/25/41 | 488 | ||||||
1,191 | Series 2002-T4, Class A3, 7.500%, 12/25/41 | 1,387 | ||||||
926 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,047 | ||||||
729 | Series 2004-T3, Class PT1, VAR, 8.304%, 01/25/44 | 782 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
51 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 57 | ||||||
4 | Series 1988-11, Class D, PO, 05/25/18 | 4 | ||||||
295 | Series 1988-21, Class G, 9.500%, 08/25/18 | 342 | ||||||
2 | Series 1988-29, Class B, 9.500%, 12/25/18 | 3 | ||||||
4 | Series 1989-21, Class G, 10.450%, 04/25/19 | 4 | ||||||
15 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 16 | ||||||
13 | Series 1989-70, Class G, 8.000%, 10/25/19 | 14 | ||||||
6 | Series 1989-78, Class H, 9.400%, 11/25/19 | 7 | ||||||
5 | Series 1989-89, Class H, 9.000%, 11/25/19 | 6 | ||||||
4 | Series 1990-60, Class K, 5.500%, 06/25/20 | 4 | ||||||
4 | Series 1990-93, Class G, 5.500%, 08/25/20 | 4 | ||||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 4 | |||||
34 | Series 1990-102, Class J, 6.500%, 08/25/20 | 38 | ||||||
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 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | |||||
233 | Series 1991-44, Class G, 8.500%, 05/25/21 | 264 | ||||||
— | (h) | Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21 | 2 | |||||
7 | Series 1992-101, Class J, 7.500%, 06/25/22 | 7 | ||||||
205 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 236 | ||||||
227 | Series 1993-25, Class J, 7.500%, 03/25/23 | 262 | ||||||
102 | Series 1993-27, Class S, IF, 9.376%, 02/25/23 | 123 | ||||||
43 | Series 1993-31, Class K, 7.500%, 03/25/23 | 50 | ||||||
440 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 503 | ||||||
23 | Series 1993-62, Class SA, IF, 17.929%, 04/25/23 | 36 | ||||||
23 | Series 1993-97, Class FA, VAR, 1.500%, 05/25/23 | 23 | ||||||
5 | Series 1993-108, Class D, PO, 02/25/23 | 4 | ||||||
56 | Series 1993-162, Class F, VAR, 1.200%, 08/25/23 | 57 | ||||||
9 | Series 1993-165, Class SD, IF, 12.489%, 09/25/23 | 11 | ||||||
85 | Series 1993-179, Class SB, HB, IF, 24.868%, 10/25/23 | 142 | ||||||
46 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 | 49 | ||||||
13 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 | 15 | ||||||
17 | Series 1993-228, Class G, PO, 09/25/23 | 17 | ||||||
14 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 | 14 | ||||||
224 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 235 | ||||||
24 | Series 1993-257, Class C, PO, 06/25/23 | 24 | ||||||
1,187 | Series 1994-26, Class J, PO, 01/25/24 | 1,151 | ||||||
133 | Series 1994-37, Class L, 6.500%, 03/25/24 | 154 | ||||||
37 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 42 | ||||||
280 | Series 1996-14, Class SE, IF, IO, 9.280%, 08/25/23 | 57 | ||||||
13 | Series 1996-59, Class J, 6.500%, 08/25/22 | 15 | ||||||
96 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 5 | ||||||
26 | Series 1997-24, Class Z, 8.000%, 04/18/27 | 30 | ||||||
25 | Series 1997-27, Class J, 7.500%, 04/18/27 | 28 | ||||||
479 | Series 1997-46, Class Z, 7.500%, 06/17/27 | 560 | ||||||
23 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 6 | ||||||
1,243 | Series 1998-30, Class ZA, 6.500%, 05/20/28 | 1,433 | ||||||
38 | Series 1998-36, Class J, 6.000%, 07/18/28 | 40 |
SEE NOTES TO FINANCIAL STATEMENTS.
190 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
372 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 412 | ||||||
175 | Series 1998-43, Class SA, HB, IF, 20.083%, 04/25/23 | 84 | ||||||
142 | Series 1999-57, Class Z, 7.500%, 12/25/19 | 161 | ||||||
150 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 177 | ||||||
520 | Series 2000-18, Class EC, PO, 10/25/23 | 460 | ||||||
22 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 6 | ||||||
1,129 | Series 2001-4, Class ZA, 6.500%, 03/25/31 | 1,296 | ||||||
26 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 27 | ||||||
120 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 141 | ||||||
193 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 42 | ||||||
244 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 287 | ||||||
689 | Series 2001-38, Class FB, VAR, 0.735%, 08/25/31 | 692 | ||||||
132 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 155 | ||||||
235 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 276 | ||||||
354 | Series 2001-49, Class LZ, 8.500%, 07/25/31 | 424 | ||||||
101 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 107 | ||||||
837 | Series 2001-53, Class FX, VAR, 0.585%, 10/25/31 | 837 | ||||||
655 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 770 | ||||||
224 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 238 | ||||||
127 | Series 2001-72, Class SX, IF, 16.917%, 12/25/31 | 185 | ||||||
118 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 126 | ||||||
146 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 165 | ||||||
79 | Series 2002-1, Class SA, HB, IF, 24.422%, 02/25/32 | 140 | ||||||
132 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 | 223 | ||||||
226 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 237 | ||||||
513 | Series 2002-7, Class FD, VAR, 0.935%, 04/25/29 | 519 | ||||||
91 | Series 2002-9, Class ST, IF, 18.755%, 03/25/17 | 116 | ||||||
664 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 702 | ||||||
789 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 43 | ||||||
49 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 60 | ||||||
536 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 549 | ||||||
224 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 238 | ||||||
1,423 | Series 2002-30, Class Z, 6.000%, 05/25/32 | 1,599 | ||||||
88 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 97 | ||||||
1,727 | Series 2002-42, Class C, 6.000%, 07/25/17 | 1,859 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,951 | Series 2002-50, Class ZA, 6.000%, 05/25/31 | 3,314 | ||||||
474 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 507 | ||||||
1,463 | Series 2002-56, Class UC, 5.500%, 09/25/17 (m) | 1,567 | ||||||
1,739 | Series 2002-60, Class FA, VAR, 0.985%, 02/25/31 | 1,762 | ||||||
1,739 | Series 2002-60, Class FB, VAR, 0.985%, 02/25/31 | 1,762 | ||||||
661 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 710 | ||||||
272 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 291 | ||||||
306 | Series 2002-63, Class LB, 5.500%, 10/25/17 | 328 | ||||||
988 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 1,058 | ||||||
246 | Series 2002-77, Class S, IF, 14.052%, 12/25/32 | 310 | ||||||
486 | Series 2002-81, Class JO, PO, 04/25/32 | 482 | ||||||
6 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | — | (h) | |||||
577 | Series 2002-95, Class XD, 5.000%, 01/25/18 | 628 | ||||||
4,268 | Series 2003-2, Class F, VAR, 0.985%, 02/25/33 | 4,308 | ||||||
553 | Series 2003-7, Class A1, 6.500%, 12/25/42 | 647 | ||||||
1,925 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 336 | ||||||
1,036 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 1,152 | ||||||
77 | Series 2003-23, Class CS, IF, IO, 7.864%, 05/25/31 | 1 | ||||||
1,389 | Series 2003-26, Class XS, IF, IO, 6.815%, 03/25/23 | 173 | ||||||
128 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 129 | ||||||
2,832 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 573 | ||||||
137 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 28 | ||||||
2,408 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 2,667 | ||||||
2,806 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 | 628 | ||||||
273 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 12 | ||||||
93 | Series 2003-52, Class SX, HB, IF, 22.243%, 10/25/31 | 164 | ||||||
565 | Series 2003-55, Class CD, 5.000%, 06/25/23 | 621 | ||||||
132 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 133 | ||||||
1,632 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 143 | ||||||
1,429 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 192 | ||||||
56 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 56 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 191 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
52 | Series 2003-73, Class HF, VAR, 0.685%, 01/25/31 | 52 | ||||||
79 | Series 2003-74, Class SH, IF, 9.746%, 08/25/33 | 87 | ||||||
1,067 | Series 2003-76, Class SH, IF, 13.729%, 09/25/31 | 1,244 | ||||||
13 | Series 2003-79, Class NM, 4.000%, 05/25/22 | 13 | ||||||
1,260 | Series 2003-80, Class SY, IF, IO, 7.414%, 06/25/23 | 150 | ||||||
894 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 959 | ||||||
1,883 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 2,021 | ||||||
28 | Series 2003-86, Class PX, 4.500%, 02/25/17 | 28 | ||||||
1,335 | Series 2003-86, Class ZA, 5.500%, 09/25/33 | 1,485 | ||||||
921 | Series 2003-88, Class TH, 4.500%, 09/25/18 | 985 | ||||||
231 | Series 2003-91, Class SD, IF, 12.107%, 09/25/33 | 280 | ||||||
4,078 | Series 2003-105, Class AZ, 5.500%, 10/25/33 | 4,650 | ||||||
132 | Series 2003-106, Class PO, PO, 08/25/17 | 128 | ||||||
3,566 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 3,711 | ||||||
1,325 | Series 2003-116, Class SB, IF, IO, 7.364%, 11/25/33 | 293 | ||||||
1,561 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 1,627 | ||||||
3,000 | Series 2003-120, Class BL, 3.500%, 12/25/18 | 3,134 | ||||||
777 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 819 | ||||||
134 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 136 | ||||||
346 | Series 2003-130, Class SX, IF, 11.167%, 01/25/34 | 400 | ||||||
251 | Series 2003-131, Class SK, IF, 15.729%, 01/25/34 | 332 | ||||||
232 | Series 2003-132, Class OA, PO, 08/25/33 | 225 | ||||||
668 | Series 2003-132, Class PI, IO, 5.500%, 08/25/33 | 81 | ||||||
1,150 | Series 2004-4, Class QI, IF, IO, 6.865%, 06/25/33 | 173 | ||||||
288 | Series 2004-4, Class QM, IF, 13.729%, 06/25/33 | 358 | ||||||
657 | Series 2004-10, Class SC, HB, IF, 27.658%, 02/25/34 | 1,009 | ||||||
— | (h) | Series 2004-14, Class SD, IF, 8.706%, 03/25/34 | — | (h) | ||||
887 | Series 2004-17, Class H, 5.500%, 04/25/34 | 1,029 | ||||||
254 | Series 2004-21, Class CO, PO, 04/25/34 | 251 | ||||||
135 | Series 2004-22, Class A, 4.000%, 04/25/19 | 136 | ||||||
169 | Series 2004-25, Class PB, 5.500%, 05/25/32 | 170 | ||||||
777 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 856 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
766 | Series 2004-25, Class SA, IF, 18.877%, 04/25/34 | 1,136 | ||||||
1,370 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 1,468 | ||||||
2,734 | Series 2004-28, Class PF, VAR, 0.635%, 03/25/34 | 2,742 | ||||||
156 | Series 2004-36, Class PB, 5.500%, 05/25/32 | 157 | ||||||
707 | Series 2004-36, Class SA, IF, 18.877%, 05/25/34 | 1,052 | ||||||
226 | Series 2004-36, Class SN, IF, 13.729%, 07/25/33 | 270 | ||||||
1,095 | Series 2004-46, Class EP, PO, 03/25/34 | 1,049 | ||||||
479 | Series 2004-46, Class HS, IF, IO, 5.765%, 05/25/30 | 8 | ||||||
384 | Series 2004-46, Class QB, HB, IF, 23.058%, 05/25/34 | 612 | ||||||
297 | Series 2004-46, Class SK, IF, 15.852%, 05/25/34 | 412 | ||||||
4,696 | Series 2004-50, Class VZ, 5.500%, 07/25/34 | 5,576 | ||||||
140 | Series 2004-51, Class SY, IF, 13.769%, 07/25/34 | 182 | ||||||
1,010 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,118 | ||||||
520 | Series 2004-59, Class BG, PO, 12/25/32 | 477 | ||||||
5 | Series 2004-61, Class CO, PO, 10/25/31 | 5 | ||||||
5,499 | Series 2004-61, Class FH, VAR, 1.035%, 11/25/32 | 5,573 | ||||||
220 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 253 | ||||||
1,397 | Series 2004-87, Class F, VAR, 0.985%, 01/25/34 | 1,409 | ||||||
36 | Series 2004-92, Class JO, PO, 12/25/34 | 35 | ||||||
2,109 | Series 2005-7, Class LO, PO, 02/25/35 | 1,952 | ||||||
475 | Series 2005-13, Class FL, VAR, 0.635%, 03/25/35 | 476 | ||||||
120 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 123 | ||||||
332 | Series 2005-15, Class MO, PO, 03/25/35 | 316 | ||||||
4,945 | Series 2005-47, Class AK, 5.000%, 06/25/20 | 5,331 | ||||||
235 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 255 | ||||||
1,699 | Series 2005-56, Class S, IF, IO, 6.474%, 07/25/35 | 285 | ||||||
1,811 | Series 2005-57, Class EG, VAR, 0.536%, 03/25/35 | 1,812 | ||||||
280 | Series 2005-58, Class PO, PO, 07/25/35 | 268 | ||||||
440 | Series 2005-66, Class SG, IF, 16.786%, 07/25/35 | 632 | ||||||
3,013 | Series 2005-66, Class SV, IF, IO, 6.514%, 07/25/35 | 474 | ||||||
1,250 | Series 2005-67, Class HG, 5.500%, 01/25/35 | 1,381 |
SEE NOTES TO FINANCIAL STATEMENTS.
192 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
776 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 859 | ||||||
1,691 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 1,922 | ||||||
111 | Series 2005-70, Class KI, IO, 5.500%, 08/25/35 | 2 | ||||||
380 | Series 2005-73, Class PS, IF, 16.111%, 08/25/35 | 539 | ||||||
1,459 | Series 2005-74, Class SK, IF, 19.482%, 05/25/35 | 2,136 | ||||||
1,319 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,487 | ||||||
2,000 | Series 2005-87, Class NH, 5.000%, 10/25/25 | 2,241 | ||||||
553 | Series 2005-90, Class AO, PO, 10/25/35 | 512 | ||||||
1,638 | Series 2005-90, Class ES, IF, 16.286%, 10/25/35 | 2,356 | ||||||
1,166 | Series 2005-90, Class PO, PO, 09/25/35 | 1,098 | ||||||
1,500 | Series 2005-100, Class BQ, 5.500%, 11/25/25 | 1,686 | ||||||
661 | Series 2005-103, Class SC, IF, 10.835%, 07/25/35 | 803 | ||||||
1,149 | Series 2005-106, Class US, HB, IF, 23.703%, 11/25/35 | 1,865 | ||||||
460 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 469 | ||||||
1,322 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 1,347 | ||||||
2,739 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 2,991 | ||||||
623 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 636 | ||||||
2,397 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 2,681 | ||||||
751 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 811 | ||||||
3,885 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 3,995 | ||||||
297 | Series 2005-123, Class FG, VAR, 0.685%, 07/25/34 | 297 | ||||||
6,651 | Series 2006-8, Class WN, IF, IO, 6.464%, 03/25/36 | 1,432 | ||||||
1,814 | Series 2006-8, Class WQ, PO, 03/25/36 | 1,611 | ||||||
371 | Series 2006-15, Class OT, PO, 01/25/36 | 357 | ||||||
831 | Series 2006-16, Class FC, VAR, 0.536%, 03/25/36 | 833 | ||||||
2,143 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 2,415 | ||||||
556 | Series 2006-23, Class KO, PO, 04/25/36 | 537 | ||||||
1,596 | Series 2006-27, Class OH, PO, 04/25/36 | 1,461 | ||||||
1,186 | Series 2006-33, Class ZB, 6.000%, 05/25/36 | 1,291 | ||||||
2,500 | Series 2006-35, Class GD, 6.000%, 12/25/34 | 2,663 | ||||||
2,054 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,302 | ||||||
515 | Series 2006-42, Class CF, VAR, 0.685%, 06/25/36 | 517 | ||||||
50 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 49 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
621 | Series 2006-44, Class FP, VAR, 0.635%, 06/25/36 | 623 | ||||||
1,314 | Series 2006-44, Class GO, PO, 06/25/36 | 1,272 | ||||||
3,341 | Series 2006-44, Class P, PO, 12/25/33 | 3,217 | ||||||
1,712 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 1,920 | ||||||
745 | Series 2006-50, Class JO, PO, 06/25/36 | 706 | ||||||
1,156 | Series 2006-50, Class PS, PO, 06/25/36 | 1,096 | ||||||
2,167 | Series 2006-53, Class US, IF, IO, 6.344%, 06/25/36 | 322 | ||||||
1,341 | Series 2006-56, Class FC, VAR, 0.525%, 07/25/36 | 1,344 | ||||||
1,642 | Series 2006-56, Class FT, VAR, 0.985%, 07/25/36 | 1,640 | ||||||
555 | Series 2006-58, Class AP, PO, 07/25/36 | 537 | ||||||
620 | Series 2006-58, Class FL, VAR, 0.695%, 07/25/36 | 623 | ||||||
1,314 | Series 2006-58, Class PO, PO, 07/25/36 | 1,243 | ||||||
1,636 | Series 2006-59, Class QO, PO, 01/25/33 | 1,571 | ||||||
739 | Series 2006-60, Class DO, PO, 04/25/35 | 697 | ||||||
1,491 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 1,815 | ||||||
545 | Series 2006-65, Class QO, PO, 07/25/36 | 526 | ||||||
918 | Series 2006-72, Class GO, PO, 08/25/36 | 858 | ||||||
539 | Series 2006-72, Class HO, PO, 08/25/26 | 503 | ||||||
860 | Series 2006-72, Class TO, PO, 08/25/36 | 832 | ||||||
5,553 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 6,382 | ||||||
1,971 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 2,356 | ||||||
852 | Series 2006-79, Class DO, PO, 08/25/36 | 781 | ||||||
886 | Series 2006-86, Class OB, PO, 09/25/36 | 824 | ||||||
821 | Series 2006-90, Class AO, PO, 09/25/36 | 788 | ||||||
5,223 | Series 2006-94, Class GI, IF, IO, 6.415%, 10/25/26 | 863 | ||||||
219 | Series 2006-94, Class GK, HB, IF, 32.073%, 10/25/26 | 362 | ||||||
1,000 | Series 2006-102, Class MD, 6.000%, 01/25/35 | 1,062 | ||||||
2,059 | Series 2006-105, Class ME, 5.500%, 11/25/36 | 2,476 | ||||||
837 | Series 2006-110, Class PO, PO, 11/25/36 | 809 | ||||||
362 | Series 2006-111, Class EO, PO, 11/25/36 | 349 | ||||||
1,014 | Series 2006-113, Class PO, PO, 07/25/36 | 962 | ||||||
1,075 | Series 2006-115, Class OK, PO, 12/25/36 | 1,040 | ||||||
1,952 | Series 2006-117, Class GS, IF, IO, 6.415%, 12/25/36 | 334 | ||||||
598 | Series 2006-118, Class A2, VAR, 0.295%, 12/25/36 | 570 | ||||||
711 | Series 2006-119, Class PO, PO, 12/25/36 | 683 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 193 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,725 | Series 2006-120, Class IO, IO, 6.500%, 12/25/36 | 361 | ||||||
1,712 | Series 2006-120, Class PF, VAR, 0.486%, 12/25/36 | 1,714 | ||||||
1,707 | Series 2006-126, Class AO, PO, 01/25/37 | 1,565 | ||||||
1,874 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 319 | ||||||
290 | Series 2007-1, Class SD, HB, IF, 37.587%, 02/25/37 | 433 | ||||||
1,231 | Series 2007-7, Class SG, IF, IO, 6.265%, 08/25/36 | 242 | ||||||
4,641 | Series 2007-14, Class ES, IF, IO, 6.204%, 03/25/37 | 641 | ||||||
955 | Series 2007-14, Class OP, PO, 03/25/37 | 902 | ||||||
368 | Series 2007-15, Class NO, PO, 03/25/22 | 348 | ||||||
1,396 | Series 2007-16, Class FC, VAR, 0.985%, 03/25/37 | 1,402 | ||||||
2,439 | Series 2007-16, Class FM, VAR, 0.465%, 03/25/37 | 2,438 | ||||||
3,283 | Series 2007-18, Class BD, 5.750%, 05/25/36 | 3,690 | ||||||
1,790 | Series 2007-18, Class MZ, 6.000%, 03/25/37 | 2,163 | ||||||
1,356 | �� | Series 2007-22, Class SC, IF, IO, 5.844%, 03/25/37 | 182 | |||||
1,500 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,583 | ||||||
227 | Series 2007-39, Class EF, VAR, 0.486%, 05/25/37 | 227 | ||||||
452 | Series 2007-43, Class FL, VAR, 0.536%, 05/25/37 | 453 | ||||||
1,692 | Series 2007-54, Class FA, VAR, 0.635%, 06/25/37 | 1,698 | ||||||
3,258 | Series 2007-54, Class PF, VAR, 0.455%, 06/25/37 | 3,261 | ||||||
3,553 | Series 2007-54, Class WI, IF, IO, 5.865%, 06/25/37 | 520 | ||||||
2,056 | Series 2007-60, Class AX, IF, IO, 6.914%, 07/25/37 | 371 | ||||||
2,500 | Series 2007-61, Class PC, 5.500%, 07/25/34 | 2,609 | ||||||
4,000 | Series 2007-63, Class PC, 5.500%, 07/25/36 | 4,277 | ||||||
1,518 | Series 2007-64, Class FB, VAR, 0.606%, 07/25/37 | 1,522 | ||||||
3,957 | Series 2007-65, Class KI, IF, IO, 6.384%, 07/25/37 | 529 | ||||||
9,260 | Series 2007-72, Class EK, IF, IO, 6.164%, 07/25/37 | 1,324 | ||||||
1,240 | Series 2007-75, Class EO, PO, 01/25/36 | 1,203 | ||||||
2,711 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 3,232 | ||||||
1,915 | Series 2007-77, Class FG, VAR, 0.735%, 03/25/37 | 1,924 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,500 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 1,701 | ||||||
245 | Series 2007-79, Class SB, HB, IF, 23.153%, 08/25/37 | 374 | ||||||
751 | Series 2007-88, Class VI, IF, IO, 6.305%, 09/25/37 | 124 | ||||||
2,319 | Series 2007-91, Class ES, IF, IO, 6.225%, 10/25/37 | 363 | ||||||
589 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 599 | ||||||
3,960 | Series 2007-100, Class SM, IF, IO, 6.215%, 10/25/37 | 544 | ||||||
4,022 | Series 2007-101, Class A2, VAR, 0.485%, 06/27/36 | 4,009 | ||||||
591 | Series 2007-106, Class A7, VAR, 5.952%, 10/25/37 | 661 | ||||||
7,000 | Series 2007-112, Class GB, 5.500%, 12/25/22 | 8,119 | ||||||
5,187 | Series 2007-112, Class SA, IF, IO, 6.215%, 12/25/37 | 740 | ||||||
8,000 | Series 2007-114, Class A6, VAR, 0.435%, 10/27/37 | 7,956 | ||||||
4,149 | Series 2007-116, Class HI, IO, VAR, 4.180%, 01/25/38 | 309 | ||||||
183 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 17 | ||||||
3,389 | Series 2008-1, Class BI, IF, IO, 5.675%, 02/25/38 | 451 | ||||||
1,272 | Series 2008-10, Class XI, IF, IO, 5.995%, 03/25/38 | 194 | ||||||
884 | Series 2008-12, Class IV, IO, 6.500%, 04/25/31 | 66 | ||||||
2,880 | Series 2008-16, Class IS, IF, IO, 5.965%, 03/25/38 | 397 | ||||||
1,599 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 139 | ||||||
2,246 | Series 2008-20, Class SA, IF, IO, 6.755%, 03/25/38 | 369 | ||||||
4,119 | Series 2008-24, Class PF, VAR, 0.886%, 02/25/38 | 4,161 | ||||||
885 | Series 2008-27, Class SN, IF, IO, 6.665%, 04/25/38 | 142 | ||||||
1,147 | Series 2008-32, Class SA, IF, IO, 6.614%, 04/25/38 | 160 | ||||||
3,294 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 41 | ||||||
2,280 | Series 2008-36, Class IA, IO, 4.500%, 10/25/22 | 130 | ||||||
287 | Series 2008-44, Class PO, PO, 05/25/38 | 275 | ||||||
1,995 | Series 2008-47, Class SI, IF, IO, 6.265%, 06/25/23 | 223 |
SEE NOTES TO FINANCIAL STATEMENTS.
194 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,000 | Series 2008-51, Class BC, 4.500%, 06/25/23 | 6,400 | ||||||
1,241 | Series 2008-53, Class CI, IF, IO, 6.964%, 07/25/38 | 228 | ||||||
104 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 1 | ||||||
2,000 | Series 2008-70, Class BY, 4.000%, 08/25/23 | 2,178 | ||||||
1,489 | Series 2008-76, Class GF, VAR, 0.886%, 09/25/23 | 1,506 | ||||||
3,526 | Series 2008-77, Class DG, 5.000%, 09/25/23 | 3,895 | ||||||
512 | Series 2008-80, Class GP, 6.250%, 09/25/38 | 573 | ||||||
2,197 | Series 2008-80, Class SA, IF, IO, 5.614%, 09/25/38 | 263 | ||||||
1,006 | Series 2008-81, Class SB, IF, IO, 5.614%, 09/25/38 | 132 | ||||||
2,000 | Series 2008-95, Class BA, 5.000%, 01/25/24 | 2,312 | ||||||
507 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 545 | ||||||
1,064 | Series 2009-6, Class GS, IF, IO, 6.315%, 02/25/39 | 198 | ||||||
2,232 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 224 | ||||||
1,775 | Series 2009-12, Class IO, IO, 4.500%, 03/25/24 | 146 | ||||||
446 | Series 2009-12, Class NI, IO, 5.500%, 08/25/22 | 13 | ||||||
919 | Series 2009-14, Class YI, IO, 5.000%, 07/25/22 | 29 | ||||||
3,607 | Series 2009-17, Class QS, IF, IO, 6.415%, 03/25/39 | 499 | ||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 690 | ||||||
700 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 787 | ||||||
2,881 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 377 | ||||||
8,881 | Series 2009-60, Class HT, 6.000%, 08/25/39 | 9,994 | ||||||
1,878 | Series 2009-62, Class HJ, 6.000%, 05/25/39 | 2,061 | ||||||
415 | Series 2009-63, Class P, 5.000%, 03/25/37 | 459 | ||||||
758 | Series 2009-69, Class PO, PO, 09/25/39 | 714 | ||||||
505 | Series 2009-79, Class UA, 7.000%, 03/25/38 | 582 | ||||||
2,929 | Series 2009-84, Class WS, IF, IO, 5.664%, 10/25/39 | 354 | ||||||
2,738 | Series 2009-86, Class IP, IO, 5.500%, 10/25/39 | 366 | ||||||
3,012 | Series 2009-86, Class OT, PO, 10/25/37 | 2,731 | ||||||
5,385 | Series 2009-86, Class UI, IO, 4.000%, 10/25/14 | 276 | ||||||
1,586 | Series 2009-92, Class AD, 6.000%, 11/25/39 | 1,769 | ||||||
1,655 | Series 2009-99, Class SC, IF, IO, 5.945%, 12/25/39 | 211 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
1,426 | Series 2009-99, Class WA, VAR, 6.313%, 12/25/39 | 1,620 | ||||||
5,020 | Series 2009-103, Class MB, VAR, 3.641%, 12/25/39 | 5,380 | ||||||
3,193 | Series 2009-112, Class ST, IF, IO, 6.014%, 01/25/40 | 389 | ||||||
2,054 | Series 2009-113, Class FB, VAR, 0.786%, 01/25/40 | 2,073 | ||||||
6,014 | Series 2009-113, Class LB, VAR, 7.113%, 01/25/40 | 7,089 | ||||||
4,619 | Series 2010-1, Class WA, VAR, 6.163%, 02/25/40 (m) | 5,271 | ||||||
4,477 | Series 2010-9, Class MB, 5.000%, 05/25/32 | 4,925 | ||||||
2,681 | Series 2010-16, Class WA, VAR, 6.450%, 03/25/40 | 3,085 | ||||||
5,322 | Series 2010-16, Class WB, VAR, 6.202%, 03/25/40 | 6,112 | ||||||
2,669 | Series 2010-23, Class KS, IF, IO, 6.865%, 02/25/40 | 384 | ||||||
3,465 | Series 2010-35, Class SB, IF, IO, 6.185%, 04/25/40 | 471 | ||||||
1,036 | Series 2010-39, Class OT, PO, 10/25/35 | 927 | ||||||
2,151 | Series 2010-40, Class FJ, VAR, 0.836%, 04/25/40 | 2,166 | ||||||
1,877 | Series 2010-42, Class S, IF, IO, 6.164%, 05/25/40 | 240 | ||||||
2,508 | Series 2010-43, Class FD, VAR, 0.836%, 05/25/40 | 2,530 | ||||||
2,000 | Series 2010-45, Class BD, 4.500%, 11/25/38 | 2,134 | ||||||
2,075 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 2,253 | ||||||
2,234 | Series 2010-49, Class SC, IF, 12.189%, 03/25/40 | 2,754 | ||||||
1,380 | Series 2010-61, Class WA, VAR, 5.950%, 06/25/40 | 1,564 | ||||||
8,578 | Series 2010-64, Class DM, 5.000%, 06/25/40 (m) | 9,237 | ||||||
6,972 | Series 2010-68, Class SA, IF, IO, 4.764%, 07/25/40 | 1,144 | ||||||
1,804 | Series 2010-71, Class HJ, 5.500%, 07/25/40 | 1,995 | ||||||
9,523 | Series 2010-103, Class SB, IF, IO, 5.865%, 11/25/49 | 1,288 | ||||||
11,116 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 11,832 | ||||||
2,000 | Series 2010-111, Class AM, 5.500%, 10/25/40 | 2,433 | ||||||
7,013 | Series 2010-111, Class WA, VAR, 6.031%, 10/25/40 | 8,093 | ||||||
1,022 | Series 2010-123, Class FL, VAR, 0.666%, 11/25/40 | 1,022 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 195 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
6,702 | Series 2010-125, Class SA, IF, IO, 4.205%, 11/25/40 | 698 | ||||||
2,721 | Series 2010-130, Class CY, 4.500%, 11/25/40 | 3,057 | ||||||
4,859 | Series 2010-133, Class A, 5.500%, 05/25/38 | 5,188 | ||||||
2,745 | Series 2010-141, Class FA, VAR, 0.735%, 12/25/40 | 2,751 | ||||||
3,389 | Series 2010-148, Class MA, 4.000%, 02/25/39 | 3,589 | ||||||
2,112 | Series 2011-2, Class WA, VAR, 5.750%, 02/25/51 | 2,302 | ||||||
1,843 | Series 2011-18, Class VN, 4.000%, 10/25/25 | 2,050 | ||||||
1,674 | Series 2011-20, Class MW, 5.000%, 03/25/41 | 2,038 | ||||||
9,765 | Series 2011-21, Class CV, 4.500%, 09/25/26 | 10,953 | ||||||
7,710 | Series 2011-30, Class LS, IO, VAR, 4.617%, 04/25/41 | 574 | ||||||
7,902 | Series 2011-39, Class ZA, 6.000%, 11/25/32 | 8,872 | ||||||
2,184 | Series 2011-43, Class WA, VAR, 5.867%, 05/25/51 | 2,369 | ||||||
3,213 | Series 2011-47, Class ZA, 5.500%, 07/25/38 | 3,689 | ||||||
3,645 | Series 2011-56, Class VA, 5.000%, 09/25/40 | 4,104 | ||||||
6,340 | Series 2011-58, Class WA, VAR, 5.410%, 07/25/51 | 6,685 | ||||||
1,047 | Series 2011-75, Class FA, VAR, 0.786%, 08/25/41 | 1,054 | ||||||
4,969 | Series 2011-118, Class LB, 7.000%, 11/25/41 | 5,866 | ||||||
9,284 | Series 2011-118, Class MT, 7.000%, 11/25/41 | 11,502 | ||||||
10,028 | Series 2011-118, Class NT, 7.000%, 11/25/41 | 11,769 | ||||||
8,775 | Series 2011-124, Class JF, VAR, 0.635%, 02/25/41 | 8,791 | ||||||
2,546 | Series 2011-149, Class EF, VAR, 0.735%, 07/25/41 | 2,552 | ||||||
3,760 | Series 2011-149, Class MF, VAR, 0.735%, 11/25/41 | 3,770 | ||||||
3,486 | Series 2012-3, Class PF, VAR, 0.635%, 04/25/40 | 3,493 | ||||||
2,877 | Series 2012-14, Class FB, VAR, 0.685%, 08/25/37 | 2,882 | ||||||
6,549 | Series 2012-14, Class FL, VAR, 0.685%, 12/25/40 | 6,573 | ||||||
8,933 | Series 2012-21, Class WA, VAR, 5.615%, 03/25/52 | 9,670 | ||||||
19,100 | Series 2012-47, Class HF, VAR, 0.635%, 05/25/27 | 19,138 | ||||||
4,460 | Series 2012-58, Class FA, VAR, 0.735%, 03/25/39 | 4,474 | ||||||
9,762 | Series 2012-66, Class HF, VAR, 0.536%, 03/25/41 | 9,759 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
3,603 | Series 2012-72, Class QF, VAR, 0.685%, 01/25/38 | 3,611 | ||||||
1,983 | Series 2012-87, Class KF, VAR, 0.685%, 09/25/37 | 1,985 | ||||||
15,442 | Series 2012-89, Class FD, VAR, 0.685%, 04/25/39 | 15,465 | ||||||
3,300 | Series 2012-97, Class FB, VAR, 0.760%, 09/25/42 | 3,309 | ||||||
20,000 | Series 2012-101, Class FC, VAR, 0.741%, 09/25/42 | 20,061 | ||||||
87 | Series G92-7, Class JQ, 8.500%, 01/25/22 | 99 | ||||||
15 | Series G92-12, Class B, 7.700%, 02/25/22 | 17 | ||||||
24 | Series G92-14, Class Z, 7.000%, 02/25/22 | 26 | ||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 11,737.650%, 05/25/22 | 14 | |||||
18 | Series G92-42, Class Z, 7.000%, 07/25/22 | 21 | ||||||
462 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 518 | ||||||
95 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 108 | ||||||
171 | Series G92-61, Class Z, 7.000%, 10/25/22 | 201 | ||||||
18 | Series G92-62, Class B, PO, 10/25/22 | 17 | ||||||
114 | Series G93-1, Class KA, 7.900%, 01/25/23 | 131 | ||||||
77 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 92 | ||||||
612 | Series G94-7, Class PJ, 7.500%, 05/17/24 | 720 | ||||||
104 | Series G97-2, Class ZA, 8.500%, 02/17/27 | 121 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
7 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 1 | ||||||
6 | Series 59, Class 2, IO, 9.500%, 07/01/17 | 1 | ||||||
393 | Series 213, Class 2, IO, 8.000%, 03/01/23 | 91 | ||||||
14 | Series 265, Class 2, 9.000%, 03/01/24 | 16 | ||||||
29 | Series 285, Class 1, PO, 02/01/27 | 26 | ||||||
822 | Series 293, Class 1, PO, 12/01/24 | 729 | ||||||
742 | Series 300, Class 1, PO, 09/01/24 | 659 | ||||||
703 | Series 331, Class 13, IO, 7.000%, 11/01/32 | 158 | ||||||
1,482 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 114 | ||||||
1,452 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 112 | ||||||
1,326 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 118 | ||||||
2,621 | Series 345, Class 24, IO, VAR, 5.000%, 08/01/22 | 222 | ||||||
558 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 68 | ||||||
1,083 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 | 147 | ||||||
1,460 | Series 356, Class 3, IO, 5.000%, 01/01/35 | 200 | ||||||
2,371 | Series 356, Class 39, IO, 5.000%, 01/01/20 | 234 | ||||||
2,339 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 310 | ||||||
404 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 34 |
SEE NOTES TO FINANCIAL STATEMENTS.
196 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
842 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 113 | ||||||
2,607 | Series 383, Class 32, IO, 6.000%, 01/01/38 | 373 | ||||||
292 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 34 | ||||||
12,781 | Series 411, Class F1, VAR, 0.785%, 08/25/42 | 12,827 | ||||||
3,495 | Series 412, Class F2, VAR, 0.735%, 08/25/42 | 3,505 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
1,785 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 2,068 | ||||||
8,038 | Series 2002-W10, Class IO, IO, VAR, 0.985%, 08/25/42 | 224 | ||||||
539 | Series 2003-W1, Class 1A1, VAR, 6.224%, 12/25/42 | 621 | ||||||
313 | Series 2003-W1, Class 2A, VAR, 7.007%, 12/25/42 | 369 | ||||||
519 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 534 | ||||||
541 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 632 | ||||||
108 | Series 2003-W4, Class 2A, VAR, 6.497%, 10/25/42 | 121 | ||||||
535 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 625 | ||||||
594 | Series 2003-W8, Class 3F1, VAR, 0.635%, 05/25/42 | 591 | ||||||
819 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 990 | ||||||
1,229 | Series 2004-W11, Class 1A1, 6.000%, 05/25/44 | 1,468 | ||||||
1,028 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 1,189 | ||||||
1,345 | Series 2004-W4, Class A7, 5.500%, 06/25/34 | 1,497 | ||||||
1,996 | Series 2005-W3, Class 2AF, VAR, 0.455%, 03/25/45 | 1,984 | ||||||
845 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 944 | ||||||
3,741 | Series 2005-W4, Class 3A, VAR, 2.259%, 06/25/35 | 4,026 | ||||||
1,117 | Series 2006-W2, Class 1AF1, VAR, 0.455%, 02/25/36 | 1,108 | ||||||
740 | Series 2006-W3, Class 1AF1, VAR, 0.476%, 10/25/46 | 736 | ||||||
854 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 963 | ||||||
10,587 | Series 2007-W1, Class 1AF1, VAR, 0.496%, 11/25/46 (m) | 10,529 | ||||||
2,724 | Series 2007-W2, Class 1A1, VAR, 0.556%, 03/25/37 | 2,722 | ||||||
1,568 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 1,729 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
268 | Series 2007-W7, Class 1A4, HB, IF, 37.767%, 07/25/37 | 545 | ||||||
5,653 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 6,512 | ||||||
Government National Mortgage Association, | ||||||||
80 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 96 | ||||||
1,163 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 1,365 | ||||||
175 | Series 1996-16, Class E, 7.500%, 08/16/26 (m) | 202 | ||||||
35 | Series 1997-2, Class E, 7.500%, 02/20/27 | 41 | ||||||
71 | Series 1998-26, Class K, 7.500%, 09/17/25 | 82 | ||||||
386 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 442 | ||||||
126 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 148 | ||||||
14 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 17 | ||||||
76 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 88 | ||||||
360 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 444 | ||||||
331 | Series 2000-7, Class ST, HB, IF, 38.272%, 01/16/30 | 692 | ||||||
152 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 187 | ||||||
814 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 989 | ||||||
592 | Series 2000-10, Class ZP, 7.500%, 02/16/30 | 646 | ||||||
326 | Series 2000-12, Class ST, HB, IF, 38.272%, 02/16/30 | 701 | ||||||
74 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 78 | ||||||
750 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 890 | ||||||
112 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 131 | ||||||
45 | Series 2000-36, Class HC, 7.330%, 11/20/30 | 53 | ||||||
27 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 8 | ||||||
1,311 | Series 2001-21, Class PE, 6.500%, 05/16/31 | 1,534 | ||||||
224 | Series 2001-31, Class SJ, HB, IF, 27.171%, 02/20/31 | 470 | ||||||
17 | Series 2001-32, Class WA, IF, 19.532%, 07/20/31 | 31 | ||||||
150 | Series 2001-35, Class SA, IF, IO, 8.012%, 08/16/31 | 35 | ||||||
144 | Series 2001-36, Class S, IF, IO, 7.811%, 08/16/31 | 33 | ||||||
663 | Series 2001-53, Class SR, IF, IO, 7.913%, 10/20/31 | 69 | ||||||
50 | Series 2001-55, Class SF, HB, IF, 25.457%, 11/20/31 | 94 | ||||||
671 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 774 | ||||||
155 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 184 | ||||||
626 | Series 2002-24, Class AG, IF, IO, 7.711%, 04/16/32 | 164 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 197 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
164 | Series 2002-24, Class SB, IF, 11.567%, 04/16/32 | 221 | ||||||
472 | Series 2002-24, Class Z, 8.500%, 04/16/32 | 554 | ||||||
1,196 | Series 2002-31, Class SE, IF, IO, 7.261%, 04/16/30 | 254 | ||||||
50 | Series 2002-33, Class SY, IF, 9.000%, 02/26/23 | 60 | ||||||
400 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 472 | ||||||
112 | Series 2002-41, Class LS, IF, 9.000%, 06/16/32 | 145 | ||||||
231 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 268 | ||||||
283 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 334 | ||||||
40 | Series 2002-51, Class SG, HB, IF, 31.473%, 04/20/31 | 86 | ||||||
156 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 179 | ||||||
146 | Series 2002-69, Class PO, PO, 02/20/32 | 146 | ||||||
302 | Series 2002-70, Class PS, IF, IO, 7.463%, 08/20/32 | 36 | ||||||
81 | Series 2002-92, Class TK, IO, 5.500%, 05/16/31 | — | (h) | |||||
131 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 3 | ||||||
157 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 161 | ||||||
232 | Series 2003-8, Class PO, PO, 01/16/32 | 230 | ||||||
1,386 | Series 2003-11, Class SK, IF, IO, 7.462%, 02/16/33 | 319 | ||||||
4,539 | Series 2003-12, Class VI, IO, 5.500%, 10/17/22 | 458 | ||||||
35 | Series 2003-24, Class PO, PO, 03/16/33 | 31 | ||||||
236 | Series 2003-34, Class TO, PO, 02/16/32 | 234 | ||||||
1,278 | Series 2003-41, Class ID, IO, 5.500%, 05/20/33 | 213 | ||||||
1,679 | Series 2003-46, Class IH, IO, 5.500%, 12/20/32 | 147 | ||||||
1,888 | Series 2003-60, Class ZN, 5.000%, 07/16/33 | 2,303 | ||||||
270 | Series 2003-76, Class LS, IF, IO, 6.963%, 09/20/31 | 14 | ||||||
83 | Series 2003-90, Class PO, PO, 10/20/33 | 77 | ||||||
1,202 | Series 2003-112, Class SA, IF, IO, 6.311%, 12/16/33 | 227 | ||||||
5,525 | Series 2003-112, Class TS, IF, IO, 6.713%, 10/20/32 | 548 | ||||||
3,561 | Series 2004-11, Class SW, IF, IO, 5.263%, 02/20/34 | 544 | ||||||
187 | Series 2004-15, Class SA, IF, 19.011%, 12/20/32 | 224 | ||||||
243 | Series 2004-28, Class S, IF, 19.007%, 04/16/34 | 398 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
637 | Series 2004-34, Class SZ, IF, 7.500%, 02/20/34 | 651 | ||||||
475 | Series 2004-46, Class AO, PO, 06/20/34 | 448 | ||||||
2,832 | Series 2004-59, Class SG, IF, IO, 6.263%, 07/20/34 | 466 | ||||||
547 | Series 2004-68, Class PO, PO, 05/20/31 | 545 | ||||||
150 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 162 | ||||||
234 | Series 2004-73, Class AE, IF, 14.364%, 08/17/34 | 307 | ||||||
3,646 | Series 2004-73, Class JL, IF, IO, 6.311%, 09/16/34 | 661 | ||||||
658 | Series 2004-85, Class PO, PO, 01/17/33 | 655 | ||||||
1,677 | Series 2004-90, Class SI, IF, IO, 5.863%, 10/20/34 | 263 | ||||||
1,379 | Series 2005-3, Class SB, IF, IO, 5.863%, 01/20/35 | 214 | ||||||
2,795 | Series 2005-17, Class SL, IF, IO, 6.463%, 07/20/34 | 469 | ||||||
700 | Series 2005-26, Class VI, IO, 5.500%, 01/20/35 | 140 | ||||||
235 | Series 2005-35, Class FL, VAR, 0.587%, 03/20/32 | 236 | ||||||
3,287 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 753 | ||||||
713 | Series 2005-68, Class DP, IF, 15.860%, 06/17/35 | 1,007 | ||||||
3,636 | Series 2005-68, Class KI, IF, IO, 6.063%, 09/20/35 | 539 | ||||||
1,074 | Series 2005-69, Class SY, IF, IO, 6.513%, 11/20/33 | 158 | ||||||
1,462 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 1,794 | ||||||
1,439 | Series 2005-85, Class IO, IO, 5.500%, 11/16/35 | 258 | ||||||
87 | Series 2005-93, Class JO, PO, 03/20/31 | 87 | ||||||
665 | Series 2006-16, Class OP, PO, 03/20/36 | 612 | ||||||
484 | Series 2006-22, Class AO, PO, 05/20/36 | 460 | ||||||
463 | Series 2006-34, Class PO, PO, 07/20/36 | 441 | ||||||
3,041 | Series 2006-38, Class SG, IF, IO, 6.413%, 09/20/33 | 236 | ||||||
1,817 | Series 2006-38, Class SW, IF, IO, 6.263%, 06/20/36 | 233 | ||||||
567 | Series 2006-59, Class SD, IF, IO, 6.463%, 10/20/36 | 99 | ||||||
1,919 | Series 2007-9, Class DI, IF, IO, 6.273%, 03/20/37 | 318 | ||||||
719 | Series 2007-17, Class AF, VAR, 0.438%, 04/16/37 | 719 |
SEE NOTES TO FINANCIAL STATEMENTS.
198 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,168 | Series 2007-17, Class JI, IF, IO, 6.572%, 04/16/37 | 552 | ||||||
436 | Series 2007-17, Class JO, PO, 04/16/37 | 400 | ||||||
395 | Series 2007-25, Class FN, VAR, 0.538%, 05/16/37 | 395 | ||||||
2,375 | Series 2007-26, Class SC, IF, IO, 5.963%, 05/20/37 | 354 | ||||||
5,834 | Series 2007-26, Class SW, IF, IO, 5.963%, 05/20/37 | 917 | ||||||
836 | Series 2007-27, Class MI, IO, 5.500%, 09/20/36 | 81 | ||||||
111 | Series 2007-28, Class BO, PO, 05/20/37 | 105 | ||||||
2,858 | Series 2007-31, Class AO, PO, 05/16/37 | 2,626 | ||||||
108 | Series 2007-35, Class TO, PO, 04/20/35 | 108 | ||||||
102 | Series 2007-36, Class HO, PO, 06/16/37 | 94 | ||||||
2,049 | Series 2007-36, Class SE, IF, IO, 6.231%, 06/16/37 | 334 | ||||||
3,244 | Series 2007-36, Class SG, IF, IO, 6.233%, 06/20/37 | 501 | ||||||
1,866 | Series 2007-40, Class SD, IF, IO, 6.513%, 07/20/37 | 296 | ||||||
1,860 | Series 2007-42, Class SB, IF, IO, 6.513%, 07/20/37 | 314 | ||||||
780 | Series 2007-45, Class QA, IF, IO, 6.403%, 07/20/37 | 129 | ||||||
1,698 | Series 2007-50, Class AI, IF, IO, 6.538%, 08/20/37 | 282 | ||||||
340 | Series 2007-53, Class SW, IF, 19.494%, 09/20/37 | 497 | ||||||
2,146 | Series 2007-57, Class PO, PO, 03/20/37 | 2,065 | ||||||
1,703 | Series 2007-57, Class QA, IF, IO, 6.263%, 10/20/37 | 261 | ||||||
1,408 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 1,471 | ||||||
2,299 | Series 2007-71, Class SB, IF, IO, 6.463%, 07/20/36 | 272 | ||||||
3,564 | Series 2007-74, Class SL, IF, IO, 6.302%, 11/16/37 | 607 | ||||||
1,662 | Series 2007-76, Class SA, IF, IO, 6.293%, 11/20/37 | 276 | ||||||
2,530 | Series 2007-79, Class SY, IF, IO, 6.313%, 12/20/37 | 435 | ||||||
866 | Series 2007-81, Class SP, IF, IO, 6.413%, 12/20/37 | 154 | ||||||
680 | Series 2007-82, Class SA, IF, IO, 6.293%, 12/20/37 | 113 | ||||||
355 | Series 2008-1, Class PO, PO, 01/20/38 | 336 | ||||||
1,202 | Series 2008-2, Class MS, IF, IO, 6.922%, 01/16/38 | 208 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
882 | Series 2008-10, Class S, IF, IO, 5.593%, 02/20/38 | 133 | ||||||
3,327 | Series 2008-13, Class PI, IO, 5.500%, 02/16/38 | 582 | ||||||
778 | Series 2008-20, Class PO, PO, 09/20/37 | 750 | ||||||
683 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 57 | ||||||
1,819 | Series 2008-25, Class SB, IF, IO, 6.663%, 03/20/38 | 338 | ||||||
758 | Series 2008-29, Class PO, PO, 02/17/33 | 724 | ||||||
2,033 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 276 | ||||||
744 | Series 2008-33, Class XS, IF, IO, 7.462%, 04/16/38 | 121 | ||||||
1,500 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 1,763 | ||||||
1,928 | Series 2008-36, Class SH, IF, IO, 6.063%, 04/20/38 | 302 | ||||||
4,897 | Series 2008-40, Class SA, IF, IO, 6.162%, 05/16/38 | 1,011 | ||||||
2,047 | Series 2008-41, Class SA, IF, IO, 6.103%, 05/20/38 | 292 | ||||||
686 | Series 2008-47, Class V, 5.500%, 05/16/19 | 786 | ||||||
1,194 | Series 2008-55, Class SA, IF, IO, 5.963%, 06/20/38 | 178 | ||||||
950 | Series 2008-60, Class PO, PO, 01/20/38 | 933 | ||||||
5,272 | Series 2008-62, Class SA, IF, IO, 5.913%, 07/20/38 | 891 | ||||||
2,269 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 2,480 | ||||||
3,000 | Series 2008-65, Class ME, 5.750%, 09/20/37 | 3,235 | ||||||
542 | Series 2008-71, Class SC, IF, IO, 5.763%, 08/20/38 | 74 | ||||||
1,440 | Series 2008-93, Class AS, IF, IO, 5.463%, 12/20/38 | 202 | ||||||
4,493 | Series 2008-95, Class DS, IF, IO, 7.063%, 12/20/38 | 801 | ||||||
1,199 | Series 2008-96, Class SL, IF, IO, 5.763%, 12/20/38 | 190 | ||||||
1,851 | Series 2009-6, Class SA, IF, IO, 5.861%, 02/16/39 | 309 | ||||||
2,725 | Series 2009-10, Class SA, IF, IO, 5.713%, 02/20/39 | 382 | ||||||
2,241 | Series 2009-10, Class SL, IF, IO, 6.262%, 03/16/34 | 240 | ||||||
5,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 1,295 | ||||||
1,493 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 321 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 199 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
1,611 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 311 | ||||||
2,056 | Series 2009-24, Class DS, IF, IO, 6.063%, 03/20/39 | 225 | ||||||
1,112 | Series 2009-25, Class SE, IF, IO, 7.363%, 09/20/38 | 183 | ||||||
858 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 120 | ||||||
1,480 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 262 | ||||||
961 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 | 46 | ||||||
3,719 | Series 2009-42, Class SC, IF, IO, 5.843%, 06/20/39 | 538 | ||||||
1,910 | Series 2009-43, Class SA, IF, IO, 5.713%, 06/20/39 | 257 | ||||||
768 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 835 | ||||||
4,063 | Series 2009-57, Class PQ, 3.500%, 02/20/37 | 4,215 | ||||||
4,060 | Series 2009-64, Class SN, IF, IO, 5.861%, 07/16/39 | 543 | ||||||
801 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 144 | ||||||
3,233 | Series 2009-67, Class SA, IF, IO, 5.812%, 08/16/39 | 479 | ||||||
4,168 | Series 2009-72, Class SM, IF, IO, 6.011%, 08/16/39 | 560 | ||||||
708 | Series 2009-79, Class OK, PO, 11/16/37 | 659 | ||||||
3,878 | Series 2009-83, Class TS, IF, IO, 5.863%, 08/20/39 | 548 | ||||||
7,618 | Series 2009-102, Class SM, IF, IO, 6.162%, 06/16/39 | 860 | ||||||
1,460 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 1,789 | ||||||
3,869 | Series 2009-106, Class AS, IF, IO, 6.162%, 11/16/39 | 610 | ||||||
4,795 | Series 2009-106, Class ST, IF, IO, 5.763%, 02/20/38 | 729 | ||||||
2,519 | Series 2009-121, Class VA, 5.500%, 11/20/20 | 2,900 | ||||||
567 | Series 2010-14, Class AO, PO, 12/20/32 | 553 | ||||||
620 | Series 2010-14, Class BO, PO, 11/20/35 | 588 | ||||||
2,500 | Series 2010-14, Class CO, PO, 08/20/35 | 2,172 | ||||||
4,325 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 4,719 | ||||||
3,464 | Series 2010-41, Class WA, VAR, 5.849%, 10/20/33 | 3,924 | ||||||
2,116 | Series 2010-103, Class WA, VAR, 5.757%, 08/20/34 | 2,451 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
2,182 | Series 2010-129, Class AW, VAR, 6.133%, 04/20/37 | 2,495 | ||||||
2,623 | Series 2010-130, Class CP, 7.000%, 10/16/40 | 3,093 | ||||||
4,980 | Series 2010-157, Class OP, PO, 12/20/40 | 4,340 | ||||||
2,641 | Series 2011-17, Class FP, VAR, 0.637%, 09/20/40 | 2,650 | ||||||
4,928 | Series 2011-22, Class WA, VAR, 5.947%, 02/20/37 | 5,559 | ||||||
502 | Series 2011-56, Class BI, IO, 4.500%, 04/16/41 | 9 | ||||||
6,710 | Series 2011-97, Class WA, VAR, 6.050%, 11/20/38 | 7,660 | ||||||
8,933 | Series 2011-137, Class WA, VAR, 5.538%, 07/20/40 | 10,134 | ||||||
7,512 | Series 2011-163, Class WA, VAR, 5.767%, 12/20/38 | 8,342 | ||||||
10,579 | Series 2012-24, Class WA, VAR, 5.621%, 07/20/41 | 12,009 | ||||||
11,394 | Series 2012-52, Class WA, VAR, 6.126%, 04/20/38 | 13,289 | ||||||
3,439 | Series 2012-59, Class WA, VAR, 5.585%, 08/20/38 | 3,936 | ||||||
10,830 | Series 2012-61, Class FM, VAR, 0.639%, 05/16/42 | 10,866 | ||||||
25,528 | Series 2012-H10, Class FA, VAR, 0.795%, 12/20/61 | 25,541 | ||||||
NCUA Guaranteed Notes, | ||||||||
2,460 | Series 2010-C1, Class A2, 2.900%, 10/29/20 | 2,630 | ||||||
7,432 | Series 2010-C1, Class APT, 2.650%, 10/29/20 | 7,836 | ||||||
3,497 | Series 2010-R3, Class 1A, VAR, 0.804%, 12/08/20 | 3,518 | ||||||
1,096 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 1,122 | ||||||
Vendee Mortgage Trust, | ||||||||
5,387 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 6,108 | ||||||
700 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 819 | ||||||
398 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 472 | ||||||
789 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 937 | ||||||
587 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 707 | ||||||
|
| |||||||
1,488,644 | ||||||||
|
| |||||||
Non-Agency CMO — 14.8% |
| |||||||
American General Mortgage Loan Trust, | ||||||||
1,264 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,325 | ||||||
4,000 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 4,014 |
SEE NOTES TO FINANCIAL STATEMENTS.
200 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
3,000 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 3,038 | ||||||
5,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 5,419 | ||||||
1,617 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 1,650 | ||||||
1,346 | Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e) | 1,415 | ||||||
1,900 | Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e) | 1,986 | ||||||
900 | Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e) | 925 | ||||||
1,712 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.339%, 09/25/35 | 798 | ||||||
ASG Resecuritization Trust, | ||||||||
943 | Series 2009-1, Class A60, VAR, 2.490%, 06/26/37 (e) | 938 | ||||||
1,185 | Series 2009-2, Class A55, VAR, 5.199%, 05/24/36 (e) | 1,174 | ||||||
1,288 | Series 2009-2, Class G60, VAR, 5.199%, 05/24/36 (e) | 1,260 | ||||||
3,377 | Series 2009-3, Class A65, VAR, 2.608%, 03/26/37 (e) | 3,321 | ||||||
3,218 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 3,334 | ||||||
2,256 | Series 2010-1, Class A85, VAR, 0.635%, 02/27/36 (e) | 2,189 | ||||||
6,443 | Series 2010-2, Class A60, VAR, 2.145%, 01/28/37 (e) | 6,253 | ||||||
1,267 | Series 2010-3, Class 2A22, VAR, 0.485%, 10/28/36 (e) | 1,251 | ||||||
368 | Series 2010-4, Class 2A20, VAR, 0.430%, 11/28/36 (e) | 359 | ||||||
964 | Series 2011-1, Class 2A35, 6.000%, 09/28/36 (e) | 1,000 | ||||||
2,214 | Series 2011-1, Class 3A50, VAR, 2.720%, 11/28/35 (e) (f) (i) | 2,138 | ||||||
1,370 | Series 2011-2, Class A48S, HB, IF, 23.297%, 02/28/36 (e) | 1,876 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
268 | Series 2003-3, Class APO, PO, 05/25/33 | 198 | ||||||
1,145 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 | 1,166 | ||||||
1,539 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 1,577 | ||||||
608 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 624 | ||||||
699 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 730 | ||||||
355 | Series 2003-11, Class PO, PO, 01/25/34 | 262 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
936 | Series 2004-1, Class 1A1, 6.000%, 02/25/34 | 960 | ||||||
270 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 276 | ||||||
551 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 561 | ||||||
3,610 | Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35 | 791 | ||||||
3,011 | Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36 | 699 | ||||||
Banc of America Funding Corp., | ||||||||
295 | Series 2004-1, Class PO, PO, 03/25/34 | 231 | ||||||
1,417 | Series 2004-3, Class 1A1, 5.500%, 10/25/34 | 1,452 | ||||||
960 | Series 2004-C, Class 1A1, VAR, 5.055%, 12/20/34 | 969 | ||||||
1,604 | Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35 | 245 | ||||||
306 | Series 2005-4, Class 30PO, PO, 08/25/35 | 230 | ||||||
898 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 953 | ||||||
117 | Series 2005-7, Class 30PO, PO, 11/25/35 | 91 | ||||||
544 | Series 2005-8, Class 30PO, PO, 01/25/36 | 405 | ||||||
2,716 | Series 2005-E, Class 4A1, VAR, 2.645%, 03/20/35 | 2,676 | ||||||
2,913 | Series 2010-R11A, Class 1A6, VAR, 5.362%, 08/26/35 (e) | 3,092 | ||||||
409 | Series 2010-R4, Class 5A1, VAR, 0.385%, 07/26/36 (e) | 400 | ||||||
1,928 | Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e) | 2,023 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
1,425 | Series 2003-3, Class 1A7, 5.500%, 05/25/33 | 1,463 | ||||||
262 | Series 2003-3, Class 2A1, VAR, 0.786%, 05/25/18 | 250 | ||||||
729 | Series 2003-6, Class 2A1, VAR, 0.685%, 08/25/18 | 698 | ||||||
600 | Series 2003-8, Class 2A5, 5.000%, 11/25/18 | 623 | ||||||
128 | Series 2003-8, Class APO, PO, 11/25/33 | 120 | ||||||
175 | Series 2003-9, Class 1A2, PO, 12/25/33 | 136 | ||||||
1,059 | Series 2003-A, Class 4A1, VAR, 2.997%, 02/25/33 | 1,019 | ||||||
814 | Series 2003-C, Class 3A1, VAR, 3.090%, 04/25/33 | 833 | ||||||
1,732 | Series 2003-E, Class 2A2, VAR, 3.133%, 06/25/33 | 1,738 | ||||||
1,551 | Series 2003-J, Class 3A2, VAR, 3.051%, 11/25/33 | 1,539 | ||||||
2,182 | Series 2004-3, Class 15IO, IO, VAR, 0.258%, 04/25/19 | 10 | ||||||
3,000 | Series 2004-3, Class 1A26, 5.500%, 04/25/34 | 3,075 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 201 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
143 | Series 2004-4, Class APO, PO, 05/25/34 | 135 | ||||||
17,818 | Series 2004-5, Class 15IO, IO, VAR, 0.236%, 06/25/19 | 69 | ||||||
2,295 | Series 2004-6, Class 1A3, 5.500%, 05/25/34 | 2,399 | ||||||
215 | Series 2004-6, Class APO, PO, 07/25/34 | 201 | ||||||
121 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 127 | ||||||
1,213 | Series 2004-C, Class 2A2, VAR, 3.131%, 04/25/34 | 1,216 | ||||||
1,076 | Series 2004-J, Class 3A1, VAR, 2.916%, 11/25/34 | 995 | ||||||
BCAP LLC Trust, | ||||||||
826 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 843 | ||||||
34 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 34 | ||||||
1,470 | Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e) | 1,441 | ||||||
2,000 | Series 2009-RR14, Class 3A2, VAR, 2.896%, 08/26/35 (e) | 1,870 | ||||||
846 | Series 2009-RR14, Class 4A1, VAR, 2.817%, 03/26/36 (e) | 844 | ||||||
1,382 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 1,420 | ||||||
769 | Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e) | 778 | ||||||
1,287 | Series 2010-RR12, Class 4A5, VAR, 2.922%, 10/26/36 (e) | 1,290 | ||||||
692 | Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e) (f) (i) | 687 | ||||||
437 | Series 2010-RR4, Class 2A1, VAR, 0.986%, 06/26/37 (e) | 433 | ||||||
462 | Series 2010-RR5, Class 1A4, VAR, 2.234%, 11/26/37 (e) | 455 | ||||||
2,842 | Series 2010-RR5, Class 2A5, VAR, 5.240%, 04/26/37 (e) | 2,842 | ||||||
709 | Series 2010-RR6, Class 5A1, VAR, 5.381%, 11/26/37 (e) | 707 | ||||||
1,390 | Series 2010-RR7, Class 15A1, VAR, 1.035%, 01/26/36 (e) | 1,313 | ||||||
1,411 | Series 2010-RR7, Class 16A1, VAR, 0.848%, 02/26/47 (e) | 1,316 | ||||||
2,526 | Series 2010-RR7, Class 1A5, VAR, 5.017%, 04/26/35 (e) | 2,461 | ||||||
5,566 | Series 2010-RR7, Class 2A1, VAR, 2.445%, 07/26/45 (e) | 5,221 | ||||||
982 | Series 2010-RR8, Class 3A3, VAR, 5.070%, 05/26/35 (e) | 989 | ||||||
1,500 | Series 2010-RR8, Class 3A4, VAR, 5.070%, 05/26/35 (e) | 1,359 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,636 | Series 2011-R11, Class 24A5, VAR, 3.000%, 08/26/22 (e) | 1,652 | ||||||
2,046 | Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e) | 2,079 | ||||||
3,110 | Series 2011-RR10, Class 2A1, VAR, 4.326%, 09/26/37 (e) | 2,752 | ||||||
2,072 | Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e) (f) (i) | 2,009 | ||||||
2,978 | Series 2011-RR5, Class 11A3, VAR, 0.385%, 05/28/36 (e) | 2,639 | ||||||
1,899 | Series 2011-RR5, Class 14A3, VAR, 2.933%, 07/26/36 (e) (f) (i) | 1,831 | ||||||
1,785 | Series 2012-RR1, Class 5A1, VAR, 6.546%, 07/26/37 (e) (f) (i) | 1,846 | ||||||
4,788 | Series 2012-RR2, Class 1A1, VAR, 0.406%, 08/26/36 (e) (f) (i) | 4,540 | ||||||
5,979 | Series 2012-RR3, Class 2A5, 4.930%, 05/26/37 (e) | 5,847 | ||||||
3,000 | Series 2012-RR4, Class 8A3, VAR, 0.467%, 06/26/47 (e) | 2,696 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
705 | Series 2003-4, Class 3A1, VAR, 4.985%, 07/25/33 | 718 | ||||||
304 | Series 2003-7, Class 3A, VAR, 2.713%, 10/25/33 | 305 | ||||||
812 | Series 2004-1, Class 12A1, VAR, 3.046%, 04/25/34 | 728 | ||||||
952 | Series 2004-2, Class 14A, VAR, 5.090%, 05/25/34 | 969 | ||||||
2,019 | Series 2005-5, Class A1, VAR, 2.240%, 08/25/35 | 2,046 | ||||||
2,740 | Series 2006-1, Class A1, VAR, 2.370%, 02/25/36 | 2,508 | ||||||
875 | Bear Stearns Alt-A Trust, Series 2005-2, Class 1A1, VAR, 0.736%, 03/25/35 | 802 | ||||||
1,329 | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.750%, 10/25/33 | 1,382 | ||||||
268 | Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33 | 253 | ||||||
Chase Mortgage Finance Corp., | ||||||||
316 | Series 2003-S10, Class AP, PO, 11/25/18 | 315 | ||||||
264 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 270 | ||||||
216 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 220 | ||||||
486 | Series 2004-S3, Class 2A5, 5.500%, 03/25/34 | 507 | ||||||
3,521 | Series 2007-A1, Class 1A3, VAR, 2.929%, 02/25/37 | 3,572 | ||||||
612 | Series 2007-A1, Class 2A1, VAR, 3.000%, 02/25/37 | 625 |
SEE NOTES TO FINANCIAL STATEMENTS.
202 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
812 | Series 2007-A1, Class 7A1, VAR, 2.937%, 02/25/37 | 815 | ||||||
879 | Series 2007-A1, Class 9A1, VAR, 2.947%, 02/25/37 | 894 | ||||||
1,564 | Series 2007-A2, Class 2A1, VAR, 2.872%, 07/25/37 | 1,634 | ||||||
Citicorp Mortgage Securities, Inc., | ||||||||
218 | Series 2003-8, Class APO, PO, 08/25/33 | 206 | ||||||
669 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 680 | ||||||
1,341 | Series 2004-4, Class A4, 5.500%, 06/25/34 | 1,406 | ||||||
838 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 869 | ||||||
227 | Series 2005-6, Class APO, PO, 09/25/35 | 183 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
585 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 598 | ||||||
235 | Series 2003-1, Class PO3, PO, 09/25/33 | 221 | ||||||
38 | Series 2003-1, Class WA2, 6.500%, 06/25/31 | 40 | ||||||
39 | Series 2003-1, Class WPO2, PO, 06/25/31 | 37 | ||||||
74 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 77 | ||||||
375 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 392 | ||||||
55 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 55 | ||||||
59 | Series 2003-UST1, Class PO2, PO, 12/25/18 | 59 | ||||||
24 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 24 | ||||||
644 | Series 2004-UST1, Class A3, VAR, 2.514%, 08/25/34 | 658 | ||||||
427 | Series 2004-UST1, Class A6, VAR, 5.060%, 08/25/34 | 438 | ||||||
348 | Series 2005-1, Class 2A1A, VAR, 2.845%, 04/25/35 | 229 | ||||||
1,166 | Series 2005-2, Class 2A11, 5.500%, 05/25/35 | 1,194 | ||||||
973 | Series 2005-5, Class 1A2, VAR, 3.180%, 08/25/35 | 563 | ||||||
2,675 | Series 2008-AR4, Class 1A1A, VAR, 3.040%, 11/25/38 (e) | 2,676 | ||||||
2,245 | Series 2009-8, Class 4A1, 6.000%, 11/25/36 (e) | 2,384 | ||||||
1,799 | Series 2009-10, Class 1A1, VAR, 2.449%, 09/25/33 (e) | 1,801 | ||||||
1,781 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 1,872 | ||||||
2,739 | Series 2009-11, Class 3A1, VAR, 5.750%, 05/25/37 (e) | 2,822 | ||||||
948 | Series 2010-7, Class 10A1, VAR, 2.610%, 02/25/35 (e) | 954 | ||||||
13,162 | Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e) | 13,630 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
12,853 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 13,354 | ||||||
1,838 | Series 2010-12, Class 4A1, VAR, 0.457%, 07/20/36 (e) | 1,750 | ||||||
678 | Series 2011-3, Class 1A1, VAR, 0.316%, 02/25/47 (e) | 671 | ||||||
1,484 | Series 2011-10, Class 4A1, VAR, 0.435%, 02/25/46 (e) (f) (i) | 1,413 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
219 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 229 | ||||||
876 | Series 2002-11, Class M, 6.500%, 10/25/32 | 843 | ||||||
274 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 261 | ||||||
232 | Series 2003-J1, Class PO, PO, 10/25/33 | 215 | ||||||
1,680 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,659 | ||||||
1,449 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 1,481 | ||||||
115 | Series 2004-J3, Class 4A1, 4.750%, 04/25/19 | 118 | ||||||
253 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 255 | ||||||
2,124 | Series 2005-1CB, Class 1A6, IF, IO, 6.865%, 03/25/35 | 521 | ||||||
8,144 | Series 2005-20CB, Class 3A8, IF, IO, 4.515%, 07/25/35 | 920 | ||||||
6,115 | Series 2005-22T1, Class A2, IF, IO, 4.835%, 06/25/35 | 950 | ||||||
253 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 218 | ||||||
10,431 | Series 2005-37T1, Class A2, IF, IO, 4.814%, 09/25/35 | 1,648 | ||||||
1,916 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 1,660 | ||||||
11,739 | Series 2005-54CB, Class 1A2, IF, IO, 4.615%, 11/25/35 | 1,709 | ||||||
51 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 44 | ||||||
1,369 | Series 2005-57CB, Class 3A2, IF, IO, 4.865%, 12/25/35 | 195 | ||||||
896 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 742 | ||||||
1,085 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 796 | ||||||
4,323 | Series 2005-J1, Class 1A4, IF, IO, 4.865%, 02/25/35 | 597 | ||||||
26,330 | Series 2006-7CB, Class 1A2, IF, IO, 5.065%, 05/25/36 | 4,443 | ||||||
1,143 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 786 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 203 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
942 | Series 2002-36, Class A22, 6.000%, 01/25/33 | 967 | ||||||
151 | Series 2003-18, Class A12, 5.500%, 07/25/33 | 147 | ||||||
615 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 615 | ||||||
5 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 5 | ||||||
2,989 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 3,095 | ||||||
156 | Series 2003-44, Class A9, PO, 10/25/33 | 155 | ||||||
98 | Series 2003-J10, Class 2A1, 5.000%, 11/25/18 | 100 | ||||||
2,070 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 2,139 | ||||||
290 | Series 2003-J7, Class 4A3, IF, 9.469%, 08/25/18 | 318 | ||||||
984 | Series 2004-3, Class A26, 5.500%, 04/25/34 | 1,019 | ||||||
217 | Series 2004-3, Class PO, PO, 04/25/34 | 204 | ||||||
2,098 | Series 2004-5, Class 1A4, 5.500%, 06/25/34 | 2,184 | ||||||
233 | Series 2004-7, Class 2A1, VAR, 2.983%, 06/25/34 | 231 | ||||||
1,330 | Series 2004-13, Class 1A4, 5.500%, 08/25/34 | 1,358 | ||||||
233 | Series 2004-28R, Class A1, 5.500%, 08/25/33 | 234 | ||||||
327 | Series 2004-HYB1, Class 2A, VAR, 2.867%, 05/20/34 | 314 | ||||||
1,340 | Series 2004-HYB3, Class 2A, VAR, 2.813%, 06/20/34 | 1,192 | ||||||
869 | Series 2004-HYB6, Class A3, VAR, 2.698%, 11/20/34 | 739 | ||||||
351 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 361 | ||||||
1,166 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,191 | ||||||
2,429 | Series 2005-22, Class 2A1, VAR, 2.723%, 11/25/35 | 1,825 | ||||||
7,062 | Series 2007-4, Class 1A52, IF, IO, 5.164%, 05/25/37 | 1,084 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2,445 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 2,485 | ||||||
85 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 85 | ||||||
1,150 | Series 2010-16, Class A3, VAR, 4.250%, 06/25/50 (e) | 1,076 | ||||||
2,250 | Series 2010-16, Class A4, VAR, 4.250%, 06/25/50 (e) | 1,843 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
847 | Series 2010-1R, Class 26A1, 4.750%, 05/27/37 (e) | 847 | ||||||
695 | Series 2010-1R, Class 5A1, VAR, 5.000%, 01/27/36 (e) | 719 | ||||||
166 | Series 2010-11R, Class A1, VAR, 1.234%, 06/28/47 (e) | 162 | ||||||
446 | Series 2010-12R, Class 14A1, VAR, 2.879%, 09/26/46 (e) | 443 | ||||||
879 | Series 2010-12R, Class 5A1, VAR, 3.000%, 04/26/37 (e) | 873 | ||||||
323 | Series 2010-15R, Class 7A1, VAR, 1.675%, 10/26/37 (e) | 318 | ||||||
500 | Series 2010-15R, Class 7A2, VAR, 1.675%, 10/26/37 (e) | 477 | ||||||
4,866 | Series 2011-1R, Class A1, VAR, 1.235%, 02/27/47 (e) | 4,793 | ||||||
1,378 | Series 2011-6R, Class 3A1, VAR, 2.948%, 07/28/36 (e) | 1,300 | ||||||
5,201 | Series 2011-7R, Class A1, VAR, 1.484%, 08/28/47 (e) | 5,115 | ||||||
6,741 | Series 2011-9R, Class A1, VAR, 2.234%, 03/27/46 (e) | 6,720 | ||||||
5,186 | Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e) | 5,271 | ||||||
2,193 | Series 2012-2R, Class 2A1, VAR, 2.766%, 03/27/47 (e) (f) (i) | 2,116 | ||||||
6,358 | Series 2012-3R, Class 1A1, VAR, 3.250%, 07/27/37 (e) | 6,403 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
1,206 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,259 | ||||||
888 | Series 2003-21, Class 1A4, 5.250%, 09/25/33 | 898 | ||||||
3,733 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 3,847 | ||||||
1,415 | Series 2003-27, Class 5A4, 5.250%, 11/25/33 | 1,468 | ||||||
816 | Series 2003-29, Class 1A1, 6.500%, 12/25/33 | 848 | ||||||
576 | Series 2003-29, Class 5A1, 7.000%, 12/25/33 | 616 | ||||||
1,236 | Series 2003-AR15, Class 3A1, VAR, 2.988%, 06/25/33 | 1,225 | ||||||
1,308 | Series 2004-4, Class 2A4, 5.500%, 09/25/34 | 1,367 | ||||||
967 | Series 2004-5, Class 3A1, 5.250%, 08/25/19 | 994 | ||||||
1,419 | Series 2004-8, Class 1A4, 5.500%, 12/25/34 | 1,495 | ||||||
1,042 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 1,073 | ||||||
2,823 | Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35 | 566 |
SEE NOTES TO FINANCIAL STATEMENTS.
204 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
2,035 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 459 | ||||||
774 | Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.626%, 02/25/20 | 799 | ||||||
Deutsche Mortgage Securities, Inc., | ||||||||
604 | Series 2009-RS2, Class 4A1, VAR, 0.375%, 04/26/37 (e) | 586 | ||||||
150 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 151 | ||||||
606 | Series 2010-RS2, Class A1, VAR, 1.483%, 06/28/47 (e) | 606 | ||||||
First Horizon Alternative Mortgage Securities, | ||||||||
1,479 | Series 2004-AA4, Class A1, VAR, 2.603%, 10/25/34 | 1,317 | ||||||
421 | Series 2005-AA5, Class 1A2, VAR, 2.625%, 07/25/35 | 79 | ||||||
966 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 780 | ||||||
10,754 | Series 2007-FA4, Class 1A2, IF, IO, 5.415%, 08/25/37 | 1,928 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
165 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 170 | ||||||
219 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 223 | ||||||
2,235 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 2,266 | ||||||
578 | Series 2004-AR2, Class 2A1, VAR, 2.626%, 05/25/34 | 570 | ||||||
138 | Series 2004-AR7, Class 2A1, VAR, 2.616%, 02/25/35 (m) | 137 | ||||||
685 | Series 2004-AR7, Class 2A2, VAR, 2.616%, 02/25/35 | 679 | ||||||
1,284 | Series 2005-AR1, Class 2A2, VAR, 2.625%, 04/25/35 | 1,296 | ||||||
Freedom Trust, | ||||||||
593 | Series 2011-3, Class A11, VAR, 5.000%, 09/01/51 (e) | 595 | ||||||
2,229 | Series 2011-4, Class A18, VAR, 3.664%, 03/25/37 (e) | 2,224 | ||||||
GMAC Mortgage Corp. Loan Trust, | ||||||||
836 | Series 2003-AR1, Class A4, VAR, 3.136%, 10/19/33 | 859 | ||||||
2,345 | Series 2003-AR2, Class 2A4, VAR, 3.009%, 12/19/33 | 2,379 | ||||||
142 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 150 | ||||||
1,012 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 1,055 | ||||||
160 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 166 | ||||||
1,149 | Series 2004-J1, Class A20, 5.500%, 04/25/34 | 1,177 | ||||||
2,896 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 2,982 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,005 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 1,033 | ||||||
302 | Series 2005-AR3, Class 3A3, VAR, 3.338%, 06/19/35 | 305 | ||||||
3,424 | Series 2005-AR3, Class 3A4, VAR, 3.338%, 06/19/35 | 3,182 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
654 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 661 | ||||||
318 | Series 2004-4, Class 1AF, VAR, 0.635%, 06/25/34 (e) | 271 | ||||||
639 | Series 2005-RP2, Class 1AF, VAR, 0.585%, 03/25/35 (e) | 529 | ||||||
3,732 | Series 2005-RP3, Class 1AF, VAR, 0.585%, 09/25/35 (e) | 3,017 | ||||||
1,696 | Series 2005-RP3, Class 1AS, IO, VAR, 5.055%, 09/25/35 (e) | 255 | ||||||
3,529 | Series 2006-RP2, Class 1AS2, IF, IO, 5.139%, 04/25/36 (e) | 573 | ||||||
GSR Mortgage Loan Trust, | ||||||||
370 | Series 2003-13, Class 1A1, VAR, 4.430%, 10/25/33 | 379 | ||||||
168 | Series 2003-6F, Class A2, VAR, 0.635%, 09/25/32 | 158 | ||||||
1,609 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 1,603 | ||||||
135 | Series 2004-3F, Class 3A8, 13.500%, 02/25/34 | 136 | ||||||
2,981 | Series 2004-6F, Class 2A4, 5.500%, 05/25/34 | 3,134 | ||||||
3,869 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 4,052 | ||||||
39 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 39 | ||||||
334 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 330 | ||||||
913 | Series 2005-5F, Class 8A3, VAR, 0.735%, 06/25/35 | 867 | ||||||
4,671 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 4,624 | ||||||
747 | Series 2006-1F, Class 1AP, PO, 02/25/36 | 539 | ||||||
8,679 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 8,083 | ||||||
2,950 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 3,040 | ||||||
378 | Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.755%, 04/25/35 | 237 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
1,249 | Series 2001-8, Class A6, 6.440%, 01/25/32 | 1,270 | ||||||
1,272 | Series 2006-1, Class 2A1, VAR, 0.586%, 05/25/36 | 1,254 | ||||||
2,534 | Series 2006-2, Class 2A1, VAR, 0.586%, 08/25/36 | 2,550 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 205 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
Indymac Index Mortgage Loan Trust, | ||||||||
8,771 | Series 2005-AR11, Class A7, IO, VAR, 08/25/35 | 44 | ||||||
299 | Series 2006-AR3, Class 2A1A, VAR, 2.817%, 03/25/36 | 181 | ||||||
JP Morgan Mortgage Trust, | ||||||||
652 | Series 2004-A3, Class 4A1, VAR, 3.045%, 07/25/34 | 656 | ||||||
581 | Series 2004-A4, Class 1A1, VAR, 3.028%, 09/25/34 | 594 | ||||||
346 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 356 | ||||||
1,893 | Series 2005-A1, Class 3A4, VAR, 4.999%, 02/25/35 | 1,950 | ||||||
154 | Series 2005-A1, Class 5A1, VAR, 4.428%, 02/25/35 | 155 | ||||||
2,496 | Series 2006-A2, Class 4A1, VAR, 3.014%, 08/25/34 | 2,509 | ||||||
3,662 | Series 2006-A2, Class 5A3, VAR, 2.710%, 11/25/33 | 3,724 | ||||||
888 | Series 2006-A3, Class 6A1, VAR, 2.987%, 08/25/34 | 874 | ||||||
847 | Series 2007-A1, Class 5A2, VAR, 2.912%, 07/25/35 | 854 | ||||||
864 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 3.018%, 08/26/35 (e) | 849 | ||||||
42 | Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18 | 40 | ||||||
Lehman Mortgage Trust, | ||||||||
1,001 | Series 2006-2, Class 1A1, VAR, 6.446%, 04/25/36 | 970 | ||||||
717 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 586 | ||||||
1,404 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,342 | ||||||
LVII Resecuritization Trust, | ||||||||
1,939 | Series 2009-2, Class A5, VAR, 3.000%, 09/27/37 (e) | 1,947 | ||||||
3,000 | Series 2009-2, Class M3, VAR, 5.412%, 09/27/37 (e) | 3,148 | ||||||
1,200 | Series 2009-3, Class M3, VAR, 5.559%, 11/27/37 (e) | 1,271 | ||||||
1,377 | Series 2009-3, Class M4, VAR, 5.559%, 11/27/37 (e) | 1,456 | ||||||
MASTR Adjustable Rate Mortgages Trust, | ||||||||
205 | Series 2004-3, Class 4A2, VAR, 2.605%, 04/25/34 | 204 | ||||||
55 | Series 2004-4, Class 2A1, VAR, 2.001%, 05/25/34 | 41 | ||||||
696 | Series 2004-13, Class 2A1, VAR, 2.634%, 04/21/34 | 701 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
1,197 | Series 2004-13, Class 3A6, VAR, 2.623%, 11/21/34 | 1,219 | ||||||
3,000 | Series 2004-13, Class 3A7, VAR, 2.623%, 11/21/34 | 3,019 | ||||||
286 | Series 2004-15, Class 3A1, VAR, 3.077%, 12/25/34 | 256 | ||||||
MASTR Alternative Loans Trust, | ||||||||
420 | Series 2003-4, Class 2A1, 6.250%, 06/25/33 | 430 | ||||||
420 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 434 | ||||||
898 | Series 2003-8, Class 5A1, 5.000%, 11/25/18 | 923 | ||||||
185 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 197 | ||||||
130 | Series 2004-1, Class 30PO, PO, 02/25/34 | 96 | ||||||
773 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 789 | ||||||
327 | Series 2004-3, Class 30PO, PO, 04/25/34 | 251 | ||||||
319 | Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34 | 51 | ||||||
413 | Series 2004-5, Class 30PO, PO, 06/25/34 | 361 | ||||||
184 | Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34 | 35 | ||||||
218 | Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34 | 40 | ||||||
1,838 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 1,855 | ||||||
172 | Series 2004-7, Class 30PO, PO, 08/25/34 | 129 | ||||||
713 | Series 2004-7, Class AX1, IO, 5.500%, 08/25/34 | 135 | ||||||
493 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 505 | ||||||
3,059 | Series 2005-3, Class AX2, IO, 6.000%, 04/25/35 | 672 | ||||||
MASTR Asset Securitization Trust, | ||||||||
391 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 403 | ||||||
152 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 155 | ||||||
670 | Series 2003-3, Class 3A18, 5.500%, 04/25/33 | 691 | ||||||
144 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 148 | ||||||
191 | Series 2003-4, Class 5A1, 5.500%, 05/25/33 | 203 | ||||||
243 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 254 | ||||||
279 | Series 2003-9, Class 15PO, PO, 10/25/18 | 278 | ||||||
95 | Series 2003-10, Class 15PO, PO, 11/25/18 | 94 | ||||||
69 | Series 2003-11, Class 15PO, PO, 12/25/18 | 68 | ||||||
379 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 388 | ||||||
105 | Series 2004-1, Class 30PO, PO, 02/25/34 | 85 | ||||||
153 | Series 2004-3, Class PO, PO, 03/25/34 | 144 | ||||||
269 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 276 | ||||||
166 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 172 | ||||||
176 | Series 2004-8, Class PO, PO, 08/25/19 | 175 |
SEE NOTES TO FINANCIAL STATEMENTS.
206 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
88 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 91 | ||||||
1,070 | Series 2004-P7, Class A6, 5.500%, 12/27/33 (e) | 1,129 | ||||||
1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 933 | ||||||
3,406 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.585%, 05/25/35 (e) | 2,599 | ||||||
2,123 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 1,656 | ||||||
Merrill Lynch Mortgage Investors, Inc., | ||||||||
278 | Series 2003-A4, Class 2A, VAR, 2.753%, 07/25/33 | 285 | ||||||
1,040 | Series 2003-A5, Class 2A6, VAR, 2.684%, 08/25/33 | 1,052 | ||||||
1,426 | Series 2004-A4, Class A2, VAR, 2.584%, 08/25/34 | 1,442 | ||||||
180 | Series 2005-A1, Class 3A, VAR, 2.788%, 12/25/34 | 181 | ||||||
Merrill Lynch Trust, | ||||||||
— | (h) | Series 7, Class B, PO, 04/20/18 | — | (h) | ||||
39 | Series 47, Class Z, 8.985%, 10/20/20 | 44 | ||||||
MLCC Mortgage Investors, Inc., | ||||||||
974 | Series 2003-A, Class 2A2, VAR, 1.534%, 03/25/28 | 968 | ||||||
880 | Series 2003-E, Class A1, VAR, 0.855%, 10/25/28 | 832 | ||||||
1,208 | Series 2004-1, Class 2A1, VAR, 2.514%, 12/25/34 | 1,240 | ||||||
1,159 | Series 2004-D, Class A2, VAR, 1.434%, 09/25/29 | 1,147 | ||||||
1,046 | Series 2004-E, Class A2A, VAR, 1.090%, 11/25/29 | 1,038 | ||||||
1,578 | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A, VAR, 5.669%, 04/25/34 | 1,608 | ||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,218.000%, 04/20/21 | 7 | |||||
MortgageIT Trust, | ||||||||
736 | Series 2005-1, Class 1A1, VAR, 0.556%, 02/25/35 | 651 | ||||||
288 | Series 2005-5, Class A1, VAR, 0.496%, 12/25/35 | 212 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
233 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 244 | ||||||
53 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 56 | ||||||
43 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 45 | ||||||
16 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 16 | ||||||
710 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 697 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
3,095 | Nomura Resecuritization Trust, Series 2010-6RA, Class 1A5, VAR, 2.520%, 03/26/36 (e) | 3,078 | ||||||
Prime Mortgage Trust, | ||||||||
144 | Series 2004-1, Class 2A3, 5.250%, 08/25/34 | 149 | ||||||
1,421 | Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 1,499 | ||||||
660 | Series 2005-4, Class 2PO, PO, 10/25/35 | 187 | ||||||
1,050 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.816%, 05/25/35 | 1,057 | ||||||
RALI Trust, | ||||||||
232 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 237 | ||||||
60 | Series 2002-QS16, Class A3, IF, 16.130%, 10/25/17 | 67 | ||||||
1,132 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 1,118 | ||||||
238 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 238 | ||||||
239 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 242 | ||||||
654 | Series 2003-QS12, Class A2A, IF, IO, 7.364%, 06/25/18 | 92 | ||||||
287 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 26 | ||||||
2,874 | Series 2003-QS13, Class A2, 4.000%, 07/25/33 | 2,691 | ||||||
1,046 | Series 2003-QS13, Class A5, VAR, 0.886%, 07/25/33 | 902 | ||||||
6,215 | Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33 | 143 | ||||||
726 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 743 | ||||||
746 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 770 | ||||||
795 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 826 | ||||||
208 | Series 2003-QS3, Class A2, IF, 15.982%, 02/25/18 | 231 | ||||||
338 | Series 2003-QS3, Class A8, IF, IO, 7.364%, 02/25/18 | 29 | ||||||
536 | Series 2003-QS9, Class A3, IF, IO, 7.315%, 05/25/18 | 76 | ||||||
949 | Series 2004-QA4, Class NB3, VAR, 3.857%, 09/25/34 | 953 | ||||||
372 | Series 2004-QA6, Class NB2, VAR, 3.213%, 12/26/34 | 283 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 207 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
527 | Series 2004-QS10, Class A6, 6.000%, 07/25/34 | 542 | ||||||
1,573 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 1,452 | ||||||
87 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 87 | ||||||
302 | Series 2005-QA10, Class A31, VAR, 3.749%, 09/25/35 | 201 | ||||||
2,000 | Series 2005-QA6, Class A32, VAR, 3.869%, 05/25/35 | 1,018 | ||||||
589 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 418 | ||||||
RBSSP Resecuritization Trust, | ||||||||
1,172 | Series 2009-1, Class 1A1, 6.500%, 02/26/36 (e) | 1,256 | ||||||
490 | Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e) | 520 | ||||||
1,042 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 1,062 | ||||||
1,119 | Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e) | 1,133 | ||||||
942 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 972 | ||||||
1,699 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 1,801 | ||||||
1,374 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 1,376 | ||||||
2,160 | Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e) | 2,159 | ||||||
2,777 | Series 2012-3, Class 3A1, VAR, 0.385%, 09/26/36 (e) (f) (i) | 2,475 | ||||||
14,350 | Series 2012-6, Class 2A1, VAR, 0.395%, 10/26/36 (e) (f) (i) | 12,772 | ||||||
Residential Asset Securitization Trust, | ||||||||
70 | Series 2002-A13, Class A4, 5.250%, 12/25/17 | 71 | ||||||
359 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 361 | ||||||
106 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 110 | ||||||
572 | Series 2003-A5, Class A1, 5.500%, 06/25/33 | 598 | ||||||
950 | Series 2004-IP2, Class 1A1, VAR, 2.669%, 12/25/34 | 905 | ||||||
3,379 | Series 2005-A16, Class AX, IO, 5.750%, 02/25/36 | 757 | ||||||
6,456 | Series 2005-A2, Class A4, IF, IO, 4.814%, 03/25/35 | 1,192 | ||||||
1,149 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 823 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
718 | Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 589 | ||||||
RFMSI Trust, | ||||||||
1,554 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,593 | ||||||
214 | Series 2003-S14, Class A4, PO, 07/25/18 | 213 | ||||||
539 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 557 | ||||||
562 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 575 | ||||||
1,184 | Series 2003-S4, Class A4, 5.750%, 03/25/33 | 1,251 | ||||||
1,966 | Series 2004-S5, Class 1A9, 5.500%, 05/25/22 | 1,975 | ||||||
534 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 499 | ||||||
833 | Series 2005-SA4, Class 1A1, VAR, 3.121%, 09/25/35 | 654 | ||||||
RFSC Trust, | ||||||||
18 | Series 2002-RM1, Class API, PO, 12/25/17 | 17 | ||||||
43 | Series 2003-RM2, Class AP-3, PO, 05/25/33 | 35 | ||||||
4,722 | RMS Mortgage Asset Trust, Series 2012-1, Class A1, VAR, 4.703%, 10/25/56 (e) | 4,741 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
1,406 | Series 2003-HYB1, Class A, VAR, 2.755%, 09/25/33 | 1,391 | ||||||
66 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 59 | ||||||
Sequoia Mortgage Trust, | ||||||||
1,722 | Series 2003-1, Class 1A, VAR, 0.997%, 04/20/33 | 1,704 | ||||||
1,177 | Series 2004-8, Class A1, VAR, 0.587%, 09/20/34 | 1,126 | ||||||
1,816 | Series 2004-8, Class A2, VAR, 1.088%, 09/20/34 | 1,761 | ||||||
1,502 | Series 2004-10, Class A1A, VAR, 0.547%, 11/20/34 | 1,437 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
3,186 | Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e) | 3,278 | ||||||
2,650 | Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e) | 2,780 | ||||||
1,643 | Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e) | 1,655 | ||||||
2,500 | Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e) | 2,469 | ||||||
7,150 | Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 7,150 | ||||||
4,000 | Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e) | 3,887 | ||||||
2,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.914%, 06/25/34 | 2,963 |
SEE NOTES TO FINANCIAL STATEMENTS.
208 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
1,890 | Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1, VAR, 0.897%, 10/19/34 | 1,715 | ||||||
Structured Asset Securities Corp., | ||||||||
61 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 48 | ||||||
152 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 156 | ||||||
365 | Series 2003-16, Class A3, VAR, 0.735%, 06/25/33 | 353 | ||||||
540 | Series 2003-32, Class 1A1, VAR, 5.295%, 11/25/33 | 569 | ||||||
398 | Series 2003-31A, Class B1, VAR, 2.806%, 10/25/33 | 165 | ||||||
1,035 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 1,047 | ||||||
527 | Series 2003-33H, Class 1APO, PO, 10/25/33 | 410 | ||||||
1,009 | Series 2003-34A, Class 3A3, VAR, 2.804%, 11/25/33 | 1,013 | ||||||
3,954 | Series 2003-37A, Class 2A, VAR, 5.026%, 12/25/33 | 4,041 | ||||||
5 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m) | 5 | ||||||
2,711 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 2,652 | ||||||
613 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 605 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
229 | Series 2003-4, Class A1, VAR, 0.875%, 09/25/43 | 231 | ||||||
227 | Series 2004-1, Class II2A, VAR, 1.907%, 03/25/44 | 223 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
250 | Series 2011-NL1A, Class A1, VAR, 5.926%, 12/26/50 (e) (f) (i) | 250 | ||||||
2,200 | Series 2011-NL1A, Class A2, VAR, 9.077%, 12/26/50 (e) (f) (i) | 2,202 | ||||||
246 | Series 2011-NL2A, Class A1, VAR, 5.682%, 06/25/51 (e) (f) (i) | 247 | ||||||
2,000 | Series 2011-NL2A, Class A2, VAR, 9.317%, 06/25/51 (e) (f) (i) | 2,007 | ||||||
717 | Series 2011-NL3A, Class A1, VAR, 5.194%, 09/25/51 (e) | 717 | ||||||
670 | Series 2011-NL3A, Class A2, VAR, 9.318%, 09/25/51 (e) | 671 | ||||||
964 | Series 2012-NL1A, Class A1, VAR, 4.213%, 03/25/49 (e) (f) (i) | 969 | ||||||
462 | Series 2012-NL1A, Class A2, VAR, 8.112%, 03/25/49 (e) (f) (i) | 472 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
97 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 100 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
2,592 | Series 2003-AR11, Class A6, VAR, 2.466%, 10/25/33 | 2,638 | ||||||
1,323 | Series 2003-AR7, Class A7, VAR, 2.318%, 08/25/33 | 1,313 | ||||||
954 | Series 2003-AR8, Class A, VAR, 2.462%, 08/25/33 | 973 | ||||||
3,618 | Series 2003-AR9, Class 1A6, VAR, 2.449%, 09/25/33 | 3,701 | ||||||
1,008 | Series 2003-AR9, Class 2A, VAR, 2.544%, 09/25/33 | 1,030 | ||||||
1,327 | Series 2003-S1, Class A5, 5.500%, 04/25/33 | 1,398 | ||||||
125 | Series 2003-S11, Class 2A5, IF, 16.402%, 11/25/33 | 128 | ||||||
318 | Series 2003-S3, Class 1A4, 5.500%, 06/25/33 | 332 | ||||||
158 | Series 2003-S7, Class A1, 4.500%, 08/25/18 | 163 | ||||||
282 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 283 | ||||||
640 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 664 | ||||||
3,784 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 3,969 | ||||||
126 | Series 2003-S9, Class P, PO, 10/25/33 | 118 | ||||||
235 | Series 2004-AR3, Class A1, VAR, 2.584%, 06/25/34 | 238 | ||||||
1,589 | Series 2004-AR3, Class A2, VAR, 2.584%, 06/25/34 | 1,613 | ||||||
1,379 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 1,423 | ||||||
373 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 390 | ||||||
611 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 637 | ||||||
457 | Series 2004-S1, Class 1A3, VAR, 0.635%, 03/25/34 | 449 | ||||||
3,774 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 3,858 | ||||||
351 | Series 2006-AR10, Class 2P, VAR, 09/25/36 | 203 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
384 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 387 | ||||||
11,206 | Series 2005-2, Class 1A4, IF, IO, 4.814%, 04/25/35 | 1,809 | ||||||
1,313 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,226 | ||||||
281 | Series 2005-4, Class DP, PO, 06/25/20 | 230 | ||||||
1,443 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,163 | ||||||
14,394 | Series 2005-11, Class A4, IF, IO, 4.714%, 01/25/36 | 2,332 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
825 | Series 2004-RA2, Class 2A, 7.000%, 07/25/33 | 868 | ||||||
89 | Series 2004-RA4, Class 1P, PO, 04/25/19 | 89 | ||||||
3,112 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 3,129 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 209 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued |
| |||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
768 | Series 2003-11, Class 1A10, 4.750%, 10/25/18 | 791 | ||||||
242 | Series 2003-11, Class 1APO, PO, 10/25/18 | 240 | ||||||
501 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 510 | ||||||
95 | Series 2003-14, Class 1A1, 4.750%, 12/25/18 | 97 | ||||||
774 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 801 | ||||||
233 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 239 | ||||||
6,602 | Series 2003-16, Class 2AIO, IO, VAR, 0.115%, 12/25/18 | 14 | ||||||
488 | Series 2003-17, Class APO, PO, 01/25/34 | 459 | ||||||
2,414 | Series 2003-G, Class A1, VAR, 4.100%, 06/25/33 | 2,475 | ||||||
585 | Series 2003-K, Class 1A1, VAR, 4.444%, 11/25/33 | 599 | ||||||
160 | Series 2003-K, Class 1A2, VAR, 4.444%, 11/25/33 | 166 | ||||||
445 | Series 2004-1, Class A11, PO, 02/25/34 | 394 | ||||||
249 | Series 2004-2, Class APO, PO, 02/25/19 | 247 | ||||||
174 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 178 | ||||||
601 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 621 | ||||||
298 | Series 2004-B, Class A1, VAR, 4.963%, 02/25/34 | 308 | ||||||
654 | Series 2004-BB, Class A4, VAR, 2.612%, 01/25/35 | 667 | ||||||
1,802 | Series 2004-EE, Class 2A1, VAR, 2.615%, 12/25/34 | 1,850 | ||||||
225 | Series 2004-EE, Class 2A2, VAR, 2.615%, 12/25/34 | 231 | ||||||
934 | Series 2004-EE, Class 3A1, VAR, 2.949%, 12/25/34 | 965 | ||||||
2,340 | Series 2004-I, Class 1A1, VAR, 2.720%, 07/25/34 | 2,369 | ||||||
5,193 | Series 2004-P, Class 2A1, VAR, 2.616%, 09/25/34 | 5,316 | ||||||
154 | Series 2004-Q, Class 1A3, VAR, 2.608%, 09/25/34 | 157 | ||||||
2,944 | Series 2004-U, Class A1, VAR, 2.764%, 10/25/34 | 3,008 | ||||||
1,302 | Series 2004-V, Class 1A1, VAR, 2.641%, 10/25/34 | 1,320 | ||||||
569 | Series 2005-1, Class 2A1, 5.000%, 01/25/20 | 600 | ||||||
346 | Series 2005-9, Class 1APO, PO, 10/25/35 | 276 | ||||||
699 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 740 | ||||||
72 | Series 2005-15, Class APO, PO, 12/25/20 | 65 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued |
| |||||||
610 | Series 2005-AR16, Class 2A1, VAR, 2.651%, 02/25/34 | 601 | ||||||
1,202 | Series 2005-AR8, Class 2A1, VAR, 2.706%, 06/25/35 | 1,211 | ||||||
2,200 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 2,174 | ||||||
1,349 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 1,348 | ||||||
609,428 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 2,098,072 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 2.2% |
| ||||||
4,871 | A10 Securitization LLC, Series 2012-1, Class A, 3.492%, 04/15/24 (e) | 4,896 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
700 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 768 | ||||||
800 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 842 | ||||||
500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 560 | ||||||
2,555 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 2,927 | ||||||
2,000 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,296 | ||||||
755 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 855 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
1,000 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 1,069 | ||||||
500 | Series 2006-PW11, Class A4, VAR, 5.621%, 03/11/39 | 567 | ||||||
1,650 | Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 1,697 | ||||||
6,156 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR2, Class XA, IO, VAR, 2.141%, 08/15/45 | 786 | ||||||
2,196 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 2,459 | ||||||
3,572 | FDIC Structured Sale Guaranteed Notes, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) | 3,740 | ||||||
3,057 | Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) | 3,170 | ||||||
1,000 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class B, VAR, 4.846%, 06/10/48 | 985 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
25,496 | Series 2006-GG8, Class X, IO, VAR, 0.809%, 11/10/39 (e) | 509 |
SEE NOTES TO FINANCIAL STATEMENTS.
210 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
20,000 | Series 2012-SHOP, Class XA, IO, VAR, 1.437%, 06/05/31 (e) | 1,554 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
2,000 | Series 2003-PM1A, Class A4, VAR, 5.326%, 08/12/40 | 2,055 | ||||||
1,200 | Series 2004-CB8, Class A4, 4.404%, 01/12/39 | 1,250 | ||||||
101,458 | Series 2006-CB15, Class X1, IO, VAR, 0.117%, 06/12/43 | 666 | ||||||
600 | Series 2006-LDP9, Class AMS, 5.337%, 05/15/47 | 579 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
1,708 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 1,786 | ||||||
64,920 | Series 2006-C1, Class XCL, IO, VAR, 0.211%, 02/15/41 (e) | 662 | ||||||
500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.847%, 05/12/39 | 573 | ||||||
Morgan Stanley Capital I, Inc., | ||||||||
2,500 | Series 2004-HQ4, Class A7, 4.970%, 04/14/40 | 2,650 | ||||||
250 | Series 2007-T27, Class A4, VAR, 5.823%, 06/11/42 | 294 | ||||||
1,213 | Series 2011-C3, Class A3, 4.054%, 07/15/49 | 1,357 | ||||||
1,500 | Series 2012-C4, Class A3, 2.991%, 03/15/45 | 1,578 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
337 | Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) | 338 | ||||||
4,000 | Series 2009-IO, Class A2, 5.000%, 07/17/56 (e) | 4,100 | ||||||
3,000 | Series 2009-IO, Class B, PO, 07/17/56 (e) | 2,640 | ||||||
359 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 359 | ||||||
4,500 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 4,765 | ||||||
2,844 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 2,866 | ||||||
9,895 | Series 2012-XA, Class A, 2.000%, 07/28/49 | 9,961 | ||||||
1,700 | Series 2012-XA, Class B, 0.250%, 07/28/49 | 1,190 | ||||||
7,976 | UBS Commercial Mortgage Trust, Series 2012-C1, Class XA, IO, VAR, 2.555%, 05/10/45 (e) | 1,206 | ||||||
3,175 | UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e) | 3,367 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1,300 | Series 2012-C2, Class A4, 3.525%, 05/10/63 | 1,386 | ||||||
15,593 | Series 2012-C2, Class XA, IO, VAR, 1.994%, 05/10/63 (e) | 1,655 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
1,118 | Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 1,188 | ||||||
134,271 | Series 2006-C24, Class XC, IO, VAR, 0.082%, 03/15/45 (e) | 574 | ||||||
9,072 | Wells Fargo Reremic Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 9,038 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
1,250 | Series 2011-C3, Class A4, 4.375%, 03/15/44 (e) | 1,401 | ||||||
779 | Series 2012-C6, Class A1, 1.081%, 04/15/45 | 784 | ||||||
1,200 | Series 2012-C6, Class A4, 3.440%, 04/15/45 | 1,281 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $89,372) | 91,229 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 32.3% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
219 | ARM, 2.323%, 05/01/37 | 233 | ||||||
265 | ARM, 2.355%, 12/01/33 | 278 | ||||||
386 | ARM, 2.370%, 05/01/36 | 409 | ||||||
332 | ARM, 2.464%, 11/01/36 | 354 | ||||||
240 | ARM, 2.470%, 10/01/36 | 255 | ||||||
310 | ARM, 2.471%, 08/01/36 | 331 | ||||||
560 | ARM, 2.498%, 10/01/36 | 598 | ||||||
535 | ARM, 2.499%, 11/01/36 | 573 | ||||||
34 | ARM, 2.548%, 01/01/30 | 36 | ||||||
186 | ARM, 2.675%, 03/01/35 | 199 | ||||||
309 | ARM, 2.695%, 03/01/36 | 330 | ||||||
1,010 | ARM, 2.705%, 03/01/37 | 1,084 | ||||||
275 | ARM, 2.764%, 09/01/36 | 294 | ||||||
280 | ARM, 2.859%, 02/01/37 | 301 | ||||||
319 | ARM, 2.861%, 04/01/34 | 341 | ||||||
426 | ARM, 2.881%, 12/01/35 | 454 | ||||||
1,315 | ARM, 2.885%, 10/01/36 | 1,391 | ||||||
289 | ARM, 2.947%, 12/01/36 | 309 | ||||||
137 | ARM, 2.978%, 07/01/37 | 148 | ||||||
509 | ARM, 3.142%, 02/01/37 - 05/01/38 | 547 | ||||||
133 | ARM, 3.271%, 02/01/37 | 143 | ||||||
644 | ARM, 3.442%, 03/01/36 | 698 | ||||||
384 | ARM, 3.504%, 04/01/38 | 413 | ||||||
245 | ARM, 4.587%, 09/01/37 | 262 | ||||||
618 | ARM, 5.008%, 01/01/35 | 667 | ||||||
154 | ARM, 5.775%, 10/01/37 | 162 | ||||||
786 | ARM, 6.037%, 06/01/36 | 850 | ||||||
1,213 | ARM, 6.039%, 11/01/36 | 1,301 | ||||||
176 | ARM, 6.055%, 10/01/36 | 192 | ||||||
160 | ARM, 6.437%, 02/01/37 | 174 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 211 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
422 | ARM, 6.554%, 11/01/36 | 457 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
180 | 3.500%, 05/01/19 | 191 | ||||||
3,007 | 4.000%, 07/01/18 - 05/01/19 (m) | 3,202 | ||||||
1,377 | 4.500%, 07/01/14 - 10/01/18 | 1,436 | ||||||
251 | 5.000%, 12/01/18 | 272 | ||||||
13,433 | 5.500%, 06/01/17 - 01/01/24 | 14,603 | ||||||
2,595 | 6.000%, 06/01/17 - 03/01/22 | 2,770 | ||||||
613 | 6.500%, 02/01/17 - 03/01/22 | 670 | ||||||
266 | 7.000%, 01/01/17 - 07/01/17 | 288 | ||||||
— | (h) | 7.500%, 10/01/14 | — | (h) | ||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
37,138 | 3.500%, 01/01/32 - 09/01/32 | 39,643 | ||||||
3,922 | 4.000%, 02/01/32 | 4,237 | ||||||
3,662 | 5.500%, 04/01/27 - 03/01/28 | 4,007 | ||||||
873 | 6.000%, 01/01/14 - 02/01/24 | 962 | ||||||
1,768 | 6.500%, 05/01/22 - 01/01/28 | 1,980 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
1,286 | 4.000%, 10/01/33 | 1,382 | ||||||
20,734 | 4.500%, 09/01/40 - 05/01/41 | 22,379 | ||||||
22,915 | 5.000%, 05/01/36 - 08/01/40 | 25,128 | ||||||
6,977 | 5.500%, 01/01/33 - 03/01/40 | 7,709 | ||||||
958 | 6.000%, 11/01/28 - 12/01/33 | 1,070 | ||||||
6,521 | 6.500%, 05/01/24 - 03/01/38 (m) | 7,498 | ||||||
1,391 | 7.000%, 07/01/29 - 10/01/36 | 1,634 | ||||||
155 | 7.500%, 09/01/38 | 193 | ||||||
39 | 8.500%, 08/01/30 | 45 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
1,447 | 7.500%, 01/01/32 - 12/01/36 | 1,725 | ||||||
961 | 10.000%, 10/01/30 | 1,141 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | ||||||||
14,934 | 3.500%, 06/01/42 | 15,982 | ||||||
9,971 | 4.000%, 06/01/42 | 10,966 | ||||||
6,759 | 5.500%, 02/01/18 - 12/01/35 | 7,317 | ||||||
3,704 | 6.000%, 02/01/33 - 12/01/34 | 4,108 | ||||||
7,157 | 6.500%, 11/01/36 - 10/17/38 | 8,030 | ||||||
347 | 7.000%, 12/01/14 - 08/01/47 | 383 | ||||||
88 | 10.500%, 07/20/21 | 96 | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
8 | 7.500%, 03/01/17 - 05/01/17 | 8 | ||||||
6 | 8.750%, 06/01/17 | 6 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
4 | 10.500%, 05/01/19 | 4 | ||||||
6 | 12.000%, 08/01/15 - 07/01/19 | 7 | ||||||
Federal National Mortgage Association, | ||||||||
16 | ARM, 1.875%, 03/01/19 | 16 | ||||||
676 | ARM, 1.945%, 08/01/34 | 710 | ||||||
371 | ARM, 2.063%, 10/01/34 | 390 | ||||||
297 | ARM, 2.123%, 01/01/36 | 312 | ||||||
266 | ARM, 2.159%, 01/01/33 | 280 | ||||||
3,565 | ARM, 2.273%, 01/01/35 (m) | 3,802 | ||||||
146 | ARM, 2.277%, 11/01/33 | 153 | ||||||
888 | ARM, 2.282%, 08/01/34 - 02/01/35 | 946 | ||||||
314 | ARM, 2.291%, 02/01/35 | 335 | ||||||
560 | ARM, 2.292%, 11/01/33 | 594 | ||||||
706 | ARM, 2.326%, 07/01/33 | 754 | ||||||
454 | ARM, 2.335%, 05/01/34 | 485 | ||||||
509 | ARM, 2.350%, 09/01/36 | 534 | ||||||
716 | ARM, 2.362%, 04/01/35 | 763 | ||||||
1,059 | ARM, 2.369%, 04/01/35 | 1,127 | ||||||
1,009 | ARM, 2.381%, 05/01/35 | 1,076 | ||||||
502 | ARM, 2.388%, 10/01/34 | 535 | ||||||
386 | ARM, 2.397%, 10/01/34 | 411 | ||||||
296 | ARM, 2.466%, 06/01/35 | 315 | ||||||
432 | ARM, 2.471%, 10/01/36 | 463 | ||||||
644 | ARM, 2.505%, 10/01/34 | 689 | ||||||
449 | ARM, 2.517%, 02/01/34 | 479 | ||||||
231 | ARM, 2.537%, 04/01/34 | 243 | ||||||
353 | ARM, 2.543%, 09/01/34 | 376 | ||||||
136 | ARM, 2.565%, 01/01/34 | 146 | ||||||
282 | ARM, 2.569%, 09/01/35 | 301 | ||||||
383 | ARM, 2.577%, 06/01/34 | 403 | ||||||
242 | ARM, 2.637%, 04/01/34 | 260 | ||||||
567 | ARM, 2.660%, 12/01/36 | 609 | ||||||
568 | ARM, 2.691%, 10/01/34 | 607 | ||||||
168 | ARM, 2.720%, 05/01/35 | 178 | ||||||
873 | ARM, 2.770%, 07/01/37 | 938 | ||||||
229 | ARM, 2.798%, 12/01/36 | 246 | ||||||
133 | ARM, 2.812%, 05/01/35 | 143 | ||||||
369 | ARM, 2.816%, 09/01/33 | 396 | ||||||
768 | ARM, 2.833%, 06/01/36 | 826 | ||||||
384 | ARM, 2.872%, 07/01/36 | 411 | ||||||
143 | ARM, 2.885%, 07/01/37 | 154 | ||||||
236 | ARM, 2.885%, 10/01/36 | 252 | ||||||
378 | ARM, 2.919%, 08/01/36 | 405 | ||||||
27 | ARM, 2.987%, 09/01/27 | 28 | ||||||
6,678 | ARM, 3.250%, 03/01/36 | 7,133 | ||||||
687 | ARM, 3.723%, 12/01/37 | 738 |
SEE NOTES TO FINANCIAL STATEMENTS.
212 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
446 | ARM, 3.768%, 11/01/37 | 480 | ||||||
90 | ARM, 3.850%, 03/01/29 | 96 | ||||||
331 | ARM, 3.947%, 11/01/36 | 352 | ||||||
630 | ARM, 4.938%, 07/01/33 | 671 | ||||||
296 | ARM, 5.236%, 01/01/38 | 318 | ||||||
2,273 | ARM, 5.625%, 01/01/23 | 2,493 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
707 | 3.500%, 08/01/18 | 752 | ||||||
6,875 | 4.000%, 07/01/18 - 12/01/18 (m) | 7,410 | ||||||
3,589 | 4.500%, 07/01/18 - 09/01/20 | 3,938 | ||||||
3,010 | 5.000%, 12/01/16 - 08/01/24 | 3,295 | ||||||
6,095 | 5.500%, 11/01/18 - 11/01/23 | 6,662 | ||||||
10,464 | 6.000%, 06/01/16 - 07/01/24 | 11,449 | ||||||
2,090 | 6.500%, 09/01/13 - 02/01/24 | 2,300 | ||||||
1,171 | 7.000%, 12/01/16 - 08/01/21 | 1,274 | ||||||
62 | 7.500%, 03/01/17 - 10/01/17 | 67 | ||||||
39 | 8.000%, 11/01/12 - 01/01/16 | 41 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
86,374 | 3.500%, 12/01/30 - 08/01/32 | 92,230 | ||||||
2,166 | 4.500%, 04/01/30 | 2,348 | ||||||
2,285 | 5.000%, 10/01/25 | 2,520 | ||||||
1,096 | 5.500%, 02/01/23 - 08/01/23 | 1,211 | ||||||
8,128 | 6.000%, 04/01/24 - 09/01/29 | 8,971 | ||||||
2,253 | 6.500%, 06/01/16 - 12/01/27 | 2,537 | ||||||
57 | 7.500%, 09/01/21 | 67 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
77 | 6.000%, 09/01/33 | 87 | ||||||
5,576 | 6.500%, 02/01/29 - 08/01/39 | 6,408 | ||||||
237 | 7.000%, 10/01/28 - 02/01/33 | 283 | ||||||
63 | 8.000%, 06/01/28 | 76 | ||||||
18 | 8.500%, 03/01/30 - 06/01/30 | 22 | ||||||
269 | 9.000%, 05/01/18 - 06/01/31 | 321 | ||||||
13 | 10.000%, 07/01/19 | 13 | ||||||
13 | 10.500%, 11/01/18 | 13 | ||||||
26 | 11.000%, 04/01/19 | 27 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
3,937 | 4.000%, 08/01/33 - 04/01/34 | 4,298 | ||||||
2,077 | 4.500%, 05/01/29 - 09/01/34 | 2,259 | ||||||
22,865 | 5.000%, 05/01/33 - 08/01/40 | 25,233 | ||||||
31,599 | 5.500%, 11/01/32 - 05/01/40 | 34,959 | ||||||
7,863 | 6.000%, 12/01/28 - 11/01/38 | 8,839 | ||||||
16,061 | 6.500%, 11/01/29 - 10/01/38 | 18,354 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
7,818 | 7.000%, 04/01/20 - 01/01/39 | 9,075 | ||||||
4,715 | 7.500%, 08/01/36 - 04/01/39 | 5,754 | ||||||
946 | 8.000%, 03/01/27 - 10/01/36 | 1,169 | ||||||
114 | 8.500%, 12/01/27 - 02/01/30 | 138 | ||||||
1 | 9.000%, 04/01/26 | 1 | ||||||
8 | 9.500%, 07/01/28 | 10 | ||||||
8 | 10.000%, 02/01/24 | 9 | ||||||
6 | 12.500%, 01/01/16 | 6 | ||||||
Federal National Mortgage Association, Other, | ||||||||
3,400 | VAR, 0.795%, 08/01/22 | 3,422 | ||||||
2,300 | VAR, 0.846%, 03/01/22 | 2,314 | ||||||
4,000 | VAR, 0.856%, 04/01/22 | 4,023 | ||||||
5,000 | VAR, 0.866%, 12/01/20 | 5,092 | ||||||
3,075 | VAR, 0.986%, 01/01/19 | 3,087 | ||||||
4,000 | VAR, 1.016%, 04/01/22 | 4,012 | ||||||
3,967 | VAR, 1.046%, 03/01/22 | 4,037 | ||||||
497 | VAR, 2.875%, 08/01/34 | 531 | ||||||
2,461 | VAR, 6.070%, 11/01/18 | 2,667 | ||||||
3,000 | 0.672%, 09/01/22 | 3,002 | ||||||
5,500 | 1.446%, 07/01/17 | 5,582 | ||||||
8,443 | 2.004%, 01/01/17 - 07/01/19 | 8,648 | ||||||
10,152 | 2.030%, 08/01/19 | 10,419 | ||||||
5,000 | 2.056%, 01/01/17 | 4,995 | ||||||
4,600 | 2.170%, 06/01/19 | 4,773 | ||||||
8,212 | 2.211%, 04/01/19 | 8,545 | ||||||
6,969 | 2.263%, 05/01/19 | 7,263 | ||||||
4,495 | 2.273%, 07/01/19 | 4,681 | ||||||
2,510 | 2.438%, 06/01/19 | 2,629 | ||||||
5,000 | 2.449%, 07/01/19 | 5,255 | ||||||
1,500 | 2.470%, 10/29/42 | 1,522 | ||||||
1,450 | 2.490%, 10/01/17 | 1,536 | ||||||
4,225 | 2.510%, 10/31/42 | 4,299 | ||||||
2,000 | 2.531%, 06/01/19 | 2,111 | ||||||
8,320 | 2.650%, 08/01/22 | 8,608 | ||||||
3,000 | 2.670%, 07/01/22 | 3,114 | ||||||
5,482 | 2.686%, 06/01/22 | 5,724 | ||||||
3,000 | 2.690%, 10/01/17 | 3,200 | ||||||
5,000 | 2.707%, 10/01/17 | 5,324 | ||||||
5,991 | 2.759%, 07/01/22 | 6,275 | ||||||
5,850 | 2.779%, 07/01/22 | 6,133 | ||||||
5,351 | 2.800%, 03/01/18 | 5,746 | ||||||
5,250 | 2.830%, 07/01/22 | 5,555 | ||||||
2,986 | 2.831%, 05/01/22 | 3,145 | ||||||
6,964 | 2.841%, 03/01/22 - 07/01/22 | 7,263 | ||||||
7,000 | 2.852%, 06/01/22 | 7,373 | ||||||
4,500 | 2.860%, 08/01/22 | 4,768 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 213 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
11,073 | 2.883%, 06/01/22 - 07/01/22 | 11,694 | ||||||
3,200 | 2.900%, 09/01/22 | 3,352 | ||||||
3,985 | 2.955%, 05/01/22 | 4,229 | ||||||
2,427 | 2.970%, 11/01/18 | 2,619 | ||||||
5,977 | 2.996%, 05/01/22 | 6,361 | ||||||
3,983 | 3.038%, 05/01/22 | 4,252 | ||||||
7,000 | 3.063%, 09/01/17 | 7,541 | ||||||
3,000 | 3.079%, 06/01/22 | 3,193 | ||||||
2,570 | 3.089%, 02/01/22 | 2,760 | ||||||
4,983 | 3.120%, 05/01/22 | 5,348 | ||||||
4,932 | 3.131%, 01/01/22 | 5,313 | ||||||
3,500 | 3.141%, 12/01/18 | 3,798 | ||||||
2,490 | 3.182%, 05/01/22 | 2,685 | ||||||
8,114 | 3.193%, 01/01/22 | 8,773 | ||||||
2,000 | 3.203%, 05/01/22 | 2,158 | ||||||
13,500 | 3.213%, 07/01/18 | 14,699 | ||||||
8,786 | 3.224%, 01/01/22 - 05/01/22 | 9,499 | ||||||
2,650 | 3.230%, 11/01/20 | 2,891 | ||||||
1,981 | 3.234%, 01/01/22 | 2,145 | ||||||
9,476 | 3.244%, 02/01/22 | 10,232 | ||||||
2,000 | 3.290%, 10/01/20 | 2,189 | ||||||
3,882 | 3.306%, 02/01/22 | 4,216 | ||||||
5,207 | 3.348%, 01/01/22 | 5,676 | ||||||
2,000 | 3.379%, 11/01/20 | 2,185 | ||||||
3,000 | 3.389%, 10/01/20 | 3,270 | ||||||
4,100 | 3.461%, 11/01/20 | 4,501 | ||||||
3,692 | 3.472%, 10/01/20 | 4,057 | ||||||
3,600 | 3.482%, 11/01/20 | 3,959 | ||||||
2,830 | 3.492%, 01/01/18 | 3,108 | ||||||
978 | 3.495%, 10/01/20 | 1,081 | ||||||
2,022 | 3.500%, 11/01/40 | 2,178 | ||||||
2,000 | 3.503%, 08/01/17 | 2,184 | ||||||
8,357 | 3.544%, 09/01/20 - 11/01/21 | 9,217 | ||||||
779 | 3.590%, 12/01/20 | 868 | ||||||
2,500 | 3.596%, 12/01/20 | 2,767 | ||||||
2,926 | 3.600%, 09/01/20 | 3,255 | ||||||
6,791 | 3.621%, 09/01/20 | 7,523 | ||||||
5,000 | 3.638%, 12/01/20 | 5,569 | ||||||
9,979 | 3.658%, 01/01/18 - 10/01/20 | 11,040 | ||||||
1,200 | 3.709%, 10/01/21 | 1,337 | ||||||
14,866 | 3.730%, 06/01/18 (m) | 16,798 | ||||||
19,861 | 3.740%, 07/01/20 - 09/01/20 (m) | 22,173 | ||||||
1,500 | 3.751%, 01/01/18 | 1,658 | ||||||
20,000 | 3.770%, 09/01/21 | 22,581 | ||||||
3,000 | 3.802%, 09/01/20 | 3,351 | ||||||
2,445 | 3.810%, 01/01/19 | 2,714 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
7,000 | 3.895%, 01/01/21 - 08/01/21 | 7,874 | ||||||
2,600 | 3.926%, 08/01/20 | 2,926 | ||||||
1,598 | 3.930%, 07/01/20 | 1,810 | ||||||
7,737 | 3.947%, 06/01/17 | 8,534 | ||||||
6,200 | 3.957%, 12/01/21 | 7,011 | ||||||
3,000 | 3.960%, 08/01/20 | 3,405 | ||||||
1,942 | 3.968%, 09/01/20 | 2,158 | ||||||
2,000 | 3.980%, 11/01/16 | 2,122 | ||||||
2,462 | 3.988%, 07/01/21 | 2,788 | ||||||
3,000 | 3.999%, 01/01/21 | 3,393 | ||||||
25,646 | 4.000%, 11/01/33 - 07/01/42 | 28,115 | ||||||
5,000 | 4.019%, 09/01/21 | 5,673 | ||||||
2,000 | 4.061%, 01/01/21 | 2,273 | ||||||
20,175 | 4.081%, 07/01/20 - 07/01/21 (m) | 22,938 | ||||||
5,915 | 4.102%, 06/01/21 - 07/01/21 | 6,738 | ||||||
2,361 | 4.123%, 07/01/21 | 2,694 | ||||||
2,429 | 4.130%, 07/01/20 | 2,775 | ||||||
3,000 | 4.154%, 06/01/21 | 3,430 | ||||||
1,600 | 4.174%, 10/01/20 | 1,829 | ||||||
3,952 | 4.185%, 08/01/21 | 4,522 | ||||||
8,000 | 4.195%, 07/01/21 | 9,161 | ||||||
7,992 | 4.201%, 07/01/20 | 8,919 | ||||||
2,300 | 4.205%, 10/01/21 | 2,637 | ||||||
11,288 | 4.216%, 11/01/26 | 12,342 | ||||||
1,946 | 4.257%, 04/01/20 | 2,218 | ||||||
4,667 | 4.288%, 08/01/21 | 5,370 | ||||||
4,000 | 4.290%, 06/01/20 | 4,602 | ||||||
8,712 | 4.298%, 03/01/21 - 07/01/21 | 10,020 | ||||||
5,777 | 4.319%, 12/01/19 | 6,594 | ||||||
1,500 | 4.330%, 02/01/21 | 1,736 | ||||||
3,985 | 4.350%, 04/01/20 | 4,596 | ||||||
4,532 | 4.371%, 03/01/20 | 5,187 | ||||||
4,051 | 4.380%, 01/01/21 - 04/01/21 | 4,695 | ||||||
4,500 | 4.381%, 06/01/21 | 5,191 | ||||||
2,000 | 4.391%, 04/01/21 | 2,314 | ||||||
7,286 | 4.399%, 02/01/20 | 8,411 | ||||||
24,082 | 4.424%, 01/01/20 (m) | 27,585 | ||||||
4,905 | 4.443%, 08/01/20 - 04/01/21 | 5,546 | ||||||
982 | 4.444%, 01/01/21 | 1,140 | ||||||
7,878 | 4.453%, 06/01/21 | 9,125 | ||||||
2,467 | 4.464%, 06/01/21 | 2,859 | ||||||
1,205 | 4.474%, 07/01/21 | 1,397 | ||||||
9,000 | 4.484%, 06/01/21 | 10,459 | ||||||
2,054 | 4.495%, 02/01/21 | 2,376 | ||||||
156 | 4.500%, 08/01/33 | 169 | ||||||
3,892 | 4.514%, 04/01/20 | 4,505 |
SEE NOTES TO FINANCIAL STATEMENTS.
214 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
4,868 | 4.515%, 02/01/20 | 5,624 | ||||||
4,869 | 4.530%, 12/01/19 | 5,649 | ||||||
4,451 | 4.540%, 01/01/20 | 5,164 | ||||||
5,800 | 4.546%, 02/01/20 | 6,706 | ||||||
3,727 | 4.552%, 08/01/26 | 4,295 | ||||||
5,967 | 4.629%, 02/01/21 - 06/01/21 | 6,956 | ||||||
1,500 | 4.701%, 04/01/21 | 1,753 | ||||||
2,962 | 4.762%, 08/01/26 | 3,550 | ||||||
4,919 | 4.794%, 01/01/21 | 5,763 | ||||||
2,264 | 5.000%, 04/01/22 - 01/01/36 | 2,527 | ||||||
4,180 | 5.135%, 02/01/31 | 4,854 | ||||||
3,787 | 5.500%, 03/01/17 - 04/01/38 | 4,072 | ||||||
6,448 | 6.000%, 02/01/36 - 11/01/39 | 6,960 | ||||||
750 | 6.500%, 10/01/35 - 06/01/36 | 843 | ||||||
1,660 | 7.000%, 12/01/36 - 10/01/46 | 1,879 | ||||||
21 | 10.195%, 06/15/21 | 21 | ||||||
— | (h) | 10.250%, 07/15/13 | — | (h) | ||||
5 | 11.000%, 08/20/20 | 5 | ||||||
88 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 04/20/17 | 96 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
403 | 3.500%, 09/20/33 | 440 | ||||||
1,464 | 5.500%, 09/20/39 | 1,638 | ||||||
19,200 | 6.000%, 09/20/38 - 08/20/39 | 21,703 | ||||||
4,322 | 6.500%, 10/20/33 - 01/20/39 | 4,967 | ||||||
22 | 7.500%, 02/20/28 - 09/20/28 | 27 | ||||||
36 | 8.000%, 06/20/26 - 11/20/28 | 43 | ||||||
21 | 8.500%, 03/20/25 - 05/20/25 | 26 | ||||||
921 | Government National Mortgage Association II, Other, 6.000%, 11/20/38 | 1,001 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
273 | 6.000%, 06/15/18 | 300 | ||||||
58 | 7.000%, 09/15/14 - 10/15/16 | 62 | ||||||
52 | 7.500%, 11/15/17 | 58 | ||||||
119 | 8.000%, 01/15/16 | 125 | ||||||
Government National Mortgage Association, 20 Year, Single Family, | ||||||||
545 | 6.500%, 08/15/22 - 11/15/23 | 634 | ||||||
55 | 7.000%, 08/15/23 | 64 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
94 | 6.375%, 08/15/26 | 106 | ||||||
3,436 | 6.500%, 10/15/27 - 04/15/33 | 4,008 | ||||||
2,910 | 7.000%, 09/15/31 - 03/15/37 | 3,469 | ||||||
111 | 7.500%, 11/15/22 - 01/15/33 | 121 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
10 | 8.000%, 09/15/22 - 04/15/28 | 12 | ||||||
14 | 9.000%, 02/15/30 - 01/15/31 | 14 | ||||||
876 | 9.500%, 10/15/24 | 1,014 | ||||||
7 | 11.000%, 01/15/21 | 8 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 1,332,043 | |||||||
|
| |||||||
| U.S. Government Agency Securities — 0.4% |
| ||||||
1,000 | Federal Home Loan Mortgage Corp., 5.500%, 08/23/17 | 1,230 | ||||||
Federal National Mortgage Association, | ||||||||
3,000 | Zero Coupon, 07/05/14 | 2,957 | ||||||
3,000 | Zero Coupon, 06/01/17 | 2,863 | ||||||
4,000 | 2.700%, 03/28/22 | 4,040 | ||||||
2,000 | 5.375%, 06/12/17 | 2,433 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 13,523 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 3.7% |
| ||||||
350 | U.S. Treasury Bonds, 8.500%, 02/15/20 | 538 | ||||||
2,800 | U.S. Treasury Inflation Indexed Notes, 0.500%, 04/15/15 | 3,112 | ||||||
U.S. Treasury Notes, | ||||||||
3,300 | 0.375%, 10/31/12 | 3,301 | ||||||
25,000 | 0.625%, 01/31/13 | 25,050 | ||||||
3,500 | 1.375%, 01/15/13 | 3,516 | ||||||
470 | 1.375%, 11/30/18 | 485 | ||||||
5,000 | 1.750%, 04/15/13 | 5,048 | ||||||
2,000 | 1.875%, 04/30/14 | 2,054 | ||||||
4,000 | 2.875%, 01/31/13 | 4,044 | ||||||
43,000 | 3.125%, 04/30/13 | 43,828 | ||||||
1,737 | 3.125%, 05/15/19 | 1,986 | ||||||
21,000 | 3.500%, 02/15/18 | 24,145 | ||||||
20,000 | 3.875%, 10/31/12 | 20,116 | ||||||
2,500 | 4.750%, 08/15/17 | 3,006 | ||||||
U.S. Treasury STRIPS, | ||||||||
3,000 | 02/15/15 | 2,981 | ||||||
129 | 02/15/16 | 127 | ||||||
486 | 02/15/17 | 474 | ||||||
700 | 05/15/19 | 655 | ||||||
6,339 | 05/15/20 | 5,766 | ||||||
500 | 08/15/20 | 451 | ||||||
1,000 | 05/15/21 | 881 | ||||||
150 | 02/15/25 | 115 | ||||||
200 | 08/15/28 | 135 | ||||||
500 | 02/15/29 | 333 | ||||||
650 | 11/15/30 | 408 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 152,555 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 215 |
Table of Contents
JPMorgan Mortgage-Backed Securities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 10.1% |
| ||||||
Investment Company — 10.1% |
| |||||||
416,514 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.120% (b) (l) | 416,514 | ||||||
|
| |||||||
Total Investments — 102.6% | 4,226,124 | |||||||
Liabilities in Excess of | (105,335 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,120,789 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
216 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 7.8% |
| ||||||
9,903 | Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 1.035%, 12/27/22 (e) | 9,903 | ||||||
8,217 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 0.415%, 04/25/36 | 7,125 | ||||||
AH Mortgage Advance Trust, (Cayman Islands), | ||||||||
14,989 | Series SART-1, Class A1R, 2.230%, 05/10/43 (e) | 15,027 | ||||||
9,094 | Series SART-3, Class 1A1, 2.980%, 03/13/43 (e) | 9,157 | ||||||
Ally Auto Receivables Trust, | ||||||||
635 | Series 2009-B, Class A3, 1.980%, 10/15/13 (e) | 636 | ||||||
1,161 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 1,164 | ||||||
2,000 | Series 2010-1, Class A4, 2.300%, 12/15/14 | 2,034 | ||||||
11,850 | Series 2010-1, Class C, 3.610%, 08/15/16 (e) | 12,317 | ||||||
735 | Series 2010-2, Class A3, 1.380%, 07/15/14 | 737 | ||||||
4,518 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 4,532 | ||||||
8,860 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 8,983 | ||||||
2,500 | Series 2010-4, Class A4, 1.350%, 12/15/15 | 2,535 | ||||||
5,000 | Series 2010-5, Class A4, 1.750%, 03/15/16 | 5,109 | ||||||
8,196 | Series 2011-1, Class A3, 1.380%, 01/15/15 | 8,243 | ||||||
2,350 | Series 2011-3, Class A3, 0.970%, 08/17/15 | 2,361 | ||||||
1,580 | Series 2011-4, Class A4, 1.140%, 06/15/16 | 1,599 | ||||||
6,877 | Series 2012-1, Class A3, 0.930%, 02/16/16 | 6,934 | ||||||
4,312 | Series 2012-1, Class A4, 1.210%, 07/15/16 | 4,390 | ||||||
3,554 | Series 2012-2, Class A3, 0.740%, 04/15/16 | 3,574 | ||||||
1,791 | Series 2012-2, Class A4, 1.000%, 10/17/16 | 1,808 | ||||||
7,992 | Series 2012-3, Class A4, 1.060%, 02/15/17 | 8,083 | ||||||
7,846 | Series 2012-4, Class A3, 0.590%, 01/17/17 | 7,870 | ||||||
1,671 | Series 2012-4, Class A4, 0.800%, 10/16/17 | 1,677 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
3,200 | Series 2012-1, Class A2, 3.040%, 10/15/15 (e) | 3,204 | ||||||
22,500 | Series 2012-2, Class A, 1.890%, 07/15/16 | 22,562 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
5,383 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 5,396 | ||||||
4,957 | Series 2010-A, Class A3, 3.510%, 07/06/17 | 5,088 | ||||||
1,849 | Series 2010-B, Class A3, 2.490%, 11/06/17 | 1,883 | ||||||
180 | Series 2011-1, Class A2, 0.840%, 06/09/14 | 180 | ||||||
8,245 | Series 2011-1, Class A3, 1.390%, 09/08/15 | 8,288 | ||||||
3,599 | Series 2011-3, Class A3, 1.170%, 01/08/16 | 3,617 | ||||||
9,214 | Series 2011-4, Class A3, 1.170%, 05/09/16 | 9,274 | ||||||
14,753 | Series 2011-5, Class A3, 1.550%, 07/08/16 | 14,991 | ||||||
5,327 | Series 2012-1, Class A2, 0.910%, 10/08/15 | 5,341 | ||||||
2,277 | Series 2012-1, Class A3, 1.230%, 09/08/16 | 2,303 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
3,073 | Series 2012-2, Class A3, 1.050%, 10/11/16 | 3,100 | ||||||
6,295 | Series 2012-3, Class A3, 0.960%, 01/09/17 | 6,345 | ||||||
80 | Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.361%, 08/25/32 | 52 | ||||||
Bank of America Auto Trust, | ||||||||
10,779 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 10,862 | ||||||
13,321 | Series 2009-2A, Class A4, 3.030%, 10/15/16 (e) | 13,430 | ||||||
3,560 | Series 2009-3A, Class A4, 2.670%, 12/15/16 (e) | 3,597 | ||||||
466 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 467 | ||||||
4,120 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,159 | ||||||
1,182 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 1,184 | ||||||
5,100 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 5,170 | ||||||
4,273 | Series 2012-1, Class A3, 0.780%, 06/15/16 | 4,294 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
739 | Series 2003-SD2, Class 2A, VAR, 2.981%, 06/25/43 | 741 | ||||||
782 | Series 2006-SD1, Class A, VAR, 0.605%, 04/25/36 | 663 | ||||||
3,111 | BMW Vehicle Lease Trust, Series 2012-1, Class A3, 0.750%, 02/20/15 | 3,124 | ||||||
16,600 | Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e) | 16,978 | ||||||
CarMax Auto Owner Trust, | ||||||||
1,075 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 1,077 | ||||||
6,895 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 7,011 | ||||||
6,626 | Series 2010-2, Class A3, 1.410%, 02/16/15 | 6,656 | ||||||
27,905 | Series 2010-3, Class A4, 1.410%, 02/16/16 | 28,287 | ||||||
3,082 | Series 2011-1, Class A3, 1.290%, 09/15/15 | 3,100 | ||||||
8,900 | Series 2011-1, Class A4, 2.160%, 09/15/16 | 9,168 | ||||||
1,736 | Series 2011-2, Class A4, 1.350%, 02/15/17 | 1,766 | ||||||
9,788 | Series 2011-3, Class A3, 1.070%, 06/15/16 | 9,866 | ||||||
9,144 | Series 2012-1, Class A3, 0.890%, 09/15/16 | 9,201 | ||||||
10,000 | Series 2012-1, Class A4, 1.250%, 06/15/17 | 10,175 | ||||||
1,913 | CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 01/15/15 (e) | 1,913 | ||||||
4,703 | Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.980%, 06/25/31 | 4,625 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
821 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 822 | ||||||
1,802 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 1,803 | ||||||
5,450 | Series 2010-A, Class B, 1.650%, 11/08/13 | 5,462 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 217 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
2,500 | Citibank Credit Card Issuance Trust, Series 2008-A5, Class A5, 4.850%, 04/22/15 | 2,572 | ||||||
CitiFinancial Auto Issuance Trust, | ||||||||
2,585 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 2,588 | ||||||
18,780 | Series 2009-1, Class A4, 3.150%, 08/15/16 (e) | 18,962 | ||||||
CNH Equipment Trust, | ||||||||
108 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 108 | ||||||
3,575 | Series 2011-B, Class A4, 1.290%, 09/15/17 | 3,605 | ||||||
7,531 | Series 2012-A, Class A3, 0.940%, 05/15/17 | 7,592 | ||||||
2,729 | Series 2012-B, Class A3, 0.860%, 09/15/17 | 2,743 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
1,581 | Series 2004-6, Class M1, VAR, 0.835%, 10/25/34 | 1,219 | ||||||
2,032 | Series 2005-6, Class M1, VAR, 0.726%, 12/25/35 | 1,996 | ||||||
CPS Auto Trust, | ||||||||
4,252 | Series 2012-A, Class A, 2.780%, 06/17/19 (e) | 4,262 | ||||||
15,509 | Series 2012-B, Class A, 2.520%, 09/16/19 (e) | 15,560 | ||||||
3,636 | Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 09/16/19 (e) | 3,658 | ||||||
1,221 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.546%, 11/25/35 | 1,147 | ||||||
109 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 107 | ||||||
Discover Card Master Trust, | ||||||||
1,255 | Series 2008-A4, Class A4, 5.650%, 12/15/15 | 1,307 | ||||||
7,405 | Series 2012-A1, Class A1, 0.810%, 08/15/17 | 7,465 | ||||||
10,873 | DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 | 10,876 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
12,461 | Series 2009-A, Class A4, 6.070%, 05/15/14 | 12,669 | ||||||
5,384 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 5,469 | ||||||
141 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 141 | ||||||
775 | Series 2009-E, Class A3, 1.510%, 01/15/14 | 776 | ||||||
356 | Series 2010-B, Class A3, 0.980%, 10/15/14 | 357 | ||||||
5,250 | Series 2010-B, Class A4, 1.580%, 09/15/15 | 5,326 | ||||||
5,394 | Series 2011-B, Class A3, 0.840%, 06/15/15 | 5,415 | ||||||
10,500 | Series 2011-B, Class A4, 1.350%, 12/15/16 | 10,675 | ||||||
7,364 | Series 2012-A, Class A3, 0.840%, 08/15/16 | 7,407 | ||||||
10,870 | Series 2012-B, Class A3, 0.720%, 12/15/16 | 10,918 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
9,620 | GE Capital Credit Card Master Note Trust, Series 2009-4, Class A, 3.800%, 11/15/17 | 10,297 | ||||||
101 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.316%, 03/25/36 | 52 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
784 | Series 2009-1, Class A4, 4.550%, 01/15/17 | 785 | ||||||
3,000 | Series 2011-1, Class A3, 0.960%, 05/16/16 | 3,011 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
1,135 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 1,140 | ||||||
855 | Series 2010-1, Class A3, 1.250%, 10/21/13 | 856 | ||||||
4,270 | Series 2012-1, Class A3, 0.770%, 01/15/16 | 4,293 | ||||||
2,747 | Series 2012-1, Class A4, 0.970%, 04/16/18 | 2,779 | ||||||
5,265 | Series 2012-2, Class A3, 0.700%, 02/16/16 | 5,300 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
8,519 | Series 2005-2, Class A1, VAR, 0.507%, 01/20/35 | 8,063 | ||||||
9,979 | Series 2005-2, Class M1, VAR, 0.697%, 01/20/35 | 9,215 | ||||||
4,630 | Series 2005-2, Class M2, VAR, 0.727%, 01/20/35 | 4,161 | ||||||
6,841 | Series 2006-1, Class A1, VAR, 0.397%, 01/20/36 | 6,489 | ||||||
7,207 | Series 2006-2, Class A1, VAR, 0.387%, 03/20/36 | 6,857 | ||||||
11,989 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 12,134 | ||||||
6,596 | Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36 | 6,738 | ||||||
4,339 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 4,367 | ||||||
2,711 | Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36 | 2,722 | ||||||
7,078 | Series 2007-3, Class APT, VAR, 1.437%, 11/20/36 | 6,785 | ||||||
Huntington Auto Trust, | ||||||||
9,608 | Series 2012-1, Class A3, 0.810%, 09/15/16 | 9,656 | ||||||
3,840 | Series 2012-1, Class A4, 1.180%, 06/15/17 | 3,898 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
330 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 331 | ||||||
2,885 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 2,895 | ||||||
34,640 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 35,393 | ||||||
2,395 | Series 2011-A, Class A3, 1.160%, 04/15/15 | 2,407 | ||||||
9,185 | Series 2011-A, Class A4, 1.780%, 12/15/15 | 9,382 | ||||||
1,522 | Series 2011-B, Class A3, 1.040%, 09/15/15 | 1,531 | ||||||
1,422 | Series 2011-B, Class A4, 1.650%, 02/15/17 | 1,454 | ||||||
11,770 | Series 2012-A, Class A3, 0.720%, 03/15/16 | 11,813 | ||||||
5,436 | Series 2012-A, Class A4, 0.950%, 12/15/16 | 5,495 |
SEE NOTES TO FINANCIAL STATEMENTS.
218 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — Continued |
| ||||||
6,440 | Series 2012-B, Class A3, 0.620%, 09/15/16 | 6,457 | ||||||
4,800 | Series 2012-B, Class A4, 0.810%, 03/15/18 | 4,820 | ||||||
John Deere Owner Trust, | ||||||||
7,660 | Series 2012-A, Class A3, 0.750%, 03/15/16 | 7,687 | ||||||
1,909 | Series 2012-A, Class A4, 0.990%, 06/15/18 | 1,930 | ||||||
1,455 | Series 2012-B, Class A3, 0.530%, 07/15/16 | 1,455 | ||||||
2,833 | Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.420%, 08/15/14 | 2,845 | ||||||
1,118 | Mid-State Trust, Series 6, Class A1, 7.340%, 07/01/35 | 1,162 | ||||||
856 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 2.485%, 03/25/33 | 479 | ||||||
954 | MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.335%, 12/25/31 | 744 | ||||||
12,560 | NCUA Guaranteed Notes, Series 2010-A1, Class A, VAR, 0.591%, 12/07/20 | 12,604 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
3,656 | Series 2010-A, Class A3, 0.870%, 07/15/14 | 3,664 | ||||||
1,500 | Series 2010-A, Class A4, 1.310%, 09/15/16 | 1,515 | ||||||
4,978 | Series 2012-A, Class A3, 0.730%, 05/16/16 | 5,028 | ||||||
1,798 | Series 2012-A, Class A4, 1.000%, 07/16/18 | 1,832 | ||||||
37 | RASC Trust, Series 2001-KS1, Class AI6, 6.349%, 03/25/32 | 34 | ||||||
13 | Residential Funding Mortgage Securities II Home Loan Trust, Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25 | 13 | ||||||
9,335 | Resort Finance Timeshare Receivables Trust, Series 2012-1, Class A1, SUB, 8.290%, 07/05/18 (f) (i) | 9,335 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
10,471 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 10,478 | ||||||
2,370 | Series 2010-A, Class A3, 1.830%, 11/17/14 (e) | 2,390 | ||||||
7,758 | Series 2010-A, Class A4, 2.390%, 06/15/17 (e) | 7,964 | ||||||
1,482 | Series 2011-1, Class A3, 1.280%, 01/15/15 | 1,491 | ||||||
2,101 | Series 2011-S2A, Class B, 2.060%, 06/15/17 (e) | 2,112 | ||||||
6,875 | Series 2011-S2A, Class C, 2.860%, 06/15/17 (e) | 6,901 | ||||||
6,421 | Series 2011-S2A, Class D, 3.350%, 06/15/17 (e) | 6,433 | ||||||
6,113 | Series 2012-1, Class A2, 1.250%, 04/15/15 | 6,140 | ||||||
6,911 | Series 2012-2, Class A2, 0.910%, 05/15/15 | 6,933 | ||||||
18,652 | Series 2012-2, Class A3, 1.220%, 12/15/15 | 18,807 | ||||||
1,668 | Series 2012-3, Class A3, 1.080%, 04/15/16 | 1,679 | ||||||
2,205 | Series 2012-5, Class A2, 0.570%, 12/15/15 | 2,207 | ||||||
2,400 | Series 2012-5, Class A3, 0.830%, 12/15/16 | 2,412 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
5,933 | SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 06/15/16 (e) | 5,942 | ||||||
6,689 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.506%, 06/25/35 | 6,596 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
4,184 | Series 2010-C, Class A3, 0.770%, 04/15/14 | 4,189 | ||||||
8,300 | Series 2011-A, Class A4, 1.560%, 05/15/15 | 8,432 | ||||||
4,576 | Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.639%, 10/15/15 (e) | 4,648 | ||||||
1,454 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 1,468 | ||||||
4,675 | Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15 | 4,704 | ||||||
8,936 | Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16 | 8,994 | ||||||
13,693 | VOLT LLC, Series 2012-1A, Class A1, SUB, 4.949%, 04/25/17 (e) (f) (i) | 13,693 | ||||||
World Omni Auto Receivables Trust, | ||||||||
415 | Series 2008-B, Class A4, 5.580%, 04/15/14 | 417 | ||||||
198 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 198 | ||||||
11,865 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 12,013 | ||||||
5,558 | Series 2012-A, Class A3, 0.640%, 02/15/17 | 5,584 | ||||||
4,750 | Series 2012-A, Class A4, 0.850%, 08/15/18 | 4,776 | ||||||
3,598 | World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3, 0.930%, 11/16/15 | 3,612 | ||||||
|
| |||||||
Total Asset-Backed Securities | 931,059 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 9.4% |
| ||||||
Agency CMO — 7.0% |
| |||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | ||||||||
1,115 | Series 31, Class Z, 8.000%, 04/25/24 | 1,283 | ||||||
157 | Series 56, Class Z, 7.500%, 09/20/26 | 184 | ||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
11 | Series 2, Class Z, 9.300%, 03/15/19 | 12 | ||||||
6 | Series 12, Class A, 9.250%, 11/15/19 | 7 | ||||||
15 | Series 16, Class D, 10.000%, 10/15/19 | 16 | ||||||
25 | Series 17, Class I, 9.900%, 10/15/19 | 30 | ||||||
44 | Series 23, Class F, 9.600%, 04/15/20 | 49 | ||||||
17 | Series 26, Class F, 9.500%, 02/15/20 | 19 | ||||||
3 | Series 81, Class A, 8.125%, 11/15/20 | 3 | ||||||
18 | Series 85, Class C, 8.600%, 01/15/21 | 20 | ||||||
15 | Series 99, Class Z, 9.500%, 01/15/21 | 17 | ||||||
3 | Series 159, Class H, 4.500%, 09/15/21 | 3 | ||||||
4 | Series 189, Class D, 6.500%, 10/15/21 | 5 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 219 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
— | (h) | Series 1045, Class G, HB, 1,066.209%, 02/15/21 | 1 | |||||
4 | Series 1053, Class G, 7.000%, 03/15/21 | 5 | ||||||
10 | Series 1056, Class KZ, 6.500%, 03/15/21 | 11 | ||||||
5 | Series 1074, Class H, 8.500%, 05/15/21 | 6 | ||||||
17 | Series 1082, Class C, 9.000%, 05/15/21 | 18 | ||||||
7 | Series 1087, Class I, 8.500%, 06/15/21 | 8 | ||||||
22 | Series 1125, Class Z, 8.250%, 08/15/21 | 25 | ||||||
20 | Series 1142, Class IA, 7.000%, 10/15/21 | 23 | ||||||
3 | Series 1169, Class G, 7.000%, 11/15/21 | 3 | ||||||
37 | Series 1343, Class LA, 8.000%, 08/15/22 | 45 | ||||||
9 | Series 1424, Class F, VAR, 1.666%, 11/15/22 | 9 | ||||||
202 | Series 1480, Class LZ, 7.500%, 03/15/23 | 233 | ||||||
499 | Series 1560, Class Z, 7.000%, 08/15/23 | 574 | ||||||
17 | Series 1641, Class FA, VAR, 1.200%, 12/15/13 | 17 | ||||||
139 | Series 1754, Class Z, 8.500%, 09/15/24 | 157 | ||||||
334 | Series 1779, Class Z, 8.500%, 04/15/25 | 388 | ||||||
6 | Series 1807, Class G, 9.000%, 10/15/20 | 7 | ||||||
838 | Series 1888, Class Z, 7.000%, 08/15/26 | 974 | ||||||
869 | Series 2358, Class PD, 6.000%, 09/15/16 | 926 | ||||||
1,165 | Series 2363, Class PF, 6.000%, 09/15/16 | 1,241 | ||||||
530 | Series 2390, Class CH, 5.500%, 12/15/16 | 564 | ||||||
1,218 | Series 2418, Class MF, 6.000%, 02/15/22 | 1,327 | ||||||
243 | Series 2425, Class JH, 6.000%, 03/15/17 | 262 | ||||||
913 | Series 2453, Class BD, 6.000%, 05/15/17 | 981 | ||||||
610 | Series 2458, Class OE, 6.000%, 06/15/17 | 655 | ||||||
429 | Series 2496, Class BK, 5.500%, 09/15/17 | 460 | ||||||
324 | Series 2503, Class TG, 5.500%, 09/15/17 | 348 | ||||||
349 | Series 2508, Class AQ, 5.500%, 10/15/17 | 375 | ||||||
1,451 | Series 2513, Class DB, 5.000%, 10/15/17 | 1,553 | ||||||
4,055 | Series 2542, Class ES, 5.000%, 12/15/17 | 4,347 | ||||||
3,793 | Series 2546, Class C, 5.000%, 12/15/17 | 4,066 | ||||||
1,309 | Series 2561, Class UE, 5.500%, 06/15/22 | 1,338 | ||||||
127 | Series 2575, Class KA, 5.000%, 11/15/17 | 130 | ||||||
7,158 | Series 2600, Class MD, 5.500%, 06/15/32 | 7,424 | ||||||
701 | Series 2617, Class VN, 5.500%, 04/15/14 | 708 | ||||||
2,244 | Series 2635, Class MS, IF, IO, 7.511%, 02/15/18 | 170 | ||||||
5,458 | Series 2638, Class JG, 5.000%, 02/15/33 | 5,879 | ||||||
10,887 | Series 2638, Class MH, 5.000%, 04/15/32 | 11,332 | ||||||
1,235 | Series 2641, Class KJ, 4.000%, 01/15/18 | 1,260 | ||||||
350 | Series 2643, Class ME, 3.500%, 03/15/18 | 359 | ||||||
320 | Series 2666, Class OC, 5.500%, 01/15/22 | 326 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
13,800 | Series 2682, Class JG, 4.500%, 10/15/23 | 14,973 | ||||||
1,269 | Series 2692, Class QD, 5.000%, 12/15/22 | 1,335 | ||||||
9,990 | Series 2707, Class PE, 5.000%, 11/15/18 | 10,775 | ||||||
13,804 | Series 2707, Class XE, 5.000%, 12/15/22 | 14,511 | ||||||
34,576 | Series 2750, Class DE, 4.500%, 02/15/19 | 36,907 | ||||||
106 | Series 2755, Class PA, PO, 02/15/29 | 105 | ||||||
3,860 | Series 2761, Class CB, 4.000%, 03/15/19 | 4,122 | ||||||
1,191 | Series 2763, Class PD, 4.500%, 12/15/17 | 1,204 | ||||||
231 | Series 2765, Class CA, 4.000%, 07/15/17 | 232 | ||||||
3,500 | Series 2773, Class OB, 5.000%, 02/15/19 | 3,736 | ||||||
55 | Series 2780, Class YP, 7.500%, 08/15/18 | 55 | ||||||
61 | Series 2782, Class HE, 4.000%, 09/15/17 | 62 | ||||||
534 | Series 2812, Class AB, 4.500%, 10/15/18 | 543 | ||||||
388 | Series 2825, Class VP, 5.500%, 06/15/15 | 407 | ||||||
1,873 | Series 2836, Class PX, 4.000%, 05/15/18 | 1,908 | ||||||
16,891 | Series 2843, Class BC, 5.000%, 08/15/19 | 18,415 | ||||||
1,843 | Series 2859, Class SA, IF, IO, 7.010%, 11/15/18 | 64 | ||||||
4,573 | Series 2864, Class NB, 5.500%, 07/15/33 | 5,143 | ||||||
1,154 | Series 2875, Class HA, 4.000%, 11/15/18 | 1,175 | ||||||
686 | Series 2924, Class DA, 4.500%, 02/15/19 | 700 | ||||||
201 | Series 2927, Class YN, 4.500%, 10/15/32 | 209 | ||||||
1,301 | Series 2928, Class ND, 5.000%, 10/15/30 | 1,301 | ||||||
270 | Series 2962, Class WJ, 5.500%, 06/15/24 | 275 | ||||||
8,696 | Series 2988, Class TY, 5.500%, 06/15/25 | 9,657 | ||||||
11,662 | Series 2989, Class MU, IF, IO, 6.761%, 07/15/34 | 2,473 | ||||||
16,995 | Series 2989, Class TG, 5.000%, 06/15/25 | 18,588 | ||||||
53 | Series 2993, Class MN, 5.000%, 06/15/23 | 53 | ||||||
1,134 | Series 2995, Class FT, VAR, 0.489%, 05/15/29 | 1,134 | ||||||
278 | Series 3001, Class YN, 4.500%, 06/15/33 | 291 | ||||||
2,449 | Series 3002, Class BN, 5.000%, 07/15/35 | 2,736 | ||||||
7,375 | Series 3005, Class ED, 5.000%, 07/15/25 | 8,288 | ||||||
438 | Series 3005, Class PV, IF, 12.352%, 10/15/33 | 521 | ||||||
229 | Series 3047, Class OB, 5.500%, 12/15/33 | 238 | ||||||
3,008 | Series 3080, Class TZ, 5.500%, 02/15/33 | 3,021 | ||||||
5,668 | Series 3305, Class IW, IF, IO, 6.210%, 04/15/37 | 726 | ||||||
194 | Series 3363, Class A, 5.000%, 07/15/16 | 196 | ||||||
36,835 | Series 3420, Class EI, IO, SUB, 1.120%, 08/15/37 | 1,054 | ||||||
8,930 | Series 3429, Class S, IF, IO, 6.581%, 03/15/38 | 1,342 |
SEE NOTES TO FINANCIAL STATEMENTS.
220 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
3,862 | Series 3546, Class A, VAR, 4.065%, 02/15/39 | 4,118 | ||||||
15,436 | Series 3562, Class KA, 4.000%, 11/15/22 | 15,853 | ||||||
2,641 | Series 3564, Class JA, 4.000%, 01/15/18 | 2,783 | ||||||
6,156 | Series 3572, Class JS, IF, IO, 6.560%, 09/15/39 | 1,115 | ||||||
14,311 | Series 3609, Class SA, IF, IO, 6.100%, 12/15/39 | 3,502 | ||||||
47,497 | Series 3747, Class HI, IO, 4.500%, 07/15/37 | 5,393 | ||||||
13,022 | Series 3784, Class S, IF, IO, 6.361%, 07/15/23 | 1,768 | ||||||
20,945 | Series 3855, Class AM, 6.500%, 11/15/36 | 24,066 | ||||||
352 | Series R008, Class FK, VAR, 0.640%, 07/15/23 | 352 | ||||||
31 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.465%, 09/25/29 | 32 | ||||||
Federal National Mortgage Association - ACES, | ||||||||
9,836 | Series 2011-M2, Class A1, 2.019%, 07/25/21 | 10,156 | ||||||
32,027 | Series 2012-M8, Class A1, 1.166%, 12/25/19 | 32,486 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
12 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 13 | ||||||
15 | Series 1988-13, Class C, 9.300%, 05/25/18 | 17 | ||||||
11 | Series 1988-15, Class A, 9.000%, 06/25/18 | 13 | ||||||
12 | Series 1988-16, Class B, 9.500%, 06/25/18 | 13 | ||||||
10 | Series 1989-2, Class D, 8.800%, 01/25/19 | 11 | ||||||
30 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 32 | ||||||
8 | Series 1989-54, Class E, 8.400%, 08/25/19 | 9 | ||||||
8 | Series 1989-66, Class J, 7.000%, 09/25/19 | 9 | ||||||
5 | Series 1989-70, Class G, 8.000%, 10/25/19 | 6 | ||||||
96 | Series 1989-72, Class E, 9.350%, 10/25/19 | 110 | ||||||
12 | Series 1989-89, Class H, 9.000%, 11/25/19 | 13 | ||||||
5 | Series 1989-96, Class H, 9.000%, 12/25/19 | 5 | ||||||
9 | Series 1990-7, Class B, 8.500%, 01/25/20 | 11 | ||||||
7 | Series 1990-12, Class G, 4.500%, 02/25/20 | 7 | ||||||
114 | Series 1990-19, Class G, 9.750%, 02/25/20 | 128 | ||||||
29 | Series 1990-58, Class J, 7.000%, 05/25/20 | 32 | ||||||
29 | Series 1990-61, Class H, 7.000%, 06/25/20 | 32 | ||||||
14 | Series 1990-106, Class J, 8.500%, 09/25/20 | 16 | ||||||
7 | Series 1990-109, Class J, 7.000%, 09/25/20 | 7 | ||||||
16 | Series 1990-111, Class Z, 8.750%, 09/25/20 | 18 | ||||||
8 | Series 1990-117, Class E, 8.950%, 10/25/20 | 9 | ||||||
9 | Series 1990-123, Class G, 7.000%, 10/25/20 | 11 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
9 | Series 1990-132, Class Z, 7.000%, 11/25/20 | 11 | ||||||
277 | Series 1990-137, Class X, 9.000%, 12/25/20 | 320 | ||||||
3 | Series 1991-53, Class J, 7.000%, 05/25/21 | 3 | ||||||
17 | Series 1991-130, Class C, 9.000%, 09/25/21 | 20 | ||||||
2 | Series 1992-96, Class B, PO, 05/25/22 | 2 | ||||||
1,765 | Series 1992-131, Class KB, 8.000%, 08/25/22 | 2,037 | ||||||
1,691 | Series 1992-185, Class L, 8.000%, 10/25/22 | 2,004 | ||||||
6 | Series 1993-165, Class SN, IF, 11.471%, 09/25/23 | 7 | ||||||
45 | Series 1993-235, Class G, PO, 09/25/23 | 40 | ||||||
3,128 | Series 1994-15, Class ZK, 5.500%, 02/25/24 | 3,462 | ||||||
5,824 | Series 1994-43, Class PK, 6.350%, 02/25/24 | 6,399 | ||||||
4,878 | Series 1999-6, Class PB, 6.000%, 03/25/19 | 5,327 | ||||||
19,133 | Series 2001-81, Class HE, 6.500%, 01/25/32 | 21,722 | ||||||
1,034 | Series 2002-2, Class MG, 6.000%, 02/25/17 | 1,107 | ||||||
533 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 568 | ||||||
976 | Series 2002-28, Class LD, 6.000%, 05/25/17 | 1,041 | ||||||
549 | Series 2002-58, Class HC, 5.500%, 09/25/17 | 582 | ||||||
1,114 | Series 2002-59, Class UC, 5.500%, 09/25/17 | 1,194 | ||||||
340 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 363 | ||||||
19,568 | Series 2002-64, Class PG, 5.500%, 10/25/32 | 21,718 | ||||||
2,273 | Series 2003-5, Class SE, IF, IO, 7.414%, 08/25/22 | 92 | ||||||
1,614 | Series 2003-16, Class LJ, 5.000%, 03/25/18 | 1,732 | ||||||
5,849 | Series 2003-23, Class PG, 5.500%, 01/25/32 | 5,925 | ||||||
14,483 | Series 2003-24, Class PD, 5.000%, 04/25/18 | 15,562 | ||||||
1,613 | Series 2003-42, Class CI, IO, 6.500%, 05/25/33 | 373 | ||||||
2,291 | Series 2003-49, Class IO, IO, 6.500%, 06/25/33 | 529 | ||||||
3,415 | Series 2003-57, Class IB, IO, 5.000%, 06/25/18 | 289 | ||||||
3,412 | Series 2003-69, Class GI, IO, 5.000%, 12/25/31 | 120 | ||||||
3,891 | Series 2003-89, Class DC, 5.000%, 12/25/32 | 4,096 | ||||||
2,190 | Series 2003-92, Class HP, 4.500%, 09/25/18 | 2,354 | ||||||
3,221 | Series 2003-129, Class ME, 5.000%, 08/25/23 | 3,442 | ||||||
7,970 | Series 2004-53, Class P, 5.500%, 07/25/33 | 8,408 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 221 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
5,168 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 5,576 | ||||||
2,399 | Series 2004-65, Class EJ, 5.000%, 05/25/23 | 2,446 | ||||||
1,027 | Series 2004-72, Class F, VAR, 0.735%, 09/25/34 | 1,033 | ||||||
239 | Series 2004-101, Class AR, 5.500%, 01/25/35 | 268 | ||||||
11,171 | Series 2005-19, Class PA, 5.500%, 07/25/34 | 12,478 | ||||||
245 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 247 | ||||||
2,768 | Series 2005-29, Class QD, 5.000%, 08/25/33 | 2,916 | ||||||
3,590 | Series 2005-38, Class FK, VAR, 0.536%, 05/25/35 | 3,599 | ||||||
106 | Series 2005-40, Class YA, 5.000%, 09/25/20 | 107 | ||||||
328 | Series 2005-84, Class MB, 5.750%, 10/25/35 | 370 | ||||||
22,901 | Series 2005-100, Class GC, 5.000%, 12/25/34 | 23,877 | ||||||
4,896 | Series 2006-22, Class DV, 5.500%, 03/25/17 | 4,965 | ||||||
1,033 | Series 2006-39, Class WB, 5.500%, 10/25/30 | 1,044 | ||||||
3,979 | Series 2006-58, Class ST, IF, IO, 6.914%, 07/25/36 | 992 | ||||||
7,194 | Series 2006-122, Class A, 6.000%, 05/25/25 | 7,301 | ||||||
859 | Series 2007-16, Class FC, VAR, 0.985%, 03/25/37 | 863 | ||||||
1,763 | Series 2007-22, Class SC, IF, IO, 5.844%, 03/25/37 | 236 | ||||||
13,130 | Series 2007-33, Class MS, IF, IO, 6.355%, 04/25/37 | 2,169 | ||||||
2,820 | Series 2007-54, Class FA, VAR, 0.635%, 06/25/37 | 2,830 | ||||||
2,513 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 2,606 | ||||||
14,468 | Series 2007-85, Class SH, IF, IO, 6.265%, 09/25/37 | 2,316 | ||||||
9,700 | Series 2007-95, Class A1, VAR, 0.485%, 08/27/36 | 9,631 | ||||||
2,478 | Series 2007-106, Class A7, VAR, 5.952%, 10/25/37 | 2,771 | ||||||
3,608 | Series 2008-18, Class SE, IF, IO, 6.035%, 03/25/38 | 467 | ||||||
1,006 | Series 2008-72, Class IO, IO, 5.000%, 08/25/28 | 116 | ||||||
1,963 | Series 2008-77, Class VA, 6.000%, 07/25/19 | 2,143 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
7,792 | Series 2008-81, Class KA, 5.000%, 10/25/22 | 8,123 | ||||||
6,554 | Series 2008-93, Class AM, 5.500%, 06/25/37 | 7,117 | ||||||
16,766 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 1,355 | ||||||
12,662 | Series 2009-15, Class AC, 5.500%, 03/25/29 | 14,021 | ||||||
5,701 | Series 2009-29, Class LA, VAR, 3.682%, 05/25/39 | 5,609 | ||||||
6,703 | Series 2009-62, Class HJ, 6.000%, 05/25/39 | 7,360 | ||||||
33,974 | Series 2009-70, Class IN, IO, 4.500%, 08/25/19 | 2,614 | ||||||
8,200 | Series 2009-108, Class VN, 5.000%, 09/25/39 | 8,808 | ||||||
48,773 | Series 2009-112, Class SW, IF, IO, 6.014%, 01/25/40 | 5,939 | ||||||
1,321 | Series 2010-9, Class PA, 4.500%, 10/25/39 | 1,325 | ||||||
7,950 | Series 2010-19, Class VA, 5.000%, 02/25/21 | 8,499 | ||||||
8,413 | Series 2010-28, Class NK, 5.000%, 10/25/38 | 8,863 | ||||||
5,168 | Series 2010-58, Class MA, 5.500%, 12/25/38 | 5,511 | ||||||
10,909 | Series 2010-60, Class IO, IO, 4.000%, 06/25/20 | 767 | ||||||
13,197 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 14,210 | ||||||
8,167 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 8,584 | ||||||
18,393 | Series 2010-111, Class AE, 5.500%, 04/25/38 | 19,577 | ||||||
47,221 | Series 2010-126, Class LI, IO, 4.000%, 11/25/40 | 5,415 | ||||||
61,874 | Series 2012-46, Class KI, IO, 3.500%, 05/25/27 | 7,934 | ||||||
13 | Series G-11, Class Z, 8.500%, 05/25/21 | 15 | ||||||
5 | Series G-22, Class ZT, 8.000%, 12/25/16 | 5 | ||||||
809 | Series G92-19, Class M, 8.500%, 04/25/22 | 951 | ||||||
26 | Series G92-35, Class E, 7.500%, 07/25/22 | 29 | ||||||
800 | Series G92-35, Class EA, 8.000%, 07/25/22 | 901 | ||||||
12 | Series G92-40, Class ZC, 7.000%, 07/25/22 | 13 | ||||||
89 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 100 | ||||||
28 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 31 | ||||||
4,154 | Series G92-64, Class J, 8.000%, 11/25/22 | 4,967 | ||||||
1,695 | Series G92-66, Class K, 8.000%, 12/25/22 | 1,949 | ||||||
1,571 | Series G94-6, Class PJ, 8.000%, 05/17/24 | 1,802 | ||||||
Federal National Mortgage Association STRIPS, | ||||||||
55 | Series 108, Class 1, PO, 03/01/20 | 54 |
SEE NOTES TO FINANCIAL STATEMENTS.
222 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Agency CMO — Continued |
| |||||||
2 | Series 268, Class 2, IO, 9.000%, 02/01/23 | — | (h) | |||||
1,379 | Series 334, Class 13, IO, VAR, 6.000%, 03/01/33 | 254 | ||||||
1,301 | Series 334, Class 17, IO, VAR, 6.500%, 02/01/33 | 229 | ||||||
1,361 | Series 334, Class 24, IO, VAR, 5.000%, 02/01/18 | 114 | ||||||
2,827 | Series 334, Class 9, IO, 6.000%, 03/01/33 | 569 | ||||||
8,090 | Series 343, Class 21, IO, 4.000%, 09/01/18 | 497 | ||||||
2,946 | Series 345, Class 22, IO, VAR, 4.500%, 05/01/20 | 237 | ||||||
1,580 | Series 351, Class 28, IO, VAR, 5.000%, 04/01/19 | 157 | ||||||
1,181 | Series 356, Class 16, IO, VAR, 5.500%, 06/01/35 | 173 | ||||||
1,187 | Series 359, Class 16, IO, VAR, 5.500%, 10/01/35 | 172 | ||||||
1,521 | Series 369, Class 19, IO, VAR, 6.000%, 10/01/36 | 240 | ||||||
888 | Series 369, Class 26, IO, VAR, 6.500%, 10/01/36 | 175 | ||||||
4,218 | Series 386, Class 20, IO, VAR, 6.500%, 08/25/38 | 766 | ||||||
6,036 | Series 394, Class C3, IO, 6.500%, 09/25/38 | 1,001 | ||||||
Federal National Mortgage Association Whole Loan, | ||||||||
2 | Series 1995-W3, Class A, 9.000%, 04/25/25 | 2 | ||||||
12,014 | Series 2007-W1, Class 1AF1, VAR, 0.496%, 11/25/46 | 11,947 | ||||||
Government National Mortgage Association, | ||||||||
91 | Series 1997-12, Class D, 7.500%, 09/20/27 | 105 | ||||||
12,800 | Series 2004-32, Class VH, 5.000%, 04/20/22 | 13,656 | ||||||
1,602 | Series 2004-39, Class IN, IO, 5.500%, 06/20/33 | 230 | ||||||
25,776 | Series 2006-23, Class S, IF, IO, 6.263%, 01/20/36 | 2,967 | ||||||
44,418 | Series 2006-26, Class S, IF, IO, 6.263%, 06/20/36 | 6,727 | ||||||
26,130 | Series 2007-16, Class KU, IF, IO, 6.413%, 04/20/37 | 4,308 | ||||||
7,992 | Series 2008-75, Class SP, IF, IO, 7.233%, 08/20/38 | 1,425 | ||||||
11,184 | Series 2009-14, Class KS, IF, IO, 6.063%, 03/20/39 | 1,710 | ||||||
3,062 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 592 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Agency CMO — Continued |
| |||||||
26,976 | Series 2009-14, Class SA, IF, IO, 5.843%, 03/20/39 | 4,357 | ||||||
5,000 | Series 2009-45, Class PB, 4.500%, 07/16/33 | 5,309 | ||||||
9,600 | Series 2009-61, Class PD, 5.000%, 03/16/38 | 10,689 | ||||||
31,047 | Series 2009-106, Class XL, IF, IO, 6.513%, 06/20/37 | 4,535 | ||||||
3,179 | Series 2010-14, Class QP, 6.000%, 12/20/39 | 3,468 | ||||||
23,100 | Series 2011-48, Class QA, 5.000%, 08/16/39 | 25,087 | ||||||
NCUA Guaranteed Notes, | ||||||||
25,410 | Series 2010-C1, Class A1, 1.600%, 10/29/20 | 25,775 | ||||||
17,458 | Series 2010-R3, Class 1A, VAR, 0.804%, 12/08/20 | 17,563 | ||||||
8,871 | Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 9,084 | ||||||
15 | Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21 | 17 | ||||||
|
| |||||||
831,605 | ||||||||
|
| |||||||
Non-Agency CMO — 2.4% | ||||||||
1,238 | ABN Amro Mortgage Corp., Series 2003-9, Class A1, 4.500%, 08/25/18 | 1,265 | ||||||
20,000 | American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 20,070 | ||||||
Banc of America Mortgage Securities, Inc., | ||||||||
3,581 | Series 2004-4, Class 4A1, 4.750%, 05/25/19 | 3,691 | ||||||
5,478 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 5,657 | ||||||
8,232 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 8,720 | ||||||
BCAP LLC Trust, | ||||||||
4,867 | Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e) | 5,042 | ||||||
2,738 | Series 2010-RR10, Class 3A5, VAR, 4.500%, 11/26/35 (e) | 2,780 | ||||||
2,914 | Series 2010-RR10, Class 4A5, VAR, 1.730%, 09/26/37 (e) | 2,902 | ||||||
4,348 | Series 2010-RR4, Class 5A7, VAR, 0.556%, 05/26/37 (e) | 4,212 | ||||||
2,741 | Series 2010-RR6, Class 23A7, VAR, 0.446%, 06/26/37 (e) | 2,680 | ||||||
5,805 | Series 2010-RR6, Class 8A6, VAR, 5.500%, 08/26/36 (e) | 6,184 | ||||||
15,994 | Series 2010-RR9, Class 1A3, VAR, 3.082%, 08/28/37 (e) | 16,254 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 223 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
7,373 | Series 2011-RR2, Class 3A3, VAR, 3.031%, 11/21/35 (e) | 7,361 | ||||||
267 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 2.713%, 10/25/33 | 267 | ||||||
Chase Mortgage Finance Corp., | ||||||||
2,671 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 2,754 | ||||||
1,076 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 1,134 | ||||||
1,762 | Citicorp Mortgage Securities, Inc., Series 2006-1, Class 2A1, 5.000%, 02/25/21 | 1,848 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
1,248 | Series 2003-UP3, Class A1, 7.000%, 09/25/33 | 1,295 | ||||||
2,946 | Series 2004-UST1, Class A6, VAR, 5.060%, 08/25/34 | 3,019 | ||||||
7,133 | Series 2008-AR4, Class 1A1A, VAR, 3.040%, 11/25/38 (e) | 7,137 | ||||||
16,827 | Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e) | 17,482 | ||||||
170 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 176 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
96 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 96 | ||||||
2,796 | Series 2003-J15, Class 3A1, 5.000%, 01/25/19 | 2,900 | ||||||
797 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 811 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
937 | Series 2007-5, Class 5A5, VAR, 5.335%, 12/25/14 | 934 | ||||||
5,228 | Series 2010-1R, Class 9A1, VAR, 3.278%, 06/27/37 (e) | 5,333 | ||||||
6,156 | Series 2011-7R, Class A1, VAR, 1.485%, 08/28/47 (e) | 6,053 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
774 | Series 2003-17, Class 2A6, 3.500%, 07/25/18 | 778 | ||||||
2,756 | Series 2003-23, Class 8A1, 5.000%, 09/25/18 | 2,828 | ||||||
3,355 | Series 2004-8, Class 6A1, 4.500%, 12/25/19 | 3,481 | ||||||
First Horizon Asset Securities, Inc., | ||||||||
3,726 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 3,795 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
2,511 | Series 2004-7, Class 2A1, 4.750%, 12/25/19 | 2,536 | ||||||
5,852 | GMAC Mortgage Corp. Loan Trust, Series 2003-AR1, Class A4, VAR, 3.136%, 10/19/33 | 6,012 | ||||||
2,832 | Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.596%, 02/25/35 | 2,685 | ||||||
JP Morgan Mortgage Trust, | ||||||||
6,293 | Series 2004-S2, Class 5A1, 5.500%, 12/25/19 | 6,395 | ||||||
7,583 | Series 2006-A2, Class 4A1, VAR, 3.014%, 08/25/34 | 7,622 | ||||||
8 | Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17 | 9 | ||||||
1,186 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.623%, 11/21/34 | 1,208 | ||||||
MASTR Alternative Loans Trust, | ||||||||
242 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 247 | ||||||
3,657 | Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 3,819 | ||||||
MASTR Asset Securitization Trust, | ||||||||
902 | Series 2002-7, Class 1A1, 5.500%, 11/25/17 | 936 | ||||||
2,351 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 2,421 | ||||||
1,294 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 1,342 | ||||||
3,263 | Series 2004-6, Class 6A1, 4.500%, 07/25/19 | 3,313 | ||||||
5 | Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20 | 5 | ||||||
368 | Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18 | 379 | ||||||
Nomura Asset Acceptance Corp., | ||||||||
1,431 | Series 2005-AR1, Class 1A1, VAR, 2.828%, 02/25/35 | 1,402 | ||||||
721 | Series 2005-AR2, Class 3A1, VAR, 0.485%, 05/25/35 | 685 | ||||||
2,346 | Series 2005-AR6, Class 4A1, VAR, 0.496%, 12/25/35 | 1,138 | ||||||
4 | Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18 | 4 | ||||||
5,172 | Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20 | 5,134 |
SEE NOTES TO FINANCIAL STATEMENTS.
224 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Collateralized Mortgage Obligations — Continued |
| ||||||
Non-Agency CMO — Continued | ||||||||
RALI Trust, | ||||||||
143 | Series 2003-QR24, Class A7, 4.000%, 07/25/33 | 141 | ||||||
2,120 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 2,151 | ||||||
262 | RAMP Trust, Series 2004-SL1, Class A5, 6.000%, 11/25/31 | 261 | ||||||
7,555 | RMS Mortgage Asset Trust, Series 2012-1, Class A1, VAR, 4.703%, 10/25/56 (e) | 7,585 | ||||||
9,207 | Springleaf Mortgage Loan Trust, Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e) | 9,207 | ||||||
2,207 | Structured Asset Securities Corp., Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 2,261 | ||||||
4,800 | WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18 | 4,985 | ||||||
11,826 | Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e) | 11,891 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
3,595 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 3,706 | ||||||
3,739 | Series 2003-11, Class 2A1, 4.750%, 10/25/18 | 3,859 | ||||||
3,255 | Series 2003-12, Class A1, 4.750%, 11/25/18 | 3,372 | ||||||
3,750 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 3,867 | ||||||
341 | Series 2003-12, Class A3, 5.000%, 11/25/18 | 355 | ||||||
2,798 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 2,897 | ||||||
4,075 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 4,194 | ||||||
2,761 | Series 2003-K, Class 1A1, VAR, 4.444%, 11/25/33 | 2,828 | ||||||
44 | Series 2003-K, Class 1A2, VAR, 4.444%, 11/25/33 | 45 | ||||||
6,772 | Series 2003-M, Class A1, VAR, 4.695%, 12/25/33 | 6,935 | ||||||
2,899 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 2,970 | ||||||
2,196 | Series 2004-EE, Class 2A2, VAR, 2.615%, 12/25/34 | 2,254 | ||||||
2,849 | Series 2004-EE, Class 3A2, VAR, 2.949%, 12/25/34 | 2,956 | ||||||
4,600 | Series 2004-O, Class A1, VAR, 4.915%, 08/25/34 | 4,800 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Non-Agency CMO — Continued | ||||||||
5,886 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 6,205 | ||||||
5,259 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 5,566 | ||||||
|
| |||||||
291,522 | ||||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 1,123,127 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 4.0% |
| ||||||
9,741 | A10 Securitization LLC, Series 2012-1, Class A, 3.492%, 04/15/24 (e) | 9,792 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., | ||||||||
6,500 | Series 2004-3, Class D, VAR, 5.791%, 06/10/39 | 6,470 | ||||||
4,355 | Series 2005-6, Class B, VAR, 5.366%, 09/10/47 | 4,319 | ||||||
15,894 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 18,209 | ||||||
12,666 | Series 2006-5, Class A4, 5.414%, 09/10/47 | 14,340 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
32,335 | Series 2004-PWR4, Class A3, VAR, 5.468%, 06/11/41 | 34,551 | ||||||
2,825 | Series 2005-PWR8, Class A4, 4.674%, 06/11/41 | 3,080 | ||||||
954 | Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, 5.440%, 09/15/30 (e) | 978 | ||||||
Commercial Mortgage Asset Trust, | ||||||||
1,134 | Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32 | 1,155 | ||||||
6,000 | Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 6,172 | ||||||
15,000 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class B, VAR, 5.105%, 05/10/43 | 15,627 | ||||||
15,315 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.852%, 03/15/39 | 17,081 | ||||||
CS First Boston Mortgage Securities Corp., | ||||||||
7,000 | Series 2003-C4, Class D, VAR, 5.353%, 08/15/36 | 7,174 | ||||||
8,000 | Series 2004-C1, Class D, VAR, 4.956%, 01/15/37 (e) | 8,046 | ||||||
12,605 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 14,112 | ||||||
14,980 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 14,980 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 225 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
4,000 | DLJ Commercial Mortgage Corp., Series 1999-CG1, Class B5, 5.750%, 03/10/32 (e) | 4,169 | ||||||
4,408 | First Union-Lehman Brothers-Bank of America, Series 1998-C2, Class G, VAR, 7.000%, 11/18/35 (e) | 4,720 | ||||||
16,968 | Fontainebleau Miami Beach Trust, Series 2012-FBLU, Class A, 2.887%, 05/05/27 (e) | 17,592 | ||||||
10 | GMAC Commercial Mortgage Securities, Inc., Series 2003-C3, Class A3, 4.646%, 04/10/40 | 11 | ||||||
17,785 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, VAR, 6.070%, 07/10/38 | 20,531 | ||||||
27,750 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38 | 29,718 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
17,900 | Series 2004-C2, Class A3, VAR, 5.386%, 05/15/41 | 19,050 | ||||||
1,605 | Series 2004-LN2, Class A1, 4.475%, 07/15/41 | 1,610 | ||||||
4,840 | Series 2005-LDP5, Class B, VAR, 5.516%, 12/15/44 | 4,998 | ||||||
7,455 | Series 2006-CB17, Class A4, 5.429%, 12/12/43 | 8,473 | ||||||
10,655 | Series 2006-LDP7, Class A4, VAR, 6.061%, 04/15/45 | 12,248 | ||||||
3,000 | Series 2006-LDP9, Class AMS, 5.337%, 05/15/47 | 2,896 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
15,372 | Series 2004-C2, Class A4, 4.367%, 03/15/36 | 16,074 | ||||||
5,000 | Series 2004-C2, Class E, 4.487%, 03/15/36 | 5,049 | ||||||
11,215 | Series 2005-C2, Class A5, VAR, 5.150%, 04/15/30 | 12,396 | ||||||
4,622 | Morgan Stanley Capital I, Series 1998-CF1, Class E, VAR, 7.350%, 07/15/32 | 4,683 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
3,486 | Series 2009-IO, Class A1, 3.000%, 07/17/56 (e) | 3,497 | ||||||
3,171 | Series 2010-C30A, Class A3A, 3.250%, 12/17/43 (e) | 3,167 | ||||||
9,955 | Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e) | 10,542 | ||||||
11,934 | Series 2011-IO, Class A, 2.500%, 03/23/51 (e) | 12,024 | ||||||
16,102 | Series 2012-XA, Class A, 2.000%, 07/27/49 | 16,209 | ||||||
28 | Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30 | 28 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
9,064 | Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36 | 9,065 | ||||||
TIAA Retail Commercial Trust, | ||||||||
8,964 | Series 2001-C1A, Class H, 5.770%, 06/19/33 (e) | 9,376 | ||||||
14,650 | Series 2001-C1A, Class J, 5.770%, 06/19/33 (e) | 15,185 | ||||||
18,325 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.584%, 08/15/39 | 19,574 | ||||||
8,388 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 8,918 | ||||||
17,795 | Wells Fargo Reremic Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e) | 17,729 | ||||||
11,885 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A1, 1.988%, 03/15/44 (e) | 12,125 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $475,692) | 477,743 | |||||||
|
| |||||||
| Corporate Bonds — 17.9% |
| ||||||
Consumer Discretionary — 0.9% |
| |||||||
Auto Components — 0.1% |
| |||||||
Johnson Controls, Inc., | ||||||||
2,639 | 1.750%, 03/01/14 | 2,685 | ||||||
1,500 | 2.600%, 12/01/16 | 1,569 | ||||||
4,435 | 4.875%, 09/15/13 | 4,614 | ||||||
|
| |||||||
8,868 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
Daimler Finance North America LLC, | ||||||||
1,088 | 1.300%, 07/31/15 (e) | 1,089 | ||||||
3,350 | 2.300%, 01/09/15 (e) | 3,431 | ||||||
10,009 | 6.500%, 11/15/13 | 10,697 | ||||||
3,330 | Nissan Motor Acceptance Corp., 4.500%, 01/30/15 (e) | 3,564 | ||||||
|
| |||||||
18,781 | ||||||||
|
| |||||||
Broadcasting & Cable TV — 0.1% |
| |||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
405 | 2.400%, 03/15/17 | 417 | ||||||
5,865 | 3.500%, 03/01/16 | 6,265 | ||||||
1,142 | 3.550%, 03/15/15 | 1,210 | ||||||
1,012 | 4.750%, 10/01/14 | 1,088 | ||||||
|
| |||||||
8,980 | ||||||||
|
| |||||||
Household Durables — 0.0% (g) |
| |||||||
1,700 | Emerson Electric Co., 5.000%, 12/15/14 | 1,864 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
226 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Media — 0.5% |
| |||||||
310 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 | 323 | ||||||
Comcast Corp., | ||||||||
675 | 4.950%, 06/15/16 | 768 | ||||||
1,935 | 5.300%, 01/15/14 | 2,054 | ||||||
1,465 | 5.850%, 11/15/15 | 1,686 | ||||||
1,370 | 5.900%, 03/15/16 | 1,593 | ||||||
416 | 6.500%, 01/15/17 | 504 | ||||||
COX Communications, Inc., | ||||||||
6,220 | 5.450%, 12/15/14 | 6,847 | ||||||
505 | 5.500%, 10/01/15 | 570 | ||||||
585 | 5.875%, 12/01/16 (e) | 687 | ||||||
8,640 | NBCUniversal Media LLC, 2.875%, 04/01/16 | 9,148 | ||||||
News America, Inc., | ||||||||
170 | 5.300%, 12/15/14 | 187 | ||||||
1,495 | 7.600%, 10/11/15 | 1,721 | ||||||
300 | 9.250%, 02/01/13 | 310 | ||||||
5,424 | TCI Communications, Inc., 8.750%, 08/01/15 | 6,581 | ||||||
Time Warner Cable, Inc., | ||||||||
3,990 | 5.850%, 05/01/17 | 4,728 | ||||||
2,795 | 7.500%, 04/01/14 | 3,079 | ||||||
4,421 | 8.250%, 02/14/14 | 4,885 | ||||||
Viacom, Inc., | ||||||||
1,550 | 1.250%, 02/27/15 | 1,565 | ||||||
1,800 | 2.500%, 12/15/16 | 1,885 | ||||||
2,050 | 4.375%, 09/15/14 | 2,196 | ||||||
Walt Disney Co. (The), | ||||||||
2,910 | 0.875%, 12/01/14 | 2,939 | ||||||
585 | 4.700%, 12/01/12 | 591 | ||||||
|
| |||||||
54,847 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (g) |
| |||||||
Macy’s Retail Holdings, Inc., | ||||||||
385 | 5.750%, 07/15/14 | 419 | ||||||
940 | 5.900%, 12/01/16 | 1,095 | ||||||
2,320 | 7.875%, 07/15/15 | 2,725 | ||||||
1,190 | Target Corp., 5.125%, 01/15/13 | 1,211 | ||||||
|
| |||||||
5,450 | ||||||||
|
| |||||||
Specialty Retail — 0.1% |
| |||||||
2,555 | Home Depot, Inc., 5.250%, 12/16/13 | 2,713 | ||||||
2,868 | Lowe’s Cos., Inc., 1.625%, 04/15/17 | 2,919 | ||||||
2,675 | Staples, Inc., 9.750%, 01/15/14 | 2,988 | ||||||
|
| |||||||
8,620 | ||||||||
|
| |||||||
Total Consumer Discretionary | 107,410 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 0.8% |
| |||||||
Beverages — 0.4% |
| |||||||
2,227 | Anheuser-Busch Cos. LLC, 5.050%, 10/15/16 | 2,555 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
520 | 0.800%, 07/15/15 | 522 | ||||||
1,420 | 1.500%, 07/14/14 | 1,445 | ||||||
450 | 2.500%, 03/26/13 | 455 | ||||||
1,371 | 5.375%, 11/15/14 (e) | 1,512 | ||||||
1,370 | 5.375%, 11/15/14 | 1,510 | ||||||
480 | Bottling Group LLC, 6.950%, 03/15/14 | 526 | ||||||
Coca-Cola Co. (The), | ||||||||
1,385 | 1.500%, 11/15/15 | 1,427 | ||||||
1,773 | 1.800%, 09/01/16 | 1,843 | ||||||
5,050 | 3.625%, 03/15/14 | 5,301 | ||||||
Diageo Capital plc, (United Kingdom), | ||||||||
461 | 1.500%, 05/11/17 | 470 | ||||||
475 | 5.200%, 01/30/13 | 484 | ||||||
5,035 | Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13 | 5,181 | ||||||
1,365 | Dr Pepper Snapple Group, Inc., 2.900%, 01/15/16 | 1,458 | ||||||
PepsiCo, Inc., | ||||||||
1,300 | 0.800%, 08/25/14 | 1,308 | ||||||
3,300 | 1.250%, 08/13/17 | 3,305 | ||||||
2,975 | 3.750%, 03/01/14 | 3,122 | ||||||
980 | 4.650%, 02/15/13 | 999 | ||||||
2,590 | SABMiller Holdings, Inc., 1.850%, 01/15/15 (e) | 2,654 | ||||||
SABMiller plc, (United Kingdom), | ||||||||
5,325 | 5.500%, 08/15/13 (e) | 5,542 | ||||||
1,000 | 5.700%, 01/15/14 (e) | 1,063 | ||||||
|
| |||||||
42,682 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% |
| |||||||
1,250 | CVS Caremark Corp., 3.250%, 05/18/15 | 1,326 | ||||||
Kroger Co. (The), | ||||||||
2,835 | 2.200%, 01/15/17 | 2,875 | ||||||
890 | 3.900%, 10/01/15 | 968 | ||||||
660 | 5.500%, 02/01/13 | 673 | ||||||
4,975 | 7.500%, 01/15/14 | 5,427 | ||||||
Wal-Mart Stores, Inc., | ||||||||
1,900 | 2.250%, 07/08/15 | 1,987 | ||||||
695 | 4.550%, 05/01/13 | 715 | ||||||
2,780 | 7.250%, 06/01/13 | 2,918 | ||||||
|
| |||||||
16,889 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 227 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Food Products — 0.3% |
| |||||||
Bunge Ltd. Finance Corp., | ||||||||
2,155 | 4.100%, 03/15/16 | 2,280 | ||||||
500 | 5.100%, 07/15/15 | 535 | ||||||
340 | 5.350%, 04/15/14 | 358 | ||||||
4,570 | 5.875%, 05/15/13 | 4,714 | ||||||
1,835 | Cadbury Schweppes US Finance LLC, 5.125%, 10/01/13 (e) | 1,914 | ||||||
Cargill, Inc., | ||||||||
1,555 | 1.900%, 03/01/17 (e) | 1,590 | ||||||
1,215 | 4.375%, 06/01/13 (e) | 1,247 | ||||||
1,385 | 5.000%, 11/15/13 (e) | 1,453 | ||||||
2,200 | 5.200%, 01/22/13 (e) | 2,240 | ||||||
General Mills, Inc., | ||||||||
185 | 1.550%, 05/16/14 | 188 | ||||||
3,105 | 5.250%, 08/15/13 | 3,244 | ||||||
1,770 | 5.650%, 09/10/12 | 1,772 | ||||||
HJ Heinz Co., | ||||||||
2,270 | 1.500%, 03/01/17 | 2,290 | ||||||
2,820 | 2.000%, 09/12/16 | 2,927 | ||||||
Kellogg Co., | ||||||||
729 | 1.750%, 05/17/17 | 742 | ||||||
2,460 | 1.875%, 11/17/16 | 2,534 | ||||||
710 | 4.250%, 03/06/13 | 723 | ||||||
2,240 | 4.450%, 05/30/16 | 2,496 | ||||||
Kraft Foods, Inc., | ||||||||
1,210 | 4.125%, 02/09/16 | 1,328 | ||||||
1,500 | 5.250%, 10/01/13 | 1,570 | ||||||
150 | 6.000%, 02/11/13 | 154 | ||||||
965 | 6.750%, 02/19/14 | 1,050 | ||||||
1,815 | Nabisco, Inc., 7.550%, 06/15/15 | 2,137 | ||||||
|
| |||||||
39,486 | ||||||||
|
| |||||||
Household Products — 0.0% (g) |
| |||||||
425 | Clorox Co. (The), 5.000%, 01/15/15 | 463 | ||||||
|
| |||||||
Total Consumer Staples | 99,520 | |||||||
|
| |||||||
Energy — 0.6% |
| |||||||
Energy Equipment & Services — 0.0% (g) |
| |||||||
737 | Cameron International Corp., 1.600%, 04/30/15 | 743 | ||||||
545 | Noble Holding International Ltd., (Cayman Islands), 2.500%, 03/15/17 | 559 | ||||||
1,200 | Schlumberger Investment S.A., (Luxembourg), 1.250%, 08/01/17 (e) | 1,201 | ||||||
2,980 | Transocean, Inc., (Cayman Islands), 5.050%, 12/15/16 | 3,301 | ||||||
|
| |||||||
5,804 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
Anadarko Petroleum Corp., | ||||||||
435 | 5.750%, 06/15/14 | 468 | ||||||
2,000 | 7.625%, 03/15/14 | 2,190 | ||||||
590 | Apache Finance Canada Corp., (Canada), 4.375%, 05/15/15 | 647 | ||||||
1,795 | BG Energy Capital plc, (United Kingdom), 2.875%, 10/15/16 (e) | 1,903 | ||||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
1,238 | 1.450%, 11/14/14 | 1,257 | ||||||
3,660 | 4.900%, 12/01/14 | 3,991 | ||||||
1,080 | 5.700%, 05/15/17 | 1,280 | ||||||
965 | 6.000%, 08/15/16 | 1,137 | ||||||
2,080 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 2,229 | ||||||
800 | Chevron Corp., 3.950%, 03/03/14 | 841 | ||||||
ConocoPhillips, | ||||||||
1,035 | 4.600%, 01/15/15 | 1,134 | ||||||
303 | 4.750%, 02/01/14 | 320 | ||||||
3,158 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 3,253 | ||||||
Devon Energy Corp., | ||||||||
1,711 | 1.875%, 05/15/17 | 1,748 | ||||||
3,075 | 2.400%, 07/15/16 | 3,216 | ||||||
3,570 | EOG Resources, Inc., 6.125%, 10/01/13 | 3,781 | ||||||
3,721 | PC Financial Partnership, 5.000%, 11/15/14 | 4,033 | ||||||
6,667 | Petrobras International Finance Co. - Pifco, (Cayman Islands), 3.500%, 02/06/17 | 6,900 | ||||||
2,091 | Phillips 66, 2.950%, 05/01/17 (e) | 2,194 | ||||||
Shell International Finance B.V., (Netherlands), | ||||||||
533 | 1.125%, 08/21/17 | 536 | ||||||
2,615 | 1.875%, 03/25/13 | 2,638 | ||||||
3,052 | 3.100%, 06/28/15 | 3,264 | ||||||
849 | 3.250%, 09/22/15 | 918 | ||||||
5,315 | 4.000%, 03/21/14 | 5,605 | ||||||
Statoil ASA, (Norway), | ||||||||
235 | 1.800%, 11/23/16 | 243 | ||||||
4,282 | 5.125%, 04/30/14 (e) | 4,583 | ||||||
Total Capital International S.A., (France), | ||||||||
924 | 1.500%, 02/17/17 | 939 | ||||||
716 | 1.550%, 06/28/17 | 727 | ||||||
3,237 | Total Capital S.A., (France), 3.000%, 06/24/15 | 3,453 | ||||||
|
| |||||||
65,428 | ||||||||
|
| |||||||
Total Energy | 71,232 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
228 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Financials — 10.7% |
| |||||||
Capital Markets — 2.2% |
| |||||||
Bank of New York Mellon Corp. (The), | ||||||||
636 | 1.200%, 02/20/15 | 645 | ||||||
2,113 | 2.300%, 07/28/16 | 2,210 | ||||||
6,277 | 2.500%, 01/15/16 | 6,584 | ||||||
2,730 | 2.950%, 06/18/15 | 2,897 | ||||||
1,870 | 3.100%, 01/15/15 | 1,976 | ||||||
3,300 | 4.500%, 04/01/13 | 3,373 | ||||||
6,900 | BlackRock, Inc., 3.500%, 12/10/14 | 7,351 | ||||||
5,380 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 5,788 | ||||||
Credit Suisse USA, Inc., | ||||||||
1,975 | 4.875%, 01/15/15 | 2,127 | ||||||
10,162 | 5.125%, 08/15/15 | 11,208 | ||||||
5,225 | 5.500%, 08/15/13 | 5,449 | ||||||
580 | FMR LLC, 4.750%, 03/01/13 (e) | 590 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
1,096 | 3.300%, 05/03/15 | 1,132 | ||||||
10,415 | 3.625%, 02/07/16 | 10,798 | ||||||
14,145 | 3.700%, 08/01/15 | 14,818 | ||||||
2,000 | 4.750%, 07/15/13 | 2,064 | ||||||
11,765 | 5.150%, 01/15/14 | 12,329 | ||||||
3,000 | 5.500%, 11/15/14 | 3,223 | ||||||
18,840 | 6.000%, 05/01/14 | 20,113 | ||||||
Jefferies Group, Inc., | ||||||||
10,275 | 3.875%, 11/09/15 | 10,326 | ||||||
2,050 | 5.875%, 06/08/14 | 2,168 | ||||||
2,968 | Macquarie Bank Ltd., (Australia), 5.000%, 02/22/17 (e) | 3,100 | ||||||
5,485 | Macquarie Group Ltd., (Australia), 7.300%, 08/01/14 (e) | 5,920 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
968 | 5.000%, 01/15/15 | 1,021 | ||||||
3,275 | 5.300%, 09/30/15 | 3,489 | ||||||
4,376 | 5.450%, 02/05/13 | 4,457 | ||||||
4,591 | 5.450%, 07/15/14 | 4,912 | ||||||
13,651 | 6.150%, 04/25/13 | 14,085 | ||||||
Morgan Stanley, | ||||||||
1,936 | 2.875%, 07/28/14 | 1,964 | ||||||
6,250 | 4.100%, 01/26/15 | 6,397 | ||||||
12,242 | 4.200%, 11/20/14 | 12,559 | ||||||
915 | 4.750%, 04/01/14 | 942 | ||||||
8,805 | 5.300%, 03/01/13 | 8,981 | ||||||
1,270 | 5.550%, 04/27/17 | 1,348 | ||||||
13,150 | 6.000%, 05/13/14 | 13,903 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
6,750 | 6.000%, 04/28/15 | 7,191 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
2,345 | 4.125%, 01/19/16 | 2,430 | ||||||
8,505 | 5.000%, 03/04/15 | 8,954 | ||||||
Northern Trust Corp., | ||||||||
2,760 | 4.625%, 05/01/14 | 2,946 | ||||||
3,220 | 5.500%, 08/15/13 | 3,376 | ||||||
State Street Corp., | ||||||||
5,370 | 2.875%, 03/07/16 | 5,745 | ||||||
6,213 | 4.300%, 05/30/14 | 6,605 | ||||||
UBS AG, (Switzerland), | ||||||||
488 | 2.250%, 08/12/13 | 494 | ||||||
9,120 | 3.875%, 01/15/15 | 9,610 | ||||||
|
| |||||||
257,598 | ||||||||
|
| |||||||
Commercial Banks — 3.6% |
| |||||||
500 | Abbey National Treasury Services plc, (United Kingdom), 4.000%, 04/27/16 | 508 | ||||||
1,000 | American Express Bank FSB, 5.500%, 04/16/13 | 1,030 | ||||||
1,896 | ANZ National (International) Ltd., (New Zealand), 3.125%, 08/10/15 (e) | 1,979 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
1,700 | 3.250%, 03/01/16 (e) | 1,802 | ||||||
2,800 | 3.250%, 03/01/16 | 2,968 | ||||||
Bank of America Corp., | ||||||||
715 | 3.625%, 03/17/16 | 745 | ||||||
6,005 | 4.900%, 05/01/13 | 6,150 | ||||||
975 | 5.125%, 11/15/14 | 1,037 | ||||||
2,345 | 5.375%, 09/11/12 | 2,348 | ||||||
2,380 | 5.625%, 10/14/16 | 2,645 | ||||||
2,530 | 6.500%, 08/01/16 | 2,885 | ||||||
15,480 | 7.375%, 05/15/14 | 16,893 | ||||||
6,034 | Bank of Montreal, (Canada), 1.300%, 10/31/14 (e) | 6,147 | ||||||
Bank of Nova Scotia, (Canada), | ||||||||
5,236 | 1.650%, 10/29/15 (e) | 5,404 | ||||||
1,645 | 2.050%, 10/07/15 | 1,703 | ||||||
1,173 | 2.375%, 12/17/13 | 1,201 | ||||||
5,300 | 3.400%, 01/22/15 | 5,605 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), | ||||||||
2,782 | 2.600%, 01/22/13 (e) | 2,797 | ||||||
2,125 | 3.850%, 01/22/15 (e) | 2,262 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
9,495 | 2.500%, 01/23/13 | 9,557 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 229 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
10,925 | 2.500%, 09/21/15 (e) | 11,333 | ||||||
4,450 | 2.750%, 02/23/15 | 4,539 | ||||||
650 | Series 1, 5.000%, 09/22/16 | 714 | ||||||
3,280 | 5.200%, 07/10/14 | 3,476 | ||||||
BB&T Corp., | ||||||||
900 | 2.050%, 04/28/14 | 920 | ||||||
2,230 | 2.150%, 03/22/17 | 2,308 | ||||||
6,970 | 3.200%, 03/15/16 | 7,479 | ||||||
1,535 | 3.375%, 09/25/13 | 1,578 | ||||||
312 | 3.950%, 04/29/16 | 342 | ||||||
4,555 | 4.750%, 10/01/12 | 4,570 | ||||||
1,878 | 5.200%, 12/23/15 | 2,086 | ||||||
6,154 | 5.700%, 04/30/14 | 6,652 | ||||||
5,000 | BNY Mellon N.A., 4.750%, 12/15/14 | 5,411 | ||||||
3,385 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 3,431 | ||||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
2,330 | 2.350%, 12/11/15 | 2,449 | ||||||
3,000 | 2.600%, 07/02/15 (e) | 3,171 | ||||||
1,290 | Comerica, Inc., 3.000%, 09/16/15 | 1,355 | ||||||
Credit Suisse, (Switzerland), | ||||||||
1,575 | 2.200%, 01/14/14 | 1,597 | ||||||
9,420 | 3.500%, 03/23/15 | 9,915 | ||||||
13,114 | 5.500%, 05/01/14 | 13,994 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
13,790 | 3.250%, 01/11/16 | 14,392 | ||||||
5,560 | 3.875%, 08/18/14 | 5,846 | ||||||
2,045 | 4.875%, 05/20/13 | 2,102 | ||||||
6,640 | Deutsche Bank Financial LLC, 5.375%, 03/02/15 | 7,012 | ||||||
12,209 | DNB Boligkreditt AS, (Norway), 2.100%, 10/14/15 (e) | 12,622 | ||||||
6,316 | Fifth Third Bancorp, 3.625%, 01/25/16 | 6,795 | ||||||
HSBC Bank plc, (United Kingdom), | ||||||||
2,836 | 1.625%, 07/07/14 (e) | 2,857 | ||||||
1,350 | 2.000%, 01/19/14 (e) | 1,363 | ||||||
4,700 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 4,917 | ||||||
1,650 | HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12 | 1,670 | ||||||
KeyBank N.A., | ||||||||
1,778 | 5.500%, 09/17/12 | 1,782 | ||||||
1,290 | 5.800%, 07/01/14 | 1,382 | ||||||
6,953 | KeyCorp, 6.500%, 05/14/13 | 7,228 | ||||||
2,128 | Mellon Funding Corp., 5.000%, 12/01/14 | 2,280 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
National Australia Bank Ltd., (Australia), | ||||||||
1,695 | 2.250%, 04/11/14 (e) | 1,725 | ||||||
5,070 | 2.500%, 01/08/13 (e) | 5,104 | ||||||
500 | 2.750%, 03/09/17 | 518 | ||||||
1,000 | 3.000%, 07/27/16 (e) | 1,051 | ||||||
7,480 | National Bank of Canada, (Canada), 1.650%, 01/30/14 (e) | 7,612 | ||||||
8,246 | National City Corp., 4.900%, 01/15/15 | 8,955 | ||||||
Nordea Bank AB, (Sweden), | ||||||||
2,500 | 1.750%, 10/04/13 (e) | 2,513 | ||||||
5,650 | 3.125%, 03/20/17 (e) | 5,872 | ||||||
5,765 | Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e) | 5,817 | ||||||
PNC Funding Corp., | ||||||||
1,840 | 3.625%, 02/08/15 | 1,959 | ||||||
1,260 | 4.250%, 09/21/15 | 1,377 | ||||||
380 | 5.400%, 06/10/14 | 411 | ||||||
10,000 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 10,420 | ||||||
Royal Bank of Canada, (Canada), | ||||||||
4,130 | 2.300%, 07/20/16 | 4,331 | ||||||
4,970 | 2.625%, 12/15/15 | 5,244 | ||||||
5,788 | SouthTrust Corp., 5.800%, 06/15/14 | 6,178 | ||||||
SunTrust Banks, Inc., | ||||||||
5,000 | 3.500%, 01/20/17 | 5,306 | ||||||
5,956 | 3.600%, 04/15/16 | 6,293 | ||||||
3,272 | 5.250%, 11/05/12 | 3,299 | ||||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
3,200 | 1.500%, 03/13/17 (e) | 3,279 | ||||||
6,100 | 2.200%, 07/29/15 (e) | 6,382 | ||||||
U.S. Bancorp, | ||||||||
3,495 | 1.650%, 05/15/17 | 3,574 | ||||||
1,705 | 2.450%, 07/27/15 | 1,790 | ||||||
5,938 | 2.875%, 11/20/14 | 6,246 | ||||||
3,366 | 4.200%, 05/15/14 | 3,580 | ||||||
U.S. Bank N.A., | ||||||||
5,020 | 4.950%, 10/30/14 | 5,465 | ||||||
6,202 | 6.300%, 02/04/14 | 6,692 | ||||||
Wachovia Bank N.A., | ||||||||
18,328 | 4.800%, 11/01/14 | 19,735 | ||||||
1,500 | 5.000%, 08/15/15 | 1,637 | ||||||
3,375 | 5.600%, 03/15/16 | 3,767 | ||||||
Wachovia Corp., | ||||||||
3,655 | 4.875%, 02/15/14 | 3,864 | ||||||
3,000 | 5.250%, 08/01/14 | 3,227 |
SEE NOTES TO FINANCIAL STATEMENTS.
230 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
3,130 | 5.500%, 05/01/13 | 3,233 | ||||||
Wells Fargo & Co., | ||||||||
770 | 1.500%, 07/01/15 | 782 | ||||||
1,040 | 2.625%, 12/15/16 | 1,102 | ||||||
6,780 | 3.750%, 10/01/14 | 7,171 | ||||||
5,770 | 4.625%, 04/15/14 | 6,039 | ||||||
560 | 5.000%, 11/15/14 | 604 | ||||||
5,185 | SUB, 3.676%, 06/15/16 | 5,640 | ||||||
4,310 | Wells Fargo Bank N.A., 4.750%, 02/09/15 | 4,661 | ||||||
Westpac Banking Corp., (Australia), | ||||||||
1,580 | 3.000%, 08/04/15 | 1,667 | ||||||
6,973 | 3.000%, 12/09/15 | 7,384 | ||||||
4,790 | 4.200%, 02/27/15 | 5,140 | ||||||
|
| |||||||
431,880 | ||||||||
|
| |||||||
Consumer Finance — 1.4% |
| |||||||
American Express Co., | ||||||||
720 | 5.500%, 09/12/16 | 837 | ||||||
6,627 | 7.250%, 05/20/14 | 7,335 | ||||||
American Express Credit Corp., | ||||||||
833 | 2.375%, 03/24/17 | 876 | ||||||
3,385 | 2.750%, 09/15/15 | 3,573 | ||||||
5,532 | 2.800%, 09/19/16 | 5,890 | ||||||
3,030 | 5.125%, 08/25/14 | 3,290 | ||||||
2,150 | 5.300%, 12/02/15 | 2,427 | ||||||
2,464 | 5.875%, 05/02/13 | 2,549 | ||||||
10,305 | 7.300%, 08/20/13 | 10,961 | ||||||
American Honda Finance Corp., | ||||||||
2,085 | 1.450%, 02/27/15 (e) | 2,110 | ||||||
2,157 | 1.850%, 09/19/14 (e) | 2,201 | ||||||
5,730 | 2.375%, 03/18/13 (e) | 5,787 | ||||||
1,725 | 2.500%, 09/21/15 (e) | 1,790 | ||||||
2,200 | 3.500%, 03/16/15 (e) | 2,334 | ||||||
5,940 | 4.625%, 04/02/13 (e) | 6,088 | ||||||
Boeing Capital Corp., | ||||||||
500 | 2.125%, 08/15/16 | 525 | ||||||
1,192 | 5.800%, 01/15/13 | 1,215 | ||||||
2,000 | Capital One Bank USA N.A., 5.125%, 02/15/14 | 2,114 | ||||||
Capital One Financial Corp., | ||||||||
270 | 2.150%, 03/23/15 | 277 | ||||||
5,496 | 3.150%, 07/15/16 | 5,833 | ||||||
1,330 | 5.500%, 06/01/15 | 1,447 | ||||||
1,725 | 6.250%, 11/15/13 | 1,831 | ||||||
6,452 | 7.375%, 05/23/14 | 7,124 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — Continued |
| |||||||
1,490 | FIA Card Services N.A., 7.125%, 11/15/12 | 1,507 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
4,539 | 3.000%, 06/12/17 | 4,556 | ||||||
10,086 | 3.984%, 06/15/16 (e) | 10,453 | ||||||
6,080 | 4.207%, 04/15/16 (e) | 6,360 | ||||||
HSBC Finance Corp., | ||||||||
10,100 | 4.750%, 07/15/13 | 10,410 | ||||||
15,901 | 5.000%, 06/30/15 | 17,086 | ||||||
1,625 | 5.250%, 04/15/15 | 1,750 | ||||||
520 | 5.500%, 01/19/16 | 568 | ||||||
John Deere Capital Corp., | ||||||||
1,418 | 0.875%, 04/17/15 | 1,427 | ||||||
995 | 1.600%, 03/03/14 | 1,011 | ||||||
790 | 1.850%, 09/15/16 | 815 | ||||||
2,400 | 2.250%, 06/07/16 | 2,511 | ||||||
1,335 | 2.950%, 03/09/15 | 1,412 | ||||||
2,450 | 4.500%, 04/03/13 | 2,509 | ||||||
325 | 4.950%, 12/17/12 | 329 | ||||||
1,860 | MBNA Corp., 6.125%, 03/01/13 | 1,901 | ||||||
PACCAR Financial Corp., | ||||||||
2,716 | 1.550%, 09/29/14 | 2,764 | ||||||
4,258 | 1.600%, 03/15/17 | 4,339 | ||||||
Toyota Motor Credit Corp., | ||||||||
5,843 | 1.250%, 11/17/14 | 5,924 | ||||||
5,195 | 2.050%, 01/12/17 | 5,409 | ||||||
2,737 | 3.200%, 06/17/15 | 2,926 | ||||||
993 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 1,002 | ||||||
|
| |||||||
165,383 | ||||||||
|
| |||||||
Diversified Financial Services — 2.1% |
| |||||||
4,500 | ABB Treasury Center USA, Inc., 2.500%, 06/15/16 (e) | 4,701 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
2,935 | 1.846%, 05/05/17 | 3,004 | ||||||
4,605 | 2.248%, 11/01/16 | 4,814 | ||||||
2,340 | 3.125%, 10/01/15 | 2,503 | ||||||
4,040 | 3.200%, 03/11/16 | 4,334 | ||||||
1,870 | 3.625%, 05/08/14 | 1,963 | ||||||
4,375 | 3.875%, 03/10/15 | 4,715 | ||||||
3,015 | 5.250%, 11/07/13 | 3,180 | ||||||
4,838 | Caisse Centrale Desjardins du Quebec, (Canada), 2.550%, 03/24/16 (e) | 5,145 | ||||||
Caterpillar Financial Services Corp., | ||||||||
630 | 1.050%, 03/26/15 | 637 | ||||||
2,935 | 1.125%, 12/15/14 | 2,970 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 231 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
6,700 | 1.550%, 12/20/13 | 6,792 | ||||||
760 | 2.050%, 08/01/16 | 791 | ||||||
275 | 2.650%, 04/01/16 | 291 | ||||||
2,265 | 4.900%, 08/15/13 | 2,362 | ||||||
1,700 | 5.500%, 03/15/16 | 1,961 | ||||||
3,080 | 6.125%, 02/17/14 | 3,327 | ||||||
1,880 | 6.200%, 09/30/13 | 1,997 | ||||||
Citigroup, Inc., | ||||||||
1,958 | 3.953%, 06/15/16 | 2,065 | ||||||
4,000 | 4.450%, 01/10/17 | 4,309 | ||||||
5,275 | 4.750%, 05/19/15 | 5,663 | ||||||
205 | 5.500%, 10/15/14 | 220 | ||||||
27,650 | 6.000%, 12/13/13 | 29,216 | ||||||
12,000 | 6.010%, 01/15/15 | 13,111 | ||||||
11,313 | 6.375%, 08/12/14 | 12,272 | ||||||
19,289 | 6.500%, 08/19/13 | 20,287 | ||||||
1,813 | CME Group, Inc., 5.750%, 02/15/14 | 1,943 | ||||||
ERAC USA Finance LLC, | ||||||||
3,710 | 2.750%, 07/01/13 (e) | 3,767 | ||||||
783 | 2.750%, 03/15/17 (e) | 807 | ||||||
2,400 | 5.600%, 05/01/15 (e) | 2,639 | ||||||
General Electric Capital Corp., | ||||||||
3,721 | 2.300%, 04/27/17 | 3,841 | ||||||
12,870 | 3.500%, 06/29/15 | 13,716 | ||||||
5,000 | 3.750%, 11/14/14 | 5,304 | ||||||
2,345 | 4.375%, 09/21/15 | 2,569 | ||||||
5,000 | 4.750%, 09/15/14 | 5,368 | ||||||
5,541 | 4.875%, 03/04/15 | 6,064 | ||||||
13,757 | 5.450%, 01/15/13 | 14,006 | ||||||
11,926 | 5.500%, 06/04/14 | 12,889 | ||||||
3,225 | 5.650%, 06/09/14 | 3,475 | ||||||
18,712 | 5.900%, 05/13/14 | 20,354 | ||||||
4,365 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 4,566 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
490 | 1.900%, 11/01/15 | 505 | ||||||
885 | 2.625%, 09/16/12 | 886 | ||||||
|
| |||||||
245,329 | ||||||||
|
| |||||||
FDIC Guaranteed Securities (~) — 0.0% (g) |
| |||||||
2,500 | General Electric Capital Corp., 2.625%, 12/28/12 | 2,519 | ||||||
|
| |||||||
Insurance — 1.1% |
| |||||||
ACE INA Holdings, Inc., | ||||||||
3,000 | 2.600%, 11/23/15 | 3,145 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
5,000 | 5.600%, 05/15/15 | 5,596 | ||||||
1,670 | 5.875%, 06/15/14 | 1,819 | ||||||
Aflac, Inc., | ||||||||
2,745 | 2.650%, 02/15/17 | 2,882 | ||||||
1,965 | 3.450%, 08/15/15 | 2,102 | ||||||
1,420 | Allstate Corp. (The), 5.000%, 08/15/14 | 1,539 | ||||||
2,343 | Aon Corp., 3.500%, 09/30/15 | 2,470 | ||||||
1,454 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 1,468 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
2,770 | 5.000%, 08/15/13 | 2,891 | ||||||
6,615 | 5.100%, 07/15/14 | 7,167 | ||||||
5,957 | Berkshire Hathaway, Inc., 1.900%, 01/31/17 | 6,186 | ||||||
4,840 | CNA Financial Corp., 5.850%, 12/15/14 | 5,182 | ||||||
7,061 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 7,268 | ||||||
MassMutual Global Funding II, | ||||||||
6,000 | 2.000%, 04/05/17 (e) | 6,150 | ||||||
1,084 | 2.300%, 09/28/15 (e) | 1,130 | ||||||
700 | 2.875%, 04/21/14 (e) | 725 | ||||||
Metropolitan Life Global Funding I, | ||||||||
10,735 | 2.000%, 01/10/14 (e) | 10,896 | ||||||
1,700 | 2.000%, 01/09/15 (e) | 1,738 | ||||||
3,463 | 2.500%, 01/11/13 (e) | 3,486 | ||||||
3,951 | 2.500%, 09/29/15 (e) | 4,106 | ||||||
1,900 | 3.125%, 01/11/16 (e) | 2,020 | ||||||
3,310 | 5.125%, 04/10/13 (e) | 3,399 | ||||||
2,850 | 5.125%, 06/10/14 (e) | 3,064 | ||||||
1,200 | 5.200%, 09/18/13 (e) | 1,253 | ||||||
4,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 4,097 | ||||||
New York Life Global Funding, | ||||||||
590 | 0.750%, 07/24/15 (e) | 591 | ||||||
620 | 2.450%, 07/14/16 (e) | 647 | ||||||
5,665 | 3.000%, 05/04/15 (e) | 6,007 | ||||||
3,350 | 4.650%, 05/09/13 (e) | 3,445 | ||||||
285 | 5.250%, 10/16/12 (e) | 287 | ||||||
1,000 | 5.375%, 09/15/13 (e) | 1,049 | ||||||
3,240 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) | 3,330 | ||||||
Pricoa Global Funding I, | ||||||||
1,975 | 5.400%, 10/18/12 (e) | 1,986 | ||||||
5,995 | 5.450%, 06/11/14 (e) | 6,451 | ||||||
Principal Life Income Funding Trusts, | ||||||||
1,110 | 5.300%, 12/14/12 | 1,124 | ||||||
4,933 | 5.300%, 04/24/13 | 5,084 |
SEE NOTES TO FINANCIAL STATEMENTS.
232 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Insurance — Continued |
| |||||||
1,000 | 5.550%, 04/27/15 | 1,112 | ||||||
2,561 | Travelers Cos., Inc. (The), 6.250%, 06/20/16 | 3,056 | ||||||
1,380 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 1,413 | ||||||
|
| |||||||
127,361 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
ERP Operating LP, | ||||||||
2,000 | 5.200%, 04/01/13 | 2,048 | ||||||
500 | 5.250%, 09/15/14 | 540 | ||||||
525 | 5.375%, 08/01/16 | 598 | ||||||
HCP, Inc., | ||||||||
2,300 | 2.700%, 02/01/14 | 2,347 | ||||||
3,852 | 7.072%, 06/08/15 | 4,352 | ||||||
Simon Property Group LP, | ||||||||
673 | 4.200%, 02/01/15 | 718 | ||||||
1,850 | 4.900%, 01/30/14 | 1,947 | ||||||
825 | 6.100%, 05/01/16 | 949 | ||||||
1,125 | 6.750%, 05/15/14 | 1,217 | ||||||
3,050 | WCI Finance LLC/WEA Finance LLC, 5.700%, 10/01/16 (e) | 3,440 | ||||||
4,980 | WEA Finance LLC/WT Finance Aust Pty Ltd., 7.500%, 06/02/14 (e) | 5,456 | ||||||
|
| |||||||
23,612 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
1,100 | Golden West Financial Corp., 4.750%, 10/01/12 | 1,104 | ||||||
15,324 | Stadshypotek AB, (Sweden), 1.450%, 09/30/13 (e) | 15,474 | ||||||
|
| |||||||
16,578 | ||||||||
|
| |||||||
Total Financials | 1,270,260 | |||||||
|
| |||||||
Health Care — 0.3% |
| |||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc., | ||||||||
292 | 1.875%, 11/15/14 | 299 | ||||||
2,200 | 2.300%, 06/15/16 | 2,289 | ||||||
1,065 | 2.500%, 11/15/16 | 1,117 | ||||||
Celgene Corp., | ||||||||
1,501 | 1.900%, 08/15/17 | 1,516 | ||||||
2,086 | 2.450%, 10/15/15 | 2,159 | ||||||
|
| |||||||
7,380 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0% (g) |
| |||||||
Baxter International, Inc., | ||||||||
1,650 | 1.800%, 03/15/13 | 1,662 | ||||||
255 | 4.000%, 03/01/14 | 268 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
1,925 | Medtronic, Inc., 3.000%, 03/15/15 | 2,034 | ||||||
|
| |||||||
3,964 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.1% |
| |||||||
1,128 | Aetna, Inc., 1.750%, 05/15/17 | 1,140 | ||||||
Laboratory Corp. of America Holdings, | ||||||||
785 | 2.200%, 08/23/17 | 796 | ||||||
1,892 | 3.125%, 05/15/16 | 1,990 | ||||||
2,800 | 5.625%, 12/15/15 | 3,160 | ||||||
820 | Medco Health Solutions, Inc., 2.750%, 09/15/15 | 858 | ||||||
2,095 | UnitedHealth Group, Inc., 5.000%, 08/15/14 | 2,262 | ||||||
WellPoint, Inc., | ||||||||
380 | 5.000%, 12/15/14 | 412 | ||||||
1,495 | 5.250%, 01/15/16 | 1,671 | ||||||
215 | 6.000%, 02/15/14 | 230 | ||||||
|
| |||||||
12,519 | ||||||||
|
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
2,635 | Abbott Laboratories, 2.700%, 05/27/15 | 2,792 | ||||||
2,000 | GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 | 2,063 | ||||||
1,985 | Hospira, Inc., 5.900%, 06/15/14 | 2,131 | ||||||
2,525 | Merck & Co., Inc., 4.750%, 03/01/15 | 2,787 | ||||||
2,290 | Teva Pharmaceutical Finance Co. LLC, 5.550%, 02/01/16 | 2,610 | ||||||
3,295 | Watson Pharmaceuticals, Inc., 5.000%, 08/15/14 | 3,507 | ||||||
2,793 | Wyeth, 5.500%, 02/01/14 | 2,993 | ||||||
|
| |||||||
18,883 | ||||||||
|
| |||||||
Total Health Care | 42,746 | |||||||
|
| |||||||
Industrials — 0.7% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
BAE Systems Holdings, Inc., | ||||||||
1,817 | 4.950%, 06/01/14 (e) | 1,915 | ||||||
3,510 | 5.200%, 08/15/15 (e) | 3,835 | ||||||
Boeing Co. (The), | ||||||||
1,000 | 3.500%, 02/15/15 | 1,072 | ||||||
3,085 | 5.000%, 03/15/14 | 3,294 | ||||||
2,190 | 5.125%, 02/15/13 | 2,235 | ||||||
2,460 | General Dynamics Corp., 5.250%, 02/01/14 | 2,624 | ||||||
Honeywell International, Inc., | ||||||||
1,115 | 3.875%, 02/15/14 | 1,168 | ||||||
1,285 | 4.250%, 03/01/13 | 1,309 | ||||||
Lockheed Martin Corp., | ||||||||
360 | 2.125%, 09/15/16 | 374 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 233 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Aerospace & Defense — Continued |
| |||||||
1,300 | 7.650%, 05/01/16 | 1,580 | ||||||
1,000 | Northrop Grumman Corp., 3.700%, 08/01/14 | 1,050 | ||||||
3,000 | United Technologies Corp., 1.200%, 06/01/15 | 3,053 | ||||||
|
| |||||||
23,509 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
5,065 | ADT Corp. (The), 2.250%, 07/15/17 (e) | 5,150 | ||||||
Pitney Bowes, Inc., | ||||||||
685 | 3.875%, 06/15/13 | 699 | ||||||
2,375 | 4.875%, 08/15/14 | 2,494 | ||||||
Waste Management, Inc., | ||||||||
1,100 | 6.375%, 11/15/12 | 1,112 | ||||||
1,063 | 6.375%, 03/11/15 | 1,199 | ||||||
|
| |||||||
10,654 | ||||||||
|
| |||||||
Construction & Engineering — 0.0% (g) |
| |||||||
445 | ABB Finance USA, Inc., 1.625%, 05/08/17 | 452 | ||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
3,767 | General Electric Co., 5.000%, 02/01/13 | 3,836 | ||||||
5,000 | Ingersoll-Rand Global Holding Co. Ltd., (Bermuda), 9.500%, 04/15/14 | 5,628 | ||||||
|
| |||||||
9,464 | ||||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
745 | Caterpillar, Inc., 7.000%, 12/15/13 | 807 | ||||||
4,323 | Danaher Corp., 1.300%, 06/23/14 | 4,390 | ||||||
1,475 | Deere & Co., 6.950%, 04/25/14 | 1,628 | ||||||
1,150 | PACCAR, Inc., 6.875%, 02/15/14 | 1,252 | ||||||
|
| |||||||
8,077 | ||||||||
|
| |||||||
Road & Rail — 0.2% |
| |||||||
2,000 | Burlington Northern Santa Fe LLC, 7.000%, 02/01/14 | 2,177 | ||||||
Canadian National Railway Co., (Canada), | ||||||||
4,485 | 4.400%, 03/15/13 | 4,579 | ||||||
2,852 | 4.950%, 01/15/14 | 3,024 | ||||||
CSX Corp., | ||||||||
500 | 5.300%, 02/15/14 | 530 | ||||||
3,675 | 6.250%, 04/01/15 | 4,180 | ||||||
1,100 | Norfolk Southern Corp., 5.750%, 01/15/16 | 1,269 | ||||||
Ryder System, Inc., | ||||||||
1,694 | 2.500%, 03/01/17 | 1,722 | ||||||
1,000 | 3.600%, 03/01/16 | 1,058 | ||||||
2,145 | 6.000%, 03/01/13 | 2,191 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — Continued |
| |||||||
Union Pacific Corp., | ||||||||
1,588 | 5.125%, 02/15/14 | 1,685 | ||||||
4,235 | 5.450%, 01/31/13 | 4,318 | ||||||
1,455 | 7.000%, 02/01/16 | 1,726 | ||||||
|
| |||||||
28,459 | ||||||||
|
| |||||||
Total Industrials | 80,615 | |||||||
|
| |||||||
Information Technology — 1.0% |
| |||||||
Communications Equipment — 0.0% (g) |
| |||||||
Cisco Systems, Inc., | ||||||||
2,500 | 1.625%, 03/14/14 | 2,550 | ||||||
1,230 | 5.500%, 02/22/16 | 1,432 | ||||||
|
| |||||||
3,982 | ||||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
Dell, Inc., | ||||||||
1,075 | 2.300%, 09/10/15 | 1,109 | ||||||
6,353 | 3.100%, 04/01/16 | 6,754 | ||||||
3,605 | 4.700%, 04/15/13 | 3,695 | ||||||
600 | 5.625%, 04/15/14 | 646 | ||||||
Hewlett-Packard Co., | ||||||||
4,472 | 2.125%, 09/13/15 | 4,496 | ||||||
3,232 | 2.200%, 12/01/15 | 3,257 | ||||||
10,100 | 3.000%, 09/15/16 | 10,305 | ||||||
3,650 | 4.500%, 03/01/13 | 3,714 | ||||||
2,500 | 4.750%, 06/02/14 | 2,637 | ||||||
7,505 | 6.125%, 03/01/14 | 8,031 | ||||||
|
| |||||||
44,644 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
3,980 | 3.375%, 11/01/15 | 4,138 | ||||||
6,246 | 6.875%, 07/01/13 | 6,538 | ||||||
|
| |||||||
10,676 | ||||||||
|
| |||||||
Internet Software & Services — 0.0% (g) |
| |||||||
eBay, Inc., | ||||||||
2,865 | 0.700%, 07/15/15 | 2,876 | ||||||
1,360 | 1.625%, 10/15/15 | 1,405 | ||||||
|
| |||||||
4,281 | ||||||||
|
| |||||||
IT Services — 0.2% |
| |||||||
300 | Affiliated Computer Services, Inc., 5.200%, 06/01/15 | 323 | ||||||
International Business Machines Corp., | ||||||||
1,375 | 0.875%, 10/31/14 | 1,387 | ||||||
3,631 | 1.250%, 02/06/17 | 3,686 |
SEE NOTES TO FINANCIAL STATEMENTS.
234 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
IT Services — Continued |
| |||||||
5,860 | 1.950%, 07/22/16 | 6,120 | ||||||
3,025 | 2.100%, 05/06/13 | 3,060 | ||||||
1,250 | 6.500%, 10/15/13 | 1,334 | ||||||
650 | 7.500%, 06/15/13 | 687 | ||||||
|
| |||||||
16,597 | ||||||||
|
| |||||||
Office Electronics — 0.1% |
| |||||||
Xerox Corp., | ||||||||
634 | 2.950%, 03/15/17 | 649 | ||||||
3,425 | 4.250%, 02/15/15 | 3,647 | ||||||
1,390 | 6.750%, 02/01/17 | 1,631 | ||||||
2,505 | 8.250%, 05/15/14 | 2,785 | ||||||
|
| |||||||
8,712 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||
2,943 | Intel Corp., 1.950%, 10/01/16 | 3,090 | ||||||
6,197 | National Semiconductor Corp., 3.950%, 04/15/15 | 6,709 | ||||||
4,610 | Texas Instruments, Inc., 2.375%, 05/16/16 | 4,876 | ||||||
|
| |||||||
14,675 | ||||||||
|
| |||||||
Software — 0.1% |
| |||||||
2,575 | Intuit, Inc., 5.750%, 03/15/17 | 2,986 | ||||||
3,155 | Microsoft Corp., 2.950%, 06/01/14 | 3,297 | ||||||
4,025 | Oracle Corp., 5.250%, 01/15/16 | 4,634 | ||||||
|
| |||||||
10,917 | ||||||||
|
| |||||||
Total Information Technology | 114,484 | |||||||
|
| |||||||
Materials — 0.8% |
| |||||||
Chemicals — 0.5% |
| |||||||
845 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 858 | ||||||
Dow Chemical Co. (The), | ||||||||
2,135 | 2.500%, 02/15/16 | 2,222 | ||||||
6,184 | 5.900%, 02/15/15 | 6,901 | ||||||
2,469 | 7.600%, 05/15/14 | 2,740 | ||||||
Ecolab, Inc., | ||||||||
733 | 1.000%, 08/09/15 | 736 | ||||||
2,100 | 2.375%, 12/08/14 | 2,178 | ||||||
3,175 | 3.000%, 12/08/16 | 3,404 | ||||||
EI du Pont de Nemours & Co., | ||||||||
2,856 | 1.950%, 01/15/16 | 2,969 | ||||||
3,225 | 3.250%, 01/15/15 | 3,429 | ||||||
1,708 | 5.000%, 01/15/13 | 1,735 | ||||||
2,840 | 5.250%, 12/15/16 | 3,346 | ||||||
960 | Monsanto Co., 2.750%, 04/15/16 | 1,027 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | ||||||||
3,153 | 3.750%, 09/30/15 | 3,406 | ||||||
4,275 | 5.250%, 05/15/14 | 4,593 | ||||||
PPG Industries, Inc., | ||||||||
410 | 1.900%, 01/15/16 | 422 | ||||||
5,994 | 5.750%, 03/15/13 | 6,155 | ||||||
Praxair, Inc., | ||||||||
2,240 | 2.125%, 06/14/13 | 2,267 | ||||||
1,920 | 3.950%, 06/01/13 | 1,967 | ||||||
830 | 4.625%, 03/30/15 | 913 | ||||||
3,390 | 5.375%, 11/01/16 | 3,982 | ||||||
|
| |||||||
55,250 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
975 | CRH America, Inc., 6.000%, 09/30/16 | 1,082 | ||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
4,679 | 1.125%, 11/21/14 | 4,733 | ||||||
1,710 | 1.625%, 02/24/17 | 1,744 | ||||||
1,795 | 1.875%, 11/21/16 | 1,864 | ||||||
1,900 | 4.800%, 04/15/13 | 1,952 | ||||||
950 | 6.750%, 11/01/13 | 1,019 | ||||||
4,120 | 8.500%, 12/01/12 | 4,199 | ||||||
Freeport-McMoRan Copper & Gold, Inc., | ||||||||
5,245 | 1.400%, 02/13/15 | 5,267 | ||||||
2,417 | 2.150%, 03/01/17 | 2,439 | ||||||
Nucor Corp., | ||||||||
635 | 4.875%, 10/01/12 | 637 | ||||||
650 | 5.000%, 06/01/13 | 671 | ||||||
4,850 | Rio Tinto Alcan, Inc., (Canada), 5.000%, 06/01/15 | 5,352 | ||||||
Rio Tinto Finance USA Ltd., (Australia), | ||||||||
1,160 | 1.875%, 11/02/15 | 1,195 | ||||||
897 | 2.250%, 09/20/16 | 935 | ||||||
8,900 | 8.950%, 05/01/14 | 10,078 | ||||||
|
| |||||||
42,085 | ||||||||
|
| |||||||
Total Materials | 98,417 | |||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
AT&T, Inc., | ||||||||
1,260 | 0.875%, 02/13/15 | 1,270 | ||||||
596 | 1.600%, 02/15/17 | 611 | ||||||
1,875 | 4.850%, 02/15/14 | 1,987 | ||||||
4,772 | 5.100%, 09/15/14 | 5,199 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 235 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
BellSouth Corp., | ||||||||
7,126 | 5.200%, 09/15/14 | 7,755 | ||||||
2,270 | 5.200%, 12/15/16 | 2,633 | ||||||
British Telecommunications plc, (United Kingdom), | ||||||||
694 | 2.000%, 06/22/15 | 710 | ||||||
4,050 | 5.150%, 01/15/13 | 4,116 | ||||||
Deutsche Telekom International Finance B.V., (Netherlands), | ||||||||
2,015 | 2.250%, 03/06/17 (e) | 2,060 | ||||||
3,380 | 4.875%, 07/08/14 | 3,584 | ||||||
1,000 | 5.750%, 03/23/16 | 1,138 | ||||||
550 | 5.875%, 08/20/13 | 576 | ||||||
8,745 | France Telecom S.A., (France), 4.375%, 07/08/14 | 9,244 | ||||||
1,533 | Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17 | 1,550 | ||||||
Telecom Italia Capital S.A., (Luxembourg), | ||||||||
1,700 | 4.950%, 09/30/14 | 1,726 | ||||||
1,450 | 6.175%, 06/18/14 | 1,493 | ||||||
Telefonica Emisiones S.A.U., (Spain), | ||||||||
500 | 3.729%, 04/27/15 | 486 | ||||||
1,121 | 3.992%, 02/16/16 | 1,079 | ||||||
1,280 | 4.949%, 01/15/15 | 1,290 | ||||||
3,040 | 5.855%, 02/04/13 | 3,078 | ||||||
Verizon Communications, Inc., | ||||||||
2,340 | 1.250%, 11/03/14 | 2,378 | ||||||
5,488 | 2.000%, 11/01/16 | 5,741 | ||||||
1,320 | 5.250%, 04/15/13 | 1,359 | ||||||
15,000 | 5.550%, 02/15/16 | 17,388 | ||||||
3,482 | Verizon Global Funding Corp., 4.375%, 06/01/13 | 3,583 | ||||||
|
| |||||||
82,034 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
3,170 | Alltel Corp., 7.000%, 03/15/16 | 3,787 | ||||||
15,094 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 16,093 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
4,340 | 1.625%, 03/20/17 | 4,424 | ||||||
4,075 | 4.150%, 06/10/14 | 4,322 | ||||||
1,396 | 5.625%, 02/27/17 | 1,655 | ||||||
|
| |||||||
30,281 | ||||||||
|
| |||||||
Total Telecommunication Services | 112,315 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 1.2% |
| |||||||
Electric Utilities — 0.8% |
| |||||||
555 | AEP Texas North Co., 5.500%, 03/01/13 | 568 | ||||||
490 | Alabama Power Co., 4.850%, 12/15/12 | 496 | ||||||
2,160 | Arizona Public Service Co., 6.250%, 08/01/16 | 2,546 | ||||||
700 | CenterPoint Energy Houston Electric LLC, 5.700%, 03/15/13 | 719 | ||||||
Commonwealth Edison Co., | ||||||||
1,424 | 1.625%, 01/15/14 | 1,444 | ||||||
415 | 1.950%, 09/01/16 | 430 | ||||||
Consolidated Edison Co. of New York, Inc., | ||||||||
2,000 | 3.850%, 06/15/13 | 2,053 | ||||||
2,725 | 5.500%, 09/15/16 | 3,180 | ||||||
1,645 | Duke Energy Carolinas LLC, 5.750%, 11/15/13 | 1,748 | ||||||
Duke Energy Corp., | ||||||||
1,565 | 3.350%, 04/01/15 | 1,654 | ||||||
1,520 | 3.950%, 09/15/14 | 1,614 | ||||||
5,085 | 5.650%, 06/15/13 | 5,285 | ||||||
2,133 | 6.300%, 02/01/14 | 2,295 | ||||||
537 | Duke Energy Ohio, Inc., 2.100%, 06/15/13 | 544 | ||||||
1,019 | Entergy Corp., 3.625%, 09/15/15 | 1,065 | ||||||
935 | Entergy Louisiana LLC, 1.875%, 12/15/14 | 960 | ||||||
1,000 | Exelon Corp., 4.900%, 06/15/15 | 1,095 | ||||||
1,539 | Exelon Generation Co. LLC, 5.350%, 01/15/14 | 1,627 | ||||||
2,075 | Florida Power Corp., 4.800%, 03/01/13 | 2,119 | ||||||
4,803 | Georgia Power Co., 6.000%, 11/01/13 | 5,102 | ||||||
817 | LG&E and KU Energy LLC, 2.125%, 11/15/15 | 825 | ||||||
2,800 | MidAmerican Energy Co., 4.650%, 10/01/14 | 3,013 | ||||||
1,567 | Midamerican Energy Holdings Co., 5.875%, 10/01/12 | 1,574 | ||||||
2,745 | Nevada Power Co., 5.875%, 01/15/15 | 3,057 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
1,239 | 5.350%, 06/15/13 | 1,282 | ||||||
3,385 | 7.875%, 12/15/15 | 4,061 | ||||||
5,935 | Nisource Finance Corp., 6.150%, 03/01/13 | 6,094 | ||||||
Ohio Power Co., | ||||||||
3,230 | 5.750%, 09/01/13 | 3,381 | ||||||
530 | 6.000%, 06/01/16 | 619 | ||||||
1,650 | Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15 | 1,828 | ||||||
3,195 | Pacific Gas & Electric Co., 4.800%, 03/01/14 | 3,389 | ||||||
750 | PacifiCorp, 4.950%, 08/15/14 | 809 | ||||||
2,076 | Peco Energy Co., 5.000%, 10/01/14 | 2,269 | ||||||
550 | Potomac Electric Power Co., 4.950%, 11/15/13 | 576 |
SEE NOTES TO FINANCIAL STATEMENTS.
236 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
610 | PPL Energy Supply LLC, 6.200%, 05/15/16 | 692 | ||||||
Progress Energy, Inc., | ||||||||
370 | 5.625%, 01/15/16 | 423 | ||||||
295 | 6.050%, 03/15/14 | 317 | ||||||
PSEG Power LLC, | ||||||||
1,683 | 2.500%, 04/15/13 | 1,703 | ||||||
960 | 2.750%, 09/15/16 | 1,001 | ||||||
Public Service Electric & Gas Co., | ||||||||
1,150 | 2.700%, 05/01/15 | 1,211 | ||||||
1,200 | 5.000%, 08/15/14 | 1,303 | ||||||
Sierra Pacific Power Co., | ||||||||
890 | 5.450%, 09/01/13 | 928 | ||||||
2,455 | Series M, 6.000%, 05/15/16 | 2,871 | ||||||
745 | Southern California Edison Co., 4.150%, 09/15/14 | 796 | ||||||
Southern Co. (The), | ||||||||
560 | 1.950%, 09/01/16 | 578 | ||||||
2,952 | 4.150%, 05/15/14 | 3,121 | ||||||
Spectra Energy Capital LLC, | ||||||||
4,155 | 5.668%, 08/15/14 | 4,479 | ||||||
1,544 | 6.250%, 02/15/13 | 1,581 | ||||||
Virginia Electric and Power Co., | ||||||||
1,000 | 4.750%, 03/01/13 | 1,021 | ||||||
4,460 | 5.100%, 11/30/12 | 4,509 | ||||||
|
| |||||||
95,855 | ||||||||
|
| |||||||
Gas Utilities — 0.3% |
| |||||||
AGL Capital Corp., | ||||||||
2,310 | 4.450%, 04/15/13 | 2,359 | ||||||
1,000 | 4.950%, 01/15/15 | 1,082 | ||||||
1,320 | 6.375%, 07/15/16 | 1,539 | ||||||
6,038 | Atmos Energy Corp., 4.950%, 10/15/14 | 6,537 | ||||||
CenterPoint Energy Resources Corp., | ||||||||
1,000 | 5.950%, 01/15/14 | 1,063 | ||||||
1,300 | 6.150%, 05/01/16 | 1,505 | ||||||
2,270 | 7.875%, 04/01/13 | 2,360 | ||||||
2,000 | Consolidated Natural Gas Co., 5.000%, 03/01/14 | 2,112 | ||||||
668 | Southern California Gas Co., 5.500%, 03/15/14 | 717 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
400 | 3.400%, 06/01/15 | 429 | ||||||
10,025 | 4.000%, 06/15/13 | 10,297 | ||||||
249 | 7.690%, 06/30/16 | 302 | ||||||
|
| |||||||
30,302 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 0.1% |
| |||||||
1,515 | PG&E Corp., 5.750%, 04/01/14 | 1,626 | ||||||
Sempra Energy, | ||||||||
1,210 | 2.000%, 03/15/14 | 1,231 | ||||||
1,250 | 6.500%, 06/01/16 | 1,490 | ||||||
6,010 | 8.900%, 11/15/13 | 6,573 | ||||||
Wisconsin Electric Power Co., | ||||||||
1,815 | 6.000%, 04/01/14 | 1,972 | ||||||
650 | 6.250%, 12/01/15 | 761 | ||||||
|
| |||||||
13,653 | ||||||||
|
| |||||||
Total Utilities | 139,810 | |||||||
|
| |||||||
Total Corporate Bonds | 2,136,809 | |||||||
|
| |||||||
| Foreign Government Securities — 0.5% |
| ||||||
29,787 | Egypt Government AID Bonds, (Egypt), 4.450%, 09/15/15 | 33,366 | ||||||
247 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 250 | ||||||
Province of Ontario, (Canada), | ||||||||
2,515 | 0.950%, 05/26/15 | 2,543 | ||||||
1,370 | 2.300%, 05/10/16 | 1,445 | ||||||
8,655 | 2.700%, 06/16/15 | 9,164 | ||||||
6,530 | 2.950%, 02/05/15 | 6,910 | ||||||
1,250 | 4.100%, 06/16/14 | 1,332 | ||||||
3,420 | United Mexican States, (Mexico), 6.375%, 01/16/13 | 3,479 | ||||||
|
| |||||||
Total Foreign Government Securities | 58,489 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 7.4% |
| ||||||
Federal Home Loan Mortgage Corp., | ||||||||
89 | ARM, 2.168%, 01/01/27 | 95 | ||||||
2,729 | ARM, 2.323%, 05/01/37 | 2,907 | ||||||
2,137 | ARM, 2.324%, 03/01/37 | 2,280 | ||||||
121 | ARM, 2.327%, 12/01/27 | 129 | ||||||
2,358 | ARM, 2.393%, 12/01/36 | 2,512 | ||||||
4,269 | ARM, 2.435%, 10/01/36 | 4,576 | ||||||
1,861 | ARM, 2.480%, 08/01/36 | 1,989 | ||||||
1,631 | ARM, 2.499%, 11/01/36 | 1,747 | ||||||
1,175 | ARM, 2.511%, 12/01/36 | 1,258 | ||||||
602 | ARM, 2.521%, 06/01/36 | 645 | ||||||
1,741 | ARM, 2.608%, 08/01/36 | 1,877 | ||||||
1,184 | ARM, 2.672%, 03/01/37 | 1,271 | ||||||
1,459 | ARM, 2.675%, 03/01/35 - 04/01/37 | 1,562 | ||||||
2,663 | ARM, 2.681%, 01/01/37 | 2,816 | ||||||
5 | ARM, 2.768%, 12/01/17 | 5 | ||||||
5,697 | ARM, 2.842%, 03/01/35 | 6,096 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 237 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
431 | ARM, 2.876%, 07/01/36 | 463 | ||||||
4,506 | ARM, 2.901%, 10/01/35 | 4,810 | ||||||
280 | ARM, 2.908%, 04/01/37 | 301 | ||||||
5,157 | ARM, 2.980%, 06/01/37 | 5,577 | ||||||
9,720 | ARM, 2.986%, 06/01/37 | 10,450 | ||||||
3,687 | ARM, 3.159%, 03/01/36 | 3,950 | ||||||
1,410 | ARM, 3.259%, 03/01/37 | 1,522 | ||||||
1,176 | ARM, 3.271%, 02/01/37 | 1,261 | ||||||
559 | ARM, 3.393%, 08/01/37 | 585 | ||||||
7,507 | ARM, 3.442%, 03/01/36 | 8,135 | ||||||
2,726 | ARM, 3.498%, 01/01/38 | 2,930 | ||||||
3,263 | ARM, 3.504%, 04/01/38 | 3,509 | ||||||
568 | ARM, 4.140%, 08/01/37 | 590 | ||||||
1,906 | ARM, 5.250%, 08/01/37 | 2,037 | ||||||
969 | ARM, 5.316%, 10/01/37 | 1,036 | ||||||
5 | ARM, 6.071%, 01/01/27 | 5 | ||||||
449 | ARM, 6.145%, 08/01/36 | 485 | ||||||
562 | ARM, 6.437%, 02/01/37 | 611 | ||||||
1,061 | ARM, 6.464%, 11/01/37 | 1,159 | ||||||
1,081 | ARM, 6.470%, 12/01/36 | 1,174 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
3,853 | 4.000%, 07/01/18 - 07/01/19 | 4,136 | ||||||
1,487 | 4.500%, 04/01/16 - 10/01/18 | 1,607 | ||||||
21,654 | 5.000%, 03/01/18 - 01/01/21 | 23,533 | ||||||
46,413 | 5.500%, 11/01/12 - 01/01/24 | 50,738 | ||||||
17,429 | 6.000%, 08/01/16 - 12/01/23 | 18,476 | ||||||
18,377 | 6.500%, 07/01/14 - 08/01/21 | 19,742 | ||||||
9,048 | 7.000%, 03/01/15 - 03/01/17 | 9,640 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | ||||||||
2,284 | 6.000%, 01/01/19 - 10/01/24 | 2,507 | ||||||
7,410 | 6.500%, 08/01/18 - 03/01/26 | 8,300 | ||||||
18 | 7.000%, 03/01/14 | 19 | ||||||
157 | 7.500%, 10/01/16 - 07/01/18 | 171 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | ||||||||
37,743 | 5.500%, 03/01/34 - 07/01/37 | 41,778 | ||||||
536 | 6.000%, 07/01/32 | 598 | ||||||
1,534 | 7.000%, 08/01/38 | 1,754 | ||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | ||||||||
15,912 | 7.500%, 12/01/36 | 18,585 | ||||||
5,693 | 10.000%, 10/01/30 | 6,765 | ||||||
388 | Federal Home Loan Mortgage Corp. Gold Pools, Other, 6.000%, 09/01/17 | 417 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | ||||||||
43 | 8.000%, 04/01/17 - 05/01/19 | 47 | ||||||
9 | 8.250%, 08/01/17 | 9 | ||||||
Federal National Mortgage Association, | ||||||||
3,214 | ARM, 1.706%, 08/01/37 | 3,460 | ||||||
42 | ARM, 1.875%, 03/01/19 | 43 | ||||||
1,457 | ARM, 1.989%, 04/01/37 | 1,536 | ||||||
2,566 | ARM, 2.071%, 07/01/37 | 2,760 | ||||||
123 | ARM, 2.213%, 04/01/36 | 131 | ||||||
2,070 | ARM, 2.215%, 02/01/37 | 2,197 | ||||||
3,277 | ARM, 2.217%, 01/01/37 | 3,483 | ||||||
22 | ARM, 2.240%, 06/01/27 | 24 | ||||||
1,880 | ARM, 2.242%, 08/01/36 | 2,016 | ||||||
302 | ARM, 2.273%, 01/01/35 | 322 | ||||||
668 | ARM, 2.323%, 10/01/36 | 714 | ||||||
14 | ARM, 2.325%, 05/01/25 | 14 | ||||||
1 | ARM, 2.345%, 10/01/27 | 1 | ||||||
429 | ARM, 2.419%, 07/01/37 | 448 | ||||||
50 | ARM, 2.429%, 07/01/37 | 54 | ||||||
25 | ARM, 2.451%, 01/01/19 | 25 | ||||||
621 | ARM, 2.455%, 05/01/36 | 664 | ||||||
28 | ARM, 2.457%, 07/01/27 | 29 | ||||||
831 | ARM, 2.466%, 10/01/36 | 889 | ||||||
218 | ARM, 2.468%, 12/01/36 | 233 | ||||||
1,619 | ARM, 2.529%, 09/01/34 | 1,725 | ||||||
3,969 | ARM, 2.553%, 12/01/36 | 4,260 | ||||||
1,034 | ARM, 2.562%, 12/01/35 | 1,104 | ||||||
453 | ARM, 2.593%, 01/01/37 | 485 | ||||||
482 | ARM, 2.647%, 12/01/36 | 517 | ||||||
10 | ARM, 2.723%, 10/01/25 | 11 | ||||||
817 | ARM, 2.729%, 07/01/36 | 878 | ||||||
5 | ARM, 2.749%, 08/01/19 | 5 | ||||||
3,486 | ARM, 2.798%, 03/01/37 | 3,738 | ||||||
909 | ARM, 2.827%, 04/01/37 | 975 | ||||||
427 | ARM, 2.831%, 08/01/36 | 457 | ||||||
599 | ARM, 2.899%, 12/01/36 | 643 | ||||||
1,719 | ARM, 2.919%, 08/01/36 | 1,841 | ||||||
2,114 | ARM, 2.987%, 11/01/37 | 2,267 | ||||||
1,817 | ARM, 3.011%, 08/01/36 | 1,947 | ||||||
4,047 | ARM, 3.215%, 03/01/36 | 4,330 | ||||||
23 | ARM, 3.250%, 11/01/16 | 23 | ||||||
6,227 | ARM, 3.413%, 03/01/36 | 6,660 | ||||||
7,473 | ARM, 3.418%, 03/01/36 | 8,014 | ||||||
4,728 | ARM, 3.487%, 10/01/35 | 5,082 | ||||||
2,848 | ARM, 3.539%, 11/01/37 | 3,054 |
SEE NOTES TO FINANCIAL STATEMENTS.
238 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Mortgage Pass-Through Securities — Continued |
| ||||||
6 | ARM, 3.752%, 08/01/17 | 6 | ||||||
62 | ARM, 3.844%, 08/01/37 | 67 | ||||||
108 | ARM, 5.512%, 06/01/36 | 116 | ||||||
3,949 | ARM, 5.625%, 01/01/23 | 4,331 | ||||||
1,675 | ARM, 5.705%, 12/01/37 | 1,801 | ||||||
626 | ARM, 5.770%, 03/01/47 | 677 | ||||||
2,265 | ARM, 5.822%, 11/01/37 | 2,419 | ||||||
41 | ARM, 5.987%, 08/01/36 | 44 | ||||||
906 | ARM, 6.151%, 04/01/38 | 975 | ||||||
Federal National Mortgage Association, 15 Year, Single Family, | ||||||||
4,479 | 4.000%, 07/01/18 - 01/01/19 | 4,857 | ||||||
7,198 | 4.500%, 05/01/18 - 05/01/19 | 7,804 | ||||||
42,408 | 5.000%, 12/01/13 - 02/01/23 | 46,199 | ||||||
64,351 | 5.500%, 01/01/18 - 01/01/25 | 70,350 | ||||||
49,469 | 6.000%, 06/01/13 - 07/01/24 | 53,722 | ||||||
29,342 | 6.500%, 09/01/13 - 03/01/23 | 31,672 | ||||||
6,145 | 7.000%, 03/01/15 - 01/01/18 | 6,526 | ||||||
28 | 7.500%, 05/01/15 | 29 | ||||||
330 | 8.000%, 11/01/15 - 10/01/16 | 354 | ||||||
Federal National Mortgage Association, 20 Year, Single Family, | ||||||||
2,781 | 5.500%, 05/01/27 | 3,056 | ||||||
3,412 | 6.000%, 03/01/18 - 04/01/24 | 3,776 | ||||||
5,046 | 6.500%, 01/01/14 - 03/01/25 | 5,682 | ||||||
1,467 | 7.000%, 08/01/20 - 08/01/21 | 1,653 | ||||||
12 | 7.500%, 11/01/13 - 06/01/16 | 12 | ||||||
37 | 8.000%, 07/01/14 - 11/01/15 | 39 | ||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | ||||||||
247 | 5.500%, 08/01/34 | 273 | ||||||
44 | 6.000%, 07/01/17 | 47 | ||||||
16 | 8.500%, 03/01/27 | 16 | ||||||
Federal National Mortgage Association, 30 Year, Single Family, | ||||||||
82,347 | 5.500%, 12/01/32 - 09/01/38 | 91,267 | ||||||
49,631 | 6.000%, 04/01/35 - 01/01/38 | 55,730 | ||||||
43,947 | 6.500%, 03/01/26 - 10/01/38 | 50,066 | ||||||
16,012 | 7.000%, 04/01/37 - 08/01/37 | 18,501 | ||||||
143 | 8.000%, 12/01/30 | 172 | ||||||
12 | 8.500%, 09/01/21 | 14 | ||||||
96 | 9.000%, 02/01/31 | 122 | ||||||
29 | 9.500%, 07/01/28 | 33 | ||||||
11 | 10.000%, 02/01/24 | 12 | ||||||
Federal National Mortgage Association, Other, | ||||||||
733 | 4.000%, 07/01/13 - 07/01/17 | 784 | ||||||
823 | 4.500%, 11/01/13 - 12/01/19 | 869 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
697 | 5.000%, 01/01/14 - 05/01/14 | 714 | ||||||
1,870 | 5.500%, 06/01/16 - 09/01/17 | 2,034 | ||||||
1,162 | 6.000%, 09/01/17 | 1,227 | ||||||
Government National Mortgage Association II, | ||||||||
211 | ARM, 1.625%, 07/20/21 - 01/20/28 | 220 | ||||||
94 | ARM, 2.000%, 08/20/16 - 09/20/22 | 98 | ||||||
16 | ARM, 2.500%, 12/20/17 - 05/20/21 | 17 | ||||||
47 | ARM, 3.000%, 01/20/16 - 05/20/20 | 49 | ||||||
8 | ARM, 3.500%, 10/20/17 - 12/20/17 | 8 | ||||||
19 | ARM, 4.000%, 11/20/15 - 08/20/18 | 20 | ||||||
Government National Mortgage Association II, 30 Year, Single Family, | ||||||||
14,376 | 6.000%, 09/20/38 | 16,214 | ||||||
22,761 | 7.000%, 08/20/38 - 09/20/38 | 26,326 | ||||||
21 | 7.500%, 09/20/28 | 25 | ||||||
46 | 8.000%, 09/20/26 - 12/20/27 | 58 | ||||||
58 | 8.500%, 03/20/25 - 04/20/25 | 71 | ||||||
Government National Mortgage Association, 15 Year, Single Family, | ||||||||
5 | 6.000%, 04/15/14 | 5 | ||||||
4,530 | 6.500%, 10/15/23 | 5,041 | ||||||
Government National Mortgage Association, 30 Year, Single Family, | ||||||||
8,261 | 6.500%, 09/15/38 | 9,523 | ||||||
17 | 8.500%, 04/15/25 | 19 | ||||||
10 | 9.000%, 09/15/24 - 10/15/26 | 13 | ||||||
373 | 9.500%, 07/15/20 - 12/15/25 | 415 | ||||||
14 | 12.000%, 11/15/19 | 15 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 884,421 | |||||||
|
| |||||||
| Supranational — 0.0% (g) |
| ||||||
881 | Corp. Andina de Fomento, 3.750%, 01/15/16 (Cost $887) | 922 | ||||||
|
| |||||||
| U.S. Government Agency Securities — 19.3% |
| ||||||
Federal Farm Credit Banks, | ||||||||
26,150 | 1.875%, 12/07/12 | 26,266 | ||||||
4,000 | 2.200%, 04/08/13 | 4,048 | ||||||
36,025 | 2.350%, 09/23/13 | 36,830 | ||||||
25,000 | 2.500%, 03/26/13 | 25,323 | ||||||
10,000 | 2.600%, 03/04/13 | 10,121 | ||||||
8,000 | 2.625%, 04/17/14 | 8,304 | ||||||
2,769 | 2.700%, 08/19/13 | 2,832 | ||||||
1,580 | 3.000%, 02/12/14 | 1,643 | ||||||
5,000 | 3.000%, 09/22/14 | 5,279 | ||||||
16,493 | 3.875%, 01/10/13 | 16,705 | ||||||
2,000 | 5.100%, 09/18/12 | 2,005 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 239 |
Table of Contents
JPMorgan Short Duration Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — Continued |
| ||||||
1,400 | 5.250%, 08/21/13 | 1,468 | ||||||
5,000 | 5.450%, 12/11/13 | 5,330 | ||||||
Federal Home Loan Bank, | ||||||||
5,600 | 1.375%, 05/28/14 | 5,715 | ||||||
34,125 | 1.625%, 06/14/13 | 34,500 | ||||||
30,785 | 1.750%, 12/14/12 | 30,918 | ||||||
85,000 | 1.875%, 06/21/13 | 86,133 | ||||||
25,865 | 2.375%, 03/14/14 | 26,701 | ||||||
15,085 | 2.500%, 06/13/14 | 15,680 | ||||||
74,350 | 2.625%, 09/13/13 | 76,185 | ||||||
13,730 | 2.750%, 12/12/14 | 14,491 | ||||||
36,830 | 2.750%, 03/13/15 | 39,038 | ||||||
18,800 | 3.000%, 06/24/13 | 19,222 | ||||||
10,000 | 3.050%, 06/28/13 | 10,219 | ||||||
2,980 | 3.125%, 03/08/13 | 3,025 | ||||||
153,715 | 3.125%, 12/13/13 | 159,371 | ||||||
21,685 | 3.125%, 03/11/16 | 23,665 | ||||||
16,230 | 3.500%, 03/08/13 | 16,505 | ||||||
18,825 | 3.875%, 03/08/13 | 19,180 | ||||||
15,895 | 4.250%, 06/14/13 | 16,394 | ||||||
5,000 | 4.875%, 12/14/12 | 5,065 | ||||||
10,000 | 4.875%, 11/27/13 | 10,572 | ||||||
44,470 | 4.875%, 12/13/13 | 47,097 | ||||||
24,980 | 5.000%, 03/14/14 | 26,747 | ||||||
20,025 | 5.250%, 09/13/13 | 21,051 | ||||||
17,575 | 5.375%, 06/14/13 | 18,280 | ||||||
29,755 | 5.375%, 06/13/14 | 32,430 | ||||||
6,670 | 7.000%, 08/15/14 | 7,530 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
2,975 | 0.350%, 12/05/14 | 2,976 | ||||||
57,900 | 0.500%, 10/15/13 | 58,080 | ||||||
30,000 | 0.750%, 12/28/12 | 30,058 | ||||||
30,000 | 1.000%, 07/30/14 | 30,399 | ||||||
50,100 | 1.000%, 08/20/14 | 50,740 | ||||||
50,000 | 1.000%, 08/27/14 | 50,732 | ||||||
25,100 | 1.350%, 04/29/14 | 25,547 | ||||||
10,000 | 1.750%, 09/10/15 | 10,409 | ||||||
65,200 | 2.000%, 08/25/16 | 68,866 | ||||||
45,000 | 2.500%, 05/27/16 | 48,239 | ||||||
11,038 | 4.000%, 06/12/13 | 11,361 | ||||||
25,000 | 4.125%, 12/21/12 | 25,294 | ||||||
15,000 | 4.500%, 01/15/13 | 15,238 | ||||||
25,000 | 4.500%, 01/15/14 | 26,442 | ||||||
15,960 | 4.500%, 04/02/14 | 17,004 | ||||||
75,196 | 5.000%, 01/30/14 | 80,212 | ||||||
65,505 | 5.000%, 07/15/14 | 71,230 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
20,000 | 5.250%, 04/18/16 | 23,413 | ||||||
Federal National Mortgage Association, | ||||||||
5,700 | Zero Coupon, 07/05/14 | 5,619 | ||||||
30,000 | 0.375%, 03/16/15 | 30,017 | ||||||
25,000 | 0.500%, 08/09/13 | 25,067 | ||||||
28,000 | 0.500%, 05/27/15 | 28,096 | ||||||
7,100 | 1.125%, 10/08/13 | 7,170 | ||||||
70,000 | 1.125%, 04/27/17 | 71,356 | ||||||
20,000 | 1.250%, 09/28/16 | 20,564 | ||||||
5,000 | 1.250%, 01/30/17 | 5,138 | ||||||
36,200 | 1.375%, 11/15/16 | 37,349 | ||||||
20,000 | 1.625%, 10/26/15 | 20,809 | ||||||
35,000 | 1.750%, 02/22/13 | 35,258 | ||||||
22,000 | 2.250%, 03/15/16 | 23,333 | ||||||
5,000 | 2.500%, 05/15/14 | 5,189 | ||||||
25,000 | 3.625%, 02/12/13 | 25,378 | ||||||
3,245 | 4.000%, 03/27/13 | 3,314 | ||||||
11,310 | 4.000%, 04/15/13 | 11,573 | ||||||
6,135 | 4.050%, 04/18/13 | 6,281 | ||||||
5,000 | 4.125%, 04/29/13 | 5,128 | ||||||
7,892 | 4.125%, 07/11/13 | 8,154 | ||||||
17,000 | 4.375%, 03/15/13 | 17,377 | ||||||
107,600 | 4.375%, 07/17/13 | 111,452 | ||||||
40,000 | 4.625%, 10/15/13 | 41,964 | ||||||
75,750 | 4.750%, 11/19/12 | 76,477 | ||||||
87,497 | 4.750%, 02/21/13 | 89,338 | ||||||
10,000 | 5.000%, 04/15/15 | 11,204 | ||||||
3,315 | 5.000%, 03/15/16 | 3,837 | ||||||
6,000 | 6.260%, 11/26/12 | 6,083 | ||||||
11,200 | Federal National Mortgage Association STRIPS, 07/15/16 | 10,800 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 2,301,433 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 31.9% |
| ||||||
U.S. Treasury Notes, | ||||||||
25,000 | 0.125%, 12/31/13 | 24,973 | ||||||
10,000 | 0.250%, 11/30/13 | 10,006 | ||||||
5,000 | 0.250%, 02/28/14 | 5,003 | ||||||
30,000 | 0.250%, 03/31/14 | 30,013 | ||||||
45,000 | 0.250%, 09/15/14 | 45,014 | ||||||
40,000 | 0.375%, 10/31/12 | 40,016 | ||||||
30,000 | 0.375%, 06/30/13 | 30,049 | ||||||
65,000 | 0.375%, 07/31/13 | 65,114 | ||||||
10,000 | 0.375%, 11/15/14 | 10,029 | ||||||
10,000 | 0.500%, 11/30/12 | 10,008 | ||||||
10,000 | 0.500%, 05/31/13 | 10,024 |
SEE NOTES TO FINANCIAL STATEMENTS.
240 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — Continued |
| ||||||
45,000 | 0.500%, 11/15/13 | 45,162 | ||||||
75,000 | 0.500%, 08/15/14 | 75,390 | ||||||
25,000 | 0.500%, 10/15/14 | 25,137 | ||||||
10,000 | 0.500%, 07/31/17 | 9,959 | ||||||
35,000 | 0.625%, 12/31/12 | 35,055 | ||||||
30,000 | 0.625%, 01/31/13 | 30,060 | ||||||
25,000 | 0.625%, 02/28/13 | 25,058 | ||||||
15,000 | 0.625%, 04/30/13 | 15,045 | ||||||
40,000 | 0.625%, 07/15/14 | 40,291 | ||||||
20,000 | 0.625%, 05/31/17 | 20,066 | ||||||
25,000 | 0.750%, 03/31/13 | 25,084 | ||||||
20,000 | 0.750%, 08/15/13 | 20,108 | ||||||
76,000 | 0.750%, 09/15/13 | 76,433 | ||||||
20,000 | 0.750%, 06/15/14 | 20,186 | ||||||
65,000 | 0.875%, 11/30/16 | 66,097 | ||||||
85,000 | 0.875%, 12/31/16 | 86,388 | ||||||
60,000 | 0.875%, 01/31/17 | 60,956 | ||||||
45,000 | 0.875%, 04/30/17 | 45,675 | ||||||
35,000 | 1.000%, 07/15/13 | 35,247 | ||||||
140,000 | 1.000%, 05/15/14 (m) | 141,832 | ||||||
100,000 | 1.000%, 08/31/16 (m) | 102,227 | ||||||
75,000 | 1.000%, 09/30/16 | 76,670 | ||||||
105,000 | 1.000%, 10/31/16 | 107,330 | ||||||
46,000 | 1.125%, 12/15/12 | 46,126 | ||||||
170,600 | 1.125%, 06/15/13 (m) | 171,859 | ||||||
170,000 | 1.250%, 02/15/14 (m) | 172,537 | ||||||
95,000 | 1.250%, 04/15/14 | 96,562 | ||||||
20,000 | 1.250%, 08/31/15 | 20,564 | ||||||
20,000 | 1.250%, 09/30/15 | 20,573 | ||||||
10,000 | 1.250%, 10/31/15 | 10,291 | ||||||
85,000 | 1.375%, 10/15/12 (m) | 85,125 | ||||||
104,680 | 1.375%, 11/15/12 | 104,938 | ||||||
15,000 | 1.375%, 01/15/13 | 15,067 | ||||||
30,000 | 1.375%, 02/15/13 | 30,164 | ||||||
72,000 | 1.375%, 03/15/13 | 72,461 | ||||||
30,000 | 1.375%, 05/15/13 | 30,250 | ||||||
10,000 | 1.375%, 11/30/15 | 10,335 | ||||||
40,000 | 1.500%, 06/30/16 | 41,650 | ||||||
96,620 | 1.500%, 07/31/16 (m) | 100,643 | ||||||
25,000 | 1.750%, 01/31/14 | 25,540 | ||||||
65,000 | 1.750%, 07/31/15 | 67,727 | ||||||
100,000 | 1.750%, 05/31/16 (m) | 105,000 | ||||||
75,000 | 1.875%, 02/28/14 | 76,846 | ||||||
30,750 | 1.875%, 04/30/14 | 31,588 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
20,000 | 1.875%, 06/30/15 | 20,894 | ||||||
20,000 | 2.000%, 01/31/16 | 21,117 | ||||||
40,000 | 2.000%, 04/30/16 | 42,350 | ||||||
25,000 | 2.125%, 12/31/15 | 26,469 | ||||||
75,000 | 2.125%, 02/29/16 | 79,600 | ||||||
25,000 | 2.250%, 05/31/14 | 25,877 | ||||||
30,250 | 2.250%, 01/31/15 | 31,694 | ||||||
40,000 | 2.375%, 10/31/14 | 41,828 | ||||||
50,000 | 2.375%, 03/31/16 | 53,539 | ||||||
35,000 | 2.375%, 07/31/17 | 38,010 | ||||||
101,000 | 2.500%, 03/31/15 (m) | 106,807 | ||||||
15,000 | 2.500%, 04/30/15 | 15,886 | ||||||
10,000 | 2.500%, 06/30/17 | 10,910 | ||||||
30,000 | 2.625%, 07/31/14 | 31,364 | ||||||
5,000 | 2.750%, 11/30/16 | 5,476 | ||||||
4,300 | 3.125%, 09/30/13 | 4,434 | ||||||
15,000 | 3.125%, 10/31/16 | 16,645 | ||||||
47,000 | 3.125%, 04/30/17 | 52,563 | ||||||
35,000 | 3.250%, 12/31/16 | 39,126 | ||||||
55,000 | 3.375%, 11/30/12 | 55,421 | ||||||
55,000 | 4.000%, 02/15/15 | 60,006 | ||||||
30,000 | 4.125%, 05/15/15 | 33,089 | ||||||
10,000 | 4.250%, 09/30/12 | 10,033 | ||||||
30,000 | 4.250%, 08/15/14 | 32,333 | ||||||
65,000 | 4.250%, 08/15/15 | 72,500 | ||||||
35,000 | 4.500%, 11/15/15 | 39,632 | ||||||
25,000 | 4.500%, 02/15/16 | 28,549 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 3,797,703 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 1.4% |
| ||||||
Investment Company — 1.4% |
| |||||||
161,975 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000% (b) (l) | 161,975 | ||||||
|
| |||||||
Total Investments — 99.6% | 11,873,681 | |||||||
Other Assets in Excess of | 42,545 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 11,916,226 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 241 |
Table of Contents
JPMorgan Short Term Bond Fund II
(in liquidation)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Asset-Backed Securities — 5.9% |
| ||||||
Ally Auto Receivables Trust, | ||||||||
66 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 66 | ||||||
89 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 90 | ||||||
137 | Series 2011-3, Class A3, 0.970%, 08/17/15 | 138 | ||||||
126 | Series 2011-4, Class A4, 1.140%, 06/15/16 | 127 | ||||||
49 | Series 2012-3, Class A4, 1.060%, 02/15/17 | 50 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
151 | Series 2010-3, Class A3, 1.140%, 04/08/15 | 151 | ||||||
90 | Series 2011-3, Class A3, 1.170%, 01/08/16 | 91 | ||||||
71 | Series 2011-4, Class A3, 1.170%, 05/09/16 | 72 | ||||||
50 | Series 2012-3, Class A3, 0.960%, 01/09/17 | 50 | ||||||
44 | Bank of America Auto Trust, Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 44 | ||||||
CarMax Auto Owner Trust, | ||||||||
16 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 17 | ||||||
202 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 205 | ||||||
113 | Series 2011-2, Class A4, 1.350%, 02/15/17 | 115 | ||||||
Chrysler Financial Auto Securitization Trust, | ||||||||
4 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 4 | ||||||
63 | Series 2010-A, Class A3, 0.910%, 08/08/13 | 63 | ||||||
CNH Equipment Trust, | ||||||||
1 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 1 | ||||||
151 | Series 2011-A, Class A3, 1.200%, 05/16/16 | 152 | ||||||
103 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 | 103 | ||||||
76 | DT Auto Owner Trust, Series 2012-2A, Class A, 0.910%, 11/16/15 (e) | 76 | ||||||
100 | Ford Credit Auto Owner Trust, Series 2010-B, Class A4, 1.580%, 09/15/15 | 101 | ||||||
276 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.416%, 02/25/36 | 225 | ||||||
177 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.416%, 07/25/36 | 175 | ||||||
100 | Huntington Auto Trust, Series 2011-1A, Class A4, 1.310%, 11/15/16 (e) | 102 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
91 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 91 | ||||||
260 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 266 | ||||||
35 | John Deere Owner Trust, Series 2011-A, Class A3, 1.290%, 01/15/16 | 35 | ||||||
51 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 | 51 | ||||||
149 | RAMP Trust, Series 2006-EFC1, Class A2, VAR, 0.435%, 02/25/36 | 144 | ||||||
161 | RASC Trust, Series 2006-KS2, Class A3, VAR, 0.425%, 03/25/36 | 159 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
114 | Series 2010-1, Class A3, 1.840%, 11/17/14 | 115 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
23 | Series 2010-3, Class A3, 1.200%, 06/16/14 | 23 | ||||||
213 | Series 2010-B, Class A3, 1.310%, 02/17/14 (e) | 213 | ||||||
200 | Volkswagen Auto Loan Enhanced Trust, Series 2011-1, Class A4, 1.980%, 09/20/17 | 206 | ||||||
World Omni Auto Receivables Trust, | ||||||||
2 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 2 | ||||||
45 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 45 | ||||||
20 | World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3, 0.930%, 11/16/15 | 20 | ||||||
|
| |||||||
Total Asset-Backed Securities | 3,588 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations — 4.9% |
| ||||||
Agency CMO — 4.9% | ||||||||
Federal Home Loan Mortgage Corp. REMICS, | ||||||||
217 | Series 2594, Class QP, 4.000%, 03/15/33 | 231 | ||||||
160 | Series 2686, Class VP, 5.000%, 09/15/17 | 161 | ||||||
85 | Series 2989, Class TG, 5.000%, 06/15/25 | 93 | ||||||
200 | Series 3209, Class EG, 4.500%, 08/15/20 | 219 | ||||||
Federal National Mortgage Association REMICS, | ||||||||
59 | Series 2003-42, Class EP, 4.000%, 11/25/22 | 61 | ||||||
350 | Series 2003-92, Class PE, 4.500%, 09/25/18 | 376 | ||||||
143 | Series 2005-31, Class PA, 5.500%, 10/25/34 | 157 | ||||||
200 | Series 2005-48, Class MD, 5.000%, 04/25/34 | 214 | ||||||
65 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 68 | ||||||
200 | Series 2008-68, Class VN, 5.500%, 03/25/27 | 211 | ||||||
198 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 213 | ||||||
214 | Series 2010-64, Class EH, 5.000%, 10/25/35 | 224 | ||||||
Government National Mortgage Association, | ||||||||
4 | Series 2002-24, Class FA, VAR, 0.739%, | 4 | ||||||
44 | Series 2003-86, Class PE, 5.000%, 09/20/32 | 47 | ||||||
208 | Series 2003-105, Class VH, 4.500%, 01/16/28 | 215 | ||||||
227 | Series 2009-31, Class BV, 4.500%, 06/20/20 | 250 | ||||||
118 | Series 2009-67, Class GK, 4.500%, 01/16/37 | 126 | ||||||
71 | NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.400%, 12/08/20 | 73 | ||||||
|
| |||||||
2,943 | ||||||||
|
| |||||||
Non-Agency CMO — 0.0% (g) |
| |||||||
35 | MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.000%, 09/25/19 | 37 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 2,980 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities — 0.3% |
| ||||||
100 | Nomura Asset Securities Corp., Series 1998-D6, Class A4, VAR, 7.904%, 03/15/30 | 102 |
SEE NOTES TO FINANCIAL STATEMENTS.
242 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Commercial Mortgage-Backed Securities — Continued |
| ||||||
56 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C11, Class A5, VAR, 5.215%, 01/15/41 | 60 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $168) | 162 | |||||||
|
| |||||||
| Corporate Bonds — 19.6% |
| ||||||
Consumer Discretionary — 0.7% |
| |||||||
Auto Components — 0.1% |
| |||||||
65 | Johnson Controls, Inc., 4.875%, 09/15/13 | 68 | ||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
70 | Daimler Finance North America LLC, 6.500%, 11/15/13 | 75 | ||||||
|
| |||||||
Broadcasting & Cable TV — 0.1% |
| |||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., | ||||||||
24 | 3.125%, 02/15/16 | 25 | ||||||
45 | 3.500%, 03/01/16 | 48 | ||||||
|
| |||||||
73 | ||||||||
|
| |||||||
Internet Retail — 0.1% |
| |||||||
30 | eBay, Inc., 1.625%, 10/15/15 | 31 | ||||||
|
| |||||||
Media — 0.3% |
| |||||||
40 | Comcast Corp., 6.500%, 01/15/15 | 45 | ||||||
40 | Discovery Communications LLC, 3.700%, 06/01/15 | 43 | ||||||
50 | NBCUniversal Media LLC, 2.875%, 04/01/16 | 53 | ||||||
30 | Viacom, Inc., 6.250%, 04/30/16 | 35 | ||||||
|
| |||||||
176 | ||||||||
|
| |||||||
Specialty Retail — 0.0% (g) |
| |||||||
20 | Lowe’s Cos., Inc., 1.625%, 04/15/17 | 20 | ||||||
|
| |||||||
Total Consumer Discretionary | 443 | |||||||
|
| |||||||
Consumer Staples — 1.7% |
| |||||||
Beverages — 0.8% |
| |||||||
16 | Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14 | 16 | ||||||
Bottling Group LLC, | ||||||||
45 | 5.000%, 11/15/13 | 48 | ||||||
65 | 6.950%, 03/15/14 | 71 | ||||||
160 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 168 | ||||||
21 | Diageo Capital plc, (United Kingdom), 1.500%, 05/11/17 | 22 | ||||||
85 | PepsiCo, Inc., 3.750%, 03/01/14 | 89 | ||||||
50 | SABMiller plc, (United Kingdom), 5.700%, 01/15/14 (e) | 53 | ||||||
|
| |||||||
467 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 0.1% |
| |||||||
Kroger Co. (The), | ||||||||
20 | 3.900%, 10/01/15 | 22 | ||||||
20 | 7.500%, 01/15/14 | 22 | ||||||
45 | Wal-Mart Stores, Inc., 7.250%, 06/01/13 | 47 | ||||||
|
| |||||||
91 | ||||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 124 | ||||||
50 | Cargill, Inc., 4.375%, 06/01/13 (e) | 51 | ||||||
35 | General Mills, Inc., 5.250%, 08/15/13 | 37 | ||||||
Kellogg Co., | ||||||||
10 | 1.750%, 05/17/17 | 10 | ||||||
15 | 4.450%, 05/30/16 | 17 | ||||||
200 | Kraft Foods, Inc., 4.125%, 02/09/16 | 219 | ||||||
|
| |||||||
458 | ||||||||
|
| |||||||
Total Consumer Staples | 1,016 | |||||||
|
| |||||||
Energy — 0.8% |
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
8 | Cameron International Corp., 1.600%, 04/30/15 | 8 | ||||||
3 | Noble Holding International Ltd., (Cayman Islands), 2.500%, 03/15/17 | 3 | ||||||
20 | Transocean, Inc., (Cayman Islands), 5.050%, 12/15/16 | 22 | ||||||
|
| |||||||
33 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.7% |
| |||||||
15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 | 16 | ||||||
35 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 37 | ||||||
40 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 41 | ||||||
40 | Devon Energy Corp., 1.875%, 05/15/17 | 41 | ||||||
30 | PC Financial Partnership, 5.000%, 11/15/14 | 33 | ||||||
43 | Petrobras International Finance Co., (Cayman Islands), 3.500%, 02/06/17 | 45 | ||||||
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 | 37 | ||||||
100 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 107 | ||||||
29 | Total Capital S.A., (France), 3.000%, 06/24/15 | 31 | ||||||
|
| |||||||
434 | ||||||||
|
| |||||||
Total Energy | 467 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 243 |
Table of Contents
JPMorgan Short Term Bond Fund II
(in liquidation)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Financials — 11.2% |
| |||||||
Capital Markets — 2.2% |
| |||||||
200 | Bank of New York Mellon Corp. (The), 4.500%, 04/01/13 | 204 | ||||||
100 | BlackRock, Inc., 3.500%, 12/10/14 | 107 | ||||||
45 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 48 | ||||||
Credit Suisse USA, Inc., | ||||||||
200 | 4.875%, 01/15/15 | 216 | ||||||
50 | 5.125%, 08/15/15 | 55 | ||||||
85 | Jefferies Group, Inc., 3.875%, 11/09/15 | 85 | ||||||
Morgan Stanley, | ||||||||
100 | 5.375%, 10/15/15 | 105 | ||||||
280 | 6.750%, 10/15/13 | 294 | ||||||
15 | Nomura Holdings, Inc., (Japan), 4.125%, 01/19/16 | 16 | ||||||
60 | Northern Trust Corp., 5.500%, 08/15/13 | 63 | ||||||
135 | State Street Corp., 4.300%, 05/30/14 | 143 | ||||||
|
| |||||||
1,336 | ||||||||
|
| |||||||
Commercial Banks — 3.0% |
| |||||||
Bank of America Corp., | ||||||||
400 | 4.500%, 04/01/15 | 426 | ||||||
50 | 4.900%, 05/01/13 | 51 | ||||||
45 | Bank of Nova Scotia, (Canada), 3.400%, 01/22/15 | 48 | ||||||
110 | Barclays Bank plc, (United Kingdom), 5.200%, 07/10/14 | 116 | ||||||
240 | BB&T Corp., 5.200%, 12/23/15 | 267 | ||||||
20 | Canadian Imperial Bank of Commerce, (Canada), 2.350%, 12/11/15 | 21 | ||||||
Deutsche Bank AG, (Germany), | ||||||||
175 | 3.875%, 08/18/14 | 184 | ||||||
100 | 4.875%, 05/20/13 | 103 | ||||||
30 | Fifth Third Bancorp, 3.625%, 01/25/16 | 32 | ||||||
100 | National City Corp., 4.900%, 01/15/15 | 109 | ||||||
65 | SunTrust Banks, Inc., 3.600%, 04/15/16 | 69 | ||||||
250 | U.S. Bank N.A., 6.300%, 02/04/14 | 270 | ||||||
128 | Westpac Banking Corp., (Australia), 3.000%, 12/09/15 | 135 | ||||||
|
| |||||||
1,831 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
American Express Credit Corp., | ||||||||
65 | 5.125%, 08/25/14 | 71 | ||||||
65 | 5.875%, 05/02/13 | 67 | ||||||
Capital One Financial Corp., | ||||||||
70 | 3.150%, 07/15/16 | 74 | ||||||
20 | 7.375%, 05/23/14 | 22 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — Continued |
| |||||||
320 | HSBC Finance Corp., 5.000%, 06/30/15 | 344 | ||||||
John Deere Capital Corp., | ||||||||
21 | 0.875%, 04/17/15 | 21 | ||||||
200 | 5.250%, 10/01/12 | 201 | ||||||
Toyota Motor Credit Corp., | ||||||||
30 | 2.050%, 01/12/17 | 31 | ||||||
55 | 3.200%, 06/17/15 | 59 | ||||||
|
| |||||||
890 | ||||||||
|
| |||||||
Diversified Financial Services — 3.9% |
| |||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
57 | 1.846%, 05/05/17 | 58 | ||||||
80 | 3.625%, 05/08/14 | 84 | ||||||
Caterpillar Financial Services Corp., | ||||||||
150 | 4.900%, 08/15/13 | 156 | ||||||
50 | 6.125%, 02/17/14 | 54 | ||||||
Citigroup, Inc., | ||||||||
45 | 6.375%, 08/12/14 | 49 | ||||||
520 | 6.500%, 08/19/13 | 547 | ||||||
110 | CME Group, Inc., 5.400%, 08/01/13 | 115 | ||||||
20 | ERAC USA Finance LLC, 2.750%, 07/01/13 (e) | 20 | ||||||
General Electric Capital Corp., |
| |||||||
1,000 | 4.750%, 09/15/14 | 1,074 | ||||||
125 | 5.900%, 05/13/14 | 136 | ||||||
50 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 52 | ||||||
20 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 20 | ||||||
|
| |||||||
2,365 | ||||||||
|
| |||||||
Insurance — 0.4% |
| |||||||
50 | Allstate Corp. (The), 6.200%, 05/16/14 | 55 | ||||||
40 | CNA Financial Corp., 5.850%, 12/15/14 | 43 | ||||||
100 | Metropolitan Life Global Funding I, 2.000%, 01/10/14 (e) | 101 | ||||||
20 | Travelers Cos., Inc. (The), 6.250%, 06/20/16 | 24 | ||||||
|
| |||||||
223 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
35 | ERP Operating LP, 5.250%, 09/15/14 | 38 | ||||||
50 | HCP, Inc., 7.072%, 06/08/15 | 56 | ||||||
Simon Property Group LP, | ||||||||
13 | 4.200%, 02/01/15 | 14 | ||||||
15 | 6.100%, 05/01/16 | 17 | ||||||
|
| |||||||
125 | ||||||||
|
| |||||||
Total Financials | 6,770 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
244 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Health Care — 0.1% |
| |||||||
Biotechnology — 0.1% |
| |||||||
19 | Amgen, Inc., 2.300%, 06/15/16 | 20 | ||||||
|
| |||||||
Health Care Providers & Services — 0.0% (g) |
| |||||||
15 | Aetna, Inc., 1.750%, 05/15/17 | 15 | ||||||
|
| |||||||
Total Health Care | 35 | |||||||
|
| |||||||
Industrials — 0.9% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
150 | Boeing Co. (The), 5.125%, 02/15/13 | 153 | ||||||
100 | Honeywell International, Inc., 3.875%, 02/15/14 | 105 | ||||||
|
| |||||||
258 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0% (g) |
| |||||||
10 | Pitney Bowes, Inc., 4.875%, 08/15/14 | 10 | ||||||
|
| |||||||
Electrical Equipment — 0.0% (g) |
| |||||||
10 | ABB Finance USA, Inc., 1.625%, 05/08/17 | 10 | ||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
34 | Danaher Corp., 1.300%, 06/23/14 | 34 | ||||||
30 | Ingersoll-Rand Global Holding Co. Ltd., (Bermuda), 9.500%, 04/15/14 | 34 | ||||||
|
| |||||||
68 | ||||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
40 | PACCAR, Inc., 6.875%, 02/15/14 | 44 | ||||||
|
| |||||||
Road & Rail — 0.3% |
| |||||||
Canadian National Railway Co., (Canada), | ||||||||
20 | 4.400%, 03/15/13 | 20 | ||||||
30 | 4.950%, 01/15/14 | 32 | ||||||
15 | Norfolk Southern Corp., 7.700%, 05/15/17 | 19 | ||||||
70 | Union Pacific Corp., 5.450%, 01/31/13 | 72 | ||||||
|
| |||||||
143 | ||||||||
|
| |||||||
Total Industrials | 533 | |||||||
|
| |||||||
Information Technology — 1.6% |
| |||||||
Communications Equipment — 0.1% |
| |||||||
50 | Cisco Systems, Inc., 5.500%, 02/22/16 | 58 | ||||||
|
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
59 | Dell, Inc., 3.100%, 04/01/16 | 63 | ||||||
120 | Hewlett-Packard Co., 6.125%, 03/01/14 | 128 | ||||||
|
| |||||||
191 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Arrow Electronics, Inc., | ||||||||
25 | 3.375%, 11/01/15 | 26 | ||||||
30 | 6.875%, 07/01/13 | 32 | ||||||
|
| |||||||
58 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — 0.2% |
| |||||||
50 | HP Enterprise Services LLC, 6.000%, 08/01/13 | 52 | ||||||
60 | International Business Machines Corp., 4.750%, 11/29/12 | 61 | ||||||
|
| |||||||
113 | ||||||||
|
| |||||||
Office Electronics — 0.2% |
| |||||||
110 | Xerox Corp., 8.250%, 05/15/14 | 122 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.2% |
| |||||||
37 | Intel Corp., 1.950%, 10/01/16 | 39 | ||||||
40 | National Semiconductor Corp., 3.950%, 04/15/15 | 43 | ||||||
34 | Texas Instruments, Inc., 2.375%, 05/16/16 | 36 | ||||||
|
| |||||||
118 | ||||||||
|
| |||||||
Software — 0.5% |
| |||||||
30 | Intuit, Inc., 5.750%, 03/15/17 | 35 | ||||||
140 | Microsoft Corp., 2.950%, 06/01/14 | 146 | ||||||
140 | Oracle Corp., 4.950%, 04/15/13 | 144 | ||||||
|
| |||||||
325 | ||||||||
|
| |||||||
Total Information Technology | 985 | |||||||
|
| |||||||
Materials — 0.7% |
| |||||||
Chemicals — 0.4% |
| |||||||
40 | Dow Chemical Co. (The), 7.600%, 05/15/14 | 44 | ||||||
E.I. 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 | 34 | ||||||
50 | Potash Corp. of Saskatchewan, Inc., (Canada), 3.750%, 09/30/15 | 54 | ||||||
|
| |||||||
210 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
BHP Billiton Finance USA Ltd., (Australia), | ||||||||
71 | 1.125%, 11/21/14 | 72 | ||||||
20 | 1.625%, 02/24/17 | 20 | ||||||
Freeport-McMoRan Copper & Gold, Inc., | ||||||||
20 | 1.400%, 02/13/15 | 20 | ||||||
14 | 2.150%, 03/01/17 | 14 | ||||||
70 | Rio Tinto Finance USA Ltd., (Australia), 8.950%, 05/01/14 | 80 | ||||||
|
| |||||||
206 | ||||||||
|
| |||||||
Total Materials | 416 | |||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.5% |
| |||||||
130 | France Telecom S.A., (France), 4.375%, 07/08/14 | 137 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 245 |
Table of Contents
JPMorgan Short Term Bond Fund II
(in liquidation)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| Corporate Bonds — Continued |
| ||||||
Diversified Telecommunication Services — Continued |
| |||||||
50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 52 | ||||||
125 | Verizon Communications, Inc., 2.000%, 11/01/16 | 131 | ||||||
|
| |||||||
320 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
120 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 128 | ||||||
70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 74 | ||||||
|
| |||||||
202 | ||||||||
|
| |||||||
Total Telecommunication Services | 522 | |||||||
|
| |||||||
Utilities — 1.0% |
| |||||||
Electric Utilities — 0.4% |
| |||||||
17 | Commonwealth Edison Co., 1.950%, 09/01/16 | 18 | ||||||
Duke Energy Corp., | ||||||||
30 | 3.950%, 09/15/14 | 32 | ||||||
38 | 6.300%, 02/01/14 | 41 | ||||||
50 | Nisource Finance Corp., 6.150%, 03/01/13 | 51 | ||||||
15 | Progress Energy, Inc., 6.050%, 03/15/14 | 16 | ||||||
20 | Southern California Edison Co., 4.150%, 09/15/14 | 21 | ||||||
Southern Co. (The), | ||||||||
12 | 1.950%, 09/01/16 | 12 | ||||||
10 | 4.150%, 05/15/14 | 11 | ||||||
50 | Spectra Energy Capital LLC, 5.668%, 08/15/14 | 54 | ||||||
|
| |||||||
256 | ||||||||
|
| |||||||
Gas Utilities — 0.4% |
| |||||||
85 | Atmos Energy Corp., 4.950%, 10/15/14 | 92 | ||||||
80 | Southern California Gas Co., 5.500%, 03/15/14 | 86 | ||||||
35 | TransCanada PipeLines Ltd., (Canada), 4.000%, 06/15/13 | 36 | ||||||
|
| |||||||
214 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
130 | Dominion Resources, Inc., 5.700%, 09/17/12 | 130 | ||||||
20 | PG&E Corp., 5.750%, 04/01/14 | 22 | ||||||
|
| |||||||
152 | ||||||||
|
| |||||||
Total Utilities | 622 | |||||||
|
| |||||||
Total Corporate Bonds | 11,809 | |||||||
|
| |||||||
| Foreign Government Securities — 0.2% |
| ||||||
Province of Ontario, (Canada), | ||||||||
100 | 2.950%, 02/05/15 | 106 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
45 | 4.100%, 06/16/14 | 48 | ||||||
|
| |||||||
Total Foreign Government Securities | 154 | |||||||
|
| |||||||
| Mortgage Pass-Through Securities — 1.7% |
| ||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | ||||||||
120 | 4.500%, 04/01/25 | 129 | ||||||
130 | 5.500%, 11/01/21 | 142 | ||||||
171 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 6.000%, 10/01/24 | 187 | ||||||
116 | Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, 6.000%, 06/01/34 | 131 | ||||||
108 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 | 115 | ||||||
125 | Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23 | 138 | ||||||
150 | Federal National Mortgage Association, 30 Year, Single Family, 5.500%, 04/01/37 | 166 | ||||||
|
| |||||||
Total Mortgage Pass-Through Securities | 1,008 | |||||||
|
| |||||||
| Supranational — 0.1% |
| ||||||
38 | Corp. Andina de Fomento, 3.750%, 01/15/16 | 40 | ||||||
|
| |||||||
| U.S. Government Agency Securities — 33.2% |
| ||||||
Federal Farm Credit Banks, | ||||||||
400 | 2.625%, 04/17/14 | 415 | ||||||
685 | 4.900%, 03/06/13 | 702 | ||||||
Federal Home Loan Bank, | ||||||||
2,500 | 1.875%, 06/21/13 | 2,533 | ||||||
4,000 | 3.125%, 12/13/13 | 4,147 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
1,350 | 1.000%, 08/20/14 | 1,367 | ||||||
650 | 1.000%, 03/08/17 | 658 | ||||||
650 | 2.500%, 05/27/16 | 697 | ||||||
Federal National Mortgage Association, | ||||||||
1,800 | 0.500%, 05/27/15 | 1,806 | ||||||
300 | 1.250%, 09/28/16 | 308 | ||||||
500 | 2.375%, 07/28/15 | 529 | ||||||
200 | 2.500%, 05/15/14 | 208 | ||||||
2,703 | 4.000%, 03/27/13 | 2,761 | ||||||
2,000 | 4.375%, 03/15/13 | 2,044 | ||||||
1,400 | 4.625%, 10/15/13 | 1,469 | ||||||
400 | 4.750%, 02/21/13 | 408 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 20,052 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
246 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligations — 31.6% |
| ||||||
U.S. Treasury Notes, | ||||||||
100 | 0.375%, 06/15/15 | 100 | ||||||
2,500 | 0.500%, 11/15/13 (m) | 2,509 | ||||||
500 | 0.625%, 02/28/13 | 501 | ||||||
200 | 0.625%, 05/31/17 | 201 | ||||||
300 | 0.750%, 08/15/13 | 302 | ||||||
1,000 | 0.875%, 11/30/16 | 1,017 | ||||||
750 | 0.875%, 01/31/17 | 762 | ||||||
600 | 0.875%, 02/28/17 | 610 | ||||||
350 | 1.000%, 05/15/14 | 355 | ||||||
350 | 1.000%, 08/31/16 | 358 | ||||||
1,000 | 1.000%, 10/31/16 | 1,022 | ||||||
125 | 1.000%, 03/31/17 | 128 | ||||||
1,040 | 1.125%, 06/15/13 | 1,048 | ||||||
310 | 1.250%, 04/15/14 | 315 | ||||||
450 | 1.250%, 10/31/15 | 463 | ||||||
1,420 | 1.375%, 02/15/13 | 1,428 | ||||||
400 | 1.375%, 11/30/15 | 413 | ||||||
290 | 1.500%, 06/30/16 | 302 | ||||||
200 | 1.500%, 07/31/16 | 208 | ||||||
900 | 1.750%, 07/31/15 | 938 | ||||||
260 | 1.750%, 05/31/16 | 273 | ||||||
2,500 | 2.000%, 11/30/13 (m) | 2,555 | ||||||
800 | 2.000%, 04/30/16 | 847 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
290 | 2.125%, 05/31/15 | 305 | ||||||
415 | 2.125%, 02/29/16 | 440 | ||||||
300 | 2.375%, 03/31/16 | 321 | ||||||
80 | 2.375%, 07/31/17 | 87 | ||||||
215 | 2.500%, 04/30/15 | 228 | ||||||
100 | 2.500%, 06/30/17 | 109 | ||||||
250 | 2.625%, 04/30/16 | 270 | ||||||
170 | 2.750%, 05/31/17 | 187 | ||||||
400 | 3.125%, 04/30/17 | 447 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 19,049 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% |
| |||||||
660 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.110% (b) (l) | 660 | ||||||
|
| |||||||
Total Investments — 98.6% | 59,502 | |||||||
Other Assets in Excess of | 857 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 60,359 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 247 |
Table of Contents
JPMorgan Treasury & Agency Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Government Agency Securities — 18.5% |
| ||||||
Federal Farm Credit Banks, | ||||||||
9,745 | 4.000%, 05/21/13 | 10,008 | ||||||
25,000 | 4.350%, 09/02/14 (m) | 27,012 | ||||||
500 | 6.270%, 01/26/16 | 597 | ||||||
9,400 | Federal Home Loan Bank, 5.310%, 12/28/12 | 9,554 | ||||||
4,000 | Financing Corp. Fico, Zero Coupon, 11/30/17 | 3,744 | ||||||
5,223 | New Valley Generation I, 7.299%, 03/15/19 | 6,235 | ||||||
4,094 | New Valley Generation II, 5.572%, 05/01/20 | 4,766 | ||||||
|
| |||||||
Total U.S. Government Agency Securities | 61,916 | |||||||
|
| |||||||
| U.S. Treasury Obligations — 74.8% |
| ||||||
1,000 | U.S. Treasury Inflation Indexed Note, 1.250%, 04/15/14 | 1,126 | ||||||
U.S. Treasury Notes, | ||||||||
20,000 | 0.875%, 12/31/16 | 20,327 | ||||||
21,140 | 1.375%, 02/15/13 | 21,256 | ||||||
4,000 | 1.375%, 11/30/15 | 4,134 | ||||||
7,000 | 1.750%, 04/15/13 | 7,067 | ||||||
20,000 | 1.750%, 07/31/15 | 20,839 | ||||||
12,000 | 1.875%, 04/30/14 | 12,327 | ||||||
70,000 | 2.000%, 11/30/13 | 71,553 | ||||||
15,000 | 2.000%, 01/31/16 | 15,838 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
10,000 | 2.000%, 04/30/16 | 10,588 | ||||||
5,000 | 2.125%, 11/30/14 | 5,209 | ||||||
8,000 | 2.375%, 10/31/14 | 8,366 | ||||||
28,000 | 2.625%, 02/29/16 | 30,205 | ||||||
15,000 | 2.625%, 04/30/16 | 16,221 | ||||||
4,000 | 3.250%, 12/31/16 | 4,472 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 249,528 | |||||||
|
| |||||||
SHARES | ||||||||
| Short-Term Investment — 6.2% |
| ||||||
Investment Company — 6.2% | ||||||||
20,587 | JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.010%, (b) (l) (Cost $20,587) | 20,587 | ||||||
|
| |||||||
Total Investments — 99.5% | 332,031 | |||||||
Other Assets in Excess of | 1,598 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 333,629 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
248 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
J.P. Morgan Income Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited)
ADR | — American Depositary Receipt | |
ARM | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2012. | |
AUD | — Australian Dollar | |
BRL | — Brazilian Real | |
CDX | — Credit Default Swap Index | |
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, 2012. 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 | |
CPI-U | — Consumer Price Index for All Urban Customers | |
DIP | — Debtor-in-Possession | |
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, 2012. 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 | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
PEN | — Peru Nuevo Sol | |
PHP | — Philippine Peso | |
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, 2012. |
| ||||||||
TRY | — New Turkish Lira |
| ||||||||
UYU | — Uruguayan Peso |
| ||||||||
VA | — Veterans Administration |
| ||||||||
VAR | — Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2012. |
| ||||||||
(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. |
| ||||||||
(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 (amounts in thousands): |
| ||||||||
Fund | Value | Percentage | ||||||||
Core Bond Fund | $ | 363,487 | 1.3 | % | ||||||
Core Plus Bond Fund | 35,622 | 1.3 | ||||||||
High Yield Fund | 80,989 | 0.7 | ||||||||
Mortgage-Backed Securities Fund | 79.402 | 1.9 | ||||||||
Short Duration Bond Fund | 23,028 | 0.2 | ||||||||
(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, 2012. |
| ||||||||
(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/or forward foreign currency exchange contracts. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 249 |
Table of Contents
J.P. Morgan Income Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(r) | — Rates shown are per annum and payments are as described. | |||||
(t) | — The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |||||
(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, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2012. |
@ | — The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is currently in effect as of August 31, 2012. | |
~ | — 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, 2012. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
# | — Security is distressed as of August 31, 2012. The rate at which income is accrued on the security is lower than the stated PIK coupon rate. | |
† | — The following approximates the value of investments restricted as collateral for swaps to various brokers (amounts in thousands): |
Fund | Value | |||
High Yield Fund | $ | 1,040 | ||
Inflation Managed Bond Fund | 6,350 |
SEE NOTES TO FINANCIAL STATEMENTS.
250 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2012 (Unaudited)
(Amounts in thousands, except per share amounts)
Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 26,978,108 | $ | 2,614,871 | $ | 1,801,602 | ||||||
Investments in affiliates, at value | 816,901 | 153,998 | 103,756 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 27,795,009 | 2,768,869 | 1,905,358 | |||||||||
Cash | 25 | 55 | — | |||||||||
Foreign currency, at value | — | 13 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 5,104 | 9,157 | 66 | |||||||||
Fund shares sold | 106,044 | 8,204 | 3,053 | |||||||||
Interest and dividends from non-affiliates | 128,044 | 21,683 | 6,260 | |||||||||
Dividends from affiliates | 91 | 23 | — | (a) | ||||||||
Variation margin on futures contracts | — | 1 | — | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 51 | — | |||||||||
Outstanding swap contracts, at value | — | 343 | — | |||||||||
Other assets | — | 146 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 28,034,317 | 2,808,545 | 1,914,737 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 7,044 | 3,906 | 2,286 | |||||||||
Investment securities purchased | 74,129 | 11,795 | 25,911 | |||||||||
Fund shares redeemed | 32,358 | 2,130 | 1,128 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 44 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 6,852 | 653 | 452 | |||||||||
Administration fees | 382 | 86 | 120 | |||||||||
Shareholder servicing fees | 3,264 | 473 | 59 | |||||||||
Distribution fees | 3,058 | 435 | 304 | |||||||||
Custodian and accounting fees | 221 | 59 | 20 | |||||||||
Collateral management fees | — | 1 | — | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 27 | 1 | — | |||||||||
Other | 1,963 | 3,201 | 374 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 129,298 | 22,784 | 30,654 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 27,905,019 | $ | 2,785,761 | $ | 1,884,083 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
252 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 25,990,659 | $ | 2,895,648 | $ | 1,680,889 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 11,409 | 1,586 | (199 | ) | ||||||||
Accumulated net realized gains (losses) | 33,648 | (271,014 | ) | (116 | ) | |||||||
Net unrealized appreciation (depreciation) | 1,869,303 | 159,541 | 203,509 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 27,905,019 | $ | 2,785,761 | $ | 1,884,083 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 6,342,636 | $ | 530,748 | $ | 691,030 | ||||||
Class B | 48,565 | 4,336 | 10,122 | |||||||||
Class C | 2,640,158 | 512,447 | 213,368 | |||||||||
Class R2 | 97,619 | 9,028 | 44,519 | |||||||||
Class R5 | 222,846 | — | — | |||||||||
Class R6 | 4,239,589 | 178,515 | — | |||||||||
Institutional Class | — | 49,826 | — | |||||||||
Select Class | 14,313,606 | 1,500,861 | 925,044 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 27,905,019 | $ | 2,785,761 | $ | 1,884,083 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 523,324 | 62,429 | 58,921 | |||||||||
Class B | 4,008 | 507 | 864 | |||||||||
Class C | 216,815 | 60,047 | 18,259 | |||||||||
Class R2 | 8,064 | 1,062 | 3,799 | |||||||||
Class R5 | 18,415 | — | — | |||||||||
Class R6 | 349,824 | 21,004 | — | |||||||||
Institutional Class | — | 5,857 | — | |||||||||
Select Class | 1,181,982 | 176,614 | 78,914 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 12.12 | $ | 8.50 | $ | 11.73 | ||||||
Class B — Offering price per share (b) | 12.12 | 8.55 | 11.72 | |||||||||
Class C — Offering price per share (b) | 12.18 | 8.53 | 11.69 | |||||||||
Class R2 — Offering and redemption price per share | 12.11 | 8.50 | 11.72 | |||||||||
Class R5 — Offering and redemption price per share | 12.10 | — | — | |||||||||
Class R6 — Offering and redemption price per share | 12.12 | 8.50 | — | |||||||||
Institutional Class — Offering and redemption price per share | — | 8.51 | — | |||||||||
Select Class — Offering and redemption price per share | 12.11 | 8.50 | 11.72 | |||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 3.75 | % | ||||||
Class A maximum public offering price per share | $ | 12.59 | $ | 8.83 | $ | 12.19 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 25,108,805 | $ | 2,453,415 | $ | 1,598,093 | ||||||
Cost of investments in affiliates | 816,901 | 153,998 | 103,756 | |||||||||
Cost of foreign currency | — | 13 | — | |||||||||
Premiums paid on swaps | — | 2,279 | — |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(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, 2012 | J.P. MORGAN INCOME FUNDS | 253 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
High Yield Fund | Inflation Managed Bond Fund | Limited Duration Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 10,968,773 | $ | 1,343,308 | $ | 346,284 | ||||||
Investments in affiliates, at value | 651,006 | 26,388 | 41,163 | |||||||||
Investments in affiliates — restricted, at value | 1,040 | 6,350 | — | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 11,620,819 | 1,376,046 | 387,447 | |||||||||
Cash | 16,141 | — | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 312,409 | — | 48 | |||||||||
Fund shares sold | 36,726 | 5,673 | 683 | |||||||||
Interest and dividends from non-affiliates | 194,026 | 6,699 | 763 | |||||||||
Dividends from affiliates | 43 | 3 | 5 | |||||||||
Outstanding swap contracts, at value | — | 2,950 | — | |||||||||
Due from Advisor | — | — | 28 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 12,180,164 | 1,391,371 | 388,974 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | 27,691 | 930 | 319 | |||||||||
Investment securities purchased | 118,269 | 5,435 | — | |||||||||
Fund shares redeemed | 21,794 | 408 | 201 | |||||||||
Outstanding swap contracts, at value | 655 | 7,516 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 6,500 | 396 | — | |||||||||
Administration fees | 615 | 73 | — | |||||||||
Shareholder servicing fees | 820 | 84 | 64 | |||||||||
Distribution fees | 452 | 44 | 47 | |||||||||
Custodian and accounting fees | 87 | 11 | 17 | |||||||||
Collateral management fees | 1 | 3 | — | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 8 | — | (a) | 1 | ||||||||
Proxy fees | — | — | 48 | |||||||||
Other | 1,091 | 98 | 62 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 177,983 | 14,998 | 759 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 12,002,181 | $ | 1,376,373 | $ | 388,215 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
254 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
High Yield Fund | Inflation Managed Bond Fund | Limited Duration Bond Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 11,531,849 | $ | 1,337,182 | $ | 498,048 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 11,003 | 131 | (412 | ) | ||||||||
Accumulated net realized gains (losses) | 32,327 | 5,870 | (80,005 | ) | ||||||||
Net unrealized appreciation (depreciation) | 427,002 | 33,190 | (29,416 | ) | ||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 12,002,181 | $ | 1,376,373 | $ | 388,215 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,090,010 | $ | 171,002 | $ | 52,949 | ||||||
Class B | 9,696 | — | 251 | |||||||||
Class C | 335,933 | 5,691 | 56,405 | |||||||||
Class R2 | 14,611 | 10,879 | — | |||||||||
Class R5 | 72,857 | 58 | — | |||||||||
Class R6 | 1,726,022 | 197,599 | 9,610 | |||||||||
Select Class | 8,753,052 | 991,144 | 269,000 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 12,002,181 | $ | 1,376,373 | $ | 388,215 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 136,473 | 15,835 | 5,474 | |||||||||
Class B | 1,211 | — | 26 | |||||||||
Class C | 42,015 | 527 | 5,891 | |||||||||
Class R2 | 1,832 | 1,007 | — | |||||||||
Class R5 | 9,076 | 5 | — | |||||||||
Class R6 | 215,391 | 18,292 | 992 | |||||||||
Select Class | 1,091,559 | 91,756 | 27,816 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 7.99 | $ | 10.80 | $ | 9.67 | ||||||
Class B — Offering price per share (b) | 8.01 | — | 9.60 | |||||||||
Class C — Offering price per share (b) | 8.00 | 10.79 | 9.57 | |||||||||
Class R2 — Offering and redemption price per share | 7.97 | 10.81 | — | |||||||||
Class R5 — Offering and redemption price per share | 8.03 | 10.84 | — | |||||||||
Class R6 — Offering and redemption price per share | 8.01 | 10.80 | 9.68 | |||||||||
Select Class — Offering and redemption price per share | 8.02 | 10.80 | 9.67 | |||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 2.25 | % | ||||||
Class A maximum public offering price per share | $ | 8.30 | $ | 11.22 | $ | 9.89 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 10,541,949 | $ | 1,305,552 | $ | 375,700 | ||||||
Cost of investments in affiliates | 651,006 | 26,388 | 41,163 | |||||||||
Cost of investments in affiliates — restricted | 1,040 | 6,350 | — | |||||||||
Premiums received on swaps | 833 | — | — |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(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, 2012 | J.P. MORGAN INCOME FUNDS | 255 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
Mortgage-Backed Securities Fund | Short Duration Bond Fund | Short Term (in liquidation) | Treasury & Agency Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 3,809,610 | $ | 11,711,706 | $ | 58,842 | $ | 311,444 | ||||||||
Investments in affiliates, at value | 416,514 | 161,975 | 660 | 20,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 4,226,124 | 11,873,681 | 59,502 | 332,031 | ||||||||||||
Cash | 197 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 366 | 1,194 | 623 | — | ||||||||||||
Fund shares sold | 13,963 | 23,793 | 1 | 162 | ||||||||||||
Interest from non-affiliates | 12,511 | 62,503 | 397 | 1,907 | ||||||||||||
Dividends from affiliates | 42 | — | (a) | — | (a) | — | (a) | |||||||||
Prepaid expenses | 11 | 18 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 4,253,214 | 11,961,189 | 60,523 | 334,100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 2,411 | 8,755 | 33 | 118 | ||||||||||||
Investment securities purchased | 120,481 | 4,066 | — | — | ||||||||||||
Fund shares redeemed | 8,413 | 26,984 | 33 | 127 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 641 | 2,464 | 7 | 80 | ||||||||||||
Administration fees | — | 264 | — | 21 | ||||||||||||
Shareholder servicing fees | 261 | 1,676 | 7 | — | ||||||||||||
Distribution fees | 66 | 235 | 17 | 18 | ||||||||||||
Custodian and accounting fees | 59 | 72 | 5 | 6 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 1 | — | (a) | 1 | ||||||||||
Transfer agent fees | 13 | 160 | 3 | 50 | ||||||||||||
Printing and mailing costs | 44 | 222 | 13 | 14 | ||||||||||||
Audit fees | 32 | 52 | 43 | 31 | ||||||||||||
Other | 4 | 12 | 3 | 5 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 132,425 | 44,963 | 164 | 471 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 4,120,789 | $ | 11,916,226 | $ | 60,359 | $ | 333,629 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
256 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Mortgage-Backed Securities Fund | Short Duration Bond Fund | Short Term (in liquidation) | Treasury & Agency Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 3,943,968 | $ | 11,736,413 | $ | 119,072 | $ | 324,766 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 2,061 | 2,210 | (62 | ) | 59 | |||||||||||
Accumulated net realized gains (losses) | (6,308 | ) | 2,063 | (59,502 | ) | 1,552 | ||||||||||
Net unrealized appreciation (depreciation) | 181,068 | 175,540 | 851 | 7,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 4,120,789 | $ | 11,916,226 | $ | 60,359 | $ | 333,629 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 315,900 | $ | 280,659 | $ | 3,836 | $ | 83,553 | ||||||||
Class B | — | 1,094 | — | 369 | ||||||||||||
Class C | 664 | 271,645 | — | — | ||||||||||||
Class M | — | — | 55,063 | — | ||||||||||||
Class R6 | 1,853,462 | 3,932,228 | — | — | ||||||||||||
Select Class | 1,950,763 | 7,430,600 | 1,460 | 249,707 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,120,789 | $ | 11,916,226 | $ | 60,359 | $ | 333,629 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 26,595 | 25,514 | 439 | 8,583 | ||||||||||||
Class B | — | 98 | — | 38 | ||||||||||||
Class C | 57 | 24,538 | — | — | ||||||||||||
Class M | — | — | 6,298 | — | ||||||||||||
Class R6 | 159,372 | 356,995 | — | — | ||||||||||||
Select Class | 167,784 | 674,656 | 167 | 25,683 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 11.88 | $ | 11.00 | $ | 8.74 | $ | 9.73 | ||||||||
Class B — Offering price per share (b) | — | 11.11 | — | 9.71 | ||||||||||||
Class C — Offering price per share (b) | 11.62 | 11.07 | — | — | ||||||||||||
Class M — Redemption price per share | — | — | 8.74 | — | ||||||||||||
Class R6 — Offering and redemption price per share | 11.63 | 11.01 | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 11.63 | 11.01 | 8.76 | 9.72 | ||||||||||||
Class A maximum sales charge | �� | 3.75 | % | 2.25 | % | 2.25 | % | 2.25 | % | |||||||
Class A maximum public offering price per share | $ | 12.34 | $ | 11.25 | $ | 8.94 | $ | 9.95 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class M maximum sales charge | — | — | 1.50 | % | — | |||||||||||
Class M maximum public offering price per share | $ | — | $ | — | $ | 8.87 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 3,628,542 | $ | 11,536,166 | $ | 57,991 | $ | 304,192 | ||||||||
Cost of investments in affiliates | 416,514 | 161,975 | 660 | 20,587 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(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, 2012 | J.P. MORGAN INCOME FUNDS | 257 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited)
(Amounts in thousands)
Core Bond Fund | Core Plus Bond Fund | Government Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 474,636 | $ | 57,259 | $ | 30,747 | ||||||
Dividend income from non-affiliates | — | 335 | — | |||||||||
Dividend income from affiliates | 862 | 227 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 475,498 | 57,821 | 30,750 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 39,708 | 3,840 | 2,644 | |||||||||
Administration fees | 11,448 | 1,107 | 762 | |||||||||
Distribution fees: | ||||||||||||
Class A | 7,745 | 603 | 828 | |||||||||
Class B | 190 | 18 | 40 | |||||||||
Class C | 9,478 | 1,705 | 785 | |||||||||
Class R2 | 207 | 13 | 86 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 7,745 | 603 | 828 | |||||||||
Class B | 64 | 6 | 13 | |||||||||
Class C | 3,159 | 569 | 262 | |||||||||
Class R2 | 103 | 7 | 43 | |||||||||
Class R5 | 53 | — | — | |||||||||
Institutional Class | — | 23 | — | |||||||||
Select Class | 17,004 | 1,818 | 1,057 | |||||||||
Custodian and accounting fees | 742 | 190 | 61 | |||||||||
Collateral management fees | 1 | 3 | — | |||||||||
Interest expense to affiliates | — | — | (a) | — | ||||||||
Professional fees | 148 | 69 | 44 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 150 | 13 | 6 | |||||||||
Printing and mailing costs | 976 | 58 | 44 | |||||||||
Registration and filing fees | 285 | 73 | 40 | |||||||||
Transfer agent fees | 7,378 | 353 | 713 | |||||||||
Other | 68 | 14 | 8 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 106,652 | 11,085 | 8,264 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (18,504 | ) | (1,212 | ) | (2,052 | ) | ||||||
Less earnings credits | — | (a) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 88,148 | 9,873 | 6,212 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 387,350 | 47,948 | 24,538 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 5,079 | (2,711 | ) | — | ||||||||
Futures | — | 18 | — | |||||||||
Foreign currency transactions | — | (106 | ) | — | ||||||||
Swaps | — | (623 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 5,079 | (3,422 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 417,682 | 41,613 | 27,180 | |||||||||
Futures | — | 5 | — | |||||||||
Foreign currency translations | — | (1 | ) | — | ||||||||
Swaps | — | (1,928 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 417,682 | 39,689 | 27,180 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 422,761 | 36,267 | 27,180 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 810,111 | $ | 84,215 | $ | 51,718 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
258 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
High Yield Fund | Inflation Managed Bond Fund | Limited Duration Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 440,250 | $ | 17,831 | $ | 4,556 | ||||||
Interest income from affiliates | — | 3 | — | |||||||||
Dividend income from non-affiliates | 3,401 | — | — | |||||||||
Dividend income from affiliates | 275 | 40 | 60 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 443,926 | 17,874 | 4,616 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 38,419 | 2,321 | 505 | |||||||||
Administration fees | 5,113 | 573 | 175 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1,355 | 201 | 64 | |||||||||
Class B | 39 | — | 1 | |||||||||
Class C | 1,158 | 19 | 207 | |||||||||
Class R2 | 28 | 28 | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 1,355 | 201 | 64 | |||||||||
Class B | 13 | — | — | (a) | ||||||||
Class C | 386 | 7 | 69 | |||||||||
Class R2 | 14 | 14 | — | |||||||||
Class R5 | 15 | — | (a) | — | ||||||||
Select Class | 10,887 | 1,204 | 365 | |||||||||
Custodian and accounting fees | 265 | 77 | 49 | |||||||||
Collateral management fees | 3 | 9 | 1 | |||||||||
Professional fees | 231 | 40 | 50 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 57 | 6 | 1 | |||||||||
Printing and mailing costs | 475 | 35 | 9 | |||||||||
Registration and filing fees | 148 | 47 | 32 | |||||||||
Transfer agent fees | 3,766 | 236 | 78 | |||||||||
Other | 31 | 7 | 65 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 63,758 | 5,025 | 1,735 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (8,901 | ) | (1,028 | ) | (586 | ) | ||||||
Less earnings credits | (2 | ) | — | — | ||||||||
Less expense reimbursements | — | — | (28 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 54,855 | 3,997 | 1,121 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 389,071 | 13,877 | 3,495 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 31,765 | 560 | (4,526 | ) | ||||||||
Swaps | 4,630 | 45 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 36,395 | 605 | (4,526 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 91,489 | 17,202 | 13,086 | |||||||||
Swaps | (3,720 | ) | (9,577 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 87,769 | 7,625 | 13,086 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 124,164 | 8,230 | 8,560 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 513,235 | $ | 22,107 | $ | 12,055 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 259 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED AUGUST 31, 2012 (Unaudited) (continued)
(Amounts in thousands)
Mortgage-Backed Securities Fund | Short Duration Bond Fund | Short Term (in liquidation) | Treasury & Agency Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 66,451 | $ | 106,491 | $ | 556 | $ | 2,995 | ||||||||
Dividend income from affiliates | 266 | 1 | — | (a) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 66,717 | 106,492 | 556 | 2,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 6,079 | 14,278 | 79 | 550 | ||||||||||||
Administration fees | 1,502 | 4,940 | 27 | 159 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 356 | 341 | 5 | 112 | ||||||||||||
Class B | — | 5 | — | 1 | ||||||||||||
Class C | — | (a) | 1,084 | — | — | |||||||||||
Class M | — | — | 101 | — | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 356 | 341 | 5 | 112 | ||||||||||||
Class B | — | 2 | — | 1 | ||||||||||||
Class C | — | (a) | 361 | — | — | |||||||||||
Class M | — | — | 72 | — | ||||||||||||
Select Class | 1,871 | 9,055 | 1 | 346 | ||||||||||||
Custodian and accounting fees | 212 | 267 | 25 | 17 | ||||||||||||
Collateral management fees | — | 1 | 1 | — | ||||||||||||
Professional fees | 53 | 98 | 53 | 33 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 17 | 58 | — | (a) | 2 | |||||||||||
Printing and mailing costs | 61 | 216 | 10 | 7 | ||||||||||||
Registration and filing fees | 47 | 77 | 17 | 17 | ||||||||||||
Transfer agent fees | 168 | 400 | 5 | 46 | ||||||||||||
Other | 20 | 49 | 22 | 6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 10,742 | 31,573 | 423 | 1,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (4,991 | ) | (3,352 | ) | (117 | ) | (479 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 5,751 | 28,221 | 306 | 930 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 60,966 | 78,271 | 250 | 2,066 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 132 | (127 | ) | 129 | 1,413 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation of investments in non-affiliates | 36,267 | 28,208 | (104 | ) | (1,895 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 36,399 | 28,081 | 25 | (482 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 97,365 | $ | 106,352 | $ | 275 | $ | 1,584 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
260 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 387,350 | $ | 751,198 | $ | 47,948 | $ | 97,329 | ||||||||
Net realized gain (loss) | 5,079 | 95,877 | (3,422 | ) | 5,619 | |||||||||||
Change in net unrealized appreciation/depreciation | 417,682 | 802,652 | 39,689 | 43,365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 810,111 | 1,649,727 | 84,215 | 146,313 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (85,883 | ) | (167,204 | ) | (8,896 | ) | (16,667 | ) | ||||||||
From net realized gains | — | (10,390 | ) | — | (66 | ) | ||||||||||
Class B | ||||||||||||||||
From net investment income | (536 | ) | (1,627 | ) | (69 | ) | (212 | ) | ||||||||
From net realized gains | — | (102 | ) | — | (1 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (27,239 | ) | (57,590 | ) | (6,972 | ) | (12,642 | ) | ||||||||
From net realized gains | — | (4,104 | ) | — | (60 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (1,062 | ) | (1,556 | ) | (90 | ) | (25 | ) | ||||||||
From net realized gains | — | (104 | ) | — | — | (a) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | (3,308 | ) | (6,125 | ) | — | — | ||||||||||
From net realized gains | — | (344 | ) | — | — | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | (59,353 | ) | (101,474 | ) | (2,452 | ) | (5,451 | ) | ||||||||
From net realized gains | — | (5,323 | ) | — | (13 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (903 | ) | (1,794 | ) | ||||||||||
From net realized gains | — | — | — | (6 | ) | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (199,767 | ) | (415,417 | ) | (27,281 | ) | (60,457 | ) | ||||||||
From net realized gains | — | (21,935 | ) | — | (224 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (377,148 | ) | (793,295 | ) | (46,663 | ) | (97,618 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 2,883,507 | 4,473,640 | 475,582 | 156,718 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 3,316,470 | 5,330,072 | 513,134 | 205,413 | ||||||||||||
Beginning of period | 24,588,549 | 19,258,477 | 2,272,627 | 2,067,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 27,905,019 | $ | 24,588,549 | $ | 2,785,761 | $ | 2,272,627 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 11,409 | $ | 1,207 | $ | 1,586 | $ | 301 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 261 |
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 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 24,538 | $ | 48,187 | $ | 389,071 | $ | 727,025 | ||||||||
Net realized gain (loss) | — | 2,828 | 36,395 | 92,444 | ||||||||||||
Change in net unrealized appreciation/depreciation | 27,180 | 87,815 | 87,769 | (361,348 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 51,718 | 138,830 | 513,235 | 458,121 | ||||||||||||
�� |
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (9,117 | ) | (17,585 | ) | (33,676 | ) | (67,049 | ) | ||||||||
From net realized gains | — | (929 | ) | — | (20,119 | ) | ||||||||||
Class B | ||||||||||||||||
From net investment income | (108 | ) | (367 | ) | (286 | ) | (823 | ) | ||||||||
From net realized gains | — | (19 | ) | — | (223 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (2,144 | ) | (4,430 | ) | (8,723 | ) | (16,077 | ) | ||||||||
From net realized gains | — | (289 | ) | — | (4,993 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (450 | ) | (555 | ) | (357 | ) | (343 | ) | ||||||||
From net realized gains | — | (31 | ) | — | (105 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (1,976 | ) | (2,854 | ) | ||||||||||
From net realized gains | — | — | — | (911 | ) | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (53,619 | ) | (80,546 | ) | ||||||||||
From net realized gains | — | — | — | (24,047 | ) | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (12,883 | ) | (25,246 | ) | (279,858 | ) | (564,218 | ) | ||||||||
From net realized gains | — | (1,151 | ) | — | (160,198 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (24,702 | ) | (50,602 | ) | (378,495 | ) | (942,506 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 234,011 | 44,573 | 336,843 | 2,452,261 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 261,027 | 132,801 | 471,583 | 1,967,876 | ||||||||||||
Beginning of period | 1,623,056 | 1,490,255 | 11,530,598 | 9,562,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,884,083 | $ | 1,623,056 | $ | 12,002,181 | $ | 11,530,598 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (199 | ) | $ | (35 | ) | $ | 11,003 | $ | 427 | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
262 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Inflation Managed Bond Fund | Limited Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 13,877 | $ | 19,836 | $ | 3,495 | $ | 8,224 | ||||||||
Net realized gain (loss) | 605 | 9,953 | (4,526 | ) | 20 | |||||||||||
Change in net unrealized appreciation/depreciation | 7,625 | 21,681 | 13,086 | (605 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 22,107 | 51,470 | 12,055 | 7,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,593 | ) | (2,260 | ) | (382 | ) | (1,046 | ) | ||||||||
From net realized gains | — | (558 | ) | — | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (1 | ) | (6 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | (33 | ) | (47 | ) | (278 | ) | (782 | ) | ||||||||
From net realized gains | — | (18 | ) | — | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | (95 | ) | (202 | ) | — | — | ||||||||||
From net realized gains | — | (55 | ) | — | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | (1 | ) | (1 | ) | — | — | ||||||||||
From net realized gains | — | — | (a) | — | — | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | (2,013 | ) | (2,475 | ) | (64 | ) | (85 | ) | ||||||||
From net realized gains | — | (664 | ) | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (9,962 | ) | (14,952 | ) | (2,544 | ) | (5,955 | ) | ||||||||
From net realized gains | — | (3,346 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (13,697 | ) | (24,578 | ) | (3,269 | ) | (7,874 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 179,935 | 733,633 | (19,261 | ) | 1,632 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 188,345 | 760,525 | (10,475 | ) | 1,397 | |||||||||||
Beginning of period | 1,188,028 | 427,503 | 398,690 | 397,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,376,373 | $ | 1,188,028 | $ | 388,215 | $ | 398,690 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 131 | $ | (49 | ) | $ | (412 | ) | $ | (638 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 263 |
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 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 60,966 | $ | 120,438 | $ | 78,271 | $ | 169,431 | ||||||||
Net realized gain (loss) | 132 | 3,426 | (127 | ) | 21,965 | |||||||||||
Change in net unrealized appreciation/depreciation | 36,267 | 49,883 | 28,208 | 21,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 97,365 | 173,747 | 106,352 | 213,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (4,262 | ) | (8,707 | ) | (1,443 | ) | (3,453 | ) | ||||||||
From net realized gains | — | — | — | (509 | ) | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (3 | ) | (14 | ) | ||||||||||
From net realized gains | — | — | — | (3 | ) | |||||||||||
Class C (a) | ||||||||||||||||
From net investment income | (2 | ) | — | (803 | ) | (2,492 | ) | |||||||||
From net realized gains | — | — | — | (580 | ) | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | (29,301 | ) | (71,956 | ) | (27,541 | ) | (60,494 | ) | ||||||||
From net realized gains | — | — | — | (6,372 | ) | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (25,578 | ) | (39,985 | ) | (46,760 | ) | (102,925 | ) | ||||||||
From net realized gains | — | — | — | (12,400 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (59,143 | ) | (120,648 | ) | (76,550 | ) | (189,242 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,023,348 | 783,092 | 851,248 | 700,670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,061,570 | 836,191 | 881,050 | 724,505 | ||||||||||||
Beginning of period | 3,059,219 | 2,223,028 | 11,035,176 | 10,310,671 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,120,789 | $ | 3,059,219 | $ | 11,916,226 | $ | 11,035,176 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,061 | $ | 238 | $ | 2,210 | $ | 489 | ||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of offering of class of shares effective July 2, 2012 for Mortgage-Backed Securities Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
264 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Short Term Bond Fund II | Treasury & Agency Fund | |||||||||||||||
Six Months Ended (in liquidation) (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 250 | $ | 795 | $ | 2,066 | $ | 5,766 | ||||||||
Net realized gain (loss) | 129 | 408 | 1,413 | 3,459 | ||||||||||||
Change in net unrealized appreciation/depreciation | (104 | ) | (208 | ) | (1,895 | ) | (883 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 275 | 995 | 1,584 | 8,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net equalization credits (debits) | (2 | ) | (9 | ) | — | — | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (19 | ) | (89 | ) | (400 | ) | (1,011 | ) | ||||||||
Return of capital | — | (28 | ) | — | — | |||||||||||
From net realized gains | — | — | — | (866 | ) | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (1 | ) | (3 | ) | ||||||||||
From net realized gains | — | — | — | (5 | ) | |||||||||||
Class M | ||||||||||||||||
From net investment income | (215 | ) | (1,132 | ) | — | — | ||||||||||
Return of capital | — | (350 | ) | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (9 | ) | (31 | ) | (1,579 | ) | (4,411 | ) | ||||||||
Return of capital | — | (7 | ) | — | — | |||||||||||
From net realized gains | — | — | — | (3,255 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (243 | ) | (1,637 | ) | (1,980 | ) | (9,551 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (4,966 | ) | (18,657 | ) | (70,975 | ) | (65,660 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (4,936 | ) | (19,308 | ) | (71,371 | ) | (66,869 | ) | ||||||||
Beginning of period | 65,295 | 84,603 | 405,000 | 471,869 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 60,359 | $ | 65,295 | $ | 333,629 | $ | 405,000 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (62 | ) | $ | (69 | ) | $ | 59 | $ | (27 | ) | |||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 265 |
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 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,391,114 | $ | 3,237,584 | $ | 150,256 | $ | 213,708 | ||||||||
Dividends and distributions reinvested | 82,610 | 167,616 | 8,564 | 14,788 | ||||||||||||
Cost of shares redeemed | (1,168,525 | ) | (1,636,587 | ) | (59,451 | ) | (139,858 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 305,199 | $ | 1,768,613 | $ | 99,369 | $ | 88,638 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 1,157 | $ | 3,665 | $ | 273 | $ | 1,052 | ||||||||
Dividends and distributions reinvested | 507 | 1,550 | 63 | 183 | ||||||||||||
Cost of shares redeemed | (7,621 | ) | (29,945 | ) | (1,054 | ) | (2,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (5,957 | ) | $ | (24,730 | ) | $ | (718 | ) | $ | (1,401 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 448,398 | $ | 787,975 | $ | 150,535 | $ | 203,046 | ||||||||
Dividends and distributions reinvested | 25,418 | 54,239 | 6,813 | 11,288 | ||||||||||||
Cost of shares redeemed | (275,066 | ) | (705,633 | ) | (50,412 | ) | (110,440 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 198,750 | $ | 136,581 | $ | 106,936 | $ | 103,894 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 35,711 | $ | 38,188 | $ | 8,922 | $ | 596 | ||||||||
Dividends and distributions reinvested | 907 | 1,353 | 86 | 17 | ||||||||||||
Cost of shares redeemed | (7,460 | ) | (11,441 | ) | (997 | ) | (58 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 29,158 | $ | 28,100 | $ | 8,011 | $ | 555 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 94,376 | $ | 110,448 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 2,411 | 4,516 | — | — | ||||||||||||
Cost of shares redeemed | (68,204 | ) | (53,846 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 28,583 | $ | 61,118 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 1,215,872 | $ | 1,224,327 | $ | 114,098 | $ | 27,195 | ||||||||
Dividends and distributions reinvested | 55,615 | 100,309 | 1,714 | 2,676 | ||||||||||||
Cost of shares redeemed | (317,112 | ) | (546,737 | ) | (3,280 | ) | (125,950 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 954,375 | $ | 777,899 | $ | 112,532 | $ | (96,079 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 23,169 | $ | 42,118 | ||||||||
Dividends and distributions reinvested | — | — | 621 | 1,304 | ||||||||||||
Cost of shares redeemed | — | — | (13,740 | ) | (32,382 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 10,050 | $ | 11,040 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 2,802,346 | $ | 5,238,417 | $ | 217,618 | $ | 202,775 | ||||||||
Dividends and distributions reinvested | 166,550 | 340,290 | 5,551 | 12,287 | ||||||||||||
Cost of shares redeemed | (1,595,497 | ) | (3,852,648 | ) | (83,767 | ) | (164,991 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 1,373,399 | $ | 1,726,059 | $ | 139,402 | $ | 50,071 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 2,883,507 | $ | 4,473,640 | $ | 475,582 | $ | 156,718 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
266 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Core Bond Fund | Core Plus Bond Fund | |||||||||||||||
Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 116,195 | 275,296 | 17,865 | 25,844 | ||||||||||||
Reinvested | 6,880 | 14,259 | 1,018 | 1,792 | ||||||||||||
Redeemed | (97,587 | ) | (139,217 | ) | (7,066 | ) | (16,943 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 25,488 | 150,338 | 11,817 | 10,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 96 | 311 | 33 | 127 | ||||||||||||
Reinvested | 42 | 132 | 7 | 22 | ||||||||||||
Redeemed | (637 | ) | (2,574 | ) | (125 | ) | (318 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (499 | ) | (2,131 | ) | (85 | ) | (169 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 37,211 | 66,384 | 17,828 | 24,461 | ||||||||||||
Reinvested | 2,107 | 4,594 | 806 | 1,361 | ||||||||||||
Redeemed | (22,835 | ) | (60,129 | ) | (5,972 | ) | (13,331 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 16,483 | 10,849 | 12,662 | 12,491 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 2,983 | 3,246 | 1,059 | 72 | ||||||||||||
Reinvested | 76 | 115 | 10 | 2 | ||||||||||||
Redeemed | (623 | ) | (974 | ) | (118 | ) | (7 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 2,436 | 2,387 | 951 | 67 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 7,887 | 9,425 | — | — | ||||||||||||
Reinvested | 201 | 384 | — | — | ||||||||||||
Redeemed | (5,686 | ) | (4,573 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 2,402 | 5,236 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 101,472 | 104,207 | 13,531 | 3,327 | ||||||||||||
Reinvested | 4,631 | 8,545 | 204 | 324 | ||||||||||||
Redeemed | (26,407 | ) | (46,397 | ) | (388 | ) | (15,306 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 79,696 | 66,355 | 13,347 | (11,655 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 2,747 | 5,076 | ||||||||||||
Reinvested | — | — | 74 | 158 | ||||||||||||
Redeemed | — | — | (1,634 | ) | (3,902 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 1,187 | 1,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 233,891 | 446,527 | 25,964 | 24,525 | ||||||||||||
Reinvested | 13,883 | 28,973 | 660 | 1,489 | ||||||||||||
Redeemed | (133,140 | ) | (327,134 | ) | (9,979 | ) | (20,005 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 114,634 | 148,366 | 16,645 | 6,009 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 267 |
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 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 216,998 | $ | 326,590 | $ | 261,479 | $ | 738,348 | ||||||||
Dividends and distributions reinvested | 6,473 | 12,481 | 30,744 | 76,054 | ||||||||||||
Cost of shares redeemed | (157,675 | ) | (230,354 | ) | (318,149 | ) | (521,842 | ) | ||||||||
Redemption fees | — | — | — | 9 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 65,796 | $ | 108,717 | $ | (25,926 | ) | $ | 292,569 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 98 | $ | 481 | $ | 308 | $ | 658 | ||||||||
Dividends and distributions reinvested | 86 | 292 | 252 | 816 | ||||||||||||
Cost of shares redeemed | (1,884 | ) | (9,587 | ) | (2,037 | ) | (7,655 | ) | ||||||||
Redemption fees | — | — | — | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (1,700 | ) | $ | (8,814 | ) | $ | (1,477 | ) | $ | (6,181 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 37,133 | $ | 89,298 | $ | 71,243 | $ | 115,009 | ||||||||
Dividends and distributions reinvested | 1,972 | 4,163 | 7,446 | 16,966 | ||||||||||||
Cost of shares redeemed | (30,439 | ) | (73,235 | ) | (27,067 | ) | (86,722 | ) | ||||||||
Redemption fees | — | — | — | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 8,666 | $ | 20,226 | $ | 51,622 | $ | 45,256 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 25,256 | $ | 18,405 | $ | 8,819 | $ | 5,073 | ||||||||
Dividends and distributions reinvested | 231 | 227 | 277 | 293 | ||||||||||||
Cost of shares redeemed | (6,666 | ) | (10,359 | ) | (1,715 | ) | (1,780 | ) | ||||||||
Redemption fees | — | — | — | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 18,821 | $ | 8,273 | $ | 7,381 | $ | 3,586 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 24,657 | $ | 43,132 | ||||||||
Dividends and distributions reinvested | — | — | 1,892 | 3,545 | ||||||||||||
Cost of shares redeemed | — | — | (5,258 | ) | (21,763 | ) | ||||||||||
Redemption fees | — | — | — | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 21,291 | $ | 24,914 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 442,710 | $ | 827,721 | ||||||||
Dividends and distributions reinvested | — | — | 42,343 | 75,212 | ||||||||||||
Cost of shares redeemed | — | — | (238,499 | ) | (329,773 | ) | ||||||||||
Redemption fees | — | — | — | 10 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 246,554 | $ | 573,170 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 268,283 | $ | 195,915 | $ | 1,762,077 | $ | 3,634,423 | ||||||||
Dividends and distributions reinvested | 2,858 | 4,870 | 130,486 | 285,758 | ||||||||||||
Cost of shares redeemed | (128,713 | ) | (284,614 | ) | (1,855,165 | ) | (2,401,309 | ) | ||||||||
Redemption fees | — | — | — | 75 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 142,428 | $ | (83,829 | ) | $ | 37,398 | $ | 1,518,947 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 234,011 | $ | 44,573 | $ | 336,843 | $ | 2,452,261 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
268 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Government Bond Fund | High Yield Fund | |||||||||||||||
Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18,675 | 28,622 | 33,164 | 93,473 | ||||||||||||
Reinvested | 556 | 1,102 | 3,905 | 9,736 | ||||||||||||
Redeemed | (13,583 | ) | (20,333 | ) | (40,497 | ) | (66,177 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 5,648 | 9,391 | (3,428 | ) | 37,032 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 9 | 43 | 39 | 82 | ||||||||||||
Reinvested | 7 | 26 | 32 | 104 | ||||||||||||
Redeemed | (163 | ) | (865 | ) | (258 | ) | (943 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (147 | ) | (796 | ) | (187 | ) | (757 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 3,213 | 7,814 | 9,046 | 14,486 | ||||||||||||
Reinvested | 170 | 369 | 944 | 2,168 | ||||||||||||
Redeemed | (2,632 | ) | (6,553 | ) | (3,433 | ) | (11,002 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 751 | 1,630 | 6,557 | 5,652 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 2,174 | 1,616 | 1,130 | 639 | ||||||||||||
Reinvested | 20 | 20 | 35 | 37 | ||||||||||||
Redeemed | (574 | ) | (918 | ) | (217 | ) | (226 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 1,620 | 718 | 948 | 450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 3,102 | 5,338 | ||||||||||||
Reinvested | — | — | 239 | 452 | ||||||||||||
Redeemed | — | — | (665 | ) | (2,692 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 2,676 | 3,098 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 55,771 | 104,498 | ||||||||||||
Reinvested | — | — | 5,360 | 9,625 | ||||||||||||
Redeemed | — | — | (30,395 | ) | (40,812 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 30,736 | 73,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 23,057 | 17,287 | 222,997 | 458,009 | ||||||||||||
Reinvested | 246 | 430 | 16,507 | 36,602 | ||||||||||||
Redeemed | (11,063 | ) | (25,960 | ) | (235,811 | ) | (301,621 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 12,240 | (8,243 | ) | 3,693 | 192,990 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 269 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Inflation Managed Bond Fund | Limited Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 47,646 | $ | 124,848 | $ | 8,803 | $ | 15,799 | ||||||||
Dividends and distributions reinvested | 1,403 | 2,448 | 341 | 838 | ||||||||||||
Cost of shares redeemed | (13,222 | ) | (24,314 | ) | (5,489 | ) | (37,965 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 35,827 | $ | 102,982 | $ | 3,655 | $ | (21,328 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 27 | $ | 146 | ||||||||
Dividends and distributions reinvested | — | — | 1 | 5 | ||||||||||||
Cost of shares redeemed | — | — | (68 | ) | (684 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (40 | ) | $ | (533 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,737 | $ | 4,750 | $ | 11,817 | $ | 10,688 | ||||||||
Dividends and distributions reinvested | 33 | 65 | 262 | 711 | ||||||||||||
Cost of shares redeemed | (419 | ) | (881 | ) | (11,241 | ) | (23,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 1,351 | $ | 3,934 | $ | 838 | $ | (12,267 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 907 | $ | 16,176 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 95 | 257 | — | — | ||||||||||||
Cost of shares redeemed | (1,358 | ) | (5,493 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (356 | ) | $ | 10,940 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Dividends and distributions reinvested | $ | 1 | $ | 1 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 1 | $ | 1 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 39,501 | $ | 127,370 | $ | 5,926 | $ | 241 | ||||||||
Dividends and distributions reinvested | 1,352 | 2,020 | 54 | 60 | ||||||||||||
Cost of shares redeemed | (12,452 | ) | (17,281 | ) | (168 | ) | (531 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 28,401 | $ | 112,109 | $ | 5,812 | $ | (230 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 214,073 | $ | 673,454 | $ | 9,152 | $ | 77,630 | ||||||||
Dividends and distributions reinvested | 2,374 | 5,771 | 512 | 1,247 | ||||||||||||
Cost of shares redeemed | (101,736 | ) | (175,558 | ) | (39,190 | ) | (42,887 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 114,711 | $ | 503,667 | $ | (29,526 | ) | $ | 35,990 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 179,935 | $ | 733,633 | $ | (19,261 | ) | $ | 1,632 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
270 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Inflation Managed Bond Fund | Limited Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,449 | 11,820 | 928 | 1,673 | ||||||||||||
Reinvested | 131 | 232 | 36 | 89 | ||||||||||||
Redeemed | (1,233 | ) | (2,295 | ) | (575 | ) | (4,018 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 3,347 | 9,757 | 389 | (2,256 | ) | |||||||||||
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|
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| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 3 | 15 | ||||||||||||
Reinvested | — | — | — | (a) | 1 | |||||||||||
Redeemed | — | — | (7 | ) | (73 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (4 | ) | (57 | ) | ||||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued | 162 | 450 | 1,247 | 1,143 | ||||||||||||
Reinvested | 3 | 6 | 28 | 76 | ||||||||||||
Redeemed | (39 | ) | (83 | ) | (1,186 | ) | (2,532 | ) | ||||||||
|
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|
|
| |||||||||
Change in Class C Shares | 126 | 373 | 89 | (1,313 | ) | |||||||||||
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| |||||||||
Class R2 | ||||||||||||||||
Issued | 85 | 1,532 | — | — | ||||||||||||
Reinvested | 9 | 24 | — | — | ||||||||||||
Redeemed | (127 | ) | (521 | ) | — | — | ||||||||||
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| |||||||||
Change in Class R2 Shares | (33 | ) | 1,035 | — | — | |||||||||||
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| |||||||||
Class R5 | ||||||||||||||||
Reinvested | — | (a) | — | (a) | — | — | ||||||||||
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| |||||||||
Change in Class R5 Shares | — | (a) | — | (a) | — | — | ||||||||||
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| |||||||||
Class R6 | ||||||||||||||||
Issued | 3,684 | 12,071 | 620 | 25 | ||||||||||||
Reinvested | 126 | 191 | 5 | 6 | ||||||||||||
Redeemed | (1,160 | ) | (1,642 | ) | (17 | ) | (56 | ) | ||||||||
|
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|
|
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|
|
| |||||||||
Change in Class R6 Shares | 2,650 | 10,620 | 608 | (25 | ) | |||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 19,954 | 63,575 | 952 | 8,200 | ||||||||||||
Reinvested | 222 | 546 | 53 | 132 | ||||||||||||
Redeemed | (9,472 | ) | (16,617 | ) | (4,085 | ) | (4,545 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 10,704 | 47,504 | (3,080 | ) | 3,787 | |||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 271 |
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 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 114,676 | $ | 179,183 | $ | 72,993 | $ | 156,917 | ||||||||
Dividends and distributions reinvested | 4,023 | 7,956 | 1,354 | 3,566 | ||||||||||||
Cost of shares redeemed | (61,899 | ) | (111,826 | ) | (54,469 | ) | (151,573 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 56,800 | $ | 75,313 | $ | 19,878 | $ | 8,910 | ||||||||
|
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|
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 18 | $ | 485 | ||||||||
Dividends and distributions reinvested | — | — | 3 | 14 | ||||||||||||
Cost of shares redeemed | — | — | (339 | ) | (1,229 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (318 | ) | $ | (730 | ) | ||||||
|
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|
|
|
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|
| |||||||||
Class C (a) | ||||||||||||||||
Proceeds from shares issued | $ | 661 | $ | — | $ | 56,109 | $ | 136,801 | ||||||||
Dividends and distributions reinvested | 2 | — | 775 | 2,901 | ||||||||||||
Cost of shares redeemed | — | (b) | — | (82,992 | ) | (164,985 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 663 | $ | — | $ | (26,108 | ) | $ | (25,283 | ) | ||||||
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|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 339,185 | $ | 109,623 | $ | 1,303,979 | $ | 2,828,419 | ||||||||
Dividends and distributions reinvested | 27,763 | 68,234 | 12,623 | 34,592 | ||||||||||||
Cost of shares redeemed | (70,160 | ) | (137,520 | ) | (924,078 | ) | (2,246,411 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 296,788 | $ | 40,337 | $ | 392,524 | $ | 616,600 | ||||||||
|
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|
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|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 887,764 | $ | 1,030,428 | $ | 2,263,374 | $ | 3,966,568 | ||||||||
Dividends and distributions reinvested | 15,984 | 26,656 | 6,967 | 13,530 | ||||||||||||
Cost of shares redeemed | (234,651 | ) | (389,642 | ) | (1,805,069 | ) | (3,878,925 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 669,097 | $ | 667,442 | $ | 465,272 | $ | 101,173 | ||||||||
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|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,023,348 | $ | 783,092 | $ | 851,248 | $ | 700,670 | ||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of offering of class of shares effective July 2, 2012 for Mortgage-Backed Securities Fund. |
(b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
272 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Mortgage-Backed Securities Fund | Short Duration Bond Fund | |||||||||||||||
Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 9,722 | 15,364 | 6,650 | 14,292 | ||||||||||||
Reinvested | 341 | 684 | 124 | 325 | ||||||||||||
Redeemed | (5,248 | ) | (9,598 | ) | (4,962 | ) | (13,803 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,815 | 6,450 | 1,812 | 814 | ||||||||||||
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| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 2 | 44 | ||||||||||||
Reinvested | — | — | — | (b) | 1 | |||||||||||
Redeemed | — | — | (31 | ) | (111 | ) | ||||||||||
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|
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|
|
| |||||||||
Change in Class B Shares | — | — | (29 | ) | (66 | ) | ||||||||||
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| |||||||||
Class C (a) | ||||||||||||||||
Issued | 57 | — | 5,081 | 12,382 | ||||||||||||
Reinvested | — | (b) | — | 70 | 263 | |||||||||||
Redeemed | — | (b) | — | (7,514 | ) | (14,930 | ) | |||||||||
|
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|
|
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| |||||||||
Change in Class C Shares | 57 | — | (2,363 | ) | (2,285 | ) | ||||||||||
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| |||||||||
Class R6 | ||||||||||||||||
Issued | 29,372 | 9,610 | 118,594 | 257,324 | ||||||||||||
Reinvested | 2,404 | 5,992 | 1,148 | 3,148 | ||||||||||||
Redeemed | (6,081 | ) | (11,987 | ) | (84,071 | ) | (204,160 | ) | ||||||||
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|
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| |||||||||
Change in Class R6 Shares | 25,695 | 3,615 | 35,671 | 56,312 | ||||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 76,821 | 90,151 | 205,964 | 360,863 | ||||||||||||
Reinvested | 1,385 | 2,337 | 634 | 1,232 | ||||||||||||
Redeemed | (20,318 | ) | (34,058 | ) | (164,233 | ) | (352,693 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in Select Class Shares | 57,888 | 58,430 | 42,365 | 9,402 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of offering of class of shares effective July 2, 2012 for Mortgage-Backed Securities Fund. |
(b) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 273 |
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 (in liquidation) (Unaudited) | Year Ended 2/29/2012 | Six Months Ended 8/31/2012 (Unaudited) | Year Ended 2/29/2012 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 153 | $ | 1,251 | $ | 8,001 | $ | 36,901 | ||||||||
Dividends and distributions reinvested | 18 | 105 | 391 | 1,689 | ||||||||||||
Cost of shares redeemed | (280 | ) | (4,607 | ) | (15,644 | ) | (47,250 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (109 | ) | $ | (3,251 | ) | $ | (7,252 | ) | $ | (8,660 | ) | ||||
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 28 | $ | 76 | ||||||||
Dividends and distributions reinvested | — | — | 1 | 7 | ||||||||||||
Cost of shares redeemed | — | — | (68 | ) | (446 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (39 | ) | $ | (363 | ) | ||||||
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| |||||||||
Class M | ||||||||||||||||
Cost of shares redeemed | $ | (4,935 | ) | $ | (15,132 | ) | $ | — | $ | — | ||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class M capital transactions | $ | (4,935 | ) | $ | (15,132 | ) | $ | — | $ | — | ||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 101 | $ | 257 | $ | 61,094 | $ | 101,413 | ||||||||
Dividends and distributions reinvested | 4 | 18 | 661 | 2,735 | ||||||||||||
Cost of shares redeemed | (27 | ) | (549 | ) | (125,439 | ) | (160,785 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 78 | $ | (274 | ) | $ | (63,684 | ) | $ | (56,637 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (4,966 | ) | $ | (18,657 | ) | $ | (70,975 | ) | $ | (65,660 | ) | ||||
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|
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| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18 | 142 | 822 | 3,755 | ||||||||||||
Reinvested | 2 | 12 | 40 | 172 | ||||||||||||
Redeemed | (32 | ) | (521 | ) | (1,607 | ) | (4,794 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (12 | ) | (367 | ) | (745 | ) | (867 | ) | ||||||||
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| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 3 | 8 | ||||||||||||
Reinvested | — | — | — | (a) | 1 | |||||||||||
Redeemed | — | — | (7 | ) | (46 | ) | ||||||||||
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| |||||||||
Change in Class B Shares | — | — | (4 | ) | (37 | ) | ||||||||||
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| |||||||||
Class M | ||||||||||||||||
Redeemed | (566 | ) | (1,714 | ) | — | — | ||||||||||
|
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|
|
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|
|
| |||||||||
Change in Class M Shares | (566 | ) | (1,714 | ) | — | — | ||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 11 | 29 | 6,282 | 10,307 | ||||||||||||
Reinvested | 1 | 2 | 68 | 279 | ||||||||||||
Redeemed | (3 | ) | (62 | ) | (12,901 | ) | (16,370 | ) | ||||||||
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|
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|
| |||||||||
Change in Select Class Shares | 9 | (31 | ) | (6,551 | ) | (5,784 | ) | |||||||||
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|
|
|
(a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
274 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
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 | Net realized gain | Total distributions | ||||||||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 11.93 | $ | 0.17 | (e) | $ | 0.19 | $ | 0.36 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | |||||||||||
Year Ended February 29, 2012 | 11.46 | 0.40 | (e) | 0.49 | 0.89 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.23 | 0.42 | (e) | 0.22 | 0.64 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.55 | (e) | 0.64 | 1.19 | (0.55 | ) | — | (0.55 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 11.04 | 0.55 | (e) | (0.46 | ) | 0.09 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.48 | (e) | 0.37 | 0.85 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.92 | 0.13 | (e) | 0.20 | 0.33 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.45 | 0.33 | (e) | 0.48 | 0.81 | (0.32 | ) | (0.02 | ) | (0.34 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.34 | (e) | 0.22 | 0.56 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.48 | (e) | 0.63 | 1.11 | (0.47 | ) | — | (0.47 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.47 | (e) | (0.45 | ) | 0.02 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.41 | (e) | 0.37 | 0.78 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.98 | 0.13 | (e) | 0.20 | 0.33 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.51 | 0.33 | (e) | 0.48 | 0.81 | (0.32 | ) | (0.02 | ) | (0.34 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.28 | 0.34 | (e) | 0.23 | 0.57 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.65 | 0.46 | (e) | 0.65 | 1.11 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 11.09 | 0.48 | (e) | (0.45 | ) | 0.03 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 10.73 | 0.42 | (e) | 0.35 | 0.77 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.91 | 0.16 | (e) | 0.19 | 0.35 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.45 | 0.37 | (e) | 0.48 | 0.85 | (0.37 | ) | (0.02 | ) | (0.39 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.39 | (e) | 0.22 | 0.61 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.49 | (e) | 0.67 | 1.16 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||
November 3, 2008 (f) through February 28, 2009 | 10.26 | 0.17 | (e) | 0.34 | 0.51 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Class R5 (g) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.91 | 0.19 | (e) | 0.18 | 0.37 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.44 | 0.43 | (e) | 0.49 | 0.92 | (0.43 | ) | (0.02 | ) | (0.45 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.21 | 0.45 | (e) | 0.22 | 0.67 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.58 | (e) | 0.63 | 1.21 | (0.58 | ) | — | (0.58 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 11.02 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.52 | (e) | 0.35 | 0.87 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||
Class R6 (h) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.92 | 0.19 | (e) | 0.20 | 0.39 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.46 | 0.44 | (e) | 0.48 | 0.92 | (0.44 | ) | (0.02 | ) | (0.46 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.46 | (e) | 0.23 | 0.69 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.59 | (e) | 0.63 | 1.22 | (0.59 | ) | — | (0.59 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.52 | (e) | 0.36 | 0.88 | (0.52 | ) | — | (0.52 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.92 | 0.18 | (e) | 0.19 | 0.37 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.45 | 0.42 | (e) | 0.49 | 0.91 | (0.42 | ) | (0.02 | ) | (0.44 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 11.22 | 0.44 | (e) | 0.22 | 0.66 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.56 | (e) | 0.64 | 1.20 | (0.56 | ) | — | (0.56 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.56 | (e) | (0.46 | ) | 0.10 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.50 | (e) | 0.35 | 0.85 | (0.49 | ) | — | (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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% 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.
276 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 12.12 | 3.01 | % | $ | 6,342,636 | 0.74 | % | 2.85 | % | 0.96 | % | 7 | % | |||||||||||||
11.93 | 7.89 | 5,937,341 | 0.75 | 3.40 | 0.98 | 20 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.12 | 2.77 | 48,565 | 1.39 | 2.20 | 1.46 | 7 | ||||||||||||||||||||
11.92 | 7.17 | 53,729 | 1.40 | 2.78 | 1.48 | 20 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.18 | 2.77 | 2,640,158 | 1.39 | 2.20 | 1.46 | 7 | ||||||||||||||||||||
11.98 | 7.15 | 2,400,830 | 1.40 | 2.76 | 1.48 | 20 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.11 | 2.98 | 97,619 | 0.99 | 2.59 | 1.21 | 7 | ||||||||||||||||||||
11.91 | 7.54 | 67,044 | 1.00 | 3.14 | 1.23 | 20 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.10 | 3.16 | 222,846 | 0.44 | 3.14 | 0.51 | 7 | ||||||||||||||||||||
11.91 | 8.21 | 190,711 | 0.45 | 3.70 | 0.53 | 20 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.12 | 3.27 | 4,239,589 | 0.39 | 3.19 | 0.46 | 7 | ||||||||||||||||||||
11.92 | 8.16 | 3,221,144 | 0.40 | 3.75 | 0.48 | 20 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.11 | 3.09 | 14,313,606 | 0.57 | 3.01 | 0.71 | 7 | ||||||||||||||||||||
11.92 | 8.09 | 12,717,750 | 0.58 | 3.58 | 0.73 | 20 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 277 |
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 | ||||||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 8.38 | $ | 0.16 | (e) | $ | 0.11 | $ | 0.27 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | |||||||||||
Year Ended February 29, 2012 | 8.19 | 0.38 | (e) | 0.19 | 0.57 | (0.38 | ) | — | (f) | (0.38 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.37 | (e) | 0.34 | 0.71 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 7.03 | 0.43 | (e) | 0.82 | 1.25 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.41 | (e) | (0.82 | ) | (0.41 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 7.78 | 0.37 | 0.07 | 0.44 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 8.43 | 0.13 | (e) | 0.12 | 0.25 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 8.24 | 0.33 | (e) | 0.19 | 0.52 | (0.33 | ) | — | (f) | (0.33 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.89 | 0.33 | (e) | 0.34 | 0.67 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 7.06 | 0.38 | (e) | 0.83 | 1.21 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.83 | ) | (0.46 | ) | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 7.82 | 0.32 | 0.08 | 0.40 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 8.42 | 0.13 | (e) | 0.11 | 0.24 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 8.23 | 0.33 | (e) | 0.19 | 0.52 | (0.33 | ) | — | (f) | (0.33 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.88 | 0.32 | (e) | 0.35 | 0.67 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 7.05 | 0.38 | (e) | 0.84 | 1.22 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.84 | ) | (0.47 | ) | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 7.82 | 0.34 | 0.06 | 0.40 | (0.33 | ) | — | �� | (0.33 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 8.38 | 0.14 | (e) | 0.12 | 0.26 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 8.20 | 0.35 | (e) | 0.18 | 0.53 | (0.35 | ) | — | (f) | (0.35 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.34 | (e) | 0.35 | 0.69 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 7.03 | 0.40 | (e) | 0.82 | 1.22 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
November 3, 2008 (g) through February 28, 2009 | 6.90 | 0.13 | (e) | 0.12 | 0.25 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Class R6 (h) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 8.38 | 0.17 | (e) | 0.12 | 0.29 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 8.19 | 0.41 | (e) | 0.19 | 0.60 | (0.41 | ) | — | (f) | (0.41 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.45 | (e) | 0.84 | 1.29 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.44 | (e) | (0.82 | ) | (0.38 | ) | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 7.78 | 0.42 | 0.06 | 0.48 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 8.39 | 0.17 | (e) | 0.11 | 0.28 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 8.20 | 0.40 | (e) | 0.20 | 0.60 | (0.41 | ) | — | (f) | (0.41 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.40 | (e) | 0.34 | 0.74 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
June 19, 2009 (g) through February 28, 2010 | 7.38 | 0.31 | (e) | 0.48 | 0.79 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 8.38 | 0.16 | (e) | 0.12 | 0.28 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 8.19 | 0.39 | (e) | 0.19 | 0.58 | (0.39 | ) | — | (f) | (0.39 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 7.85 | 0.38 | (e) | 0.34 | 0.72 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.44 | (e) | 0.83 | 1.27 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.42 | (e) | (0.82 | ) | (0.40 | ) | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 7.78 | 0.39 | 0.07 | 0.46 | (0.39 | ) | — | (0.39 | ) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% 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, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
278 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 8.50 | 3.30 | % | $ | 530,748 | 0.73 | % | 3.78 | % | 0.94 | % | 12 | % | |||||||||||||
8.38 | 7.19 | 424,254 | 0.75 | 4.63 | 0.97 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.55 | 2.93 | 4,336 | 1.38 | 3.14 | 1.44 | 12 | ||||||||||||||||||||
8.43 | 6.44 | 4,990 | 1.40 | 3.99 | 1.47 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.53 | 2.85 | 512,447 | 1.38 | 3.13 | 1.44 | 12 | ||||||||||||||||||||
8.42 | 6.48 | 398,777 | 1.40 | 3.97 | 1.47 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.50 | 3.12 | 9,028 | 1.13 | 3.34 | 1.19 | 12 | ||||||||||||||||||||
8.38 | 6.66 | 927 | 1.15 | 4.21 | 1.22 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.50 | 3.47 | 178,515 | 0.38 | 4.09 | 0.44 | 12 | ||||||||||||||||||||
8.38 | 7.57 | 64,170 | 0.39 | 5.01 | 0.46 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.51 | 3.42 | 49,826 | 0.47 | 4.04 | 0.55 | 12 | ||||||||||||||||||||
8.39 | 7.47 | 39,168 | 0.48 | 4.90 | 0.57 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.50 | 3.35 | 1,500,861 | 0.63 | 3.88 | 0.70 | 12 | ||||||||||||||||||||
8.38 | 7.28 | 1,340,341 | 0.64 | 4.74 | 0.72 | 23 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 279 |
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 | ||||||||||||||||||||||
Government Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 11.55 | $ | 0.16 | $ | 0.18 | $ | 0.34 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | ||||||||||||
Year Ended February 29, 2012 | 10.81 | 0.38 | 0.76 | 1.14 | (0.38 | ) | (0.02 | ) | (0.40 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.70 | 0.39 | 0.11 | 0.50 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.42 | 0.14 | 0.56 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.42 | 0.01 | 0.43 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.48 | 0.40 | 0.88 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.54 | 0.12 | 0.18 | 0.30 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Year Ended February 29, 2012 | 10.80 | 0.30 | 0.76 | 1.06 | (0.30 | ) | (0.02 | ) | (0.32 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.31 | 0.11 | 0.42 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year Ended February 28, 2010 | 10.55 | 0.34 | 0.14 | 0.48 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 10.54 | 0.35 | 0.01 | 0.36 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 10.14 | 0.41 | 0.40 | 0.81 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.51 | 0.12 | 0.18 | 0.30 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Year Ended February 29, 2012 | 10.78 | 0.30 | 0.75 | 1.05 | (0.30 | ) | (0.02 | ) | (0.32 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.66 | 0.31 | 0.12 | 0.43 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year Ended February 28, 2010 | 10.53 | 0.35 | 0.13 | 0.48 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 10.53 | 0.34 | 0.01 | 0.35 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 10.13 | 0.42 | 0.39 | 0.81 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.54 | 0.14 | 0.19 | 0.33 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
Year Ended February 29, 2012 | 10.80 | 0.35 | 0.76 | 1.11 | (0.35 | ) | (0.02 | ) | (0.37 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.37 | 0.11 | 0.48 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.41 | 0.12 | 0.53 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||
November 3, 2008 (e) through February 28, 2009 | 10.07 | 0.09 | 0.51 | 0.60 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.54 | 0.17 | 0.19 | 0.36 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
Year Ended February 29, 2012 | 10.80 | 0.41 | 0.76 | 1.17 | (0.41 | ) | (0.02 | ) | (0.43 | ) | ||||||||||||||||||
Year Ended February 28, 2011 | 10.69 | 0.42 | 0.11 | 0.53 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.45 | 0.13 | 0.58 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.46 | — | (f) | 0.46 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.52 | 0.39 | 0.91 | (0.51 | ) | — | (0.51 | ) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% 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.
280 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 11.73 | 2.96 | % | $ | 691,030 | 0.74 | % | 2.75 | % | 0.99 | % | 4 | % | |||||||||||||
11.55 | 10.67 | 615,219 | 0.74 | 3.33 | 1.03 | 15 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.72 | 2.60 | 10,122 | 1.46 | 2.04 | 1.49 | 4 | ||||||||||||||||||||
11.54 | 9.87 | 11,661 | 1.47 | 2.68 | 1.53 | 15 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.69 | 2.61 | 213,368 | 1.46 | 2.02 | 1.49 | 4 | ||||||||||||||||||||
11.51 | 9.81 | 201,498 | 1.47 | 2.61 | 1.53 | 15 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.72 | 2.84 | 44,519 | 0.98 | 2.47 | 1.24 | 4 | ||||||||||||||||||||
11.54 | 10.41 | 25,147 | 0.99 | 3.07 | 1.28 | 15 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.72 | 3.10 | 925,044 | 0.47 | 3.01 | 0.74 | 4 | ||||||||||||||||||||
11.54 | 10.96 | 769,531 | 0.47 | 3.62 | 0.78 | 15 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 281 |
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 | Redemption fees | |||||||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 7.89 | $ | 0.25 | (e) | $ | 0.10 | $ | 0.35 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | $ | — | |||||||||||||
Year Ended February 29, 2012 | 8.33 | 0.55 | (e) | (0.27 | ) | 0.28 | (0.56 | ) | (0.16 | ) | (0.72 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.72 | 0.63 | (e) | 0.64 | 1.27 | (0.63 | ) | (0.03 | ) | (0.66 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.79 | 0.58 | 1.94 | 2.52 | (0.59 | ) | — | (0.59 | ) | — | (f) | |||||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.52 | (1.78 | ) | (1.26 | ) | (0.54 | ) | — | (0.54 | ) | — | (f) | |||||||||||||||||||
Year Ended February 29, 2008 | 8.60 | 0.62 | (0.93 | ) | (0.31 | ) | (0.61 | ) | (0.09 | ) | (0.70 | ) | — | (f) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 7.91 | 0.23 | (e) | 0.09 | 0.32 | (0.22 | ) | — | (0.22 | ) | — | |||||||||||||||||||||
Year Ended February 29, 2012 | 8.35 | 0.51 | (e) | (0.28 | ) | 0.23 | (0.51 | ) | (0.16 | ) | (0.67 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.73 | 0.58 | (e) | 0.64 | 1.22 | (0.57 | ) | (0.03 | ) | (0.60 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.55 | 1.91 | 2.46 | (0.54 | ) | — | (0.54 | ) | — | (f) | |||||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.51 | (1.80 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | — | (f) | |||||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.58 | (0.94 | ) | (0.36 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | — | (f) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 7.90 | 0.23 | (e) | 0.09 | 0.32 | (0.22 | ) | — | (0.22 | ) | — | |||||||||||||||||||||
Year Ended February 29, 2012 | 8.34 | 0.50 | (e) | (0.27 | ) | 0.23 | (0.51 | ) | (0.16 | ) | (0.67 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.72 | 0.58 | (e) | 0.64 | 1.22 | (0.57 | ) | (0.03 | ) | (0.60 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.80 | 0.53 | 1.93 | 2.46 | (0.54 | ) | — | (0.54 | ) | — | (f) | |||||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.50 | (1.79 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | — | (f) | |||||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.57 | (0.94 | ) | (0.37 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | — | (f) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 7.88 | 0.24 | (e) | 0.09 | 0.33 | (0.24 | ) | — | (0.24 | ) | — | |||||||||||||||||||||
Year Ended February 29, 2012 | 8.32 | 0.53 | (e) | (0.27 | ) | 0.26 | (0.54 | ) | (0.16 | ) | (0.70 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.71 | 0.60 | (e) | 0.65 | 1.25 | (0.61 | ) | (0.03 | ) | (0.64 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.79 | 0.55 | 1.94 | 2.49 | (0.57 | ) | — | (0.57 | ) | — | (f) | |||||||||||||||||||||
November 3, 2008 (g) through February 28, 2009 | 5.96 | 0.16 | (0.17 | ) | (0.01 | ) | (0.16 | ) | — | (0.16 | ) | — | (f) | |||||||||||||||||||
Class R5 (h) | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 7.93 | 0.27 | (e) | 0.09 | 0.36 | (0.26 | ) | — | (0.26 | ) | — | |||||||||||||||||||||
Year Ended February 29, 2012 | 8.36 | 0.58 | (e) | (0.27 | ) | 0.31 | (0.58 | ) | (0.16 | ) | (0.74 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.74 | 0.68 | (e) | 0.62 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.93 | 2.54 | (0.61 | ) | — | (0.61 | ) | — | (f) | |||||||||||||||||||||
Year Ended February 28, 2009 | 7.61 | 0.55 | (1.79 | ) | (1.24 | ) | (0.56 | ) | — | (0.56 | ) | — | (f) | |||||||||||||||||||
Year Ended February 29, 2008 | 8.63 | 0.66 | (0.95 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | — | (f) | ||||||||||||||||||
Class R6 (i) | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 7.91 | 0.27 | (e) | 0.09 | 0.36 | (0.26 | ) | — | (0.26 | ) | — | |||||||||||||||||||||
Year Ended February 29, 2012 | 8.35 | 0.58 | (e) | (0.28 | ) | 0.30 | (0.58 | ) | (0.16 | ) | (0.74 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.73 | 0.65 | (e) | 0.65 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.92 | 2.53 | (0.61 | ) | — | (0.61 | ) | — | (f) | |||||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.57 | (1.80 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | — | (f) | |||||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.65 | (0.93 | ) | (0.28 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | — | (f) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 7.92 | 0.26 | (e) | 0.10 | 0.36 | (0.26 | ) | — | (0.26 | ) | — | |||||||||||||||||||||
Year Ended February 29, 2012 | 8.36 | 0.58 | (e) | (0.28 | ) | 0.30 | (0.58 | ) | (0.16 | ) | (0.74 | ) | — | (f) | ||||||||||||||||||
Year Ended February 28, 2011 | 7.74 | 0.65 | (e) | 0.65 | 1.30 | (0.65 | ) | (0.03 | ) | (0.68 | ) | — | (f) | |||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.60 | 1.93 | 2.53 | (0.60 | ) | — | (0.60 | ) | — | (f) | |||||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.56 | (1.79 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | — | (f) | |||||||||||||||||||
Year Ended February 29, 2008 | 8.62 | 0.63 | (0.92 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | — | (f) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% 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.
282 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 7.99 | 4.49 | % | $ | 1,090,010 | 1.14 | % | 6.35 | % | 1.32 | % | 32 | % | |||||||||||||
7.89 | 3.69 | 1,103,966 | 1.15 | 6.98 | 1.34 | 41 | ||||||||||||||||||||
8.33 | 17.07 | 856,717 | 1.14 | 7.81 | 1.32 | 45 | ||||||||||||||||||||
7.72 | 44.71 | 580,690 | 1.14 | 8.40 | 1.32 | 45 | ||||||||||||||||||||
5.79 | (17.28 | ) | 184,739 | 1.15 | 8.10 | 1.31 | 18 | |||||||||||||||||||
7.59 | (3.87 | ) | 79,217 | 1.12 | 7.54 | 1.32 | 48 | |||||||||||||||||||
8.01 | 4.13 | 9,696 | 1.79 | 5.70 | 1.82 | 32 | ||||||||||||||||||||
7.91 | 3.02 | 11,060 | 1.80 | 6.34 | 1.84 | 41 | ||||||||||||||||||||
8.35 | 16.40 | 17,991 | 1.79 | 7.24 | 1.82 | 45 | ||||||||||||||||||||
7.73 | 43.46 | 22,430 | 1.79 | 7.80 | 1.82 | 45 | ||||||||||||||||||||
5.81 | (17.68 | ) | 16,720 | 1.80 | 7.33 | 1.81 | 18 | |||||||||||||||||||
7.60 | (4.51 | ) | 26,052 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||
8.00 | 4.14 | 335,933 | 1.79 | 5.71 | 1.82 | 32 | ||||||||||||||||||||
7.90 | 3.03 | 280,078 | 1.80 | 6.33 | 1.84 | 41 | ||||||||||||||||||||
8.34 | 16.45 | 248,488 | 1.79 | 7.17 | 1.82 | 45 | ||||||||||||||||||||
7.72 | 43.58 | 158,503 | 1.79 | 7.75 | 1.83 | 45 | ||||||||||||||||||||
5.80 | (17.69 | ) | 36,872 | 1.80 | 7.37 | 1.81 | 18 | |||||||||||||||||||
7.59 | (4.61 | ) | 29,517 | 1.78 | 6.88 | 1.82 | 48 | |||||||||||||||||||
7.97 | 4.24 | 14,611 | 1.39 | 6.13 | 1.57 | 32 | ||||||||||||||||||||
7.88 | 3.46 | 6,968 | 1.40 | 6.72 | 1.59 | 41 | ||||||||||||||||||||
8.32 | 16.82 | 3,609 | 1.39 | 7.49 | 1.58 | 45 | ||||||||||||||||||||
7.71 | 44.25 | 1,004 | 1.39 | 8.10 | 1.60 | 45 | ||||||||||||||||||||
5.79 | (0.05 | ) | 50 | 1.40 | 8.84 | 1.59 | 18 | |||||||||||||||||||
8.03 | 4.62 | 72,857 | 0.85 | 6.64 | 0.87 | 32 | ||||||||||||||||||||
7.93 | 4.11 | 50,747 | 0.86 | 7.28 | 0.89 | 41 | ||||||||||||||||||||
8.36 | 17.45 | 27,619 | 0.85 | 8.54 | 0.87 | 45 | ||||||||||||||||||||
7.74 | 44.95 | 148,162 | 0.84 | 8.71 | 0.87 | 45 | ||||||||||||||||||||
5.81 | (16.99 | ) | 53,497 | 0.85 | 8.55 | 0.87 | 18 | |||||||||||||||||||
7.61 | (3.71 | ) | 18,807 | 0.86 | 7.83 | 0.86 | 48 | |||||||||||||||||||
8.01 | 4.63 | 1,726,022 | 0.80 | 6.69 | 0.82 | 32 | ||||||||||||||||||||
7.91 | 4.01 | 1,461,496 | 0.81 | 7.32 | 0.84 | 41 | ||||||||||||||||||||
8.35 | 17.59 | 929,762 | 0.80 | 7.99 | 0.83 | 45 | ||||||||||||||||||||
7.73 | 44.84 | 359,553 | 0.79 | 8.76 | 0.83 | 45 | ||||||||||||||||||||
5.81 | (16.84 | ) | 91,880 | 0.80 | 8.44 | 0.81 | 18 | |||||||||||||||||||
7.60 | (3.58 | ) | 77,356 | 0.81 | 7.87 | 0.81 | 48 | |||||||||||||||||||
8.02 | 4.59 | 8,753,052 | 0.89 | 6.60 | 1.07 | 32 | ||||||||||||||||||||
7.92 | 3.95 | 8,616,283 | 0.90 | 7.23 | 1.09 | 41 | ||||||||||||||||||||
8.36 | 17.44 | 7,478,536 | 0.89 | 8.06 | 1.07 | 45 | ||||||||||||||||||||
7.74 | 44.86 | 4,567,712 | 0.89 | 8.67 | 1.08 | 45 | ||||||||||||||||||||
5.81 | (16.93 | ) | 1,837,745 | 0.90 | 8.36 | 1.06 | 18 | |||||||||||||||||||
7.60 | (3.73 | ) | 1,544,252 | 0.87 | 7.81 | 1.06 | 48 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 283 |
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 | ||||||||||||||||||||||
Inflation Managed Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 10.74 | $ | 0.11 | (e) | $ | 0.06 | $ | 0.17 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | |||||||||||
Year Ended February 29, 2012 | 10.34 | 0.22 | (e) | 0.44 | 0.66 | (0.21 | ) | (0.05 | ) | (0.26 | ) | |||||||||||||||||
March 31, 2010 (f) through February 28, 2011 | 10.00 | 0.15 | (e) | 0.41 | 0.56 | (0.16 | ) | (0.06 | ) | (0.22 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.73 | 0.07 | (e) | 0.06 | 0.13 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.34 | 0.16 | (e) | 0.43 | 0.59 | (0.15 | ) | (0.05 | ) | (0.20 | ) | |||||||||||||||||
March 31, 2010 (f) through February 28, 2011 | 10.00 | 0.11 | (e) | 0.39 | 0.50 | (0.10 | ) | (0.06 | ) | (0.16 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.74 | 0.09 | (e) | 0.07 | 0.16 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.35 | 0.20 | (e) | 0.42 | 0.62 | (0.18 | ) | (0.05 | ) | (0.23 | ) | |||||||||||||||||
March 31, 2010 (f) through February 28, 2011 | 10.00 | 0.15 | (e) | 0.39 | 0.54 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.77 | 0.12 | (e) | 0.06 | 0.18 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.37 | 0.24 | (e) | 0.44 | 0.68 | (0.23 | ) | (0.05 | ) | (0.28 | ) | |||||||||||||||||
March 31, 2010 (f) through February 28, 2011 | 10.00 | 0.24 | (e) | 0.34 | 0.58 | (0.15 | ) | (0.06 | ) | (0.21 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.74 | 0.12 | (e) | 0.06 | 0.18 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.34 | 0.25 | (e) | 0.44 | 0.69 | (0.24 | ) | (0.05 | ) | (0.29 | ) | |||||||||||||||||
November 30, 2010 (g) through February 28, 2011 | 10.39 | 0.04 | (e) | 0.01 | 0.05 | (0.04 | ) | (0.06 | ) | (0.10 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.74 | 0.11 | (e) | 0.06 | 0.17 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.34 | 0.24 | (e) | 0.44 | 0.68 | (0.23 | ) | (0.05 | ) | (0.28 | ) | |||||||||||||||||
March 31, 2010 (f) through February 28, 2011 | 10.00 | 0.19 | (e) | 0.38 | 0.57 | (0.17 | ) | (0.06 | ) | (0.23 | ) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Commencement of operations. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
284 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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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, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 10.80 | 1.55 | % | $ | 171,002 | 0.74 | % | 1.95 | % | 1.00 | % | 4 | % | |||||||||||||
10.74 | 6.42 | 134,099 | 0.74 | 2.09 | 1.02 | 36 | ||||||||||||||||||||
10.34 | 5.62 | 28,242 | 0.73 | 1.60 | 1.24 | 69 | ||||||||||||||||||||
10.79 | 1.24 | 5,691 | 1.39 | 1.28 | 1.50 | 4 | ||||||||||||||||||||
10.73 | 5.68 | 4,302 | 1.39 | 1.47 | 1.53 | 36 | ||||||||||||||||||||
10.34 | 5.01 | 284 | 1.39 | 1.17 | 2.78 | 69 | ||||||||||||||||||||
10.81 | 1.50 | 10,879 | 0.99 | 1.72 | 1.25 | 4 | ||||||||||||||||||||
10.74 | 6.04 | 11,174 | 0.99 | 1.85 | 1.27 | 36 | ||||||||||||||||||||
10.35 | 5.40 | 53 | 1.00 | 1.54 | 3.66 | 69 | ||||||||||||||||||||
10.84 | 1.71 | 58 | 0.54 | 2.15 | 0.56 | 4 | ||||||||||||||||||||
10.77 | 6.57 | 56 | 0.53 | 2.23 | 0.57 | 36 | ||||||||||||||||||||
10.37 | 5.85 | 53 | 0.55 | 2.46 | 0.72 | 69 | ||||||||||||||||||||
10.80 | 1.66 | 197,599 | 0.49 | 2.20 | 0.50 | 4 | ||||||||||||||||||||
10.74 | 6.68 | 167,997 | 0.49 | 2.37 | 0.53 | 36 | ||||||||||||||||||||
10.34 | 0.49 | 51,944 | 0.49 | 1.99 | 0.57 | 69 | ||||||||||||||||||||
10.80 | 1.60 | 991,144 | 0.59 | 2.10 | 0.75 | 4 | ||||||||||||||||||||
10.74 | 6.56 | 870,400 | 0.59 | 2.22 | 0.77 | 36 | ||||||||||||||||||||
10.34 | 5.70 | 346,927 | 0.59 | 1.97 | 1.18 | 69 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 285 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 | ||||||||||||||||
Limited Duration Bond Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 9.46 | $ | 0.08 | (e) | $ | 0.20 | $ | 0.28 | $ | (0.07 | ) | ||||||||
Year Ended February 29, 2012 | 9.46 | 0.18 | (e) | (0.01 | ) | 0.17 | (0.17 | ) | ||||||||||||
Year Ended February 28, 2011 | 8.90 | 0.21 | (e) | 0.56 | 0.77 | (0.21 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.24 | (e) | 1.11 | 1.35 | (0.25 | ) | |||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.36 | (e) | (1.50 | ) | (1.14 | ) | (0.37 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.46 | (0.46 | ) | — | (0.46 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 9.39 | 0.05 | (e) | 0.21 | 0.26 | (0.05 | ) | |||||||||||||
Year Ended February 29, 2012 | 9.39 | 0.13 | (e) | (0.01 | ) | 0.12 | (0.12 | ) | ||||||||||||
Year Ended February 28, 2011 | 8.83 | 0.17 | (e) | 0.56 | 0.73 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.74 | 0.21 | (e) | 1.09 | 1.30 | (0.21 | ) | |||||||||||||
Year Ended February 28, 2009 | 9.24 | 0.31 | (e) | (1.49 | ) | (1.18 | ) | (0.32 | ) | |||||||||||
Year Ended February 29, 2008 | 9.70 | 0.38 | (0.43 | ) | (0.05 | ) | (0.41 | ) | ||||||||||||
Class C | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 9.37 | 0.05 | (e) | 0.20 | 0.25 | (0.05 | ) | |||||||||||||
Year Ended February 29, 2012 | 9.37 | 0.13 | (e) | (0.01 | ) | 0.12 | (0.12 | ) | ||||||||||||
Year Ended February 28, 2011 | 8.82 | 0.17 | (e) | 0.55 | 0.72 | (0.17 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.72 | 0.20 | (e) | 1.11 | 1.31 | (0.21 | ) | |||||||||||||
Year Ended February 28, 2009 | 9.23 | 0.31 | (e) | (1.50 | ) | (1.19 | ) | (0.32 | ) | |||||||||||
Year Ended February 29, 2008 | 9.68 | 0.38 | (0.42 | ) | (0.04 | ) | (0.41 | ) | ||||||||||||
Class R6 (f) | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 9.47 | 0.10 | (e) | 0.20 | 0.30 | (0.09 | ) | |||||||||||||
Year Ended February 29, 2012 | 9.47 | 0.22 | (e) | (0.01 | ) | 0.21 | (0.21 | ) | ||||||||||||
Year Ended February 28, 2011 | 8.91 | 0.26 | (e) | 0.56 | 0.82 | (0.26 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.31 | (e) | 1.09 | 1.40 | (0.29 | ) | |||||||||||||
Year Ended February 28, 2009 | 9.32 | 0.40 | (e) | (1.51 | ) | (1.11 | ) | (0.41 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.50 | (0.45 | ) | 0.05 | (0.50 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 9.46 | 0.09 | (e) | 0.20 | 0.29 | (0.08 | ) | |||||||||||||
Year Ended February 29, 2012 | 9.46 | 0.20 | (e) | (0.01 | ) | 0.19 | (0.19 | ) | ||||||||||||
Year Ended February 28, 2011 | 8.90 | 0.24 | (e) | 0.56 | 0.80 | (0.24 | ) | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.26 | (e) | 1.11 | 1.37 | (0.27 | ) | |||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.38 | (e) | (1.50 | ) | (1.12 | ) | (0.39 | ) | |||||||||||
Year Ended February 29, 2008 | 9.77 | 0.49 | (0.47 | ) | 0.02 | (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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% 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.
286 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 9.67 | 2.99 | % | $ | 52,949 | 0.67 | % | 1.61 | % | 0.97 | % | 11 | % | |||||||||||||
9.46 | 1.80 | 48,120 | 0.68 | 1.89 | 0.94 | 21 | ||||||||||||||||||||
9.46 | 8.78 | 69,464 | 0.67 | 2.32 | 0.95 | 28 | ||||||||||||||||||||
8.90 | 17.61 | 74,529 | 0.67 | 2.88 | 0.98 | 23 | ||||||||||||||||||||
7.80 | (12.52 | ) | 52,560 | 0.70 | 4.12 | 0.95 | — | |||||||||||||||||||
9.31 | (0.06 | ) | 104,590 | 0.70 | 4.70 | 0.91 | 15 | |||||||||||||||||||
9.60 | 2.75 | 251 | 1.17 | 1.11 | 1.48 | 11 | ||||||||||||||||||||
9.39 | 1.30 | 286 | 1.18 | 1.39 | 1.44 | 21 | ||||||||||||||||||||
9.39 | 8.29 | 820 | 1.17 | 1.82 | 1.45 | 28 | ||||||||||||||||||||
8.83 | 17.01 | 1,845 | 1.17 | 2.58 | 1.49 | 23 | ||||||||||||||||||||
7.74 | (12.97 | ) | 6,423 | 1.20 | 3.62 | 1.44 | — | |||||||||||||||||||
9.24 | (0.56 | ) | 18,797 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||
9.57 | 2.65 | 56,405 | 1.17 | 1.11 | 1.47 | 11 | ||||||||||||||||||||
9.37 | 1.33 | 54,348 | 1.18 | 1.39 | 1.44 | 21 | ||||||||||||||||||||
9.37 | 8.20 | 66,659 | 1.17 | 1.82 | 1.45 | 28 | ||||||||||||||||||||
8.82 | 17.22 | 65,806 | 1.17 | 2.41 | 1.48 | 23 | ||||||||||||||||||||
7.72 | (13.09 | ) | 65,241 | 1.20 | 3.63 | 1.44 | — | |||||||||||||||||||
9.23 | (0.47 | ) | 145,000 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||
9.68 | 3.21 | 9,610 | 0.21 | 2.04 | 0.46 | 11 | ||||||||||||||||||||
9.47 | 2.27 | 3,642 | 0.23 | 2.34 | 0.44 | 21 | ||||||||||||||||||||
9.47 | 9.25 | 3,873 | 0.22 | 2.78 | 0.45 | 28 | ||||||||||||||||||||
8.91 | 18.26 | 1,253 | 0.23 | 3.92 | 0.51 | 23 | ||||||||||||||||||||
7.80 | (12.21 | ) | 137,474 | 0.25 | 4.56 | 0.44 | — | |||||||||||||||||||
9.32 | 0.51 | 573,714 | 0.25 | 5.15 | 0.41 | 15 | ||||||||||||||||||||
9.67 | 3.12 | 269,000 | 0.42 | 1.86 | 0.73 | 11 | ||||||||||||||||||||
9.46 | 2.08 | 292,294 | 0.43 | 2.13 | 0.69 | 21 | ||||||||||||||||||||
9.46 | 9.05 | 256,477 | 0.42 | 2.57 | 0.70 | 28 | ||||||||||||||||||||
8.90 | 17.91 | 183,481 | 0.42 | 3.14 | 0.73 | 23 | ||||||||||||||||||||
7.80 | (12.27 | ) | 179,116 | 0.45 | 4.37 | 0.70 | — | |||||||||||||||||||
9.31 | 0.18 | 352,600 | 0.45 | 4.95 | 0.66 | 15 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 287 |
Table of Contents
FINANCIAL HIGHLIGHTS
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 | ||||||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 11.75 | $ | 0.19 | $ | 0.12 | $ | 0.31 | $ | (0.18 | ) | |||||||||
Year Ended February 29, 2012 | 11.50 | 0.49 | 0.25 | 0.74 | (0.49 | ) | ||||||||||||||
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 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
July 2, 2012 (e) through August 31, 2012 (Unaudited) | 11.55 | 0.04 | 0.09 | 0.13 | (0.06 | ) | ||||||||||||||
Class R6 (f) | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.51 | 0.21 | 0.11 | 0.32 | (0.20 | ) | ||||||||||||||
Year Ended February 29, 2012 | 11.28 | 0.54 | 0.23 | 0.77 | (0.54 | ) | ||||||||||||||
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 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.51 | 0.20 | 0.11 | 0.31 | (0.19 | ) | ||||||||||||||
Year Ended February 29, 2012 | 11.27 | 0.53 | 0.23 | 0.76 | (0.52 | ) | ||||||||||||||
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 | ) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% or unless otherwise noted. |
(e) | Commencement of offering of class of shares. |
(f) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
288 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset | 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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 11.88 | 2.63 | % | $ | 315,900 | 0.63 | % | 3.20 | % | 0.97 | % | 9 | % | |||||||||||||
11.75 | 6.57 | 255,946 | 0.64 | 4.29 | 0.98 | 21 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.62 | 1.08 | 664 | 1.12 | 2.35 | 1.47 | 9 | ||||||||||||||||||||
11.63 | 2.80 | 1,853,462 | 0.23 | 3.61 | 0.47 | 9 | ||||||||||||||||||||
11.51 | 6.96 | 1,538,507 | 0.24 | 4.72 | 0.48 | 21 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.63 | 2.74 | 1,950,763 | 0.38 | 3.44 | 0.72 | 9 | ||||||||||||||||||||
11.51 | 6.89 | 1,264,766 | 0.39 | 4.51 | 0.73 | 21 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 289 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Short Duration Bond Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 10.97 | $ | 0.06 | (e) | $ | 0.03 | $ | 0.09 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | |||||||||||
Year Ended February 29, 2012 | 10.95 | 0.15 | (e) | 0.04 | 0.19 | (0.15 | ) | (0.02 | ) | (0.17 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.08 | 0.03 | (e) | 0.03 | 0.06 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.06 | 0.10 | (e) | 0.03 | 0.13 | (0.09 | ) | (0.02 | ) | (0.11 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 11.04 | 0.03 | (e) | 0.03 | 0.06 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 11.02 | 0.09 | (e) | 0.04 | 0.13 | (0.09 | ) | (0.02 | ) | (0.11 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 (f) | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.99 | 0.09 | (e) | 0.01 | 0.10 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.97 | 0.20 | (e) | 0.05 | 0.25 | (0.21 | ) | (0.02 | ) | (0.23 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 10.99 | 0.07 | (e) | 0.02 | 0.09 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended February 29, 2012 | 10.96 | 0.18 | (e) | 0.05 | 0.23 | (0.18 | ) | (0.02 | ) | (0.20 | ) | |||||||||||||||||
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 | ) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% 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.
290 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 11.00 | 0.80 | % | $ | 280,659 | 0.80 | % | 1.06 | % | 0.85 | % | 14 | % | |||||||||||||
10.97 | 1.76 | 260,098 | 0.80 | 1.36 | 0.86 | 40 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.11 | 0.54 | 1,094 | 1.29 | 0.57 | 1.35 | 14 | ||||||||||||||||||||
11.08 | 1.21 | 1,409 | 1.30 | 0.86 | 1.37 | 40 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.07 | 0.55 | 271,645 | 1.29 | 0.57 | 1.35 | 14 | ||||||||||||||||||||
11.04 | 1.23 | 297,098 | 1.30 | 0.86 | 1.37 | 40 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.01 | 0.95 | 3,932,228 | 0.30 | 1.56 | 0.36 | 14 | ||||||||||||||||||||
10.99 | 2.28 | 3,530,135 | 0.30 | 1.86 | 0.36 | 40 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.01 | 0.83 | 7,430,600 | 0.55 | 1.31 | 0.61 | 14 | ||||||||||||||||||||
10.99 | 2.10 | 6,946,436 | 0.55 | 1.61 | 0.61 | 40 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 291 |
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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 and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Return of capital | Total distributions | ||||||||||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (in liquidation) (Unaudited) | $ | 8.74 | $ | 0.04 | (e) | $ | — | (f) | $ | 0.04 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | ||||||||||
Year Ended February 29, 2012 | 8.83 | 0.11 | (e) | 0.02 | 0.13 | (0.18 | ) | (0.04 | ) | (0.22 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 8.85 | 0.15 | (e) | (0.01 | ) | 0.14 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 8.76 | 0.20 | (e) | 0.11 | 0.31 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.34 | (e) | (0.90 | ) | (0.56 | ) | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Class M | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (in liquidation) (Unaudited) | 8.74 | 0.03 | (e) | — | (f) | 0.03 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
Year Ended February 29, 2012 | 8.83 | 0.09 | (e) | 0.02 | 0.11 | (0.16 | ) | (0.04 | ) | (0.20 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 8.85 | 0.13 | (e) | (0.02 | ) | 0.11 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 8.76 | 0.18 | (e) | 0.11 | 0.29 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.29 | (e) | (0.88 | ) | (0.59 | ) | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 9.85 | 0.41 | (0.18 | ) | 0.23 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (in liquidation) (Unaudited) | 8.76 | 0.06 | (e) | — | (f) | 0.06 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
Year Ended February 29, 2012 | 8.84 | 0.14 | (e) | 0.03 | 0.17 | (0.21 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||||||
Year Ended February 28, 2011 | 8.87 | 0.17 | (e) | (0.02 | ) | 0.15 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||
Year Ended February 28, 2010 | 8.77 | 0.22 | (e) | 0.12 | 0.34 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended February 28, 2009 | 9.68 | 0.37 | (e) | (0.92 | ) | (0.55 | ) | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||
Year Ended February 29, 2008 | 9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | — | (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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
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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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 8.74 | 0.51 | % | $ | 3,836 | 0.75 | % | 1.02 | % | 1.26 | % | 12 | % | |||||||||||||
8.74 | 1.52 | 3,943 | 0.75 | 1.30 | 1.16 | 27 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.74 | 0.38 | 55,063 | 1.00 | 0.77 | 1.36 | 12 | ||||||||||||||||||||
8.74 | 1.27 | 59,970 | 1.00 | 1.03 | 1.27 | 27 | ||||||||||||||||||||
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 | ||||||||||||||||||||
8.76 | 0.63 | 1,460 | 0.50 | 1.27 | 1.01 | 12 | ||||||||||||||||||||
8.76 | 1.90 | 1,382 | 0.50 | 1.53 | 0.92 | 27 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
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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 and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Treasury & Agency Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | $ | 9.74 | $ | 0.05 | (e) | $ | (0.02 | ) | $ | 0.03 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | ||||||||||
Year Ended February 29, 2012 | 9.78 | 0.12 | (e) | 0.05 | 0.17 | (0.11 | ) | (0.10 | ) | (0.21 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 9.73 | 0.02 | (e) | (0.02 | ) | — | (f) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||
Year Ended February 29, 2012 | 9.76 | 0.07 | (e) | 0.06 | 0.13 | (0.06 | ) | (0.10 | ) | (0.16 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Six Months Ended August 31, 2012 (Unaudited) | 9.73 | 0.06 | (e) | (0.01 | ) | 0.05 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
Year Ended February 29, 2012 | 9.77 | 0.14 | (e) | 0.05 | 0.19 | (0.13 | ) | (0.10 | ) | (0.23 | ) | |||||||||||||||||
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 | ) |
(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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, if applicable, each of which is less than 0.01% or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
294 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset | 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 earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 9.73 | 0.35 | % | $ | 83,553 | 0.69 | % | 0.93 | % | 0.95 | % | 12 | % | |||||||||||||
9.74 | 1.72 | 90,893 | 0.70 | 1.17 | 0.95 | 35 | ||||||||||||||||||||
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 | ||||||||||||||||||||
9.71 | 0.01 | 369 | 1.19 | 0.43 | 1.45 | 12 | ||||||||||||||||||||
9.73 | 1.33 | 408 | 1.20 | 0.68 | 1.45 | 35 | ||||||||||||||||||||
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 | ||||||||||||||||||||
9.72 | 0.47 | 249,707 | 0.44 | 1.19 | 0.70 | 12 | ||||||||||||||||||||
9.73 | 1.97 | 313,699 | 0.45 | 1.42 | 0.70 | 35 | ||||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
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AS OF AUGUST 31, 2012 (Unaudited)
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) were each 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 I, 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 10 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 | |||
Inflation Managed Bond Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM I | Diversified | |||
Limited Duration Bond Fund | Class A, Class B, Class C, Class R6 and Select Class | JPM II | Diversified | |||
Mortgage-Backed Securities Fund | Class A, Class C, 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 |
At their meeting on August 23, 2012, the Board of Trustees of the Short Term Bond Fund II approved the liquidation of the Fund, which will occur on or about November 29, 2012. Effective August 27, 2012, the Fund no longer accepted subscription orders.
The investment objective of Core Bond Fund is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
The investment objective of Core Plus Bond Fund is to seek a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities.
The investment objective of Government Bond Fund is to seek a high level of current income with liquidity and safety of principal.
The investment objective of High Yield Fund is to seek a high level of current income by investing primarily in a diversified portfolio of debt securities which are rated below investment grade or unrated. Capital appreciation is a secondary objective.
The investment objective of Inflation Managed Bond Fund is to seek to maximize inflation protected total return.
The investment objective of Limited Duration Bond Fund is to seek a high level of current income consistent with low volatility of principal.
The investment objective of Mortgage-Backed Securities Fund is to seek to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages.
The investment objective of Short Duration Bond Fund is to seek current income consistent with preservation of capital through investment in high- and medium-grade fixed income securities.
Prior to approving the liquidation of the Fund, the investment objective of Short Term Bond Fund II was to seek a high level of income, consistent with preservation of capital.
The investment objective of Treasury & Agency Fund is to seek 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.
Class C Shares commenced operations on July 2, 2012 for Mortgage-Backed Securities Fund.
Effective May 2, 2012, following approval from the Fund’s Board of Trustees, shareholders approved the change to the Limited Duration Bond Fund’s investment objective. The current objective is stated above. Prior to May 2, 2012, the Fund’s investment objective was to seek a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities.
Effective November 1, 2009, Class B Shares of the Core Bond Fund, Core Plus Bond Fund, Government Bond Fund, High Yield Fund, Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A and Class M Shares generally provide for a front-end sales charge while Class B and Class C Shares (except for Class C Shares of the Limited Duration Bond Fund and Short Duration Bond Fund) provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years (except for Limited Duration Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund whose Class B Shares convert to Class A Shares after six years). No sales charges are assessed with respect to the Class R2, Class R5, Class R6, 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.
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2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their 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.
The financial statements of Short Term Bond Fund II have been prepared on a liquidation basis of accounting in accordance with accounting principles generally accepted in the United States of America. Accordingly, assets have been recorded at their fair value or estimated realizable amount, liabilities have been recorded at the present value amounts to be paid and all other costs of liquidation have been accrued. Assets and liabilities were historically carried at values that approximated fair value. Accordingly, the use of the liquidation basis of accounting is substantially similar to the basis of accounting Short Term Bond Fund II had applied prior to the use of the liquidation basis of accounting.
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 prices 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. 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.
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 are generally 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 each investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”), a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc. (“JPMAM”), which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Officer. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employs 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 VC or Board of Trustees 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. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities at August 31, 2012.
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) |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 297 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following tables represent 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 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,170,235 | $ | 368,182 | $ | 1,538,417 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 5,605,495 | 123,172 | 5,728,667 | ||||||||||||
Non-Agency CMO | — | 2,325,537 | 285,623 | 2,611,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 7,931,032 | 408,795 | 8,339,827 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 634,215 | 193,160 | 827,375 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 339,197 | — | 339,197 | ||||||||||||
Consumer Staples | — | 255,477 | — | 255,477 | ||||||||||||
Energy | — | 299,318 | — | 299,318 | ||||||||||||
Financials | — | 2,406,918 | 1,547 | 2,408,465 | ||||||||||||
Health Care | — | 90,769 | — | 90,769 | ||||||||||||
Industrials | — | 249,152 | 21,532 | 270,684 | ||||||||||||
Information Technology | — | 216,189 | — | 216,189 | ||||||||||||
Materials | — | 127,799 | — | 127,799 | ||||||||||||
Telecommunication Services | — | 278,872 | — | 278,872 | ||||||||||||
Utilities | — | 436,451 | — | 436,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 4,700,142 | 23,079 | 4,723,221 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 161,074 | — | 161,074 | ||||||||||||
Mortgage Pass-Through Securities | — | 3,868,843 | — | 3,868,843 | ||||||||||||
Municipal Bonds | — | 57,854 | — | 57,854 | ||||||||||||
Supranational | — | 54,938 | — | 54,938 | ||||||||||||
U.S. Government Agency Securities | — | 562,345 | — | 562,345 | ||||||||||||
U.S. Treasury Obligations | — | 6,844,214 | — | 6,844,214 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 816,901 | — | — | 816,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 816,901 | $ | 25,984,892 | $ | 993,216 | * | $ | 27,795,009 | |||||||
|
|
|
|
|
|
|
|
* | Level 3 securities are valued by brokers. At August 31, 2012, the value of these securities was approximately $993,216,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or security specific events. |
Core Plus Bond Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 1,830 | $ | — | $ | 202 | $ | 2,032 | ||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | 5,295 | — | — | 5,295 | ||||||||||||
Industrials | — | — | 16 | 16 | ||||||||||||
Information Technology | 147 | — | — | 147 | ||||||||||||
Materials | 3,385 | — | 157 | 3,542 | ||||||||||||
Telecommunication Services | — | (b) | — | — | — | (b) | ||||||||||
Utilities | — | — | 106 | 106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 10,657 | — | 481 | 11,138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 5,014 | — | 5,014 |
298 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Core Plus Bond Fund (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Consumer Staples | $ | — | $ | — | $ | — | (a) | $ | — | (a) | ||||||
Financials | 707 | 5,400 | — | 6,107 | ||||||||||||
Materials | — | — | 195 | 195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 707 | 10,414 | 195 | 11,316 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 120,285 | 36,907 | 157,192 | ||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 350,561 | 4,513 | 355,074 | ||||||||||||
Non-Agency CMO | — | 149,924 | 12,668 | 162,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 500,485 | 17,181 | 517,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 126,092 | 5,132 | 131,224 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Consumer Discretionary | — | 166 | 192 | 358 | ||||||||||||
Materials | — | 704 | — | 704 | ||||||||||||
Utilities | — | — | 285 | 285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Bonds | — | 870 | 477 | 1,347 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 107,379 | 2,320 | 109,699 | ||||||||||||
Consumer Staples | — | 49,398 | — | (a) | 49,398 | |||||||||||
Energy | — | 91,072 | — | 91,072 | ||||||||||||
Financials | — | 291,210 | 267 | 291,477 | ||||||||||||
Health Care | — | 47,518 | — | 47,518 | ||||||||||||
Industrials | — | 85,572 | 8,422 | 93,994 | ||||||||||||
Information Technology | — | 45,645 | — | 45,645 | ||||||||||||
Materials | — | 72,298 | 3,419 | 75,717 | ||||||||||||
Telecommunication Services | — | 58,075 | — | 58,075 | ||||||||||||
Utilities | — | 71,749 | 1,065 | 72,814 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 919,916 | 15,493 | 935,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 45,657 | 572 | 46,229 | ||||||||||||
Mortgage Pass-Through Securities | — | 220,416 | — | 220,416 | ||||||||||||
Municipal Bonds | — | 15,330 | — | 15,330 | ||||||||||||
Supranational | — | 4,233 | — | 4,233 | ||||||||||||
U.S. Government Agency Securities | — | 34,666 | 1,177 | 35,843 | ||||||||||||
U.S. Treasury Obligations | — | 479,957 | — | 479,957 | ||||||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 23,495 | 988 | 24,483 | ||||||||||||
Consumer Staples | — | 1,821 | — | 1,821 | ||||||||||||
Energy | — | 3,328 | — | 3,328 | ||||||||||||
Financials | — | 4,875 | — | 4,875 | ||||||||||||
Health Care | — | 1,491 | — | 1,491 | ||||||||||||
Industrials | — | 2,766 | — | 2,766 | ||||||||||||
Information Technology | — | 2,226 | — | 2,226 | ||||||||||||
Materials | — | 2,257 | — | 2,257 | ||||||||||||
Utilities | — | 2,985 | — | 2,985 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Participations & Assignments | — | 45,244 | 988 | 46,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Consumer Discretionary | — | 1,339 | — | (a) | 1,339 | |||||||||||
Industrials | — | — | — | (a) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 1,339 | — | (a) | 1,339 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 153,998 | — | — | 153,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 165,362 | $ | 2,524,904 | $ | 78,603 | $ | 2,768,869 | ||||||||
|
|
|
|
|
|
|
|
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 299 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
Core Plus Bond Fund (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 51 | $ | — | $ | 51 | ||||||||
Futures Contracts | 19 | — | — | 19 | ||||||||||||
Swaps | — | 1 | — | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 19 | $ | 52 | $ | — | $ | 71 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (44 | ) | $ | — | $ | (44 | ) | ||||||
Futures Contracts | (15 | ) | — | — | (15 | ) | ||||||||||
Swaps | — | (1,937 | ) | — | (1,937 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (15 | ) | $ | (1,981 | ) | $ | — | $ | (1,996 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Government Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Collateralized Mortgage Obligations | $ | – | $ | 763,393 | $ | 3,340 | $ | 766,733 | ||||||||
Foreign Government Security | – | 6,768 | – | 6,768 | ||||||||||||
Mortgage Pass-Through Securities | – | 134,002 | – | 134,002 | ||||||||||||
U.S. Government Agency Securities | – | 335,526 | – | 335,526 | ||||||||||||
U.S. Treasury Obligations | – | 558,573 | – | 558,573 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 103,756 | – | – | 103,756 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 103,756 | $ | 1,798,262 | $ | 3,340 | $ | 1,905,358 | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 31,164 | $ | — | $ | 1,247 | $ | 32,411 | ||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | 29,726 | — | — | 29,726 | ||||||||||||
Health Care | 6 | — | — | 6 | ||||||||||||
Industrials | — | — | 444 | 444 | ||||||||||||
Information Technology | 7,575 | — | — | (a) | 7,575 | |||||||||||
Materials | 7,620 | — | 880 | 8,500 | ||||||||||||
Utilities | — | — | 1,587 | 1,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 76,091 | — | 4,158 | 80,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 24,981 | 415 | 25,396 | ||||||||||||
Consumer Staples | — | — | — | (a) | — | (a) | ||||||||||
Financials | 31,809 | 45,227 | — | 77,036 | ||||||||||||
Information Technology | — | — | — | (a) | — | (a) | ||||||||||
Materials | — | — | 1,254 | 1,254 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 31,809 | 70,208 | 1,669 | 103,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | — | 104 | 6,753 | 6,857 | ||||||||||||
Commercial Mortgage-Backed Security | — | 99,284 | — | 99,284 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Consumer Discretionary | — | 12,107 | 3,054 | 15,161 | ||||||||||||
Materials | — | 1,947 | — | 1,947 | ||||||||||||
Utilities | — | — | 4,271 | 4,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Bonds | — | 14,054 | 7,325 | 21,379 | ||||||||||||
|
|
|
|
|
|
|
|
300 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
High Yield Fund (continued) | ||||||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | $ | — | $ | 1,651,314 | $ | 27,588 | $ | 1,678,902 | ||||||||
Consumer Staples | — | 421,089 | — | (a) | 421,089 | |||||||||||
Energy | — | 1,309,682 | — | 1,309,682 | ||||||||||||
Financials | — | 1,243,622 | 10,490 | 1,254,112 | ||||||||||||
Health Care | — | 746,731 | 1,668 | 748,399 | ||||||||||||
Industrials | — | 869,362 | 133,897 | 1,003,259 | ||||||||||||
Information Technology | — | 515,409 | — | 515,409 | ||||||||||||
Materials | — | 1,010,840 | 14,820 | 1,025,660 | ||||||||||||
Telecommunication Services | — | 774,698 | — | 774,698 | ||||||||||||
Utilities | — | 427,559 | 35,810 | 463,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 8,970,306 | 224,273 | 9,194,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Participations & Assignments | ||||||||||||||||
Consumer Discretionary | — | 566,877 | 5,565 | 572,442 | ||||||||||||
Consumer Staples | — | 114,196 | — | 114,196 | ||||||||||||
Energy | — | 81,936 | — | 81,936 | ||||||||||||
Financials | — | 67,480 | — | 67,480 | ||||||||||||
Health Care | — | 61,639 | — | 61,639 | ||||||||||||
Industrials | — | 125,710 | — | 125,710 | ||||||||||||
Information Technology | — | 186,541 | 4,509 | 191,050 | ||||||||||||
Materials | — | 107,101 | — | 107,101 | ||||||||||||
Telecommunication Services | — | 27,487 | — | 27,487 | ||||||||||||
Utilities | — | 98,386 | — | 98,386 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Participations & Assignments | — | 1,437,353 | 10,074 | 1,447,427 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Consumer Discretionary | — | 15,312 | — | (a) | 15,312 | |||||||||||
Industrials | — | — | — | (a) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 15,312 | — | (a) | 15,312 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 652,046 | — | — | 652,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 759,946 | $ | 10,606,621 | $ | 254,252 | $ | 11,620,819 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Swaps | $ | — | $ | 178 | $ | — | $ | 178 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation Managed Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 34,699 | $ | 754 | $ | 35,453 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 423,090 | 308 | 423,398 | ||||||||||||
Non-Agency CMO | — | 14,369 | 477 | 14,846 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Collateralized Mortgage Obligations | — | 437,459 | 785 | 438,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | — | 24,108 | 2,581 | 26,689 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 17,650 | — | 17,650 | ||||||||||||
Consumer Staples | — | 16,809 | — | 16,809 | ||||||||||||
Energy | — | 19,716 | — | 19,716 | ||||||||||||
Financials | — | 124,969 | — | 124,969 | ||||||||||||
Health Care | — | 6,430 | — | 6,430 | ||||||||||||
Industrials | — | 22,791 | 1,390 | 24,181 | ||||||||||||
Information Technology | — | 15,893 | — | 15,893 | ||||||||||||
Materials | — | 13,408 | — | 13,408 |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 301 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Inflation Managed Bond Fund (continued) | ||||||||||||||||
Telecommunication Services | $ | — | $ | 15,854 | $ | — | $ | 15,854 | ||||||||
Utilities | — | 37,670 | — | 37,670 | ||||||||||||
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Total Corporate Bonds | — | 291,190 | 1,390 | 292,580 | ||||||||||||
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Foreign Government Security | — | 1,618 | — | 1,618 | ||||||||||||
Mortgage Pass-Through Securities | — | 70,364 | — | 70,364 | ||||||||||||
Supranational | — | 671 | — | 671 | ||||||||||||
U.S. Government Agency Securities | — | 284,457 | — | 284,457 | ||||||||||||
U.S. Treasury Obligations | — | 193,232 | — | 193,232 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 32,738 | — | — | 32,738 | ||||||||||||
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Total Investments in Securities | $ | 32,738 | $ | 1,337,798 | $ | 5,510 | $ | 1,376,046 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Swaps | $ | — | $ | 2,950 | $ | — | $ | 2,950 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Swaps | $ | — | $ | (7,516 | ) | $ | — | $ | (7,516 | ) | ||||||
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Limited Duration Bond Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 50,786 | $ | 1,569 | $ | 52,355 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 140,180 | 796 | 140,976 | ||||||||||||
Non-Agency CMO | — | 85,368 | — | 85,368 | ||||||||||||
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Total Collateralized Mortgage Obligations | — | 225,548 | 796 | 226,344 | ||||||||||||
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Commercial Mortgage-Backed Securities | — | 11,846 | — | 11,846 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Financials | — | 1,346 | — | 1,346 | ||||||||||||
Mortgage Pass-Through Securities | — | 54,393 | — | 54,393 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 41,163 | — | — | 41,163 | ||||||||||||
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Total Investments in Securities | $ | 41,163 | $ | 343,919 | $ | 2,365 | $ | 387,447 | ||||||||
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Mortgage-Backed Securities Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 68,471 | $ | 53,717 | $ | 122,188 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 1,468,546 | 20,098 | 1,488,644 | ||||||||||||
Non-Agency CMO | — | 541,236 | 68,192 | 609,428 | ||||||||||||
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Total Collateralized Mortgage Obligations | — | 2,009,782 | 88,290 | 2,098,072 | ||||||||||||
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Commercial Mortgage-Backed Securities | — | 61,096 | 30,133 | 91,229 | ||||||||||||
Mortgage Pass-Through Securities | — | 1,332,043 | — | 1,332,043 | ||||||||||||
U.S. Government Securities | — | 13,523 | — | 13,523 | ||||||||||||
U.S. Treasury Obligations | — | 152,555 | — | 152,555 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 416,514 | — | — | 416,514 | ||||||||||||
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Total Investments in Securities | $ | 416,514 | $ | 3,637,470 | $ | 172,140 | * | $ | 4,226,124 | |||||||
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* | Level 3 securities are valued by brokers. At August 31, 2012, the value of these securities was approximately $172,140,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or security specific events. |
302 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Short Duration Bond Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 849,628 | $ | 81,431 | $ | 931,059 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 779,183 | 52,422 | 831,605 | ||||||||||||
Non-Agency CMO | — | 254,170 | 37,352 | 291,522 | ||||||||||||
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Total Collateralized Mortgage Obligations | — | 1,033,353 | 89,774 | 1,123,127 | ||||||||||||
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Commercial Mortgage-Backed Securities | — | 428,284 | 49,459 | 477,743 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 107,410 | — | 107,410 | ||||||||||||
Consumer Staples | — | 99,520 | — | 99,520 | ||||||||||||
Energy | — | 71,232 | — | 71,232 | ||||||||||||
Financials | — | 1,270,260 | — | 1,270,260 | ||||||||||||
Health Care | — | 42,746 | — | 42,746 | ||||||||||||
Industrials | — | 80,615 | — | 80,615 | ||||||||||||
Information Technology | — | 114,484 | — | 114,484 | ||||||||||||
Materials | — | 98,417 | — | 98,417 | ||||||||||||
Telecommunication Services | — | 112,315 | — | 112,315 | ||||||||||||
Utilities | — | 139,810 | — | 139,810 | ||||||||||||
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Total Corporate Bonds | — | 2,136,809 | — | 2,136,809 | ||||||||||||
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Foreign Government Securities | — | 58,489 | — | 58,489 | ||||||||||||
Mortgage Pass-Through Securities | — | 884,421 | — | 884,421 | ||||||||||||
Supranational | — | 922 | — | 922 | ||||||||||||
U.S. Government Agency Securities | — | 2,301,433 | — | 2,301,433 | ||||||||||||
U.S. Treasury Obligations | — | 3,797,703 | — | 3,797,703 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 161,975 | — | — | 161,975 | ||||||||||||
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Total Investments in Securities | $ | 161,975 | $ | 11,491,042 | $ | 220,664 | * | $ | 11,873,681 | |||||||
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* | Level 3 securities are valued by brokers. At August 31, 2012, the value of these securities was approximately $220,664,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or security specific events. |
Short Term Bond Fund II | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 3,588 | $ | — | $ | 3,588 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Agency CMO | — | 2,870 | 73 | 2,943 | ||||||||||||
Non-Agency CMO | — | 37 | — | 37 | ||||||||||||
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Total Collateralized Mortgage Obligations | — | 2,907 | 73 | 2,980 | ||||||||||||
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Commercial Mortgage-Backed Securities | — | 162 | — | 162 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 443 | — | 443 | ||||||||||||
Consumer Staples | — | 1,016 | — | 1,016 | ||||||||||||
Energy | — | 467 | — | 467 | ||||||||||||
Financials | — | 6,770 | — | 6,770 | ||||||||||||
Health Care | — | 35 | — | 35 | ||||||||||||
Industrials | — | 533 | — | 533 | ||||||||||||
Information Technology | — | 985 | — | 985 | ||||||||||||
Materials | — | 416 | — | 416 | ||||||||||||
Telecommunication Services | — | 522 | — | 522 | ||||||||||||
Utilities | — | 622 | — | 622 | ||||||||||||
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Total Corporate Bonds | — | 11,809 | — | 11,809 | ||||||||||||
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AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 303 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
Short Term Bond Fund II (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Foreign Government Securities | $ | — | $ | 154 | $ | — | $ | 154 | ||||||||
Mortgage Pass-Through Securities | — | 1,008 | — | 1,008 | ||||||||||||
Supranational | — | 40 | — | 40 | ||||||||||||
U.S. Government Agency Securities | — | 20,052 | — | 20,052 | ||||||||||||
U.S. Treasury Obligations | — | 19,049 | — | 19,049 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 660 | — | — | 660 | ||||||||||||
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Total Investments in Securities | $ | 660 | $ | 58,769 | $ | 73 | $ | 59,502 | ||||||||
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Treasury & Agency Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
U.S Government Agency Securities | $ | — | $ | 50,915 | $ | 11,001 | $ | 61,916 | ||||||||
U.S Treasury Obligations | — | 249,528 | — | 249,528 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 20,587 | — | — | 20,587 | ||||||||||||
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Total Investments in Securities | $ | 20,587 | $ | 300,443 | $ | 11,001 | * | $ | 332,031 | |||||||
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* | Level 3 securities are valued by brokers. At August 31, 2012, the value of these securities was approximately $11,001,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or security specific events. |
(a) | Value is zero. |
(b) | Amount rounds to less than $1,000. |
There were no transfers between Levels 1 and 2 during the six months ended August 31, 2012.
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 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 91,313 | $ | — | $ | 969 | $ | 25 | $ | 292,793 | $ | (88,915 | ) | $ | 71,997 | $ | — | $ | 368,182 | |||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | — | — | 668 | 19 | 11,981 | (2,782 | ) | 113,286 | — | 123,172 | ||||||||||||||||||||||||||
Non-Agency CMO | 146,340 | — | 2,490 | 61 | 86,069 | (59,831 | ) | 110,494 | — | 285,623 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | — | — | 445 | 70 | 137,919 | (18,602 | ) | 73,328 | — | 193,160 | ||||||||||||||||||||||||||
Corporate Bonds — Financials | 1,564 | — | (18 | ) | 1 | — | — | — | — | 1,547 | ||||||||||||||||||||||||||
Corporate Bonds — Industrials | — | — | 149 | (6 | ) | — | (572 | ) | 21,961 | — | 21,532 | |||||||||||||||||||||||||
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Total | $ | 239,217 | $ | — | $ | 4,703 | $ | 170 | $ | 528,762 | $ | (170,702 | ) | $ | 391,066 | $ | — | $ | 993,216 | |||||||||||||||||
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304 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Core Plus Bond Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 3,125 | $ | — | $ | (122 | ) | $ | 7 | $ | 36,070 | $ | (3,754 | ) | $ | 1,581 | $ | — | $ | 36,907 | ||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | — | — | 75 | 1 | — | (133 | ) | 4,570 | — | 4,513 | ||||||||||||||||||||||||||
Non-Agency CMO | 2,484 | — | (a) | 108 | 2 | 9,651 | (2,288 | ) | 2,711 | — | 12,668 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | — | — | 54 | 6 | 4,706 | (192 | ) | 558 | — | 5,132 | ||||||||||||||||||||||||||
Common Stocks — Consumer Discretionary | 369 | (29 | ) | 93 | — | 182 | (413 | ) | — | — | 202 | |||||||||||||||||||||||||
Common Stocks — Consumer Staples | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks — Industrials | — | — | 5 | — | 11 | — | — | — | 16 | |||||||||||||||||||||||||||
Common Stocks — Materials | 212 | — | (55 | ) | — | — | — | — | — | 157 | ||||||||||||||||||||||||||
Common Stocks — Telecommunication Services | — | (b) | — | — | — | — | — | (b) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Utilities | — | — | — | — | 106 | — | — | — | 106 | |||||||||||||||||||||||||||
Convertible Bonds — Consumer Discretionary | — | — | — | — | 192 | — | — | — | 192 | |||||||||||||||||||||||||||
Convertible Bonds — Utilities | — | — | — | — | 285 | — | — | — | 285 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Discretionary | 406 | (265 | ) | (119 | ) | 8 | 2,511 | (221 | ) | — | — | 2,320 | ||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 92 | — | (102 | ) | — | 10 | — | — | — | — | (b) | |||||||||||||||||||||||||
Corporate Bonds — Financials | — | — | 153 | — | — | — | 114 | — | 267 | |||||||||||||||||||||||||||
Corporate Bonds — Industrials | 152 | — | 155 | 6 | 375 | (314 | ) | 8,048 | — | 8,422 | ||||||||||||||||||||||||||
Corporate Bonds — Information Technology | 2,856 | — | — | — | — | — | — | (2,856 | ) | — | ||||||||||||||||||||||||||
Corporate Bonds — Materials | 3,569 | — | 74 | 29 | 28 | — | — | (281 | ) | 3,419 | ||||||||||||||||||||||||||
Corporate Bonds — Utilities | — | (2,065 | ) | 1,388 | (2 | ) | 60 | (367 | ) | 2,051 | — | 1,065 | ||||||||||||||||||||||||
Foreign Government Securities | 496 | (8 | ) | (53 | ) | 2 | 350 | (215 | ) | — | — | 572 | ||||||||||||||||||||||||
Loan Participations & Assignments — Consumer Discretionary | — | — | (1,750 | ) | — | 2,738 | — | — | — | 988 | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | — | (b) | — | (1 | ) | — | 328 | (327 | ) | — | — | — | (b) | |||||||||||||||||||||||
Preferred Stocks — Materials | 204 | — | (9 | ) | — | — | — | — | — | 195 | ||||||||||||||||||||||||||
U.S. Government Agency Securities | — | — | 8 | (1 | ) | — | (40 | ) | 1,210 | — | 1,177 | |||||||||||||||||||||||||
Warrants — Consumer Discretionary | — | — | — | (a) | — | — | (a) | — | — | — | — | (b) | ||||||||||||||||||||||||
Warrants — Industrials | — | — | — | — | — | (b) | — | — | — | — | (b) | |||||||||||||||||||||||||
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Total | $ | 13,965 | $ | (2,367 | ) | $ | (98 | ) | $ | 58 | $ | 57,603 | $ | (8,264 | ) | $ | 20,843 | $ | (3,137 | ) | $ | 78,603 | ||||||||||||||
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Government Bond Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | $ | — | $ | — | $ | 78 | $ | 10 | $ | — | $ | (167 | ) | $ | 3,419 | $ | — | $ | 3,340 | |||||||||||||||||
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Total | $ | — | $ | — | $ | 78 | $ | 10 | $ | — | $ | (167 | ) | $ | 3,419 | $ | — | $ | 3,340 | |||||||||||||||||
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AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 305 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
High Yield Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 6,972 | $ | — | $ | (152 | ) | $ | (64 | ) | $ | — | $ | (3 | ) | $ | — | $ | — | $ | 6,753 | |||||||||||||||
Common Stocks — Consumer Discretionary | 5,453 | 1,797 | (1,125 | ) | — | 1,206 | (6,107 | ) | 23 | — | 1,247 | |||||||||||||||||||||||||
Common Stocks — Consumer Staples | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks — Industrials | — | — | 148 | — | 296 | — | — | — | 444 | |||||||||||||||||||||||||||
Common Stocks — Information Technology | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Common Stocks — Materials | 1,187 | — | (307 | ) | — | — | — | — | — | 880 | ||||||||||||||||||||||||||
Common Stocks —Telecommunication Services | — | (b) | — | — | — | — | — | (b) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Utilities | — | — | — | — | 1,587 | — | — | — | 1,587 | |||||||||||||||||||||||||||
Convertible Bonds — Consumer Discretionary | — | — | — | — | 3,054 | — | — | — | 3,054 | |||||||||||||||||||||||||||
Convertible Bonds — Utilities | — | — | — | — | 4,271 | — | — | — | 4,271 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Discretionary | 5,645 | (4,232 | ) | 10 | 90 | 29,581 | (3,506 | ) | — | — | 27,588 | |||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 1,353 | — | (1,487 | ) | — | 134 | — | — | — | — | (b) | |||||||||||||||||||||||||
Corporate Bonds — Financials | 9,899 | — | 30 | 8 | — | (532 | ) | 1,085 | — | 10,490 | ||||||||||||||||||||||||||
Corporate Bonds — Health Care | 1,537 | — | (79 | ) | (1 | ) | 211 | — | — | — | 1,668 | |||||||||||||||||||||||||
Corporate Bonds — Industrials | — | 363 | 1,903 | 273 | 34,389 | (11,005 | ) | 107,974 | — | 133,897 | ||||||||||||||||||||||||||
Corporate Bonds — Information Technology | 16,643 | — | — | — | — | — | — | (16,643 | ) | — | ||||||||||||||||||||||||||
Corporate Bonds — Materials | 15,440 | — | 105 | 89 | 217 | — | — | (1,031 | ) | 14,820 | ||||||||||||||||||||||||||
Corporate Bonds — Utilities | — | (30,866 | ) | 23,398 | 6 | 902 | (4,150 | ) | 46,520 | — | 35,810 | |||||||||||||||||||||||||
Loan Participation & Assignments — Consumer Discretionary | — | — | (8,922 | ) | — | 14,487 | — | — | — | 5,565 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 5,872 | (22 | ) | (248 | ) | 16 | — | (1,109 | ) | — | — | 4,509 | ||||||||||||||||||||||||
Preferred Stocks — Consumer Discretionary | 645 | — | (230 | ) | — | — | — | — | — | 415 | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Preferred Stocks — Information Technology | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
Preferred Stocks — Materials | 1,311 | — | (57 | ) | — | — | — | — | — | 1,254 | ||||||||||||||||||||||||||
Warrants — Consumer Discretionary | — | — | (2 | ) | — | 2 | — | — | — | — | (b) | |||||||||||||||||||||||||
Warrants — Industrials | — | — | — | — | — | (b) | — | — | — | — | (b) | |||||||||||||||||||||||||
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Total | $ | 71,957 | $ | (32,960 | ) | $ | 12,985 | $ | 417 | $ | 90,337 | $ | (26,412 | ) | $ | 155,602 | $ | (17,674 | ) | $ | 254,252 | |||||||||||||||
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Inflation Managed Bond Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 3 | $ | — | $ | — | $ | (245 | ) | $ | 996 | $ | — | $ | 754 | |||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | — | — | 3 | — | — | (7 | ) | 312 | — | 308 | ||||||||||||||||||||||||||
Non-Agency CMO | — | — | — | — | 485 | (8 | ) | — | — | 477 | ||||||||||||||||||||||||||
Commerical Mortgage-Backed Securities | — | — | 2 | — | 1,043 | — | 1,536 | — | 2,581 | |||||||||||||||||||||||||||
Corporate Bonds — Industrials | — | — | 8 | (1 | ) | — | (40 | ) | 1,423 | — | 1,390 | |||||||||||||||||||||||||
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Total | $ | — | $ | — | $ | 16 | $ | (1 | ) | $ | 1,528 | $ | (300 | ) | $ | 4,267 | $ | — | $ | 5,510 | ||||||||||||||||
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306 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
Limited Duration Bond Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 748 | $ | — | $ | 4 | $ | — | $ | 1,638 | $ | (73 | ) | $ | — | $ | (748 | ) | $ | 1,569 | ||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | — | — | 1 | — | — | (65 | ) | 860 | — | 796 | ||||||||||||||||||||||||||
Corporate Bonds — Financials | 1,644 | (4,579 | ) | 4,675 | — | — | (1,740 | ) | — | — | — | |||||||||||||||||||||||||
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Total | $ | 2,392 | $ | (4,579 | ) | $ | 4,680 | $ | — | $ | 1,638 | $ | (1,878 | ) | $ | 860 | $ | (748 | ) | $ | 2,365 | |||||||||||||||
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Mortgage-Backed Securities Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 12,713 | $ | — | $ | 327 | $ | 3 | $ | 42,915 | $ | (13,282 | ) | $ | 11,041 | $ | — | $ | 53,717 | |||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | — | — | 81 | (4 | ) | 7,619 | (331 | ) | 12,733 | — | 20,098 | |||||||||||||||||||||||||
Non-Agency CMO | 24,032 | — | 195 | 14 | 30,968 | (10,156 | ) | 23,139 | — | 68,192 | ||||||||||||||||||||||||||
Commerical Mortgage-Backed Securities | — | — | 53 | 12 | 23,884 | (2,405 | ) | 8,589 | — | 30,133 | ||||||||||||||||||||||||||
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Total | $ | 36,745 | $ | — | $ | 656 | $ | 25 | $ | 105,386 | $ | (26,174 | ) | $ | 55,502 | $ | — | $ | 172,140 | |||||||||||||||||
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Short Duration Bond Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 138 | $ | — | $ | 60,525 | $ | (10,354 | ) | $ | 31,122 | $ | — | $ | 81,431 | |||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | — | — | 17 | 3 | — | (3,271 | ) | 55,673 | — | 52,422 | ||||||||||||||||||||||||||
Non-Agency CMO | — | — | 178 | (1 | ) | 9,368 | (4,718 | ) | 32,525 | — | 37,352 | |||||||||||||||||||||||||
Commerical Mortgage-Backed Securities | — | — | 76 | (1 | ) | 35,681 | (9,724 | ) | 23,427 | 49,459 | ||||||||||||||||||||||||||
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Total | $ | — | $ | — | $ | 409 | $ | 1 | $ | 105,574 | $ | (28,067 | ) | $ | 142,747 | $ | — | $ | 220,664 | |||||||||||||||||
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Short Term Bond Fund II | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||||||||||||||||||||
Agency CMO | $ | — | $ | — | $ | — | (a) | $ | — | $ | — | $ | (7 | ) | $ | 80 | $ | — | $ | 73 | ||||||||||||||||
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Total | $ | — | $ | — | $ | — | (a) | $ | — | $ | — | $ | (7 | ) | $ | 80 | $ | — | $ | 73 | ||||||||||||||||
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Treasury & Agency Fund | Balance as of 2/29/12 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases 1 | Sales 2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 8/31/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
U.S. Government Agency Securities | $ | — | $ | — | $ | (71 | ) | $ | (53 | ) | $ | 4,425 | $ | (614 | ) | $ | 7,314 | $ | — | $ | 11,001 | |||||||||||||||
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Total | $ | — | $ | — | $ | (71 | ) | $ | (53 | ) | $ | 4,425 | $ | (614 | ) | $ | 7,314 | $ | — | $ | 11,001 | |||||||||||||||
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AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 307 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
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) | Value is zero. |
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 changes in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2012, which were valued using significant unobservable inputs (Level 3) were as follows (amounts in thousands):
Core Bond Fund | $ | 4,716 | ||
Core Plus Bond Fund | (769 | ) | ||
Government Bond Fund | 78 | |||
High Yield Fund | 9,835 | |||
Inflation Managed Bond Fund | 16 | |||
Limited Duration Bond Fund | 5 | |||
Mortgage-Backed Securities Fund | 658 | |||
Short Duration Bond Fund | 409 | |||
Short Term Bond Fund II | — | (a) | ||
Treasury & Agency Fund | (71 | ) |
(a) | Amount rounds to less than $1,000. |
These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.
Core Plus Bond Fund
Quantitative Information about Level 3 Fair Value Measurements # (amounts in thousands)
Fair Value at 8/31/2012 | Valuation Technique(s) | Unobservable Input(s) | Range (Weighted Average) | |||||||
$ | 36 | Market Comparable Companies | EBITDA Multiple (a) | 5.50x - 6.90x (6.63x) | ||||||
Discount for lack of marketability (b) | 25% - 30% (29.02%) | |||||||||
20 | Mergers and Acquisitions | Discount for potential outcome | 20% (N/A) | |||||||
Discount for lack of marketability (b) | 25% (N/A) | |||||||||
169 | Terms of Plan of Reorganization | Discount for lack of marketability (b) | 25% (N/A) | |||||||
Bond To Equity Conversion Price | $3.50 (N/A) | |||||||||
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| |||||||||
Common Stock | 225 | |||||||||
195 | Discounted Cash Flow | Discount for lack of marketability (b) | 17.50% (N/A) | |||||||
0(c) | Market Comparable Companies | EBITDA Multiple (a) | 5.82x (N/A) | |||||||
Discount for lack of marketability (b) | 30% (N/A) | |||||||||
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Preferred Stock | 195 | |||||||||
1,508 | Market Comparable Companies | EBITDA Multiple (a) | 5.50x - 6.90x (6.25x) | |||||||
Discount for lack of marketability (b) | 25% - 30% (27.66%) | |||||||||
285 | Issuance Price | Percent of Par | 100% (N/A) | |||||||
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Corporate Bond | 1,793 | |||||||||
2,444 | Discounted Cash Flow | Liquidity Discount Implied Spread to Index | 4.50% (4.50%) 2% (2%) | |||||||
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Asset-Backed Securities | 2,444 | |||||||||
0 | Terms of Plan of Reorganization | Issue Price vs. Strike Price | N/A | |||||||
|
| |||||||||
Warrants | 0 | |||||||||
147 | Broker Bids | Average of Broker Bids | $28.08 (N/A) | |||||||
|
| |||||||||
Other Assets | 147 | |||||||||
Total | $ | 4,804 |
# | The table above does not include level 3 securities that are valued by brokers. At August 31, 2012, the value of these securities was approximately $73,799,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or security specific events. |
308 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
(a) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account premiums and discounts, as applicable, when pricing the investments. |
(c) | Securities senior to the preferred securities in issuing entity capital structure result in preferred stock being valued at zero. |
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for marketability, discount for potential outcome and probability of default may decrease (increase) the fair value measurement.
High Yield Fund
Quantitative Information about Level 3 Fair Value Measurements # (amounts in thousands)
Fair Value at 8/31/2012 | Valuation Technique(s) | Unobservable Input(s) | Range (Weighted Average) | |||||||
$ | 497 | Market Comparable Companies | EBITDA Multiple (a) | 5.40x - 6.90x (6.78x) | ||||||
Discount for lack of marketability (b) | 25% - 30% (29.55%) | |||||||||
294 | Mergers and Acquisitions | Discount for potential outcome | 20% (N/A) | |||||||
Discount for lack of marketability (b) | 25% (N/A) | |||||||||
904 | Terms of Plan of Reorganization | Discount for lack of marketability (b) | 25% (N/A) | |||||||
Bond To Equity Conversion Price | $3.50 (N/A) | |||||||||
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| |||||||||
Common Stock | 1,695 | |||||||||
1,254 | Discounted Cash Flow | Discount for lack of marketability (b) | 17.50% (N/A) | |||||||
0(c) | Market Comparable Companies | EBITDA Multiple (a) | 5.82x (N/A) | |||||||
Discount for lack of marketability (b) | 30% (N/A) | |||||||||
|
| |||||||||
Preferred Stock | 1,254 | |||||||||
20,769 | Market Comparable Companies | EBITDA Multiple (a) | 5.50x - 6.90x (6.43x) | |||||||
Discount for lack of marketability (b) | 25% - 30% (28.06%) | |||||||||
Probability of Default | 86% (N/A) | |||||||||
4,271 | Issuance Price | Percent of Par | 100% (N/A) | |||||||
|
| |||||||||
Corporate Bond | 25,040 | |||||||||
6,725 | Discounted Cash Flow | Liquidity Discount Implied Spread to Index | 4.5% (N/A) 2% (N/A) | |||||||
|
| |||||||||
Asset-Backed Securities | 6,725 | |||||||||
0 | Terms of Plan of Reorganization | Issue Price vs. Strike Price | N/A | |||||||
|
| |||||||||
Warrants | 0 | |||||||||
Total | $ | 34,714 |
# | The table above does not include level 3 securities that are valued by brokers. At August 31, 2012, the value of these securities was approximately $219,538,000. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2A. The appropriateness of fair values for these securities is based on results of back testing, broker due diligence, unchanged price review and consideration of macro or security specific events. |
(a) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account premiums and discounts, as applicable, when pricing the investments. |
(c) | Securities senior to the preferred securities in issuing entity capital structure result in preferred stock being valued at zero. |
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for marketability, discount for potential outcome, probability of default and liquidity discount may decrease (increase) the fair value measurement
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (“Securities Act”). 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
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 309 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
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. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds. As of August 31, 2012, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
The following are the values and percentages of net assets of illiquid securities as of August 31, 2012 (amounts in thousands):
Value | Percentage | |||||||
Core Bond Fund | $ | 363,487 | 1.3 | % | ||||
Core Plus Bond Fund | 35,622 | 1.3 | ||||||
High Yield Fund | 80,989 | 0.7 | ||||||
Mortgage-Backed Securities Fund | 79,402 | 1.9 | ||||||
Short Duration Bond Fund | 23,028 | 0.2 |
C. 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 they purchase 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. Although certain loan participations or assignments are secured by collateral, the Funds could experience delays or limitations in realizing on such collateral or have their interest subordinated to other indebtedness of the obligor. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
D. Unfunded Commitments — Core Plus Bond Fund and High Yield Fund may enter into commitments to buy and sell investments including commitments to buy loan participations and assignments 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.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. The Funds segregate security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risks exist on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.
At August 31, 2012, the Funds did not have any outstanding unfunded loan commitments.
E. Derivatives — Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund use instruments including futures, forward foreign currency exchange 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, High Yield Fund and Inflation Managed Bond 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 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.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark-to-market gains to the Funds.
Notes E(1) — E(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 (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 the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
310 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
Table of Contents
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.
(2). Swaps — Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond Fund engage in various swap transactions, including interest rate and credit default swaps, to provide inflation protection and 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 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 as either an asset or a liability on the Statements of Assets and Liabilities 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 in the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
These Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding swap contracts with the counterparty in the form of cash or securities. Collateral posted by the Funds is held in a segregated account at the Funds’ 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 Funds is held in escrow in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, which provides collateral management services to the Funds (See Note 3.F.). These amounts are not reflected on the Funds’ Statements of Assets and Liabilities and are disclosed in the table below.
The Funds’ swap contracts at net value and collateral posted or received by counterparty as of August 31, 2012 is as follows (amounts in thousands):
Fund | Counterparty | Value of swap contracts | Collateral amount | |||||||||||
Core Plus Bond Fund | Collateral Received | |||||||||||||
Deutsche Bank AG, New York | $ | 342 | $ | (530 | ) | |||||||||
High Yield Fund | Collateral Posted | |||||||||||||
Barclays Bank, plc | (655 | ) | 1,040 | |||||||||||
Inflation Managed Bond Fund | Collateral Posted | |||||||||||||
Deutsche Bank AG, New York | (2,265 | ) | 2,370 | |||||||||||
Morgan Stanley Capital Services | (2,643 | ) | 2,320 | |||||||||||
Royal Bank of Scotland | (1,236 | ) | 1,140 | |||||||||||
Union Bank of Switzerland AG | (351 | ) | 520 | |||||||||||
Collateral Received | ||||||||||||||
BNP Paribas | 724 | (469 | ) | |||||||||||
Citibank, N.A. | 1,528 | (1,340 | ) |
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 represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the 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.
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 311 |
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
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.
Inflation-Linked Swaps
Inflation Managed Bond Fund uses inflation-linked swaps to provide inflation protection within its portfolio.
The use of swaps exposes the Fund to inflation risk. The Fund also may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying rate; (ii) counterparty credit risk related to the failure, by the counterparty to the swap, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and, (iv) documentation risk relating to disagreement over contract terms.
(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 foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
(4). Summary of Derivatives Information
The following tables present the value of derivatives held as of August 31, 2012, 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 | Statements of Assets and Liabilities Location | |||||||||||||
Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Swaps | |||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 19 | $ | — | $ | — | |||||||
Foreign exchange contracts | Receivables | — | 51 | — | ||||||||||
Credit contracts | Receivables | — | — | 343 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 19 | $ | 51 | $ | 343 | ||||||||
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (15 | ) | $ | — | $ | — | ||||||
Foreign exchange contracts | Payables | — | (44 | ) | — | |||||||||
|
|
|
|
|
| |||||||||
Total | $ | (15 | ) | $ | (44 | ) | $ | — | ||||||
|
|
|
|
|
|
High Yield Fund
Derivative Contract | Statements of Assets and Liabilities Location | |||||
Liabilities: | Swaps | |||||
Credit contracts | Payables | $ | (655 | ) | ||
|
|
Inflation Managed Bond Fund
Derivative Contract | Statements of Assets and Liabilities Location | |||||
Assets: | Swaps | |||||
Interest rate contracts | Receivables | $ | 2,950 | |||
|
| |||||
Liabilities: | ||||||
Interest rate contracts | Payables | $ | (7,516 | ) | ||
|
|
(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported in the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable to brokers. |
312 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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The following tables present the effect of derivatives on the Statements of Operations for the six months ended August 31, 2012, 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 | $ | 18 | $ | — | $ | — | $ | 18 | ||||||||
Foreign exchange contracts | — | 36 | — | 36 | ||||||||||||
Credit contracts | — | — | (623 | ) | (623 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 18 | $ | 36 | $ | (623 | ) | $ | (569 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
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 | $ | 5 | $ | — | $ | — | $ | 5 | ||||||||
Foreign exchange contracts | — | (11 | ) | — | (11 | ) | ||||||||||
Credit contracts | — | — | (1,928 | ) | (1,928 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5 | $ | (11 | ) | $ | (1,928 | ) | $ | (1,934 | ) | |||||
|
|
|
|
|
|
|
|
High Yield Fund
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivative Contract | Swaps | |||
Credit contracts | $ | 4,630 | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivative Contract | Swaps | |||
Credit contracts | $ | (3,720 | ) | |
|
|
Inflation Managed Bond Fund
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivative Contract | Swaps | |||
Interest rate contracts | $ | 45 | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivative Contract | Swaps | |||
Interest rate contracts | $ | (9,577 | ) | |
|
|
The Funds’ derivatives contracts held at August 31, 2012 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 contracts, foreign currency exchange contracts and swaps activity during the six months ended August 31, 2012 (amounts in thousands). Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Core Plus Bond Fund | High Yield Fund | Inflation Managed Bond Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 3,425 | $ | — | $ | — | ||||||
Average Notional Balance Short | 1,624 | — | — | |||||||||
Ending Notional Balance Long | 3,644 | — | — | |||||||||
Ending Notional Balance Short | 1,666 | — | — |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 313 |
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
Core Plus Bond Fund | High Yield Fund | Inflation Managed Bond Fund | ||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||
Average Settlement Value Purchased | $ | 351 | $ | — | $ | — | ||||||
Average Settlement Value Sold | 1,405 | — | — | |||||||||
Ending Settlement Value Purchased | 1,459 | — | — | |||||||||
Ending Settlement Value Sold | 5,807 | — | — | |||||||||
Credit Default Swaps: | ||||||||||||
Average Notional Balance — Buy Protection | 50,000 | (a) | — | — | ||||||||
Average Notional Balance — Sell Protection | 1,000 | 29,286 | — | |||||||||
Ending Notional Balance — Buy Protection | 50,000 | — | — | |||||||||
Ending Notional Balance — Sell Protection | 1,000 | 5,000 | — | |||||||||
Interest Rate-Related Swaps (Inflation-Linked Swaps) | ||||||||||||
Average Notional Balance — Pays Fixed Rate | — | — | 776,857 | |||||||||
Ending Notional Balance — Pays Fixed Rate | — | — | 811,000 |
(a) | Average for the period June 1, 2012 through August 31, 2012. |
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 period. 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 (losses) arise from changes (due to 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. 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 (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 which adjusts 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.
H. 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.
I. 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 Fund’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
J. 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.
K. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly and 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
314 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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capital gains, if any, are distributed by each Fund at least annually. The amount of 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.
L. 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, 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 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 | |||
Inflation Managed Bond Fund | 0.35 | |||
Limited Duration Bond Fund | 0.25 | |||
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, the Administrator 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, 2012, the annualized effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.G.
JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB 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 Limited Duration Bond Fund and Short Duration Bond Fund) and certain Class A Shares for which front-end sales charges have been waived. For the six months ended August 31, 2012, the Distributor retained the following amounts (in thousands):
Front-end Sales Charge | CDSC | |||||||
Core Bond Fund | $ | 1,167 | $ | 29 | ||||
Core Plus Bond Fund | 370 | 4 | ||||||
Government Bond Fund | 92 | 3 | ||||||
High Yield Fund | 159 | 10 | ||||||
Inflation Managed Bond Fund | 3 | — | ||||||
Limited Duration Bond Fund | 2 | — | ||||||
Mortgage-Backed Securities Fund | 61 | — | ||||||
Short Duration Bond Fund | 11 | — | (a) |
AUGUST 31, 2012 | J.P. MORGAN INCOME FUNDS | 315 |
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
Front-end Sales Charge | CDSC | |||||||
Short Term Bond Fund II | $ | — | (a) | $ | — | |||
Treasury & Agency Fund | 2 | — |
(a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. 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 | ||||||||||||||||||||||||
Inflation Managed Bond Fund | 0.25 | n/a | 0.25 | n/a | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||||||||
Limited Duration Bond Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 0.25 | n/a | 0.25 | 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 to 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. Payments to the custodian 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 Bond Fund, Core Plus Bond Fund, High Yield Fund, Inflation Managed Bond Fund, Limited Duration Bond Fund, Short Duration Bond Fund and Short Term Bond Fund II. The amounts paid directly to JPMCB by the Funds for these services are included in Collateral management fees on the Statements 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 expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, 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 | * | ||||||||||||||||||||
Inflation Managed Bond Fund | 0.75 | n/a | 1.40 | n/a | 1.00 | 0.55 | 0.50 | n/a | 0.60 | |||||||||||||||||||||||||||
Limited Duration Bond Fund | 0.70 | 1.20 | 1.20 | n/a | n/a | n/a | 0.25 | n/a | 0.45 | |||||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 0.65 | n/a | 1.15 | 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 |
* | Effective September 1, 2012, the expense caps for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class have been reduced to 1.10%, 1.60%, 1.60%, 1.35%, 0.80%, 0.75% and 0.85%, respectively. These contractual expense caps are in place until at least June 30, 2014. |
Except as noted above, the expense limitation agreements were in effect for the six months ended August 31, 2012 and are in place until at least June 30, 2013.
316 | J.P. MORGAN INCOME FUNDS | AUGUST 31, 2012 |
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For the six months ended August 31, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | Contractual Reimbursements | ||||||||||||||||
Core Bond Fund | $ | — | $ | 7,946 | $ | 9,470 | $ | 17,416 | $ | — | ||||||||||
Core Plus Bond Fund | — | 592 | 365 | 957 | — | |||||||||||||||
Government Bond Fund | — | 91 | 1,859 | 1,950 | — | |||||||||||||||
High Yield Fund | 198 | 433 | 7,860 | 8,491 | — | |||||||||||||||
Inflation Managed Bond Fund | — | 39 | 937 | 976 | — | |||||||||||||||
Limited Duration Bond Fund | 248 | 175 | 99 | 522 | 28 | |||||||||||||||
Mortgage-Backed Securities Fund | 2,314 | 1,502 | 891 | 4,707 | — | |||||||||||||||
Short Duration Bond Fund | — | 3,247 | — | 3,247 | — | |||||||||||||||
Short Term Bond Fund II | 55 | 27 | 35 | 117 | — | |||||||||||||||
Treasury & Agency Fund | — | 11 | 459 | 470 | — |
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 these money market funds for the six months ended August 31, 2012 were as follows (amounts in thousands):
Core Bond Fund | $ | 1,088 | ||
Core Plus Bond Fund | 255 | |||
Government Bond Fund | 102 | |||
High Yield Fund | 410 | |||
Inflation Managed Bond Fund | 52 | |||
Limited Duration Bond Fund | 64 | |||
Mortgage-Backed Securities Fund | 284 | |||
Short Duration Bond Fund | 105 | |||
Short Term Bond Fund II | — | (a) | ||
Treasury & Agency Fund | 9 |
(a) | Amount rounds to less than $1,000. |
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 Officer’s 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 Trustees. 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, 2012, 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, 2012, the Core Plus Bond Fund incurred approximately $1,000 in brokerage commissions with broker-dealers affiliated with the Advisor.
The Securities and Exchange Commission 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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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
4. Investment Transactions
During the six months ended August 31, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding | Sales (excluding | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Core Bond Fund | $ | 4,020,963 | $ | 1,704,151 | $ | 685,610 | $ | 38,186 | ||||||||
Core Plus Bond Fund | 643,963 | 254,914 | 92,874 | 11,609 | ||||||||||||
Government Bond Fund | 233,341 | 60,420 | 128,003 | — | ||||||||||||
High Yield Fund | 3,524,277 | 3,712,839 | — | — | ||||||||||||
Inflation Managed Bond Fund | 167,932 | 56,475 | 97,891 | — | ||||||||||||
Limited Duration Bond Fund | 38,248 | 42,207 | — | — | ||||||||||||
Mortgage-Backed Securities Fund | 1,041,792 | 288,574 | 32,868 | — | ||||||||||||
Short Duration Bond Fund | 1,453,896 | 914,864 | 1,008,608 | 653,819 | ||||||||||||
Short Term Bond Fund II | 4,333 | 9,926 | 3,080 | 4,271 | ||||||||||||
Treasury & Agency Fund | 8,142 | 29,580 | 35,254 | 101,919 |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at August 31, 2012 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Core Bond Fund | $ | 25,925,706 | $ | 1,935,691 | $ | 66,388 | $ | 1,869,303 | ||||||||
Core Plus Bond Fund | 2,607,413 | 189,961 | 28,505 | 161,456 | ||||||||||||
Government Bond Fund | 1,701,849 | 207,479 | 3,970 | 203,509 | ||||||||||||
High Yield Fund | 11,193,995 | 686,090 | 259,266 | 426,824 | ||||||||||||
Inflation Managed Bond Fund | 1,338,290 | 42,408 | 4,652 | 37,756 | ||||||||||||
Limited Duration Bond Fund | 416,863 | 7,537 | 36,953 | (29,416 | ) | |||||||||||
Mortgage-Backed Securities Fund | 4,045,056 | 199,942 | 18,874 | 181,068 | ||||||||||||
Short Duration Bond Fund | 11,698,141 | 191,941 | 16,401 | 175,540 | ||||||||||||
Short Term Bond Fund II | 58,651 | 937 | 86 | 851 | ||||||||||||
Treasury & Agency Fund | 324,779 | 7,252 | — | 7,252 |
Under the 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, 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 be used before pre-enactment net capital losses.
At February 29, 2012, the Funds did not have post-enactment net capital loss carryforwards.
At February 29, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | Total | |||||||||||||||||||||||||
Core Plus Bond Fund | $ | — | $ | — | $ | 10,748 | $ | 26,467 | $ | 231,594 | $ | — | $ | — | $ | 268,809 | * | |||||||||||||||
Limited Duration Bond Fund | 5,666 | 2,597 | 2,757 | 4,374 | 42,572 | 10,532 | 6,963 | 75,461 | ||||||||||||||||||||||||
Mortgage-Backed Securities Fund | 4,538 | 1,459 | — | 391 | — | — | — | 6,388 | ||||||||||||||||||||||||
Short Term Bond Fund II** | 657 | 14,799 | 10,312 | 2,292 | 6,859 | 24,712 | — | 59,631 |
* | The entire amount is comprised of capital loss carryforwards from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381-384. |
** | Upon final liquidation, these capital loss carryforwards will no longer be available. |
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
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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 JPM 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 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at August 31, 2012, 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.
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 Fund’s assets for each of the High Yield Fund, Inflation Managed Bond Fund, Short Duration Bond Fund and Treasury & Agency Fund.
In addition J.P. Morgan Investor Funds, which are affiliated 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 | 39.88 | % | ||
Government Bond Fund | 19.06 | |||
Inflation Managed Bond Fund | 11.59 | |||
Limited Duration Bond Fund | 48.81 |
Additionally, Short Term Bond Fund II has a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Fund’s outstanding shares.
Significant shareholder transactions by these shareholders, 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2012 (Unaudited) (continued)
The Core Plus Bond Fund, High Yield Fund and Inflation Managed Bond 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 (i.e. decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and Funds 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. The ISDA agreements with certain counterparties allow the Funds and counterparty to offset certain derivative instruments’ payables or receivables with collateral posted to a segregated custody account as described in Note 2.E.
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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 (2) ongoing costs, including investment advisory fees, 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 ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, March 1, 2012, and continued to hold your shares at the end of the reporting period, August 31, 2012.
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 the Period” 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). 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, 2012 | Ending Account Value August 31, 2012 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Core Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,030.10 | $ | 3.79 | 0.74 | % | ||||||||
Hypothetical* | 1,000.00 | 1,021.48 | 3.77 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,027.70 | 7.10 | 1.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 7.07 | 1.39 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,027.70 | 7.10 | 1.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 7.07 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,029.80 | 5.07 | 0.99 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.21 | 5.04 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,031.60 | 2.25 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.99 | 2.24 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,032.70 | 2.00 | 0.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.24 | 1.99 | 0.39 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,030.90 | 2.92 | 0.57 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.33 | 2.91 | 0.57 | ||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,033.00 | 3.74 | 0.73 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.53 | 3.72 | 0.73 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, March 1, 2012 | Ending Account Value August 31, 2012 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Core Plus Bond Fund (continued) | ||||||||||||||||
Class B | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,029.30 | $ | 7.06 | 1.38 | % | ||||||||
Hypothetical* | 1,000.00 | 1,018.25 | 7.02 | 1.38 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,028.50 | 7.06 | 1.38 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.25 | 7.02 | 1.38 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,031.20 | 5.79 | 1.13 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.51 | 5.75 | 1.13 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,034.70 | 1.95 | 0.38 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.29 | 1.94 | 0.38 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,034.20 | 2.41 | 0.47 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.84 | 2.40 | 0.47 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,033.50 | 3.23 | 0.63 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.03 | 3.21 | 0.63 | ||||||||||||
Government Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,029.60 | 3.79 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.48 | 3.77 | 0.74 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,026.00 | 7.46 | 1.46 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.85 | 7.43 | 1.46 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,026.10 | 7.46 | 1.46 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.85 | 7.43 | 1.46 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,028.40 | 5.01 | 0.98 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.27 | 4.99 | 0.98 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,031.00 | 2.41 | 0.47 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.84 | 2.40 | 0.47 | ||||||||||||
High Yield Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,044.90 | 5.88 | 1.14 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.46 | 5.80 | 1.14 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,041.30 | 9.21 | 1.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.18 | 9.10 | 1.79 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,041.40 | 9.21 | 1.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.18 | 9.10 | 1.79 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,042.40 | 7.16 | 1.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 7.07 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,046.20 | 4.38 | 0.85 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.92 | 4.33 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,046.30 | 4.13 | 0.80 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.17 | 4.08 | 0.80 |
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Beginning Account Value, March 1, 2012 | Ending Account Value August 31, 2012 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
High Yield Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,045.90 | $ | 4.59 | 0.89 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.72 | 4.53 | 0.89 | ||||||||||||
Inflation Managed Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,015.50 | 3.76 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.48 | 3.77 | 0.74 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,012.40 | 7.05 | 1.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 7.07 | 1.39 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,015.00 | 5.03 | 0.99 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.21 | 5.04 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,017.10 | 2.75 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.48 | 2.75 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,016.60 | 2.49 | 0.49 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.74 | 2.50 | 0.49 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,016.00 | 3.00 | 0.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.23 | 3.01 | 0.59 | ||||||||||||
Limited Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,029.90 | 3.43 | 0.67 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.83 | 3.41 | 0.67 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,027.50 | 5.98 | 1.17 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.31 | 5.96 | 1.17 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,026.50 | 5.98 | 1.17 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.31 | 5.96 | 1.17 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,032.10 | 1.08 | 0.21 | ||||||||||||
Hypothetical* | 1,000.00 | 1,024.15 | 1.07 | 0.21 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,031.20 | 2.15 | 0.42 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.09 | 2.14 | 0.42 | ||||||||||||
Mortgage-Backed Securities Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,026.30 | 3.22 | 0.63 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.03 | 3.21 | 0.63 | ||||||||||||
Class C | ||||||||||||||||
Actual** | 1,000.00 | 1,010.80 | 1.85 | 1.12 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.56 | 5.70 | 1.12 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,028.00 | 1.18 | 0.23 | ||||||||||||
Hypothetical* | 1,000.00 | 1,024.05 | 1.17 | 0.23 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,027.40 | 1.94 | 0.38 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.29 | 1.94 | 0.38 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, March 1, 2012 | Ending Account Value August 31, 2012 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Short Duration Bond Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,008.00 | $ | 4.05 | 0.80 | % | ||||||||
Hypothetical* | 1,000.00 | 1,021.17 | 4.08 | 0.80 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,005.40 | 6.52 | 1.29 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.56 | 1.29 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,005.50 | 6.52 | 1.29 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.56 | 1.29 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,009.50 | 1.52 | 0.30 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.69 | 1.53 | 0.30 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,008.30 | 2.78 | 0.55 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.43 | 2.80 | 0.55 | ||||||||||||
Short Term Bond Fund II | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,005.10 | 3.79 | 0.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||
Class M | ||||||||||||||||
Actual* | 1,000.00 | 1,003.80 | 5.05 | 1.00 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.16 | 5.09 | 1.00 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,006.30 | 2.53 | 0.50 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||
Treasury & Agency Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,003.50 | 3.48 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.73 | 3.52 | 0.69 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,000.10 | 6.00 | 1.19 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.21 | 6.06 | 1.19 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,004.70 | 2.22 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.99 | 2.24 | 0.44 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 60/365 (to reflect the actual period). Commencement of offering of class of shares was July 2, 2012. |
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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 2012, 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 23, 2012.
The Trustees, as part of their review of the investment advisory arrangements for the J.P. Morgan 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 certain J.P. Morgan 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 J.P. Morgan 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 Funds with greater than two years of performance history in connection with the Trustees’ review of the investment advisory arrangements. Prior to voting, the Trustees reviewed the proposed approval of the Advisory Agreements with representatives of the Advisor and with counsels to the Trusts 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 Trusts 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 compliance structure and ongoing compliance processes. 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 questions or concerns raised by them, including the Advisor’s willingness to consider and implement
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
organizational and operational changes designed to improve investment results and the services provided to each Fund.
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 under 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 or has agreed to put 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 non-money market fund assets excluding certain funds-of-funds, as applicable, advised by the Advisor, and that the Funds 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, Limited Duration Bond 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 JPMorgan Inflation Managed Bond Fund and 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,
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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 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 prepared 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 second, first and first quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and 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 various other factors, concluded that the performance was reasonable.
The Trustees noted that the Core Plus Bond Fund’s performance was in the third, second and second quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and 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 various other factors, concluded that the performance was reasonable.
The Trustees noted that the Government Bond Fund’s performance was in the first, second and first quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and 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 various other factors, concluded that the performance was reasonable.
The Trustees noted that the High Yield Fund’s performance was in the fourth, third and second quintiles for Class A and in the fourth, third and first quintiles for Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and that the independent consultant indicated that the Fund’s overall performance needed enhancement. The
Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance was reasonable. They requested, however, that 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 Inflation Managed Bond Fund’s performance was in the fifth quintile for both Class A and Select Class shares for the one-year period ended December 31, 2011. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance was reasonable. They requested, however, that 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 Limited Duration Bond Fund’s performance was in the third, first and fourth quintiles for Class A and in the second, first and fourth quintiles for Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and 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 various 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, 2011, respectively, and 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 various 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 both Class A and Select Class shares for each of the one-, three-, and five-year periods ended December 31, 2011, respectively, and 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 various other factors, concluded that the performance was reasonable.
The Trustees noted that the Short Term Bond Fund II’s performance was in the third, fourth and fifth quintiles for both Class A and Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and that the
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
independent consultant indicated that the Fund’s overall performance needed enhancement. The Trustees discussed the performance and investment strategy of the Fund with the Advisor, including the planned liquidation of the Fund on or about November 29, 2012, and concluded that they were satisfied with the Advisor’s analysis of the Fund’s performance.
The Trustees noted that the Treasury & Agency Fund’s performance was in the second quintile for Class A shares for each of the one-, three-, and five-year periods ended December 31, 2011, and in the second, first and second quintiles for the Select Class shares for the one-, three-, and five-year periods ended December 31, 2011, respectively, and that the independent consultant indicated that the Fund’s overall performance needed enhancement. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various 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 place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees also considered that the Advisor, JPMDS and JPMFM agreed to additional fee waivers and/or expense reimbursements for all share classes of the High Yield Fund effective September 1, 2012. 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’ determinations 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 both 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 fee was 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 this information, the Trustees concluded that the advisory fee was 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 this 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 both Class A and Select shares were in the fourth quintile of their respective Universe Group. After considering the factors identified above, including the additional fee waivers and/or expense reimbursements that would take effect on September 1, 2012, in light of this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the Inflation Managed Bond Fund’s net advisory fee for both Class A and Select Class shares was in the third 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 fee was reasonable.
The Trustees noted that the Limited Duration Bond Fund’s net advisory fee and 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 this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the Mortgage-Backed Securities Fund’s net advisory fee and 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 this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the Short Duration Bond Fund’s net advisory fee for both Class A and Select Class shares was in the first quintile, and that the actual total expenses for both Class A and Select Class shares were in the second quintile of their respective Universe Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the Short Term Bond Fund II’s net advisory fee for both 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, including the planned liquidation of
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the Fund, in light of this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the Treasury & Agency Fund’s net advisory fee for Class A and Select Class shares was in the third 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 this information, the Trustees concluded that the advisory fees were reasonable.
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPMorgan Trust II, on behalf of Limited Duration Bond Fund, held a special meeting of shareholders on May 2, 2012 for the purpose of considering and approving the amendment of the investment objective of the Limited Duration Bond Fund by deleting the requirement that the Fund meet its objective “by investing in a diversified portfolio of short-term investment grade securities.”
The results of voting were as follows (by number of shares):
Number of Shares | ||||
For | 26,021,684 | |||
Against/Withhold | 318,520 | |||
Abstain | 103,273 |
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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 on the Funds’ website at www.jpmorganfunds.com. 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., 2012. All rights reserved. August 2012. | SAN-INC2-812 |
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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 semi-annual 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 semi-annual 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 semi-annual 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.
(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.
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Not applicable to a semi-annual 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 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)).
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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 9, 2012 |
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 9, 2012 | ||
By: | /s/ Joy C. Dowd | |
Joy C. Dowd | ||
Treasurer and Principal Financial Officer | ||
November 9, 2012 |